<PAGE>
SEI DAILY INCOME TRUST
MAY 31, 1995
- --------------------------------------------------------------------------------
MONEY MARKET PORTFOLIO
PRIME OBLIGATION PORTFOLIO
GOVERNMENT PORTFOLIO
GOVERNMENT II PORTFOLIO
TREASURY PORTFOLIO
TREASURY II PORTFOLIO
FEDERAL SECURITIES PORTFOLIO
- --------------------------------------------------------------------------------
Please read this Prospectus carefully before investing, and keep it on file for
future reference.
A Statement of Additional Information dated May 31, 1995 has been filed with
the Securities and Exchange Commission and is available without charge through
the Distributor, SEI Financial Services Company, 680 East Swedesford Road,
Wayne, PA 19087 or by calling 1-800-342-5734. The Statement of Additional
Information is incorporated into this Prospectus by reference.
SEI Daily Income Trust (the "Trust") is a mutual fund that offers financial
institutions a convenient means of investing their own funds or funds for which
they act in a fiduciary, agency or custodial capacity in professionally managed
diversified portfolios of securities. Some portfolios offer separate classes of
units of beneficial interest ("shares") that differ from each other primarily
in the allocation of certain distribution expenses. This Prospectus offers
shares of the seven money market fund portfolios (the "Portfolios," and each of
these, a "Portfolio") listed above. Except in the case of the Federal
Securities Portfolio, which offers only one class of shares, each of the
Portfolios offers Class A, Class B and Class C shares.
AN INVESTMENT IN A PORTFOLIO IS NEITHER INSURED NOR GUARANTEED BY THE U.S.
GOVERNMENT, AND THERE CAN BE NO ASSURANCE THAT ANY PORTFOLIO WILL BE ABLE TO
MAINTAIN A STABLE NET ASSET VALUE OF $1.00 PER SHARE.
- --------------------------------------------------------------------------------
THESE SECURITIES HAVE NOT BEEN APPROVED OR DISAPPROVED BY THE SECURITIES AND
EXCHANGE COMMISSION OR ANY STATE SECURITIES COMMISSION NOR HAS THE SECURITIES
AND EXCHANGE COMMISSION OR ANY STATE SECURITIES COMMISSION PASSED UPON THE
ACCURACY OR ADEQUACY OF THIS PROSPECTUS. ANY REPRESENTATION TO THE CONTRARY IS
A CRIMINAL OFFENSE.
THE TRUST'S SHARES ARE NOT DEPOSITS OR OBLIGATIONS OF, OR GUARANTEED OR
ENDORSED BY, ANY BANK. THE TRUST'S SHARES ARE NOT FEDERALLY INSURED BY THE
FEDERAL DEPOSIT INSURANCE CORPORATION, THE FEDERAL RESERVE BOARD OR ANY
OTHER GOVERNMENT AGENCY. INVESTMENT IN THE SHARES INVOLVES RISK, INCLUDING
POSSIBLE LOSS OF THE PRINCIPAL AMOUNT INVESTED.
<PAGE>
ANNUAL OPERATING EXPENSES (as a percentage of average net assets) CLASS A*
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MONEY PRIME FEDERAL
MARKET OBLIGATION GOVERNMENT GOVERNMENT II TREASURY TREASURY II SECURITIES
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
--------- ---------- ---------- ------------- --------- ----------- ----------
<S> <C> <C> <C> <C> <C> <C> <C>
Management/Advisory Fees
(after fee waiver) (1) .12% .12% .12% .12% .12% .17% .58%
12b-1 Fees (after fee
waiver) (2) .05% .05% .04% .06% .05% .06% .00%
Other Expenses .03% .03% .04% .02% .03% .02% .02%
- --------------------------------------------------------------------------------------------------------
Total Operating Expenses
(after fee waiver) (3) .20% .20% .20% .20% .20% .25% .60%
- --------------------------------------------------------------------------------------------------------
</TABLE>
* The Federal Securities Portfolio offers only Class A shares.
(1) For the Money Market, Government and Federal Securities Portfolios the
Manager has waived, on a voluntary basis, a portion of its fee, and the
management/advisory fees shown reflect this voluntary waiver. The Manager
reserves the right to terminate its waiver at any time in its sole
discretion. Absent such fee waiver, management/advisory fees would be .37%
for the Money Market Portfolio, .27% for the Government Portfolio and .58%
for the Federal Securities Portfolio. For the Prime Obligation, Government
II, Treasury and Treasury II Portfolios, the Manager has contractually
agreed to waive its fee, and, if necessary, pay other operating expenses of
the Portfolios in an amount that operates to limit the total operating
expenses of the Class A shares. Absent these contractual provisions,
management/advisory fees would be .22% for the Prime Obligation Portfolio,
.22% for the Government II Portfolio, .27% for the Treasury Portfolio and
.27% for the Treasury II Portfolio.
(2) The 12b-1 fees shown reflect each Portfolio's current 12b-1 budget for
reimbursement of expenses. The maximum 12b-1 fees payable by Class A shares
of the Portfolios are 30%.
(3) Absent the voluntary fee waivers described above, total operating expenses
for the Class A shares of the Portfolios would be .45% for the Money Market
Portfolio, .30% for the Prime Obligation Portfolio, .35% for the Government
Portfolio, .30% for the Government II Portfolio, .35% for the Treasury
Portfolio, .35% for the Treasury II Portfolio and .60% for the Federal
Securities Portfolio.
EXAMPLE
<TABLE>
- -------------------------------------------------------------------------------
<CAPTION>
1 YR. 3 YRS. 5 YRS. 10 YRS.
----- ------ ------ -------
<S> <C> <C> <C> <C>
An investor would pay the following expenses on a
$1,000 investment assuming (1) 5% annual return
and (2) redemption at the end of each time period:
Money Market Portfolio $2.00 $ 6.00 $11.00 $26.00
Prime Obligation Portfolio $2.00 $ 6.00 $11.00 $26.00
Government Portfolio $2.00 $ 6.00 $11.00 $26.00
Government II Portfolio $2.00 $ 6.00 $11.00 $26.00
Treasury Portfolio $2.00 $ 6.00 $11.00 $26.00
Treasury II Portfolio $3.00 $ 8.00 $14.00 $32.00
Federal Securities Portfolio $6.00 $19.00 $33.00 $75.00
- -------------------------------------------------------------------------------
</TABLE>
THE EXAMPLE SHOULD NOT BE CONSIDERED A REPRESENTATION OF PAST OR FUTURE
EXPENSES. ACTUAL EXPENSES MAY BE GREATER OR LESS THAN THOSE SHOWN.
The purpose of this table is to assist the investor in understanding the
various costs and expenses that may be directly or indirectly borne by
investors in the Portfolios. A person who purchases shares through a financial
institution may be charged separate fees by that institution. The information
set forth in the foregoing table and example relates only to Class A shares.
Additional information may be found under "The Manager and Shareholder
Servicing Agent," "The Adviser" and "Distribution." Long-term shareholders may
eventually pay more than the economic equivalent of the maximum front-end sales
charges otherwise permitted by Rules of Fair Practice (the "Rules") of the
National Association of Securities Dealers, Inc. ("NASD").
2
<PAGE>
ANNUAL OPERATING EXPENSES (as a percentage of average net assets) CLASS B
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MONEY PRIME
MARKET OBLIGATION GOVERNMENT GOVERNMENT II TREASURY TREASURY II
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
--------- ---------- ---------- ------------- --------- -----------
<S> <C> <C> <C> <C> <C> <C>
Management/Advisory Fees
(after fee waiver) (1) .12% .12% .12% .12% .12% .17%
12b-1 Fees (2) .35% .35% .34% .36% .35% .36%
Other Expenses .03% .03% .04% .02% .03% .02%
- ---------------------------------------------------------------------------------------------
Total Operating Expenses
(after fee waiver) (3) .50% .50% .50% .50% .50% .55%
- ---------------------------------------------------------------------------------------------
</TABLE>
(1) For the Money Market and Government Portfolios the Manager has waived, on a
voluntary basis, a portion of its fee, and the management/advisory fees
shown reflect this voluntary waiver. The Manager reserves the right to
terminate its waiver at any time in its sole discretion. Absent such fee
waivers, management/advisory fees would be .37% for the Money Market
Portfolio and .27% for the Government Portfolio. For the Prime Obligation,
Government II, Treasury and Treasury II Portfolios, the Manager has
contractually agreed to waive its fee, and, if necessary, pay other
operating expenses of the Portfolios in an amount that operates to limit the
total operating expenses of the Class B shares. Absent these contractual
provisions, management/advisory fees would be .22% for the Prime Obligation
Portfolio, .22% for the Government II Portfolio, .27% for the Treasury
Portfolio and .27% for the Treasury II Portfolio.
(2) The 12b-1 fees shown reflect each Portfolio's current 12b-1 budget for
reimbursement of expenses. The maximum 12b-1 fees payable by Class B shares
of the Portfolios are .60%.
(3) Absent the voluntary fee waivers described above, total operating expenses
for the Class B shares of the Portfolios would be .75% for the Money Market
Portfolio, .60% for the Prime Obligation Portfolio, .65% for the Government
Portfolio, .60% for the Government II Portfolio, .65% for the Treasury
Portfolio and .65% for the Treasury II Portfolio.
