<PAGE>
LETTER TO SHAREHOLDERS
--------------------------------------------------------------------------------
TO OUR SHAREHOLDERS:
Fiscal 1995 was a challenging year for the fixed income markets, with many ma-
jor market indices recording negative total returns for the first time in this
decade.
The year was dominated by two major factors. The first and most significant of
these was the Federal Reserve Board's ongoing campaign of interest rate hikes.
After more than two years of an essentially neutral monetary policy, the Fed-
eral Reserve Board raised rates six times during 1994, resulting in a total in-
crease of 250 basis points in the yield on long-term U.S. Treasury securities.
For fixed income investors, these rate hikes meant substantial decreases in the
market value of existing securities, particularly longer-term instruments. In
addition, the spread between two-year and 30-year issues became compressed. In
response to these trends, Wellington Management Company, the adviser of the SEI
Daily Income Trust's fixed income portfolios, continually decreased the overall
durations of each of the portfolios.
For money market investors, on the other hand, the Federal Reserve Board's ac-
tions resulted in a strong acceleration in yields, with the yield curve on cash
equivalents growing considerably steeper during 1994. As a result, money market
indices held the uncommon distinction of outperforming their counterparts for
both the fixed income and equity markets.
The other major factor of 1994 involved financial "derivatives". During the
first half of the year, the unwinding of large numbers of derivative positions,
many of which were based on U.S. Treasury securities, led to further declines
in government instruments. Then, during the fourth quarter, the derivative-re-
lated debacle in Orange County, California brought a second wave of negative
sentiment to the fixed income markets.
The growing awareness of the role of derivatives in the financial markets has
understandably raised questions among many investors, including our own, about
the use of derivative instruments by those who manage their mutual fund portfo-
lios. Therefore, we would like to assure our investors that while some of our
funds may employ relatively simple forms of derivatives, it is the intention of
our Trust to restrict the use of these instruments to conservative levels, and
to prohibit the aggressive use of derivatives as a means of increasing yields.
Looking ahead, we believe that despite continuing economic growth, any further
increases by the Federal Reserve will be relatively modest, and that interest
rates will be more stable. Therefore, we look forward to a return to more posi-
tive results in the fixed income markets during the coming fiscal year. As al-
ways, we thank you for your continued confidence in the SEI Daily Income Trust,
and look forward to serving your investment needs in the future.
Sincerely,
/s/ David G. Lee
David G. Lee
President and Chief Executive Officer
<PAGE>
TABLE OF CONTENTS
--------------------------------------------------------------------------------
<TABLE>
<S> <C>
MONEY MARKET REVIEW ........................................................ 1
BOND MARKET REVIEW ......................................................... 3
MANAGEMENT'S DISCUSSION AND ANALYSIS
OF FUND PERFORMANCE
SHORT-TERM GOVERNMENT .................................................... 4
INTERMEDIATE-TERM GOVERNMENT ............................................. 5
GNMA ..................................................................... 6
CORPORATE DAILY INCOME ................................................... 7
SHORT-TERM MORTGAGE ...................................................... 8
REPORT OF INDEPENDENT PUBLIC ACCOUNTANTS ................................... 10
STATEMENTS OF NET ASSETS ................................................... 11
SCHEDULE OF INVESTMENTS .................................................... 21
STATEMENT OF ASSETS AND LIABILITIES ........................................ 23
STATEMENTS OF OPERATIONS ................................................... 24
STATEMENTS OF CHANGES IN NET ASSETS ........................................ 26
FINANCIAL HIGHLIGHTS ....................................................... 30
NOTES TO FINANCIAL STATEMENTS .............................................. 33
</TABLE>
<PAGE>
MONEY MARKET REVIEW
--------------------------------------------------------------------------------
SEI Daily Income Trust -- January 31, 1995
DAILY INCOME TRUST MONEY MARKET PORTFOLIOS
MONEY MARKET PRIME OBLIGATION
GOVERNMENT TREASURY
GOVERNMENT II TREASURY II
Daily Income Trust Money Market Portfolios are managed by Wellington
Management Company
For investors, the markets in 1994 proved the most challenging in years. U.S.
equities, which have turned in attractive returns over the last ten years, were
essentially flat. In addition, 1994 marked the first year in two decades in
which domestic bonds produced negative returns. Overall, the U.S. bond market
returned -2.94% for the year, as measured by the Lehman Brothers Aggregate In-
dex. Money Markets were clearly the best performing of the three major asset
classes during the year, posting a 3.9% return, as measured by the 91 day U.S.
Treasury Bill.
The trends in the capital markets were driven by investors' fear of rising
inflation based on continued evidence of sustained economic growth and accompa-
nying tightening measures by the Federal Reserve. The U.S. consumer was helped
in 1994 by solid employment, income growth and healthy credit usage. Real
spending in the fourth quarter grew in excess of 5% at an annual rate and ex-
penditures for the year grew at 3.6%. The economy continues to thwart forecasts
of slower growth. Fourth quarter Gross Domestic Product (GDP) growth of 4.5%
exceeded the robust 4% annualized rate of growth in the prior quarter. For all
of 1994, real GDP increased by 4% from 1993 levels. In addition, operating
earnings for the companies in the S&P 500 Index grew 16.6% during 1994. While
the Consumer Price Index rose only 2.7% for the year, rising capacity utiliza-
tion rates and the continued strength of the U.S. economy pushed the Federal
Reserve to raise short-term interest rates during the year, thereby causing a
significant reshaping of the yield curve. On February 4, 1994, Federal Reserve
Chairman, Alan Greenspan announced the central bank's first tightening of mone-
tary policy in almost five years. The Federal Reserve went on to tighten five
more times over the following ten months, elevating overnight interest rates by
a cumulative total of two and one-half percentage points, from 3.0% to 5.5%. By
year-end, one-year Treasury issues, among the most sensitive to Federal Reserve
Policy, had risen in yield by some 360 basis points, while thirty-year rates
were up by only 153 basis points.
Investors' normal reaction to mounting inflationary pressures and a tighter
Federal Reserve stance has always been to sell those securities which pay fixed
coupons. In 1994, however, this pattern was exacerbated by the massive amount
of leverage that had crept into the financial system during the global bond
rally of the previous three years. Investors had been emboldened by years of
declining yields and a low financing rate, and had made progressively bigger
versions of the declining interest rate bet, in many cases through the use of
complex derivative securities. As these investors sold off their holdings in
the face of rising interest rates, bond prices gave up a bit more ground.
1
<PAGE>
MONEY MARKET REVIEW
--------------------------------------------------------------------------------
SEI Daily Income Trust -- January 31, 1995
As the bond and equity markets experienced poor performance and great uncer-
tainty, money market mutual funds saw rising assets and yields during 1994. At
the same time, however, 1994 may have been the worst year to date in terms of
problems and adverse public relations for money funds. As discussed, many funds
experienced losses from risky derivative securities as the Federal Reserve
raised interest rates six times during the year. These funds, for the first
time, faced the possibility of "breaking the buck". Subsequently, more than a
dozen funds had to be rescued by their respective sponsors, who absorbed much
of the derivative losses. In addition, as a result of the Orange County crisis,
many tax-free funds found their NAV in jeopardy and additional bailouts ensued.
These bailouts by the fund complexes saved individual investors from signifi-
cant losses and maintained trust in the industry. Indeed, despite all the prob-
lems, taxable fund assets grew 7.6% during the year from $473.4 billion to
$509.5 billion, and tax-free fund assets grew 7.1% from $105.7 billion to
$113.2 billion. It is no coincidence that taxable money fund yields almost dou-
bled during the year, from 2.72% to 5.12%, and tax-free fund yields jumped from
2.16% to 3.78% during the same period. Due to the environment of rising inter-
est rates, average maturities for taxable funds fell from 57 days to 36 days
during the year, and tax-free maturities fell from 62 days to 47 days.
In this context, the SEI Daily Income Trust's Money Market Portfolios won on
two fronts--first, in avoiding both derivative and Orange County problems--and
second, in providing premium yields throughout much of the year.
2
<PAGE>
BOND MARKET REVIEW
--------------------------------------------------------------------------------
SEI Daily Income Trust -- January 31, 1995
DAILY INCOME TRUST FIXED INCOME PORTFOLIOS
SHORT-TERM GOVERNMENT CORPORATE DAILY INCOME
INTERMEDIATE-TERM GOVERNMENT SHORT-TERM MORTGAGE
GNMA
Daily Income Trust Fixed Income Portfolios are managed by Wellington
Management Company
The deterioration of the bond market was dramatic in 1994 as the economy evi-
denced strong economic growth resulting in combating efforts to curtail infla-
tion. Aggressive tightening by the Federal Reserve, the unwinding of a surpris-
ing number of leveraged strategies and historically low yields contributed to
disappointing results in the fixed income markets. The yield curve flattened
dramatically with short-term rates rising faster than bond yields as the one-
year Treasury note rose some 360 basis points while thirty-year rates were up
only 153 basis points. Toward year-end though, longer maturity bonds rallied as
investor confidence was boosted due to inherent signals of a slowdown in the
economy.
The most widely used performance benchmark for the investment grade fixed in-
come market, the Lehman Aggregate Bond Index, returned -2.94% posting its worst
return in the 19-year history of the Index. Corporate bonds performed rela-
tively well in 1994, primarily due to the lack of supply. Investment grade cor-
porate bond performance was mixed for the year and on a risk-adjusted basis,
corporate returns matched those of U.S. Treasuries. Utility performance suf-
fered as the rating agencies increased their standards for each letter grade
resulting in numerous downgrades. One of the most remarkable changes in the
U.S. bond market during the year occurred in the mortgage-backed sector. Mort-
gages outperformed Treasuries by as much as 150 basis points as sharply rising
interest rates drastically slowed prepayment speeds at all coupon levels. This
diminished cash flow pace resulted in duration extensions for many securities.
What were considered high-yielding premium coupons, such as 8% to 9% coupons,
performed extremely well in wake of the sharp rise in interest rates. Technical
factors also contributed to overall mortgage performance in 1994. Because of
decreasing issuance, supply was at its lowest level since 1990.
Though 1994 was a tumultuous ride for bond investors, higher current yields
acting as a cushion to buffer further price erosion and continued proactive
Federal Reserve actions should lend support to better bond returns in 1995.
3
<PAGE>
MANAGER'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
------------------------------------------------------------------------
SEI Daily Income Trust -- January 31, 1995
SHORT-TERM GOVERNMENT PORTFOLIO
Wellington Management Company
OBJECTIVES. The Short-Term Government Portfolio seeks to preserve principal
value and maintain a high degree of liquidity while providing current income.
The Portfolio invests exclusively in those securities issued by the U.S. Gov-
ernment and backed by its full faith and credit and securities issued by U.S.
Government agencies. The weighted average maturity of the Portfolio is up to
three years. The Portfolio seeks to provide a higher level of sustainable in-
come and total return than money market investments, with limited principal
value fluctuations.
STRATEGY. The Portfolio's weighted average maturity will be managed to take
advantage of anticipated changes in the direction of interest rates. The dis-
tribution of maturities for individual securities will also be managed to take
advantage of expected changes in the shape of the government yield curve. Ma-
turities will typically be laddered across the permitted maturity range to
provide reinvestment opportunities. In order to minimize risk, the Portfolio
is generally not invested in a bulleted structure, meaning individual securi-
ties are not clustered around a specific maturity. U.S. Treasury securities
will form the core of the Portfolio, although agency issues will be utilized
when their yields are judged to be attractive relative to those of Treasuries.
ANALYSIS. In wake of the rapid increase in interest rates for the period,
Portfolio strategy concentrated on maintaining a defensive relative duration
posture versus the benchmark, while capturing yield through sector selection.
Throughout the period, agency securities generally remained expensive relative
to U.S. Treasuries and, therefore, did not offer any significant yield advan-
tage. As a result, the Portfolio remained invested primarily in U.S. Treasur-
ies and repurchase agreements backed by U.S. Treasuries and as of fiscal year-
end was invested 85% in Treasuries, 9% in agency-backed collateralized mort-
gage obligations (CMOs), 5% in agencies and 1% in cash. Select issues of agen-
cy-backed CMOs were purchased for the Portfolio which contributed to overall
yield, but due to the risk of spread widening, a slow-down in prepayments and
thin market supply, the Portfolio did not significantly increase its weight in
this sector.
The Portfolio focused on strategically managing its relative duration pos-
ture in an effort to increase overall return. During the first half
[MAC CHART/SHORT-TERM GOVT APPEARS HERE]
<TABLE>
<CAPTION>
--------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURN/1/
--------------------------------------------------------------------------------
Since
1 Year 5 Year Inception
--------------------------------------------------------------------------------
<S> <C> <C> <C>
Short-Term Gov't, Class A 0.93% 6.35% 6.51%
--------------------------------------------------------------------------------
Short-Term Gov't, Class B 0.70% N/A 5.44%
--------------------------------------------------------------------------------
</TABLE>
A line graph depicting the total growth (including reinvestment of dividends and
capital gains) of a hypothetical investment of $10,000 in SEI Daily Income
Trusts Short-Term Government Portfolio Class A Shares from February 28, 1987
through January 31, 1995 as compared with the growth of a $10,000 investment in
the Merrill Lynch 1-3 Year Short-Term Treasury Index. The plot points used to
draw the line graph were as follows:
[GRAPH APPEARS HERE]
COMPARISON OF CHANGE IN THE VALUE OF A $10,000 INVESTMENT
IN THE SEI DAILY INCOME TRUST SHORT-TERM GOVERNMENT PORTFOLIO VERSUS THE
MERRILL LYNCH 1-3 SHORT-TERM TREASURY INDEX
<TABLE>
<CAPTION>
Growth of $10,000 Growth of $10,000 Invested
Invested in Class A in the Merrill Lynch 1-3
Month Ended Shares Year Short-Term Treasury
----------- ------------------- --------------------------
<S> <C> <C>
Measurement PT -
02/28/87 $ 10,000 $ 10,000
FYE 01/31/88 $ 10,588 $ 10,606
FYE 01/31/89 $ 11,140 $ 11,175
FYE 01/31/90 $ 12,143 $ 12,304
FYE 01/31/91 $ 13,355 $ 13,614
FYE 01/31/92 $ 14,691 $ 15,041
FYE 01/31/93 $ 15,669 $ 16,179
FYE 01/31/94 $ 16,360 $ 16,990
FYE 01/31/95 $ 16,512 $ 17,214
</TABLE>
/1/ For the period ended January 31, 1995. Past performance is no indication of
future performance. The performance of Class B shares will be lower than the
performance of Class A shares shown because of different distribution fees
paid by Class B shareholders. Class A shares were offered beginning 2/17/87
and Class B shares were opened on 11/5/90.
4
<PAGE>
--------------------------------------------------------------------------------
SHORT-TERM GOVERNMENT (continued)
of the fiscal year, the Portfolio's relative duration posture was not defensive
enough to evade the sharp rise in interest rates. As the short-end of the yield
curve continued to steepen, relative duration was shortened significantly re-
flecting the adviser's opinion that the incremental yield obtained by maintain-
ing a longer duration would not compensate for price erosion in longer maturity
securities.
For the fiscal year-ended January 31, 1995, the Short-Term Government Portfo-
lio (Class A shares) returned 0.93% compared to a 1.32% return for the Merrill
Lynch 1-3 Year Short-Term Treasury Index. Portfolio performance lagged its
benchmark primarily due to a less defensive duration posture at the onset of
the year.
INTERMEDIATE-TERM GOVERNMENT PORTFOLIO
Wellington Management Company
OBJECTIVES. The Intermediate-Term Government Portfolio seeks to preserve
principal value and maintain a high degree of liquidity while providing current
income. The Portfolio invests exclusively in those securities issued by the
U.S. Government and backed by its full faith and credit and securities issued
by U.S. Government agencies. The weighted average maturity of the Portfolio is
expected to be three to five years. The Portfolio seeks to provide a higher
level of sustainable income and total return than money market investments,
with limited principal value fluctuations.
