0001752724-22-296378.txt : 20221229 0001752724-22-296378.hdr.sgml : 20221229 20221229084057 ACCESSION NUMBER: 0001752724-22-296378 CONFORMED SUBMISSION TYPE: NPORT-P PUBLIC DOCUMENT COUNT: 2 CONFORMED PERIOD OF REPORT: 20221031 FILED AS OF DATE: 20221229 DATE AS OF CHANGE: 20221229 PERIOD START: 20230131 FILER: COMPANY DATA: COMPANY CONFORMED NAME: SEI DAILY INCOME TRUST /MA/ CENTRAL INDEX KEY: 0000701939 IRS NUMBER: 236756825 STATE OF INCORPORATION: MA FISCAL YEAR END: 0131 FILING VALUES: FORM TYPE: NPORT-P SEC ACT: 1940 Act SEC FILE NUMBER: 811-03451 FILM NUMBER: 221496396 BUSINESS ADDRESS: STREET 1: 2 OLIVER ST CITY: BOSTON STATE: MA ZIP: 02109 BUSINESS PHONE: 8003425734 MAIL ADDRESS: STREET 1: ONE FREEDOM VALLEY DRIVE CITY: OAKS STATE: PA ZIP: 19456 FORMER COMPANY: FORMER CONFORMED NAME: SEI CASH & PLUS TRUST DATE OF NAME CHANGE: 19920703 FORMER COMPANY: FORMER CONFORMED NAME: TRUSTFUNDS CASH & PLUS TRUST DATE OF NAME CHANGE: 19890123 FORMER COMPANY: FORMER CONFORMED NAME: CASH PLUS TRUST DATE OF NAME CHANGE: 19860827 0000701939 S000008267 SDIT SHORT DURATION GOVERNMENT FUND C000022552 SDIT SHORT DURATION GOVERNMENT FUND - CLASS F, effective 1-31-2017 (formerly Class A) TCSGX C000147419 Class Y SDGFX NPORT-P 1 primary_doc.xml NPORT-P false 0000701939 XXXXXXXX S000008267 C000022552 C000147419 SEI DAILY INCOME TRUST 811-03451 0000701939 LTKY0J47NCTZPKTU4C46 2 OLIVER STREET BOSTON 02109 8003455734 SDIT Short Duration Government Fund S000008267 549300NRAJ39MCMGSN10 2023-01-31 2022-10-31 N 924351697.40 266598319.93 657753377.47 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 97794.47000000 USD N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 FANNIE MAE INTEREST STRIP FNS 397 6 3136FGRW9 844644.16000000 PA USD 742672.61000000 0.112910497374 Long DBT USGA US N 2 2039-09-25 Fixed 2.00000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 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Fixed 4.50000000 N N N N N N Government National Mortgage Association N/A GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2003-86 ZD 38374CG88 2147976.76000000 PA USD 2170213.05000000 0.329943277273 Long DBT USGA US N 2 2033-10-20 Fixed 5.50000000 N N N N N N Government National Mortgage Association N/A GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2010-26 JI 38376VPU5 1381715.01000000 PA USD 309404.26000000 0.047039554732 Long DBT USGA US N 2 2040-02-16 Fixed 5.00000000 N N N N N N Government National Mortgage Association N/A GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2010-57 TI 38377EG73 654388.32000000 PA USD 143276.29000000 0.021782676441 Long DBT USGA US N 2 2040-05-20 Fixed 5.00000000 N N N N N N Government National Mortgage Association N/A GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2010-68 WA 38377GTK5 1086415.15000000 PA USD 1040693.48000000 0.158219404969 Long DBT USGA US N 2 2039-12-16 Fixed 3.00000000 N N N N N N Government National Mortgage Association N/A GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2011-131 PC 38377XL34 20849.11000000 PA USD 20796.20000000 0.003161701742 Long DBT USGA US N 2 2040-12-20 Fixed 3.50000000 N N N N N N Government National Mortgage Association N/A GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2012-126 IO 38378H3E4 1956771.61000000 PA USD 299006.44000000 0.045458746430 Long DBT USGA US N 2 2042-10-20 Fixed 3.50000000 N N N N N N Government National Mortgage Association N/A GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2012-36 AB 38378DVY8 331118.77000000 PA USD 321111.63000000 0.048819457413 Long DBT USGA US N 2 2040-10-20 Fixed 3.00000000 N N N N N N Government National Mortgage Association N/A GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2012-51 GI 38378EAS2 237663.53000000 PA USD 11419.28000000 0.001736103590 Long DBT USGA US N 2 2040-07-20 Fixed 3.50000000 N N N N N N Government National Mortgage Association N/A GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2012-84 TE 38375GJB8 1572925.30000000 PA USD 1416801.14000000 0.215400055481 Long DBT USGA US N 2 2042-03-20 Fixed 1.50000000 N N N N N N Government National Mortgage Association N/A GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2013-129 AF 38378WY23 3311511.46000000 PA USD 3278890.09000000 0.498498404160 Long DBT USGA US N 2 2039-10-20 Floating 3.88914120 N N N N N N Government National Mortgage Association N/A GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2013-166 DA 38378U4C8 357415.90000000 PA USD 344702.47000000 0.052406035728 Long DBT USGA US N 2 2040-06-20 Fixed 3.50000000 N N N N N N Government National Mortgage Association N/A GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2013-26 IK 38378JAS1 373171.17000000 PA USD 48118.03000000 0.007315512416 Long DBT USGA US N 2 2043-02-16 Fixed 3.00000000 N N N N N N Government National Mortgage Association N/A GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2013-47 IA 38378JXN7 366015.11000000 PA USD 70365.82000000 0.010697903258 Long DBT USGA US N 2 2043-03-20 Fixed 4.00000000 N N N N N N Government 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38379MVD3 1886848.66000000 PA USD 1729872.29000000 0.262997097278 Long DBT USGA US N 2 2044-12-20 Fixed 2.50000000 N N N N N N Government National Mortgage Association N/A GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2015-126 GI 38379QGG4 133010.63000000 PA USD 6358.80000000 0.000966745320 Long DBT USGA US N 2 2027-02-16 Fixed 3.50000000 N N N N N N Government National Mortgage Association N/A GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2015-126 HI 38379QFZ3 77525.45000000 PA USD 3336.02000000 0.000507184016 Long DBT USGA US N 2 2026-12-16 Fixed 4.00000000 N N N N N N Government National Mortgage Association N/A GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2015-132 EI 38379M6M1 1060647.20000000 PA USD 230504.09000000 0.035044151485 Long DBT USGA US N 2 2045-09-20 Fixed 6.00000000 N N N N N N Government National Mortgage Association N/A GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2015-165 I 38379FK73 824340.57000000 PA USD 108713.79000000 0.016528047399 Long DBT USGA US N 2 2043-07-20 Fixed 3.50000000 N N N N N N Government National Mortgage Association N/A GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2015-17 BI 38379JKC4 127782.72000000 PA USD 20309.64000000 0.003087728728 Long DBT USGA US N 2 2043-05-20 Fixed 3.50000000 N N N N N N Government National Mortgage Association N/A GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2015-185 GI 38379F3V9 317974.92000000 PA USD 8164.71000000 0.001241302634 Long DBT USGA US N 2 2041-02-20 Fixed 3.50000000 N N N N N N Government National Mortgage Association N/A GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2015-40 PA 38379LGE0 1106885.99000000 PA USD 1044578.27000000 0.158810019952 Long DBT USGA US N 2 2044-04-20 Fixed 2.00000000 N N N N N N Government National Mortgage Association N/A GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2015-53 IA 38379LG91 616317.43000000 PA USD 117399.90000000 0.017848619865 Long DBT USGA US N 2 2045-04-20 Fixed 4.50000000 N N N N N N Government National Mortgage Association N/A GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2016-126 KI 38380BAQ8 323313.71000000 PA USD 16402.42000000 0.002493703652 Long DBT USGA US N 2 2028-09-20 Fixed 3.00000000 N N N N N N Government National Mortgage Association N/A GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2016-167 AI 38380CEN9 1038634.47000000 PA USD 188502.81000000 0.028658584882 Long DBT USGA US N 2 2039-03-20 Fixed 5.50000000 N N N N N N Government National Mortgage Association N/A GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2016-23 CI 38379VRH9 829618.72000000 PA USD 49254.55000000 0.007488300583 Long DBT USGA US N 2 2042-04-20 Fixed 3.50000000 N N N N N N Government National Mortgage Association N/A GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2016-42 EI 38379V5S9 978017.25000000 PA USD 198321.16000000 0.030151294815 Long DBT USGA US N 2 2046-02-20 Fixed 6.00000000 N N N N N N Government National Mortgage Association N/A GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2016-49 PI 38379WGB2 1359737.24000000 PA USD 245738.38000000 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SCHEDULE OF INVESTMENTS (Unaudited)

October 31, 2022

Ultra Short Duration Bond Fund

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS — 36.7%

Communication Services — 1.9%

        

AT&T

               

9.150%, 02/01/2023

  $ 600     $ 606  

3.690%, SOFRINDX + 0.640%, 03/25/2024 (A)

     650       646  

NTT Finance

               

0.373%, 03/03/2023 (B)

     2,300       2,266  

Sky

               

3.125%, 11/26/2022 (B)

     350       350  

Take-Two Interactive Software

               

3.300%, 03/28/2024

    525       510  

Verizon Communications

               

3.787%, SOFRINDX + 0.790%, 03/20/2026 (A)

     500       488  

3.532%, SOFRINDX + 0.500%, 03/22/2024 (A)

     500       496  

Warnermedia Holdings

               

3.428%, 03/15/2024 (B)

     750       723  
                 
              6,085  
                 

Consumer Discretionary — 3.8%

        

7-Eleven

               

0.625%, 02/10/2023 (B)

     3,530       3,487  

American Honda Finance MTN

               

0.875%, 07/07/2023

    300       291  

Daimler Trucks Finance North America LLC

               

4.058%, U.S. SOFR + 1.000%, 04/05/2024 (A)(B)

     450       449  

3.722%, U.S. SOFR + 0.750%, 12/13/2024 (A)(B)

     600       592  

General Motors Financial

               

4.250%, 05/15/2023

    525       522  

3.679%, U.S. SOFR + 0.620%, 10/15/2024 (A)

     2,895       2,809  

3.672%, U.S. SOFR + 0.760%, 03/08/2024 (A)

     500       491  

GSK Consumer Healthcare Capital US LLC

               

3.024%, 03/24/2024 (B)

     420       405  

Home Depot

               

4.000%, 09/15/2025

    45       44  

Howard University

               

2.801%, 10/01/2023

    380       370  

Hyatt Hotels

               

1.300%, 10/01/2023

    175       168  

Hyundai Capital America MTN

               

0.800%, 04/03/2023 (B)

     450       441  

Nordstrom

               

2.300%, 04/08/2024

    210       197  

Starbucks

               

3.107%, SOFRINDX + 0.420%, 02/14/2024 (A)

     345       344  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

Volkswagen Group of America Finance LLC

               

3.125%, 05/12/2023 (B)

   $ 1,275     $ 1,260  
                 
              11,870  
                 

Consumer Staples — 1.4%

        

Coca-Cola Europacific Partners PLC

               

0.500%, 05/05/2023 (B)

     975       951  

Conagra Brands

               

0.500%, 08/11/2023

    325       313  

Constellation Brands

               

3.600%, 05/09/2024

    350       342  

JDE Peet's

               

0.800%, 09/24/2024 (B)

     500       454  

Keurig Dr Pepper

               

0.750%, 03/15/2024

    2,010       1,894  

Mondelez International

               

2.125%, 03/17/2024

    290       278  
                 
              4,232  
                 

Energy — 1.3%

        

ConocoPhillips

               

2.125%, 03/08/2024

    450       433  

Enbridge

               

3.342%, SOFRINDX + 0.630%, 02/16/2024 (A)

     775       766  

EQT

               

5.678%, 10/01/2025

    400       395  

Phillips 66

               

3.700%, 04/06/2023

    285       284  

Pioneer Natural Resources

               

0.550%, 05/15/2023

    830       810  

Saudi Arabian Oil

               

1.250%, 11/24/2023 (B)

     200       192  

Saudi Arabian Oil MTN

               

2.875%, 04/16/2024 (B)

     1,230       1,185  

Southern Natural Gas LLC

               

0.625%, 04/28/2023 (B)

     285       277  
                 
              4,342  
                 

Financials — 15.6%

        

AIG Global Funding

               

0.800%, 07/07/2023 (B)

     315       306  

American Express

               

3.950%, 08/01/2025

    325       312  

3.375%, 05/03/2024

    350       339  

0.750%, 11/03/2023

    2,005       1,921  

Aon

               

2.200%, 11/15/2022

    140       140  

Athene Global Funding

               

3.488%, SOFRINDX + 0.700%, 05/24/2024 (A)(B)

     825       809  

 

 

 

SEI Daily Income Trust / Quarterly Report / October 31, 2022

 

1

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

October 31, 2022

Ultra Short Duration Bond Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

Banco Santander

               

3.892%, 05/24/2024

  $ 400     $ 388  

Bank of America

               

3.750%, U.S. SOFR + 0.690%, 04/22/2025 (A)

     650       639  

3.722%, U.S. SOFR + 0.660%, 02/04/2025 (A)

     510       501  

Bank of America MTN

               

3.342%, BSBY3M + 0.430%, 05/28/2024 (A)

     575       566  

1.486%, U.S. SOFR + 1.460%, 05/19/2024 (A)

     300       293  

Bank of Montreal

               

3.262%, SOFRINDX + 0.350%, 12/08/2023 (A)

     600       596  

Bank of Montreal MTN

               

3.592%, SOFRINDX + 0.620%, 09/15/2026 (A)

     675       646  

3.378%, SOFRINDX + 0.320%, 07/09/2024 (A)

     325       320  

Bank of Nova Scotia

               

3.442%, U.S. SOFR + 0.380%, 07/31/2024 (A)

     650       642  

Banque Federative du Credit Mutuel

               

4.524%, 07/13/2025 (B)

     250       242  

Brighthouse Financial Global Funding MTN

               

3.819%, U.S. SOFR + 0.760%, 04/12/2024 (A)(B)

     445       440  

Canadian Imperial Bank of Commerce

               

3.823%, U.S. SOFR + 0.800%, 03/17/2023 (A)

     500       500  

3.363%, SOFRINDX + 0.400%, 12/14/2023 (A)

     575       571  

Capital One Financial

               

4.985%, U.S. SOFR + 2.160%, 07/24/2026 (A)

     250       240  

3.602%, U.S. SOFR + 0.690%, 12/06/2024 (A)

     425       414  

Citigroup

               

3.754%, U.S. SOFR + 0.694%, 01/25/2026 (A)

     350       339  

3.731%, U.S. SOFR + 0.669%, 05/01/2025 (A)

     250       245  

Citizens Bank

               

4.119%, U.S. SOFR + 1.395%, 05/23/2025 (A)

     250       244  

CNA Financial

               

7.250%, 11/15/2023

    200       205  

Commonwealth Bank of Australia

               

3.492%, U.S. SOFR + 0.520%, 06/15/2026 (A)(B)

     425       416  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

Corebridge Financial

               

3.500%, 04/04/2025 (B)

   $ 230     $ 217  

Credit Suisse NY

               

4.750%, 08/09/2024

    250       237  

3.452%, SOFRINDX + 0.390%, 02/02/2024 (A)

     2,280       2,189  

0.520%, 08/09/2023

    650       616  

Deutsche Bank NY

               

3.931%, U.S. SOFR + 1.219%, 11/16/2027 (A)

     550       473  

3.137%, U.S. SOFR + 0.500%, 11/08/2023 (A)

     600       592  

Discover Bank

               

3.350%, 02/06/2023

    1,750       1,741  

DNB Bank

               

2.968%, SOFRINDX + 0.810%, 03/28/2025 (A)(B)

     275       263  

Equitable Financial Life Global Funding

               

3.449%, U.S. SOFR + 0.390%, 04/06/2023 (A)(B)

     575       573  

Fifth Third Bank

               

5.852%, U.S. SOFR + 1.230%, 10/27/2025 (A)

     470       471  

Fifth Third Bank MTN

               

1.800%, 01/30/2023

    250       248  

GA Global Funding Trust

               

3.438%, U.S. SOFR + 0.500%, 09/13/2024 (A)(B)

     1,745       1,691  

Goldman Sachs Group

               

3.759%, U.S. SOFR + 0.700%, 01/24/2025 (A)

     425       418  

3.492%, U.S. SOFR + 0.620%, 12/06/2023 (A)

     425       422  

3.429%, U.S. SOFR + 0.500%, 09/10/2024 (A)

     250       245  

3.200%, 02/23/2023

    1,315       1,308  

0.627%, U.S. SOFR + 0.538%, 11/17/2023 (A)

     425       424  

HSBC Bank Canada

               

0.950%, 05/14/2023 (B)

     2,775       2,716  

HSBC Holdings PLC

               

7.336%, U.S. SOFR + 3.030%, 11/03/2026 (A)

     300       301  

3.600%, 05/25/2023

    850       841  

3.326%, U.S. SOFR + 0.580%, 11/22/2024 (A)

     425       410  

Huntington National Bank

               

4.008%, U.S. SOFR + 1.205%, 05/16/2025 (A)

     250       244  

Jackson Financial

               

1.125%, 11/22/2023

    425       405  

 

 

 

2

 

SEI Daily Income Trust / Quarterly Report / October 31, 2022

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

October 31, 2022

Ultra Short Duration Bond Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

JPMorgan Chase

               

3.944%, U.S. SOFR + 0.885%, 04/22/2027 (A)

   $ 650     $ 627  

3.621%, U.S. SOFR + 0.580%, 06/23/2025 (A)

     325       318  

3.560%, U.S. SOFR + 0.580%, 03/16/2024 (A)

     500       496  

3.388%, U.S. SOFR + 0.535%, 06/01/2025 (A)

     400       391  

KeyBank

               

3.396%, U.S. SOFR + 0.340%, 01/03/2024 (A)

     575       570  

3.283%, SOFRINDX + 0.320%, 06/14/2024 (A)

     400       395  

KeyCorp MTN

               

3.878%, U.S. SOFR + 1.250%, 05/23/2025 (A)

     290       281  

Macquarie Bank MTN

               