EXAMPLE
<TABLE>
- -------------------------------------------------------------------------------
<CAPTION>
1 YR. 3 YRS. 5 YRS. 10 YRS.
----- ------ ------ -------
<S> <C> <C> <C> <C>
An investor would pay the following expenses on a
$1,000 investment assuming (1) 5% annual return
and (2) redemption at the end of each time period:
Money Market Portfolio $5.00 $16.00 $28.00 $63.00
Prime Obligation Portfolio $5.00 $16.00 $28.00 $63.00
Government Portfolio $5.00 $16.00 $28.00 $63.00
Government II Portfolio $5.00 $16.00 $28.00 $63.00
Treasury Portfolio $5.00 $16.00 $28.00 $63.00
Treasury II Portfolio $6.00 $18.00 $31.00 $69.00
- -------------------------------------------------------------------------------
</TABLE>
THE EXAMPLE SHOULD NOT BE CONSIDERED A REPRESENTATION OF PAST OR FUTURE
EXPENSES. ACTUAL EXPENSES MAY BE GREATER OR LESS THAN THOSE SHOWN.
The purpose of this table is to assist the investor in understanding the
various costs and expenses that may be directly or indirectly borne by
investors in the Portfolios. A person who purchases shares through a financial
institution may be charged separate fees by that institution. The information
set forth in the foregoing table and example relates only to Class B shares.
Additional information may be found under "The Manager and Shareholder
Servicing Agent," "The Adviser" and "Distribution." Long-term shareholders may
eventually pay more than the economic equivalent of the maximum front-end sales
charges otherwise permitted by the NASD Rules.
3
<PAGE>
ANNUAL OPERATING EXPENSES (as a percentage of average net assets) CLASS C
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MONEY PRIME
MARKET OBLIGATION GOVERNMENT GOVERNMENT II TREASURY TREASURY II
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
--------- ---------- ---------- ------------- --------- -----------
<S> <C> <C> <C> <C> <C> <C>
Management/Advisory Fees
(after fee waiver) (1) .12% .12% .12% .12% .12% .17%
12b-1 Fees (2) .55% .55% .54% .55% .55% .56%
Other Expenses .03% .03% .04% .03% .03% .02%
- ---------------------------------------------------------------------------------------------
Total Operating Expenses
(after fee waiver) (3) .70% .70% .70% .70% .70% .75%
- ---------------------------------------------------------------------------------------------
</TABLE>
(1) For the Money Market and Government Portfolios the Manager has waived, on a
voluntary basis, a portion of its fee, and the management/advisory fees
shown reflect this voluntary waiver. The Manager reserves the right to
terminate its waiver at any time in its sole discretion. Absent such fee
waiver, management/advisory fees would be .37% for the Money Market
Portfolio and .27% for the Government Portfolio. For the Prime Obligation,
Government II, Treasury and Treasury II Portfolios, the manager has
contractually agreed to waive its fee, and, if necessary, pay other
operating expenses of the Portfolios in an amount that operates to limit
the total operating expenses of the Class C shares. Absent these
contractual provisions, management/advisory fees would be .22% for the
Prime Obligation Portfolio, .22% for the Government II Portfolio, .27% for
the Treasury Portfolio and .27% for the Treasury II Portfolio.
(2) The 12b-1 fees shown reflect each Portfolio's current 12b-1 budget for
reimbursement of expenses. The maximum 12b-1 fees payable by Class C shares
of the Portfolios are .80%.
(3) Absent the voluntary fee waivers described above, total operating expenses
for the Class C shares of the Portfolios would be .95% for the Money Market
Portfolio, .80% for the Prime Obligation Portfolio, .85% for the Government
Portfolio, .80% for the Government II Portfolio, .85% for the Treasury
Portfolio and .85% for the Treasury II Portfolio.
EXAMPLE
<TABLE>
- -------------------------------------------------------------------------------
<CAPTION>
1 YR. 3 YRS. 5 YRS. 10 YRS.
----- ------ ------ -------
<S> <C> <C> <C> <C>
An investor would pay the following expenses on a
$1,000 investment assuming (1) 5% annual return
and (2) redemption at the end of each time period:
Money Market Portfolio $7.00 $22.00 $39.00 $87.00
Prime Obligation Portfolio $7.00 $22.00 $39.00 $87.00
Government Portfolio $7.00 $22.00 $39.00 $87.00
Government II Portfolio $7.00 $22.00 $39.00 $87.00
Treasury Portfolio $7.00 $22.00 $39.00 $87.00
Treasury II Portfolio $8.00 $24.00 $42.00 $93.00
- -------------------------------------------------------------------------------
</TABLE>
THE EXAMPLE SHOULD NOT BE CONSIDERED A REPRESENTATION OF PAST OR FUTURE
EXPENSES. ACTUAL EXPENSES MAY BE GREATER OR LESS THAN THOSE SHOWN.
The purpose of this table is to assist the investor in understanding the
various costs and expenses that may be directly or indirectly borne by
investors in the Portfolios. A person who purchases shares through a financial
institution may be charged separate fees by that institution. The information
set forth in the foregoing table and example relates only to Class C shares.
Additional information may be found under "The Manager and Shareholder
Servicing Agent," "The Adviser" and "Distribution." Long-term shareholders may
eventually pay more than the economic equivalent of the maximum front-end sales
charges otherwise permitted by the NASD Rules.
4
<PAGE>
FINANCIAL HIGHLIGHTS ___________________________________________________________
The following information has been audited by Arthur Andersen LLP, the Trust's
independent accountants, as indicated in their report dated March 8, 1995 on
the Trust's financial statements as of January 31, 1995 included in the Trust's
Statement of Additional Information under "Financial Information." Additional
performance information is set forth in the 1995 Annual Report to shareholders
and is available upon request and without charge by calling 1-800-342-5734. As
of the most recent fiscal year end, there were no Class B or C shares
outstanding of the Government and Treasury Portfolios, and no Class C shares
outstanding of the Money Market, Government II or Treasury II Portfolios. The
Federal Securities Portfolio only offers Class A shares. This table should be
read in conjunction with the Trust's financial statements and notes thereto.
FOR A CLASS A SHARE OUTSTANDING THROUGHOUT THE PERIOD
<TABLE>
<CAPTION>
Money Market Portfolio
----------------------
For Fiscal Year Ended January 31,
--------------------------------------------------------------------------------------------------
1995 1994 1993 1992 1991 1990 1989 1988 1987 1986
- ---------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Net Asset Value,
Beginning of
Period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
- ---------------------------------------------------------------------------------------------------------------------------
Income from Investment
Operations:
Net Investment
Income 0.04 0.03 0.04 0.06 0.08 0.09 0.08 0.07 0.06 0.08
Net Realized and
Unrealized Gains
(Losses) on
Securities -- -- -- -- -- -- -- -- -- --
- ---------------------------------------------------------------------------------------------------------------------------
Total from
Investment
Operations $ 0.04 $ 0.03 $ 0.04 $ 0.06 $ 0.08 $ 0.09 $ 0.08 $ 0.07 $ 0.06 $ 0.08
- ---------------------------------------------------------------------------------------------------------------------------
Less
Distributions:
Dividends from
Net Investment
Income (0.04) (0.03) (0.04) (0.06) (0.08) (0.09) (0.08) (0.07) (0.06) (0.08)
Distributions
from Realized
Capital Gains -- -- -- -- -- -- -- -- -- --
- ---------------------------------------------------------------------------------------------------------------------------
Total
Distributions $(0.04) $(0.03) $(0.04) $(0.06) $(0.08) $(0.09) $(0.08) $(0.07) $(0.06) $(0.08)
- ---------------------------------------------------------------------------------------------------------------------------
Net Asset Value,
End of Period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
- ---------------------------------------------------------------------------------------------------------------------------
- ---------------------------------------------------------------------------------------------------------------------------
Total Return 4.55% 2.98% 3.60% 5.76% 8.18% 9.24% 7.82% 6.90% 6.67% 8.29%
- ---------------------------------------------------------------------------------------------------------------------------
- ---------------------------------------------------------------------------------------------------------------------------
Ratios/Supplemental
Data:
Net Assets End
of Period (000) $213,988 $203,803 $264,450 $312,151 $815,847 $589,683 $507,821 $606,117 $295,121 $300,059
Ratio of
Expenses to
Average Net
Assets 0.21% 0.35% 0.35% 0.35% 0.33% 0.35% 0.35% 0.35% 0.35% 0.35%
Ratio of
Expenses to
Average Net
Assets
(Excluding
Waivers) 0.45% 0.44% 0.39% 0.39% 0.38% 0.40% 0.39% 0.42% 0.41% 0.44%
Ratio of Net
Investment
Income to
Average Net
Assets 4.49% 2.95% 3.56% 5.84% 7.88% 8.90% 7.52% 6.76% 6.39% 7.97%
Ratio of Net
Investment
Income to
Average Net
Assets
(Excluding
Waivers) 4.25% 2.86% 3.52% 5.80% 7.83% 8.85% 7.48% 6.69% 6.33% 7.88%
- ---------------------------------------------------------------------------------------------------------------------------
- ---------------------------------------------------------------------------------------------------------------------------
<CAPTION>
1985
- ---------------------------------------------------------------------------------------------------------------------------
<S> <C>
Net Asset Value,
Beginning of
Period $ 1.00
- ---------------------------------------------------------------------------------------------------------------------------
Income from Investment
Operations:
Net Investment
Income 0.10
Net Realized and
Unrealized Gains
(Losses) on
Securities --