STRATEGY. The Portfolio's weighted average maturity will be managed to take
advantage of anticipated changes in the direction of interest rates. The dis-
tribution of maturities for individual securities will also be managed to take
advantage of expected changes in the
[MAC CHART/INTERMEDIATE-TERM GOVT APPEARS HERE]
<TABLE>
<CAPTION>
--------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURN/1/
--------------------------------------------------------------------------------
SINCE
1 YEAR 5 YEAR INCEPTION
--------------------------------------------------------------------------------
<S> <C> <C> <C>
Interm. Gov't, Class A -2.19% 7.13% 6.90%
Interm. Gov't, Class B N/A N/A 0.93%
Interm. Gov't, Provantage w/o Load -2.61% 7.02% 6.83%
Interm. Gov't, Provantage w/ Load -6.05% 6.27% 6.35%
--------------------------------------------------------------------------------
</TABLE>
A line graph depicting the total growth (including reinvestment of dividends and
capital gains) of a hypothetical investment of $10,000 in SEI Daily Income
Trusts Intermediate-Term Government Portfolio Class A and ProVantage funds Class
shares from February 28, 1987 through January 31, 1995 as compared with the
growth of a $10,000 investment in the Merrill Lynch 3-5 Year Treasury Index. The
plot points used to draw the line graph were as follows:
[GRAPH APPEARS HERE]
COMPARISON OF CHANGE IN THE VALUE OF A $10,000 INVESTMENT
IN THE SEI DAILY INCOME TRUST INTERMEDIATE-TERM GOVERNMENT PORTFOLIO, VERSUS THE
MERRILL LYNCH 3-5 YEAR TREASURY INDEX
<TABLE>
<CAPTION>
Growth of $10,000 Growth of $10,000 Growth of $10,000 Invested
Invested in Class A Invested in ProVantage in the Merrill Lynch 3-5
Month Ended Shares Funds Class Shares Year Treasury Index
----------- ------------------- ---------------------- --------------------------
<S> <C> <C> <C>
Measurement PT -
02/28/87 $ 10,000 $ 9,650 $ 10,000
FYE 01/31/88 $ 10,496 $ 10,128 $ 10,512
FYE 01/31/89 $ 10,939 $ 10,557 $ 10,943
FYE 01/31/90 $ 12,027 $ 11,606 $ 12,155
FYE 01/31/91 $ 13,357 $ 12,890 $ 13,597
FYE 01/31/92 $ 14,885 $ 14,364 $ 15,314
FYE 01/31/93 $ 16,301 $ 15,730 $ 17,023
FYE 01/31/94 $ 17,350 $ 16,729 $ 18,341
FYE 01/31/95 $ 16,970 $ 15,717 $ 17,965
</TABLE>
/1/ Past performance is no indication of future performance. The ProVantage
Funds Class opened on 9/26/93. The performance shown for the ProVantage
Funds Class prior to such date is based on the performance of the Class A
shares, adjusted to reflect the maximum sales charge of 3.50% for the
ProVantage Funds Class. The performance of Class B shares will be lower
than the performance of Class A shares shown because of different
distribution fees paid by Class B shareholders. Class A shares were offered
beginning 2/17/87 and Class B shares were opened on 6/8/94.
shape of the yield curve. Maturities will typically be laddered across the
permitted maturity range to provide reinvestment opportunities. In order to
minimize risk, the Portfolio is generally not invested in a bulleted structure,
meaning individual securities are not clustered around a specific maturity.
U.S. Treasury securities will form the core of the Portfolio, although agency
issues will be utilized when their yields are judged to be attractive relative
to those of U.S. Treasuries.
ANALYSIS. For the period, Portfolio strategy remained that of optimizing yield
and enhancing total return through sector selection
5
<PAGE>
MANAGER'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
-------------------------------------------------------------------------------
SEI Daily Income Trust -- January 31, 1995
INTERMEDIATE-TERM GOVERNMENT (continued)
and duration management. U.S. Treasury holdings were decreased gradually while
the Portfolio took advantage of wider mortgage spreads and increased its expo-
sure to this sector. More conservative agency mortgage-backed securities, fea-
turing no call risk and minimal extension risk, were preferred for their in-
creased yield premiums. On average, straight agency securities remained over-
valued relative to U.S. Treasuries and were not perceived as attractive. Toward
the later part of the period, select agency issues were purchased as spreads
temporarily widened as a result of increased supply due to the Orange County,
California liquidation. At fiscal year-end, the Portfolio was invested 78% in
U.S. Treasuries, 11% in agencies, 8% in agency-backed CMOs and 3% in cash.
As the one- to five- year area of the yield curve continued to steepen during
the period, relative duration posture remained defensive during the year, sig-
nificantly shorter than that of the benchmark.
For the fiscal year-ended January 31, 1995, the Intermediate-Term Government
Portfolio (Class A shares) returned -2.19% compared to the Merrill Lynch 3-5
Year Treasury Index return of -2.05%. Although the Portfolio remained posi-
tioned shorter than the benchmark throughout the period, the Portfolio's dura-
tion stance was not sufficiently defensive enough during the period's sharp
rise in interest rates and the higher market price volatility associated with
this shift.
GNMA PORTFOLIO
Wellington Management Company
OBJECTIVES. The GNMA Portfolio seeks to preserve principal value and maintain
a high degree of liquidity while providing current income. The Portfolio in-
vests exclusively in mortgage-backed securities issued by the Government Na-
tional Mortgage Association and backed by the full faith and credit of the U.S.
Government.
STRATEGY. The Portfolio's investment strategy emphasizes the distribution of
security cou-
[MAC CHART/GNMA APPEARS HERE]
<TABLE>
<CAPTION>
--------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURN/1/
--------------------------------------------------------------------------------
Since
1 Year 5 Year Inception
--------------------------------------------------------------------------------
<S> <C> <C> <C>
GNMA, Class A -2.46% 7.80% 7.55%
GNMA, Class B N/A N/A 7.31%
GNMA, ProVantage w/o load -3.04% 7.69% 7.48%
GNMA, ProVantage w/load -7.44% 6.70% 6.85%
--------------------------------------------------------------------------------
</TABLE>
A line graph depicting the total growth (including reinvestment of dividends and
capital gains) of a hypothetical investment of $10,000 in SEI Daily Income
Trusts GNMA Portfolio Class A and ProVantage Funds Class shares from March 31,
1987 through January 31, 1995 as compared with the growth of a $10,000
investment in the Salomon Brothers 30 Year GNMA Index. The plot points used to
draw the line graph were as follows:
[GRAPH APPEARS HERE]
COMPARISON OF CHANGE IN THE VALUE OF A $10,000 INVESTMENT
IN THE SEI DAILY INDEX TRUST GNMA PORTFOLIO, VERSUS THE SALOMON BROTHERS
30 YEAR GNMA INDEX
<TABLE>
<CAPTION>
Growth of $10,000 Growth of $10,000 Growth of $10,000 Invested
Invested in Class A Invested in ProVantage Funds in the Salomon Brothers
Month Ended Shares Class Shares 30-Year GNMA Index
----------- ------------------- ---------------------------- ---------------------------
<S> <C> <C> <C>
Measurement PT -
03/31/87 $ 10,000 $ 9,550 $ 10,000
FYE 01/31/88 $ 10,402 $ 9,934 $ 10,537
FYE 01/31/89 $ 11,046 $ 10,549 $ 11,225
FYE 01/31/90 $ 12,319 $ 11,765 $ 12,630
FYE 01/31/91 $ 13,889 $ 13,264 $ 14,336
FYE 01/31/92 $ 15,623 $ 14,920 $ 16,208
FYE 01/31/93 $ 17,329 $ 16,550 $ 17,883
FYE 01/31/94 $ 18,385 $ 17,574 $ 18,966
FYE 01/31/95 $ 17,932 $ 17,040 $ 18,963
</TABLE>
/1/ Past performance is no indication of future performance. The ProVantage
Funds Class opened on 9/30/93. The performance shown for the ProVantage
Funds Class prior to such date is based on the performance of the Class A
shares, adjusted to reflect the maximum sales charge of 4.50% for the
ProVantage Funds Class. The performance of Class B shares will be lower than
the performance of Class A shares shown because of different distribution
fees paid by Class B shareholders. Class A shares were offered beginning
3/20/87 and Class B Shares were opened on 7/12/94.
6
<PAGE>
--------------------------------------------------------------------------------
GNMA (continued)
pon rates, the weighted average coupon rate, and the selection of appropriate
underlying mortgage types. The selection of coupon rates affects the sensitiv-
ity of the Portfolio to changes in the reinvestment risk associated with loan
prepayment. The Portfolio will therefore tend to purchase somewhat lower cou-
pons when interest rates are expected to fall, and somewhat higher coupons when
interest rates are expected to be stable or rising.
ANALYSIS. During the fiscal year ending January 31, 1995, mortgage-backed se-
curities were the best performing sector of the bond market. Mortgages, as mea-
sured by the Lehman Brothers Mortgage Index, returned -0.49% for the year. GNMA
issues returned -0.25%, outperforming both FNMA and FHLMC issues for the year.
During the week of February 4, 1994, the Federal Reserve began raising short-
term interest rates to combat inflation and did so six times by fiscal year-
end. Higher mortgage rates decreased the rate at which consumers refinanced
their existing loans, bolstering the returns of higher-coupon securities priced
at a premium. In addition, the rise in rates during the year curtailed the sup-
ply of new loans available to be packaged as bonds, thus providing price sup-
port for all mortgage-backed securities. For example, issuance of GNMA pass-
throughs fell 3.5% to $2.2 billion during January, 1995. This monthly supply of
new securities has declined almost 83% during the past year. By fiscal year-
end, almost all GNMA securities were priced at a discount, sharply contrasting
the market position of last year, when most GNMA issues were trading at a pre-
mium.
For the fiscal year ending January 31, 1995, the GNMA Portfolio (Class A
shares) returned -2.46%, compared to returns of -0.02% and -1.59% for the Salo-
mon Brothers 30-Year GNMA Index and the Lipper GNMA Average, respectively. The
Portfolio's overweighting to lower-coupon discount securities throughout the
year hurt relative performance as a result of the longer duration of these se-
curities. In addition, declining prepayment speeds had a negative impact on
their total return.
CORPORATE DAILY INCOME PORTFOLIO
Wellington Management Company
OBJECTIVES. The Corporate Daily Income Portfolio seeks to provide higher cur-
rent income than that typically offered by a money market fund while maintain-
ing a high degree of liquidity and a correspondingly higher risk
[MAC CHART/CORPORATE DAILY INCOME APPEARS HERE]
<TABLE>
<CAPTION>
-----------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURN/1/
-----------------------------------------------------------------
Since
1 Year Inception
-----------------------------------------------------------------
<S> <C> <C>
Corporate Daily Income 2.59% 2.81%
-----------------------------------------------------------------
</TABLE>
A line graph depicting the total growth (including reinvestment of dividends and
capital gains) of a hypothetical investment of $10,000 in SEI Daily Income
Trusts Corporate Daily Income Portfolio Class A shares from September 30, 1993
through January 31, 1995 as compared with the growth of a $10,000 investment in
the Merrill Lynch Year Treasury Index. The plot points used to draw the line
graph were as follows:
[GRAPH APPEARS HERE]
<TABLE>
COMPARISON OF CHANGE IN THE VALUE OF A $10,000 INVESTMENT
IN THE SEI DAILY INCOME TRUST CORPORATE DAILY INCOME PORTFOLIO, CLASS A
VERSUS THE MERRILL LYNCH 1-YEAR TREASURY INDEX
<CAPTION>
Growth of $10,000 Growth of $10,000 Invested
Invested in Class A in the Merrill Lynch 1
Month Ended Shares Year Treasury Index
----------- ------------------- --------------------------
<S> <C> <C>
Measurement PT -
09/30/93 $ 10,000 $ 10,000
FYE 01/31/94 $ 10,114 $ 10,113
FYE 01/31/95 $ 10,376 $ 10,426
</TABLE>
/1/ For the period ended January 31, 1995. Past performance is no indication of
future performance. Class A shares were offered beginning 9/28/93.
7
<PAGE>
MANAGER'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
-------------------------------------------------------------------------------
SEI Daily Income Trust -- January 31, 1995
CORPORATE DAILY INCOME (continued)
of principal volatility. The Portfolio invests primarily in U.S. Treasury and
agency obligations, short average life mortgage-backed issues and short-term
investment grade corporate securities. The weighted average maturity of the
Portfolio will range between six and eighteen months.
STRATEGY. The Corporate Daily Income Portfolio seeks to provide a return in
excess of the Merrill Lynch 1-Year Treasury Index and to manage risk through
the adviser's use of interest rate anticipation, sector strategies, and secu-
rity selection. In determining the average maturity and duration position of
the Portfolio, the adviser considers the shape of the yield curve, the extent
of a yield change, and the period of time over which rates are likely to rise,
fall or remain stable. Investment in short average life mortgage-backed issues
and short-term investment corporate grade securities is emphasized when rela-
tive spreads are attractive and incremental yields serve to enhance total
return.
ANALYSIS. The Portfolio continued to offer an average of 85 basis points over
institutional taxable money market funds emphasizing investment in value-added
securities such as floating rate notes (FRNs) and asset-backed securities. In-
vestment in well structured FRNs and asset-backed securities were held for
their added income and enhanced return features over traditional short-maturity
instruments. These security types offered attractive returns without introduc-
ing an extended level of risk. As the short-end of the yield curve steepened
dramatically, investment in money market instruments and higher yielding secu-
rities helped to optimize yield, offset principal declines and increase liquid-
ity. Due to narrow spreads and thin supply, corporate exposure remained
underweighted in the Portfolio. The Portfolio sold corporates to take advantage
of narrow spreads and to enhance overall return.
In an effort to remain defensive against the sharp rise in interest rates,
relative duration posture was allowed to shorten during the course of the year
and at year-end remained shorter than the benchmark. This shorter duration
stance at year-end, did not benefit the Portfolio return as the short-term mar-
ket rallied.
For the fiscal year-ended January 31, 1995, the Corporate Daily Income Port-
folio returned 2.59% compared to a 3.09% return for its benchmark, the Merrill
Lynch 1-Year Treasury Index.
SHORT-TERM MORTGAGE PORTFOLIO
Wellington Management Company
OBJECTIVES. The Short-Term Mortgage Portfolio seeks to provide a high level
of current income consistent with low principal volatility by investing in
fixed rate and adjustable rate mortgage-backed securities, asset-backed securi-
ties, and other obligations of the U.S. Government. Both the rate of interest
and the net asset value of the Portfolio can fluctuate. The Portfolio is ex-
pected to maintain an average effective maturity of less than three years.
STRATEGY. In determining portfolio structure, the adviser employs a quantita-
tively-oriented process which continually assesses individual security and ag-
gregate portfolio risk. This is combined with a fundamental market overlay
analysis to determine relative value. Prepayment model analysis and stress
testing are used to derive best and worst case scenarios within certain confi-
dence levels. These scenarios are then used to compare relative valua-
8
<PAGE>
--------------------------------------------------------------------------------
SHORT-TERM MORTGAGE (continued)
tion levels of individual issues and how their inclusion in the Portfolio is
expected to affect overall performance.
ANALYSIS. The Short-Term Mortgage (formerly the Adjustable Rate Mortgage
Portfolio) name was adopted by the Portfolio on May 31, 1994, as the Portfolio
moved to a diversified short-term mortgage structure from its previous adjust-
able-rate mortgage focus. Wellington Management Company assumed adviser respon-
sibility for the Portfolio on June 30, 1994. Prior to June 30, 1994, Bear
Stearns Asset Management served as the Portfolio's adviser. Mortgage-backed se-
curities were the best performing sector of the bond market for the fiscal
year, outperforming both corporate and government issues. Adjustable-rate secu-
rities outperformed their fixed-rate counterparts, as the Lehman Brothers Ad-
justable Rate Mortgage Index posted a 0.99% gain for the period versus the -
0.49% return of the Lehman Brothers Mortgage Index. The inappropriate use of
derivative securities by many funds resulted in significant investor losses
during the year and focused investors on risk control. Demand for many collat-
eralized mortgage obligations (CMOs) fell as a result. Selling pressure follow-
ing the Orange County, California bankruptcy filing placed even further price
pressure on the short end of the yield curve. Throughout the year, the Short-
Term Mortgage Portfolio's CMO investments were concentrated in highly struc-
tured planned amortization class (PAC) tranches, those exhibiting the most
well-defined and stable cash-flow structures. Mortgage prices were supported
throughout the year by the continued decline in new issuance.
For the fiscal year ending January 31, 1995, the Short-Term Mortgage Portfo-
lio returned 2.29%, compared to a gain of 1.32% for the Merrill Lynch 1-3 Year
Treasury Index. The Portfolio's commitment to higher-yielding fixed rate and
adjustable-rate mortgage securities benefited performance relative to the
benchmark. In addition, individual issue selection of GNMA pass-through securi-
ties bolstered returns. The Portfolio has remained duration neutral to the
benchmark looking to add value through incremental yield rather than interest
rate exposure. The Portfolio is diversified among agency pass-throughs, collat-
eralized mortgage obligations (CMOs), adjustable-rate mortgage securities
(ARMs) and U.S. Treasury securities.
[MAC CHART/SHORT-TERM MORTGAGE APPEARS HERE]
<TABLE>
<CAPTION>
--------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURN/1/
--------------------------------------------------------------------------------
Since
1 Year Inception
--------------------------------------------------------------------------------
<S> <C> <C>
Short-Term Mortgage 2.29% 2.11%
--------------------------------------------------------------------------------
</TABLE>
A line graph depicting the total growth (including reinvestment of dividends and
capital gains) of a hypothetical investment of $10,000 in SEI Daily Income
Trusts Short-Term Mortgage Portfolio Class A Shares from May 31, 1993 through
January 31, 1995 as compared with the growth of a $10,000 investment in the
Merrill Lynch 1-3 Year Treasury Index. The plot points used to draw the line
graph were as follows:
[GRAPH APPEARS HERE]
COMPARISON OF CHANGE IN THE VALUE OF A $10,000 INVESTMENT IN THE
SEI DAILY INCOME TRUST SHORT-TERM MORTGAGE PORTFOLIO, CLASS A, VERSUS THE
MERRILL LYNCH 1-3 YEAR TREASURY INDEX
<TABLE>
<CAPTION>
Growth of $10,000 Growth of $10,000 Invested
Invested in Class A in the Merrill Lynch 1-3
Month Ended Shares Year Treasury Index
----------- ------------------- --------------------------
<S> <C> <C>
Measurement PT -
05/31/93 $ 10,000 $ 10,000
FYE 01/31/94 $ 10,222 $ 10,346
FYE 01/31/95 $ 10,456 $ 10,482
</TABLE>
/1/ For the period ended January 31, 1995. Past performance is no indication of
future performance. Class A shares were offered beginning 5/20/93. Bear
Stearns Asset Management served as the Investment Adviser of the Short-Term
Mortgage Portfolio since inception through June 29, 1994. Effective June 30,
1994, Wellington Management company began serving as the Investment Adviser
of the Short-Term Mortgage Portfolio.