0.441%, 12/16/2022 (B)

     325       323  

Macquarie Group MTN

               

3.769%, U.S. SOFR + 0.710%, 10/14/2025 (A)(B)

     425       412  

MassMutual Global Funding II

               

3.419%, U.S. SOFR + 0.360%, 04/12/2024 (A)(B)

     400       396  

MassMutual Global Funding II MTN

               

0.850%, 06/09/2023 (B)

     448       437  

Mitsubishi UFJ Financial Group

               

4.788%, US Treas Yield Curve Rate T Note Const Mat 1 Yr + 1.700%, 07/18/2025 (A)

     325       319  

Mizuho Financial Group

               

3.627%, ICE LIBOR USD 3 Month + 0.630%, 05/25/2024 (A)

     775       768  

Morgan Stanley

               

3.620%, U.S. SOFR + 1.160%, 04/17/2025 (A)

     350       338  

0.731%, U.S. SOFR + 0.616%, 04/05/2024 (A)

     250       244  

Morgan Stanley MTN

               

4.875%, 11/01/2022

    625       625  

3.750%, 02/25/2023

    2,170       2,162  

Nasdaq

               

0.445%, 12/21/2022

    250       249  

National Bank of Canada

               

0.750%, 08/06/2024

    325       299  

Nationwide Building Society

               

2.000%, 01/27/2023 (B)

     375       372  

0.550%, 01/22/2024 (B)

     400       375  

NatWest Markets PLC

               

3.213%, U.S. SOFR + 0.530%, 08/12/2024 (A)(B)

     490       480  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

Nordea Bank Abp

               

1.000%, 06/09/2023 (B)

   $ 300     $ 292  

Pacific Life Global Funding II

               

0.500%, 09/23/2023 (B)

     400       384  

PNC Financial Services Group

               

5.671%, SOFRINDX + 1.090%, 10/28/2025 (A)

     425       425  

Principal Life Global Funding II

               

3.509%, U.S. SOFR + 0.450%, 04/12/2024 (A)(B)

     170       169  

3.173%, U.S. SOFR + 0.380%, 08/23/2024 (A)(B)

     665       656  

Protective Life Global Funding

               

1.082%, 06/09/2023 (B)

     255       249  

Royal Bank of Canada MTN

               

3.511%, SOFRINDX + 0.450%, 10/26/2023 (A)

     400       398  

Skandinaviska Enskilda Banken

               

0.550%, 09/01/2023 (B)

     250       241  

Societe Generale

               

4.351%, 06/13/2025 (B)

     500       483  

4.109%, U.S. SOFR + 1.050%, 01/21/2026 (A)(B)

     425       406  

Sumitomo Mitsui Trust Bank MTN

               

3.403%, U.S. SOFR + 0.440%, 09/16/2024 (A)(B)

     500       496  

Toronto-Dominion Bank MTN

               

3.519%, U.S. SOFR + 0.590%, 09/10/2026 (A)

     425       411  

3.279%, U.S. SOFR + 0.350%, 09/10/2024 (A)

     500       493  

3.225%, U.S. SOFR + 0.355%, 03/04/2024 (A)

     575       569  

Truist Financial MTN

               

3.321%, U.S. SOFR + 0.400%, 06/09/2025 (A)

     400       391  

UBS

               

0.700%, 08/09/2024 (B)

     400       367  

UBS MTN

               

3.014%, U.S. SOFR + 0.360%, 02/09/2024 (A)(B)

     400       397  

USAA Capital

               

1.500%, 05/01/2023 (B)

     525       516  
                 
              47,539  
                 

Health Care — 3.8%

        

AmerisourceBergen

               

0.737%, 03/15/2023

    200       197  

AstraZeneca PLC

               

0.300%, 05/26/2023

    650       634  

 

 

 

SEI Daily Income Trust / Quarterly Report / October 31, 2022

 

3

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

October 31, 2022

Ultra Short Duration Bond Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

Baxter International

               

3.253%, SOFRINDX + 0.440%, 11/29/2024 (A)

   $ 425     $ 414  

Bristol-Myers Squibb

               

3.250%, 02/20/2023

    409       408  

0.537%, 11/13/2023

    425       406  

Cigna

               

3.750%, 07/15/2023

    1,775       1,757  

3.050%, 11/30/2022

    350       350  

0.613%, 03/15/2024

    190       179  

Elevance Health

               

2.950%, 12/01/2022

    575       574  

Humana

               

0.650%, 08/03/2023

    1,700       1,642  

Illumina

               

0.550%, 03/23/2023

    400       393  

PerkinElmer

               

0.550%, 09/15/2023

    600       577  

Royalty Pharma PLC

               

0.750%, 09/02/2023

    700       671  

SSM Health Care

               

3.688%, 06/01/2023

    970       962  

Stryker

               

0.600%, 12/01/2023

    230       219  

Takeda Pharmaceutical

               

4.400%, 11/26/2023

    495       490  

Thermo Fisher Scientific

               

3.589%, SOFRINDX + 0.530%, 10/18/2024 (A)

     1,810       1,790  
                 
              11,663  
                 

Industrials — 1.2%

        

AerCap Ireland Capital DAC

               

3.733%, U.S. SOFR + 0.680%, 09/29/2023 (A)

     700       685  

Air Lease MTN

               

3.643%, ICE LIBOR USD 3 Month + 0.350%, 12/15/2022 (A)

     500       500  

Boeing

               

4.508%, 05/01/2023

    1,245       1,240  

1.167%, 02/04/2023

    475       470  

Cargill

               

1.375%, 07/23/2023 (B)

     300       292  

Carlisle

               

0.550%, 09/01/2023

    175       168  

DAE Funding LLC MTN

               

1.550%, 08/01/2024 (B)

     450       408  
                 
              3,763  
                 

Information Technology — 1.9%

        

Fidelity National Information Services

               

0.375%, 03/01/2023

    425       418  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

Hewlett Packard Enterprise

               

4.450%, 10/02/2023

  $ 250     $ 248  

Microchip Technology

               

0.972%, 02/15/2024

    375       353  

Qorvo

               

1.750%, 12/15/2024 (B)

     340       310  

Salesforce

               

0.625%, 07/15/2024

    1,560       1,453  

Skyworks Solutions

               

0.900%, 06/01/2023

    855       831  

TD SYNNEX

               

1.250%, 08/09/2024

    650       601  

VMware

               

1.000%, 08/15/2024

    1,445       1,332  

0.600%, 08/15/2023

    400       385  
                 
              5,931  
                 

Materials — 0.3%

        

Celanese US Holdings LLC

               

5.900%, 07/05/2024

    325       320  

Martin Marietta Materials

               

0.650%, 07/15/2023

    480       464  

Sherwin-Williams

               

4.050%, 08/08/2024

    250       245  
                 
              1,029  
                 

Utilities — 5.5%

        

American Electric Power

               

4.920%, ICE LIBOR USD 3 Month + 0.480%, 11/01/2023 (A)

     1,060       1,053  

Atmos Energy

               

0.625%, 03/09/2023

    425       419  

CenterPoint Energy

               

3.337%, SOFRINDX + 0.650%, 05/13/2024 (A)

     325       318  

CenterPoint Energy Resources

               

3.600%, ICE LIBOR USD 3 Month + 0.500%, 03/02/2023 (A)

     368       367  

0.700%, 03/02/2023

    1,555       1,533  

Dominion Energy

               

3.823%, ICE LIBOR USD 3 Month + 0.530%, 09/15/2023 (A)

     1,445       1,440  

2.450%, 01/15/2023 (B)

     550       547  

DTE Energy

               

0.550%, 11/01/2022

    475       475  

Duke Energy

               

3.179%, U.S. SOFR + 0.250%, 06/10/2023 (A)

     500       497  

Eversource Energy

               

2.800%, 05/01/2023

    810       800  

 

 

 

4

 

SEI Daily Income Trust / Quarterly Report / October 31, 2022

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

October 31, 2022

Ultra Short Duration Bond Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

Mississippi Power

               

3.351%, U.S. SOFR + 0.300%, 06/28/2024 (A)

   $ 350     $ 343  

NextEra Energy Capital Holdings

               

3.462%, SOFRINDX + 0.400%, 11/03/2023 (A)

     705       697  

3.393%, SOFRINDX + 0.540%, 03/01/2023 (A)

     375       374  

3.254%, ICE LIBOR USD 3 Month + 0.270%, 02/22/2023 (A)

     575       574  

2.940%, 03/21/2024

    450       436  

OGE Energy

               

0.703%, 05/26/2023

    245       239  

Pacific Gas and Electric

               

3.837%, SOFRINDX + 1.150%, 11/14/2022 (A)

     415       415  

3.250%, 02/16/2024

    350       338  

1.700%, 11/15/2023

    275       263  

PPL Electric Utilities

               

3.891%, ICE LIBOR USD 3 Month + 0.250%, 09/28/2023 (A)

     875       872  

3.380%, U.S. SOFR + 0.330%, 06/24/2024 (A)

     465       459  

Public Service Enterprise Group

               

0.841%, 11/08/2023

    2,370       2,257  

Southern California Edison

               

3.884%, SOFRINDX + 0.830%, 04/01/2024 (A)

     960       952  

Southern California Gas

               

3.620%, ICE LIBOR USD 3 Month + 0.350%, 09/14/2023 (A)

     970       966  

Tampa Electric

               

3.875%, 07/12/2024

    325       317  
                 
              16,951  
                 

Total Corporate Obligations

                

(Cost $116,209) ($ Thousands)

             113,405  
                 
                 
                 

ASSET-BACKED SECURITIES — 22.5%

Automotive — 10.9%

        
         

American Credit Acceptance Receivables Trust, Ser 2021-2, Cl B

                

0.680%, 05/13/2025 (B)

     40       40  

American Credit Acceptance Receivables Trust, Ser 2021-3, Cl B

                

0.660%, 02/13/2026 (B)

     239       238  

American Credit Acceptance Receivables Trust, Ser 2021-4, Cl A

                

0.450%, 09/15/2025 (B)

     140       139  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

ASSET-BACKED SECURITIES (continued)

American Credit Acceptance Receivables Trust, Ser 2022-1, Cl A

                

0.990%, 12/15/2025 (B)

   $ 297     $ 292  

American Credit Acceptance Receivables Trust, Ser 2022-2, Cl A

                

2.660%, 02/13/2026 (B)

     374       370  

AmeriCredit Automobile Receivables Trust, Ser 2019-3, Cl C

                

2.320%, 07/18/2025

    425       417  

ARI Fleet Lease Trust, Ser 2021-A, Cl A2

                

0.370%, 03/15/2030 (B)

     93       91  

ARI Fleet Lease Trust, Ser 2022-A, Cl A2

                

3.120%, 01/15/2031 (B)

     875       855  

Avid Automobile Receivables Trust, Ser 2021-1, Cl A

                

0.610%, 01/15/2025 (B)

     41       40  

Capital One Prime Auto Receivables Trust, Ser 2022-2, Cl A2A

                

3.740%, 09/15/2025

    565       559  

Carmax Auto Owner Trust, Ser 2019-3, Cl C

                

2.600%, 06/16/2025

    375       363  

Carmax Auto Owner Trust, Ser 2021-1, Cl A3

                

0.340%, 12/15/2025

    750       720  

Carmax Auto Owner Trust, Ser 2021-2, Cl A3

                

0.520%, 02/17/2026

    625       599  

Carmax Auto Owner Trust, Ser 2022-2, Cl A2A

                

2.810%, 05/15/2025

    125       123  

Carmax Auto Owner Trust, Ser 2022-3, Cl A2A

                

3.810%, 09/15/2025

    560       553  

Carvana Auto Receivables Trust, Ser 2021-N1, Cl A

                

0.700%, 01/10/2028

    637       600  

Carvana Auto Receivables Trust, Ser 2021-N2, Cl A1

                

0.320%, 03/10/2028

    16       16  

Carvana Auto Receivables Trust, Ser 2021-N2, Cl B

                

0.750%, 03/10/2028

    88       82  

Carvana Auto Receivables Trust, Ser 2021-N3, Cl B

                

0.660%, 06/12/2028

    246       234  

Carvana Auto Receivables Trust, Ser 2021-P3, Cl A2

                

0.380%, 01/10/2025

    98       97  

CFMT LLC, Ser 2021-AL1, Cl B

                

1.390%, 09/22/2031 (B)

     440       414  

Chesapeake Funding II LLC, Ser 2018-3A, Cl A1

                

3.390%, 01/15/2031 (B)

     –       –  

 

 

 

SEI Daily Income Trust / Quarterly Report / October 31, 2022

 

5

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

October 31, 2022

Ultra Short Duration Bond Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

ASSET-BACKED SECURITIES (continued)

Chesapeake Funding II LLC, Ser 2019-2A, Cl A1

                

1.950%, 09/15/2031 (B)

   $ 87     $ 87  

Chesapeake Funding II LLC, Ser 2021-1A, Cl A2

                

3.642%, ICE LIBOR USD 1 Month + 0.230%, 04/15/2033 (A)(B)

     162       161  

CPS Auto Receivables Trust, Ser 2021-B, Cl B

                

0.810%, 12/15/2025 (B)

     398       394  

CPS Auto Receivables Trust, Ser 2021-C, Cl B

                

0.840%, 07/15/2025 (B)

     823       810  

CPS Auto Receivables Trust, Ser 2022-A, Cl A

                

0.980%, 04/16/2029 (B)

     686       673  

Credit Acceptance Auto Loan Trust, Ser 2020-1A, Cl A

                

2.010%, 02/15/2029 (B)

     60       60  

Credit Acceptance Auto Loan Trust, Ser 2021-3A, Cl A

                

1.000%, 05/15/2030 (B)

     250       235  

Donlen Fleet Lease Funding 2 LLC, Ser 2021-2, Cl A2

                

0.560%, 12/11/2034 (B)

     251       241  

Drive Auto Receivables Trust, Ser 2021-1, Cl B

                

0.650%, 07/15/2025

    121       120  

DT Auto Owner Trust, Ser 2020-1A, Cl C

                

2.290%, 11/17/2025 (B)

     438       435  

DT Auto Owner Trust, Ser 2020-3A, Cl B

                

0.910%, 12/16/2024 (B)

     415       413  

DT Auto Owner Trust, Ser 2021-1A, Cl B

                

0.620%, 09/15/2025 (B)

     460       455  

DT Auto Owner Trust, Ser 2021-2A, Cl A

                

0.410%, 03/17/2025 (B)

     46       45  

DT Auto Owner Trust, Ser 2021-2A, Cl B

                

0.810%, 01/15/2027 (B)

     220       214  

DT Auto Owner Trust, Ser 2021-3A, Cl A

                

0.330%, 04/15/2025 (B)

     184       181  

DT Auto Owner Trust, Ser 2021-4A, Cl A

                

0.560%, 09/15/2025 (B)

     561       550  

Enterprise Fleet Financing LLC, Ser 2019-2, Cl A2

                

2.290%, 02/20/2025 (B)

     29       29  

Enterprise Fleet Financing LLC, Ser 2021-2, Cl A2

                

0.480%, 05/20/2027 (B)

     191       182  

Enterprise Fleet Financing LLC, Ser 2022-2, Cl A2

                

4.650%, 05/21/2029 (B)

     1,250       1,226  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

ASSET-BACKED SECURITIES (continued)

Enterprise Fleet Financing LLC, Ser 2022-3, Cl A2

                

4.380%, 07/20/2029 (B)

   $ 80     $ 79  

Enterprise Fleet Funding LLC, Ser 2021-1, Cl A2

                

0.440%, 12/21/2026 (B)

     774       747  

Exeter Automobile Receivables Trust, Ser 2018-3A, Cl D

                

4.350%, 06/17/2024 (B)

     85       85  

Exeter Automobile Receivables Trust, Ser 2021-2A, Cl B

                

0.570%, 09/15/2025

    392       388  

Exeter Automobile Receivables Trust, Ser 2022-2A, Cl A2

                

2.190%, 11/17/2025

    285       284  

Exeter Automobile Receivables Trust, Ser 2022-4A, Cl A2

                

3.990%, 08/15/2024

    180       180  

Exeter Automobile Receivables Trust, Ser 2022-5A, Cl A2

                

5.290%, 01/15/2025

    550       549  

FHF Trust, Ser 2021-2A, Cl A

                

0.830%, 12/15/2026 (B)

     151       142  

FHF Trust, Ser 2022-1A, Cl A

                

4.430%, 01/18/2028 (B)

     350       341  

First Investors Auto Owner Trust, Ser 2021-1A, Cl A

                

0.450%, 03/16/2026 (B)

     352       347  

First Investors Auto Owner Trust, Ser 2022-1A, Cl A

                

2.030%, 01/15/2027 (B)

     1,918       1,865  

Flagship Credit Auto Trust, Ser 2020-3, Cl A

                

0.700%, 04/15/2025 (B)

     7       7  

Flagship Credit Auto Trust, Ser 2020-4, Cl A

                

0.530%, 04/15/2025 (B)

     47       47  

Flagship Credit Auto Trust, Ser 2021-1, Cl A

                

0.310%, 06/16/2025 (B)

     71       70  

Flagship Credit Auto Trust, Ser 2021-2, Cl A

                

0.370%, 12/15/2026 (B)

     167       165  

Flagship Credit Auto Trust, Ser 2021-2, Cl B

                

0.930%, 06/15/2027 (B)

     285       269  

Flagship Credit Auto Trust, Ser 2021-3, Cl A

                

0.360%, 07/15/2027 (B)

     161       155  

Ford Credit Auto Owner Trust, Ser 2018-1, Cl A

                

3.190%, 07/15/2031 (B)

     480       457  

Foursight Capital Automobile Receivables Trust, Ser 2021-2, Cl A2

                

0.400%, 04/15/2025 (B)

     41       41  

Foursight Capital Automobile Receivables Trust, Ser 2021-2, Cl A3

                

0.810%, 05/15/2026 (B)

     130       126  

 

 

 

6

 

SEI Daily Income Trust / Quarterly Report / October 31, 2022

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

October 31, 2022

Ultra Short Duration Bond Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

ASSET-BACKED SECURITIES (continued)

Foursight Capital Automobile Receivables Trust, Ser 2022-1, Cl A2

                

1.150%, 09/15/2025 (B)

   $ 94     $ 92  

Foursight Capital Automobile Receivables Trust, Ser 2022-2, Cl A2

                