- ---------------------------------------------------------------------------------------------------------------------------
Total from
Investment
Operations $ 0.10
- ---------------------------------------------------------------------------------------------------------------------------
Less
Distributions:
Dividends from
Net Investment
Income (0.10)
Distributions
from Realized
Capital Gains --
- ---------------------------------------------------------------------------------------------------------------------------
Total
Distributions $(0.10)
- ---------------------------------------------------------------------------------------------------------------------------
Net Asset Value,
End of Period $ 1.00
- ---------------------------------------------------------------------------------------------------------------------------
- ---------------------------------------------------------------------------------------------------------------------------
Total Return 10.98%
- ---------------------------------------------------------------------------------------------------------------------------
- ---------------------------------------------------------------------------------------------------------------------------
Ratios/Supplemental
Data:
Net Assets End
of Period (000) $253,027
Ratio of
Expenses to
Average Net
Assets 0.30%
Ratio of
Expenses to
Average Net
Assets
(Excluding
Waivers) 0.47%
Ratio of Net
Investment
Income to
Average Net
Assets 10.38%
Ratio of Net
Investment
Income to
Average Net
Assets
(Excluding
Waivers) 10.21%
- ---------------------------------------------------------------------------------------------------------------------------
- ---------------------------------------------------------------------------------------------------------------------------
</TABLE>
5
<PAGE>
FINANCIAL HIGHLIGHTS (CONTINUED) _______________________________________________
FOR A CLASS B SHARE OUTSTANDING THROUGHOUT THE PERIOD
<TABLE>
<CAPTION>
Money Market Portfolio
--------------------------------------
For Fiscal Year Ended January 31,
--------------------------------------
1995 1994 1993 1992 1991(1)
- ------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Net Asset Value, Beginning of
Period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
- ------------------------------------------------------------------------------
Income from Investment
Operations:
Net Investment Income 0.04 0.03 0.04 0.05 0.02
Net Realized and Unrealized
Gains (Losses) on
Securities -- -- -- -- --
- ------------------------------------------------------------------------------
Total from Investment
Operations $ 0.04 $ 0.03 $ 0.04 $ 0.05 $ 0.02
- ------------------------------------------------------------------------------
Less Distributions:
Dividends from Net
Investment Income (0.04) (0.03) (0.04) (0.05) (0.02)
Distributions from Realized
Capital Gains -- -- -- -- --
- ------------------------------------------------------------------------------
Total Distributions $ (0.04) $ (0.03) $ (0.04) $ (0.05) $(0.02)
- ------------------------------------------------------------------------------
Net Asset Value, End of
Period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
- ------------------------------------------------------------------------------
- ------------------------------------------------------------------------------
Total Return 4.24% 2.68% 3.29% 5.45% 7.37%
- ------------------------------------------------------------------------------
- ------------------------------------------------------------------------------
Ratios/Supplemental Data:
Net Assets End of Period
(000) $6,314 $2 ,334 $ 309 $ 2,305 $ 830
Ratio of Expenses to
Average Net Assets 0.51% 0.65% 0.65% 0.53% 0.65%
Ratio of Expenses to
Average Net Assets
(Excluding Waivers) 0.75% 0.74% 0.69% 0.61% 0.72%
Ratio of Net Investment
Income to Average Net
Assets 4.49% 2.65% 3.47% 5.18% 7.17%
Ratio of Net Investment
Income to Average Net
Assets (Excluding Waivers) 4.25% 2.56% 3.43% 5.10% 7.10%
- ------------------------------------------------------------------------------
- ------------------------------------------------------------------------------
</TABLE>
(1)The Money Market Portfolio, Class B commenced operations on October 12,
1990. All ratios including total return for that period have been annualized.
6
<PAGE>
FINANCIAL HIGHLIGHTS (CONTINUED) _______________________________________________
FOR A CLASS A SHARE OUTSTANDING THROUGHOUT THE PERIOD
<TABLE>
<CAPTION>
Prime Obligation Portfolio
----------------------------------------------------------------------------
For Fiscal Year Ended January 31,
----------------------------------------------------------------------------
1995 1994 1993 1992 1991 1990 1989 1988(1)
- -----------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Net Asset Value,
Beginning of Period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
- -----------------------------------------------------------------------------------------------------------------
Income from Investment
Operations:
Net Investment Income 0.04 0.03 0.04 0.06 0.08 0.09 0.08 0.01
Net Realized and
Unrealized Gains
(Losses) on Securities -- -- -- -- -- -- -- --
- -----------------------------------------------------------------------------------------------------------------
Total from Investment
Operations $ 0.04 $ 0.03 $ 0.04 $ 0.06 $ 0.08 $ 0.09 $ 0.08 $ 0.01
- -----------------------------------------------------------------------------------------------------------------
Less Distributions:
Dividends from Net
Investment Income (0.04) (0.03) (0.04) (0.06) (0.08) (0.09) (0.08) (0.01)
Distributions from
Realized Capital Gains -- -- -- -- -- -- -- --
- -----------------------------------------------------------------------------------------------------------------
Total Distributions $(0.04) $(0.03) $(0.04) $(0.06) $(0.08) $(0.09) $(0.08) $(0.01)
- -----------------------------------------------------------------------------------------------------------------
Net Asset Value, End of
Period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
- -----------------------------------------------------------------------------------------------------------------
- -----------------------------------------------------------------------------------------------------------------
Total Return 4.46% 3.10% 3.72% 5.97% 8.34% 9.36% 8.58% 7.48%
- -----------------------------------------------------------------------------------------------------------------
- -----------------------------------------------------------------------------------------------------------------
Ratios/Supplemental
Data:
Net Assets End of
Period (000) $2,778,326 $2,541,126 $2,564,340 $1,661,619 $825,081 $532,137 $237,273 $139,944
Ratio of Expenses to
Average Net Assets 0.20% 0.20% 0.20% 0.20% 0.20% 0.20% 0.20% 0.13%
Ratio of Expenses to
Average Net Assets
(Excluding Waivers) 0.30% 0.28% 0.30% 0.29% 0.30% 0.33% 0.34% 0.58%
Ratio of Net
Investment Income to
Average Net Assets 4.41% 3.07% 3.62% 5.73% 8.03% 8.86% 7.68% 7.22%
Ratio of Net
Investment Income to
Average Net Assets
(Excluding Waivers) 4.31% 2.98% 3.52% 5.64% 7.93% 8.73% 7.54% 6.77%
- -----------------------------------------------------------------------------------------------------------------
- -----------------------------------------------------------------------------------------------------------------
</TABLE>
(1)The Prime Obligation Portfolio, Class A commenced operations on December 22,
1987. All ratios including total return for that period have been annualized.
7
<PAGE>
FINANCIAL HIGHLIGHTS (CONTINUED) _______________________________________________
FOR A CLASS B SHARE OUTSTANDING THROUGHOUT THE PERIOD
<TABLE>
<CAPTION>
Prime Obligation Portfolio
--------------------------
For Fiscal Year Ended January 31,
---------------------------------
1995 1994 1993 1992 (1)
- -------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Net Asset Value, Beginning of Period $ 1.00 $ 1.00 $ 1.00 $ 1.00
- -------------------------------------------------------------------------------
Income from Investment Operations:
Net Investment Income 0.04 0.03 0.04 0.04
Net Realized and Unrealized Gains
(Losses) on Securities -- -- -- --
- -------------------------------------------------------------------------------
Total from Investment Operations $ 0.04 $ 0.03 $ 0.04 $ 0.04
- -------------------------------------------------------------------------------
Less Distributions:
Dividends from Net Investment Income (0.04) (0.03) (0.04) (0.04)
Distributions from Realized Capital
Gains -- -- -- --
- -------------------------------------------------------------------------------
Total Distributions $(0.04) $(0.03) $(0.04) $(0.04)
- -------------------------------------------------------------------------------
Net Asset Value, End of Period $ 1.00 $ 1.00 $ 1.00 $ 1.00
- -------------------------------------------------------------------------------
- -------------------------------------------------------------------------------
Total Return 4.15% 2.79% 3.41% 5.58%
- -------------------------------------------------------------------------------
- -------------------------------------------------------------------------------
Ratios/Supplemental Data:
Net Assets End of Period (000) $ 21,852 $ 6,312 $ 4,699 $ 67,016
Ratio of Expenses to Average Net
Assets 0.50% 0.50% 0.47% 0.50%
Ratio of Expenses to Average Net
Assets (Excluding Waivers) 0.60% 0.58% 0.53% 0.59%
Ratio of Net Investment Income to
Average Net Assets 4.55% 2.77% 3.63% 4.98%
Ratio of Net Investment Income to
Average Net Assets (Excluding Waivers) 4.45% 2.68% 3.57% 4.89%
- -------------------------------------------------------------------------------
- -------------------------------------------------------------------------------
</TABLE>
(1) The Prime Obligation Portfolio, Class B commenced operations on March 26,
1991. All ratios including total return for that period have been
annualized.
