<PAGE>
----------------------
SEI DAILY INCOME TRUST
----------------------
SEMI-ANNUAL REPORT
----------------------
July 31, 1995
<PAGE>
TABLE OF CONTENTS
--------------------------------------------------------------------------------
<TABLE>
<S> <C>
STATEMENTS OF NET ASSETS ................................................... 1
STATEMENTS OF OPERATIONS ................................................... 14
STATEMENTS OF CHANGES IN NET ASSETS ........................................ 16
FINANCIAL HIGHLIGHTS ....................................................... 20
NOTES TO FINANCIAL STATEMENTS .............................................. 24
</TABLE>
<PAGE>
STATEMENT OF NET ASSETS
--------------------------------------------------------------------------------
SEI Daily Income Trust -- July 31, 1995 (Unaudited)
MONEY MARKET PORTFOLIO
<TABLE>
-------------------------------------------------------------
<CAPTION>
Face
Description Amount (000) Value (000)
-------------------------------------------------------------
<S> <C> <C>
COMMERCIAL PAPER -- 59.8%
American General Finance
5.690%, 10/23/95 $ 1,600 $ 1,579
American Home Products
5.900%, 09/22/95 3,000 2,974
Asset Securitization
5.750%, 09/15/95 3,000 2,978
Baxter International
6.000%, 08/18/95 2,000 1,994
Commerzbank AG New York
5.950%, 08/15/95 5,000 4,988
CSW Credit
5.950%, 08/15/95 8,000 7,983
Delaware Funding
5.970%, 08/14/95 5,000 4,989
General Motors Acceptance
5.800%, 09/19/95 8,000 7,937
Indosuez North America
5.800%, 10/13/95 8,000 7,906
International Lease Finance
5.900%, 09/07/95 7,000 6,958
Kredietbank North America Finance
5.900%, 09/08/95 1,000 994
New Center Asset Trust
5.920%, 08/01/95 4,000 4,000
Pennsylvania Power & Light
5.800%, 08/28/95 4,000 3,983
Prudential Funding
5.740%, 08/30/95 3,000 2,986
Toshiba America
5.950%, 08/11/95 3,000 2,995
5.870%, 11/13/95 2,000 1,966
Whirlpool Finance
5.760%, 09/07/95 3,000 2,982
--------
Total Commercial Paper
(Cost $70,192) 70,192
--------
CERTIFICATES OF DEPOSIT -- 13.6%
Banque National De Paris
6.210%, 06/28/96 3,000 3,000
Canadian Imperial Bank
6.410%, 05/17/96 5,000 5,000
First of America Bank
6.040%, 08/16/95 8,000 8,000
--------
Total Certificates of Deposit
(Cost $16,000) 16,000
--------
FLOATING RATE INSTRUMENTS -- 12.8%
General Electric MTN
6.125%, 08/22/95 (A) 3,000 3,002
People's Security Funding Agreement
6.360%, 10/29/95 (A) 5,000 4,999
</TABLE>
<TABLE>
------------------------------------------------------------------------------
<CAPTION>
Face
Description Amount (000) Value (000)
------------------------------------------------------------------------------
<S> <C> <C>
SMM Trust (1994-B)
6.238%, 08/11/95 (A) $ 5,000 $ 5,000
SMM Trust (1995-I)
5.895%, 08/29/95 (A) 2,000 2,000
--------
Total Floating Rate Instruments
(Cost $15,001) 15,001
--------
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 12.8%
SLMA
5.830%, 08/07/95 (A) 15,000 15,000
--------
Total U.S. Government Agency Obligations
(Cost $15,000) 15,000
--------
REPURCHASE AGREEMENT -- 1.3%
Aubrey Lanston
5.82%, dated 07/31/95, matures 08/01/95, repurchase
price $1,473,238 (collateralized by U.S. Treasury
Note, par value $1,415,000, 7.75%, matures
12/31/99: market value $1,506,000) 1,473 1,473
--------
Total Repurchase Agreement
(Cost $1,473) 1,473
--------
Total Investments -- 100.3%
(Cost $117,666) 117,666
--------
OTHER ASSETS AND LIABILITIES -- (0.3%)
Other assets and liabilities, net (394)
--------
NET ASSETS:
Portfolio shares of Class A (unlimited
authorization -- no par value) based on 110,577,510
outstanding shares of beneficial interest 110,577
Portfolio shares of Class B (unlimited
authorization -- no par value) based on 4,804,759
outstanding shares of beneficial interest 4,805
Portfolio shares of Class C (unlimited
authorization -- no par value) based on 1,896,206
outstanding shares of beneficial interest 1,896
Accumulated net realized loss on investments (6)
--------
TOTAL NET ASSETS -- 100.0% $117,272
========
</TABLE>
1
<PAGE>
STATEMENT OF NET ASSETS
--------------------------------------------------------------------------------
SEI Daily Income Trust -- July 31, 1995 (Unaudited)
MONEY MARKET PORTFOLIO
<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
==========
NET ASSET VALUE, OFFERING PRICE AND REDEMPTION PRICE
PER SHARE -- CLASS C $ 1.00
==========
</TABLE>
(A) Floating Rate Instrument. Rate reflected on the Statement of Net Assets is
the rate in effect on July 31, 1995. The date shown is the longer of the
reset date or the demand date.
MTN Medium Term Note
SLMA Student Loan Marketing Association
GOVERNMENT PORTFOLIO
<TABLE>
<S> <C> <C>
U.S GOVERNMENT AGENCY OBLIGATIONS -- 86.0%
FHLB
5.790%, 08/01/95 (A) $30,000 $ 29,995
6.183%, 09/06/95 20,400 20,279
FHLMC
6.093%, 08/01/95 23,000 23,000
6.105%, 08/01/95 10,000 10,000
6.062%, 08/03/95 9,360 9,357
6.066%, 08/07/95 10,000 9,990
5.925%, 09/21/95 25,000 24,796
5.724%, 10/02/95 5,000 4,952
5.742%, 10/31/95 10,000 9,859
5.764%, 10/31/95 27,000 26,618
5.768%, 11/27/95 17,357 17,040
5.969%, 11/27/95 10,000 9,813
FNMA
6.101%, 08/04/95 4,000 3,998
5.820%, 08/07/95 (A) 22,000 22,000
6.083%, 08/14/95 50,000 49,890
6.066%, 08/15/95 25,000 24,943
6.313%, 09/01/95 20,000 19,896
6.266%, 09/15/95 16,400 16,277
6.269%, 09/21/95 30,000 29,745
5.864%, 09/22/95 10,000 9,918
6.281%, 09/29/95 10,000 9,902
5.830%, 10/23/95 3,550 3,504
5.759%, 10/25/95 25,190 24,857
5.883%, 10/25/95 18,905 18,651
5.945%, 11/13/95 3,000 2,951
5.769%, 11/20/95 1,550 1,524
5.736%, 11/21/95 5,000 4,913
5.815%, 11/21/95 5,000 4,913
--------
Total U.S Government Agency Obligations
(Cost $443,581) 443,581
--------
</TABLE>
<TABLE>
------------------------------------------------------------------------------
<CAPTION>
Face
Description Amount (000) Value (000)
------------------------------------------------------------------------------
<S> <C> <C>
REPURCHASE AGREEMENTS -- 14.3%
Aubrey Lanston
5.82%, dated 07/31/95, matures 08/01/95, repurchase
price $6,671,078 (collateralized by U.S. Treasury
Note, par value $6,321,000, 7.50%, matures
05/15/02: market value $6,817,000) $ 6,670 $ 6,670
Lehman Brothers
5.83%, dated 07/31/95, matures 08/01/95, repurchase
price $15,002,429 (collateralized by U.S. Treasury
Bill, par value $15,830,000, 0.00%, matures
03/07/96: market value $15,309,000) 15,000 15,000
UBS
5.88%, dated 07/31/95, matures 08/01/95, repurchase
price $52,108,510 (collateralized by various FNMA
obligations, total par value $53,175,629, 7.50%-
8.50%, matures 07/01/25: total market value
$53,142,000) 52,100 52,100
--------
Total Repurchase Agreements
(Cost $73,770) 73,770
--------
Total Investments -- 100.3%
(Cost $517,351) 517,351
--------
OTHER ASSETS AND LIABILITIES -- (0.3%)
Other assets and liabilities, net (1,689)
--------
NET ASSETS:
Portfolio shares of Class C (unlimited
authorization -- no par value) based on 515,673,513
outstanding shares of beneficial interest 515,674
Accumulated net realized loss on investments (12)
--------
TOTAL NET ASSETS -- 100.0% $515,662
========
NET ASSET VALUE, OFFERING PRICE AND REDEMPTION PRICE
PER SHARE -- CLASS C $ 1.00
========
</TABLE>
(A) Floating Rate Instrument. Rate reflected on the Statement of Net Assets is
the rate in effect on July 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
2
<PAGE>
--------------------------------------------------------------------------------
GOVERNMENT II PORTFOLIO
<TABLE>
----------------------------------------------------------------------
<CAPTION>
Face
Description Amount (000) Value (000)
----------------------------------------------------------------------
<S> <C> <C>
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 100.3%
FFCB
5.785%, 08/15/95 $11,000 $ 10,976
6.040%, 08/15/95 2,000 1,995
5.753%, 08/28/95 3,340 3,326
5.746%, 08/30/95 25,000 24,887
6.364%, 08/31/95 9,790 9,740
6.199%, 09/06/95 13,000 12,923
5.899%, 09/11/95 8,000 7,948
5.900%, 09/12/95 4,000 3,973
6.297%, 09/12/95 1,240 1,231
5.763%, 09/13/95 9,415 9,352
5.901%, 09/18/95 10,000 9,923
5.766%, 10/31/95 5,000 4,929
FHLB
5.790%, 08/01/95 (A) 7,800 7,799
5.811%, 08/01/95 7,550 7,550
5.831%, 08/01/95 8,225 8,225
6.223%, 08/03/95 25,000 24,992
6.063%, 08/04/95 33,000 32,984
6.155%, 08/04/95 7,000 6,997
6.076%, 08/07/95 4,185 4,181
5.758%, 08/14/95 5,000 4,990
6.062%, 08/15/95 50,000 49,885
5.781%, 08/21/95 2,500 2,492
5.939%, 08/23/95 30,000 29,894
6.163%, 08/23/95 25,750 25,657
6.232%, 08/28/95 28,000 27,874
6.042%, 08/30/95 30,000 29,859
6.380%, 09/05/95 18,540 18,430
5.764%, 09/15/95 2,840 2,820
6.062%, 09/18/95 1,825 1,811
6.141%, 09/20/95 3,000 2,975
6.268%, 09/21/95 19,195 19,032
6.273%, 09/27/95 12,000 11,886
6.315%, 09/27/95 15,000 14,857
5.900%, 09/28/95 52,000 51,518
6.068%, 10/02/95 9,760 9,662
5.877%, 10/05/95 1,250 1,237
6.257%, 10/05/95 5,000 4,946
5.825%, 10/06/95 4,605 4,557
6.180%, 10/10/95 3,200 3,163
6.252%, 10/10/95 7,000 6,919