4.490%, 03/16/2026 (B)

     530       523  

GLS Auto Receivables Issuer Trust, Ser 2021-1A, Cl B

                

0.820%, 04/15/2025 (B)

     174       173  

GLS Auto Receivables Issuer Trust, Ser 2021-2A, Cl A

                

0.310%, 11/15/2024 (B)

     5       5  

GLS Auto Receivables Issuer Trust, Ser 2021-2A, Cl B

                

0.770%, 09/15/2025 (B)

     390       383  

GLS Auto Receivables Issuer Trust, Ser 2021-3A, Cl A

                

0.420%, 01/15/2025 (B)

     185       184  

GLS Auto Receivables Issuer Trust, Ser 2022-3A, Cl A2

                

4.590%, 05/15/2026 (B)

     190       188  

Harley-Davidson Motorcycle Trust, Ser 2022-A, Cl A2A

                

2.450%, 05/15/2025

    794       785  

Hyundai Auto Lease Securitization Trust, Ser 2021-A, Cl B

                

0.610%, 10/15/2025 (B)

     550       532  

JPMorgan Chase Bank, Ser 2020-1, Cl B

                

0.991%, 01/25/2028 (B)

     169       166  

JPMorgan Chase Bank, Ser 2020-2, Cl B

                

0.840%, 02/25/2028 (B)

     417       406  

LAD Auto Receivables Trust, Ser 2021-1A, Cl A

                

1.300%, 08/17/2026 (B)

     363       349  

LAD Auto Receivables Trust, Ser 2022-1A, Cl A

                

5.210%, 06/15/2027 (B)

     260       255  

Lendbuzz Securitization Trust, Ser 2021-1A, Cl A

                

1.460%, 06/15/2026 (B)

     444       427  

Prestige Auto Receivables Trust, Ser 2021-1A, Cl A2

                

0.550%, 09/16/2024 (B)

     137       136  

Santander Bank Auto Credit-Linked Notes, Ser 2022-B, Cl B

                

5.721%, 08/16/2032 (B)

     1,076       1,070  

Santander Consumer Auto Receivables Trust, Ser 2020-BA, Cl B

                

0.770%, 12/15/2025 (B)

     175       170  

Santander Drive Auto Receivables Trust, Ser 2020-2, Cl C

                

1.460%, 09/15/2025

    41       40  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

ASSET-BACKED SECURITIES (continued)

Santander Drive Auto Receivables Trust, Ser 2020-4, Cl C

                

1.010%, 01/15/2026

  $ 544     $ 537  

Santander Drive Auto Receivables Trust, Ser 2021-1, Cl C

                

0.750%, 02/17/2026

    875       859  

Santander Drive Auto Receivables Trust, Ser 2021-2, Cl B

                

0.590%, 09/15/2025

    135       134  

Santander Drive Auto Receivables Trust, Ser 2021-3, Cl B

                

0.600%, 12/15/2025

    235       232  

Santander Drive Auto Receivables Trust, Ser 2021-4, Cl C

                

1.260%, 02/16/2027

    1,900       1,810  

Santander Drive Auto Receivables Trust, Ser 2022-3, Cl A2

                

2.760%, 03/17/2025

    1,077       1,069  

Santander Drive Auto Receivables Trust, Ser 2022-5, Cl A2

                

3.980%, 01/15/2025

    260       258  

Santander Retail Auto Lease Trust, Ser 2021-B, Cl A2

                

0.310%, 01/22/2024 (B)

     91       90  

Tricolor Auto Securitization Trust, Ser 2021-1A, Cl A

                

0.740%, 04/15/2024 (B)

     38       38  

Tricolor Auto Securitization Trust, Ser 2022-1A, Cl A

                

3.300%, 02/18/2025 (B)

     172       170  

UNIFY Auto Receivables Trust, Ser 2021-1A, Cl A3

                

0.510%, 06/16/2025 (B)

     269       266  

United Auto Credit Securitization Trust, Ser 2022-1, Cl A

                

1.110%, 07/10/2024 (B)

     97       96  

United Auto Credit Securitization Trust, Ser 2022-1, Cl B

                

2.100%, 03/10/2025 (B)

     440       430  

United Auto Credit Securitization Trust, Ser 2022-2, Cl A

                

4.390%, 04/10/2025 (B)

     531       527  

Westlake Automobile Receivables Trust, Ser 2019-2A, Cl E

                

4.020%, 04/15/2025 (B)

     560       555  

Westlake Automobile Receivables Trust, Ser 2021-1A, Cl B

                

0.640%, 03/16/2026 (B)

     400       391  

Westlake Automobile Receivables Trust, Ser 2021-2A, Cl A2A

                

0.320%, 04/15/2025 (B)

     98       97  

 

 

 

SEI Daily Income Trust / Quarterly Report / October 31, 2022

 

7

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

October 31, 2022

Ultra Short Duration Bond Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

ASSET-BACKED SECURITIES (continued)

Westlake Automobile Receivables Trust, Ser 2021-2A, Cl B

                

0.620%, 07/15/2026 (B)

   $ 220     $ 212  

World Omni Auto Receivables Trust, Ser 2021-C, Cl A3

                

0.440%, 08/17/2026

    265       251  
              33,603  
                 

Credit Card — 0.8%

        
         

Capital One Multi-Asset Execution Trust, Ser 2021-A3, Cl A3

                

1.040%, 11/15/2026

    425       392  

CARDS II Trust, Ser 2021-1A, Cl A

                

0.602%, 04/15/2027 (B)

     900       843  

Evergreen Credit Card Trust, Ser 2022-CRT1, Cl B

                

5.610%, 07/15/2026 (B)

     500       487  

Mercury Financial Credit Card Master Trust, Ser 2021-1A, Cl A

                

1.540%, 03/20/2026 (B)

     510       482  

Synchrony Card Funding LLC, Ser 2022-A1, Cl A

                

3.370%, 04/15/2028

    335       323  
              2,527  
                 

Miscellaneous Business Services — 10.8%

        
         

Accredited Mortgage Loan Trust, Ser 2004-4, Cl A1A

                

4.266%, ICE LIBOR USD 1 Month + 0.680%, 01/25/2035 (A)

     31       30  

Affirm Asset Securitization Trust, Ser 2020-Z1, Cl A

                

3.460%, 10/15/2024 (B)

     34       34  

Affirm Asset Securitization Trust, Ser 2020-Z2, Cl A

                

1.900%, 01/15/2025 (B)

     94       91  

Affirm Asset Securitization Trust, Ser 2021-B, Cl A

                

1.030%, 08/17/2026 (B)

     355       333  

Affirm Asset Securitization Trust, Ser 2021-Z1, Cl A

                

1.070%, 08/15/2025 (B)

     316       306  

Affirm Asset Securitization Trust, Ser 2021-Z2, Cl A

                

1.170%, 11/16/2026 (B)

     171       165  

Affirm Asset Securitization Trust, Ser 2022-X1, Cl A

                

1.750%, 02/15/2027 (B)

     421       408  

Amur Equipment Finance Receivables IX LLC, Ser 2021-1A, Cl A2

                

0.750%, 11/20/2026 (B)

     237       228  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

ASSET-BACKED SECURITIES (continued)

Amur Equipment Finance Receivables XI LLC, Ser 2022-2A, Cl A2

                

5.300%, 06/21/2028 (B)

   $ 185     $ 183  

Apidos CLO XII, Ser 2018-12A, Cl AR

                

5.159%, ICE LIBOR USD 3 Month + 1.080%, 04/15/2031 (A)(B)

     600       589  

Apidos CLO XV, Ser 2018-15A, Cl A1RR

                

5.253%, ICE LIBOR USD 3 Month + 1.010%, 04/20/2031 (A)(B)

     530       520  

Aqua Finance Trust, Ser 2021-A, Cl A

                

1.540%, 07/17/2046 (B)

     181       164  

Atalaya Equipment Leasing Trust, Ser 2021-1A, Cl A2

                

1.230%, 05/15/2026 (B)

     190       184  

Avant Loans Funding Trust, Ser 2021-REV1, Cl A

                

1.210%, 07/15/2030 (B)

     275       258  

Barings CLO, Ser 2018-3A, Cl A1

                

5.193%, ICE LIBOR USD 3 Month + 0.950%, 07/20/2029 (A)(B)

     218       213  

Bayview Opportunity Master Fund IVb Trust, Ser 2017-RT6, Cl A

                

3.500%, 10/28/2057 (A)(B)

     112       107  

Benefit Street Partners CLO X, Ser 2021-10A, Cl X

                

4.843%, ICE LIBOR USD 3 Month + 0.600%, 04/20/2034 (A)(B)

     41       41  

Benefit Street Partners CLO XII, Ser 2021-12A, Cl A1R

                

5.029%, ICE LIBOR USD 3 Month + 0.950%, 10/15/2030 (A)(B)

     600       587  

BHG Securitization Trust, Ser 2022-A, Cl A

                

1.710%, 02/20/2035 (B)

     512       476  

BHG Securitization Trust, Ser 2022-B, Cl A

                

3.750%, 06/18/2035 (B)

     533       524  

BHG Securitization Trust, Ser 2022-C, Cl A

                

5.320%, 10/17/2035 (B)

     149       147  

BSPRT Mortgage Trust, Ser 2022-FL8, Cl A

                

4.291%, SOFR30A + 1.500%, 02/15/2037 (A)(B)

     425       410  

Carbone CLO, Ser 2017-1A, Cl A1

                

5.383%, ICE LIBOR USD 3 Month + 1.140%, 01/20/2031 (A)(B)

     250       245  

Carlyle Global Market Strategies CLO, Ser 2018-1A, Cl A1R2

                

5.049%, ICE LIBOR USD 3 Month + 0.970%, 04/17/2031 (A)(B)

     648       631  

Carlyle Global Market Strategies CLO, Ser 2021-1A, Cl AR3

                

5.223%, ICE LIBOR USD 3 Month + 0.980%, 07/20/2031 (A)(B)

     421       412  

 

 

 

8

 

SEI Daily Income Trust / Quarterly Report / October 31, 2022

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

October 31, 2022

Ultra Short Duration Bond Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

ASSET-BACKED SECURITIES (continued)

CCG Receivables Trust, Ser 2021-1, Cl A2

                

0.300%, 06/14/2027 (B)

   $ 134     $ 129  

CIFC Funding, Ser 2017-1A, Cl ARR

                

5.435%, ICE LIBOR USD 3 Month + 1.110%, 01/22/2031 (A)(B)

     325       318  

CIFC Funding, Ser 2018-2A, Cl A1

                

5.283%, ICE LIBOR USD 3 Month + 1.040%, 04/20/2031 (A)(B)

     300       293  

CIFC Funding, Ser 2018-3A, Cl AR

                

5.097%, ICE LIBOR USD 3 Month + 0.870%, 04/19/2029 (A)(B)

     362       353  

Cloud Pass-Through Trust, Ser 2019-1A, Cl CLOU

                

3.554%, 12/05/2022 (A)(B)

     –       –  

CNH Equipment Trust, Ser 2019-A, Cl B

                

3.340%, 07/15/2026

    825       821  

CNH Equipment Trust, Ser 2019-B, Cl B

                

2.870%, 11/16/2026

    500       495  

CNH Equipment Trust, Ser 2022-B, Cl A2

                

3.940%, 12/15/2025

    140       138  

Crossroads Asset Trust, Ser 2021-A, Cl A2

                

0.820%, 03/20/2024 (B)

     84       83  

DB Master Finance LLC, Ser 2019-1A, Cl A2II

                

4.021%, 05/20/2049 (B)

     606       553  

Dell Equipment Finance Trust, Ser 2022-2, Cl A2

                

4.030%, 07/22/2027 (B)

     355       351  

Dewolf Park CLO, Ser 2021-1A, Cl AR

                

4.999%, ICE LIBOR USD 3 Month + 0.920%, 10/15/2030 (A)(B)

     600       587  

Dext ABS, Ser 2021-1, Cl A

                

1.120%, 02/15/2028 (B)

     167       159  

DLLMT LLC, Ser 2021-1A, Cl A2

                

0.600%, 03/20/2024 (B)

     208       205  

DLLST LLC, Ser 2022-1A, Cl A2

                

2.790%, 01/22/2024 (B)

     390       385  

FCI Funding LLC, Ser 2021-1A, Cl A

                

1.130%, 04/15/2033 (B)

     80       78  

Ford Credit Floorplan Master Owner Trust A, Ser 2019-2, Cl B

                

3.250%, 04/15/2026

    400       384  

FREED ABS Trust, Ser 2022-1FP, Cl A

                

0.940%, 03/19/2029 (B)

     30       30  

Goldentree Loan Management US CLO 2, Ser 2021-2A, Cl AR

                

5.153%, ICE LIBOR USD 3 Month + 0.910%, 11/20/2030 (A)(B)

     400       390  

GreatAmerica Leasing Receivables Funding LLC, Ser 2021-2, Cl A2

                

0.380%, 03/15/2024 (B)

     291       285  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

ASSET-BACKED SECURITIES (continued)

Hilton Grand Vacations Trust, Ser 2020-AA, Cl A

                

2.740%, 02/25/2039 (B)

   $ 97     $ 91  

HPEFS Equipment Trust, Ser 2021-2A, Cl B

                

0.610%, 09/20/2028 (B)

     225       214  

Hpefs Equipment Trust, Ser 2022-3A, Cl A3

                

5.430%, 08/20/2029 (B)

     355       354  

HPS Loan Management, Ser 2021-19, Cl XR

                

4.958%, ICE LIBOR USD 3 Month + 0.600%, 01/25/2034 (A)(B)

     61       61  

John Deere Owner Trust, Ser 2022-B, Cl A2

                

3.730%, 06/16/2025

    750       740  

KKR CLO 11, Ser 2017-11, Cl AR

                

5.259%, ICE LIBOR USD 3 Month + 1.180%, 01/15/2031 (A)(B)

     325       318  

KKR CLO 21, Ser 2018-21, Cl A

                

5.079%, ICE LIBOR USD 3 Month + 1.000%, 04/15/2031 (A)(B)

     465       455  

Kubota Credit Owner Trust, Ser 2020-2A, Cl A3

                

0.590%, 10/15/2024 (B)

     90       88  

LCM XXIII, Ser 2020-23A, Cl A1R

                

5.313%, ICE LIBOR USD 3 Month + 1.070%, 10/20/2029 (A)(B)

     496       485  

LCM XXIV, Ser 2021-24A, Cl AR

                

5.223%, ICE LIBOR USD 3 Month + 0.980%, 03/20/2030 (A)(B)

     525       513  

Madison Park Funding XVII, Ser 2021-17A, Cl AR2

                

5.278%, ICE LIBOR USD 3 Month + 1.000%, 07/21/2030 (A)(B)

     496       488  

Madison Park Funding XXX, Ser 2018-30A, Cl A

                

4.829%, ICE LIBOR USD 3 Month + 0.750%, 04/15/2029 (A)(B)

     837       818  

Magnetite VIII, Ser 2018-8A, Cl AR2

                

5.059%, ICE LIBOR USD 3 Month + 0.980%, 04/15/2031 (A)(B)

     678       664  

Magnetite XVI, Ser 2018-16A, Cl AR

                

4.994%, ICE LIBOR USD 3 Month + 0.800%, 01/18/2028 (A)(B)

     474       467  

Marlette Funding Trust, Ser 2021-2A, Cl A

                

0.510%, 09/15/2031 (B)

     21       21  

Marlette Funding Trust, Ser 2021-3A, Cl A

                

0.650%, 12/15/2031 (B)

     90       88  

Marlette Funding Trust, Ser 2022-1A, Cl A

                

1.360%, 04/15/2032 (B)

     418       408  

Marlette Funding Trust, Ser 2022-2A, Cl A

                

4.250%, 08/15/2032 (B)

     118       116  

Marlette Funding Trust, Ser 2022-3A, Cl A

                

5.180%, 11/15/2032 (B)

     229       227  

 

 

 

SEI Daily Income Trust / Quarterly Report / October 31, 2022

 

9

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

October 31, 2022

Ultra Short Duration Bond Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

ASSET-BACKED SECURITIES (continued)

MF1, Ser 2022-FL8, Cl A

                

4.244%, SOFR30A + 1.350%, 02/19/2037 (A)(B)

   $ 400     $ 384  

MMAF Equipment Finance LLC, Ser 2019-A, Cl A3

                

2.840%, 11/13/2023 (B)

     4       4  

MMAF Equipment Finance LLC, Ser 2020-BA, Cl A2

                

0.380%, 08/14/2023 (B)

     26       26  

MMAF Equipment Finance LLC, Ser 2021-A, Cl A3

                

0.560%, 06/13/2028 (B)

     110       102  

Navient Private Education Refi Loan Trust, Ser 2020-DA, Cl A

                

1.690%, 05/15/2069 (B)

     480       432  

Navient Private Education Refi Loan Trust, Ser 2021-A, Cl A

                

0.840%, 05/15/2069 (B)

     561       474  

Navient Student Loan Trust, Ser 2018-1A, Cl A2

                

3.936%, ICE LIBOR USD 1 Month + 0.350%, 03/25/2067 (A)(B)

     –       –  

Neuberger Berman Loan Advisers CLO 25, Ser 2021-25A, Cl AR

                

5.124%, ICE LIBOR USD 3 Month + 0.930%, 10/18/2029 (A)(B)

     910       893  

Neuberger Berman Loan Advisers CLO 26, Ser 2021-26A, Cl AR

                

5.114%, ICE LIBOR USD 3 Month + 0.920%, 10/18/2030 (A)(B)

     600       587  

NYCTL Trust, Ser 2019-A, Cl A

                

2.190%, 11/10/2032 (B)

     32       31  

NYCTL Trust, Ser 2022-A, Cl A

                

2.100%, 11/10/2034 (B)

     588       561  

OCP CLO, Ser 2018-5A, Cl A1R

                

5.407%, ICE LIBOR USD 3 Month + 1.080%, 04/26/2031 (A)(B)

     135       132  

OHA Credit Funding 10, Ser 2021-10A, Cl X

                

4.944%, ICE LIBOR USD 3 Month + 0.750%, 01/18/2036 (A)(B)

     396       396  

OZLM VII, Ser 2018-7RA, Cl A1R

                

5.089%, ICE LIBOR USD 3 Month + 1.010%, 07/17/2029 (A)(B)