8
<PAGE>
FINANCIAL HIGHLIGHTS (CONTINUED) _______________________________________________
FOR A CLASS C SHARE OUTSTANDING THROUGHOUT THE PERIOD
<TABLE>
<CAPTION>
Prime Obligation Portfolio
-----------------------------------
For fiscal year ended
January 31,
-----------------------------------
1995 (2) 1994 1993 (1)
- ------------------------------------------------------------------------------
<S> <C> <C> <C>
Net Asset Value, Beginning of Period $ 1.00 $ 1.00 $ 1.00
- ------------------------------------------------------------------------------
Income from Investment Operations:
Net Investment Income 0.03 0.03 0.03
Net Realized and Unrealized Gains
(Losses) on Securities -- -- --
- ------------------------------------------------------------------------------
Total from Investment Operations $ 0.03 $ 0.03 $ 0.03
- ------------------------------------------------------------------------------
Less Distributions:
Dividends from Net Investment Income (0.03) (0.03) (0.03)
Distributions from Realized Capital
Gains -- -- --
- ------------------------------------------------------------------------------
Total Distributions $(0.03) $(0.03) $(0.03)
- ------------------------------------------------------------------------------
Net Asset Value, End of Period $ 1.00 $ 1.00 $ 1.00
- ------------------------------------------------------------------------------
- ------------------------------------------------------------------------------
Total Return 2.55% (3) 2.59% 3.13%
- ------------------------------------------------------------------------------
- ------------------------------------------------------------------------------
Ratios/Supplemental Data:
Net Assets End of Period (000) $0 $ 20,602 $ 85,325
Ratio of Expenses to Average Net Assets 0.70% 0.70% 0.70%
Ratio of Expenses to Average Net Assets
(Excluding Waivers) 0.77% 0.78% 0.83%
Ratio of Net Investment Income to
Average Net Assets 2.79% 2.57% 3.05%
Ratio of Net Investment Income to
Average Net Assets (Excluding Waivers) 2.72% 2.48% 2.92%
- ------------------------------------------------------------------------------
- ------------------------------------------------------------------------------
</TABLE>
(1) The Prime Obligation Portfolio, Class C commenced operations on March 25,
1992. All ratios including total return for that period have been
annualized.
(2) The Prime Portfolio, Class C shares were fully liquidated October 27, 1994.
All ratios that period have been annualized.
(3) Returns are for the period indicated and have not been annualized.
9
<PAGE>
FINANCIAL HIGHLIGHTS (CONTINUED) _______________________________________________
FOR A CLASS A SHARE OUTSTANDING THROUGHOUT THE PERIOD
<TABLE>
<CAPTION>
Government Portfolio
----------------------
For fiscal year ended
January 31,
----------------------
1994 (1) 1993 (2)
- -------------------------------------------------------------------------------
<S> <C> <C>
Net Asset Value, Beginning of Period $ 1.00 $ 1.00
- -------------------------------------------------------------------------------
Income from Investment Operations:
Net Investment Income 0.01 0.03
Net Realized and Unrealized Gains (Losses) on
Securities -- --
- -------------------------------------------------------------------------------
Total from Investment Operations $ 0.01 $ 0.03
- -------------------------------------------------------------------------------
Less Distributions:
Dividends from Net Investment Income (0.01) (0.03)
Distributions from Realized Capital Gains -- --
- -------------------------------------------------------------------------------
Total Distributions $ (0.01) $(0.03)
- -------------------------------------------------------------------------------
Net Asset Value, End of Period $ 1.00 $ 1.00
- -------------------------------------------------------------------------------
- -------------------------------------------------------------------------------
Total Return 3.22% 3.19%
- -------------------------------------------------------------------------------
- -------------------------------------------------------------------------------
Ratios/Supplemental Data:
Net Assets End of Period (000) $ 0 $ 20,022
Ratio of Expenses to Average Net Assets 0.20% 0.20%
Ratio of Expenses to Average Net Assets (Excluding
Waivers) 0.37% 0.38%
Ratio of Net Investment Income to Average Net Assets 3.04% 3.41%
Ratio of Net Investment Income to Average Net Assets
(Excluding Waivers) 2.87% 3.23%
- -------------------------------------------------------------------------------
- -------------------------------------------------------------------------------
</TABLE>
(1) The Government Portfolio, Class A fully liquidated June 2, 1993. All ratios
including total return for that period have been annualized.
(2) The Government Portfolio, Class A commenced operations on March 8, 1992. All
ratios including total return for that period have been annualized.
10
<PAGE>
FINANCIAL HIGHLIGHTS (CONTINUED) _______________________________________________
FOR A CLASS C SHARE OUTSTANDING THROUGHOUT THE PERIOD
<TABLE>
<CAPTION>
Government Portfolio
---------------------
For fiscal year ended
January 31,
---------------------
1995 (1)
- -----------------------------------------------------------------------------
<S> <C>
Net Asset Value, Beginning of Period $ 1.00
- -----------------------------------------------------------------------------
Income from Investment Operations:
Net Investment Income 0.03
Net Realized and Unrealized Gains (Losses) on
Securities --
- -----------------------------------------------------------------------------
Total from Investment Operations $0.03
- -----------------------------------------------------------------------------
Less Distributions:
Dividends from Net Investment Income (0.03)
Distributions from Realized Capital Gains --
- -----------------------------------------------------------------------------
Total Distributions $(0.03)
- -----------------------------------------------------------------------------
Net Asset Value, End of Period $ 1.00
- -----------------------------------------------------------------------------
- -----------------------------------------------------------------------------
Total Return 3.41%(2)
- -----------------------------------------------------------------------------
- -----------------------------------------------------------------------------
Ratios/Supplemental Data:
Net Assets End of Period (000) $310,835
Ratio of Expenses to Average Net Assets 0.70%
Ratio of Expenses to Average Net Assets (Excluding
Waivers) 0.89%
Ratio of Net Investment Income to Average Net Assets 4.32%
Ratio of Net Investment Income to Average Net Assets
(Excluding Waivers) 4.13%
- -----------------------------------------------------------------------------
- -----------------------------------------------------------------------------
</TABLE>
(1) The Government Portfolio, Class C shares were offered beginning April 7,
1994, all ratios have been annualized.
(2) Returns are for the period indicated and have not been annualized.
11
<PAGE>
FINANCIAL HIGHLIGHTS (CONTINUED) _______________________________________________
FOR A CLASS A SHARE OUTSTANDING THROUGHOUT THE PERIOD
<TABLE>
<CAPTION>
Government II Portfolio
----------------------------------------------------------------------------------------
For Fiscal Year Ended January 31,
----------------------------------------------------------------------------------------
1995 1994 1993 1992 1991 1990 1989 1988 1987 1986 (1)
- -----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Net Asset Value,
Beginning of Period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
- -----------------------------------------------------------------------------------------------------------------------------
Income from Investment
Operations:
Net Investment Income 0.04 0.03 0.04 0.06 0.08 0.09 0.07 0.06 0.06 0.01
Net Realized and
Unrealized Gains
(Losses) on Securities -- -- -- -- -- -- -- -- -- --
- -----------------------------------------------------------------------------------------------------------------------------
Total from Investment
Operations $ 0.04 $ 0.03 $ 0.04 $ 0.06 $ 0.08 $ 0.09 $ 0.07 $ 0.06 $ 0.06 $ 0.01
- -----------------------------------------------------------------------------------------------------------------------------
Less Distributions:
Dividends from Net
Investment Income (0.04) (0.03) (0.04) (0.06) (0.08) (0.09) (0.07) (0.06) (0.06) (0.01)
Distributions from
Realized Capital Gains -- -- -- -- -- -- -- -- -- --
- -----------------------------------------------------------------------------------------------------------------------------
Total Distributions $(0.04) $(0.03) $(0.04) $(0.06) $(0.08) $(0.09) $(0.07) $(0.06) $(0.06) $(0.01)
- -----------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of
Period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
- -----------------------------------------------------------------------------------------------------------------------------
- -----------------------------------------------------------------------------------------------------------------------------
Total Return 4.39% 3.02% 3.57% 5.73% 8.01% 8.90% 7.53% 6.55% 6.55% 15.61%
- -----------------------------------------------------------------------------------------------------------------------------
- -----------------------------------------------------------------------------------------------------------------------------
Ratios/Supplemental
Data:
Net Assets End of
Period (000) $786,405 $738,040 $664,540 $534,303 $500,526 $257,523 $155,987 $158,361 $143,736 $106,944
Ratio of Expenses to
Average Net Assets 0.20% 0.20% 0.20% 0.20% 0.20% 0.20% 0.20% 0.20% 0.20% 0.20%
Ratio of Expenses to
Average Net Assets
(Excluding Waivers) 0.30% 0.29% 0.29% 0.28% 0.31% 0.32% 0.36% 0.34% 0.35% 0.21%
Ratio of Net
Investment Income to
Average Net Assets 4.33% 2.98% 3.48% 5.56% 7.66% 8.49% 7.22% 6.35% 6.26% 7.62%
Ratio of Net
Investment Income to
Average Net Assets
(Excluding Waivers) 4.23% 2.89% 3.39% 5.48% 7.55% 8.37% 7.06% 6.21% 6.11% 7.61%
- -----------------------------------------------------------------------------------------------------------------------------
- -----------------------------------------------------------------------------------------------------------------------------
</TABLE>
(1) The Government II Portfolio, Class A commenced operations on September 6,
1985. All ratios including total return for that period have been
annualized.