6.205%, 10/13/95 18,440 18,218
5.847%, 10/18/95 5,000 4,939
5.728%, 10/19/95 10,000 9,878
5.747%, 10/23/95 23,655 23,350
5.832%, 10/25/95 25,000 24,667
5.795%, 11/10/95 74,165 72,999
5.809%, 11/14/95 4,000 3,935
5.948%, 11/16/95 13,970 13,733
5.751%, 11/20/95 4,775 4,693
</TABLE>
<TABLE>
------------------------------------------------------------------------------
<CAPTION>
Face
Description Amount (000) Value (000)
------------------------------------------------------------------------------
<S> <C> <C>
5.816%, 11/21/95 $ 2,865 $ 2,815
5.836%, 11/24/95 4,135 4,061
5.822%, 11/27/95 1,290 1,266
SLMA
5.810%, 08/07/95 (A) 35,000 35,000
5.830%, 08/07/95 (A) 20,000 20,000
5.850%, 08/07/95 (A) 44,450 44,453
5.860%, 08/07/95 (A) 30,000 30,000
5.990%, 08/07/95 (A) 30,000 30,098
--------
Total U.S. Government Agency Obligations
(Cost $862,500) 862,500
--------
Total Investments -- 100.3%
(Cost $862,500) 862,500
--------
OTHER ASSETS AND LIABILITIES -- (0.3%)
Other assets and liabilities, net (2,223)
--------
NET ASSETS:
Portfolio shares of Class A (unlimited
authorization -- no par value) based on 841,574,555
outstanding shares of beneficial interest 841,575
Portfolio shares of Class B (unlimited
authorization -- no par value) based on 18,873,559
outstanding shares of beneficial interest 18,873
Accumulated net realized loss on investments (171)
--------
TOTAL NET ASSETS -- 100.0% $860,277
========
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 July 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
3
<PAGE>
STATEMENT OF NET ASSETS
--------------------------------------------------------------------------------
SEI Daily Income Trust -- July 31, 1995 (Unaudited)
PRIME OBLIGATION PORTFOLIO
<TABLE>
-----------------------------------------------------
<CAPTION>
Face
Description Amount (000) Value (000)
-----------------------------------------------------
<S> <C> <C>
COMMERCIAL PAPER -- 74.8%
American Express Credit
5.670%, 10/16/95 $ 20,000 $ 19,761
5.900%, 10/19/95 25,000 24,676
5.750%, 11/02/95 15,000 14,777
5.660%, 11/21/95 15,000 14,736
American General Finance
5.690%, 10/23/95 25,000 24,672
5.650%, 11/21/95 10,000 9,824
American Home Products
5.970%, 08/09/95 25,000 24,967
5.930%, 08/24/95 9,000 8,966
5.730%, 09/18/95 8,000 7,939
5.700%, 09/25/95 8,000 7,930
5.720%, 09/26/95 15,000 14,867
AON Corporation
5.750%, 09/05/95 13,110 13,037
Associates of North America
5.950%, 08/07/95 51,000 50,950
5.670%, 10/16/95 15,000 14,820
BankAmerica
5.710%, 09/12/95 50,000 49,667
Bear Stearns
5.840%, 08/04/95 20,000 19,990
5.700%, 09/15/95 30,000 29,786
5.750%, 09/22/95 25,000 24,792
Beneficial Corporation
5.940%, 08/09/95 25,000 24,967
5.900%, 09/21/95 20,000 19,833
5.670%, 10/16/95 30,000 29,641
Central & Southwest
6.010%, 08/04/95 10,800 10,795
5.870%, 09/22/95 10,000 9,915
CIESCO LP
5.930%, 08/10/95 12,500 12,481
5.930%, 08/11/95 16,000 15,974
5.850%, 09/12/95 5,000 4,966
5.720%, 09/14/95 5,800 5,759
5.690%, 09/22/95 29,000 28,762
CIT Group Holdings
5.700%, 10/20/95 25,000 24,683
5.680%, 12/06/95 30,000 29,399
Corporate Asset Funding
5.920%, 08/01/95 15,000 15,000
5.970%, 08/02/95 30,000 29,995
CSW Credit
5.950%, 08/15/95 10,000 9,977
5.750%, 08/24/95 20,900 20,823
5.750%, 08/25/95 6,300 6,276
5.750%, 08/29/95 15,000 14,933
Delaware Funding
5.950%, 08/08/95 19,746 19,723
5.970%, 08/14/95 40,000 39,914
5.700%, 10/23/95 16,037 15,826
</TABLE>
<TABLE>
-------------------------------------------------------
<CAPTION>
Face
Description Amount (000) Value (000)
-------------------------------------------------------
<S> <C> <C>
Falcon Asset Securitization
5.750%, 08/30/95 $ 12,900 $ 12,840
5.730%, 09/06/95 10,525 10,465
Ford Motor Credit
5.950%, 09/05/95 30,000 29,826
5.740%, 09/29/95 20,000 19,812
General Electric Capital
5.920%, 09/05/95 20,000 19,885
5.700%, 09/20/95 30,000 29,763
General Motors Acceptance
5.870%, 10/18/95 35,000 34,555
5.750%, 10/24/95 35,000 34,530
Household Finance
5.790%, 10/16/95 22,000 21,731
IBM Credit
5.950%, 08/07/95 10,000 9,990
5.730%, 08/24/95 30,000 29,890
5.730%, 08/30/95 15,000 14,931
5.740%, 09/07/95 20,000 19,882
International Lease Finance
5.900%, 09/07/95 10,000 9,939
5.720%, 10/27/95 25,000 24,654
John Deere Capital
5.940%, 08/01/95 50,000 50,000
5.680%, 11/21/95 30,000 29,470
Matterhorn Capital
5.750%, 08/17/95 15,000 14,962
5.750%, 08/28/95 12,196 12,143
McKenna Triangle National
5.750%, 08/25/95 5,000 4,981
5.730%, 09/08/95 25,000 24,849
Merrill Lynch
5.700%, 09/14/95 30,000 29,791
5.730%, 09/22/95 30,000 29,752
Monsanto
5.720%, 11/15/95 12,500 12,289
New Center Asset Trust
5.920%, 08/01/95 20,000 20,000
Norwest Corporation
5.980%, 08/07/95 10,000 9,990
5.660%, 11/20/95 35,000 34,389
Norwest Financial
6.000%, 08/01/95 15,000 15,000
Philip Morris
5.960%, 08/03/95 22,000 21,993
5.770%, 08/07/95 15,000 14,986
6.000%, 08/07/95 24,000 23,976
5.750%, 08/17/95 15,000 14,962
Preferred Receivables Funding
5.750%, 08/16/95 8,825 8,804
5.730%, 09/20/95 20,450 20,287
Prudential Funding
5.740%, 08/30/95 20,000 19,908
</TABLE>
4
<PAGE>
--------------------------------------------------------------------------------
<TABLE>
---------------------------------------------------------------------
<CAPTION>
Face
Description Amount (000) Value (000)
---------------------------------------------------------------------
<S> <C> <C>
Puerto Rico Development Bank
5.770%, 08/25/95 $ 14,000 $ 13,946
5.720%, 09/22/95 46,500 46,116
Riverwood Funding
5.750%, 08/31/95 25,000 24,880
Safeco Credit
5.700%, 09/13/95 10,000 9,932
Sears Roebuck Acceptance
5.730%, 09/08/95 35,000 34,788
5.720%, 10/23/95 30,000 29,604
Transamerica Finance
5.970%, 09/05/95 19,000 18,890
Whirlpool Corporation
6.020%, 08/01/95 15,000 15,000
5.750%, 08/25/95 20,000 19,923
5.750%, 09/06/95 15,758 15,667
----------
Total Commercial Paper
(Cost $1,729,770) 1,729,770
----------
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 15.5%
FHLB
6.315%, 08/23/95 35,000 34,871
FNMA
6.098%, 08/02/95 22,000 21,996
6.095%, 08/04/95 35,000 34,983
6.101%, 08/04/95 35,000 34,983
5.820%, 08/07/95 (A) 100,000 100,000
5.878%, 10/10/95 20,000 19,778
SLMA
5.830%, 08/07/95 (A) 47,600 47,600
5.840%, 08/07/95 (A) 16,000 16,002
5.850%, 08/07/95 (A) 47,000 47,007
----------
Total U.S. Government Agency Obligations
(Cost $357,220) 357,220
----------
FLOATING RATE
INSTRUMENTS -- 7.5%
Allstate Life Insurance
6.163%, 10/29/95 (A) 15,000 15,000
CoreStates Capital
5.870%, 08/10/95 (A) 22,000 22,000
People's Security Funding Agreement
6.360%, 10/29/95 (A) 62,000 62,000
SMM Trust (1994-B)
6.238%, 08/11/95 (A) 25,000 25,000
SMM Trust (1995-I)
5.895%, 08/29/95 (A) 50,000 49,988
----------
Total Floating Rate Instruments
(Cost $173,988) 173,988
----------
</TABLE>
<TABLE>
------------------------------------------------------------------------------
<CAPTION>
Face
Description Amount (000) Value (000)
------------------------------------------------------------------------------
<S> <C> <C>
CERTIFICATES OF DEPOSIT -- 2.2%
West One Bank
6.000%, 10/02/95 $ 10,000 $ 10,000
5.780%, 10/11/95 40,000 40,000
----------
Total Certificates of Deposit
(Cost $50,000) 50,000
----------
REPURCHASE AGREEMENTS -- 0.4%
Aubrey Lanston
5.82%, dated 07/31/95, matures 08/01/95, repurchase
price $2,928,473 (collateralized by U.S. Treasury
Note, par value $2,774,000, 7.50%, matures
05/15/02: market value $2,991,000) 2,928 2,928
UBS
5.88%, dated 07/31/95, matures 08/01/95, repurchase
price $7,001,143 (collateralized by various FNMA
obligations, total par value $7,122,331, 7.50%-
9.00%, 01/01/08-07/01/25: total market value
$7,142,000) 7,000 7,000
----------
Total Repurchase Agreements
(Cost $9,928) 9,928
----------
Total Investments -- 100.4%
(Cost $2,320,906) 2,320,906
----------
OTHER ASSETS AND LIABILITIES -- (0.4%)
Other assets and liabilities, net (8,855)
----------
NET ASSETS:
Portfolio shares of Class A (unlimited
authorization -- no par value) based on
2,287,941,259 outstanding shares of beneficial
interest 2,287,941
Portfolio shares of Class B (unlimited
authorization -- no par value) based on 24,144,188
outstanding shares of beneficial interest 24,144
Accumulated net realized loss on investments (34)
----------
TOTAL NET ASSETS -- 100.0% $2,312,051
==========
NET ASSET VALUE, OFFERING PRICE AND REDEMPTION PRICE
PER SHARE -- CLASS A $ 1.00
==========
</TABLE>
5
<PAGE>
STATEMENT OF NET ASSETS
--------------------------------------------------------------------------------
SEI Daily Income Trust -- July 31, 1995 (Unaudited)
PRIME OBLIGATION PORTFOLIO
<TABLE>
------------------------------------------------------------------------------
<CAPTION>
Face
Description Amount (000) Value (000)
------------------------------------------------------------------------------
<S> <C> <C>
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 July 31, 1995. The date shown is the longer of the
reset date or the demand date.