     430       424  

OZLM VIII, Ser 2021-8A, Cl A1R3

                

5.059%, ICE LIBOR USD 3 Month + 0.980%, 10/17/2029 (A)(B)

     336       329  

Palmer Square Loan Funding, Ser 2021-4A, Cl A1

                

4.879%, ICE LIBOR USD 3 Month + 0.800%, 10/15/2029 (A)(B)

     717       702  

PFS Financing, Ser 2020-A, Cl A

                

1.270%, 06/15/2025 (B)

     365       355  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

ASSET-BACKED SECURITIES (continued)

PFS Financing, Ser 2020-E, Cl A

                

1.000%, 10/15/2025 (B)

   $ 740     $ 706  

PFS Financing, Ser 2020-G, Cl A

                

0.970%, 02/15/2026 (B)

     750       705  

SCF Equipment Leasing LLC, Ser 2021-1A, Cl A2

                

0.420%, 08/20/2026 (B)

     41       41  

SCF Equipment Leasing LLC, Ser 2022-1A, Cl A2

                

2.060%, 02/22/2028 (B)

     574       554  

Sequoia Infrastructure Funding I, Ser 2021-1A, Cl A

                

5.479%, ICE LIBOR USD 3 Month + 1.400%, 04/15/2031 (A)(B)

     468       463  

Sierra Timeshare Receivables Funding LLC, Ser 2018-2A, Cl A

                

3.500%, 06/20/2035 (B)

     147       144  

Sierra Timeshare Receivables Funding LLC, Ser 2018-3A, Cl A

                

3.690%, 09/20/2035 (B)

     498       490  

SoFi Consumer Loan Program, Ser 2021-1, Cl A

                

0.490%, 09/25/2030 (B)

     145       141  

Structured Asset Investment Loan Trust, Ser 2005-6, Cl M2

                

4.366%, ICE LIBOR USD 1 Month + 0.780%, 07/25/2035 (A)

     2       2  

Symphony CLO XIV, Ser 2019-14A, Cl AR

                

4.961%, ICE LIBOR USD 3 Month + 0.950%, 07/14/2026 (A)(B)

     30       30  

Symphony CLO XVIII, Ser 2021-18A, Cl X

                

5.075%, ICE LIBOR USD 3 Month + 0.750%, 07/23/2033 (A)(B)

     262       261  

Symphony Static CLO I, Ser 2021-1A, Cl A

                

5.188%, ICE LIBOR USD 3 Month + 0.830%, 10/25/2029 (A)(B)

     493       483  

Upstart Securitization Trust, Ser 2020-3, Cl A

                

1.702%, 11/20/2030 (B)

     1       1  

Upstart Securitization Trust, Ser 2021-2, Cl A

                

0.910%, 06/20/2031 (B)

     144       140  

Upstart Securitization Trust, Ser 2021-4, Cl A

                

0.840%, 09/20/2031 (B)

     258       247  

Verizon Owner Trust, Ser 2020-A, Cl A1A

                

1.850%, 07/22/2024

    –       –  

Verizon Owner Trust, Ser 2020-B, Cl A

                

0.470%, 02/20/2025

    415       408  

Verizon Owner Trust, Ser 2020-B, Cl B

                

0.680%, 02/20/2025

    220       209  

 

 

 

10

 

SEI Daily Income Trust / Quarterly Report / October 31, 2022

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

October 31, 2022

Ultra Short Duration Bond Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

ASSET-BACKED SECURITIES (continued)

Verizon Owner Trust, Ser 2020-C, Cl A

                

0.410%, 04/21/2025

  $ 425     $ 417  

Vibrant CLO VI, Ser 2021-6A, Cl AR

                

4.477%, ICE LIBOR USD 3 Month + 0.950%, 06/20/2029 (A)(B)

     260       256  

Volvo Financial Equipment LLC, Ser 2020-1A, Cl A3

                

0.510%, 10/15/2024 (B)

     251       245  

Voya CLO, Ser 2018-2A, Cl A1R

                

5.292%, TSFR3M + 1.232%, 04/25/2031 (A)(B)

     475       463  

Voya CLO, Ser 2020-1A, Cl AR

                

5.139%, ICE LIBOR USD 3 Month + 1.060%, 04/15/2031 (A)(B)

     575       562  

Voya CLO, Ser 2020-2A, Cl A1RR

                

5.099%, ICE LIBOR USD 3 Month + 1.020%, 04/17/2030 (A)(B)

     474       466  
              33,205  
                 

Total Asset-Backed Securities

                

(Cost $71,064) ($ Thousands)

             69,335  
                 
                 

U.S. TREASURY OBLIGATIONS — 19.3%

U.S. Cash Management Bill

               

3.235%, 01/10/2023 (C)

     1,000       993  

U.S. Treasury Bill - WI Post Auction

               

3.132%, 01/03/2023 (C)

     300       298  

U.S. Treasury Bills

               

3.209%, 03/02/2023 (C)

     1,800       1,775  

3.051%, 07/13/2023 (C)

     1,000       970  

2.532%, 01/05/2023 (C)

     1,500       1,490  

1.705%, 01/26/2023 (C)(D)

     6,500       6,438  

1.616%, 03/23/2023 (C)

     1,825       1,795  

U.S. Treasury Notes

               

2.875%, 06/15/2025

    2,000       1,923  

2.500%, 05/31/2024

    2,000       1,935  

2.000%, 04/30/2024

    3,350       3,222  

0.500%, 03/15/2023

    3,475       3,426  

0.375%, 04/15/2024

    8,475       7,967  

0.250%, 06/15/2024

    4,600       4,288  

0.125%, 05/15/2023

    13,800       13,478  

0.125%, 08/15/2023

    2,500       2,413  

0.125%, 10/15/2023

    3,915       3,750  

0.125%, 12/15/2023

    3,600       3,424  
         

Total U.S. Treasury Obligations

        

(Cost $60,526) ($ Thousands)

     59,585  
                 
                 

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

MORTGAGE-BACKED SECURITIES — 12.1%

Agency Mortgage-Backed Obligations — 1.9%

        

FHLMC

                

3.277%, US Treas Yield Curve Rate T Note Const Mat 1 Yr + 2.082%, 02/01/2030(A)

   $ 4     $ 4  

FHLMC Multifamily Structured Pass-Through Certificates, Cl A

                

2.770%, 05/25/2025

     300       284  

FHLMC Multifamily Structured Pass-Through Certificates, Cl A2

                

3.458%, 08/25/2023(A)

     1,682       1,661  

2.905%, 04/25/2024

     1,780       1,729  

FHLMC REMIC, Ser 2013-4272, Cl YG

                

2.000%, 11/15/2026

     89       87  

FHLMC REMIC, Ser 2014-4379, Cl CB

                

2.250%, 04/15/2033

     222       213  

FHLMC REMIC, Ser 2014-4387, Cl DA

                

3.000%, 01/15/2032

     61       60  

FHLMC REMIC, Ser 2017-4721, Cl HV

                

3.500%, 09/15/2030

     228       226  

FNMA

                

6.000%, 01/01/2027

     4       4  

5.500%, 12/01/2023 to 12/01/2024

    2       2  

5.000%, 02/01/2023 to 03/01/2025

    –       –  

4.045%, US Treas Yield Curve Rate T Note Const Mat 1 Yr + 2.045%, 05/01/2028(A)

     –       –  

3.500%, 08/01/2032

     306       291  

3.016%, ICE LIBOR USD 6 Month + 1.837%, 09/01/2024(A)

     4       4  

3.000%, 10/01/2030 to 12/01/2030

    560       526  

2.983%, ICE LIBOR USD 6 Month + 1.774%, 09/01/2024(A)

     1       1  

2.465%, US Treas Yield Curve Rate T Note Const Mat 1 Yr + 2.215%, 01/01/2029(A)

     3       3  

2.249%, US Treas Yield Curve Rate T Note Const Mat 1 Yr + 2.120%, 11/01/2025(A)

     –       –  

FNMA REMIC, Ser 1993-58, Cl H

                

5.500%, 04/25/2023

     –       –  

FNMA REMIC, Ser 2001-33, Cl FA

                

4.036%, ICE LIBOR USD 1 Month + 0.450%, 07/25/2031(A)

     3       3  

FNMA REMIC, Ser 2002-64, Cl FG

                

3.693%, ICE LIBOR USD 1 Month + 0.250%, 10/18/2032(A)

     –       1  

FNMA REMIC, Ser 2012-137, Cl UE

                

1.750%, 09/25/2041

     112       104  

FNMA REMIC, Ser 2013-97, Cl KA

                

3.000%, 11/25/2031

     21       21  

 

 

 

SEI Daily Income Trust / Quarterly Report / October 31, 2022

 

11

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

October 31, 2022

Ultra Short Duration Bond Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

MORTGAGE-BACKED SECURITIES (continued)

FNMA, Ser 2014-M8, Cl A2

                

3.056%, 06/25/2024(A)

   $ 418     $ 404  

FNMA, Ser 2017-M13, Cl FA

                

3.414%, ICE LIBOR USD 1 Month + 0.400%, 10/25/2024(A)

     34       34  

GNMA, Ser 2015-56, Cl LB

                

1.500%, 04/16/2040

     153       149  
                 
                 
              5,811  

Non-Agency Mortgage-Backed Obligations — 10.2%

        

Angel Oak Mortgage Trust LLC, Ser 2018-3, Cl A1

                

3.649%, 09/25/2048(A)(B)

     4       4  

Angel Oak Mortgage Trust LLC, Ser 2019-1, Cl A1

                

3.920%, 11/25/2048(A)(B)

     11       11  

Angel Oak Mortgage Trust LLC, Ser 2019-2, Cl A1

                

3.628%, 03/25/2049(A)(B)

     4       4  

Angel Oak Mortgage Trust LLC, Ser 2019-4, Cl A1

                

2.993%, 07/26/2049(A)(B)

     17       17  

Angel Oak Mortgage Trust LLC, Ser 2020-1, Cl A1

                

2.466%, 12/25/2059(A)(B)

     33       31  

Angel Oak Mortgage Trust LLC, Ser 2020-2, Cl A1A

                

2.531%, 01/26/2065(A)(B)

     147       133  

Angel Oak Mortgage Trust LLC, Ser 2020-3, Cl A1

                

1.691%, 04/25/2065(A)(B)

     188       169  

Angel Oak Mortgage Trust LLC, Ser 2020-4, Cl A1

                

1.469%, 06/25/2065(A)(B)

     111       101  

Angel Oak Mortgage Trust LLC, Ser 2020-R1, Cl A1

                

0.990%, 04/25/2053(A)(B)

     95       88  

Angel Oak Mortgage Trust LLC, Ser 2021-1, Cl A1

                

0.909%, 01/25/2066(A)(B)

     278       210  

Angel Oak Mortgage Trust LLC, Ser 2021-3, Cl A1

                

1.068%, 05/25/2066(A)(B)

     255       194  

Angel Oak Mortgage Trust LLC, Ser 2021-5, Cl A1

                

0.951%, 07/25/2066(A)(B)

     447       336  

Arroyo Mortgage Trust, Ser 2019-3, Cl A1

                

2.962%, 10/25/2048(A)(B)

     105       96  

Banc of America Mortgage Securities, Ser 2005-F, Cl 2A2

                

3.946%, 07/25/2035(A)

     26       24  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

MORTGAGE-BACKED SECURITIES (continued)

Banc of America Mortgage Securities, Ser 2005-J, Cl 2A1

                

3.302%, 11/25/2035(A)

   $ 4     $ 4  

BBCMS Mortgage Trust, Ser 2017-DELC, Cl A

                

4.387%, ICE LIBOR USD 1 Month + 0.975%, 08/15/2036(A)(B)

     320       312  

BBCMS Mortgage Trust, Ser 2020-C8, Cl A1

                

0.601%, 10/15/2053

     397       365  

Bear Stearns ARM Trust, Ser 2005-3, Cl 2A1

                

3.883%, 06/25/2035(A)

     15       15  

Bear Stearns ARM Trust, Ser 2005-6, Cl 3A1

                

3.650%, 08/25/2035(A)

     33       30  

Benchmark Mortgage Trust, Ser 2020-B17, Cl A2

                

2.211%, 03/15/2053

     320       292  

BFLD Trust, Ser 2020-OBRK, Cl A

                

5.462%, ICE LIBOR USD 1 Month + 2.050%, 11/15/2028(A)(B)

     325       321  

BPR Trust, Ser 2021-TY, Cl A

                

4.462%, ICE LIBOR USD 1 Month + 1.050%, 09/15/2038(A)(B)

     960       908  

BRAVO Residential Funding Trust, Ser 2020-NQM1, Cl A1

                

1.449%, 05/25/2060(A)(B)

     82       78  

BRAVO Residential Funding Trust, Ser 2021-NQM1, Cl A1

                

0.941%, 02/25/2049(A)(B)

     134       122  

BRAVO Residential Funding Trust, Ser 2021-NQM2, Cl A1

                

0.970%, 03/25/2060(A)(B)

     127       119  

BRAVO Residential Funding Trust, Ser 2021-NQM3, Cl A1

                

1.699%, 04/25/2060(A)(B)

     234       209  

Bunker Hill Loan Depositary Trust, Ser 2020-1, Cl A1

                

1.724%, 02/25/2055(A)(B)

     85       81  

BWAY Mortgage Trust, Ser 2015-1515, Cl A1

                

2.809%, 03/10/2033(B)

     151       144  

BX Commercial Mortgage Trust, Ser 2019-XL, Cl A

                

4.332%, ICE LIBOR USD 1 Month + 0.920%, 10/15/2036(A)(B)

     529       518  

BX Commercial Mortgage Trust, Ser 2019-XL, Cl B

                

4.492%, ICE LIBOR USD 1 Month + 1.080%, 10/15/2036(A)(B)

     374       363  

BX Commercial Mortgage Trust, Ser 2021-SOAR, Cl B

                

4.283%, ICE LIBOR USD 1 Month + 0.870%, 06/15/2038(A)(B)

     620       586  

 

 

 

12

 

SEI Daily Income Trust / Quarterly Report / October 31, 2022

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

October 31, 2022

Ultra Short Duration Bond Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

MORTGAGE-BACKED SECURITIES (continued)

BX Commercial Mortgage Trust, Ser 2021-VINO, Cl A

                

4.064%, ICE LIBOR USD 1 Month + 0.652%, 05/15/2038(A)(B)

   $ 345     $ 327  

BX Commercial Mortgage Trust, Ser 2021-VOLT, Cl A

                

4.112%, ICE LIBOR USD 1 Month + 0.700%, 09/15/2036(A)(B)

     275       261  

BX Trust, Ser 2021-LGCY, Cl A

                

3.918%, ICE LIBOR USD 1 Month + 0.506%, 10/15/2023(A)(B)

     600       566  

BX Trust, Ser 2022-LBA6, Cl A

                

4.376%, TSFR1M + 1.000%, 01/15/2039(A)(B)

     375       356  

BX, Ser 2021-MFM1, Cl B

                

4.362%, ICE LIBOR USD 1 Month + 0.950%, 01/15/2034(A)(B)

     550       521  

CFCRE Commercial Mortgage Trust, Ser 2017-C8, Cl ASB

                

3.367%, 06/15/2050

     540       512  

CFMT LLC, Ser 2022-EBO2, Cl A

                

3.169%, 07/25/2054(A)(B)

     115       112  

Chase Mortgage Finance, Ser 2021-CL1, Cl M1

                

4.197%, SOFR30A + 1.200%, 02/25/2050(A)(B)

     268       226  

CIM Trust, Ser 2017-7, Cl A

                

3.000%, 04/25/2057(A)(B)

     12       12  

Citigroup Commercial Mortgage Trust, Ser 2015-P1, Cl AAB

                

3.470%, 09/15/2048

     327       317  

Citigroup Commercial Mortgage Trust, Ser 2016-P3, Cl AAB

                

3.127%, 04/15/2049

     510       489  

Citigroup Commercial Mortgage Trust, Ser 2019-SMRT, Cl A

                

4.149%, 01/10/2036(B)

     275       267  

Citigroup Mortgage Loan Trust, Ser 2004-HYB3, Cl 1A

                

3.545%, 09/25/2034(A)

     7       6  

Citigroup Mortgage Loan Trust, Ser 2006-AR2, Cl 1A1

                

3.052%, 03/25/2036(A)

     38       29  

Citigroup Mortgage Loan Trust, Ser 2018-RP2, Cl A1

                

3.182%, 02/25/2058(A)(B)

     115       110  

CML Mortgage Pass-Through Trust, Ser 2004-29, Cl 1A1

                

4.126%, ICE LIBOR USD 1 Month + 0.540%, 02/25/2035(A)

     7       6  

COLT Funding LLC, Ser 2021-3R, Cl A1

                

1.051%, 12/25/2064(A)(B)

     150       120  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

MORTGAGE-BACKED SECURITIES (continued)

COLT Mortgage Loan Trust, Ser 2020-2R, Cl A1

                

1.325%, 10/26/2065(A)(B)

   $ 100     $ 89  

COLT Mortgage Loan Trust, Ser 2020-3, Cl A1

                

1.506%, 04/27/2065(A)(B)

     47       44  

COLT Mortgage Loan Trust, Ser 2021-1, Cl A1

                

0.910%, 06/25/2066(A)(B)

     202       158  

COLT Mortgage Loan Trust, Ser 2021-2, Cl A1

                

0.924%, 08/25/2066(A)(B)

     271       213  

COLT Mortgage Loan Trust, Ser 2021-2R, Cl A1

                

0.798%, 07/27/2054(B)

     90       78  

COLT Mortgage Loan Trust, Ser 2021-4, Cl A1

                

1.397%, 10/25/2066(A)(B)

     498       392  

COLT Mortgage Loan Trust, Ser 2021-HX1, Cl A1

                

1.110%, 10/25/2066(A)(B)

     459       364  

COMM Mortgage Trust, Ser 2014-CR18, Cl ASB

                

3.452%, 07/15/2047

     243       241  

COMM Mortgage Trust, Ser 2014-UBS5, Cl A2

                

3.031%, 09/10/2047

     10       10  

COMM Mortgage Trust, Ser 2015-CR23, Cl A2

                

2.852%, 05/10/2048

     185       185  

CSMC Trust, Ser 2019-AFC1, Cl A1

                