12
<PAGE>
FINANCIAL HIGHLIGHTS (CONTINUED) _______________________________________________
FOR A CLASS B SHARE OUTSTANDING THROUGHOUT THE PERIOD
<TABLE>
<CAPTION>
Government II Portfolio
------------------------------------------
For Fiscal Year Ended January 31,
------------------------------------------
1995 1994 1993 1992 1991 (1)
- -------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Net Asset Value, Beginning of
Period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
- -------------------------------------------------------------------------------
Income from Investment Operations:
Net Investment Income 0.04 0.03 0.03 0.05 0.00
Net Realized and Unrealized Gains
(Losses) on Securities -- -- -- -- --
- -------------------------------------------------------------------------------
Total from Investment Operations $ 0.04 $ 0.03 $ 0.03 $ 0.05 $ 0.00
- -------------------------------------------------------------------------------
Less Distributions:
Dividends from Net Investment
Income (0.04) (0.03) (0.03) (0.05) (0.00)
Distributions from Realized
Capital Gains -- -- -- -- --
- -------------------------------------------------------------------------------
Total Distributions $(0.04) $(0.03) $(0.03) $(0.05) $(0.00)
- -------------------------------------------------------------------------------
Net Asset Value, End of Period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
- -------------------------------------------------------------------------------
- -------------------------------------------------------------------------------
Total Return 4.08% 2.71% 3.26% 5.02% 0%
- -------------------------------------------------------------------------------
- -------------------------------------------------------------------------------
Ratios/Supplemental Data:
Net Assets End of Period (000) $15,201 $21,462 $338 $1,906 $607
Ratio of Expenses to Average Net
Assets 0.50% 0.50% 0.50% 0.48% 0.50%
Ratio of Expenses to Average Net
Assets (Excluding Waivers) 0.60% 0.60% 0.59% 0.59% 3.76%
Ratio of Net Investment Income to
Average Net Assets 4.33% 2.68% 3.35% 4.75% 6.44%
Ratio of Net Investment Income to
Average Net Assets (Excluding
Waivers) 4.23% 2.58% 3.26% 4.64% 3.18%
- -------------------------------------------------------------------------------
- -------------------------------------------------------------------------------
</TABLE>
(1) The Government II Portfolio, Class B commenced operations on January 28,
1991. All ratios including total return for that period have been
annualized.
13
<PAGE>
FINANCIAL HIGHLIGHTS (CONTINUED) _______________________________________________
FOR A CLASS A SHARE OUTSTANDING THROUGHOUT THE PERIOD
<TABLE>
<CAPTION>
Treasury Portfolio
--------------------------
For Fiscal Year Ended
January 31,
--------------------------
1995 1994 1993 (1)
- ---------------------------------------------------------------------------
<S> <C> <C> <C>
Net Asset Value, Beginning of Period $ 1.00 $ 1.00 $ 1.00
- ---------------------------------------------------------------------------
Income from Investment Operations:
Net Investment Income 0.04 0.03 0.01
Net Realized and Unrealized Gains (Losses) on
Securities -- -- --
- ---------------------------------------------------------------------------
Total from Investment Operations $ 0.04 $ 0.03 $ 0.01
- ---------------------------------------------------------------------------
Less Distributions:
Dividends from Net Investment Income (0.04) (0.03) (0.01)
Distributions from Realized Capital Gains -- -- --
- ---------------------------------------------------------------------------
Total Distributions $(0.04) $(0.03) $(0.01)
- ---------------------------------------------------------------------------
Net Asset Value, End of Period $ 1.00 $ 1.00 $ 1.00
- ---------------------------------------------------------------------------
- ---------------------------------------------------------------------------
Total Return 4.29% 3.00% 2.91%
- ---------------------------------------------------------------------------
- ---------------------------------------------------------------------------
Ratios/Supplemental Data:
Net Assets End of Period (000) $39,129 $46,296 $44,624
Ratio of Expenses to Average Net Assets 0.20% 0.20% 0.20%
Ratio of Expenses to Average Net Assets
(Excluding Waivers) 0.34% 0.33% 0.42%
Ratio of Net Investment Income to Average Net
Assets 4.17% 2.96% 2.89%
Ratio of Net Investment Income to Average Net
Assets (Excluding Waivers) 4.03% 2.82% 2.67%
- ---------------------------------------------------------------------------
- ---------------------------------------------------------------------------
</TABLE>
(1) The Treasury Portfolio, Class A commenced operations on September 30, 1992.
All ratios including total return for that period have been annualized.
14
<PAGE>
FINANCIAL HIGHLIGHTS (CONTINUED) _______________________________________________
FOR A CLASS A SHARE OUTSTANDING THROUGHOUT THE PERIOD
<TABLE>
<CAPTION>
Treasury II Portfolio
----------------------------------------------------------
For Fiscal Year Ended January 31,
----------------------------------------------------------
1995 1994 1993 1992 1991 1990 (1)
- ------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Net Asset Value,
Beginning of Period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
- ------------------------------------------------------------------------------------
Income from Investment
Operations:
Net Investment Income 0.04 0.03 0.03 0.06 0.07 0.08
Net Realized and
Unrealized Gains
(Losses) on Securities -- -- -- -- -- --
- ------------------------------------------------------------------------------------
Total from Investment
Operations $ 0.04 $ 0.03 $ 0.03 $ 0.06 $ 0.07 $ 0.08
- ------------------------------------------------------------------------------------
Less Distributions:
Dividends from Net In-
vestment Income (0.04) (0.03) (0.03) (0.06) (0.07) (0.08)
Distributions from Re-
alized Capital Gains -- -- -- -- -- --
- ------------------------------------------------------------------------------------
Total Distributions $(0.04) $(0.03) $(0.03) $(0.06) $(0.07) $(0.08)
- ------------------------------------------------------------------------------------
Net Asset Value, End of
Period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
- ------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------
Total Return 4.17% 2.88% 3.46% 5.48% 7.76% 7.90%
- ------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------
Ratios/Supplemental
Data:
Net Assets End of
Period (000) $397,682 $364,334 $352,435 $282,535 $490,705 $72,777
Ratio of Expenses to
Average Net Assets 0.25% 0.25% 0.25% 0.25% 0.25% 0.25%
Ratio of Expenses to
Average Net Assets
(Excluding Waivers) 0.35% 0.34% 0.34% 0.31% 0.41% 0.69%
Ratio of Net
Investment Income to
Average Net Assets 4.11% 2.84% 3.40% 5.43% 7.11% 7.66%
Ratio of Net
Investment Income to
Average Net Assets
(Excluding Waivers) 4.01% 2.76% 3.31% 5.37% 6.95% 7.22%
- ------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------
</TABLE>
(1) The Treasury II Portfolio, Class A commenced operations on July 28, 1989.
All ratios including total return for that period have been annualized.
15
<PAGE>
FINANCIAL HIGHLIGHTS (CONTINUED) _______________________________________________
FOR A CLASS B SHARE OUTSTANDING THROUGHOUT THE PERIOD
<TABLE>
<CAPTION>
Treasury II Portfolio
--------------------------------------------
For Fiscal Year Ended January 31,
--------------------------------------------
1995 1994 1993 1992 1991 (1)
- ------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Net Asset Value, Beginning of
Period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
- ------------------------------------------------------------------------------
Income from Investment Opera-
tions:
Net Investment Income 0.04 0.03 0.03 0.05 0.07
Net Realized and Unrealized
Gains (Losses) on Securities -- -- -- -- --
- ------------------------------------------------------------------------------
Total from Investment Operations $ 0.04 $ 0.03 $ 0.03 $ 0.05 $ 0.07
- ------------------------------------------------------------------------------
Less Distributions:
Dividends from Net Investment
Income (0.04) (0.03) (0.03) (0.05) (0.07)
Distributions from Realized
Capital Gains -- -- -- -- --
- ------------------------------------------------------------------------------
Total Distributions $(0.04) $(0.03) $(0.03) $(0.05) $(0.07)
- ------------------------------------------------------------------------------
Net Asset Value, End of Period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
- ------------------------------------------------------------------------------
- ------------------------------------------------------------------------------
Total Return 3.86% 2.57% 3.15% 5.16% 7.16%
- ------------------------------------------------------------------------------
- ------------------------------------------------------------------------------
Ratios/Supplemental Data:
Net Assets End of Period (000) $44,680 $22,448 $6,038 $102,182 $85,439
Ratio of Expenses to Average
Net Assets 0.55% 0.55% 0.55% 0.55% 0.55%
Ratio of Expenses to Average
Net Assets (Excluding Waivers) 0.65% 0.64% 0.64% 0.61% 0.67%
Ratio of Net Investment Income
to Average Net Assets 3.71% 2.54% 3.42% 4.97% 7.18%
Ratio of Net Investment Income
to Average Net Assets
(Excluding Waivers) 3.61% 2.46% 3.33% 4.91% 7.06%
- ------------------------------------------------------------------------------
- ------------------------------------------------------------------------------
</TABLE>
(1) The Treasury II Portfolio, Class B commenced operations on February 15,
1990. All ratios including total return for that period have been
annualized.