FHLB Federal Home Loan Bank
FNMA Federal National Mortgage Association
LP Limited Partnership
SLMA Student Loan Marketing Association
<TABLE>
TREASURY PORTFOLIO
<S> <C> <C>
U.S. TREASURY OBLIGATION -- 25.8%
United States Treasury Bills
6.380%, 08/10/95 $ 8,000 $ 7,989
6.133%, 09/14/95 3,000 2,978
6.068%, 10/26/95 2,000 1,972
-------
Total U.S. Treasury Obligation
(Cost $12,939) 12,939
-------
REPURCHASE AGREEMENTS -- 74.6%
Aubrey Lanston
5.82%, dated 07/31/95, matures 08/01/95, repurchase price
$8,501,374 (collateralized by U.S. Treasury Note, par value
$8,160,000, 7.125%, matures 02/29/00: market value
$8,685,000) 8,500 8,500
Donaldson, Lufkin, & Jenrette
5.86%, dated 07/31/95, matures 08/01/95, repurchase price
$5,000,814 (collateralized by U.S. Treasury Note, par value
$4,913,000, 6.875%, matures 03/31/97: market value
$5,101,000) 5,000 5,000
J.P. Morgan
5.82%, dated 07/31/95, matures 08/01/95, repurchase price
$10,001,616 (collateralized by U.S. Treasury Note, par value
$10,584,000, 5.00%, matures 01/31/99: market value
$10,214,000) 10,000 10,000
Lehman Brothers
5.83%, dated 07/31/95, matures 08/01/95, repurchase price
$10,001,619 (collateralized by U.S. Treasury Note, par value
$9,900,000, 6.375%, matures 08/15/02: market value
$10,180,000) 10,000 10,000
</TABLE>
<TABLE>
------------------------------------------------------------------------------
<CAPTION>
Face
Description Amount (000) Value (000)
------------------------------------------------------------------------------
<S> <C> <C>
Nomura (A)
5.76%, dated 07/31/95, matures 08/14/95, repurchase
price $4,008,960 (collateralized by U.S. Treasury
Note, par value $4,084,000, 5.875%, matures
07/31/95: market value $4,082,000) $ 4,000 $ 4,000
-------
Total Repurchase Agreements
(Cost $37,500) 37,500
-------
Total Investments -- 100.4%
(Cost $50,439) 50,439
-------
OTHER ASSETS AND LIABILITIES -- (0.4%)
Other assets and liabilities, net (205)
-------
NET ASSETS:
Portfolio shares of Class A (unlimited
authorization -- no par value) based on 39,012,426
outstanding shares of beneficial interest 39,012
Portfolio shares of Class C (unlimited
authorization -- no par value) based on 11,220,381
outstanding shares of beneficial interest 11,220
Accumulated net realized gain on investments 2
-------
TOTAL NET ASSETS -- 100.0% $50,234
=======
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 C $ 1.00
=======
</TABLE>
(A)Illiquid Security
TREASURY II PORTFOLIO
<TABLE>
<S> <C> <C>
U.S. TREASURY OBLIGATIONS -- 99.8%
United States Treasury Bills
6.006%, 08/03/95 $ 515 $ 515
6.018%, 08/03/95 17,750 17,744
6.032%, 08/03/95 15,000 14,995
6.054%, 08/03/95 23,000 22,993
6.066%, 08/03/95 1,200 1,200
6.101%, 08/03/95 15,000 14,995
6.124%, 08/03/95 25,000 24,992
5.546%, 08/17/95 38,045 37,953
</TABLE>
6
<PAGE>
--------------------------------------------------------------------------------
<TABLE>
------------------------------------------------------------------------------
<CAPTION>
Face
Description Amount (000) Value (000)
------------------------------------------------------------------------------
<S> <C> <C>
5.567%, 09/28/95 $ 1,555 $ 1,541
5.599%, 09/28/95 25,000 24,780
5.633%, 09/28/95 70,000 69,382
5.532%, 10/05/95 75,000 74,268
5.554%, 10/12/95 1,550 1,533
5.561%, 10/12/95 6,305 6,237
5.571%, 10/12/95 3,020 2,987
5.573%, 10/12/95 14,615 14,456
5.589%, 10/12/95 7,455 7,374
5.788%, 11/16/95 13,800 13,572
5.796%, 11/16/95 2,285 2,247
5.924%, 11/16/95 2,555 2,512
6.057%, 04/04/96 3,370 3,239
6.199%, 04/04/96 2,775 2,665
6.208%, 04/04/96 4,440 4,264
6.299%, 04/04/96 7,000 6,718
6.301%, 04/04/96 1,995 1,915
6.362%, 04/04/96 7,000 6,715
United States Treasury Notes
10.500%, 08/15/95 50,000 50,089
3.875%, 08/31/95 50,000 49,924
--------
Total U.S. Treasury Obligations
(Cost $481,805) 481,805
--------
Total Investments -- 99.8%
(Cost $481,805) 481,805
--------
OTHER ASSETS AND LIABILITIES -- 0.2%
Other assets and liabilities, net 732
--------
NET ASSETS:
Portfolio shares of Class A (unlimited
authorization -- no par value) based on 455,876,420
outstanding shares of beneficial interest 455,876
Portfolio shares of Class B (unlimited
authorization -- no par value) based on 24,640,160
outstanding shares of beneficial interest 24,640
Portfolio shares of Class C (unlimited
authorization -- no par value) based on 1,801,000
outstanding shares of beneficial interest 1,801
Accumulated net realized gain on investments 220
--------
TOTAL NET ASSETS -- 100.0% $482,537
--------
NET ASSET VALUE, OFFERING PRICE AND REDEMPTION PRICE
PER SHARE -- CLASS A $ 1.00
========
</TABLE>
<TABLE>
------------------------------------------------------------------------------
<CAPTION>
Face Market
Description Amount (000) Value (000)
------------------------------------------------------------------------------
<S> <C> <C>
NET ASSET VALUE, OFFERING PRICE AND REDEMPTION PRICE
PER SHARE -- CLASS B $ 1.00
=========
NET ASSET VALUE, OFFERING PRICE AND REDEMPTION PRICE
PER SHARE -- CLASS C $ 1.00
=========
SHORT-TERM GOVERNMENT PORTFOLIO
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 70.3%
FFCB
6.970%, 03/28/97 $11,000 $11,058
FHLB
6.940%, 03/14/97 10,000 10,107
FHLMC
6.500%, 10/01/07 4,516 4,389
FNMA
7.440%, 03/06/98 5,000 5,027
5.390%, 08/05/98 4,000 3,895
6.850%, 05/26/00 6,000 6,031
FNMA CMO
6.750%, 03/25/15 6,090 6,073
FNMA MTN
5.850%, 06/22/98 8,000 7,905
---------
Total U.S. Government Agency Obligations
(Cost $54,218) 54,485
---------
U.S. TREASURY OBLIGATIONS -- 19.8%
United States Treasury Note
6.750%, 06/30/99 15,000 15,308
---------
Total U.S. Treasury Obligations
(Cost $15,275) 15,308
---------
U.S. MORTGAGE-BACKED OBLIGATIONS -- 6.0%
GNMA
9.000%, 11/15/20 31 32
9.000%, 10/15/21 32 34
9.000%, 06/15/24 22 23
9.000%, 11/15/24 694 729
9.000%, 12/15/24 1,433 1,506
9.000%, 01/15/25 968 1,017
9.000%, 02/15/25 486 511
9.000%, 05/15/25 792 832
---------
Total U.S. Mortgage-Backed Obligations
(Cost $4,683) 4,684
---------
</TABLE>
7
<PAGE>
STATEMENT OF NET ASSETS
--------------------------------------------------------------------------------
SEI Daily Income Trust -- July 31, 1995 (Unaudited)
SHORT-TERM GOVERNMENT PORTFOLIO
<TABLE>
<CAPTION>
------------------------------------------------------------------------------
Face Market
Description Amount (000) Value (000)
------------------------------------------------------------------------------
<S> <C> <C>
REPURCHASE AGREEMENT -- 2.8%
Paine Webber
5.82%, dated 7/31/95, matures 08/01/95, repurchase
price $2,197,355 (collateralized by U.S. Treasury
Note, par value $1,790,000, 8.875%, matures
08/15/17: market value $2,224,000) $ 2,197 $ 2,197
-------
Total Repurchase Agreement
(Cost $2,197) 2,197
-------
Total Investments -- 98.9%
(Cost $76,373) 76,674
-------
OTHER ASSETS AND LIABILITIES -- 1.1%
Other assets and liabilities, net 844
-------
NET ASSETS:
Portfolio shares of Class A (unlimited
authorization -- no par value) based on 7,765,539
outstanding shares of beneficial interest 78,626
Portfolio shares of Class B (unlimited
authorization -- no par value) based on 12,670
outstanding shares of beneficial interest 127
Portfolio shares of Class D (unlimited
authorization -- no par value) based on 1,120
outstanding shares of beneficial interest 11
Accumulated net realized loss on investments (1,547)
Net unrealized appreciation on investments 301
-------
TOTAL NET ASSETS -- 100.0% $77,518
=======
NET ASSET VALUE, OFFERING PRICE AND REDEMPTION PRICE
PER SHARE -- CLASS A $ 9.96
=======
NET ASSET VALUE, OFFERING PRICE AND REDEMPTION PRICE
PER SHARE -- CLASS B $ 9.95
=======
NET ASSET VALUE AND REDEMPTION PRICE PER
SHARE -- CLASS D $ 9.96
=======
MAXIMUM OFFERING PRICE PER SHARE -- CLASS D
(9.96 / 96.5%)+ $ 10.32
=======
+ The maximum offering price per share is calculated by dividing the net
asset value by 1 minus the maximum sales charge of 3.50%.