2.573%, 07/25/2049(B)(E)

     341       313  

CSMC Trust, Ser 2021-AFC1, Cl A1

                

0.830%, 03/25/2056(A)(B)

     219       178  

CSMC Trust, Ser 2021-NQM3, Cl A1

                

1.015%, 04/25/2066(A)(B)

     359       283  

CSMC Trust, Ser 2021-NQM4, Cl A1

                

1.101%, 05/25/2066(A)(B)

     395       308  

Deephaven Residential Mortgage Trust, Ser 2021-1, Cl A1

                

0.715%, 05/25/2065(A)(B)

     69       62  

Deephaven Residential Mortgage Trust, Ser 2021-2, Cl A1

                

0.899%, 04/25/2066(A)(B)

     88       73  

Ellington Financial Mortgage Trust, Ser 2019-2, Cl A1

                

2.739%, 11/25/2059(A)(B)

     25       23  

Ellington Financial Mortgage Trust, Ser 2020-2, Cl A1

                

1.178%, 10/25/2065(A)(B)

     48       42  

Ellington Financial Mortgage Trust, Ser 2021-1, Cl A1

                

0.797%, 02/25/2066(A)(B)

     53       41  

 

 

 

SEI Daily Income Trust / Quarterly Report / October 31, 2022

 

13

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

October 31, 2022

Ultra Short Duration Bond Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

MORTGAGE-BACKED SECURITIES (continued)

Ellington Financial Mortgage Trust, Ser 2021-2, Cl A1

                

0.931%, 06/25/2066(A)(B)

   $ 146     $ 113  

ELP Commercial Mortgage Trust, Ser 2021-ELP, Cl A

                

4.114%, ICE LIBOR USD 1 Month + 0.701%, 11/15/2038(A)(B)

     530       502  

Extended Stay America Trust, Ser 2021-ESH, Cl B

                

4.793%, ICE LIBOR USD 1 Month + 1.380%, 07/15/2038(A)(B)

     244       232  

FNMA Connecticut Avenue Securities, Ser 2014-C04, Cl 2M2

                

8.586%, ICE LIBOR USD 1 Month + 5.000%, 11/25/2024(A)

     110       111  

FNMA Connecticut Avenue Securities, Ser 2016-C03, Cl 2M2

                

9.486%, ICE LIBOR USD 1 Month + 5.900%, 10/25/2028(A)

     274       285  

FREMF Mortgage Trust, Ser 2013-K28, Cl B

                

3.462%, 06/25/2046(A)(B)

     200       197  

FREMF Mortgage Trust, Ser 2013-K32, Cl B

                

3.531%, 10/25/2046(A)(B)

     655       645  

FREMF Mortgage Trust, Ser 2013-K33, Cl B

                

3.495%, 08/25/2046(A)(B)

     1,100       1,080  

GCAT Trust, Ser 2020-NQM2, Cl A1

                

1.555%, 04/25/2065(B)(E)

     65       58  

GCAT Trust, Ser 2021-CM1, Cl A

                

1.469%, 04/25/2065(A)(B)

     291       274  

GCAT Trust, Ser 2021-NQM1, Cl A1

                

0.874%, 01/25/2066(A)(B)

     128       107  

GCAT Trust, Ser 2021-NQM3, Cl A1

                

1.091%, 05/25/2066(A)(B)

     233       187  

GCAT Trust, Ser 2021-NQM5, Cl A1

                

1.262%, 07/25/2066(A)(B)

     705       525  

GMAC Mortgage Loan Trust, Ser 2005-AR6, Cl 2A1

                

3.173%, 11/19/2035(A)

     65       55  

GS Mortgage Securities Trust, Cl A

                

4.107%, TSFR1M + 0.731%, 08/15/2036(A)(B)

     45       44  

GS Mortgage Securities Trust, Ser 2015-GS1, Cl AAB

                

3.553%, 11/10/2048

     84       81  

GS Mortgage Securities Trust, Ser 2016-GS3, Cl AAB

                

2.777%, 10/10/2049

     204       194  

GS Mortgage Securities Trust, Ser 2019-SL1, Cl A1

                

2.625%, 01/25/2059(A)(B)

     38       37  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

MORTGAGE-BACKED SECURITIES (continued)

GSR Mortgage Loan Trust, Ser 2005-AR4, Cl 2A1

                

3.157%, 07/25/2035(A)

   $ 81     $ 47  

GSR Mortgage Loan Trust, Ser 2007-AR2, Cl 1A1

                

2.984%, 05/25/2037(A)

     58       33  

Impac CMB Trust, Ser 2004-9, Cl 1A1

                

4.346%, ICE LIBOR USD 1 Month + 0.760%, 01/25/2035(A)

     12       11  

Impac CMB Trust, Ser 2005-2, Cl 1A1

                

4.106%, ICE LIBOR USD 1 Month + 0.520%, 04/25/2035(A)

     16       15  

Impac CMB Trust, Ser 2005-3, Cl A1

                

4.066%, ICE LIBOR USD 1 Month + 0.480%, 08/25/2035(A)

     17       15  

Impac CMB Trust, Ser 2005-5, Cl A1

                

4.226%, ICE LIBOR USD 1 Month + 0.320%, 08/25/2035(A)

     12       11  

Impac CMB Trust, Ser 2005-8, Cl 1A

                

4.106%, ICE LIBOR USD 1 Month + 0.520%, 02/25/2036(A)

     37       34  

Imperial Fund Mortgage Trust, Ser 2021-NQM1, Cl A1

                

1.071%, 06/25/2056(A)(B)

     325       264  

Imperial Fund Mortgage Trust, Ser 2021-NQM2, Cl A1

                

1.073%, 09/25/2056(A)(B)

     229       171  

Imperial Fund Mortgage Trust, Ser 2021-NQM3, Cl A1

                

1.595%, 11/25/2056(A)(B)

     232       180  

JPMBB Commercial Mortgage Securities Trust, Ser 2014-C26, Cl ASB

                

3.288%, 01/15/2048

     245       238  

JPMBB Commercial Mortgage Securities Trust, Ser 2015-C31, Cl ASB

                

3.540%, 08/15/2048

     112       108  

JPMBB Commercial Mortgage Securities Trust, Ser 2015-C32, Cl A2

                

2.816%, 11/15/2048

     67       67  

JPMorgan Chase Bank, Ser 2021-CL1, Cl M1

                

4.297%, SOFR30A + 1.300%, 03/25/2051(A)(B)

     417       376  

JPMorgan Mortgage Trust, Ser 2005-A6, Cl 7A1

                

3.961%, 08/25/2035(A)

     15       13  

JPMorgan Mortgage Trust, Ser 2007-A3, Cl 1A1

                

3.346%, 05/25/2037(A)

     33       28  

JPMorgan Mortgage Trust, Ser 2014-5, Cl A1

                

2.792%, 10/25/2029(A)(B)

     115       107  

 

 

 

14

 

SEI Daily Income Trust / Quarterly Report / October 31, 2022

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

October 31, 2022

Ultra Short Duration Bond Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

MORTGAGE-BACKED SECURITIES (continued)

JPMorgan Mortgage Trust, Ser 2018-7FRB, Cl A2

                

4.336%, ICE LIBOR USD 1 Month + 0.750%, 04/25/2046(A)(B)

   $ 107     $ 103  

KNDL Mortgage Trust, Ser 2019-KNSQ, Cl A

                

4.212%, ICE LIBOR USD 1 Month + 0.800%, 05/15/2036(A)(B)

     190       186  

LSTAR Commercial Mortgage Trust, Ser 2016-4, Cl A2

                

2.579%, 03/10/2049(B)

     449       445  

LSTAR Securities Investment, Ser 2019-4, Cl A1

                

7.268%, ICE LIBOR USD 1 Month + 3.500%, 05/01/2024(A)(B)

     191       185  

Merrill Lynch Mortgage Backed Securities Trust, Ser 2007-3, Cl 2A1

                

3.509%, 06/25/2037(A)

     41       26  

Metlife Securitization Trust, Ser 2017-1A, Cl A

                

3.000%, 04/25/2055(A)(B)

     65       62  

MFA Trust, Ser 2020-NQM1, Cl A1

                

1.479%, 03/25/2065(A)(B)

     62       59  

MFA Trust, Ser 2020-NQM3, Cl A1

                

1.014%, 01/26/2065(A)(B)

     78       71  

MFA Trust, Ser 2021-INV1, Cl A1

                

0.852%, 01/25/2056(A)(B)

     154       134  

MFA Trust, Ser 2021-NQM1, Cl A1

                

1.153%, 04/25/2065(A)(B)

     165       142  

MFA Trust, Ser 2021-NQM2, Cl A1

                

1.029%, 11/25/2064(A)(B)

     197       148  

MHC Commercial Mortgage Trust, Ser 2021-MHC, Cl B

                

4.513%, ICE LIBOR USD 1 Month + 1.101%, 04/15/2038(A)(B)

     1,670       1,584  

MHP, Ser 2021-STOR, Cl A

                

4.112%, ICE LIBOR USD 1 Month + 0.700%, 07/15/2038(A)(B)

     155       147  

MHP, Ser 2022-MHIL, Cl A

                

4.190%, TSFR1M + 0.815%, 01/15/2027(A)(B)

     199       188  

Mill City Mortgage Loan Trust, Ser 2017-3, Cl A1

                

2.750%, 01/25/2061(A)(B)

     82       80  

Mill City Mortgage Loan Trust, Ser 2018-1, Cl A1

                

3.250%, 05/25/2062(A)(B)

     52       50  

Mill City Mortgage Loan Trust, Ser 2018-4, Cl A1B

                

3.477%, 04/25/2066(A)(B)

     350       330  

Mill City Mortgage Loan Trust, Ser 2021-NMR1, Cl A1

                

1.125%, 11/25/2060(A)(B)

     152       140  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

MORTGAGE-BACKED SECURITIES (continued)

Morgan Stanley Bank of America Merrill Lynch Trust, Ser 2014-C19, Cl ASB

                

3.326%, 12/15/2047

   $ 81     $ 79  

Morgan Stanley Bank of America Merrill Lynch Trust, Ser 2015-C21, Cl ASB

                

3.150%, 03/15/2048

     151       147  

Morgan Stanley Capital I Trust, Ser 2019-H6, Cl A2

                

3.228%, 06/15/2052

     800       766  

MortgageIT Trust, Ser 2005-5, Cl A1

                

4.106%, ICE LIBOR USD 1 Month + 0.520%, 12/25/2035(A)

     34       32  

New Residential Mortgage Loan Trust, Ser 2017-3A, Cl A1

                

4.000%, 04/25/2057(A)(B)

     102       96  

New Residential Mortgage Loan Trust, Ser 2017-6A, Cl A1

                

4.000%, 08/27/2057(A)(B)

     241       224  

New Residential Mortgage Loan Trust, Ser 2018-1A, Cl A1

                

3.939%, 09/25/2057(A)(B)

     115       108  

New Residential Mortgage Loan Trust, Ser 2019-NQM4, Cl A1

                

2.492%, 09/25/2059(A)(B)

     35       31  

New Residential Mortgage Loan Trust, Ser 2020-NQM2, Cl A1

                

1.650%, 05/24/2060(A)(B)

     67       60  

New Residential Mortgage Loan Trust, Ser 2021-NQ2R, Cl A1

                

0.941%, 10/25/2058(A)(B)

     93       87  

New Residential Mortgage Loan Trust, Ser 2021-NQM3, Cl A1

                

1.156%, 11/27/2056(A)(B)

     372       298  

OBX Trust, Ser 2018-1, Cl A2

                

4.236%, ICE LIBOR USD 1 Month + 0.650%, 06/25/2057(A)(B)

     17       16  

OBX Trust, Ser 2021-NQM2, Cl A1

                

1.101%, 05/25/2061(A)(B)

     300       231  

Onslow Bay Mortgage Loan Trust, Ser 2021-NQM4, Cl A1

                

1.957%, 10/25/2061(A)(B)

     509       395  

Paragon Mortgages No. 12 PLC, Ser 2006-12A, Cl A2C

                

3.125%, ICE LIBOR USD 3 Month + 0.220%, 11/15/2038(A)(B)

     58       54  

PRPM LLC, Ser 2021-RPL1, Cl A1

                

1.319%, 07/25/2051(B)(E)

     122       108  

Residential Mortgage Loan Trust, Ser 2020-1, Cl A1

                

2.376%, 01/26/2060(A)(B)

     45       42  

RFMSI Trust, Ser 2007-SA3, Cl 2A1

                

4.560%, 07/27/2037(A)

     46       36  

 

 

 

SEI Daily Income Trust / Quarterly Report / October 31, 2022

 

15

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

October 31, 2022

Ultra Short Duration Bond Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

MORTGAGE-BACKED SECURITIES (continued)

Sequoia Mortgage Trust, Ser 2004-12, Cl A1

                

4.029%, ICE LIBOR USD 1 Month + 0.540%, 01/20/2035(A)

   $ 6     $ 6  

Sequoia Mortgage Trust, Ser 2018-CH3, Cl A1

                

4.500%, 08/25/2048(A)(B)

     9       9  

SG Residential Mortgage Trust, Ser 2021-1, Cl A1

                

1.160%, 07/25/2061(A)(B)

     449       351  

SREIT Trust, Ser 2021-MFP, Cl B

                

4.492%, ICE LIBOR USD 1 Month + 1.080%, 11/15/2038(A)(B)

     475       448  

STAR Trust, Ser 2021-1, Cl A1

                

1.219%, 05/25/2065(A)(B)

     146       135  

Starwood Mortgage Residential Trust, Ser 2020-1, Cl A1

                

2.275%, 02/25/2050(A)(B)

     16       15  

Starwood Mortgage Residential Trust, Ser 2020-3, Cl A1

                

1.486%, 04/25/2065(A)(B)

     39       37  

Starwood Mortgage Residential Trust, Ser 2021-2, Cl A1

                

0.943%, 05/25/2065(A)(B)

     65       60  

Starwood Mortgage Residential Trust, Ser 2021-3, Cl A1

                

1.127%, 06/25/2056(A)(B)

     268       214  

Towd Point Mortgage Trust, Ser 2017-1, Cl A1

                

2.750%, 10/25/2056(A)(B)

     133       130  

Towd Point Mortgage Trust, Ser 2017-2, Cl A1

                

2.750%, 04/25/2057(A)(B)

     130       128  

Towd Point Mortgage Trust, Ser 2017-4, Cl A1

                

2.750%, 06/25/2057(A)(B)

     162       153  

Towd Point Mortgage Trust, Ser 2017-5, Cl A1

                

3.434%, ICE LIBOR USD 1 Month + 0.600%, 02/25/2057(A)(B)

     136       134  

Towd Point Mortgage Trust, Ser 2017-6, Cl A1

                

2.750%, 10/25/2057(A)(B)

     65       62  

Towd Point Mortgage Trust, Ser 2018-1, Cl A1

                

3.000%, 01/25/2058(A)(B)

     42       40  

Towd Point Mortgage Trust, Ser 2019-HY3, Cl A1A

                

4.586%, ICE LIBOR USD 1 Month + 1.000%, 10/25/2059(A)(B)

     385       378  

Towd Point Mortgage Trust, Ser 2021-SJ1, Cl A1

                

2.250%, 07/25/2068(A)(B)

     477       445  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

MORTGAGE-BACKED SECURITIES (continued)

Towd Point Mortgage Trust, Ser 2022-EBO1, Cl A

                

2.161%, 01/25/2052(A)(B)

   $ 262     $ 256  

TRK Trust, Ser 2021-INV1, Cl A1

                

1.153%, 07/25/2056(A)(B)

     217       180  

TTAN, Ser 2021-MHC, Cl B

                

4.513%, ICE LIBOR USD 1 Month + 1.100%, 03/15/2038(A)(B)

     272       256  

Verus Securitization Trust, Ser 2019-4, Cl A1

                

2.642%, 11/25/2059(B)(E)

     39       37  

Verus Securitization Trust, Ser 2019-INV3, Cl A1

                

2.692%, 11/25/2059(A)(B)

     64       61  

Verus Securitization Trust, Ser 2020-1, Cl A1

                

2.417%, 01/25/2060(B)(E)

     27       26  

Verus Securitization Trust, Ser 2020-4, Cl A1

                

1.502%, 05/25/2065(B)(E)

     85       79  

Verus Securitization Trust, Ser 2021-1, Cl A2

                

1.052%, 01/25/2066(A)(B)

     255       198  

Verus Securitization Trust, Ser 2021-1, Cl A1

                

0.815%, 01/25/2066(A)(B)

     128       99  

Verus Securitization Trust, Ser 2021-2, Cl A1

                

1.031%, 02/25/2066(A)(B)

     157       126  

Verus Securitization Trust, Ser 2021-R1, Cl A1

                

0.820%, 10/25/2063(A)(B)

     235       212  

Verus Securitization Trust, Ser 2021-R2, Cl A1

                

0.918%, 02/25/2064(A)(B)

     226       206  

Verus Securitization Trust, Ser 2021-R3, Cl A1

                

1.020%, 04/25/2064(A)(B)

     124       113  

WaMu Mortgage Pass-Through Certificates, Ser 2006-AR2, Cl 1A1

                

3.092%, 03/25/2036(A)

     50       45  

Wells Fargo Commercial Mortgage Trust, Ser 2015-NXS2, Cl A2

                

3.020%, 07/15/2058

     222       215  

Wells Fargo Commercial Mortgage Trust, Ser 2016-C32, Cl ASB

                

3.324%, 01/15/2059

     163       158  
                 
                 
              31,566  

Total Mortgage-Backed Securities

                

(Cost $40,968) ($ Thousands)

             37,377  
                 
                 
                 

 

 

 

16

 

SEI Daily Income Trust / Quarterly Report / October 31, 2022

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

October 31, 2022

Ultra Short Duration Bond Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

MUNICIPAL BONDS — 3.9%

California — 0.7%

        

Golden State, Tobacco Securitization, RB

               

0.672%, 06/01/2023

  $ 985     $ 959  

Los Angeles Community College District, Ser C-2, GO

               

3.800%, 02/01/2023

    1,190       1,188  
                 
              2,147  
                 

Connecticut — 0.2%

        

Connecticut State, Ser A, GO

               

2.000%, 07/01/2023

    510       501  
                 
                 