9
<PAGE>
REPORT OF INDEPENDENT PUBLIC ACCOUNTANTS
-----------------------------------------------------------------
TO THE SHAREHOLDERS AND TRUSTEES OF THE SEI DAILY INCOME TRUST:
We have audited the accompanying statements of net assets of the Money Market,
Government II, Prime Obligation, Government, Treasury, Treasury II, Short-Term
Government, Intermediate-Term Government, and Corporate Daily Income Portfolios
and the statements of assets and liabilities, including the schedules of in-
vestments, of the GNMA and Short-Term Mortgage Portfolios as of January 31,
1995, and the related statements of operations, changes in net assets and fi-
nancial highlights for the periods presented. We have also audited the state-
ment of operations of the Federal Securities Portfolio for the year ended Janu-
ary 31, 1995, and the related statements of changes in net assets and financial
highlights for the periods presented. These financial statements and financial
highlights are the responsibility of the Company's management. Our responsibil-
ity is to express an opinion on these financial statements and financial high-
lights based on our audits.
We conducted our audits in accordance with generally accepted auditing stan-
dards. Those standards require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements and financial high-
lights are free of material misstatement. An audit includes examining, on a
test basis, evidence supporting the amounts and disclosures in the financial
statements. Our procedures included confirmation of securities owned as of Jan-
uary 31, 1995, by correspondence with the custodians and brokers. An audit also
includes assessing the accounting principles used and significant estimates
made by management, as well as evaluating the overall financial statement pre-
sentation. We believe that our audits provide a reasonable basis for our opin-
ion.
In our opinion, the financial statements and financial highlights referred to
above present fairly, in all material respects, the financial position of the
Money Market, Government II, Prime Obligation, Government, Treasury, Treasury
II, Short-Term Government, Intermediate-Term Government, Corporate Daily In-
come, GNMA and Short-Term Mortgage Portfolios of the SEI Daily Income Trust as
of January 31, 1995, the results of their operations, changes in their net as-
sets and financial highlights for the periods presented, and the results of the
operations of the Federal Securities Portfolio of the SEI Daily Income Trust
for the year ended January 31, 1995, and the changes in its net assets and fi-
nancial highlights for the periods presented, in conformity with generally ac-
cepted accounting principles.
ARTHUR ANDERSEN LLP
Philadelphia, Pa.
March 8, 1995
10
<PAGE>
STATEMENT OF NET ASSETS
--------------------------------------------------------------------------------
SEI Daily Income Trust -- January 31, 1995
MONEY MARKET PORTFOLIO
<TABLE>
-----------------------------------------------------------------
<CAPTION>
Face
Description Amount (000) Value (000)
-----------------------------------------------------------------
<S> <C> <C>
COMMERCIAL PAPER -- 69.6%
ANZ Delaware
5.800%, 02/06/95 $ 8,000 $ 7,994
Banque Indosuez
6.070%, 02/06/95 8,000 7,993
BCI Funding
6.250%, 04/07/95 8,000 7,910
Bear Stearns Companies
6.020%, 02/06/95 5,000 4,996
BHF Finance Delaware
5.700%, 02/13/95 8,800 8,783
Caisse Nationale Des Telecommunications
6.080%, 02/03/95 8,000 7,997
Central & Southwest
6.050%, 03/08/95 5,000 4,971
Chevron Transport
5.700%, 02/10/95 8,000 7,989
Chrysler Financial
6.250%, 04/27/95 8,000 7,882
CIESCO LP
6.000%, 03/21/95 8,000 7,936
Coca Cola Enterprises
6.200%, 05/02/95 8,000 7,876
Commercial Credit
5.750%, 02/09/95 5,200 5,193
Commerzbank US Finance
5.810%, 02/02/95 8,000 7,999
Corporate Receivable
6.100%, 04/04/95 7,000 6,926
Creditanstalt Finance
6.150%, 03/15/95 4,284 4,253
Ford Motor Credit
6.160%, 04/11/95 8,000 7,906
General Electric Capital
6.050%, 02/02/95 8,000 7,999
General Motors Acceptance
6.350%, 04/13/95 8,000 7,900
ING Finance
5.775%, 02/06/95 8,900 8,892
Preferred Receivables Funding
5.850%, 02/06/95 6,000 5,995
Sears Roebuck Acceptance
6.300%, 04/10/95 8,000 7,905
--------
Total Commercial Paper
(Cost $153,295) 153,295
--------
FLOATING RATE INSTRUMENTS -- 15.9%
Bank of New York (DE)
5.960%, 06/02/95 (A) 5,000 $ 5,000
First Alabama Bank
6.000%, 02/28/95 (A) 8,000 8,000
</TABLE>
<TABLE>
------------------------------------------------------------------------------
<CAPTION>
Face
Description Amount (000) Value (000)
------------------------------------------------------------------------------
<S> <C> <C>
People's Security Funding Agreement
5.810%, 05/01/95 (A) (B) (C) $ 9,000 $ 9,000
Society National Bank
5.860%, 05/18/95 (A) 8,000 7,997
Synthetic Money Market Trust 1994-B
5.862%, 08/11/95 (A) (B) (C) 5,000 5,000
--------
Total Floating Rate Instruments
(Cost $34,997) 34,997
--------
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 14.2%
FNMA
6.076%, 04/17/95 700 691
6.706%, 07/26/95 14,000 13,564
SLMA
6.150%, 03/10/95 (A) 17,000 17,001
--------
Total U.S. Government Agency Obligations
(Cost $31,256) 31,256
--------
REPURCHASE AGREEMENT -- 0.7%
Donaldson, Lufkin & Jenrette 5.75%, dated 01/31/95,
matures 02/01/95, repurchase price $1,526,244
(collateralized by U.S. Treasury Note, par value
$1,624,000, 5.125%, matures 02/28/98: market value
$1,621,000) 1,526
--------
Total Repurchase Agreement
(Cost $1,526) 1,526
--------
Total Investments (100.4%)
(Cost $221,074) 221,074
--------
OTHER ASSETS AND LIABILITIES -- (0.4)%
Other Assets and Liabilities, Net (772)
--------
NET ASSETS:
Portfolio shares of Class A (unlimited
authorization -- no par value) based on 214,024,404
outstanding shares of beneficial interest 214,024
Portfolio shares of Class B (unlimited
authorization -- no par value) based on 6,314,053
outstanding shares of beneficial interest 6,314
</TABLE>
11
<PAGE>
STATEMENT OF NET ASSETS
--------------------------------------------------------------------------------
SEI Daily Income Trust -- January 31, 1995
MONEY MARKET PORTFOLIO
<TABLE>
-----------------------------------------------------------------------------
<CAPTION>
Face
Description Amount (000) Value (000)
-----------------------------------------------------------------------------
<S> <C> <C>
Accumulated Net Realized Loss on Investments $ ( 36)
--------
TOTAL NET ASSETS -- 100.0% $220,302
========
NET ASSETS, OFFERING PRICE AND REDEMPTION PRICE PER
SHARE -- CLASS A $ 1.00
========
NET ASSETS, OFFERING PRICE AND REDEMPTION PRICE PER
SHARE -- CLASS B $ 1.00
========
</TABLE>
(A) Floating Rate Instrument. Rate reflected on the Statement on Net Assets is
the rate in effect on January 31, 1995. The date shown is the lower of the
reset date or the demand date.
(B) Private Placement.
(C) Illiquid Security.
FNMA Federal National Mortgage Association
LP Limited Partnership
SLMA Student Loan Marketing Association
GOVERNMENT II PORTFOLIO
<TABLE>
<S> <C> <C>
U.S. GOVERNMENT AGENCY
OBLIGATIONS -- 100.2%
FFCB
5.460%, 02/02/95 $ 1,385 $ 1,385
5.794%, 02/02/95 5,000 4,999
5.795%, 02/03/95 10,575 10,572
6.095%, 02/07/95 10,000 9,990
6.067%, 02/10/95 10,000 9,985
5.469%, 02/13/95 7,780 7,766
5.677%, 02/14/95 10,000 9,980
6.216%, 02/21/95 6,120 6,099
5.769%, 02/22/95 15,990 15,937
5.660%, 03/01/95 20,740 20,735
5.892%, 03/02/95 6,000 5,972
6.054%, 03/07/95 20,200 20,087
6.171%, 04/07/95 9,975 9,867
6.198%, 04/28/95 11,000 10,842
6.671%, 07/24/95 8,000 7,755
6.684%, 07/26/95 17,000 16,473
FHLB
5.780%, 02/01/95 (A) 7,800 7,795
5.507%, 02/06/95 1,245 1,244
5.587%, 02/06/95 1,365 1,364
5.682%, 02/06/95 17,525 17,511
6.083%, 02/06/95 50,000 49,961
5.838%, 02/08/95 6,440 6,433
5.704%, 02/09/95 25,000 24,969
5.705%, 02/09/95 39,835 39,785
5.642%, 02/10/95 22,005 21,975
5.729%, 02/10/95 5,000 4,993
</TABLE>
<TABLE>
------------------------------------------------------------------------------
<CAPTION>
Face
Description Amount (000) Value (000)
------------------------------------------------------------------------------
<S> <C> <C>
5.843%, 02/13/95 $ 5,000 $ 4,990
5.926%, 02/21/95 8,350 8,323
5.797%, 02/23/95 9,170 9,138
5.647%, 02/27/95 10,780 10,737
5.777%, 02/28/95 25,000 24,894
5.783%, 02/28/95 35,060 34,911
5.784%, 02/28/95 25,000 24,894
5.797%, 02/28/95 15,000 14,936
6.209%, 03/02/95 21,540 21,435
6.282%, 03/06/95 25,000 24,860
6.056%, 03/09/95 8,000 7,953
6.065%, 04/11/95 18,280 18,073
6.070%, 04/12/95 5,000 4,943
6.166%, 04/18/95 25,000 24,684
6.025%, 04/25/95 (A) 2,000 1,999
SLMA
6.130%, 02/07/95 (A) 5,000 5,000
6.130%, 02/07/95 (A) 30,000 30,000
6.150%, 02/07/95 (A) 20,000 20,000
6.170%, 02/07/95 (A) 44,450 44,454
6.180%, 02/07/95 (A) 40,000 40,000
6.310%, 02/07/95 (A) 30,000 30,119
5.809%, 02/21/95 30,000 29,905
TVA
6.194%, 02/21/95 4,025 4,011
6.195%, 02/22/95 18,485 18,420
--------
Total U.S. Government Agency Obligations
(Cost $803,153) 803,153
--------
Total Investments -- 100.2%
(Cost $803,153) 803,153
--------
OTHER ASSETS AND LIABILITIES -- (0.2)%
Other Assets and Liabilities, Net ( 1,547)
--------
NET ASSETS:
Portfolio shares of Class A (unlimited
authorization -- no par value) based on 786,606,423
outstanding shares of beneficial interest 786,607
Portfolio shares of Class B (unlimited
authorization -- no par value) based on 15,201,389
outstanding shares of beneficial interest 15,201
Accumulated Net Realized Loss on Investments ( 202)
--------
</TABLE>
12
<PAGE>
--------------------------------------------------------------------------------
<TABLE>
------------------------------------------------------------------------------
<CAPTION>
Face
Description Amount (000) Value (000)
------------------------------------------------------------------------------
<S> <C> <C>
TOTAL NET ASSETS -- 100.0% $ 801,606
==========
NET ASSET VALUE, OFFERING PRICE AND REDEMPTION PRICE
PER SHARE -- CLASS A $ 1.00
==========
NET ASSET VALUE, OFFERING PRICE AND REDEMPTION PRICE
PER SHARE -- CLASS B $ 1.00
==========
</TABLE>
(A) Floating Rate Instrument. The rate reflected on the Statement of Net Assets
is the rate in effect on January 31, 1995. The date shown is the longer of
the reset date or the demand date.
FFCB Federal Farm Credit Bank
FHLB Federal Home Loan Bank
SLMA Student Loan Marketing Association
TVA Tennessee Valley Authority
PRIME OBLIGATION PORTFOLIO
<TABLE>
<S> <C> <C>
COMMERCIAL PAPER -- 56.7%
American Express Credit
5.500%, 02/03/95 $ 20,000 $ 19,994
5.770%, 02/06/95 20,000 19,984
American General Finance
6.150%, 04/10/95 10,000 9,884
6.170%, 04/19/95 15,000 14,802
6.130%, 05/01/95 15,000 14,773
6.200%, 05/26/95 30,000 29,411
American Home (4-2)
5.920%, 02/06/95 (B) 75,000 74,937
Associates of North America
5.620%, 02/08/95 25,000 24,973
6.170%, 04/19/95 40,000 39,472
Beneficial
6.170%, 04/26/95 35,000 34,496
6.150%, 05/15/95 30,000 29,472
Central & Southwest
5.750%, 02/03/95 9,294 9,291
6.050%, 03/08/95 13,176 13,099
Chrysler Financial
6.250%, 04/27/95 55,000 54,188
CIESCO LP
6.000%, 02/01/95 10,000 10,000
5.875%, 02/03/95 40,000 39,987
6.000%, 03/21/95 13,000 12,896
6.170%, 04/18/95 11,500 11,350
5.950%, 12/01/95 20,000 19,983
CIT Group Holdings
5.970%, 12/01/95 40,000 39,993
Commercial Credit
5.750%, 02/08/95 25,000 24,972
5.630%, 12/01/95 25,000 24,977
</TABLE>
<TABLE>
------------------------------------------------------------------------------
<CAPTION>
Face
Description Amount (000) Value (000)
------------------------------------------------------------------------------
<S> <C> <C>
Corporate Receivables
6.170%, 04/11/95 $ 14,100 $ 13,933
CSW Credit
6.120%, 04/04/95 10,400 10,290
John Deere Capital
6.150%, 04/10/95 18,000 17,791
6.150%, 05/15/95 25,000 24,560
6.270%, 05/19/95 30,000 29,441
Ford Motor Credit
6.160%, 04/12/95 28,000 27,665
6.230%, 04/24/95 28,000 27,603
General Electric Capital
6.150%, 04/10/95 45,000 44,477
6.150%, 05/10/95 34,000 33,431
6.170%, 05/17/95 10,000 9,820
General Motors Acceptance
6.250%, 04/11/95 25,000 24,701
6.350%, 04/13/95 10,000 9,875
6.300%, 04/25/95 20,000 19,710
6.300%, 05/01/95 30,000 29,533
Household Finance
6.000%, 03/21/95 20,000 19,840
6.170%, 04/19/95 40,000 39,472
IBM Credit
5.660%, 02/10/95 30,000 29,958
International Lease Finance
5.980%, 02/02/95 10,000 9,998
6.000%, 03/07/95 6,000 5,966
6.170%, 04/10/95 10,000 9,883
Matterhorn Capital
5.750%, 02/07/95 10,000 9,990
Merrill Lynch
5.850%, 02/02/95 30,000 29,995
5.720%, 02/08/95 50,000 49,944
Metlife Funding
5.630%, 02/08/95 50,000 49,945
Norwest Corporation
6.170%, 05/17/95 20,000 19,640
Norwest Financial
5.600%, 02/07/95 10,000 9,991
6.150%, 05/01/95 33,500 32,991
PHH
5.650%, 02/10/95 40,000 39,944
Philip Morris
5.600%, 02/06/95 10,000 9,992
5.680%, 02/10/95 44,500 44,437
Preferred Receivables Funding
6.150%, 04/13/95 28,515 28,169
6.150%, 04/18/95 11,525 11,375
Prudential Funding
5.470%, 02/03/95 30,000 29,991
6.250%, 05/18/95 30,000 29,448
</TABLE>
13
<PAGE>
STATEMENT OF NET ASSETS
--------------------------------------------------------------------------------
SEI Daily Income Trust -- January 31, 1995
PRIME OBLIGATION PORTFOLIO
<TABLE>
--------------------------------------------------------------------------------
<CAPTION>
Face
Description Amount (000) Value (000)
--------------------------------------------------------------------------------
<S> <C> <C>
Puerto Rico Development Bank
6.130%, 04/13/95 $ 13,000 $ 12,843
6.050%, 04/18/95 26,000 25,668
Riverwood Funding
5.650%, 02/06/95 10,000 9,992
Sears Roebuck Acceptance
5.550%, 02/03/95 35,000 34,989
6.300%, 04/10/95 25,000 24,703
6.200%, 04/25/95 25,000 24,643
Transamerica Finance
5.650%, 02/07/95 48,000 47,955
----------
Total Commercial Paper
(Cost $1,587,526) 1,587,526
----------
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 23.2%
FHLB
5.876%, 02/28/95 12,200 12,148
FHLMC
6.121%, 02/02/95 6,105 6,104
6.122%, 02/02/95 30,000 29,995
6.143%, 02/02/95 29,000 28,995
5.871%, 02/23/95 10,000 9,965
6.093%, 04/18/95 13,000 12,838
FNMA
6.140%, 02/07/95 (A) 100,000 99,999
5.644%, 02/09/95 50,000 49,938
5.769%, 02/21/95 100,000 99,686
6.076%, 04/17/95 35,000 34,570
6.438%, 06/12/95 7,000 6,842
6.671%, 07/24/95 15,000 14,541
6.673%, 07/25/95 39,000 37,799
6.706%, 07/26/95 100,000 96,889
SLMA
6.150%, 02/07/95 (A) 47,600 47,600
6.160%, 02/07/95 (A) 16,000 16,003
6.170%, 02/07/95 (A) 47,000 47,008
----------
Total U.S. Government Agency Obligations
(Cost $650,920) 650,920
----------
FLOATING RATE INSTRUMENTS -- 10.5%
Allstate
6.225%, 02/01/95 (A) (B) (C) 15,000 15,000
Bank of New York (DE)
5.960%, 06/02/95 (A) 65,000 64,998
CoreStates Capital
6.060%, 03/28/95 (A) 28,000 28,000
People's Security Funding Agreement
5.810%, 04/30/95 (A) (B) (C) 51,000 51,000
</TABLE>
<TABLE>
------------------------------------------------------------------------------
<CAPTION>
Face
Description Amount (000) Value (000)
------------------------------------------------------------------------------
<S> <C> <C>
Society National Bank
5.860%, 05/18/95 (A) $ 65,000 $ 64,979
Synthetic Money Market Trust 1994-A
6.425%, 03/17/95 (A) (B) (C) 45,000 45,000
Synthetic Money Market Trust 1994-B
5.862%, 08/11/95 (A) (B) (C) 25,000 25,000
----------
Total Floating Rate Instruments
(Cost $293,977) 293,977
----------
BANK NOTE -- 1.8%
National Bank of Detroit
6.200%, 04/17/95 50,000 50,000
----------
Total Bank Note
(Cost $50,000) 50,000
----------
REPURCHASE AGREEMENTS -- 8.0%
Donaldson, Lufkin, & Jenrette
5.75%, dated 01/31/95, matures 02/01/95, repurchase
price $12,469,992 (collateralized by U.S. Treasury
Note, par value $11,706,000, 8.875%, matures
02/15/99: market value $12,721,000) 12,468
Paine Webber
5.80%, dated 01/31/95, matures 02/01/95, repurchase
price $25,004,028 (collateralized by U.S. Treasury
Note, par value $25,240,000, 7.50%, matures
11/15/01: market value $25,532,000) 25,000
Salomon Brothers
5.82%, dated 01/31/95, matures 02/01/95, repurchase
price $50,008,083 (collateralized by various U.S.