CMO Collateralized Mortgage Obligation
FFCB Federal Farm Credit Bank
FHLB Federal Home Loan Bank
FHLMC Federal Home Loan Mortgage Corporation
FNMA Federal National Mortgage Association
GNMA Government National Mortgage Association
MTN Medium Term Note
INTERMEDIATE-TERM GOVERNMENT PORTFOLIO
U.S. TREASURY OBLIGATIONS -- 65.4%
United States Treasury Bonds
10.750%, 02/15/03 $ 8,500 $ 10,678
12.000%, 08/15/13 12,000 17,397
United States Treasury Notes
5.625%, 01/31/98 30,000 29,742
5.125%, 06/30/98 9,500 9,270
5.875%, 03/31/99 20,000 19,846
7.000%, 04/15/99 1,000 1,029
7.500%, 10/31/99 9,000 9,435
7.500%, 11/15/01 19,000 20,164
--------
Total U.S. Treasury Obligations
(Cost $116,570) 117,561
--------
U.S. MORTGAGE-BACKED
OBLIGATIONS -- 18.6%
FHLMC
5.000%, 03/15/03 5,000 4,876
6.250%, 07/01/03 594 583
6.500%, 10/01/07 6,805 6,612
5.950%, 06/25/13 10,000 9,859
7.000%, 02/25/19 500 502
7.000%, 05/01/24 1,493 1,457
FNMA
7.500%, 03/01/07 478 478
7.500%, 06/01/09 238 238
9.500%, 05/01/18 642 674
GNMA
8.000%, 02/15/22 90 92
8.000%, 05/15/22 421 430
8.000%, 07/15/22 1,073 1,096
8.000%, 09/15/22 332 339
7.000%, 07/20/25 (A) 6,030 6,143
--------
Total U.S. Mortgage-Backed Obligations
(Cost $32,995) 33,379
--------
</TABLE>
8
<PAGE>
--------------------------------------------------------------------------------
<TABLE>
------------------------------------------------------------------------------
<CAPTION>
Face Market
Description Amount (000) Value (000)
------------------------------------------------------------------------------
<S> <C> <C>
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 14.1%
FHLMC
5.600%, 03/01/99 $ 750 $ 725
FNMA
5.200%, 04/30/98 5,500 5,342
5.250%, 05/13/98 20,000 19,371
---------
Total U.S. Government Agency Obligations
(Cost $24,585) 25,438
---------
REPURCHASE AGREEMENT -- 1.0%
Paine Webber
5.82%, dated 07/31/95 matures 08/01/95, repurchase
price $1,763,285 (collateralized by U.S. Treasury
Note, par value $1,570,000, 8.75%, matures
08/15/00: market value $1,802,000) 1,763 1,763
---------
Total Repurchase Agreement
(Cost $1,763) 1,763
---------
Total Investments -- 99.1%
(Cost $175,913) 178,141
---------
OTHER ASSETS AND LIABILITIES -- 0.9%
Other assets and liabilities, net 1,612
---------
NET ASSETS:
Portfolio shares of Class A (unlimited
authorization -- no par value) based on 18,386,602
outstanding shares of beneficial interest 186,932
Portfolio shares of Class B (unlimited
authorization -- no par value) based on 9,945
outstanding shares of beneficial interest 96
Portfolio shares of Class D (unlimited
authorization -- no par value) based on 12,576
outstanding shares of beneficial interest 131
Accumulated net realized loss on investments (9,632)
Net unrealized appreciation on investments 2,228
Distributions in excess of net investment income (2)
---------
TOTAL NET ASSETS -- 100.0% $ 179,753
=========
NET ASSET VALUE, OFFERING PRICE AND REDEMPTION PRICE
PER SHARE -- CLASS A $ 9.76
=========
</TABLE>
<TABLE>
------------------------------------------------------------------------------
<CAPTION>
Face Market
Description Amount (000) Value (000)
------------------------------------------------------------------------------
<S> <C> <C>
NET ASSET VALUE, OFFERING PRICE AND REDEMPTION PRICE
PER SHARE -- CLASS B $ 9.76
======
NET ASSET VALUE AND REDEMPTION PRICE PER
SHARE -- CLASS D $ 9.76
======
MAXIMUM OFFERING PRICE PER SHARE -- CLASS D
(9.76 / 96.5%)+ $10.11
======
+ The maximum offering price per share is calculated by dividing the net
asset value by 1 minus the maximum sales charge of 3.50%.
</TABLE>
(A) Adjustable Rate Mortgage. The rate reflected on the Statement of Net Assets
is the rate in effect on July 31, 1995.
FHLMC Federal Home Loan Mortgage Corporation
FNMA Federal National Mortgage Association
GNMA Government National Mortgage Association
<TABLE>
GNMA PORTFOLIO
<S> <C> <C>
U.S. MORTGAGE-BACKED
OBLIGATIONS -- 99.4%
GNMA
6.50%, 09/15/23 -- 12/15/23 $ 9,335 $ 8,862
7.00%, 12/15/22 -- 04/15/24 43,370 42,327
7.50%, 02/15/17 -- 09/15/23 20,637 20,637
8.00%, 12/15/21 -- 07/15/22 10,764 10,992
8.50%, 08/15/08 -- 04/15/25 22,193 23,013
9.00%, 05/15/16 -- 07/15/22 19,141 20,105
9.50%, 06/15/09 -- 12/15/20 12,659 13,400
10.00%, 02/15/13 -- 07/15/20 4,228 4,609
10.50%, 03/15/18 181 200
11.00%, 12/15/09 -- 11/15/14 1,663 1,854
11.50%, 04/15/10 -- 02/15/13 101 113
12.00%, 01/15/13 -- 04/15/14 23 26
12.50%, 12/15/06 -- 07/15/15 75 86
--------
Total U.S. Mortgage-Backed Obligations
(Cost $146,881) 146,224
--------
REPURCHASE AGREEMENT -- 0.6%
Paine Webber
5.82%, dated 07/31/95, matures 08/01/95, repurchase price
$940,152 (collateralized by U.S. Treasury Bill, par value
$970,000, 0.00%, matures 09/21/95: market value $962,000) 940 940
--------
Total Repurchase Agreement
(Cost $940) 940
--------
Total Investments -- 100.0%
(Cost $147,821) 147,164
--------
</TABLE>
9
<PAGE>
STATEMENT OF NET ASSETS
--------------------------------------------------------------------------------
SEI Daily Income Trust -- July 31, 1995 (Unaudited)
GNMA PORTFOLIO
<TABLE>
<CAPTION>
-------------------------------------------------------------------------------
Market
Description Value (000)
-------------------------------------------------------------------------------
<S> <C> <C>
OTHER ASSETS AND LIABILITIES -- 0.0%
Other assets and liabilities, net $ 17
--------
NET ASSETS:
Portfolio shares of Class A (unlimited authorization -- no par
value) based on 15,294,105 outstanding shares of beneficial
interest 159,332
Portfolio shares of Class B (unlimited authorization -- no par
value) based on 1,567 outstanding shares of beneficial
interest 14
Portfolio shares of Class D (unlimited authorization -- no par
value) based on 19,128 outstanding shares of beneficial
interest 190
Accumulated net realized loss on investments (11,698)
Net unrealized depreciation on investments (657)
--------
TOTAL NET ASSETS -- 100.0% $147,181
========
NET ASSET VALUE, OFFERING PRICE
AND REDEMPTION PRICE PER
SHARE -- CLASS A $ 9.61
========
NET ASSET VALUE, OFFERING PRICE
AND REDEMPTION PRICE PER
SHARE -- CLASS B $ 9.61
========
NET ASSET VALUE AND REDEMPTION
PRICE PER SHARE -- CLASS D $ 9.60
========
MAXIMUM OFFERING PRICE PER
SHARE -- CLASS D (9.60 / 95.5%)+ $ 10.05
========
</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%.
GNMA Government National Mortgage Association
<TABLE>
<CAPTION>
---------------------------------------------------------------------
Face Market
Description Amount (000) Value (000)
---------------------------------------------------------------------
CORPORATE DAILY INCOME PORTFOLIO
<S> <C> <C>
CORPORATE OBLIGATIONS -- 37.3%
BankAmerica Corporate
6.263%, 09/15/95 (A) $2,000 $ 1,998
Bankers Trust of New York
9.200%, 07/15/99 1,000 1,066
Caterpillar MTN
5.640%, 10/04/95 (A) 1,000 979
Citicorp MTN
6.250%, 08/11/95 (A) 2,000 1,998
Continental Bank
6.500%, 08/18/95 (A) 825 828
Dean Witter Discover
6.077%, 08/15/95 (A) 1,000 1,002
Fleet Mortgage Group
6.500%, 06/15/00 2,000 1,968
Ford Motor Credit
6.230%, 08/15/95 (A) 1,500 1,487
General Electric Capital
6.000%, 08/01/95 (A) 1,000 1,000
General Motors Acceptance
5.300%, 09/08/95 MTN 300 300
5.150%, 09/14/95 MTN 100 100
5.510%, 09/25/95 (A) 1,000 980
MBNA Master Credit
6.100%, 08/01/95 (A) 1,500 1,501
Sears Roebuck MTN
5.726%, 09/10/95 (A) 1,000 995
Wells Fargo
6.063%, 09/20/95 (A) 2,000 1,999
-------
Total Corporate Obligations
(Cost $18,260) 18,201
-------
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 27.2%
FHLMC
6.000%, 08/15/95 330 327
6.100%, 04/11/97 1,000 997
6.500%, 07/01/98 502 502
6.500%, 08/01/98 348 348
6.500%, 09/01/98 23 23
6.500%, 10/01/98 568 568
6.000%, 11/01/98 881 872
6.000%, 12/01/98 817 809
6.000%, 04/01/99 1,987 1,967
6.000%, 05/01/99 2,029 2,008
6.000%, 07/01/99 649 642
FNMA
6.306%, 08/25/95 (A) 1,189 1,190
8.070%, 01/24/97 3,000 3,014
-------
Total U.S. Government Agency Obligations
(Cost $13,354) 13,267
-------
</TABLE>
10
<PAGE>
--------------------------------------------------------------------------------
<TABLE>
------------------------------------------------------------------------------
<CAPTION>
Face Market
Description Amount (000) Value (000)
------------------------------------------------------------------------------
<S> <C> <C>
ASSET BACKED SECURITIES -- 18.0%
Banc One Auto
6.850%, 11/15/97 $1,500 $ 1,514
Daimler-Benz Auto Grantor Trust
3.900%, 10/15/98 309 305
Ford Credit Grantor Trust CMO
4.300%, 07/15/98 378 372
General Motors Acceptance Grantor Trust
4.150%, 03/16/98 110 109
7.150%, 03/15/00 1,279 1,294
General Motors Acceptance Grantor Trust CMO
4.000%, 09/15/98 312 307
IBM Credit Receivables Lease Asset Master Trust
4.550%, 11/15/00 1,358 1,340
Premier Auto Trust
7.050%, 07/04/98 1,500 1,521
4.650%, 02/02/99 342 337
4.650%, 11/02/99 843 828
Premier Auto Trust 92-5 CMO
4.550%, 03/15/98 178 177
Premier Auto Trust 94-1 A2 CMO
6.168%, 08/02/95 (A) 415 415
Toyota Auto Receivables CMO
3.900%, 08/15/98 285 281
-------
Total Asset Backed Securities
(Cost $8,763) 8,800
-------
REPURCHASE AGREEMENT -- 16.7%
Paine Webber
5.82%, dated 07/31/95, matures 08/01/95, repurchase
price $8,156,318 (collateralized by U.S. Treasury
Note, par value $8,250,000, 6.125%, matures
12/31/96: market value $8,324,000) 8,155 8,155
-------
Total Repurchase Agreement
(Cost $8,155) 8,155
-------
Total Investments -- 99.2%
(Cost $48,532) 48,423
-------
OTHER ASSETS AND LIABILITIES -- 0.8%
Other assets and liabilities, net 373
-------
NET ASSETS:
Portfolio shares of Class A (unlimited
authorization -- no par value) based on 24,491,043
outstanding shares of beneficial interest 48,751
</TABLE>
<TABLE>
------------------------------------------------------------------------------
<CAPTION>
Face Market
Description Amount (000) Value (000)
------------------------------------------------------------------------------
<S> <C> <C>
Accumulated net realized gain on investments $ 154
Net unrealized depreciation on investments (109)
-------
TOTAL NET ASSETS -- 100.0% $48,796
=======
NET ASSET VALUE, OFFERING PRICE AND REDEMPTION PRICE
PER SHARE -- CLASS A $ 1.99
=======
</TABLE>
(A) Floating Rate Instrument. The rate reflected on the Statement of Net Assets
is the rate in effect on July 31, 1995. The date shown is the longer of the
reset date or demand date.