District of Columbia — 0.1%

        

District of Columbia Water & Sewer Authority, Sub-Ser D-SUBORDINATE, RB

               

1.672%, 10/01/2023

    320       311  
                 
                 

Illinois — 0.0%

        

Chicago, Transit Authority, Sales Tax Receipts Fund, Ser B, RB

               

1.708%, 12/01/2022

    135       135  
                 
                 

Massachusetts — 0.2%

        

Massachusetts State, School Building Authority, Sub-Ser B, RB

               

2.078%, 10/15/2023

    765       745  
                 
                 

New York — 2.2%

        

City of New York New York, Ser D-2, GO

               

1.150%, 03/01/2023

    1,055       1,044  

New York City Housing Development, RB

               

2.324%, 01/01/2023

    1,130       1,126  

New York City Transitional Finance Authority Building Aid Revenue, Sub-Ser S-1B, RB

               

0.380%, 07/15/2023

    2,200       2,132  

New York State, Dormitory Authority, RB

               

0.267%, 03/15/2023

    590       580  

Port Authority of New York & New Jersey, Ser AAA, RB

               

1.086%, 07/01/2023

    1,830       1,785  
                 
              6,667  
                 

South Carolina — 0.3%

        

South Carolina State, Public Service Authority, Ser E, RB

               

3.722%, 12/01/2023

    1,100       1,085  
                 
                 

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

MUNICIPAL BONDS (continued)

Virginia — 0.2%

        

Virginia College Building Authority, RB

               

2.660%, 02/01/2023

  $ 525     $ 522  
                 
                 
                 

Total Municipal Bonds

                

(Cost $12,330) ($ Thousands)

             12,113  
                 
                 
                 

U.S. GOVERNMENT AGENCY OBLIGATIONS — 3.3%

FHLMC

                

4.050%, 07/21/2025

     1,680       1,650  

4.050%, 08/28/2025

     860       841  

4.000%, 12/30/2024

     950       933  

4.000%, 02/28/2025

     1,700       1,674  

2.940%, 11/24/2023

     535       524  

2.250%, 03/25/2025

     1,775       1,674  

FHLMC MTN

                

5.080%, 10/25/2024

     1,350       1,349  

FNMA

                

3.875%, 08/28/2024

     1,700       1,678  
                 
                 
         

Total U.S. Government Agency Obligations

        

(Cost $10,546) ($ Thousands)

     10,323  
                 
                 
                 

COMMERCIAL PAPER — 1.3%

Mid-America Apartments

                

3.570%, 11/01/2022 (B)(C)

     1,540       1,540  

S&P Global

                

3.650%, 11/01/2022 (B)(C)

     2,350       2,350  
                 
                 
                 

Total Commercial Paper

        

(Cost $3,890) ($ Thousands)

     3,890  
                 
                 
                 

REPURCHASE AGREEMENT — 0.6%

BNP Paribas

                

3.030%, dated 10/31/2022 to be repurchased on 11/01/2022, repurchase price $1,900,160 (collateralized by U.S. Government obligations, ranging in par value $400 - $935,200, 1.375% - 4.500%, 05/31/2024 – 10/01/2052; with total market value $1,938,072) (F)

     1,900       1,900  

Total Repurchase Agreement

                

(Cost $1,900) ($ Thousands)

             1,900  
                 
                 

Total Investments in Securities — 99.7%

                

(Cost $317,433) ($ Thousands)

  $ 307,928  
                 
                 

 

 

 

SEI Daily Income Trust / Quarterly Report / October 31, 2022

 

17

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

October 31, 2022

Ultra Short Duration Bond Fund (Concluded)

 

 

A list of the open futures contracts held by the fund at October 31, 2022, 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

     23       Dec-2022     $ 4,801     $ 4,701     $ (100 )
                                         
                                         

Short Contracts

                                        

U.S. 5-Year Treasury Note

     (6)       Dec-2022     $ (667 )   $ (639 )   $ 28  

U.S. 10-Year Treasury Note

     (15)       Dec-2022       (1,759 )     (1,660 )     99  
                      (2,426 )     (2,299 )     127  
                    $ 2,375     $ 2,402     $ 27  

 

 

Percentages are based on Net Assets of $308,729 ($ Thousands).

(A)

Variable or floating rate security. The rate shown is the effective interest rate as of period end. The rates on certain securities are not based on published reference rates and spreads and are either determined by the issuer or agent based on current market conditions; by using a formula based on the rates of underlying loans; or by adjusting periodically based on prevailing interest rates.

(B)

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, 2022, the value of these securities amounted to $112,905 ($ Thousands), representing 36.6% of the Net Assets of the Fund.

(C)

Interest rate represents the security's effective yield at the time of purchase.

(D)

Security, or a portion thereof, has been pledged as collateral on open futures contracts.

(E)

Step coupon security. Coupon rate will either increase (step-up bond) or decrease (step-down bond) at regular intervals until maturity. Interest rate shown reflects the rate currently in effect.

(F)

Tri-Party Repurchase Agreement.

 

    

The following is a summary of the level of inputs used as of October 31, 2022, in valuing the Fund's investments and other financial instruments carried at value ($ Thousands):

Investments in Securities

  

Level 1
($)

    

Level 2
($)

    

Level 3
($)

    

Total
($)

  

Corporate Obligations

     –       113,405       –       113,405  

Asset-Backed Securities

     –       69,335       –       69,335  

U.S. Treasury Obligations

     –       59,585       –       59,585  

Mortgage-Backed Securities

     –       37,377       –       37,377  

Municipal Bonds

     –       12,113       –       12,113  

U.S. Government Agency Obligations

     –       10,323       –       10,323  

Commercial Paper

     –       3,890       –       3,890  

Repurchase Agreement

     –       1,900       –       1,900  

Total Investments in Securities

     –       307,928       –       307,928  

 

Other Financial Instruments

  

Level 1
($)

    

Level 2
($)

    

Level 3
($)

    

Total
($)

  

Futures Contracts*

                                

Unrealized Appreciation

     127       –       –       127  

Unrealized Depreciation

     (100 )     –       –       (100 )

Total Other Financial Instruments

     27       –       –       27  

 

*

Futures contracts are valued at the net unrealized appreciation/(depreciation) on the instruments.

 

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

 

See “Glossary” for abbreviations.

 

For information regarding the Fund’s policy regarding valuation of investments and other accounting policies, please refer to the Fund’s most recent semi-annual and annual financial statements.

 

 

18

 

SEI Daily Income Trust / Quarterly Report / October 31, 2022

 

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

October 31, 2022

Short-Duration Government Fund

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

U.S. TREASURY OBLIGATIONS — 54.8%

U.S. Treasury Notes

               

2.875%, 06/15/2025

  $ 21,125     $ 20,306  

2.750%, 05/15/2025

    42,300       40,565  

2.625%, 06/30/2023

    35,397       34,979  

2.500%, 04/30/2024

    6,240       6,048  

2.500%, 05/31/2024

    30,875       29,875  

1.750%, 05/15/2023 (A)

     76,575       75,453  

1.000%, 12/15/2024

    59,075       54,963  

0.250%, 05/15/2024

    53,025       49,591  

0.250%, 06/15/2024

    51,925       48,402  
         

Total U.S. Treasury Obligations

        

(Cost $375,157) ($ Thousands)

     360,182  
                 
                 
                 

MORTGAGE-BACKED SECURITIES — 48.4%

Agency Mortgage-Backed Obligations — 45.0%

        

FHLMC

                

4.500%, 11/01/2022 to 12/01/2039

    1,309       1,276  

4.188%, US Treas Yield Curve Rate T Note Const Mat 1 Yr + 2.246%, 07/01/2024(B)

     2       2  

4.000%, 01/01/2033

     4,200       4,060  

3.500%, 01/01/2029 to 05/01/2035

    17,762       17,057  

3.348%, US Treas Yield Curve Rate T Note Const Mat 1 Yr + 2.236%, 04/01/2029(B)

     2       2  

3.316%, US Treas Yield Curve Rate T Note Const Mat 1 Yr + 2.111%, 12/01/2023(B)

     25       24  

3.278%, US Treas Yield Curve Rate T Note Const Mat 1 Yr + 2.269%, 06/01/2024(B)

     –       –  

3.000%, 11/01/2036 to 12/01/2046

    6,972       6,190  

2.852%, US Treas Yield Curve Rate T Note Const Mat 1 Yr + 2.364%, 06/01/2024(B)

     1       1  

2.500%, 02/01/2032

     964       897  

2.468%, US Treas Yield Curve Rate T Note Const Mat 1 Yr + 2.122%, 12/01/2023(B)

     3       3  

2.379%, US Treas Yield Curve Rate T Note Const Mat 1 Yr + 2.199%, 05/01/2024(B)

     2       2  

1.500%, 09/01/2041

     594       470  

FHLMC Multifamily Structured Pass-Through Certificates, Cl X1, IO

                

1.591%, 01/25/2030(B)

     12,386       1,091  

0.779%, 03/25/2028(B)

     7,591       219  

0.748%, 06/25/2027(B)

     17,902       494  

0.638%, 10/25/2026(B)

     23,497       454  

0.584%, 01/25/2031(B)

     13,583       490  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

MORTGAGE-BACKED SECURITIES (continued)

0.517%, 03/25/2031(B)

   $ 10,174     $ 330  

FHLMC Multifamily Structured Pass-Through Certificates, Cl A

                

3.643%, ICE LIBOR USD 1 Month + 0.500%, 10/25/2026(B)

     3,999       3,964  

3.633%, ICE LIBOR USD 1 Month + 0.490%, 02/25/2026(B)

     2,905       2,882  

3.623%, ICE LIBOR USD 1 Month + 0.480%, 04/25/2026(B)

     4,029       4,001  

3.493%, ICE LIBOR USD 1 Month + 0.350%, 08/25/2024(B)

     621       619  

FHLMC Multifamily Structured Pass-Through Certificates, Cl A1

                

2.598%, 01/25/2025

     4,436       4,309  

FHLMC REMIC, Ser 2003-2571, Cl FY

                

4.162%, ICE LIBOR USD 1 Month + 0.750%, 12/15/2032(B)

     2,124       2,122  

FHLMC REMIC, Ser 2006-3148, Cl CF

                

3.812%, ICE LIBOR USD 1 Month + 0.400%, 02/15/2034(B)

     86       85  

FHLMC REMIC, Ser 2006-3153, Cl FX

                

3.762%, ICE LIBOR USD 1 Month + 0.350%, 05/15/2036(B)

     63       62  

FHLMC REMIC, Ser 2006-3174, Cl FA

                

3.712%, ICE LIBOR USD 1 Month + 0.300%, 04/15/2036(B)

     1,224       1,198  

FHLMC REMIC, Ser 2006-3219, Cl EF

                

3.812%, ICE LIBOR USD 1 Month + 0.400%, 04/15/2032(B)

     1,886       1,859  

FHLMC REMIC, Ser 2007-3339, Cl HF

                

3.932%, ICE LIBOR USD 1 Month + 0.520%, 07/15/2037(B)

     1,831       1,808  

FHLMC REMIC, Ser 2010-3628, Cl PJ

                

4.500%, 01/15/2040

     679       655  

FHLMC REMIC, Ser 2011-3788, Cl FA

                

3.942%, ICE LIBOR USD 1 Month + 0.530%, 01/15/2041(B)

     2,587       2,555  

FHLMC REMIC, Ser 2011-3795, Cl EB

                

2.500%, 10/15/2039

     6       5  

FHLMC REMIC, Ser 2011-3930, Cl AI, IO

                

3.500%, 09/15/2026

     156       7  

FHLMC REMIC, Ser 2012-4018, Cl AI, IO

                

3.500%, 03/15/2027

     193       8  

FHLMC REMIC, Ser 2012-4060, Cl TI, IO

                

2.500%, 12/15/2026

     259       5  

FHLMC REMIC, Ser 2012-4083, Cl DI, IO

                

4.000%, 07/15/2027

     124       6  

FHLMC REMIC, Ser 2012-4114, Cl MB

                

3.000%, 10/15/2032

     3,000       2,737  

FHLMC REMIC, Ser 2012-4117, Cl P

                

1.250%, 07/15/2042

     1,555       1,352  

 

 

 

SEI Daily Income Trust / Quarterly Report / October 31, 2022

 

19

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

October 31, 2022

Short-Duration Government Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

MORTGAGE-BACKED SECURITIES (continued)

FHLMC REMIC, Ser 2012-4142, Cl PT

                

1.250%, 12/15/2027

   $ 1,309     $ 1,220  

FHLMC REMIC, Ser 2012-4146, Cl AB

                

1.125%, 12/15/2027

     1,424       1,325  

FHLMC REMIC, Ser 2013-4170, Cl QI, IO

                

3.000%, 05/15/2032

     361       12  

FHLMC REMIC, Ser 2013-4176, Cl KI, IO

                

4.000%, 03/15/2028

     354       15  

FHLMC REMIC, Ser 2013-4178, Cl MI, IO

                

2.500%, 03/15/2028

     230       10  

FHLMC REMIC, Ser 2013-4178, Cl BI, IO

                

3.000%, 03/15/2033

     393       37  

FHLMC REMIC, Ser 2013-4182, Cl IE, IO

                

2.500%, 03/15/2028

     218       10  

FHLMC REMIC, Ser 2013-4195, Cl AI, IO

                

3.000%, 04/15/2028

     610       34  

FHLMC REMIC, Ser 2013-4199, Cl QI, IO

                

2.500%, 05/15/2028

     344       16  

FHLMC REMIC, Ser 2013-4220, Cl IE, IO

                

4.000%, 06/15/2028

     195       9  

FHLMC REMIC, Ser 2013-4223, Cl AL

                

3.000%, 08/15/2042

     1,021       955  

FHLMC REMIC, Ser 2013-4247, Cl LA

                

3.000%, 03/15/2043

     2,094       1,859  

FHLMC REMIC, Ser 2014-4340, Cl MI, IO

                

4.500%, 02/15/2027

     1,067       52  

FHLMC REMIC, Ser 2014-4419, Cl CW

                

2.500%, 10/15/2037

     2,768       2,631  

FHLMC REMIC, Ser 2015-4471, Cl GA

                

3.000%, 02/15/2044

     1,182       1,091  

FHLMC REMIC, Ser 2015-4484, Cl Cl, IO

                

4.000%, 07/15/2030

     487       44  

FHLMC REMIC, Ser 2016-4620, Cl IO, IO

                

5.000%, 09/15/2033

     573       94  

FHLMC REMIC, Ser 2017-4650, Cl LP

                

3.000%, 09/15/2045

     526       485  

FHLMC REMIC, Ser 2017-4709, Cl AB

                

3.000%, 08/15/2047

     682       621  

FHLMC REMIC, Ser 2018-4820, Cl JI, IO

                

5.000%, 02/15/2048

     701       152  

FHLMC REMIC, Ser 2020-4978, Cl MI, IO

                

4.000%, 05/25/2040

     2,231       348  

FHLMC REMIC, Ser 2020-5018, Cl LW

                

1.000%, 10/25/2040

     1,461       1,147  

FHLMC REMIC, Ser 2020-5048, Cl A

                

1.000%, 06/15/2044

     4,337       3,923  

FHLMC REMIC, Ser 2021-5170, Cl DP

                

2.000%, 07/25/2050

     2,630       2,201  

FHLMC Structured Pass-Through Certificates, Ser 2002-42, Cl A5

                

7.500%, 02/25/2042

     197       200  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

MORTGAGE-BACKED SECURITIES (continued)

FHLMC, Ser 2013-303, Cl C2, IO

                

3.500%, 01/15/2028

   $ 812     $ 43  

FHLMC, Ser 2013-303, Cl C16, IO

                

3.500%, 01/15/2043

     1,889       306  

FHLMC, Ser 2022-386, Cl C14, IO

                

2.500%, 03/15/2052

     4,424       658  

FNMA

                

7.000%, 06/01/2037

     2       2  

6.500%, 05/01/2026 to 01/01/2036

    54       56  

6.000%, 02/01/2023 to 09/01/2024

    26       26  

5.500%, 01/01/2024 to 06/01/2038

    123       127  

4.500%, 04/01/2026 to 08/01/2044

    3,813       3,707  

4.045%, US Treas Yield Curve Rate T Note Const Mat 1 Yr + 2.045%, 05/01/2028(B)

     1       1  

4.000%, 05/01/2026 to 04/01/2042

    3,877       3,744  

3.850%, 01/01/2024

     519       511  

3.534%, US Treas Yield Curve Rate T Note Const Mat 1 Yr + 2.248%, 08/01/2029(B)

     51       51  

3.493%, ICE LIBOR USD 1 Month + 0.350%, 01/01/2023(B)

     626       624  

3.016%, ICE LIBOR USD 6 Month + 1.837%, 09/01/2024(B)

     35       35  

2.960%, 01/01/2027

     1,165       1,087  

2.543%, ICE LIBOR USD 6 Month + 1.599%, 08/01/2027(B)

     13       13  

2.050%, 11/01/2023

     1,167       1,130  

2.022%, US Treas Yield Curve Rate T Note Const Mat 1 Yr + 1.520%, 12/01/2029(B)

     9       9  

FNMA Interest, Ser 2009-397, Cl 6

                

2.000%, 09/25/2039

     845       743  

FNMA Interest, Ser 2012-410, Cl C6, IO

                

4.000%, 05/25/2027

     382       15  

FNMA Interest, Ser 2013-418, Cl C16, IO

                

4.500%, 08/25/2043

     2,124       414  

FNMA REMIC, Ser 1993-32, Cl H

                

6.000%, 03/25/2023

     –       –  

FNMA REMIC, Ser 1993-5, Cl Z

                

6.500%, 02/25/2023

     –       –  

FNMA REMIC, Ser 1994-77, Cl FB

                

5.086%, ICE LIBOR USD 1 Month + 1.500%, 04/25/2024(B)

     –       –  

FNMA REMIC, Ser 2002-53, Cl FK

                

3.986%, ICE LIBOR USD 1 Month + 0.400%, 04/25/2032(B)

     42       41  

FNMA REMIC, Ser 2006-76, Cl QF

                

3.986%, ICE LIBOR USD 1 Month + 0.400%, 08/25/2036(B)

     213       210  

 

 

 

20

 