Treasury Notes ranging in par value $3,456,000--
$50,000,000, 5.125%--5.50%, 04/30/96--03/31/98;
with total market value of $51,055,000) 50,000
</TABLE>
14
<PAGE>
--------------------------------------------------------------------------------
<TABLE>
-------------------------------------------------------------------------------
<CAPTION>
Description Value (000)
-------------------------------------------------------------------------------
<S> <C>
Salomon Brothers
5.85%, dated 01/31/95, matures 02/01/95, repurchase price
$50,008,125 (collateralized by various FHLMC obligations
ranging in par value $4,778,875 -- $7,963,132, 6.50% --
9.00%, 02/01/10 -- 01/01/24; FNMA obligations ranging in par
value $4,627,803 -- $6,386,020, 6.00% -- 9.50%, 06/01/09 --
01/01/25; with total market value of $51,329,000) $ 50,000
UBS Securities
5.90%, dated 01/31/95, matures 02/01/95, repurchase price
$87,014,258 (collateralized by various FHLMC obligations
ranging in par value $41,520 -- $8,088,986, 5.00% -- 9.50%,
01/01/98 -- 10/01/23; FNMA obligations ranging in par value
$21,074 -- $12,503,610, 6.00% -- 11.00%, 05/01/00 --
01/01/25; with total market value of $88,740,000) 87,000
----------
Total Repurchase Agreements
(Cost $224,468) 224,468
----------
Total Investments -- 100.2%
(Cost $2,806,891) 2,806,891
----------
OTHER ASSETS AND LIABILITIES -- (0.2)%
Other Assets and Liabilities, Net (6,713)
----------
NET ASSETS:
Portfolio shares of Class A (unlimited authorization -- no par
value) based on 2,778,440,629 outstanding shares of
beneficial interest 2,778,441
Portfolio shares of Class B (unlimited authorization -- no par
value) based on 21,852,601 outstanding shares of beneficial
interest 21,853
Accumulated Net Realized Loss on Investments (116)
----------
TOTAL NET ASSETS -- 100.0% $2,800,178
==========
</TABLE>
<TABLE>
------------------------------------------------------------------------------
<CAPTION>
Face
Description Amount (000) Value (000)
------------------------------------------------------------------------------
<S> <C> <C>
NET ASSET VALUE, OFFERING PRICE AND REDEMPTION PRICE
PER SHARE -- CLASS A $ 1.00
=========
NET ASSET VALUE, OFFERING PRICE AND REDEMPTION PRICE
PER SHARE -- CLASS B $ 1.00
=========
</TABLE>
(A) Floating Rate Instrument. Rate reflected on the Statement of Net Assets is
the rate in effect on January 31, 1995. The date shown is the longer of
the reset date or the demand date.
(B) Private Placement.
(C) Illiquid Security.
FHLB Federal Home Loan Bank
FHLMC Federal Home Loan Mortgage Corporation
FNMA Federal National Mortgage Association
LP Limited Partnership
SLMA Student Loan Marketing Association
GOVERNMENT PORTFOLIO
<TABLE>
<S> <C> <C>
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 93.5%
FHLB
5.780%, 02/01/95 (A) $30,000 $ 29,987
6.235%, 04/25/95 18,255 18,000
6.694%, 07/25/95 5,000 4,846
FHLMC
6.100%, 03/24/95 50,125 49,701
6.148%, 04/04/95 11,100 10,985
6.149%, 04/05/95 3,475 3,439
6.198%, 04/21/95 5,000 4,934
6.199%, 04/21/95 40,000 39,472
FNMA
6.140%, 02/07/95 (A) 22,000 22,000
6.082%, 02/08/95 3,000 2,997
6.017%, 02/15/95 1,120 1,117
6.106%, 02/22/95 1,500 1,495
6.069%, 03/30/95 1,000 991
6.245%, 04/28/95 50,000 49,275
6.318%, 05/11/95 2,555 2,512
6.341%, 05/23/95 30,000 29,433
6.696%, 07/27/95 20,000 19,375
--------
Total U.S. Government Agency Obligations
(Cost $290,559) 290,559
--------
</TABLE>
15
<PAGE>
STATEMENT OF NET ASSETS
--------------------------------------------------------------------------------
SEI Daily Income Trust -- January 31, 1995
GOVERNMENT PORTFOLIO
<TABLE>
-------------------------------------------------------------------------------
<CAPTION>
Description Value (000)
-------------------------------------------------------------------------------
<S> <C>
REPURCHASE AGREEMENTS -- 23.5%
Paine Webber
5.75%, dated 01/31/95, matures 02/01/95, repurchase price
$14,436,305 (collateralized by U.S. Treasury Note, par value
$14,790,000, 6.50%, matures 05/15/97: market value
$14,731,000) $ 14,434
UBS Securities
5.85%, dated 01/31/95, matures 02/01/95, repurchase price
$6,501,056 (collateralized by U.S. Treasury Note, par value
$7,300,000, 5.75%, matures 08/15/03: market value $6,633,000) 6,500
UBS Securities
5.90%, dated 01/31/95, matures 02/01/95, repurchase price
$52,258,563 (collateralized by various FHLMC obligations
ranging in par value $65,000 -- $4,997,695, 5.50% -- 9.50%,
10/01/99 -- 01/01/25; FHLMC obligations ranging in par value
$39,557 -- $26,154,122, 8.00% -- 11.00%, 03/01/05 --
11/01/20; FNMA obligations ranging in par value $25,000 --
$8,445,339, 7.00% -- 10.50%, 04/01/98 -- 02/01/25; with
total market value of $53,295,000) 52,250
--------
Total Repurchase Agreements
(Cost $73,184) 73,184
--------
Total Investments -- 117.0% (Cost $363,743) 363,743
--------
OTHER ASSETS AND LIABILITIES -- (17.0)%
Payable for investment securities purchased (49,275)
Other Assets and Liabilities, Net (3,633)
--------
Total Other Assets and Liabilities (52,908)
--------
NET ASSETS:
Portfolio shares of Class C (unlimited authorization -- no par
value based on 310,909,420 outstanding shares of beneficial
interest 310,909
Accumulated Net Realized Loss on Investments (74)
--------
TOTAL NET ASSETS -- 100.0% $310,835
========
NET ASSET VALUE, OFFERING PRICE AND REDEMPTION PRICE PER
SHARE -- CLASS C $ 1.00
========
</TABLE>
(A) Floating rate instrument. The rate reflected on the Statement of Net
Assets is the rate in effect on January 31, 1995. The date shown is the
longer of the reset date or the demand date.
FHLB Federal Home Loan Bank
FHLMC Federal Home Loan Mortgage Corporation
FNMA Federal National Mortgage Association
TREASURY PORTFOLIO
<TABLE>
------------------------------------------------------------------------------
<CAPTION>
Face
Description Amount (000) Value (000)
------------------------------------------------------------------------------
<S> <C> <C>
U. S. TREASURY OBLIGATIONS -- 32.3%
United States Treasury Bills
6.344%, 07/13/95 $8,000 $ 7,781
6.436%, 08/03/95 5,000 4,845
-------
Total U. S. Treasury Obligations (Cost $12,626) 12,626
-------
REPURCHASE AGREEMENTS -- 80.6%
Donaldson, Lufkin & Jenrette
5.75%, dated 01/31/95, matures 02/01/95, repurchase
price $1,551,248 (collateralized by U.S. Treasury
Note, par value $1,557,000, 8.00%, matures
01/15/97: market value $1,583,000) 1,551
J.P. Morgan
5.75%, dated 01/31/95, matures 02/01/95, repurchase
price $7,501,198 (collateralized by U.S. Treasury
Note, par value $8,237,000, 4.75%, matures
09/30/98: market value $7,654,000) 7,500
Lanston Aubrey
5.80%, dated 01/31/95, matures 02/01/95, repurchase
price $7,501,208 (collateralized by U.S. Treasury
Bill, par value $7,800,000, 5.70%, matures 4/06/95:
market value $7,720,000) 7,500
Lehman Brothers
5.80%, dated 01/31/95, matures 02/01/95, repurchase
price $7,501,208 (collateralized by U.S. Treasury
Note, par value $7,790,000, 7.50%, matures
11/15/16: market value $7,668,000) 7,500
Paine Webber
5.75%, dated 01/31/95, matures 02/01/95, repurchase
price $7,501,198 (collateralized by U.S. Treasury
Note, par value $7,785,000, 7.50%, matures
11/15/16: market value $7,663,000) 7,500
-------
Total Repurchase Agreements
(Cost $31,551) 31,551
-------
Total Investments -- 112.9%
(Cost $44,177) 44,177
-------
</TABLE>
16
<PAGE>
--------------------------------------------------------------------------------
<TABLE>
------------------------------------------------------------------------------
<CAPTION>
Face
Description Amount (000) Value (000)
------------------------------------------------------------------------------
<S> <C> <C>
OTHER ASSETS AND LIABILITIES -- (12.9)%
Payable for investment securities purchased $ (4,845)
Other Assets and Liabilities, Net (203)
---------
Total Other Assets and Liabilities (5,048)
---------
NET ASSETS:
Portfolio shares (unlimited authorization -- no par
value) based on 39,132,422 outstanding shares of
beneficial interest 39,133
Accumulated Net Realized Loss on Investments (4)
---------
TOTAL NET ASSETS -- 100.0% $ 39,129
=========
NET ASSET VALUE, OFFERING PRICE AND REDEMPTION PRICE
PER SHARE -- CLASS A $1.00
=========
TREASURY II PORTFOLIO
U. S. TREASURY OBLIGATIONS -- 99.6%
United States Treasury Bills
5.951%, 04/06/95 $159,230 $157,592
5.857%, 04/13/95 50,000 49,437
5.877%, 04/13/95 15,000 14,830
5.887%, 04/13/95 50,000 49,434
6.656%, 07/06/95 35,000 34,042
United States Treasury Note
5.500%, 02/15/95 135,070 135,065
---------
Total U. S. Treasury Obligations
(Cost $440,400) 440,400
---------
Total Investments -- 99.6%
(Cost $440,400) 440,400
---------
OTHER ASSETS AND LIABILITIES -- 0.4%
Other Assets and Liabilities, Net 1,962
---------
NET ASSETS:
Portfolio shares of Class A (unlimited
authorization -- no par value) based on 397,609,121
outstanding shares of beneficial interest 397,609
</TABLE>
<TABLE>
------------------------------------------------------------------------------
<CAPTION>
Face
Description Amount (000) Value (000)
------------------------------------------------------------------------------
<S> <C> <C>
Portfolio shares of Class B (unlimited
authorization -- no par value) based on 44,675,986
outstanding shares of beneficial interest $ 44,676
Accumulated Net Realized Gain on Investments 77
--------
TOTAL NET ASSETS -- 100.0% $442,362
========
NET ASSET VALUE, OFFERING PRICE AND REDEMPTION PRICE
PER SHARE -- CLASS A $ 1.00
========
NET ASSET VALUE, OFFERING PRICE AND REDEMPTION PRICE
PER SHARE -- CLASS B $ 1.00
========
SHORT-TERM GOVERNMENT PORTFOLIO
U. S. TREASURY OBLIGATIONS -- 84.4%
United States Treasury Notes
5.125%, 11/15/95 $ 3,000 $ 2,964
4.250%, 12/31/95 10,000 9,769
4.625%, 02/15/96 21,000 20,520
4.250%, 05/15/96 10,000 9,656
4.375%, 08/15/96 11,000 10,562
6.875%, 10/31/96 6,000 5,965
4.375%, 11/15/96 10,000 9,526
7.375%, 11/15/97 5,000 4,999
7.750%, 12/31/99 10,000 10,073
--------
Total U. S. Treasury Obligations
(Cost $85,991) 84,034
--------
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 13.6%
FHLMC
6.500%, 07/24/98 5,035 4,720
FNMA
6.750%, 04/06/96 6,090 5,986
5.300%, 10/16/96 3,000 2,870
--------
Total U.S. Government Agency Obligations
(Cost $13,688) 13,576
--------
</TABLE>
17
<PAGE>
STATEMENT OF NET ASSETS
--------------------------------------------------------------------------------
SEI Daily Income Trust -- January 31, 1995
SHORT-TERM GOVERNMENT PORTFOLIO
INTERMEDIATE-TERM GOVERNMENT PORTFOLIO
<TABLE>
------------------------------------------------------------------------------
<CAPTION>
Market
Description Value (000)
------------------------------------------------------------------------------
<S> <C> <C>
REPURCHASE AGREEMENT -- 0.7%
Paine Webber
5.75%, dated 01/31/95, matures 02/01/95, repurchase price
$646,103 (collateralized by U.S. Treasury Note, par value
$639,000, 8.50%, matures 11/15/95: market value $659,000) $ 646
-------
Total Repurchase Agreement
(Cost $646) 646
-------
Total Investments -- 98.7%
(Cost $100,325) 98,256
-------
OTHER ASSETS AND LIABILITIES -- 1.3%
Other Assets and Liabilities, Net 1,333
-------
NET ASSETS:
Portfolio shares of Class A (unlimited authorization -- no
par value) based on 10,221,020 outstanding shares of benefi-
cial interest 102,770
Portfolio shares of Class B (unlimited authorization -- no
par value) based on 13,500 outstanding shares of beneficial
interest 135
Accumulated Net Realized Loss on Investments (1,247)
Accumulated Net Unrealized Loss on Investments (2,069)
-------
TOTAL NET ASSETS -- 100.0% $99,589
=======
NET ASSET VALUE, OFFERING PRICE AND REDEMPTION PRICE PER
SHARE -- CLASS A $ 9.73
=======
NET ASSET VALUE, OFFERING PRICE AND REDEMPTION PRICE PER
SHARE -- CLASS B $ 9.71
=======
</TABLE>
FHLMC Federal Home Loan Mortgage Corporation
FNMA Federal National Mortgage Association
<TABLE>
------------------------------------------------------------------------------
<CAPTION>
Face Market
Description Amount (000) Value (000)
------------------------------------------------------------------------------
<S> <C> <C>
U. S. TREASURY
OBLIGATIONS -- 77.8%
United States Treasury Notes
6.875%, 10/31/96 $13,000 $ 12,923
6.500%, 08/15/97 17,500 17,144
6.000%, 12/31/97 10,000 9,633
5.625%, 01/31/98 45,000 42,817
5.125%, 06/30/98 23,000 21,379
4.750%, 10/31/98 25,000 22,770
5.875%, 03/31/99 30,000 28,239
7.500%, 10/31/99 15,000 14,964
7.500%, 11/15/01 20,000 19,911
--------
Total U. S. Treasury Obligations
(Cost $198,784) 189,780
--------
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 19.0%
FHLMC
5.000%, 04/02/97 5,000 4,713
6.500%, 07/24/98 7,586 7,112
6.250%, 07/21/99 7,000 6,568
5.950%, 01/26/98 10,000 9,389
FNMA
5.250%, 05/13/96 20,000 18,501
--------
Total U.S. Government Agency Obligations
(Cost $46,645) 46,283
--------
REPURCHASE AGREEMENT -- 2.0%
Paine Webber
5.75%, dated 01/31/95, matures 02/01/95, repurchase
price $4,817,769 (collateralized by U.S. Treasury
Note, par value $4,835,000, 6.75%, matures
02/28/97: market value $4,922,000) 4,817
--------
Total Repurchase Agreement
(Cost $4,817) 4,817
--------
Total Investments -- 98.8%
(Cost $250,246) 240,880
--------
OTHER ASSETS AND LIABILITIES -- 1.2%
Other Assets and Liabilites, Net 2,983
--------
</TABLE>
18
<PAGE>
--------------------------------------------------------------------------------
CORPORATE DAILY INCOME PORTFOLIO
<TABLE>
--------------------------------------------------------------------------------
<CAPTION>
Market
Description Value (000)
--------------------------------------------------------------------------------
<S> <C>
NET ASSETS:
Portfolio Shares of Class A (unlimited authorization -- no par
value) based on 26,124,963 outstanding shares of beneficial
interest $261,338
Portfolio Shares of Class B (unlimited authorization -- no par
value) based on 9,945 outstanding shares of beneficial
interest 96
Portfolio Shares of ProVantage Funds (unlimited
authorization -- no par value) based on 10,657 outstanding
shares of beneficial interest 112
Accumulated Net Realized Loss on Investments (8,317)
Accumulated Net Unrealized Loss on Investments (9,366)
--------
TOTAL NET ASSETS -- 100.0% $243,863
========
NET ASSET VALUE, OFFERING PRICE AND REDEMPTION PRICE PER
SHARE --
CLASS A $ 9.33
========
NET ASSET VALUE, OFFERING PRICE AND REDEMPTION PRICE PER
SHARE --
CLASS B $ 9.33
========
NET ASSET VALUE AND REDEMPTION PRICE PER SHARE -- PROVANTAGE
FUNDS $ 9.32
========
MAXIMUM OFFERING PRICE PER SHARE -- PROVANTAGE FUNDS
(9.32 / 96.5%)+ $ 9.66
========
</TABLE>
+ The maximum offering price per share is calculated by dividing the net asset
value by 1 minus the maximum sales charge of 3.50%.