CMO Collateralized Mortgage Obligation
FHLMC Federal Home Loan Mortgage Corporation
FNMA Federal National Mortgage Association
MTN Medium Term Note
<TABLE>
SHORT-TERM MORTGAGE PORTFOLIO
<S> <C> <C>
U.S. MORTGAGE-BACKED
OBLIGATIONS -- 94.8%
FHLMC
7.000%, 02/01/99 $ 68 $ 68
7.500%, 01/01/09 145 145
FHLMC, IO STRIPS
7.000%, 05/15/21 454 72
FNMA
7.000%, 01/25/99 150 151
7.474%, 11/01/17 (A) 311 318
8.250%, 06/01/18 (A) 552 574
GNMA
12.000%, 09/15/98 53 57
12.000%, 10/15/98 24 26
10.000%, 04/20/01 166 173
10.750%, 03/15/03 39 41
7.000%, 05/15/08 249 249
9.250%, 11/20/16 88 92
7.000%, 07/20/25 (A) 251 256
------
Total U.S. Mortgage-Backed
Obligations
(Cost $2,196) 2,222
------
U.S. TREASURY OBLIGATIONS -- 4.7%
United States Treasury Bond
10.750%, 02/15/03 50 62
United States Treasury Note
8.750%, 10/15/97 45 48
------
Total U.S. Treasury Obligations
(Cost $112) 110
------
</TABLE>
11
<PAGE>
STATEMENT OF NET ASSETS
--------------------------------------------------------------------------------
SEI Daily Income Trust -- July 31, 1995 (Unaudited)
SHORT-TERM MORTGAGE PORTFOLIO
<TABLE>
-------------------------------------------------------------------------------
<CAPTION>
Market
Description Value (000)
-------------------------------------------------------------------------------
<S> <C> <C>
Total Investments -- 99.5%
(Cost $2,308) $2,332
------
OTHER ASSETS AND LIABILITIES -- 0.5%
Other assets and liabilities, net 11
------
NET ASSETS:
Portfolio shares of Class A (unlimited authorization -- no par
value) based on 240,108 outstanding shares of beneficial
interest 2,450
Accumulated net realized loss on investments (127)
Net unrealized appreciation on investments 24
Distributions in excess of net investment income (4)
------
TOTAL NET ASSETS -- 100.0% $2,343
======
NET ASSET VALUE, OFFERING PRICE
AND REDEMPTION PRICE PER
SHARE -- CLASS A $ 9.76
======
</TABLE>
(A) Adjustable Rate Mortgage. The rate reflected on the Statement of Net Assets
is the rate in effect on July 31, 1995.
FHLMC Federal Home Loan Mortgage Corporation
FNMA Federal National Mortgage Association
GNMA Government National Mortgage Association
IO Interest Only
STRIPS Separate Trading of Registered Interest and Principal of Securities
The accompanying notes are an
integral part of the financial
statements.
12
<PAGE>
THIS PAGE INTENTIONALLY LEFT BLANK
13
<PAGE>
STATEMENTS OF OPERATIONS (000)
--------------------------------------------------------------------------------
SEI Daily Income Trust -- for the period ended July 31, 1995 (Unaudited)
<TABLE>
<CAPTION>
--------- ---------- ------------- ----------
MONEY PRIME
MARKET GOVERNMENT GOVERNMENT II OBLIGATION
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
--------- ---------- ------------- ----------
<S> <C> <C> <C> <C>
Interest Income $6,319 $12,070 $25,706 $76,975
------ ------- ------- -------
EXPENSES:
Management fee 336 475 806 2,365
Less management fees waived (238) (238) (308) (915)
Investment advisory fee 26 52 111 325
Less investment advisory fees
waived (17) (39) (77) (227)
Custodian/wire agent fees 26 17 36 104
Trustee fees 2 5 11 30
Registration & filing fees 14 23 48 163
Distribution fees(1) 47 1,056 178 472
Other 18 33 74 208
Amortization of deferred
organizational costs -- -- -- --
------ ------- ------- -------
Total expenses 214 1,384 879 2,525
------ ------- ------- -------
NET INVESTMENT INCOME 6,105 10,686 24,827 74,450
------ ------- ------- -------
NET REALIZED AND UNREALIZED
GAIN (LOSS) ON INVESTMENTS
Net realized gain (loss) from
security transactions 30 62 31 82
------ ------- ------- -------
Net change in unrealized
appreciation of investments -- -- -- --
------ ------- ------- -------
NET INCREASE IN NET ASSETS FROM
OPERATIONS $6,135 $10,748 $24,858 $74,532
====== ======= ======= =======
</TABLE>
(1) Includes class specific expenses of approximately $11, $989, $31, $35, $1,
$61, $0, $0, and $0 for the Money Market, Government, Government II, Prime
Obligation, Treasury, Treasury II, Short-Term Government, Intermediate-Term
Government, and GNMA Portfolios, respectively.
Amounts designated as "--" are either $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
14
<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>
$1,175 $14,339 $2,729 $ 6,933 $ 6,311 $1,841 $ 97
------ ------- ------ ------- ------- ------ ----
46 587 147 367 261 99 5
(24) (186) (26) (65) (2) (49) (3)
5 64 42 105 81 28 1
(4) (42) (7) (19) (4) (12) --
1 21 4 9 8 2 --
1 6 1 3 2 1 --
2 30 6 14 10 3 --
8 144 15 37 29 10 1
5 48 7 21 15 6 --
-- -- -- -- -- 11 2
------ ------- ------ ------- ------- ------ ----
40 672 189 472 400 99 6
------ ------- ------ ------- ------- ------ ----
1,135 13,667 2,540 6,461 5,911 1,742 91
------ ------- ------ ------- ------- ------ ----
6 143 (300) (1,315) (2,023) 520 27
------ ------- ------ ------- ------- ------ ----
-- -- 2,370 11,594 10,078 347 14
------ ------- ------ ------- ------- ------ ----
$1,141 $13,810 $4,610 $16,740 $13,966 $2,609 $132
====== ======= ====== ======= ======= ====== ====
</TABLE>
15
<PAGE>
STATEMENTS OF CHANGES IN NET ASSETS (000)
--------------------------------------------------------------------------------
SEI Daily Income Trust -- for the period ended July 31, 1995 (Unaudited)
<TABLE>
<CAPTION>
------------------------
MONEY
MARKET
------------------------
2/1/95 2/1/94
to to
7/31/95 1/31/95
------------------------
<S> <C> <C>
OPERATIONS:
Net investment income $ 6,105 $ 9,667
Net realized gain (loss) from securities transac-
tions 30 (12)
----------- -----------
Net increase in net assets resulting from opera-
tions 6,135 9,655
----------- -----------
DIVIDENDS DISTRIBUTED FROM:
Net investment income:
Class A (5,914) (9,468)
Class B (177) (199)
Class C (14) --
Net realized gains -- --
----------- -----------
Total dividends distributed (6,105) (9,667)
----------- -----------
CAPITAL SHARE TRANSACTIONS (ALL AT $1.00 PER
SHARE):
Class A:
Proceeds from shares issued 1,098,207 2,811,452
Shares issued in lieu of cash distributions 36 38
Cost of shares repurchased (1,201,690) (2,801,293)
----------- -----------
Increase (decrease) in net assets from Class A
transactions (103,447) 10,197
----------- -----------
Class B:
Proceeds from shares issued 4,529 13,161
Shares issued in lieu of cash distributions -- --
Cost of shares repurchased (6,038) (9,181)
----------- -----------
Increase (decrease) in net assets from Class B
transactions (1,509) 3,980
----------- -----------
Class C:
Proceeds from shares issued 2,639 --
Shares issued in lieu of cash distributions -- --
Cost of shares repurchased (743) --
----------- -----------
Increase (decrease) in net assets from Class C
transactions 1,896 --
----------- -----------
INCREASE (DECREASE) IN NET ASSETS DERIVED FROM
CAPITAL SHARE TRANSACTIONS (103,060) 14,177
----------- -----------
Net increase (decrease) in net assets (103,030) 14,165
----------- -----------
NET ASSETS:
Beginning of Period 220,302 206,137
----------- -----------
End of Period $ 117,272 $ 220,302
=========== ===========
</TABLE>
(1) 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.