SEI Daily Income Trust / Quarterly Report / October 31, 2022

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

October 31, 2022

Short-Duration Government Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

MORTGAGE-BACKED SECURITIES (continued)

FNMA REMIC, Ser 2006-79, Cl DF

                

3.936%, ICE LIBOR USD 1 Month + 0.350%, 08/25/2036(B)

   $ 165     $ 162  

FNMA REMIC, Ser 2007-47, Cl DA

                

5.600%, 05/25/2037

     208       209  

FNMA REMIC, Ser 2007-64, Cl FB

                

3.956%, ICE LIBOR USD 1 Month + 0.370%, 07/25/2037(B)

     1,202       1,181  

FNMA REMIC, Ser 2008-16, Cl FA

                

4.286%, ICE LIBOR USD 1 Month + 0.700%, 03/25/2038(B)

     563       560  

FNMA REMIC, Ser 2009-110, Cl FD

                

4.336%, ICE LIBOR USD 1 Month + 0.750%, 01/25/2040(B)

     2,598       2,593  

FNMA REMIC, Ser 2009-112, Cl FM

                

4.336%, ICE LIBOR USD 1 Month + 0.750%, 01/25/2040(B)

     1,680       1,677  

FNMA REMIC, Ser 2009-82, Cl FD

                

4.436%, ICE LIBOR USD 1 Month + 0.850%, 10/25/2039(B)

     2,202       2,203  

FNMA REMIC, Ser 2009-82, Cl FC

                

4.506%, ICE LIBOR USD 1 Month + 0.920%, 10/25/2039(B)

     1,975       1,982  

FNMA REMIC, Ser 2010-4, Cl PL

                

4.500%, 02/25/2040

     596       576  

FNMA REMIC, Ser 2010-56, Cl AF

                

3.634%, ICE LIBOR USD 1 Month + 0.550%, 06/25/2040(B)

     1,651       1,627  

FNMA REMIC, Ser 2012-103, Cl HB

                

1.500%, 09/25/2027

     1,583       1,481  

FNMA REMIC, Ser 2012-111, Cl NI, IO

                

3.500%, 10/25/2027

     521       32  

FNMA REMIC, Ser 2012-140, Cl PA

                

2.000%, 12/25/2042

     2,794       2,359  

FNMA REMIC, Ser 2012-27, Cl PI, IO

                

4.500%, 02/25/2042

     1,757       169  

FNMA REMIC, Ser 2012-43, Cl AI, IO

                

3.500%, 04/25/2027

     2,268       120  

FNMA REMIC, Ser 2012-47, Cl QI, IO

                

5.529%, 05/25/2042(B)

     57       6  

FNMA REMIC, Ser 2012-53, Cl BI, IO

                

3.500%, 05/25/2027

     305       16  

FNMA REMIC, Ser 2012-70, Cl IW, IO

                

3.000%, 02/25/2027

     495       15  

FNMA REMIC, Ser 2012-93, Cl IL, IO

                

3.000%, 09/25/2027

     281       14  

FNMA REMIC, Ser 2012-97, Cl JI, IO

                

3.000%, 07/25/2027

     701       29  

FNMA REMIC, Ser 2012-98, Cl BI, IO

                

6.000%, 01/25/2042

     1,140       146  

FNMA REMIC, Ser 2013-10, Cl YA

                

1.250%, 02/25/2028

     2,095       1,946  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

MORTGAGE-BACKED SECURITIES (continued)

FNMA REMIC, Ser 2013-12, Cl P

                

1.750%, 11/25/2041

   $ 439     $ 415  

FNMA REMIC, Ser 2013-121, Cl FA

                

3.986%, ICE LIBOR USD 1 Month + 0.400%, 12/25/2043(B)

     12,234       12,023  

FNMA REMIC, Ser 2013-130, Cl FQ

                

3.786%, ICE LIBOR USD 1 Month + 0.200%, 06/25/2041(B)

     2,189       2,151  

FNMA REMIC, Ser 2013-4, Cl CB

                

1.250%, 02/25/2028

     2,260       2,094  

FNMA REMIC, Ser 2013-4, Cl JB

                

1.250%, 02/25/2028

     1,304       1,209  

FNMA REMIC, Ser 2013-41, Cl A

                

1.750%, 05/25/2040

     37       37  

FNMA REMIC, Ser 2013-9, Cl PT

                

1.250%, 02/25/2028

     1,134       1,051  

FNMA REMIC, Ser 2013-98, Cl ZA

                

4.500%, 09/25/2043

     6,836       6,513  

FNMA REMIC, Ser 2014-50, Cl SC, IO

                

0.000%, 08/25/2044(B)(C)

     1,130       51  

FNMA REMIC, Ser 2015-21, Cl WI, IO

                

0.142%, 04/25/2055(B)

     986       32  

FNMA REMIC, Ser 2015-41, Cl AG

                

3.000%, 09/25/2034

     735       701  

FNMA REMIC, Ser 2015-42, Cl AI, IO

                

0.330%, 06/25/2055(B)

     1,123       46  

FNMA REMIC, Ser 2015-5, Cl CP

                

3.000%, 06/25/2043

     1,062       993  

FNMA REMIC, Ser 2015-68, Cl HI, IO

                

3.500%, 09/25/2035

     447       47  

FNMA REMIC, Ser 2015-68, Cl JI, IO

                

3.500%, 08/25/2030

     185       13  

FNMA REMIC, Ser 2015-75, Cl DB

                

3.000%, 08/25/2035

     1,729       1,612  

FNMA REMIC, Ser 2016-25, Cl A

                

3.000%, 11/25/2042

     220       216  

FNMA REMIC, Ser 2016-3, Cl IN, IO

                

6.000%, 02/25/2046

     2,689       521  

FNMA REMIC, Ser 2016-3, Cl JI, IO

                

3.500%, 02/25/2031

     269       12  

FNMA REMIC, Ser 2016-42, Cl DA

                

3.000%, 07/25/2045

     469       431  

FNMA REMIC, Ser 2016-71, Cl IN, IO

                

3.500%, 10/25/2046

     471       84  

FNMA REMIC, Ser 2017-15, Cl BC

                

3.250%, 11/25/2043

     1,996       1,876  

FNMA REMIC, Ser 2017-47, Cl AB

                

2.500%, 10/25/2041

     1,915       1,870  

FNMA REMIC, Ser 2017-68, Cl IB, IO

                

4.500%, 09/25/2047

     2,065       390  

FNMA REMIC, Ser 2018-12, Cl PK

                

3.000%, 03/25/2046

     11,330       10,698  

 

 

 

SEI Daily Income Trust / Quarterly Report / October 31, 2022

 

21

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

October 31, 2022

Short-Duration Government Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

MORTGAGE-BACKED SECURITIES (continued)

FNMA REMIC, Ser 2018-13, Cl MP

                

3.500%, 12/25/2057

   $ 2,578     $ 2,391  

FNMA REMIC, Ser 2020-26, Cl IA, IO

                

3.500%, 11/25/2039

     3,730       370  

FNMA REMIC, Ser 2020-26, Cl AI, IO

                

3.000%, 04/25/2033

     2,755       197  

FNMA REMIC, Ser 2020-35, Cl AI, IO

                

3.000%, 06/25/2050

     4,320       659  

FNMA REMIC, Ser 2020-4, Cl AP

                

2.500%, 02/25/2050

     1,714       1,475  

FNMA REMIC, Ser 2020-74, Cl HI, IO

                

5.500%, 10/25/2050

     3,326       712  

FNMA REMIC, Ser 2020-85, Cl PI, IO

                

3.000%, 12/25/2050

     4,340       681  

FNMA REMIC, Ser 2021-3, Cl NI, IO

                

2.500%, 02/25/2051

     4,962       693  

FNMA REMIC, Ser 2022-22, Cl QH

                

4.500%, 05/25/2052

     6,607       6,366  

FNMA TBA

                

4.500% - 5.500%, 11/01/2037 - 12/15/2052

     36,457       35,148  

2.000% - 3.500%, 09/01/2027 - 11/15/2052

     21,885       24,688  

FNMA, Ser 2014-M8, Cl A2

                

3.056%, 06/25/2024(B)

     29,826       28,880  

FNMA, Ser 2017-M13, Cl FA

                

3.414%, ICE LIBOR USD 1 Month + 0.400%, 10/25/2024(B)

     270       268  

FNMA, Ser 2018- M12, Cl FA

                

3.414%, ICE LIBOR USD 1 Month + 0.400%, 08/25/2025(B)

     220       218  

FNMA, Ser 2019-M21, Cl X1, IO

                

1.390%, 05/25/2029(B)

     12,750       715  

GNMA

                

6.500%, 12/15/2037 to 02/20/2039

    97       101  

6.000%, 02/15/2029 to 06/15/2041

    468       489  

5.500%, 10/15/2034 to 02/15/2041

    995       1,046  

5.000%, 09/15/2039 to 04/15/2041

    546       548  

4.000%, 07/15/2041 to 08/15/2041

    57       53  

3.500%, 06/20/2046

     1,914       1,745  

GNMA, Ser 2003-86, Cl ZD

                

5.500%, 10/20/2033

     2,148       2,170  

GNMA, Ser 2010-26, Cl JI, IO

                

5.000%, 02/16/2040

     1,382       309  

GNMA, Ser 2010-57, Cl TI, IO

                

5.000%, 05/20/2040

     654       143  

GNMA, Ser 2010-68, Cl WA

                

3.000%, 12/16/2039

     1,086       1,041  

GNMA, Ser 2011-131, Cl PC

                

3.500%, 12/20/2040

     21       21  

GNMA, Ser 2012-126, Cl IO, IO

                

3.500%, 10/20/2042

     1,957       299  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

MORTGAGE-BACKED SECURITIES (continued)

GNMA, Ser 2012-36, Cl AB

                

3.000%, 10/20/2040

   $ 331     $ 321  

GNMA, Ser 2012-51, Cl GI, IO

                

3.500%, 07/20/2040

     238       11  

GNMA, Ser 2012-84, Cl TE

                

1.500%, 03/20/2042

     1,573       1,417  

GNMA, Ser 2013-129, Cl AF

                

3.889%, ICE LIBOR USD 1 Month + 0.400%, 10/20/2039(B)

     3,312       3,279  

GNMA, Ser 2013-166, Cl DA

                

3.500%, 06/20/2040

     357       345  

GNMA, Ser 2013-26, Cl IK, IO

                

3.000%, 02/16/2043

     373       48  

GNMA, Ser 2013-47, Cl IA, IO

                

4.000%, 03/20/2043

     366       70  

GNMA, Ser 2013-51, Cl IB, IO

                

3.500%, 03/20/2027

     336       17  

GNMA, Ser 2014-4, Cl BI, IO

                

4.000%, 01/20/2044

     156       29  

GNMA, Ser 2014-55, Cl LB

                

2.500%, 10/20/2040

     197       186  

GNMA, Ser 2014-56, Cl BP

                

2.500%, 12/16/2039

     1,010       912  

GNMA, Ser 2015-119, Cl ND

                

2.500%, 12/20/2044

     1,887       1,730  

GNMA, Ser 2015-126, Cl HI, IO

                

4.000%, 12/16/2026

     78       3  

GNMA, Ser 2015-126, Cl GI, IO

                

3.500%, 02/16/2027

     133       6  

GNMA, Ser 2015-132, Cl EI, IO

                

6.000%, 09/20/2045

     1,061       231  

GNMA, Ser 2015-165, Cl I, IO

                

3.500%, 07/20/2043

     824       109  

GNMA, Ser 2015-17, Cl BI, IO

                

3.500%, 05/20/2043

     128       20  

GNMA, Ser 2015-185, Cl GI, IO

                

3.500%, 02/20/2041

     318       8  

GNMA, Ser 2015-40, Cl PA

                

2.000%, 04/20/2044

     1,107       1,045  

GNMA, Ser 2015-53, Cl IA, IO

                

4.500%, 04/20/2045

     616       117  

GNMA, Ser 2016-126, Cl KI, IO

                

3.000%, 09/20/2028

     323       16  

GNMA, Ser 2016-167, Cl AI, IO

                

5.500%, 03/20/2039

     1,039       189  

GNMA, Ser 2016-23, Cl CI, IO

                

3.500%, 04/20/2042

     830       49  

GNMA, Ser 2016-42, Cl EI, IO

                

6.000%, 02/20/2046

     978       198  

GNMA, Ser 2016-49, Cl PI, IO

                

4.500%, 11/16/2045

     1,360       246  

 

 

 

22

 

SEI Daily Income Trust / Quarterly Report / October 31, 2022

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

October 31, 2022

Short-Duration Government Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

MORTGAGE-BACKED SECURITIES (continued)

GNMA, Ser 2016-99, Cl LI, IO

                

4.000%, 05/20/2029

   $ 1,248     $ 52  

GNMA, Ser 2017-107, Cl JI, IO

                

4.000%, 03/20/2047

     1,094       171  

GNMA, Ser 2017-134, Cl BI, IO

                

5.000%, 09/16/2047

     236       48  

GNMA, Ser 2017-2, Cl AI, IO

                

5.000%, 01/16/2047

     297       64  

GNMA, Ser 2017-26, Cl IA, IO

                

5.500%, 02/16/2047

     1,048       185  

GNMA, Ser 2017-26, Cl IB, IO

                

5.500%, 02/20/2047

     658       120  

GNMA, Ser 2017-26, Cl KI, IO

                

6.000%, 09/20/2040

     1,248       244  

GNMA, Ser 2017-95, Cl PG

                

2.500%, 12/20/2045

     602       549  

GNMA, Ser 2018-127, Cl PB

                

3.000%, 09/20/2047

     1,747       1,620  

GNMA, Ser 2018-72, Cl ID, IO

                

4.500%, 08/20/2045

     2,802       553  

GNMA, Ser 2019-43, Cl IA, IO

                

4.500%, 05/20/2048

     1,670       238  

GNMA, Ser 2019-5, Cl JI, IO

                

5.000%, 07/16/2044

     2,777       479  

GNMA, Ser 2020-17, Cl EI, IO

                

5.000%, 02/20/2050

     2,192       449  

GNMA, Ser 2020-47, Cl AC

                

1.500%, 04/16/2050

     4,400       3,469  

GNMA, Ser 2022-76, Cl GA

                

4.000%, 03/20/2052

     6,509       6,208  
                 
                 
              296,011  

Non-Agency Mortgage-Backed Obligations — 3.4%

        

Seasoned Credit Risk Transfer Trust, Ser 2018-1, Cl MA

                

3.000%, 05/25/2057

     4,193       3,898  

Seasoned Credit Risk Transfer Trust, Ser 2018-3, Cl MA

                

3.500%, 08/25/2057(B)

     2,378       2,256  

Seasoned Credit Risk Transfer Trust, Ser 2019-4, Cl MA

                

3.000%, 02/25/2059

     5,540       5,135  

Seasoned Credit Risk Transfer Trust, Ser 2020-2, Cl MA

                

2.000%, 11/25/2059

     743       666  

Seasoned Credit Risk Transfer Trust, Ser 2021-2, Cl TT

                

2.000%, 11/25/2060

     10,112       9,055  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

MORTGAGE-BACKED SECURITIES (continued)

Seasoned Credit Risk Transfer Trust, Ser 2021-3, Cl TT

                

2.000%, 03/25/2061

   $ 1,680     $ 1,498  
                 
                 
              22,508  

Total Mortgage-Backed Securities

                

(Cost $337,865) ($ Thousands)

             318,519  
                 
                 
                 

REPURCHASE AGREEMENTS — 2.2%

BNP Paribas

                

3.030%, dated 10/31/2022 to be repurchased on 11/01/2022, repurchase price $2,900,244 (collateralized by U.S. Government obligations, ranging in par value $1,000 - $1,527,106, 1.500% - 5.500%, 07/20/2032 – 09/01/2052; with total market value $2,958,00) (D)

     2,900       2,900  

Deutsche Bank

                

3.000%, dated 10/31/2022 to be repurchased on 11/01/2022, repurchase price $11,800,983 (collateralized by a U.S. Government obligation, par value $17,447,084, 2.500%, 02/01/2051; with total market value $12,036,000) (D)

     11,800       11,800  
                 

Total Repurchase Agreements

                

(Cost $14,700) ($ Thousands)

             14,700  
                 
                 

Total Investments in Securities — 105.4%

                

(Cost $727,722) ($ Thousands)

  $ 693,401  
                 
                 

 

 

 

SEI Daily Income Trust / Quarterly Report / October 31, 2022

 

23

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

October 31, 2022

Short-Duration Government Fund (Concluded)

 

 

A list of the open futures contracts held by the Fund at October 31, 2022, 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

     659       Dec-2022     $ 137,275     $ 134,688     $ (2,587 )
                                         
                                         

Short Contracts

                                        

U.S. 5-Year Treasury Note

     (87 )     Dec-2022     $ (9,374 )   $ (9,274 )   $ 100  

U.S. 10-Year Treasury Note

     (328 )     Dec-2022       (36,299 )     (36,275 )     24  

Ultra 10-Year U.S. Treasury Note

     (94 )     Dec-2022       (11,844 )     (10,902 )     942  
                      (57,517 )     (56,451 )     1,066  
                    $ 79,758     $ 78,237     $ (1,521 )

 

 

Percentages are based on Net Assets of $657,753 ($ Thousands).

(A)

Security, or a portion thereof, has been pledged as collateral on open futures contracts.

(B)

Variable or floating rate security. The rate shown is the effective interest rate as of period end. The rates on certain securities are not based on published reference rates and spreads and are either determined by the issuer or agent based on current market conditions; by using a formula based on the rates of underlying loans; or by adjusting periodically based on prevailing interest rates.

(C)

No interest rate available.

(D)

Tri-Party Repurchase Agreement.

 

The following is a summary of the level of inputs used as of October 31, 2022, in valuing the Fund's investments and other financial instruments carried at value ($ Thousands):

Investments in Securities

  

Level 1
($)

    

Level 2
($)

    

Level 3
($)

    

Total
($)

  

U.S. Treasury Obligations

     –       360,182       –       360,182  

Mortgage-Backed Securities

     –       318,519       –       318,519  

Repurchase Agreements

     –       14,700       –       14,700  

Total Investments in Securities

     –       693,401       –       693,401  

 

Other Financial Instruments

  

Level 1
($)

    

Level 2
($)

    

Level 3
($)

    

Total
($)

  

Futures Contracts*

                                

Unrealized Appreciation

     1,066       –       –       1,066  

Unrealized Depreciation

     (2,587 )     –       –       (2,587 )

Total Other Financial Instruments

     (1,521 )     –       –       (1,521 )

 

*

Futures contracts are valued at the net unrealized appreciation/(depreciation) on the instruments.