FHLMC Federal Home Loan Mortgage Corporation
FNMA Federal National Mortgage Association
<TABLE>
--------------------------------------------------------------------------------
<CAPTION>
Face Market
Description Amount (000) Value (000)
--------------------------------------------------------------------------------
<S> <C> <C>
CORPORATE OBLIGATIONS -- 25.0%
BankAmerica Corporate
6.575%, 03/21/95 (A) $2,000 $ 1,992
Caterpillar MTN
7.440%, 04/03/95 (A) 1,000 980
Central Fidelity Bank
4.700%, 02/15/95 1,000 999
Continental Bank
6.312%, 02/15/95 (A) 825 821
Dean Witter Discover
5.996%, 02/15/95 (A) 1,000 1,000
Ford Motor Credit
6.840%, 02/15/99 1,500 1,468
General Electric Capital
5.990%, 02/01/95 (A) 1,000 999
General Motors Acceptance
7.600%, 03/27/95 (A) 1,000 984
9.400%, 05/30/95 MTN 500 504
5.300%, 09/08/95 MTN 300 297
5.150%, 09/14/95 MTN 100 99
Sears Roebuck MTN
7.084%, 03/10/95 (A) 1,000 995
Wells Fargo
6.500%, 03/15/95 (A) 1,500 1,500
-------
Total Corporate Obligations
(Cost $13,346) 12,638
-------
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 18.6%
FHLMC
6.500%, 11/11/97 508 492
6.500%, 12/06/97 365 353
6.500%, 12/06/97 25 24
6.500%, 01/23/98 627 607
6.000%, 03/04/98 893 854
6.000%, 03/22/98 864 826
6.500%, 01/15/00 2,000 1,935
FNMA
8.070%, 01/24/97 3,000 3,012
FNMA 91-79
6.400%, 02/25/95 (A) 1,290 1,290
-------
Total U.S. Government Agency Obligations
(Cost $9,560) 9,393
-------
</TABLE>
19
<PAGE>
STATEMENT OF NET ASSETS
--------------------------------------------------------------------------------
SEI Daily Income Trust -- January 31, 1995
CORPORATE DAILY INCOME PORTFOLIO
<TABLE>
--------------------------------------------------------------------------------
<CAPTION>
Face Market
Description Amount (000) Value (000)
--------------------------------------------------------------------------------
<S> <C> <C>
ASSET BACKED SECURITIES -- 18.6%
Daimler-Benz Auto Grantor
Trust 93-A
3.900%, 01/06/96 $ 462 $ 447
Ford Credit Grantor Trust 93-B
4.300%, 03/04/96 524 508
Ford Credit Grantor Trust 94-B
7.300%, 09/06/96 1,420 1,409
General Motors Acceptance 94-1
4.150%, 11/23/95 177 173
4.000%, 02/18/96 450 438
6.300%, 07/28/96 1,130 1,109
IBM Credit Receivables Lease Asset Master Trust
4.550%, 04/20/96 1,296 1,251
MBNA Master Credit 94-DA
6.090%, 03/15/00 1,500 1,498
Premier Auto Trust 92-5
4.550%, 02/04/96 254 247
Premier Auto Trust 93-6 A2
4.650%, 07/10/96 823 788
Premier Auto Trust 94-1 A2
6.074%, 02/02/95 (A) 1,106 1,105
Toyota Auto Receivables 93-A
3.900%, 11/05/95 431 419
-------
Total Asset Backed Securities
(Cost $8,898) 9,392
-------
U. S. TREASURY OBLIGATIONS -- 19.6%
U.S. Treasury Notes
6.500%, 09/30/96 4,000 3,956
6.875%, 10/31/96 6,000 5,965
-------
Total U. S. Treasury Obligations
(Cost $9,995) 9,921
-------
COMMERCIAL PAPER -- 8.9%
American Home
5.920%, 02/06/95 1,500 1,499
CIESCO LP
6.170%, 04/18/95 1,500 1,480
Merrill Lynch
5.850%, 02/02/95 1,500 1,499
-------
Total Commercial Paper
(Cost $4,479) 4,478
-------
</TABLE>
<TABLE>
------------------------------------------------------------------------------
<CAPTION>
Market
Description Value (000)
------------------------------------------------------------------------------
<S> <C>
REPURCHASE AGREEMENT -- 12.6%
Paine Webber
5.75%, dated 01/31/95, matures 02/01/95,
repurchase price $6,338,012 (collateralized by
U.S. Treasury Note, par value $6,273,000, 8.50%,
matures 11/15/95: market value $6,534,000) $ 6,337
-------
Total Repurchase Agreement
(Cost $6,337) 6,337
-------
Total Investments -- 103.3%
(Cost $52,615) 52,159
-------
OTHER ASSETS AND LIABILITIES -- (3.3)%
Other Assets and Liabilities, Net ( 1,664)
-------
NET ASSETS:
Portfolio shares (unlimited authorization -- no par
value) based on 25,713,916 outstanding shares of
beneficial interest 51,317
Accumulated Net Realized Loss on Investments ( 366)
Accumulated Net Unrealized Loss on Investments ( 456)
-------
TOTAL NET ASSETS -- 100.0% $50,495
=======
NET ASSET VALUE, OFFERING PRICE AND REDEMPTION PRICE PER
SHARE -- CLASS A $ 1.96
=======
</TABLE>
(A) Floating Rate Instrument. The rate reflected on the Statement of Net
Assets is the rate in effect on January 31, 1995. The date shown is the
longer of the reset date or the demand date.
FHLMC Federal Home Loan Mortgage Corporation
FNMA Federal National Mortgage Association
LP Limited Partnership
MTN Medium Term Note
20
<PAGE>
SCHEDULE OF INVESTMENTS
--------------------------------------------------------------------------------
SEI Daily Income Trust -- January 31, 1995
GNMA PORTFOLIO
<TABLE>
--------------------------------------------------------------------------------
<CAPTION>
Face Market
Description Amount (000) Value (000)
--------------------------------------------------------------------------------
<S> <C> <C>
GNMA -- 95.7%
6.50% 09/15/23 -- 12/15/23 $20,527 $ 18,115
7.00% 12/15/22 -- 04/15/24 47,857 43,758
7.50% 02/15/17 -- 11/15/23 35,442 33,483
8.00% 12/15/21 -- 01/01/25 16,065 15,635
8.50% 10/15/16 -- 08/15/22 20,867 20,842
9.00% 05/15/16 -- 07/15/22 20,546 20,987
9.50% 06/15/09 -- 12/15/20 13,804 14,362
10.00% 02/15/13 -- 07/15/20 4,574 4,872
10.50% 03/15/18 254 275
11.00% 12/15/09 -- 11/15/14 1,824 1,994
11.50% 04/15/10 -- 02/15/13 107 118
12.00% 01/15/13 -- 04/15/14 26 29
12.50% 12/15/06 -- 07/15/15 84 94
--------
Total GNMA
(Cost $185,299) 174,564
--------
REPURCHASE AGREEMENT -- 6.9%
Paine Webber
5.75%, dated 01/31/95, matures 02/01/95, repurchase
price $12,591,011 (collateralized by U.S. Treasury
Note, par value $12,710,000, 6.50%, matures
09/30/96: market value $12,846,000) 12,589
--------
Total Repurchase Agreement
(Cost $12,589) 12,589
--------
TOTAL INVESTMENTS (102.6% OF NET ASSETS)
(COST $197,888) $187,153
========
</TABLE>
<TABLE>
SHORT-TERM MORTGAGE PORTFOLIO
--------------------------------------------------------------------------------
<CAPTION>
Face Market
Description Amount (000) Value (000)
--------------------------------------------------------------------------------
<S> <C> <C>
GNMA -- 95.7%
6.50% 09/15/23 -- 12/15/23 $20,527 $ 18,115
U.S. MORTGAGE-BACKED
OBLIGATIONS -- 88.5%
FHLMC
6.106%, 01/21/06 (A) $162 $ 158
7.000%, 05/20/96 89 88
8.500%, 11/22/97 255 254
7.500%, 07/10/97 173 169
FHLMC IO
7.000%, 01/19/98 498 84
FNMA
7.000%, 10/16/97 150 146
7.161%, 03/14/00 (A) 316 322
7.500%, 05/26/00 (A) 565 581
GNMA
7.000%, 02/01/95 (A) 245 247
12.000%, 09/15/98 60 65
12.000%, 10/15/98 45 50
9.750%, 01/15/00 132 137
11.000%, 08/15/00 67 73
11.000%, 11/15/00 155 167
11.000%, 12/15/00 72 78
11.000%, 01/15/01 55 59
10.000%, 04/20/01 189 193
9.000%, 05/15/01 42 43
9.000%, 11/15/01 25 26
9.000%, 12/15/01 30 31
10.750%, 03/15/03 46 48
10.750%, 12/20/14 75 78
9.250%, 11/20/16 93 95
------
Total U.S. Mortgage-Backed Obligations
(Cost $3,183) 3,192
------
U. S. TREASURY OBLIGATIONS -- 8.4%
U.S. Treasury Notes
6.500%, 05/15/97 100 98
5.750%, 10/31/97 215 206
------
Total U. S. Treasury Obligations
(Cost $303) 304
------
</TABLE>
21
<PAGE>
SCHEDULE OF INVESTMENTS
--------------------------------------------------------------------------------
SEI Daily Income Trust -- January 31, 1995
SHORT-TERM MORTGAGE PORTFOLIO
<TABLE>
--------------------------------------------------------------------------------
<CAPTION>
Market
Description Value (000)
--------------------------------------------------------------------------------
<S> <C>
REPURCHASE AGREEMENT -- 1.3%
Paine Webber
5.75%, dated 01/31/95, matures 02/01/95, repurchase price
$48,008 (collateralized by U.S. Treasury Note, par value
$48,000, 8.50%, matures 11/15/95: market value $49,000) $ 48
------
Total Repurchase Agreement
(Cost $48) 48
------
TOTAL INVESTMENTS (98.2% OF NET ASSETS)
(COST $3,534) $3,544
======
</TABLE>
(A) Adjustable Rate Mortgage. The rate reflected on the Statement of Net
Assets is the rate in effect on January 31, 1995.
FNMA Federal National Mortgage Association
FHLMC Federal Home Loan Mortgage Corporation
GNMA Government National Mortgage Association
IO Interest Only
The accompanying notes are an integral part of the financial statements.
22
<PAGE>
STATEMENTS OF ASSETS AND LIABILITIES (000)
-------------------------------------------------------------------------------
SEI Daily Income Trust -- as of January 31, 1995
<TABLE>
<CAPTION>
-------- -----------
SHORT-TERM
GNMA MORTGAGE/1/
-------- -----------
<S> <C> <C>
ASSETS:
Investments at market value (identified cost $197,888
and $3,534 respectively) $187,153 $3,544
Cash 282 8
Receivable for investment securities sold 24,113 160
Accrued interest receivable 1,191 28
Receivable for capital shares sold 9 --
Other assets 14 4
-------- ------
Total assets 212,762 3,744
-------- ------
LIABILITIES:
Payable for investment securities purchased 24,078 98
Payable for capital shares purchased 4,943 4
Distribution payable 1,229 24
Accrued expenses payable 104 11
-------- ------
Total liabilities 30,354 137
-------- ------
NET ASSETS:
Portfolio shares of Class A (unlimited authorization --
no par value) based on 19,871,553 and 374,082
outstanding shares of beneficial interest,
respectively 202,621 3,751
Portfolio shares of Class B (unlimited authorization --
no par value) based on 1,567 and 0 outstanding shares
of beneficial interest, respectively 14 --
Portfolio shares of ProVantage Funds (unlimited
authorization -- no par value) based on 18,398 and 0
outstanding shares of beneficial interest,
respectively 183 --
Accumulated net realized loss on investments (9,675) (154)
Accumulated net unrealized gain (loss) on investments (10,735) 10
-------- ------
TOTAL NET ASSETS $182,408 $3,607
======== ======
NET ASSET VALUE, OFFERING PRICE AND REDEMPTION PRICE PER
SHARE -- CLASS A $ 9.17 $ 9.64
======== ======
NET ASSET VALUE, OFFERING PRICE AND REDEMPTION PRICE PER
SHARE -- CLASS B $ 9.17 --
======== ======
NET ASSET VALUE AND REDEMPTION PRICE PER SHARE --
PROVANTAGE FUNDS $ 9.16 --
======== ======
MAXIMUM OFFERING PRICE PER SHARE-PROVANTAGE FUNDS
(9.16/95.5%)+ $ 9.59 --
======== ======
</TABLE>
+ The maximum offering price per share is calculated by dividing the net asset
value by 1 minus the maximum sales charge of 4.50%.
1 As of January 31, 1995, only the Class A shares of the Short-Term Mortgage
Portfolio were outstanding.
Amounts designated as "--" are either $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
23
<PAGE>
STATEMENTS OF OPERATIONS (000)
--------------------------------------------------------------------------------
SEI Daily Income Trust -- for the period ended January 31, 1995
<TABLE>
<CAPTION>
------------ --------- ------------ ------------- ----------
FEDERAL MONEY PRIME
SECURITIES MARKET GOVERNMENT GOVERNMENT II OBLIGATION
PORTFOLIO/2/ PORTFOLIO PORTFOLIO/3/ PORTFOLIO PORTFOLIO
------------ --------- ------------ ------------- ----------
<S> <C> <C> <C> <C> <C>
Interest Income $338 $10,143 $8,489 $34,272 $103,094
---- ------- ------ ------- --------
EXPENSES:
Management fee 52 711 406 1,435 4,248
Less management fees
waived (2) (491) (285) (574) (1,697)
Investment advisory fee 2 59 46 206 608
Less investment
advisory fees waived -- (13) (34) (150) (443)
Custodian/wire agent
fees 7 51 31 109 337
Trustee fees -- 5 4 18 54
Registration & filing
fees (5) 41 109 142 450
Distribution fees(1) 3 79 893 282 736
Other -- 34 15 85 240
Amortization of
deferred
organizational costs -- -- -- -- --
---- ------- ------ ------- --------
Total expenses 57 476 1,185 1,553 4,533
---- ------- ------ ------- --------
NET INVESTMENT INCOME 281 9,667 7,304 32,719 98,561
---- ------- ------ ------- --------
NET REALIZED AND
UNREALIZED GAIN (LOSS)
ON INVESTMENTS
Net realized gain
(loss) from security
transactions (7) (12) (74) (87) (138)
---- ------- ------ ------- --------
Net change in
unrealized
appreciation
(depreciation) of
investments -- -- -- -- --
---- ------- ------ ------- --------
NET INCREASE (DECREASE)
IN NET ASSETS FROM
OPERATIONS $274 $ 9,655 $7,230 $32,632 $ 98,423
==== ======= ====== ======= ========
</TABLE>
1 Includes class specific expenses of approximately $13, $845, $42, $62, $76,
$1, and $1 for the Money Market, Government, Government II, Prime Obligation,
Treasury II, Intermediate-Term Government, and GNMA Portfolios, respectively.