16
<PAGE>
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
---------------------- ------------------------ ------------------------- ------------------- ------------------------
PRIME
GOVERNMENT GOVERNMENT II OBLIGATION TREASURY TREASURY II
---------------------- ------------------------ ------------------------- ------------------- ------------------------
2/1/95 4/7/94 2/1/95 2/1/94 2/1/95 2/1/94 2/1/95 2/1/94 2/1/95 2/1/94
to to to to to to to to to to
7/31/95 1/31/95(1) 7/31/95 1/31/95 7/31/95 1/31/95 7/31/95 1/31/95 7/31/95 1/31/95
---------------------- ------------------------ ------------------------- ------------------- ------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
$ 10,686 $ 7,304 $ 24,827 $ 32,719 $ 74,450 $ 98,561 $ 1,135 $ 1,999 $ 13,667 $ 15,796
62 (74) 31 (87) 82 (138) 6 (3) 143 95
--------- --------- ----------- ----------- ----------- ------------ -------- --------- ----------- -----------
10,748 7,230 24,858 32,632 74,532 98,423 1,141 1,996 13,810 15,891
--------- --------- ----------- ----------- ----------- ------------ -------- --------- ----------- -----------
-- -- (24,255) (32,116) (73,788) (97,805) (1,127) (1,999) (12,602) (14,850)
-- -- (572) (603) (662) (647) -- -- (1,044) (946)
(10,686) (7,304) -- -- -- (109) (8) -- (21) --
-- -- -- -- -- -- -- -- -- --
--------- --------- ----------- ----------- ----------- ------------ -------- --------- ----------- -----------
(10,686) (7,304) (24,827) (32,719) (74,450) (98,561) (1,135) (1,999) (13,667) (15,796)
--------- --------- ----------- ----------- ----------- ------------ -------- --------- ----------- -----------
-- -- 2,235,395 3,658,726 7,892,982 16,480,679 96,867 225,159 1,777,330 2,198,439
-- -- 345 623 12,025 18,646 -- -- 2,234 5,301
-- -- (2,180,772) (3,610,898) (8,395,507) (16,261,984) (96,988) (232,323) (1,721,297) (2,170,484)
--------- --------- ----------- ----------- ----------- ------------ -------- --------- ----------- -----------
-- -- 54,968 48,451 (490,500) 237,341 (121) (7,164) 58,267 33,256
--------- --------- ----------- ----------- ----------- ------------ -------- --------- ----------- -----------
-- -- 91,367 70,987 61,712 56,734 -- -- 99,001 157,948
-- -- 70 57 48 5 -- -- -- 4
-- -- (87,765) (77,304) (59,469) (41,198) -- -- (119,037) (135,723)
--------- --------- ----------- ----------- ----------- ------------ -------- --------- ----------- -----------
-- -- 3,672 (6,260) 2,291 15,541 -- -- (20,036) 22,229
--------- --------- ----------- ----------- ----------- ------------ -------- --------- ----------- -----------
690,180 824,507 -- -- -- 3,479 11,244 -- 1,801 --
6,598 6,347 -- -- -- -- -- -- 13 --
(492,013) (519,945) -- -- -- (24,085) (24) -- (13) --
--------- --------- ----------- ----------- ----------- ------------ -------- --------- ----------- -----------
204,765 310,909 -- -- -- (20,606) 11,220 -- 1,801 --
--------- --------- ----------- ----------- ----------- ------------ -------- --------- ----------- -----------
204,765 310,909 58,640 42,191 (488,209) 232,276 11,099 (7,164) 40,032 55,485
--------- --------- ----------- ----------- ----------- ------------ -------- --------- ----------- -----------
204,827 310,835 58,671 42,104 (488,127) 232,138 11,105 (7,167) 40,175 55,580
--------- --------- ----------- ----------- ----------- ------------ -------- --------- ----------- -----------
310,835 -- 801,606 759,502 2,800,178 2,568,040 39,129 46,296 442,362 386,782
--------- --------- ----------- ----------- ----------- ------------ -------- --------- ----------- -----------
$ 515,662 $ 310,835 $ 860,277 $ 801,606 $ 2,312,051 $ 2,800,178 $ 50,234 $ 39,129 $ 482,537 $ 442,362
========= ========= =========== =========== =========== ============ ======== ========= =========== ===========
</TABLE>
17
<PAGE>
STATEMENTS OF CHANGES IN NET ASSETS (000)
--------------------------------------------------------------------------------
SEI Daily Income Trust -- for the period ended July 31, 1995 (Unaudited)
<TABLE>
<CAPTION>
------------------ ------------------
SHORT-TERM INTERMEDIATE-TERM
GOVERNMENT GOVERNMENT
------------------ ------------------
2/1/95 2/1/94 2/1/95 2/1/94
to to to to
7/31/95 1/31/95 7/31/95 1/31/95
------------------ ------------------
<S> <C> <C> <C> <C>
OPERATIONS:
Net investment income $ 2,540 $ 4,639 $ 6,461 $ 15,663
Net realized gain (loss) from
security transactions (300) (1,375) (1,315) (8,331)
Net change in unrealized
appreciation (depreciation) of
investments 2,370 (2,532) 11,594 (16,030)
-------- -------- -------- --------
Net increase (decrease) in net
assets resulting from operations 4,610 732 16,740 (8,698)
-------- -------- -------- --------
DIVIDENDS DISTRIBUTED FROM:
Net investment income:
Class A (2,536) (4,636) (6,457) (15,655)
Class B (4) (3) (3) (3)
Class D -- -- (3) (7)
Net Realized Gains:
Class A -- (143) -- (2,132)
Class B -- -- -- (1)
Class D -- -- -- (1)
-------- -------- -------- --------
Total dividends distributed (2,540) (4,782) (6,463) (17,799)
-------- -------- -------- --------
CAPITAL SHARE TRANSACTIONS:
Class A:
Proceeds from shares issued 41,654 61,290 17,103 109,590
Reinvestment of cash distributions 809 1,556 1,032 2,663
Cost of shares repurchased (66,607) (87,404) (92,541) (178,914)
-------- -------- -------- --------
Increase (decrease) in net assets
derived from Class A transactions (24,144) (24,558) (74,406) (66,661)
-------- -------- -------- --------
Class B:
Proceeds from shares issued 1 112 -- 96
Reinvestment of cash distributions -- -- -- --
Cost of shares repurchased (9) (15) -- --
-------- -------- -------- --------
Increase (decrease) in net assets
derived from Class B transactions (8) 97 -- 96
-------- -------- -------- --------
Class D:
Proceeds from shares issued 11 -- 26 142
Reinvestment of cash distributions -- -- 3 7
Cost of shares repurchased -- -- (10) (145)
-------- -------- -------- --------
Increase in net assets derived from
Class D transactions 11 -- 19 4
-------- -------- -------- --------
INCREASE (DECREASE) IN NET ASSETS
DERIVED FROM CAPITAL SHARE
TRANSACTIONS (24,141) (24,461) (74,387) (66,561)
-------- -------- -------- --------
Net increase (decrease) in net
assets (22,071) (28,511) (64,110) (93,058)
-------- -------- -------- --------
NET ASSETS:
Beginning of period 99,589 128,100 243,863 336,921
-------- -------- -------- --------
End of period $ 77,518 $ 99,589 $179,753 $243,863
======== ======== ======== ========
CAPITAL SHARE TRANSACTIONS:
Class A:
Shares issued 4,199 6,239 1,765 11,387
Shares issued in lieu of cash
distributions 82 159 107 280
Shares repurchased (6,736) (8,911) (9,610) (18,803)
-------- -------- -------- --------
Total Class A transactions (2,455) (2,513) (7,738) (7,136)
-------- -------- -------- --------
Class B:
Shares issued -- 11 -- 10
Shares issued in lieu of cash
distributions -- -- -- --
Shares repurchased (1) (1) -- --
-------- -------- -------- --------
Total Class B transactions (1) 10 -- 10
-------- -------- -------- --------
Class D:
Shares issued 1 -- 3 14
Shares issued in lieu of cash
distributions -- -- -- 1
Shares repurchased -- -- (1) (15)
-------- -------- -------- --------
Total Class D transactions 1 -- 2 --
-------- -------- -------- --------
Increase (decrease) in capital
shares (2,455) (2,503) (7,736) (7,126)
======== ======== ======== ========
Undistributed (distributions in
excess of) net investment income $ -- $ -- $ (2) $ --
======== ======== ======== ========
</TABLE>
The accompanying notes are an integral part of the financial statements.