 

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

 

See “Glossary” for abbreviations.

 

For information regarding the Fund’s policy regarding valuation of investments and other accounting policies, please refer to the Fund’s most recent semi-annual and annual financial statements.

 

 

24

 

SEI Daily Income Trust / Quarterly Report / October 31, 2022

 

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

October 31, 2022

GNMA Fund

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

MORTGAGE-BACKED SECURITIES — 98.5%

Agency Mortgage-Backed Obligations — 98.1%

        

FHLMC Multifamily Structured Pass-Through Certificates, Cl X1, IO

                

1.697%, 04/25/2030(A)

   $ 1,146     $ 107  

1.425%, 07/25/2030(A)

     1,320       107  

0.959%, 09/25/2030(A)

     1,517       86  

0.774%, 12/25/2030(A)

     2,320       108  

0.748%, 06/25/2027(A)

     1,630       45  

0.638%, 10/25/2026(A)

     2,142       41  

0.584%, 01/25/2031(A)

     2,991       108  

0.517%, 03/25/2031(A)

     1,341       44  

0.472%, 02/25/2036(A)

     603       25  

FHLMC REMIC, Ser 2011-3930, Cl AI, IO

                

3.500%, 09/15/2026

     104       5  

FHLMC REMIC, Ser 2012-4018, Cl AI, IO

                

3.500%, 03/15/2027

     129       5  

FHLMC REMIC, Ser 2012-4060, Cl TI, IO

                

2.500%, 12/15/2026

     167       3  

FHLMC REMIC, Ser 2013-4166, Cl PI, IO

                

3.500%, 03/15/2041

     140       7  

FHLMC REMIC, Ser 2013-4176, Cl KI, IO

                

4.000%, 03/15/2028

     234       10  

FHLMC REMIC, Ser 2013-4178, Cl MI, IO

                

2.500%, 03/15/2028

     159       7  

FHLMC REMIC, Ser 2013-4182, Cl IE, IO

                

2.500%, 03/15/2028

     151       7  

FHLMC REMIC, Ser 2013-4199, Cl QI, IO

                

2.500%, 05/15/2028

     224       11  

FHLMC REMIC, Ser 2013-4247, Cl LA

                

3.000%, 03/15/2043

     274       244  

FHLMC REMIC, Ser 2015-4484, Cl Cl, IO

                

4.000%, 07/15/2030

     306       27  

FHLMC REMIC, Ser 2016-4624, Cl BI, IO

                

5.500%, 04/15/2036

     117       23  

FHLMC REMIC, Ser 2016-4636, Cl BI, IO

                

5.500%, 05/15/2040

     200       42  

FHLMC REMIC, Ser 2017-4731, Cl LB

                

3.000%, 11/15/2047

     167       126  

FHLMC REMIC, Ser 2020-4978, Cl MI, IO

                

4.000%, 05/25/2040

     208       32  

FHLMC, Ser 2014-324, Cl C18, IO

                

4.000%, 12/15/2033

     266       32  

FNMA

                

8.000%, 03/01/2027 to 09/01/2028

    10       10  

7.000%, 08/01/2032 to 09/01/2032

    11       11  

6.500%, 09/01/2032

     19       19  

FNMA Interest, Ser 2007-379, Cl 1, PO

                

0.000%, 05/25/2037(B)

     471       377  

FNMA Interest, Ser 2012-410, Cl C6, IO

                

4.000%, 05/25/2027

     45       2  

FNMA Interest, Ser 2012-410, Cl C8, IO

                

4.000%, 04/25/2032

     319       35  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

MORTGAGE-BACKED SECURITIES (continued)

FNMA REMIC, Ser 2010-126, Cl NI, IO

                

5.500%, 11/25/2040

   $ 164     $ 26  

FNMA REMIC, Ser 2012-53, Cl BI, IO

                

3.500%, 05/25/2027

     37       2  

FNMA REMIC, Ser 2012-93, Cl IL, IO

                

3.000%, 09/25/2027

     194       10  

FNMA REMIC, Ser 2012-98, Cl BI, IO

                

6.000%, 01/25/2042

     112       14  

FNMA REMIC, Ser 2014-68, Cl ID, IO

                

3.500%, 03/25/2034

     350       22  

FNMA REMIC, Ser 2015-21, Cl WI, IO

                

0.142%, 04/25/2055(A)

     123       4  

FNMA REMIC, Ser 2016-3, Cl JI, IO

                

3.500%, 02/25/2031

     35       2  

FNMA REMIC, Ser 2016-71, Cl IN, IO

                

3.500%, 10/25/2046

     59       11  

FNMA REMIC, Ser 2017-110, Cl PB

                

3.000%, 02/25/2057

     79       59  

FNMA REMIC, Ser 2017-68, Cl IB, IO

                

4.500%, 09/25/2047

     164       31  

FNMA REMIC, Ser 2018-13, Cl MP

                

3.500%, 12/25/2057

     262       243  

FNMA REMIC, Ser 2018-25, Cl AL

                

3.500%, 04/25/2048

     49       42  

FNMA REMIC, Ser 2019-31, Cl CB

                

3.000%, 07/25/2049

     300       249  

FNMA REMIC, Ser 2019-9, Cl CL

                

3.500%, 04/25/2048

     652       596  

FNMA REMIC, Ser 2020-74, Cl HI, IO

                

5.500%, 10/25/2050

     289       62  

FNMA, Ser 2019-M21, Cl X1, IO

                

1.390%, 05/25/2029(A)

     1,178       66  

FNMA, Ser 2020-M2, Cl X, IO

                

0.315%, 01/25/2030(A)

     842       10  

GNMA

                

8.000%, 07/15/2026 to 03/15/2032

    50       49  

7.750%, 10/15/2026

     8       8  

7.500%, 02/15/2027 to 10/15/2035

    40       41  

7.250%, 01/15/2028

     3       3  

6.500%, 10/15/2023 to 10/15/2038

    163       170  

6.000%, 12/15/2027 to 11/15/2034

    117       120  

5.000%, 07/20/2035 to 01/20/2045

    70       70  

4.500%, 08/15/2033 to 08/20/2049

    1,859       1,816  

4.000%, 03/20/2040 to 09/20/2048

    3,465       3,264  

4.000%, 01/15/2041(C)

     298       283  

3.875%, 05/15/2042 to 08/15/2042

    712       669  

3.500%, 03/20/2041 to 02/20/2049

    7,752       7,056  

3.000%, 10/15/2042 to 10/20/2051

    7,962       7,022  

2.500%, 12/15/2046

     39       33  

2.000%, 11/20/2045 to 03/20/2051

    6,627       5,477  

 

 

 

SEI Daily Income Trust / Quarterly Report / October 31, 2022

 

25

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

October 31, 2022

GNMA Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

MORTGAGE-BACKED SECURITIES (continued)

GNMA TBA

                

3.500% - 5.500%, 01/15/2033 - 11/15/2052

   $ 631     $ 652  

2.000% - 3.000%, 07/20/2045 - 11/15/2052

     13,872       11,784  

GNMA, Ser 2010-26, Cl JI, IO

                

5.000%, 02/16/2040

     272       61  

GNMA, Ser 2010-57, Cl TI, IO

                

5.000%, 05/20/2040

     294       64  

GNMA, Ser 2011-131, Cl PZ

                

3.500%, 12/20/2040

     306       300  

GNMA, Ser 2012-113, Cl BZ

                

3.000%, 09/16/2042

     210       165  

GNMA, Ser 2012-126, Cl IO, IO

                

3.500%, 10/20/2042

     239       37  

GNMA, Ser 2012-140, Cl LD

                

1.750%, 10/20/2042

     370       323  

GNMA, Ser 2012-51, Cl GI, IO

                

3.500%, 07/20/2040

     158       8  

GNMA, Ser 2012-69, Cl AI, IO

                

4.500%, 05/16/2027

     46       1  

GNMA, Ser 2012-91, Cl NC

                

3.000%, 05/20/2042

     271       238  

GNMA, Ser 2013-149, Cl LZ

                

2.500%, 10/20/2043

     49       40  

GNMA, Ser 2013-169, Cl ZK

                

2.500%, 11/20/2043

     55       44  

GNMA, Ser 2013-187, Cl PE

                

2.000%, 09/20/2043

     349       305  

GNMA, Ser 2013-26, Cl IK, IO

                

3.000%, 02/16/2043

     244       32  

GNMA, Ser 2013-47, Cl IA, IO

                

4.000%, 03/20/2043

     242       47  

GNMA, Ser 2013-79, Cl BZ

                

3.000%, 05/20/2043

     365       304  

GNMA, Ser 2013-99, Cl AX

                

3.000%, 07/20/2043(D)

     64       57  

GNMA, Ser 2014-119, Cl ZK

                

3.500%, 08/16/2044

     349       309  

GNMA, Ser 2014-122, Cl IP, IO

                

3.500%, 08/16/2029

     283       18  

GNMA, Ser 2014-133, Cl EP

                

3.500%, 09/20/2044

     251       225  

GNMA, Ser 2014-144, Cl BI, IO

                

3.000%, 09/16/2029

     87       5  

GNMA, Ser 2014-21, Cl DI, IO

                

4.000%, 04/16/2026

     254       9  

GNMA, Ser 2014-72, Cl ML

                

3.500%, 03/20/2044

     332       312  

GNMA, Ser 2015-165, Cl I, IO

                

3.500%, 07/20/2043

     393       52  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

MORTGAGE-BACKED SECURITIES (continued)

GNMA, Ser 2015-168, Cl MI, IO

                

5.500%, 10/20/2037

   $ 336     $ 63  

GNMA, Ser 2015-17, Cl BI, IO

                

3.500%, 05/20/2043

     335       53  

GNMA, Ser 2015-18, Cl IC, IO

                

3.500%, 02/16/2030

     227       14  

GNMA, Ser 2015-185, Cl GI, IO

                

3.500%, 02/20/2041

     210       5  

GNMA, Ser 2015-24, Cl CI, IO

                

3.500%, 02/20/2045

     147       22  

GNMA, Ser 2015-53, Cl IA, IO

                

4.500%, 04/20/2045

     317       60  

GNMA, Ser 2015-62, Cl CI, IO

                

4.500%, 05/20/2045

     159       30  

GNMA, Ser 2015-84, Cl IO, IO

                

3.500%, 05/16/2042

     241       40  

GNMA, Ser 2016-126, Cl KI, IO

                

3.000%, 09/20/2028

     216       11  

GNMA, Ser 2016-136, Cl A

                

3.000%, 07/20/2044

     550       492  

GNMA, Ser 2016-136, Cl PJ

                

3.500%, 01/20/2046

     364       310  

GNMA, Ser 2016-161, Cl GI, IO

                

5.000%, 11/16/2046

     134       22  

GNMA, Ser 2016-167, Cl AI, IO

                

5.500%, 03/20/2039

     269       49  

GNMA, Ser 2016-18, Cl TA

                

2.000%, 10/20/2044

     247       212  

GNMA, Ser 2016-23, Cl CI, IO

                

3.500%, 04/20/2042

     543       32  

GNMA, Ser 2016-42, Cl EI, IO

                

6.000%, 02/20/2046

     261       53  

GNMA, Ser 2016-49, Cl PZ

                

3.000%, 11/16/2045

     236       166  

GNMA, Ser 2016-99, Cl LI, IO

                

4.000%, 05/20/2029

     512       21  

GNMA, Ser 2017-107, Cl JI, IO

                

4.000%, 03/20/2047

     371       58  

GNMA, Ser 2017-130, Cl IO, IO

                

4.500%, 02/20/2040

     163       29  

GNMA, Ser 2017-134, Cl CG

                

2.500%, 09/20/2047

     80       66  

GNMA, Ser 2017-134, Cl BI, IO

                

5.000%, 09/16/2047

     106       21  

GNMA, Ser 2017-163, Cl YA

                

2.500%, 11/20/2047

     225       177  

GNMA, Ser 2017-163, Cl BC

                

2.500%, 11/20/2047

     231       184  

GNMA, Ser 2017-182, Cl LZ

                

3.000%, 12/20/2047

     144       103  

GNMA, Ser 2017-19, Cl AY

                

3.000%, 02/20/2047

     436       366  

 

 

 

26

 

SEI Daily Income Trust / Quarterly Report / October 31, 2022

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

October 31, 2022

GNMA Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

MORTGAGE-BACKED SECURITIES (continued)

GNMA, Ser 2017-2, Cl AI, IO

                

5.000%, 01/16/2047

   $ 192     $ 42  

GNMA, Ser 2017-26, Cl IA, IO

                

5.500%, 02/16/2047

     305       54  

GNMA, Ser 2018-1, Cl HB

                

2.500%, 01/20/2048

     228       187  

GNMA, Ser 2018-77, Cl JY

                

3.500%, 06/20/2048

     246       220  

GNMA, Ser 2019-43, Cl IA, IO

                

4.500%, 05/20/2048

     143       20  

GNMA, Ser 2020-115, Cl YA

                

1.000%, 08/20/2050

     60       45  

GNMA, Ser 2020-138, Cl LE

                

1.500%, 09/20/2050

     177       142  

GNMA, Ser 2020-146, Cl YK

                

1.000%, 10/20/2050

     218       163  

GNMA, Ser 2020-17, Cl EI, IO

                

5.000%, 02/20/2050

     179       37  

GNMA, Ser 2020-74, Cl IC, IO

                

3.000%, 05/20/2035

     596       36  
                 
                 
              48,233  

Non-Agency Mortgage-Backed Obligation — 0.4%

        

Seasoned Credit Risk Transfer Trust, Ser 2019-3, Cl MT

                

3.500%, 10/25/2058

     200       179  
                 

Total Mortgage-Backed Securities

                

(Cost $55,152) ($ Thousands)

             48,412  
                 
                 
                 

REPURCHASE AGREEMENT — 0.6%

BNP Paribas

                

3.030%, dated 10/31/2022 to be repurchased on 11/01/2022, repurchase price $300,025 (collateralized by U.S. Government obligations, ranging in par value $1,000 - $698,747, 2.000% - 5.000%, 02/01/2031 – 08/01/2052; with total market value $306,000) (E)

     300       300  

Total Repurchase Agreement

                

(Cost $300) ($ Thousands)

             300  
                 
                 

Total Investments in Securities — 99.1%

                

(Cost $55,452) ($ Thousands)

  $ 48,712  
                 
                 

 

 

SEI Daily Income Trust / Quarterly Report / October 31, 2022

 

27

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

October 31, 2022

GNMA Fund (Concluded)

 

 

A list of the open futures contracts held by the Fund at October 31, 2022, 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

     4       Dec-2022     $ 835     $ 818     $ (17 )

U.S. 5-Year Treasury Note

     16       Dec-2022       1,779       1,705       (74 )

U.S. 10-Year Treasury Note

     10       Dec-2022       1,115       1,107       (8 )

U.S. Ultra Long Treasury Bond

     1       Dec-2022       148       127       (21 )
                      3,877       3,757       (120 )

Short Contracts

                                        

U.S. Long Treasury Bond

     (2 )     Dec-2022     $ (272 )   $ (241 )   $ 31  
                    $ 3,605     $ 3,516     $ (89 )

 

 

Percentages are based on Net Assets of $49,176 ($ Thousands).

(A)

Variable or floating rate security. The rate shown is the effective interest rate as of period end. The rates on certain securities are not based on published reference rates and spreads and are either determined by the issuer or agent based on current market conditions; by using a formula based on the rates of underlying loans; or by adjusting periodically based on prevailing interest rates.

(B)

Zero coupon security.

(C)

Security, or a portion thereof, has been pledged as collateral on open futures contracts.

(D)

Step coupon security. Coupon rate will either increase (step-up bond) or decrease (step-down bond) at regular intervals until maturity. Interest rate shown reflects the rate currently in effect.

(E)

Tri-Party Repurchase Agreement.

 

The following is a summary of the level of inputs used as of October 31, 2022, in valuing the Fund's investments and other financial instruments carried at value ($ Thousands):

Investments in Securities

  

Level 1
($)

    

Level 2
($)

    

Level 3
($)

    

Total
($)

  

Mortgage-Backed Securities

     –       48,412       –       48,412  

Repurchase Agreement

     –       300       –       300  

Total Investments in Securities

     –       48,712       –       48,712  

 

Other Financial Instruments

  

Level 1
($)

    

Level 2
($)

    

Level 3
($)

    

Total
($)

  

Futures Contracts*

                                

Unrealized Appreciation

     31       –       –       31  

Unrealized Depreciation

     (120 )     –       –       (120 )

Total Other Financial Instruments

     (89 )     –       –       (89 )

 

*

Futures contracts are valued at the net unrealized appreciation/(depreciation) on the instruments.

 

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

 

See “Glossary” for abbreviations.

 

For information regarding the Fund’s policy regarding valuation of investments and other accounting policies, please refer to the Fund’s most recent semi-annual and annual financial statements.

 

 

28

 

SEI Daily Income Trust / Quarterly Report / October 31, 2022

 

 

 

 

 

Glossary (abbreviations which may be used in the preceding Schedules of Investments):

 

 

 

Portfolio Abbreviations

ARM — Adjustable Rate Mortgage

Cl — Class

CLO — Collateralized Loan Obligation

DAC — Designated Activity Company

FHLMC — Federal Home Loan Mortgage Corporation

FNMA — Federal National Mortgage Association

GNMA — Government National Mortgage Association

GO — General Obligation

ICE — Intercontinental Exchange

IO — Interest Only — face amount represents notional amount

LIBOR— London Interbank Offered Rate

MTN — Medium Term Note

PO — Principal Only

RB — Revenue Bond

REMIC — Real Estate Mortgage Investment Conduit

Ser — Series

SOFR — Secured Overnight Financing Rate

SOFR30A — Secured Overnight Financing Rate 30-day Average

SOFRINDX — Secured Overnight Financing Rate Index

TBA — To Be Announced

 

Currency Abbreviations

USD — U.S. Dollar

 

 

 

SEI Daily Income Trust / Quarterly Report / October 31, 2022

 

29