2 Federal Securities Portfolio closed on July 15, 1994.
3 Government Portfolio reopened on April 7, 1994.
Amounts designated as "--" are either $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
24
<PAGE>
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
--------- ----------- ---------- ------------- --------- --------- ----------
INTERMEDIATE- CORPORATE
SHORT-TERM TERM DAILY SHORT-TERM
TREASURY TREASURY II GOVERNMENT GOVERNMENT GNMA INCOME MORTGAGE
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
--------- ----------- ---------- ------------- --------- --------- ----------
<S> <C> <C> <C> <C> <C> <C>
$2,095 $16,840 $ 5,146 $ 17,019 $ 17,897 $2,149 $ 263
------ ------- ------- -------- -------- ------ -----
115 929 394 1,054 778 152 17
(59) (313) (61) (188) (34) (82) (9)
13 105 104 278 225 42 5
(10) (77) (16) (43) (35) (6) --
7 56 15 48 44 6 1
1 9 3 8 5 1 --
7 83 8 24 17 8 --
15 196 35 95 78 13 2
5 53 25 80 73 7 --
2 3 -- -- -- 11 6
------ ------- ------- -------- -------- ------ -----
96 1,044 507 1,356 1,151 152 22
------ ------- ------- -------- -------- ------ -----
1,999 15,796 4,639 15,663 16,746 1,997 241
------ ------- ------- -------- -------- ------ -----
(3) 95 (1,375) (8,331) (9,770) (367) (148)
------ ------- ------- -------- -------- ------ -----
-- -- (2,532) (16,030) (14,407) (442) 12
------ ------- ------- -------- -------- ------ -----
$1,996 $15,891 $ 732 $ (8,698) $ (7,431) $1,188 $ 105
====== ======= ======= ======== ======== ====== =====
</TABLE>
25
<PAGE>
STATEMENTS OF CHANGES IN NET ASSETS (000)
--------------------------------------------------------------------------------
SEI Daily Income Trust -- for the period ended January 31, 1995
<TABLE>
<CAPTION>
-------------------- ------------------------
FEDERAL MONEY
SECURITIES MARKET
-------------------- ------------------------
1995/1/ 1994 1995 1994
-------------------- ------------------------
<S> <C> <C> <C> <C>
OPERATIONS:
Net investment income $ 281 $ 814 $ 9,667 $ 6,452
Net realized gain (loss)
from securities transac-
tions (7) 6 (12) 24
--------- --------- ----------- -----------
Net increase in net assets
resulting from operations 274 820 9,655 6,476
--------- --------- ----------- -----------
DIVIDENDS DISTRIBUTED FROM:
Net investment income:
Class A (281) (814) (9,468) (6,404)
Class B -- -- (199) (48)
Class C -- -- -- --
Net realized gains -- -- -- --
--------- --------- ----------- -----------
Total dividends distributed (281) (814) (9,667) (6,452)
--------- --------- ----------- -----------
CAPITAL SHARE TRANSACTIONS
(ALL AT $1.00 PER SHARE):
Class A:
Proceeds from shares issued 88,616 247,602 2,811,452 2,641,632
Shares issued in lieu of
cash distributions -- -- 38 29
Cost of shares repurchased (113,455) (328,263) (2,801,293) (2,702,331)
--------- --------- ----------- -----------
Increase (decrease) in net
assets from Class A trans-
actions (24,839) (80,661) 10,197 (60,670)
--------- --------- ----------- -----------
Class B:
Proceeds from shares issued -- -- 13,161 3,985
Shares issued in lieu of
cash distributions -- -- -- --
Cost of shares repurchased -- -- (9,181) (1,961)
--------- --------- ----------- -----------
Increase (decrease) in net
assets from Class B trans-
actions -- -- 3,980 2,024
--------- --------- ----------- -----------
Class C:
Proceeds from shares issued -- -- -- --
Shares issued in lieu of
cash distributions -- -- -- --
Cost of shares repurchased -- -- -- --
--------- --------- ----------- -----------
Increase (decrease) in net
assets from Class C trans-
actions -- -- -- --
--------- --------- ----------- -----------
INCREASE (DECREASE) IN NET
ASSETS DERIVED FROM CAPITAL
SHARE TRANSACTIONS (24,839) (80,661) 14,177 (58,646)
--------- --------- ----------- -----------
Net increase (decrease) in
net assets (24,846) (80,655) 14,165 (58,622)
--------- --------- ----------- -----------
NET ASSETS:
Beginning of Period 24,846 105,501 206,137 264,759
--------- --------- ----------- -----------
End of Period $ -- $ 24,846 $ 220,302 $ 206,137
========= ========= =========== ===========
</TABLE>
1 Federal Portfolio closed on July 15, 1994.
2 Government Portfolio reopened on April 7, 1994.
3 Government Portfolio closed on June 2, 1993.
Amounts designated as "--" are either $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
26
<PAGE>
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
-------------------- ------------------------ -------------------------- -------------------- ------------------------
PRIME
GOVERNMENT GOVERNMENT II OBLIGATION TREASURY TREASURY II
-------------------- ------------------------ -------------------------- -------------------- ------------------------
1995/2/ 1994/3/ 1995 1994 1995 1994 1995 1994 1995 1994
-------------------- ------------------------ -------------------------- -------------------- ------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
$ 7,304 $ 174 $ 32,719 $ 20,352 $ 98,561 $ 64,328 $ 1,999 $ 1,312 $ 15,796 $ 10,659
(74) 5 (87) 19 (138) 109 (3) 1 95 28
--------- -------- ----------- ----------- ------------ ------------ --------- --------- ----------- -----------
7,230 179 32,632 20,371 98,423 64,437 1,996 1,313 15,891 10,687
--------- -------- ----------- ----------- ------------ ------------ --------- --------- ----------- -----------
-- (174) (32,116) (20,186) (97,805) (63,215) (1,999) (1,312) (14,850) (10,357)
-- -- (603) (166) (647) (82) -- -- (946) (302)
(7,304) -- -- -- (109) (1,031) -- -- -- --
-- -- -- -- -- -- -- -- -- --
--------- -------- ----------- ----------- ------------ ------------ --------- --------- ----------- -----------
(7,304) (174) (32,719) (20,352) (98,561) (64,328) (1,999) (1,312) (15,796) (10,659)
--------- -------- ----------- ----------- ------------ ------------ --------- --------- ----------- -----------
-- 42,310 3,658,726 4,310,605 16,480,679 16,194,065 225,159 138,136 2,198,439 2,137,457
-- -- 623 409 18,646 9,927 -- -- 5,301 3,069
-- (62,337) (3,610,898) (4,237,533) (16,261,984) (16,227,315) (232,323) (136,465) (2,170,484) (2,128,653)
--------- -------- ----------- ----------- ------------ ------------ --------- --------- ----------- -----------
(20,027) 48,451 73,481 237,341 (23,323) (7,164) 1,671 33,256 11,873
--------- -------- ----------- ----------- ------------ ------------ --------- --------- ----------- -----------
-- -- 70,987 25,585 56,734 14,081 -- -- 157,948 117,043
-- -- 57 -- 5 -- -- -- 4 16
-- -- (77,304) (4,461) (41,198) (12,468) -- -- (135,723) (100,651)
--------- -------- ----------- ----------- ------------ ------------ --------- --------- ----------- -----------
-- -- (6,260) 21,124 15,541 1,613 -- -- 22,229 16,408
--------- -------- ----------- ----------- ------------ ------------ --------- --------- ----------- -----------
824,507 -- -- -- 3,479 115,139 -- -- -- --
6,347 -- -- -- -- -- -- -- -- --
(519,945) -- -- -- (24,085) (179,862) -- -- -- --
--------- -------- ----------- ----------- ------------ ------------ --------- --------- ----------- -----------
310,909 -- -- -- (20,606) (64,723) -- -- -- --
--------- -------- ----------- ----------- ------------ ------------ --------- --------- ----------- -----------
310,909 (20,027) 42,191 94,605 232,276 (86,433) (7,164) 1,671 55,485 28,281
--------- -------- ----------- ----------- ------------ ------------ --------- --------- ----------- -----------
310,835 (20,022) 42,104 94,624 232,138 (86,324) (7,167) 1,672 55,580 28,309
--------- -------- ----------- ----------- ------------ ------------ --------- --------- ----------- -----------
-- 20,022 759,502 664,878 2,568,040 2,654,364 46,296 44,624 386,782 358,473
--------- -------- ----------- ----------- ------------ ------------ --------- --------- ----------- -----------
$ 310,835 $ -- $ 801,606 $ 759,502 $ 2,800,178 $ 2,568,040 $ 39,129 $ 46,296 $ 442,362 $ 386,782
========= ======== =========== =========== ============ ============ ========= ========= =========== ===========
</TABLE>
27
<PAGE>
STATEMENTS OF CHANGES IN NET ASSETS (000)
--------------------------------------------------------------------------------
SEI Daily Income Trust -- for the period ended January 31, 1995
<TABLE>
<CAPTION>
------------------ ------------------
SHORT-TERM INTERMEDIATE-TERM
GOVERNMENT GOVERNMENT
------------------ ------------------
1995 1994 1995 1994
------------------ ------------------
<S> <C> <C> <C> <C>
OPERATIONS:
Net investment income $ 4,639 $ 4,416 $ 15,663 $ 16,087
Net realized gain (loss) from
security transactions (1,375) 1,190 (8,331) 6,818
Net change in unrealized
appreciation (depreciation) of
investments (2,532) (828) (16,030) (3,988)
-------- -------- -------- --------
Net increase (decrease) in net
assets resulting from operations 732 4,778 (8,698) 18,917
-------- -------- -------- --------
DIVIDENDS DISTRIBUTED FROM:
Net investment income:
Class A (4,636) (4,365) (15,655) (16,033)
Class B (3) (51) (3) --
ProVantage Funds -- -- (7) (1)
Net Realized Gains:
Class A (143) (1,254) (2,132) (6,619)
Class B -- (16) (1) --
ProVantage Funds -- -- (1) (2)
-------- -------- -------- --------
Total dividends distributed (4,782) (5,686) (17,799) (22,655)
-------- -------- -------- --------
CAPITAL SHARE TRANSACTIONS:
Class A:
Proceeds from shares issued 61,290 97,489 109,590 165,868
Shares issued in lieu of cash
distributions 1,556 1,754 2,663 3,212
Cost of shares repurchased (87,404) (69,044) (178,914) (88,017)
-------- -------- -------- --------
Increase (decrease) in net assets
derived from Class A transactions (24,558) 30,199 (66,661) 81,063
-------- -------- -------- --------
Class B:
Proceeds from shares issued 112 7 96 --
Shares issued in lieu of cash
distributions -- 63 -- --
Cost of shares repurchased (15) (1,549) -- --
-------- -------- -------- --------
Increase (decrease) in net assets
derived from Class B transactions 97 (1,479) 96 --
-------- -------- -------- --------
ProVantage Funds:
Proceeds from shares issued -- -- 142 106
Proceeds from issued in lieu of cash
distributions -- -- 7 2
Cost of shares repurchased -- -- (145) --
-------- -------- -------- --------
Increase in net assets derived from
ProVantage Funds transactions -- -- 4 108
-------- -------- -------- --------
INCREASE (DECREASE) IN NET ASSETS
DERIVED FROM CAPITAL SHARE
TRANSACTIONS (24,461) 28,720 (66,561) 81,171
-------- -------- -------- --------
Net increase (decrease) in net
assets (28,511) 27,812 (93,058) 77,433
-------- -------- -------- --------
NET ASSETS:
Beginning of period 128,100 100,288 336,921 259,488
-------- -------- -------- --------
End of period $ 99,589 $128,100 $243,863 $336,921
======== ======== ======== ========
CAPITAL SHARE TRANSACTIONS:
Class A:
Shares issued 6,239 9,618 11,387 16,127
Shares issued in lieu of cash
distributions 159 174 280 314
Shares repurchased (8,911) (6,808) (18,803) (8,552)
-------- -------- -------- --------
Total Class A transactions (2,513) 2,984 (7,136) 7,889
-------- -------- -------- --------
Class B:
Shares issued 11 1 10 --
Shares issued in lieu of cash
distributions -- 6 -- --
Shares repurchased (1) (154) -- --
-------- -------- -------- --------
Total Class B transactions 10 (147) 10 --
-------- -------- -------- --------
ProVantage Funds:
Shares issued -- -- 14 10
Shares issued in lieu of cash
distributions -- -- 1 --
Shares repurchased -- -- (15) --
-------- -------- -------- --------
Total ProVantage Funds transactions -- -- -- 10
-------- -------- -------- --------
Increase (decrease) in capital
shares (2,503) 2,837 (7,126) 7,899
======== ======== ======== ========
Undistributed (distributions in
excess of) net investment income 0 0 0 2
======== ======== ======== ========
</TABLE>
The accompanying notes are an integral part of the financial statements.
28
<PAGE>
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
---------------------- -------------------------- -------------------------
CORPORATE
DAILY SHORT-TERM
GNMA INCOME MORTGAGE
---------------------- -------------------------- -------------------------
1995 1994 1995 1994 1995 1994
---------------------- -------------------------- -------------------------
<S> <C> <C> <C> <C> <C>
$ 16,746 $ 15,132 $ 1,997 $ 430 $ 241 $ 36
(9,770) 2,719 (367) 1 (148) (6)
(14,407) (4,277) (442) (14) 12 (2)
-------- -------- -------- ------- ------- -------
(7,431) 13,574 1,188 417 105 28
-------- -------- -------- ------- ------- -------
(16,618) (15,247) (1,997) (430) (241) (36)
(1) -- -- -- -- --
(10) (2) -- -- -- --
(66) (2,438) -- -- -- --
-- -- -- -- -- --
-- (1) -- -- -- --
-------- -------- -------- ------- ------- -------
(16,695) (17,688) (1,997) (430) (241) (36)
-------- -------- -------- ------- ------- -------
96,860 175,799 51,564 52,881 5,704 5,243
3,898 4,154 1,071 215 95 10
(156,581) (106,883) (44,986) (9,428) (5,977) (1,324)
-------- -------- -------- ------- ------- -------
(55,823) 73,070 7,649 43,668 (178) 3,929
-------- -------- -------- ------- ------- -------
28 -- -- -- -- --
-- -- -- -- -- --
(14) -- -- -- -- --
-------- -------- -------- ------- ------- -------
14 -- -- -- -- --
-------- -------- -------- ------- ------- -------
47 143 -- -- -- --
8 2 -- -- -- --
(7) (10) -- -- -- --
-------- -------- -------- ------- ------- -------
48 135 -- -- -- --
-------- -------- -------- ------- ------- -------
(55,761) 73,205 7,649 43,668 (178) 3,929
-------- -------- -------- ------- ------- -------
(79,887) 69,091 6,840 43,655 (314) 3,921
-------- -------- -------- ------- ------- -------
262,295 193,204 43,655 0 3,921 0
-------- -------- -------- ------- ------- -------
$182,408 $262,295 $ 50,495 $43,655 $ 3,607 $ 3,921
======== ======== ======== ======= ======= =======
10,398 17,191 26,175 26,462 584 529
421 409 544 108 10 --
(16,985) (10,475) (22,845) (4,730) (616) (134)
-------- -------- -------- ------- ------- -------
(6,166) 7,125 3,874 21,840 (22) 395
-------- -------- -------- ------- ------- -------
3 -- -- -- -- --
-- -- -- -- -- --
(1) -- -- -- -- --
-------- -------- -------- ------- ------- -------
2 -- -- -- -- --
-------- -------- -------- ------- ------- -------
5 14 -- -- -- --
1 -- -- -- -- --
(1) (1) -- -- -- --
-------- -------- -------- ------- ------- -------
5 13 -- -- -- --
-------- -------- -------- ------- ------- -------
(6,159) 7,138 3,874 21,840 (22) 395
======== ======== ======== ======= ======= =======
0 (117) 0 0 0 0
======== ======== ======== ======= ======= =======
</TABLE>
29
<PAGE>
FINANCIAL HIGHLIGHTS
--------------------------------------------------------------------------------
SEI Daily Income Trust -- for the period ended January 31, 1995
For a Share Outstanding Throughout each Period
<TABLE>
<CAPTION>
Net Asset Net Realized and Dividends Distributions Ratio of