18
<PAGE>
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
----------------------- -------------------------- -------------------------
CORPORATE
DAILY SHORT-TERM
GNMA INCOME MORTGAGE
----------------------- -------------------------- -------------------------
2/1/95 2/1/94 2/1/95 2/1/94 2/1/95 2/1/94
to to to to to to
7/31/95 1/31/95 7/31/95 1/31/95 7/31/95 1/31/95
----------------------- -------------------------- -------------------------
<S> <C> <C> <C> <C> <C>
$ 5,911 $ 16,746 $ 1,742 $ 1,997 $ 91 $ 241
(2,023) (9,770) 520 (367) 27 (148)
10,078 (14,407) 347 (442) 14 12
-------- -------- ------- -------- ------- -------
13,966 (7,431) 2,609 1,188 132 105
-------- -------- ------- -------- ------- -------
(5,904) (16,618) (1,742) (1,997) (95) (241)
(1) (1) -- -- -- --
(6) (10) -- -- -- --
-- (66) -- -- -- --
-- -- -- -- -- --
-- -- -- -- -- --
-------- -------- ------- -------- ------- -------
(5,911) (16,695) (1,742) (1,997) (95) (241)
-------- -------- ------- -------- ------- -------
17,796 96,860 19,890 51,564 255 5,704
1,071 3,898 934 1,071 29 95
(62,156) (156,581) (23,390) (44,986) (1,585) (5,977)
-------- -------- ------- -------- ------- -------
(43,289) (55,823) (2,566) 7,649 (1,301) (178)
-------- -------- ------- -------- ------- -------
-- 28 -- -- -- --
-- -- -- -- -- --
-- (14) -- -- -- --
-------- -------- ------- -------- ------- -------
-- 14 -- -- -- --
-------- -------- ------- -------- ------- -------
17 47 -- -- -- --
5 8 -- -- -- --
(15) (7) -- -- -- --
-------- -------- ------- -------- ------- -------
7 48 -- -- -- --
-------- -------- ------- -------- ------- -------
(43,282) (55,761) (2,566) 7,649 (1,301) (178)
-------- -------- ------- -------- ------- -------
(35,227) (79,887) (1,699) 6,840 (1,264) (314)
-------- -------- ------- -------- ------- -------
182,408 262,295 50,495 43,655 3,607 3,921
-------- -------- ------- -------- ------- -------
$147,181 $182,408 $48,796 $ 50,495 $ 2,343 $ 3,607
======== ======== ======= ======== ======= =======
1,880 10,398 10,062 26,175 26 584
113 421 471 544 3 10
(6,571) (16,985) (11,756) (22,845) (163) (616)
-------- -------- ------- -------- ------- -------
(4,578) (6,166) (1,223) 3,874 (134) (22)
-------- -------- ------- -------- ------- -------
-- 3 -- -- -- --
-- -- -- -- -- --
-- (1) -- -- -- --
-------- -------- ------- -------- ------- -------
-- 2 -- -- -- --
-------- -------- ------- -------- ------- -------
2 5 -- -- -- --
1 1 -- -- -- --
(2) (1) -- -- -- --
-------- -------- ------- -------- ------- -------
1 5 -- -- -- --
-------- -------- ------- -------- ------- -------
(4,577) (6,159) (1,223) 3,874 (134) (22)
======== ======== ======= ======== ======= =======
$ -- $ -- $ -- $ -- $ (4) $ --
======== ======== ======= ======== ======= =======
</TABLE>
19
<PAGE>
FINANCIAL HIGHLIGHTS
--------------------------------------------------------------------------------
SEI Daily Income Trust -- for the period ended July 31, 1995 (Unaudited)
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>
MONEY MARKET PORTFOLIO
----------------------
CLASS A
1995* $1.00 $0.03 $ -- $(0.03) $ -- $1.00 3.52%+ $ 110,570 0.20%
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
CLASS B
1995* 1.00 0.03 -- (0.03) -- 1.00 3.34+ 4,806 0.50
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(1) 1.00 0.02 -- (0.02) -- 1.00 7.37 830 0.65
CLASS C
1995(2) 1.00 0.01 -- (0.01) -- 1.00 1.13+ 1,896 0.70
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* 1.00 0.03 -- (0.03) -- 1.00 3.17+ 515,662 0.70
1995(5) 1.00 0.03 -- (0.03) -- 1.00 3.41+ 310,835 0.70
GOVERNMENT II PORTFOLIO
-----------------------
CLASS A
1995* $1.00 $0.03 $ -- $(0.03) $ -- $1.00 3.44%+ $ 841,402 0.20%
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
CLASS B
1995* 1.00 0.03 -- (0.03) -- 1.00 3.26+ 18,875 0.50
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(6) 1.00 0.00 -- (0.00) -- 1.00 0.00 607 0.50
PRIME OBLIGATION PORTFOLIO
--------------------------
CLASS A
1995* $1.00 $0.03 $ -- $(0.03) $ -- $1.00 3.51%+ $2,287,907 0.20%
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
CLASS B
1995* 1.00 0.03 -- (0.03) -- 1.00 3.33+ 24,144 0.50
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(7) 1.00 0.04 -- (0.04) -- 1.00 5.58 67,016 0.50
CLASS C
1995(9) 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(8) 1.00 0.03 -- (0.03) -- 1.00 3.13 85,325 0.70
<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>
MONEY MARKET PORTFOLIO
----------------------
CLASS A
1995* 6.01% 0.45% 5.76%
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
CLASS B
1995* 5.71 0.75 5.46
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(1) 7.17 0.72 7.10
CLASS C
1995(2) 5.41 0.95 5.16
GOVERNMENT PORTFOLIO
--------------------
CLASS A
1994(3) 3.04% 0.37% 2.87%
1993(4) 3.41 0.38 3.23
CLASS C
1995* 5.40 0.84 5.26
1995(5) 4.32 0.89 4.13
GOVERNMENT II PORTFOLIO
-----------------------
CLASS A
1995* 5.86% 0.29% 5.77%
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
CLASS B
1995* 5.57 0.59 5.48
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(6) 6.44 3.76 3.18
PRIME OBLIGATION PORTFOLIO
--------------------------
CLASS A
1995* 5.98% 0.29% 5.89%
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
CLASS B
1995* 5.68 0.59 5.59
1995 4.55 0.60 4.45
1994 2.77 0.58 2.68
1993 3.63 0.53 3.57
1992(7) 4.98 0.59 4.89
CLASS C
1995(9) 2.79 0.77 2.72
1994 2.57 0.78 2.48
1993(8) 3.05 0.83 2.92
</TABLE>
20
<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>
TREASURY PORTFOLIO
------------------
CLASS A
1995* $1.00 $0.03 $ -- $(0.03) $ -- $1.00 3.42%+ $ 39,014 0.20%
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(10) 1.00 0.01 -- (0.01) -- 1.00 2.91 44,624 0.20
CLASS C
1995(11) 1.00 -- -- -- -- 1.00 0.07+ 11,220 0.70
TREASURY II PORTFOLIO
---------------------
CLASS A
1995* $1.00 $0.03 $ -- $(0.03) $ -- $1.00 3.30%+ $456,080 0.25%
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
CLASS B
1995* 1.00 0.03 -- (0.03) -- 1.00 3.12+ 24,656 0.55
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(12) 1.00 0.07 -- (0.07) -- 1.00 7.16 85,439 0.55
CLASS C
1995(13) 1.00 0.01 -- (0.01) -- 1.00 1.18+ 1,801 0.75
<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>
TREASURY PORTFOLIO
------------------
CLASS A
1995* 5.86% 0.34% 5.72%
1995 4.17 0.34 4.03
1994 2.96 0.33 2.82
1993(10) 2.89 0.42 2.67
CLASS C
1995(11) 5.21 0.82 5.09
TREASURY II PORTFOLIO
---------------------
CLASS A
1995* 5.61% 0.34% 5.52%
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
CLASS B
1995* 5.34 0.64 5.25
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(12) 7.18 0.67 7.06
CLASS C
1995(13) 5.06 0.84 4.97
</TABLE>
+ Returns are for the period indicated and have not been annualized.
* All ratios for the semi-annual period ended July 31, 1995 (unaudited) have
been annualized.
1 Money Market Class B shares were offered beginning October 12, 1990. All ra-
tios including total return for that period have been annualized.
2 Money Market Class C shares were offered beginning May 17, 1995. All ratios
for that period have been annualized.
3 Government Class A shares were fully liquidated June 2, 1993. All ratios in-
cluding total return for that period have been annualized.
4 Government Class A shares were offered beginning March 8, 1992. All ratios
including total return for that period have been annualized.
5 Government Class C shares were offered beginning April 7, 1994. All ratios
for that period have been annualized.
6 Government II Class B shares were offered beginning January 28, 1991. All ra-
tios including total return for that period have been annualized.
7 Prime Obligation Class B shares were offered beginning March 26, 1991. All
ratios including total return for that period have been annualized.
8 Prime Obligation Class C shares were offered beginning March 25, 1992. All
ratios including total return for that period have been annualized.
9 Prime Obligation Class C shares were fully liquidated October 27, 1994. All
ratios for that period have been annualized.
10 Treasury Class A shares were offered beginning September 30, 1992. All ra-
tios including total return for that period have been annualized.
11 Treasury Class C shares were offered beginning July 27, 1995. All ratios for
that period have been annualized.
12 Treasury II Class B shares were offered beginning February 15, 1990. All ra-
tios including total return for that period have been annualized.
13 Treasury II Class C shares were offered beginning May 8, 1995. All ratios
for that period have been annualized.
The accompanying notes are an integral part of the financial statements.
21
<PAGE>
FINANCIAL HIGHLIGHTS (Continued)
------------------------------------------------------------------------
SEI Daily Income Trust -- for the period ended July 31, 1995
(Unaudited)
For a Share Outstanding Throughout each Period
<TABLE>
<CAPTION>
Net Asset Net Realized and Dividends Distributions
Value Net Unrealized from Net from Net Asset
Beginning Investment Gains (Losses) Investment Realized Capital Value End Total
of Period Income on Securities Income Gains of Period Return
-----------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
SHORT-TERM GOVERNMENT PORTFOLIO
-------------------------------
CLASS A
1995* $ 9.73 $0.30 $ 0.23 $(0.30) $ -- $ 9.96 6.81%+
1995 10.06 0.40 (0.32) (0.40) (0.01) 9.73 0.93
1994 10.13 0.40 0.04 (0.40) (0.11) 10.06 4.41
1993 10.09 0.52 0.14 (0.52) (0.10) 10.13 6.66
1992 9.82 0.68 0.27 (0.68) -- 10.09 10.00
1991 9.65 0.76 0.17 (0.76) -- 9.82 9.98
CLASS B
1995* 9.71 0.29 0.24 (0.29) -- 9.95 6.74+
1995 10.04 0.38 (0.32) (0.38) (0.01) 9.71 0.70
1994 10.13 0.37 0.02 (0.37) (0.11) 10.04 3.93
1993 10.09 0.48 0.14 (0.48) (0.10) 10.13 6.34
1992 9.82 0.65 0.27 (0.65) -- 10.09 9.68
1991(1) 9.75 0.17 0.07 (0.17) -- 9.82 (0.25)
CLASS D**
1995(2) 9.83 0.25 0.13 (0.25) -- 9.96 3.84+
INTERMEDIATE-TERM GOVERNMENT PORTFOLIO
--------------------------------------
CLASS A
1995* $ 9.33 $0.30 $ 0.43 $(0.30) $ -- $ 9.76 9.68%+
1995 10.13 0.50 (0.73) (0.50) (0.07) 9.33 (2.19)
1994 10.23 0.54 0.11 (0.54) (0.21) 10.13 6.44
1993 10.06 0.62 0.28 (0.62) (0.11) 10.23 9.51
1992 9.75 0.70 0.40 (0.70) (0.09) 10.06 11.44
1991 9.48 0.73 0.28 (0.74) -- 9.75 11.06
CLASS B
1995* 9.33 0.28 0.43 (0.28) -- 9.76 9.49+
1995(3) 9.64 0.31 (0.24) (0.31) (0.07) 9.33 0.61+
CLASS D**
1995* 9.32 0.28 0.44 (0.28) -- 9.76 9.54+
1995 10.13 0.47 (0.74) (0.47) (0.07) 9.32 (2.61)
1994(4) 10.44 0.17 (0.10) (0.17) (0.21) 10.13 1.52
GNMA PORTFOLIO
--------------
CLASS A
1995* $ 9.17 $0.34 $ 0.44 $(0.34) $ -- $ 9.61 10.95%+
1995 10.07 0.64 (0.90) (0.64) -- 9.17 (2.46)
1994 10.22 0.66 (0.06) (0.66) (0.09) 10.07 6.09
1993 9.99 0.75 0.27 (0.75) (0.04) 10.22 10.92
1992 9.61 0.79 0.38 (0.79) -- 9.99 12.49
1991 9.31 0.83 0.30 (0.83) -- 9.61 12.74
CLASS B
1995* 9.17 0.33 0.44 (0.33) -- 9.61 10.76+
1995(5) 9.16 0.35 0.01 (0.35) -- 9.17 4.00+
CLASS D**
1995* 9.16 0.32 0.44 (0.32) -- 9.60 10.71+
1995 10.09 0.61 (0.93) (0.61) -- 9.16 (3.04)