16
<PAGE>
FINANCIAL HIGHLIGHTS (CONCLUDED) _______________________________________________
FOR A CLASS A SHARE OUTSTANDING THROUGHOUT THE PERIOD
<TABLE>
<CAPTION>
Federal Securities Portfolio
----------------------------
For Fiscal Year Ended January 31,
----------------------------------
1995 (1) 1994 1993 1992 1991 1990 1989 1988 1987 1986 1985
- ---------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Net Asset Value,
Beginning of Period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
- ---------------------------------------------------------------------------------------------------------------------------------
Income from Investment
Operations:
Net Investment Income 0.01 0.03 0.03 0.05 0.07 0.08 0.07 0.06 0.06 0.07 0.09
Net Realized and
Unrealized Gains
(Losses) on
Securities -- -- -- -- -- -- -- -- -- -- --
- ---------------------------------------------------------------------------------------------------------------------------------
Total from Investment
Operations $ 0.01 $ 0.03 $ 0.03 $ 0.05 $ 0.07 $ 0.08 $ 0.07 $ 0.06 $ 0.06 $ 0.07 $ 0.09
- ---------------------------------------------------------------------------------------------------------------------------------
Less Distributions:
Dividends from Net
Investment Income (0.01) (0.03) (0.03) (0.05) (0.07) (0.08) (0.07) (0.06) (0.06) (0.07) (0.09)
Distributions from
Realized Capital
Gains -- -- -- -- -- -- -- -- -- -- --
- ---------------------------------------------------------------------------------------------------------------------------------
Total Distributions $(0.01) $(0.03) $(0.03) $(0.05) $(0.07) $(0.08) $(0.07) $(0.06) $(0.06) $(0.07) $(0.09)
- ---------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of
Period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
- ---------------------------------------------------------------------------------------------------------------------------------
- ---------------------------------------------------------------------------------------------------------------------------------
Total Return 1.37%(2) 2.70% 3.28% 5.31% 7.70% 8.73% 7.32% 6.23% 6.24% 7.59% 9.97%
- ---------------------------------------------------------------------------------------------------------------------------------
- ---------------------------------------------------------------------------------------------------------------------------------
Ratios/Supplemental Da-
ta:
Net Assets End of Pe-
riod (000) $ 0 24,846 $105,501 $201,631 $209,194 $166,177 $37,093 $85,518 $109,271 $96,831 $52,163
Ratio of Expenses to
Average Net Assets 0.60% 0.60% 0.60% 0.60% 0.60% 0.60% 0.60% 0.60% 0.60% 0.60% 0.56%
Ratio of Expenses to
Average Net Assets
(Excluding Waivers) 0.63% 0.60% 0.67% 0.67% 0.70% 0.72% 0.68% 0.75% 0.78% 0.85% 1.08%
Ratio of Net
Investment Income to
Average Net Assets 2.98% 2.70% 3.22% 5.17% 7.40% 8.29% 6.91% 5.95% 6.02% 7.43% 9.40%
Ratio of Net
Investment Income to
Average Net Assets
(Excluding Waivers) 2.95% 2.70% 3.15% 5.10% 7.30% 8.17% 6.83% 5.80% 5.84% 7.18% 8.88%
- ---------------------------------------------------------------------------------------------------------------------------------
- ---------------------------------------------------------------------------------------------------------------------------------
</TABLE>
(1) The Federal Portfolio, Class A shares were fully liquidated July 15, 1994.
All ratios for that period have been annualized.
(2) Returns are for the period indicated and have not been annualized.
17
<PAGE>
THE TRUST ______________________________________________________________________
SEI DAILY INCOME TRUST (the "Trust") is a diversified open-end management
investment company that offers units of beneficial interest ("shares") in
separate investment portfolios. This Prospectus offers Class A, Class B and
Class C shares of the Trust's Money Market, Prime Obligation, Government,
Government II, Treasury, Treasury II and Federal Securities Portfolios (the
"Portfolios," and each of these, a "Portfolio"). Each Portfolio may have
separate classes of shares which provide for variations in distribution and
transfer agent costs, voting rights and dividends. Additional information
pertaining to the Trust may be obtained from SEI Financial Services Company,
680 East Swedesford Road, Wayne, PA 19087 or by calling 1-800-342-5734.
INVESTMENT
OBJECTIVES AND
POLICIES _______________________________________________________________________
THE MONEY The Money Market Portfolio seeks to preserve principal
MARKET value and maintain a high degree of liquidity while
PORTFOLIO providing current income. Under normal conditions the
Portfolio invests in obligations denominated in U.S.
dollars consisting of: (i) commercial paper rated at least
A-1 or A-2 by Standard & Poor's Corporation ("S&P") or
Prime-1 or Prime-2 by Moody's Investors Service, Inc.
("Moody's") at the time of investment or, if not rated,
determined by the Adviser to be of comparable quality;
(ii) obligations (including certificates of deposit, time
deposits, bankers' acceptances and bank notes) of U.S.
savings and loan and thrift institutions, U.S. commercial
banks (including foreign branches of such banks), and U.S.
and London branches of foreign banks, provided that such
institutions (or, in the case of a branch, the parent
institution) have total assets of $1 billion or more as
shown on their last published financial statements at the
time of investment; (iii) short-term corporate obligations
with a remaining term of not more than one year of issuers
with commercial paper of comparable priority and security
meeting the above ratings; (iv) investments permitted for
the Government II Portfolio (see below); and (v)
repurchase agreements involving any of the foregoing
obligations.
Except for temporary defensive purposes, the Money
Market Portfolio will concentrate its investments in
obligations issued by the banking industry, consisting of
U.S. dollar denominated obligations of domestic banks and
U.S. branches of foreign banks. Concentration in this
context means the investment of more than twenty-five
percent of the Portfolios assets in such industry.
THE PRIME The Prime Obligation Portfolio seeks to preserve principal
OBLIGATION value and maintain a high degree of liquidity while
PORTFOLIO providing current income. Under normal conditions the
Portfolio invests exclusively in obligations of U.S.
issuers (excluding foreign branches of U.S. banks or U.S.
branches of foreign banks) consisting of: (i) commercial
paper rated at least A-1 by S&P or Prime-1 by Moody's at
the time of investment, or, if not rated, determined by
the Adviser to be of comparable quality; (ii) obligations
(including certificates of deposit, time deposits,
bankers' acceptances and bank notes) of U.S. commercial
banks or savings and
18
<PAGE>
loan institutions having total assets of $500 million or
more as shown on their last published financial statements
at the time of investment and that are insured by the
Federal Deposit Insurance Corporation; (iii) corporate
obligations with a remaining term of not more than one
year of issuers with commercial paper of comparable
priority and security meeting the above ratings or, if not
rated, determined by the Adviser to be of comparable
quality; (iv) investments permitted for the Government II
Portfolio (see below); and (v) repurchase agreements
involving any of the foregoing obligations.
THE GOVERNMENT The Government Portfolio seeks to preserve principal value
PORTFOLIO and maintain a high degree of liquidity while providing
current income. Under normal conditions the Portfolio
invests exclusively in U.S. Treasury obligations,
obligations issued or guaranteed as to principal and
interest by the agencies or instrumentalities of the U.S.
Government, and repurchase agreements involving such
obligations.
THE GOVERNMENT II The Government II Portfolio seeks to preserve principal
PORTFOLIO value and maintain a high degree of liquidity while
providing current income. Under normal conditions the
Portfolio invests exclusively in U.S. Treasury obligations
and obligations issued or guaranteed as to principal and
interest by the agencies or instrumentalities of the U.S.
Government.
THE TREASURY The Treasury Portfolio seeks to preserve principal value
PORTFOLIO and maintain a high degree of liquidity while providing
current income. Under normal conditions the Portfolio
invests exclusively in U.S. Treasury obligations and
repurchase agreements involving such obligations.
THE TREASURY II The Treasury II Portfolio seeks to preserve principal
PORTFOLIO value and maintain a high degree of liquidity while
providing current income. Under normal conditions the
Portfolio invests exclusively in U.S. Treasury
obligations.
THE FEDERAL The Federal Securities Portfolio seeks to preserve
SECURITIES principal value and maintain a high degree of liquidity
PORTFOLIO while providing current income. Under normal conditions
the Portfolio invests exclusively in general obligations
issued by the U.S. Treasury and repurchase agreements
involving such obligations.
GENERAL
INVESTMENT
POLICIES _______________________________________________________________________
Each Portfolio complies with regulations of the Securities
and Exchange Commission applicable to money market funds,
as amended effective June 1, 1991. These regulations
impose certain quality, maturity and diversification
restraints on investments by a Portfolio. These
regulations generally require money market funds to
acquire only U.S. dollar denominated obligations maturing
in 397 days or less (currently the Money Market and Prime
Obligation Portfolios have a fundamental policy limiting
their investments to obligations maturing in one year or
less). Under these regulations, the Portfolio will
maintain an average maturity on a dollar-weighted basis of
90 days or less. For a
19
<PAGE>
description of certain of these restraints, see
"Description of Permitted Investments and Risk Factors."
Each Portfolio may invest up to 10% of its net assets
in illiquid securities, including illiquid restricted
securities. However, restricted securities, including Rule
144A securities and Section 4(2) commercial paper, that
meet the criteria established by the Board of Trustees of
the Trust will be considered liquid. In addition, each
Portfolio may invest in STRIPS (as defined in the
"Description of Permitted Investments and Risk Factors").
Each Portfolio may purchase securities on a when-issued
basis.
For the Money Market and Prime Obligation Portfolios,
the purchase of unrated securities by the Adviser is
subject to the approval or ratification by the Trustees.
For a description of the permitted investments and the
above ratings see "Description of Permitted Investments
and Risk Factors" and the Statement of Additional
Information.