Value Net Unrealized from Net from Net Asset Net Assets Expenses
Beginning Investment Gains (Losses) Investment Realized Capital Value End Total End of to Average
of Period Income on Securities Income Gains of Period Return Period (000) Net Assets
-----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
------------------
FEDERAL SECURITIES
------------------
1995(1) $1.00 $0.01 -- $(0.01) -- $1.00 1.37%+ 0 0.60%
1994 1.00 0.03 -- (0.03) -- 1.00 2.70 24,846 0.60
1993 1.00 0.03 -- (0.03) -- 1.00 3.28 105,501 0.60
1992 1.00 0.05 -- (0.05) -- 1.00 5.31 201,631 0.60
1991 1.00 0.07 -- (0.07) -- 1.00 7.70 209,194 0.60
1990 1.00 0.08 -- (0.08) -- 1.00 8.73 166,177 0.60
1989 1.00 0.07 -- (0.07) -- 1.00 7.32 37,093 0.60
1988 1.00 0.06 -- (0.06) -- 1.00 6.23 85,518 0.60
1987 1.00 0.06 -- (0.06) -- 1.00 6.24 109,271 0.60
1986 1.00 0.07 -- (0.07) -- 1.00 7.59 96,831 0.60
-------------
MONEY MARKET
-------------
CLASS A
1995 $1.00 $0.04 -- $(0.04) -- $1.00 4.55% 213,988 0.21%
1994 1.00 0.03 -- (0.03) -- 1.00 2.98 203,803 0.35
1993 1.00 0.04 -- (0.04) -- 1.00 3.60 264,450 0.35
1992 1.00 0.06 -- (0.06) -- 1.00 5.76 312,151 0.35
1991 1.00 0.08 -- (0.08) -- 1.00 8.18 815,847 0.33
1990 1.00 0.09 -- (0.09) -- 1.00 9.24 589,683 0.35
1989 1.00 0.08 -- (0.08) -- 1.00 7.82 507,821 0.35
1988 1.00 0.07 -- (0.07) -- 1.00 6.90 606,117 0.35
1987 1.00 0.06 -- (0.06) -- 1.00 6.67 295,121 0.35
1986 1.00 0.08 -- (0.08) -- 1.00 8.29 300,059 0.35
CLASS B
1995 1.00 0.04 -- (0.04) -- 1.00 4.24 6,314 0.51
1994 1.00 0.03 -- (0.03) -- 1.00 2.68 2,334 0.65
1993 1.00 0.04 -- (0.04) -- 1.00 3.29 309 0.65
1992 1.00 0.05 -- (0.05) -- 1.00 5.45 2,305 0.53
1991(2) 1.00 0.02 -- (0.02) -- 1.00 7.37 830 0.65
--------------------
GOVERNMENT PORTFOLIO
--------------------
CLASS A
1994(3) $1.00 $0.01 -- $(0.01) -- $1.00 3.22% 0 0.20%
1993(4) 1.00 0.03 -- (0.03) -- 1.00 3.19 20,022 0.20
CLASS C
1995(5) 1.00 0.03 -- (0.03) -- 1.00 3.41+ 310,835 0.70
-------------
GOVERNMENT II
-------------
CLASS A
1995 $1.00 $0.04 -- $(0.04) -- $1.00 4.39% 786,405 0.20%
1994 1.00 0.03 -- (0.03) -- 1.00 3.02 738,040 0.20
1993 1.00 0.04 -- (0.04) -- 1.00 3.57 664,540 0.20
1992 1.00 0.06 -- (0.06) -- 1.00 5.73 534,303 0.20
1991 1.00 0.08 -- (0.08) -- 1.00 8.01 500,526 0.20
1990 1.00 0.09 -- (0.09) -- 1.00 8.90 257,523 0.20
1989 1.00 0.07 -- (0.07) -- 1.00 7.53 155,987 0.20
1988 1.00 0.06 -- (0.06) -- 1.00 6.55 158,361 0.20
1987 1.00 0.06 -- (0.06) -- 1.00 6.55 143,736 0.20
1986(6) 1.00 0.01 -- (0.01) -- 1.00 15.61 106,944 0.20
CLASS B
1995 1.00 0.04 -- (0.04) -- 1.00 4.08 15,201 0.50
1994 1.00 0.03 -- (0.03) -- 1.00 2.71 21,462 0.50
1993 1.00 0.03 -- (0.03) -- 1.00 3.26 338 0.50
1992 1.00 0.05 -- (0.05) -- 1.00 5.02 1,906 0.48
1991(7) 1.00 0.00 -- (0.00) -- 1.00 0.00 607 0.50
<CAPTION>
Ratio of
Ratio of Net Investment
Ratio of Expenses Income
Net Investment to Average to Average
Income Net Assets Net Assets
to Average (Excluding (Excluding
Net Assets Waivers) Waivers)
-----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
------------------
FEDERAL SECURITIES
------------------
1995(1) 2.98% 0.63% 2.95%
1994 2.70 0.60 2.70
1993 3.22 0.67 3.15
1992 5.17 0.67 5.10
1991 7.40 0.70 7.30
1990 8.29 0.72 8.17
1989 6.91 0.68 6.83
1988 5.95 0.75 5.80
1987 6.02 0.78 5.84
1986 7.43 0.85 7.18
-------------
MONEY MARKET
-------------
CLASS A
1995 4.49% 0.45% 4.25%
1994 2.95 0.44 2.86
1993 3.56 0.39 3.52
1992 5.84 0.39 5.80
1991 7.88 0.38 7.83
1990 8.90 0.40 8.85
1989 7.52 0.39 7.48
1988 6.76 0.42 6.69
1987 6.39 0.41 6.33
1986 7.97 0.44 7.88
CLASS B
1995 4.49 0.75 4.25
1994 2.65 0.74 2.56
1993 3.47 0.69 3.43
1992 5.18 0.61 5.10
1991(2) 7.17 0.72 7.10
--------------------
GOVERNMENT PORTFOLIO
--------------------
CLASS A
1994(3) 3.04% 0.37% 2.87%
1993(4) 3.41 0.38 3.23
CLASS C
1995(5) 4.32 0.89 4.13
-------------
GOVERNMENT II
-------------
CLASS A
1995 4.33% 0.30% 4.23%
1994 2.98 0.29 2.89
1993 3.48 0.29 3.39
1992 5.56 0.28 5.48
1991 7.66 0.31 7.55
1990 8.49 0.32 8.37
1989 7.22 0.36 7.06
1988 6.35 0.34 6.21
1987 6.26 0.35 6.11
1986(6) 7.62 0.21 7.61
CLASS B
1995 4.33 0.60 4.23
1994 2.68 0.60 2.58
1993 3.35 0.59 3.26
1992 4.75 0.59 4.64
1991(7) 6.44 3.76 3.18
</TABLE>
30
<PAGE>
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Net Asset Net Realized and Dividends Distributions Ratio of
Value Net Unrealized from Net from Net Asset Net Assets Expenses
Beginning Investment Gains (Losses) Investment Realized Capital Value End Total End of to Average
of Period Income on Securities Income Gains of Period Return Period (000) Net Assets
----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
----------------
PRIME OBLIGATION
----------------
CLASS A
1995 $1.00 $0.04 -- $(0.04) -- $1.00 4.46% 2,778,326 0.20%
1994 1.00 0.03 -- (0.03) -- 1.00 3.10 2,541,126 0.20
1993 1.00 0.04 -- (0.04) -- 1.00 3.72 2,564,340 0.20
1992 1.00 0.06 -- (0.06) -- 1.00 5.97 1,661,619 0.20
1991 1.00 0.08 -- (0.08) -- 1.00 8.34 825,081 0.20
1990 1.00 0.09 -- (0.09) -- 1.00 9.36 532,137 0.20
1989 1.00 0.08 -- (0.08) -- 1.00 8.58 237,273 0.20
1988(8) 1.00 0.01 -- (0.01) -- 1.00 7.48 139,944 0.13
CLASS B
1995 1.00 0.04 -- (0.04) -- 1.00 4.15 21,852 0.50
1994 1.00 0.03 -- (0.03) -- 1.00 2.79 6,312 0.50
1993 1.00 0.04 -- (0.04) -- 1.00 3.41 4,699 0.47
1992(9) 1.00 0.04 -- (0.04) -- 1.00 5.58 67,016 0.50
CLASS C
1995(11) 1.00 0.03 -- (0.03) -- 1.00 2.55+ 0 0.70
1994 1.00 0.03 -- (0.03) -- 1.00 2.59 20,602 0.70
1993(10) 1.00 0.03 -- (0.03) -- 1.00 3.13 85,325 0.70
------------------
TREASURY PORTFOLIO
------------------
1995 $1.00 $0.04 -- $(0.04) -- $1.00 4.29% 39,129 0.20%
1994 1.00 0.03 -- (0.03) -- 1.00 3.00 46,296 0.20
1993(12) 1.00 0.01 -- (0.01) -- 1.00 2.91 44,624 0.20
---------------------
TREASURY II PORTFOLIO
---------------------
CLASS A
1995 $1.00 $0.04 -- $(0.04) -- $1.00 4.17% 397,682 0.25%
1994 1.00 0.03 -- (0.03) -- 1.00 2.88 364,334 0.25
1993 1.00 0.03 -- (0.03) -- 1.00 3.46 352,435 0.25
1992 1.00 0.06 -- (0.06) -- 1.00 5.48 282,535 0.25
1991 1.00 0.07 -- (0.07) -- 1.00 7.76 490,705 0.25
1990(13) 1.00 0.08 -- (0.08) -- 1.00 7.90 72,777 0.25
CLASS B
1995 1.00 0.04 -- (0.04) -- 1.00 3.86 44,680 0.55
1994 1.00 0.03 -- (0.03) -- 1.00 2.57 22,448 0.55
1993 1.00 0.03 -- (0.03) -- 1.00 3.15 6,038 0.55
1992 1.00 0.05 -- (0.05) -- 1.00 5.16 102,182 0.55
1991(14) 1.00 0.07 -- (0.07) -- 1.00 7.16 85,439 0.55
<CAPTION>
Ratio of
Ratio of Net Investment
Ratio of Expenses Income
Net Investment to Average to Average
Income Net Assets Net Assets
to Average (Excluding (Excluding
Net Assets Waivers) Waivers)
----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
----------------
PRIME OBLIGATION
----------------
CLASS A
1995 4.41% 0.30% 4.31%
1994 3.07 0.28 2.98
1993 3.62 0.30 3.52
1992 5.73 0.29 5.64
1991 8.03 0.30 7.93
1990 8.86 0.33 8.73
1989 7.68 0.34 7.54
1988(8) 7.22 0.58 6.77
CLASS B
1995 4.55 0.60 4.45
1994 2.77 0.58 2.68
1993 3.63 0.53 3.57
1992(9) 4.98 0.59 4.89
CLASS C
1995(11) 2.79 0.77 2.72
1994 2.57 0.78 2.48
1993(10) 3.05 0.83 2.92
------------------
TREASURY PORTFOLIO
------------------
1995 4.17% 0.34% 4.03%
1994 2.96 0.33 2.82
1993(12) 2.89 0.42 2.67
---------------------
TREASURY II PORTFOLIO
---------------------
CLASS A
1995 4.11% 0.35% 4.01%
1994 2.84 0.34 2.76
1993 3.40 0.34 3.31
1992 5.43 0.31 5.37
1991 7.11 0.41 6.95
1990(13) 7.66 0.69 7.22
CLASS B
1995 3.71 0.65 3.61
1994 2.54 0.64 2.46
1993 3.42 0.64 3.33
1992 4.97 0.61 4.91
1991(14) 7.18 0.67 7.06
</TABLE>
+ Returns are for the period indicated and have not been annualized.
1 Federal Portfolio shares were fully liquidated July 15, 1994. All ratios for
that period have been annualized.
2 Money Market Class B shares were offered beginning October 12, 1990. All ra-
tios including total return for that period have been annualized.
3 Government I Class A shares were fully liquidated June 2, 1993. All ratios
including total return for that period have been annualized.
4 Government I Class A shares were offered beginning March 8, 1992. All ratios
including total return for that period have been annualized.
5 Government I Class C shares were offered beginning April 7, 1994. All ratios
for that period have been annualized.
6 Government II Class A shares were offered beginning September 6, 1985. All
ratios including total return for that period have been annualized.
7 Government II Class B shares were offered beginning January 28, 1991. All ra-
tios including total return for that period have been annualized.
8 Prime Obligation Class A shares were offered beginning September 6, 1985. All
ratios including total return for that period have been annualized.
9 Prime Obligation Class B shares were offered beginning March 26, 1991. All
ratios including total return for that period have been annualized.
10 Prime Obligation Class C shares were offered beginning March 25, 1992. All
ratios including total return for that period have been annualized.
11 Prime Obligation Class C shares were fully liquidated October 27, 1994. All
ratios for that period have been annualized.
12 Treasury I Class A shares were offered beginning September 30, 1992. All ra-
tios including total return for that period have been annualized.
13 Treasury II Class A shares were offered beginning July 28, 1989. All ratios
including total return for that period have been annualized.
14 Treasury II Class B shares were offered beginning February 15, 1990. All ra-
tios including total return for that period have been annualized.
The accompanying notes are an integral part of the financial statements.
31
<PAGE>
FINANCIAL HIGHLIGHTS (Continued)
--------------------------------------------------------------------------------
SEI Daily Income Trust -- for the period ended January 31, 1995
For a Share Outstanding Throughout each Period
<TABLE>
<CAPTION>
Net Asset Net Realized and Dividends Distributions Ratio of
Value Net Unrealized from Net from Net Asset Net Assets Expenses
Beginning Investment Gains (Losses) Investment Realized Capital Value End Total End of to Average
of Period Income on Securities Income Gains of Period Return Period (000) Net Assets
--------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
-------------------------------
SHORT-TERM GOVERNMENT PORTFOLIO
-------------------------------
CLASS A
1995 $10.06 $0.40 $(0.32) $(0.40) (0.01) $ 9.73 0.93% 99,458 0.45%
1994 10.13 0.40 0.04 (0.40) (0.11) 10.06 4.41 128,063 0.45
1993 10.09 0.52 0.14 (0.52) (0.10) 10.13 6.66 100,153 0.45
1992 9.82 0.68 0.27 (0.68) -- 10.09 10.00 63,194 0.45
1991 9.65 0.76 0.17 (0.76) -- 9.82 9.98 51,457 0.45
1990 9.54 0.75 0.11 (0.75) -- 9.65 9.01 48,683 0.45
1989 9.81 0.76 (0.27) (0.76) -- 9.54 5.21 54,887 0.41
1988(1) 10.00 0.76 (0.19) (0.76) -- 9.81 6.09 27,279 0.32
CLASS B
1995 10.04 0.38 (0.32) (0.38) (0.01) 9.71 0.70 131 0.75
1994 10.13 0.37 0.02 (0.37) (0.11) 10.04 3.93 37 0.75
1993 10.09 0.48 0.14 (0.48) (0.10) 10.13 6.34 135 0.75
1992 9.82 0.65 0.27 (0.65) -- 10.09 9.68 135 0.75
1991(2) 9.75 0.17 0.07 (0.17) -- 9.82 (0.25) 150 0.75
--------------------------------------
INTERMEDIATE-TERM GOVERNMENT PORTFOLIO
--------------------------------------
CLASS A
1995 $10.13 $0.50 $(0.73) $(0.50) (0.07) $ 9.33 (2.19)% 243,671 0.45%
1994 10.23 0.54 0.11 (0.54) (0.21) 10.13 6.44 336,814 0.45
1993 10.06 0.62 0.28 (0.62) (0.11) 10.23 9.51 259,488 0.45
1992 9.75 0.70 0.40 (0.70) (0.09) 10.06 11.44 199,901 0.45
1991 9.48 0.73 0.28 (0.74) -- 9.75 11.06 184,193 0.45
1990 9.32 0.76 0.16 (0.76) -- 9.48 9.94 127,966 0.45
1989 9.71 0.78 (0.39) (0.78) -- 9.32 4.23 102,166 0.41
1988(3) 10.00 0.77 (0.29) (0.77) -- 9.71 5.37 77,542 0.28
CLASS B
1995(4) 9.64 0.31 (0.24) (0.31) (0.07) 9.33 0.61+ 93 0.75
PROVANTAGE FUNDS
1995(12) 10.13 0.47 (0.74) (0.47) (0.07) 9.32 (2.61) 99 0.84
1994(5), (12) 10.44 0.17 (0.10) (0.17) (0.21) 10.13 1.52 107 0.75
--------------
GNMA PORTFOLIO
--------------
CLASS A
1995 $10.07 $0.64 $(0.90) $(0.64) -- $ 9.17 (2.46)% 182,225 0.47%
1994 10.22 0.66 (0.06) (0.66) (0.09) 10.07 6.09 262,162 0.45
1993 9.99 0.75 0.27 (0.75) (0.04) 10.22 10.92 193,204 0.45
1992 9.61 0.79 0.38 (0.79) -- 9.99 12.49 120,712 0.45
1991 9.31 0.83 0.30 (0.83) -- 9.61 12.74 56,912 0.45
1990 9.15 0.88 0.16 (0.88) -- 9.31 11.53 7,899 0.44
1989 9.47 0.87 (0.32) (0.87) -- 9.15 6.19 8,367 0.37
1988(6) 10.00 0.77 (0.53) (0.77) -- 9.47 3.25 4,968 0.03
CLASS B
1995(7) 9.16 0.35 0.01 (0.35) -- 9.17 4.00+ 14 0.79
PROVANTAGE FUNDS
1995(12) 10.09 0.61 (0.93) (0.61) -- 9.16 (3.04)% 169 0.86
1994(8), (12) 10.22 0.19 (0.04) (0.19) (0.09) 10.09 4.24 133 0.75
----------------------
CORPORATE DAILY INCOME
----------------------
1995 $ 2.00 $0.09 $(0.04) $(0.09) -- $ 1.96 2.59% 50,495 0.35%
1994(9) 2.00 0.02 -- (0.02) -- 2.00 3.45 43,655 0.35
-----------------------------
SHORT-TERM MORTGAGE PORTFOLIO
-----------------------------
1995(11) $ 9.90 $0.48 $(0.24) $(0.48) (0.02) $ 9.64 2.29% 3,607 0.45%
1994(10), (11) 10.00 0.22 (0.10) (0.22) -- 9.90 1.84 3,921 0.45
<CAPTION>
Ratio of
Ratio of Net Investment
Ratio of Expenses Income
Net Investment to Average to Average
Income Net Assets Net Assets Portfolio
to Average (Excluding (Excluding Turnover
Net Assets Waivers) Waivers) Rate
-----------------------------------------------------------------
<S> <C> <C> <C> <C>
-------------------------------
SHORT-TERM GOVERNMENT PORTFOLIO
-------------------------------
CLASS A
1995 4.12% 0.52% 4.05% 45%
1994 3.98 0.52 3.91 105
1993 5.04 0.55 4.94 80
1992 6.82 0.56 6.71 36
1991 7.73 0.54 7.64 17
1990 7.72 0.58 7.59 6
1989 7.95 0.58 7.78 55
1988(1) 8.17 0.78 7.71 85
CLASS B
1995 3.92 0.82 3.85 45
1994 3.67 0.82 3.60 105
1993 4.74 0.85 4.64 80
1992 6.52 0.85 6.42 36
1991(2) 7.25 0.93 7.07 17
--------------------------------------
INTERMEDIATE-TERM GOVERNMENT PORTFOLIO
--------------------------------------
CLASS A
1995 5.20% 0.52% 5.13% 61%
1994 5.24 0.53 5.16 56
1993 6.16 0.53 6.08 52
1992 7.08 0.54 6.99 62
1991 7.78 0.54 7.69 39
1990 8.01 0.74 7.72 34
1989 8.32 0.72 8.01 36
1988(3) 8.40 1.67 7.01 56
CLASS B
1995(4) 5.07 0.83 4.99 61
PROVANTAGE FUNDS
1995(12) 4.80 0.92 4.72 61
1994(5), (12) 4.94 0.83 4.86 56
--------------
GNMA PORTFOLIO
--------------
CLASS A
1995 6.89% 0.50% 6.86% 85%
1994 6.38 0.50 6.32 70
1993 7.49 0.52 7.42 23
1992 8.09 0.52 8.02 9
1991 8.66 0.61 8.50 16
1990 9.50 0.49 9.45 29
1989 9.49 0.44 9.42 19
1988(6) 9.49 0.74 8.78 48
CLASS B
1995(7) 6.80 0.82 6.77 85
PROVANTAGE FUNDS
1995(12) 6.54 0.89 6.51 85
1994(8), (12) 6.06 0.80 6.01 70
----------------------
CORPORATE DAILY INCOME
----------------------
1995 4.60% 0.55% 4.40% 147%
1994(9) 3.45 0.63 3.18 34
-----------------------------
SHORT-TERM MORTGAGE PORTFOLIO
-----------------------------
1995(11) 4.90% 0.64% 4.71% 741%
1994(10), (11) 3.16 0.93 2.68 166
</TABLE>
+ Returns are for the period indicated and have not been annualized.