1994(6) 10.22 0.19 (0.04) (0.19) (0.09) 10.09 4.24
CORPORATE DAILY INCOME PORTFOLIO
--------------------------------
1995* $ 1.96 $0.06 $ 0.03 $(0.06) $ -- $ 1.99 5.19%+
1995 2.00 0.09 (0.04) (0.09) -- 1.96 2.59
1994(7) 2.00 0.02 -- (0.02) -- 2.00 3.45
<CAPTION>
Ratio of
Ratio of Net Investment
Ratio of Expenses Income
Ratio of Net Investment to Average to Average
Net Assets Expenses Income Net Assets Net Assets Portfolio
End of to Average to Average (Excluding (Excluding Turnover
Period (000) Net Assets Net Assets Waivers) Waivers) Rate
--------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
SHORT-TERM GOVERNMENT PORTFOLIO
-------------------------------
CLASS A
1995* $ 77,381 0.45% 6.07% 0.53% 5.99% 141%
1995 99,458 0.45 4.12 0.52 4.05 45
1994 128,063 0.45 3.98 0.52 3.91 105
1993 100,153 0.45 5.04 0.55 4.94 80
1992 63,194 0.45 6.82 0.56 6.71 36
1991 51,457 0.45 7.73 0.54 7.64 17
CLASS B
1995* 126 0.75 5.81 0.83 5.73 141
1995 131 0.75 3.92 0.82 3.85 45
1994 37 0.75 3.67 0.82 3.60 105
1993 135 0.75 4.74 0.85 4.64 80
1992 135 0.75 6.52 0.85 6.42 36
1991(1) 150 0.75 7.25 0.93 7.07 17
CLASS D**
1995(2) 11 0.85 5.87 0.93 5.79 141
INTERMEDIATE-TERM GOVERNMENT PORTFOLIO
--------------------------------------
CLASS A
1995* $179,533 0.45% 6.17% 0.53% 6.09% 54%
1995 243,671 0.45 5.20 0.52 5.13 61
1994 336,814 0.45 5.24 0.53 5.16 56
1993 259,488 0.45 6.16 0.53 6.08 52
1992 199,901 0.45 7.08 0.54 6.99 62
1991 184,193 0.45 7.78 0.54 7.69 39
CLASS B
1995* 97 0.75 5.88 0.83 5.80 54
1995(3) 93 0.75 5.07 0.83 4.99 61
CLASS D**
1995* 123 0.85 5.79 0.93 5.71 54
1995 99 0.84 4.80 0.92 4.72 61
1994(4) 107 0.75 4.94 0.83 4.86 56
GNMA PORTFOLIO
--------------
CLASS A
1995* $146,982 0.49% 7.24% 0.50% 7.23% 6%
1995 182,225 0.47 6.89 0.50 6.86 85
1994 262,162 0.45 6.38 0.50 6.32 70
1993 193,204 0.45 7.49 0.52 7.42 23
1992 120,712 0.45 8.09 0.52 8.02 9
1991 56,912 0.45 8.66 0.61 8.50 16
CLASS B
1995* 15 0.79 6.94 0.80 6.93 6
1995(5) 14 0.79 6.80 0.82 6.77 85
CLASS D**
1995* 184 0.89 6.84 0.90 6.83 6
1995 169 0.86 6.54 0.89 6.51 85
1994(6) 133 0.75 6.06 0.80 6.01 70
CORPORATE DAILY INCOME PORTFOLIO
--------------------------------
1995* $ 48,796 0.35% 6.15% 0.57% 5.93% 234%
1995 50,495 0.35 4.60 0.55 4.40 147
1994(7) 43,655 0.35 3.45 0.63 3.18 34
</TABLE>
22
<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>
SHORT-TERM MORTGAGE PORTFOLIO
-----------------------------
1995* $ 9.64 $0.32 $0.13 $(0.33) $ -- $9.76 6.18%+ $2,343 0.45%
1995 9.90 0.48 (0.24) (0.48) (0.02) 9.64 2.29 3,607 0.45
1994(8) 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 MORTGAGE PORTFOLIO
-----------------------------
1995* 6.72% 0.68% 6.49% 81%
1995 4.90 0.64 4.71 741
1994(8) 3.16 0.93 2.68 166
</TABLE>
+ Returns are for the period indicated and have not been annualized.
* All ratios for the semi-annual period ended July 31, 1995 (unaudited) have
been annualized.
** Total return does not reflect the sales charge on the Class D shares.
1 Short-Term Government Class B shares were offered beginning November 5, 1990.
All ratios including total return for that period have been annualized.
2 Short-Term Government Class D shares were offered beginning February 28,
1995. All ratios for that period have been annualized.
3 Intermediate-Term Government Class B shares were offered beginning June 8,
1994. All ratios for that period have been annualized.
4 Intermediate-Term Government Class D shares were offered beginning September
26, 1993. All ratios including total return for that period have been
annualized.
5 GNMA Class B shares were offered beginning July 12, 1994. All ratios for that
period have been annualized.
6 GNMA Class D shares were offered beginning September 30, 1993. All ratios in-
cluding total return for that period have been annualized.
7 Corporate Daily Income Class A shares were offered beginning September 28,
1993. All ratios including total return for that period have been annualized.
8 Short-Term Mortgage Class A shares were offered beginning May 20, 1993. All
ratios including total return for that period have been annualized. Prior to
June 30, 1994, Bear Stearns Asset Management served as the Investment Advis-
er.
The accompanying notes are an integral part of the financial statements.
23
<PAGE>
NOTES TO FINANCIAL STATEMENTS
--------------------------------------------------------------------------------
SEI Daily Income Trust -- July 31, 1995 (Unaudited)
1. ORGANIZATION
SEI Daily Income Trust (the "Trust") was organized as a Massachusetts business
trust under a Declaration of Trust dated March 15, 1982.
The Trust is registered under the Investment Company Act of 1940, as amended,
as a diversified, open-end investment company with 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 (the "Fixed
Income Portfolios"). The assets of each portfolio are segregated, and a share-
holder's interest is limited to the Portfolio in which shares are held.
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
Adviser ensure that the market value of the collateral, including accrued in-
terest thereon, is sufficient in the event of default by the counterparty. The
Portfolios also invest in tri-party repurchase agreements. Securities held as
collateral for tri-party repurchase agreements are maintained by the broker's
custodian bank in a segregated account until maturity of the repurchase agree-
ment. Provisions of the agreements ensure that the market value of the collat-
eral, including accrued interest thereon, is sufficient in the event of de-
fault. If the counterparty defaults and the value of the collateral declines or
if the counterparty enters into an insolvency proceeding, realization of the
collateral by the Portfolio may be delayed or limited.
24
<PAGE>
--------------------------------------------------------------------------------
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 amortized
on a straight line basis over a period of sixty months commencing with opera-
tions. 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 .33% of the daily net asset value of the Money Market Portfo-
lio, .19% each of the daily net asset value of the Government II and Prime Ob-
ligation Portfolios, .24% each of the daily net asset value of the Government,
Treasury and Treasury II Portfolios, .35% each 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
annual 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>
Money Prime
Market Obligation Gov't Gov't II Treasury Treasury II
------ ---------- ----- -------- -------- -----------
<S> <C> <C> <C> <C> <C> <C>
Class A 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 Class D. Distribution expenses include the com-
pensation 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 Trust. The Adviser has agreed to
waive 50% of
25
<PAGE>
NOTES TO FINANCIAL STATEMENTS (Continued)
---------------------------------------------------------------------------
SEI Daily Income Trust -- July 31, 1995 (Unaudited)
the fee otherwise due for the Prime Obligation, Government, Government II,
Treasury and Treasury II Portfolios. 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.
Monthly fees are equal to .10% of the Portfolios' combined average daily net
assets up to $500 million, .075% of the next $500 million of such assets 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. Pursuant to an Investment Advisory Agreement dated August 4,
1993, Wellington Management Company serves as Investment Adviser for the Corpo-
rate 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. Pursuant to an Investment Advisory Agreement dated June 30,
1994, Wellington Management Company serves as the Investment Adviser of the
Trust on behalf of the Short-Term Mortgage Portfolio for a monthly fee equal to
.10% of the Portfolio'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. 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
July 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 $91,632 $109,326 $10,066 $55,788 $1,272
Other -- -- -- 8,637 --
SALES
U.S.
Government $132,941 $191,136 $46,298 $60,616 $2,704
Other -- -- -- 6,878 --
</TABLE>
At July 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 and the net unrealized
gain/(loss) at July 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 $418 $3,411 $2,091 $ 98 $29
Aggregate gross
unrealized loss (117) (1,183) (2,748) (207) (5)
---- ------ ------ ----- ---
Net unrealized gain/
(loss) $301 $2,228 $ (657) $(109) $24
==== ====== ====== ===== ===
</TABLE>
26
<PAGE>
--------------------------------------------------------------------------------
6. SHAREHOLDER VOTING RESULTS
There was a special meeting scheduled for July 28, 1995 at which the sharehold-
ers of the Money Market and Prime Obligation Portfolios (the "Portfolios")
voted on a series of proposals (the "Proposals"). With respect to the Prime Ob-
ligation Portfolio, the meeting was adjourned until August 3, 1995. Proposal
III related solely to the Money Market Portfolio. Each Proposal and the results
of the shareholder meeting are set forth below:
I. Proposal to approve the elimination of the fundamental policy requiring each
portfolio to invest its assets solely in the securities listed as appropri-
ate investments.
<TABLE>
<CAPTION>
MONEY PRIME
MARKET OBLIGATION
PORTFOLIO PORTFOLIO
-------------- ----------------
<S> <C> <C>
For 145,629,802.00 1,583,847,565.17
Against 1,648,601.00 69,605,552.00
Abstain 232,253.00 3,157,829.00
</TABLE>
II. Proposal to approve the elimination of the fundamental policy requiring
each portfolio to invest in securities maturing in one year or less and to
maintain an average weighted maturity of 120 days.
<TABLE>
<CAPTION>
MONEY PRIME
MARKET OBLIGATION
PORTFOLIO PORTFOLIO
-------------- ----------------
<S> <C> <C>
For 146,934,842.00 1,635,230,466.17
Against 343,561.00 18,505,201.00
Abstain 232,253.00 3,156,616.00
</TABLE>
III. Proposal to approve the elimination of the fundamental policy requiring
the Money Market portfolio to concentrate its investments in obligations
issued by the banking industry, consisting of U.S. dollar denominated ob-
ligations of domestic banks and U.S. branches of foreign banks.
<TABLE>
<CAPTION>
MONEY
MARKET
PORTFOLIO
--------------
<S> <C>
For 146,934,841.00
Against 343,562.00
Abstain 232,253.00
</TABLE>
There were no broker non-votes submitted and no other proposals voted on at
such meeting.
27
<PAGE>
----------------------
SEI DAILY INCOME TRUST
----------------------
SEMI-ANNUAL REPORT
----------------------
July 31, 1995 (Unaudited)
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
Todd Lipperman
Vice President, Assistant Secretary
Robert B. Carroll
Vice President, Assistant Secretary
Joseph M. Lydon
Vice President, Assistant Secretary
Kathryn L. Stanton
Vice President, Assistant Secretary
Jeffrey A. Cohen
Controller, Assistant Secretary
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 semi-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
<PAGE>
SEI-F-037-05