INVESTMENT
LIMITATIONS ____________________________________________________________________
The investment objectives and investment limitations are
fundamental policies of the Portfolios. It is a
fundamental policy of each Portfolio to use its best
efforts to maintain a constant net asset value of $1.00
per share. There can be no assurance that the investment
objective of any Portfolio will be met or that any
Portfolio will be able to maintain a net asset value of
$1.00 per share on a continuing basis. In addition, it is
currently a fundamental policy of the Money Market and
Prime Obligation Portfolios to invest in assets of each
Portfolio solely in the securities listed as appropriate
investments for that Portfolio.
Fundamental policies cannot be changed with respect to
the Trust or a Portfolio without the consent of the
holders of a majority of the Trust or that Portfolio's
outstanding shares.
Each Portfolio may not:
1. Purchase securities of any issuer (except securities
issued or guaranteed by the U.S. Government, its
agencies or instrumentalities), if as a result, more
than 5% of total assets of the Portfolio would be
invested in the securities of such issuer; provided,
however, that any Portfolio except the Money Market and
Prime Obligation Portfolios may invest up to 25% of its
total assets without regard to this restriction as
permitted by Rule 2a-7 under the Investment Company Act
of 1940, as amended (the "1940 Act").
2. Purchase any securities which would cause more than 25%
of the total assets of the Portfolio to be invested in
the securities of one or more issuers conducting their
principal business activities in the same industry,
provided that this limitation does not apply to
investments in (a) domestic banks and (b) obligations
issued or guaranteed by the U.S. Government or its
agencies and instrumentalities; provided, however, the
20
<PAGE>
Money Market Portfolio will generally invest at least 25%
of its total assets in obligations issued by the banking
industry.
3. Borrow money except for temporary or emergency purposes
and then only in an amount not exceeding 10% of the
value of the total assets of that Portfolio. This
borrowing provision is included solely to facilitate
the orderly sale of portfolio securities to accommodate
substantial redemption requests if they should occur
and is not for investment purposes. All borrowings will
be repaid before making additional investments for that
Portfolio and any interest paid on such borrowings will
reduce the income of that Portfolio.
The foregoing percentage limitations will apply at the
time of the purchase of a security. Additional investment
limitations are set forth in the Statement of Additional
Information.
THE MANAGER
AND SHAREHOLDER
SERVICING AGENT ________________________________________________________________
SEI Financial Management Corporation (the "Manager" and
the "Transfer Agent"), a wholly owned subsidiary of SEI
Corporation ("SEI"), and the Trust are parties to a
management agreement (the "Management Agreement"). Under
the terms of the Management Agreement, the Manager is
responsible for providing the Trust with overall
management services, regulatory reporting, all necessary
office space, equipment, personnel and facilities and for
acting as transfer agent, dividend disbursing agent, and
shareholder servicing agent.
For these services, the Manager is entitled to a fee
which is calculated daily and paid monthly at an annual
rate of each Portfolio's average daily net assets as
follows: Money Market Portfolio--.33%; Prime Obligation
Portfolio--.19%; Government II Portfolio--.19%; Government
Portfolio--.24%; Treasury Portfolio--.24%; Treasury II
Portfolio--.24%; and Federal Securities Portfolio--.55%.
The Manager has contractually agreed to waive all or a
portion of its fee and, if necessary, pay other operating
expenses in order to limit the total operating expenses to
not more than (i) .20% of the Class A shares of the Prime
Obligation, Government II and Treasury Portfolios; (ii)
.25% of the Class A shares of the Treasury II Portfolio;
(iii) .50% of the Class B shares of the Prime Obligation,
Government II and Treasury Portfolios; (iv) .55% of the
Class B shares of the Treasury II Portfolio; (v) .70% of
the Class C shares of the Prime Obligation, Government II
and Treasury Portfolios; and (vi) .75% of the Class C
shares of the Treasury II Portfolio; each on an annualized
basis. The Manager has voluntarily agreed to waive all or
a portion of its fee in order to limit total operating
expenses to not more than (i) .20% of the average daily
net assets of Class A shares, (ii) .50% of the average
daily net assets of Class B shares and (iii) .70% of the
daily net assets of Class C shares of the Money Market and
Government Portfolios, each on an annualized basis. The
Manager reserves the right, in its sole discretion, to
terminate this voluntary waiver at any time.
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<PAGE>
THE ADVISER ____________________________________________________________________
Wellington Management Company ("WMC" or the "Adviser") has
acted as the investment adviser for the Portfolios under
an advisory agreement (the "Advisory Agreement") with the
Trust. WMC is a professional investment counseling firm
which provides investment services to investment
companies, employee benefit plans, endowments,
foundations, and other institutions and individuals. Under
the Advisory Agreement, the Adviser is responsible for the
investment decisions for the Portfolios and continuously
reviews, supervises and administers each Portfolio's
investment program. The Adviser is independent of the
Manager and SEI and discharges its responsibilities
subject to the supervision of, and policies set by, the
Trustees of the Trust.
The Adviser's predecessor organizations have provided
investment advisory services to investment companies since
1933 and to investment counseling clients since 1960. As
of March 31, 1995, the Adviser had discretionary
management authority with respect to approximately $88.5
billion of assets, including the assets of the Trust, SEI
Liquid Asset Trust and the Insurance Investment Products
Trust, each an open-end investment company. Wellington
Trust Company, National Association, a wholly-owned
subsidiary of the Adviser, utilizes SEI's trust accounting
services. The principal address of Wellington Management
Company is 75 State Street, Boston, MA 02109. WMC is a
Massachusetts general partnership, of which the following
persons are managing partners: Robert W. Doran, Duncan M.
McFarland and John B. Neff.
The Adviser is entitled to a fee, which is calculated
daily and paid monthly, at an annual rate of .075% of the
combined average daily net assets of the Portfolios of the
Trust up to $500 million and .02% of such combined average
daily net assets in excess of $500 million. Such fees are
allocated daily among the Portfolios on the basis of their
relative net assets. For the fiscal year ended January 31,
1995, the Portfolios paid the Adviser advisory fees (shown
here as a percentage of average daily net assets after
voluntary fee waivers) as follows: Money Market
Portfolio--.02%; Prime Obligation Portfolio--.01%;
Government Portfolio--.01%; Government II Portfolio--.01%;
Treasury Portfolio--.01%; Treasury II Portfolio--.01%; and
Federal Securities Portfolio--.03%.
DISTRIBUTION ___________________________________________________________________
SEI Financial Services Company (the "Distributor"), a
wholly owned subsidiary of SEI, serves as each Portfolio's
distributor pursuant to a distribution agreement (the
"Distribution Agreement"). Each Class of each Portfolio
has a separate distribution plan ("Class A Plan," "Class B
Plan" and "Class C Plan"; collectively, the "Plans")
pursuant to Rule 12b-1 under the 1940 Act. The Trust may
also execute brokerage or other agency transactions
through the Distributor for which the Distributor may
receive usual and customary compensation. The Trust
intends to operate the Plans in accordance with their
22
<PAGE>
terms and with the Rules of Fair Practice (the "Rules") of
the National Association of Securities Dealers, Inc.
("NASD") concerning sales charges.
The Distribution Agreement and Plan for each class
provide for reimbursement of expenses incurred by the
Distributor in an amount not to exceed .30% of a
Portfolio's average daily net assets on an annualized
basis, provided those expenses are permissible as to both
type and amount under a budget, and the Class B and Class
C Plans provide for additional payments for distribution
and shareholder services, as described below. The budget
must be approved and monitored quarterly by the Trustees,
including those Trustees who are not interested persons
and have no financial interest in the Plan or any related
agreement ("Qualified Trustees"). Pursuant to state law,
the Trust has voluntarily agreed to limit the Distribution
related expenses of Class A shares of each Portfolio to
.25%.
Distribution related expenses reimbursable to the
Distributor under the budget include those related to the
costs of advertising and sales materials, the costs of
federal and state securities laws registration and
promotional and sales expenses including expenses for
travel, communication and compensation and benefits for
sales personnel. The Trust is not obligated to reimburse
the Distributor for any expenditures in excess of the
approved budget. Currently, the budget for each Portfolio
(shown here as a percentage of average daily net assets)
is as follows: Money Market--.04%; Prime Obligation--.04%;
Government--.04%; Government II--.05%; Treasury--.04%;
Treasury II--.04%; and Federal Securities--.00% (and the
Manager will reimburse operating expenses of this
Portfolio in the amount of .10%). Distribution expenses
not attributable to a specific portfolio of the Trust are
allocated among each of the portfolios of the Trust based
on average net assets.
The Class B and Class C Plans, in addition to providing
for the reimbursement payments described above, provide
for payments to the Distributor at an annual rate of .30%
and .50%, respectively, of each Portfolio's average daily
net assets attributable to Class B and Class C shares.
These additional payments characterized as "compensation"
and are not directly tied to expenses incurred by the
Distributor; the payments the Distributor receives during
any year may therefore be higher or lower than its actual
expenses. These additional payments may be used to
compensate Class B and Class C shareholders that provide
distribution related services to their customers.
It is possible that an institution may offer different
classes of shares to its customers and thus receive
compensation with respect to different classes. These
financial institutions may also charge separate fees to
their customers. Certain financial institutions offering
shares to their customers may be required to register as
dealers pursuant to state laws.