1 Short-Term Government Class A shares were offered beginning February 17,
1987. All ratios including total return for that period have been annualized.
2 Short-Term Government Class B shares were offered beginning November 5, 1990.
All ratios including total return for that period have been annualized.
3 Intermediate-Term Government Class A shares were offered beginning February
17, 1987. All ratios including total return for that period have been
annualized.
4 Intermediate-Term Class B shares were offered beginning June 8, 1994. All ra-
tios for that period have been annualized.
5 Intermediate-Term Government ProVantage Class shares were offered beginning
September 26, 1993. All ratios including total return for that period have
been annualized.
6 GNMA Class A shares were offered beginning March 20, 1987. All ratios includ-
ing total return for that period have been annualized.
7 GNMA Class B shares were offered beginning July 12, 1994. All ratios for that
period have been annualized.
8 GNMA ProVantage Class shares were offered beginning September 30, 1993. All
ratios including total return for that period have been annualized.
9 Corporate Daily Income Class A shares were offered beginning September 28,
1993. All ratios including total return for that period have been annualized.
10 Short-Term Mortgage Class A shares were offered beginning May 20, 1993. All
ratios including total return for that period have been annualized.
11 Effective June 30, 1994, Wellington Management Company began serving as the
Investment Adviser of the Short-Term Mortgage Portfolio. Prior to June 30,
1994, Bear Stearns Asset Management served as the Investment Adviser.
12 Total return does not reflect the sales charge on the ProVantage class.
The accompanying notes are an integral part of the financial statements.
32
<PAGE>
NOTES TO FINANCIAL STATEMENTS
--------------------------------------------------------------------------------
SEI Daily Income Trust -- January 31, 1995
1. ORGANIZATION
SEI Daily Income Trust, formerly the SEI Cash + Plus Trust (the "Trust") was
organized as a Massachusetts business trust under a Declaration of Trust dated
March 15, 1982.
The Trust is registered under the Investment Company Act of 1940, as amended,
as a diversified, open-end investment company with eleven operational Portfo-
lios: the Money Market Portfolio, the Government Portfolio, the Government II
Portfolio, the Prime Obligation Portfolio, the Treasury Portfolio, the Treasury
II Portfolio (the "Money Market Portfolios"), the Short-Term Government Portfo-
lio, the Intermediate-Term Government Portfolio, the GNMA Portfolio, the Corpo-
rate Daily Income Portfolio and the Short-Term Mortgage Portfolio (formerly the
Adjustable Rate Mortgage Portfolio) (the "Fixed Income Portfolios"). The assets
of each portfolio are segregated, and a shareholder's interest is limited to
the Portfolio in which shares are held.
On July 15, 1994, the Federal Securities Portfolio closed and all of the out-
standing shares of the Portfolio were redeemed. SEI Financial Management Corpo-
ration, the Manager of the Portfolio, voluntarily agreed to bear the costs as-
sociated with the liquidation of the Portfolio which approximated $9,000.
2. SIGNIFICANT ACCOUNTING POLICIES
The following is a summary of significant accounting policies followed by the
Portfolios.
Security Valuation--Investment securities of the "Money Market Portfolios"
are stated at amortized cost which approximates market value. Under this valua-
tion method, purchase discounts and premiums are accreted and amortized ratably
to maturity and are included in interest income.
Investment securities of the "Fixed Income Portfolios" which are listed on a
securities exchange for which market quotations are available are valued by an
independent pricing service at the last quoted sales price for such securities
on each business day. If there is no such reported sale, these securities for
which market quotations are readily available are valued at the most recent
quoted bid price. Unlisted securities for which market quotations are readily
available are valued at the most recently quoted price with estimates of such
values determined under certain market conditions using procedures determined
in good faith by the Board of Trustees. Debt obligations with sixty days or
less remaining until maturity may be valued at their amortized cost.
Federal Income Taxes--It is each Portfolio's intention to continue to qualify
as a regulated investment company and distribute all of its taxable income. Ac-
cordingly, no provision for Federal income taxes is required.
Net Asset Value Per Share--The net asset value per share is calculated on
each business day separately for each Portfolio. In general, it is computed by
dividing the assets of each Portfolio, less its liabilities, by the number of
outstanding shares of the Portfolio.
Security Transactions and Investment Income--Security transactions are ac-
counted for on the trade date of the security purchase or sale. Costs used in
determining net realized capital gains and losses on the sale of securities are
those of the specific securities sold, adjusted for the accretion and amortiza-
tion of purchase discounts and premiums during the respective holding period.
Interest income is recorded on the accrual basis.
Purchase discounts and premiums on securities held in the "Fixed Income Port-
folios" are accreted and amortized over the life of each security and recorded
as interest income, using the effective interest method.
Repurchase Agreements--Securities pledged as collateral for Repurchase Agree-
ments are held by each Portfolio's custodian bank until maturity of the Repur-
chase Agreements. Provisions of the Agreements and procedures adopted by the
Manager ensure that the market value of the collateral, including accrued in-
terest thereon, is sufficient in the event of default by the counterparty. If
the counterparty defaults and the value of the collateral declines or if the
counterparty enters an insolvency proceeding, realization of the collateral by
the Portfolio may be delayed or limited.
33
<PAGE>
NOTES TO FINANCIAL STATEMENTS (Continued)
--------------------------------------------------------------------------------
SEI Daily Income Trust -- January 31, 1995
Expenses--Expenses that are directly related to one of the Portfolios are
charged directly to that Portfolio. Other operating expenses of the Trust are
prorated to the Portfolios on the basis of relative net assets. Class specific
expenses, such as the 12b-1 fees, are borne by that Class. Income, other
expenses and realized and unrealized gains and losses of a Portfolio are allo-
cated to the respective Class on the basis of the relative net asset value each
day.
Distributions to Shareholders--Distributions from net investment income are
declared on a daily basis and are payable on the first business day of the fol-
lowing month. Any net realized capital gains on sales of securities for a Port-
folio are distributed to its shareholders at least annually.
3. ORGANIZATION COSTS AND TRANSACTIONS WITH AFFILIATES
Organizational costs have been capitalized by the Trust and are being amor-
tized on a straight line basis over a period of sixty months commencing with
operations. In the event any of the initial shares of the Trust are redeemed by
any holder thereof during the period that the Trust is amortizing its organiza-
tional costs, the redemption proceeds payable to the holder thereof by the
Trust will be reduced by the unamortized organizational costs in the same ratio
as the number of initial shares being redeemed bears to the number of initial
shares outstanding at the time of redemption.
The Trust and SEI Financial Management Corporation (the "Manager") are par-
ties to a Management Agreement dated May 23, 1986 under which the Manager pro-
vides management, administrative and shareholder services to the Portfolios for
an annual fee of .55% of the daily net asset value of the Federal Securities
Portfolio, .33% of the daily net asset value of the Money Market Portfolio,
.19% each of the daily net asset value of the Government II and Prime Obliga-
tion Portfolios, .24% each of the daily net asset value of the Government,
Treasury and Treasury II Portfolios, .35% of the daily net asset value of the
Short-Term Government, Intermediate-Term Government, Corporate Daily Income and
Short-Term Mortgage Portfolios; and .32% of the daily net asset value of the
GNMA Portfolio. However, the Manager has agreed to waive its annual fee in an
amount which limits total annual expenses of the Portfolios (including the an-
nual management fee) to the following amounts set forth in the Management
Agreement (expressed as a percentage of each Portfolio's daily net asset val-
ue):
<TABLE>
<CAPTION>
Federal Money Prime
Securities Market Obligation Gov't Gov't II Treasury Treasury II
---------- ------ ---------- ----- -------- -------- -----------
<S> <C> <C> <C> <C> <C> <C> <C>
Class A 1.00% 1.00% .20% .25% .20% .20% .25%
Class B -- 1.30% .50% .55% .50% .50% .55%
Class C -- 1.50% .70% .75% .70% .70% .75%
</TABLE>
In the event that the total annual expenses of a Portfolio, after reflecting
a waiver of all fees by the Manager and Adviser, exceed the specified limita-
tion, the Manager has agreed to bear such excess.
SEI Financial Services Company ("SFS") acts as a distributor of the shares of
the Trust under a distribution plan which provides for the Trust to reimburse
SFS for its distribution expenses. Such expenses may not exceed .30% of the
Portfolios' average daily net assets of Class A, .60% of the average daily net
assets of Class B, .80% of the average daily net assets of Class C and .60% of
the average daily net assets of the ProVantage Class . Distribution expenses
include the compensation and benefits of sales personnel incurred by SFS in
connection with the promotion and sale of shares.
Certain officers and/or Trustees of the Trust are also officers and/or Direc-
tors of the Manager. The Trust pays each unaffiliated Trustee an annual fee for
attendance at quarterly, interim, and committee meetings. Compensation of offi-
cers and affiliated Trustees is paid by the Manager.
4. INVESTMENT ADVISORY AND CUSTODIAN AGREEMENTS
Under an Investment Advisory Agreement dated September 30, 1983, Wellington
Management Company serves as the Investment Adviser of the Trust on behalf of
the "Money Market Portfolios." For its services, the Investment Adviser re-
ceives a monthly fee equal to .075% of the combined daily net assets up to $500
million and .02% of such assets in excess of $500 million of the "Money Market
Portfolios." Such fees are allocated daily on the basis of the relative net as-
sets of each money market portfolio in the
34
<PAGE>
--------------------------------------------------------------------------------
Trust. The Adviser has agreed to waive 50% of the fee otherwise due for the
Prime Obligation, Government, Government II, Treasury and Treasury II Portfo-
lios. In addition, the Adviser has voluntarily agreed to waive its remaining
fee in an amount proportionate to the Manager's waiver of its fee.
Under an Investment Advisory Agreement dated December 15, 1986, Wellington
Management Company serves as the Investment Adviser of the Trust on behalf of
the Short-Term Government, Intermediate-Term Government and GNMA Portfolios.
Pursuant to an Investment Advisory Agreement dated August 4, 1993, Wellington
Management Company serves as Investment Adviser for the Corporate Daily Income
Portfolio. Monthly fees are equal to .10% of the Portfolios' average daily net
assets up to $500 million, .075% of the next $500 million and .05% of such net
assets in excess of $1 billion. The Adviser has voluntarily agreed to waive its
remaining fee in an amount proportionate to the Manager's waiver of its fee.
For the period of February 1, 1994 through June 29, 1994, Bear Stearns Asset
Management served as the Investment Adviser of the Trust on behalf of the
Short-Term Mortgage Portfolio for a monthly fee equal to .10% of the Portfo-
lio's average daily net assets. Effective June 30, 1994, Wellington Management
Company began serving as the Investment Adviser of the Trust on behalf of the
Short-Term Mortgage Portfolio for a monthly fee equal to .10% of the Portfo-
lio's average daily net assets.
Comerica Bank (formerly Manufacturers National Bank of Detroit) acts as cus-
todian of the Money Market Portfolio's securities under an agreement dated Sep-
tember 22, 1983. CoreStates Bank, N.A. acts as the custodian of the Government,
Government II, Prime Obligation, Treasury, Treasury II and "Fixed Income Port-
folios" under an agreement dated August 30, 1985. First Interstate Bank of Ore-
gon, N.A. acted as a custodian of the securities of the Federal Securities
Portfolio under an agreement dated July 15, 1982. The custodians play no role
in determining the investment policies of the Portfolios or which securities
are to be purchased or sold in the Portfolios.
5. INVESTMENT TRANSACTIONS
The cost of security purchases and the proceeds from the sale of securities,
other than temporary investments in short-term securities for the period ended
January 31, 1995, were as follows for the Fixed Income Portfolios:
<TABLE>
<CAPTION>
INTER-
SHORT- MEDIATE-
TERM TERM CORPORATE SHORT-
GOVERN- GOVERN- DAILY TERM
MENT MENT GNMA INCOME MORTGAGE
(000) (000) (000) (000) (000)
------- -------- -------- --------- --------
<S> <C> <C> <C> <C> <C>
PURCHASES
U.S.
Government $49,838 $179,193 $193,729 $24,797 $17,048
Other -- -- -- 17,249 486
SALES
U.S.
Government $73,425 $248,198 $252,143 $25,690 $18,251
Other -- -- -- 16,177 484
</TABLE>
At January 31, 1995 the total cost of securities and the net realized gains
or losses on securities sold for federal income tax purposes was not materially
different from amounts reported for financial reporting purposes. The aggregate
gross unrealized gain on securities in which there was an excess of market
value over cost, the aggregate gross unrealized loss on securities in which
there was an excess of cost over market value, the net unrealized gain and the
accumulated net realized gain/(loss) at January 31, 1995 for each "Fixed Income
Portfolio" is as follows (in thousands):
<TABLE>
<CAPTION>
INTERMEDIATE- CORPORATE
SHORT-TERM TERM DAILY SHORT-TERM
GOVERNMENT GOVERNMENT GNMA INCOME MORTGAGE
---------- ------------- -------- --------- ----------
<S> <C> <C> <C> <C> <C>
Aggregate gross
unrealized gain $ 113 $ 332 $ 604 $ 30 $ 27
Aggregate gross
unrealized loss (2,182) (9,698) (11,339) (486) (17)
------- ------- -------- ----- -----
Net unrealized gain/
(loss) $(2,069) $(9,366) $(10,735) $(456) $ 10
======= ======= ======== ===== =====
Accumulated net realized
gain/
(loss) $(1,247) $(8,317) $ (9,675) $(366) $(154)
======= ======= ======== ===== =====
</TABLE>
35
<PAGE>
NOTES TO FINANCIAL STATEMENTS (Continued)
--------------------------------------------------------------------------------
SEI Daily Income Trust -- January 31, 1995
At January 31, 1995 the following funds have capital loss carryforwards:
<TABLE>
<CAPTION>
EXPIRATION
AMOUNT DATE
---------- ----------
<S> <C> <C>
Money Market $ 10,969 1998
5,203 2001
5,833 2003
Government II 85,545 2001
58,412 2002
84,628 2003
Prime Obligation 138,825 2003
Treasury 993 2002
2,785 2003
Short-Term Government 407,300 2003
Intermediate-Term Government 3,551,431 2003
GNMA 5,227,576 2003
Corporate Daily Income 367,658 2003
Short-Term Mortgage 95,977 2003
</TABLE>
Subsequent to October 31, 1994, the Portfolios recognized net capital losses
for tax purposes that have been deferred to 1995 and can be used to offset fu-
ture capital gains at January 31, 1995.
<TABLE>
<CAPTION>
POST OCTOBER 31, 1994 LOSSES
----------------------------
<S> <C>
Money Market $ 6,440
Government 73,436
Government II 2,110
Short-Term Government 966,628
Intermediate-Term Government 4,779,768
GNMA 4,542,261
Short-Term Mortgage 58,291
</TABLE>
36
<PAGE>
----------------------
SEI DAILY INCOME TRUST
----------------------
ANNUAL REPORT
----------------------
January 31, 1995
Robert A. Nesher
Chairman
TRUSTEES
Richard F. Blanchard
William M. Doran
F. Wendell Gooch
Frank E. Morris
James M. Storey
OFFICERS
David G. Lee
President and Chief Executive Officer
Carmen V. Romeo
Treasurer, Assistant Secretary
Robert B. Carroll
Vice President, Assistant Secretary
Kathryn L. Stanton
Vice President, Assistant Secretary
Jeffrey A. Cohen
Controller, Chief Accounting Officer
Sandra K. Orlow
Vice President, Assistant Secretary
Kevin P. Robins
Vice President, Assistant Secretary
Richard W. Grant
Secretary
INVESTMENT ADVISER
Wellington Management Company
MANAGER AND SHAREHOLDER SERVICING AGENT
SEI Financial Management Corporation
DISTRIBUTOR
SEI Financial Services Company
LEGAL COUNSEL
Morgan, Lewis & Bockius
INDEPENDENT PUBLIC ACCOUNTANTS
Arthur Andersen LLP
This annual report and the financial statements contained herein are submitted
for the general information of the shareholders of the Trust and must be
preceded or accompanied by a current prospectus. Shares of the SEI Funds are
not deposits or obligations of, or guaranteed or endorsed by, any bank. The
shares are not federally insured by the Federal Deposit Insurance Corporation
(FDIC), the Federal Reserve Board, or any other government agency. Investment
in the shares involves risk, including the possible loss of principal. SEI
Financial Services Company, the Distributor of the SEI Funds, is not affiliated
with any bank.
For more information call 1.800.DIAL.SEI/1.800.342.5734