The Distributor may, from time to time in its sole
discretion, institute one or more promotional incentive
programs, which will be paid by the Distributor from the
sales charge it receives or from any other source
available to it. Under any such program, the Distributor
will provide promotional incentives, in the form of cash
or other compensation, including merchandise, airline
vouchers, trips and vacation packages, to all dealers
selling
23
<PAGE>
shares of the Portfolios. Such promotional incentives will
be offered uniformly to all dealers and predicated upon
the amount of shares of the Portfolios sold by the dealer.
PURCHASE AND
REDEMPTION OF
SHARES _________________________________________________________________________
Financial institutions may acquire shares of the
Portfolios for their own accounts or as a record owner on
behalf of fiduciary, agency or custody accounts by placing
orders with the Transfer Agent. Institutions that use
certain SEI proprietary systems may place orders
electronically through those systems. State securities
laws may require banks and financial institutions
purchasing shares for their customers to register as
dealers pursuant to state laws. Financial institutions may
impose an earlier cut-off time for receipt of purchase
orders directed through them to allow for processing and
transmittal of these orders to the Transfer Agent for
effectiveness the same day. Financial institutions that
purchase shares for the accounts of their customers may
impose separate charges on these customers for account
services. Shares of each Portfolio are offered only to
residents of states in which the shares are eligible for
purchase.
Shares of each Portfolio may be purchased or redeemed
on days on which the New York Stock Exchange is open for
business ("Business Days"). However, money market fund
shares can not be purchased by Federal Reserve wire on
Federal holidays restricting wire transfers.
Shareholders who desire to purchase shares with cash
must place their orders with the Transfer Agent prior to
the determination of net asset value for the order to be
accepted on that Business Day. Cash investments must be
transmitted or delivered in federal funds to the wire
agent by the close of business on the same day the order
is placed. The Trust reserves the right to reject a
purchase order when the Distributor determines that it is
not in the best interest of the Trust or shareholders to
accept such purchase order.
The Trust will send shareholders a statement of shares
owned after each transaction. The purchase price of shares
is the net asset value next determined after a purchase
order is received and accepted by the Trust, which is
expected to remain constant at $1.00. The net asset value
per share of a Portfolio is determined by dividing the
total value of its investments and other assets, less any
liabilities, by the total outstanding shares of the
Portfolio. A Portfolio's investments will be valued by the
amortized cost method described in the Statement of
Additional Information. Net asset value per share is
determined daily as of 2:00 p.m. Eastern time on each
Business Day, except that the net asset value per share of
the Money Market and Treasury Portfolios is determined as
of 4:30 p.m. Eastern time on each Business Day and the net
asset value per share of the Government Portfolio is
determined as of 3:00 p.m. Eastern time on each Business
Day. Financial institutions which purchase and redeem
shares for the accounts of their
24
<PAGE>
customers may impose their own cut-off times for receipt
of purchase and redemption requests directed through them.
Shareholders who desire to redeem shares of a Portfolio
must place their redemption orders with the Transfer Agent
prior to the determination of net asset value on any
Business Day. The redemption price is the net asset value
per share of the Portfolio next determined after receipt
by the Transfer Agent of the redemption order. For
redemption orders received before the cut-off time on any
Business Day, payment will be made the same day by
transfer of federal funds. Otherwise, the redemption order
will be effective on the next Business Day.
Shareholders who desire to purchase or redeem from the
Money Market or Treasury Portfolios after 2:00 p.m. must
contact the Transfer Agency one week in advance to
establish the requisite operational requirements for late
day trading. Even after these procedures are in place,
investors are encouraged to execute as many trades as
possible prior to 2:00 p.m.
Shareholders who wish to receive same day acceptance of
investment in the Money Market and Treasury Portfolios
after 2:00 p.m. must contact the Transfer Agent before
4:30 p.m. Eastern time to place the trade and must obtain
a wire reference number for each trade. It is necessary to
obtain a new wire reference number for each purchase
placed in the Portfolios after 2:00 p.m. Eastern Time.
Wire reference numbers are assigned exclusively by means
of telephone communications and are effective for one
transaction only and may not be used more than once. WIRED
MONEY FOR PURCHASES PLACED AFTER 2:00 P.M. THAT IS NOT
PROPERLY IDENTIFIED WITH A CURRENTLY EFFECTIVE WIRE
REFERENCE NUMBER WILL BE RETURNED TO THE BANK FROM WHICH
IT WAS WIRED AND WILL NOT BE CREDITED TO THE SHAREHOLDER'S
ACCOUNT.
Purchase and redemption orders may be placed by
telephone. Neither the Trust nor the Trust's Transfer
Agent will be responsible for any loss, liability, cost or
expense for acting upon wire instructions or upon
telephone instructions that it reasonably believes to be
genuine. The Trust and the Trust's Transfer Agent will
each employ reasonable procedures to confirm that
instructions communicated by telephone are genuine,
including requiring a form of personal identification
prior to acting upon instructions received by telephone
and recording telephone instructions.
If market conditions are extraordinarily active, or
other extraordinary circumstances exist, and you
experience difficulties placing redemption orders by
telephone, you may wish to consider placing your order by
other means.
PERFORMANCE ____________________________________________________________________
For any Portfolio, the performance on Class A shares will
normally be higher than that on Class B shares because of
the additional distribution expenses charged Class B
shares. Likewise, the performance on Class B shares will
normally be higher than that on Class C shares because of
the additional distribution expenses charged Class C
shares.
25
<PAGE>
From time to time, each Portfolio may advertise the
"current yield" and "effective yield" (also called
"effective compound yield"). These figures are based on
historical earnings and are not intended to indicate
future performance. No representation can be made
concerning actual future yields or returns. The "current
yield" of a Portfolio refers to the income generated by a
hypothetical investment in such Portfolio over a seven-day
period (which period will be stated in the advertisement).
This income is then "annualized," i.e., the income
generated during that week is assumed to be generated each
week over a 52-week period and is shown as a percentage of
the investment. The "effective yield" (also called
"effective compound yield") is calculated similarly but,
when annualized, the income earned by an investment in a
Portfolio is assumed to be reinvested. The "effective
yield" will be slightly higher than the "current yield"
because of the compounding effect of this assumed
reinvestment.
A Portfolio may periodically compare its performance to
that of other mutual funds tracked by mutual fund rating
services (such as Lipper Analytical) or financial and
business publications and periodicals, broad groups of
comparable mutual funds, unmanaged indices which may
assume investment of dividends but generally do not
reflect deductions for administrative and management costs
or to other investment alternatives. A Portfolio may also
quote financial and business publications and periodicals
as they relate to fund management, investment philosophy
and investment techniques.
TAXES __________________________________________________________________________
The following summary of federal income tax consequences
is based on current tax laws and regulations, which may be
changed by legislative, judicial or administrative action.
No attempt has been made to present a detailed explanation
of the federal, state or local income tax treatment of the
Portfolios or their shareholders. Accordingly,
shareholders are urged to consult their tax advisers
regarding specific questions as to federal, state and
local income taxes. State and local tax consequences of an
investment in the Portfolio may differ from the federal
income tax consequences described below. Additional
information concerning taxes is set forth in the Statement
of Additional Information.
Tax Status of the Each Portfolio is treated as a separate entity for federal
Portfolios income tax purposes and is not combined with the Trust's
other portfolios. Each Portfolio intends to qualify or to
continue to qualify for the special tax treatment afforded
regulated investment companies ("RICs") under Subchapter M
of the Internal Revenue Code of 1986 (the "Code"), as
amended, so as to be relieved of federal income tax on net
investment company taxable income and net capital gains
(the excess of net long-term capital gains over net short-
term capital losses) distributed to shareholders. Each
Portfolio also intends to distribute sufficient amounts
each calendar year to avoid liability for federal excise
tax.
Tax Status of Each Portfolio distributes substantially all of its net
Distributions investment income (including net short-term capital gains)
to shareholders. Dividends from net investment company
taxable income are taxable to its shareholders as ordinary
income (whether received in cash or in
26
<PAGE>
additional shares) and will not qualify for the corporate
dividends-received deduction. Distributions of net capital
gains are taxable to shareholders as long-term capital
gains. The Portfolios provide annual reports to
shareholders of the federal income tax status of all
distributions.
Dividends declared by a Portfolio in October, November
or December of any year and payable to shareholders of
record on a date in such a month, will be deemed to have
been paid by the Portfolio and received by the
shareholders on December 31 of the year declared if paid
by the Portfolio at any time during the following January.
Income received on direct U.S. Government obligations
is exempt from tax at the state level when received
directly and may be exempt, depending on the state, when
received by a shareholder from a Portfolio provided
certain conditions are satisfied. Interest received on
repurchase agreements collateralized by U.S. Government
obligations normally is not exempt from state taxation.
Each Portfolio will inform shareholders annually of the
percentage of income and distributions derived from direct
U.S. Government obligations. Shareholders should consult
their tax advisers to determine whether any portion of the
income dividends received from a Portfolio is considered
tax exempt in their particular states.
With respect to investments in STRIPS, which are sold
at original issue discount and thus do not make periodic
cash interest payments, each Portfolio will be required to
include as part of its current income the accreted
interest on any such obligations even though the Portfolio
has not received any interest payments on such obligations
during that period. Because the Portfolio distributes all
of its net investment income to its shareholders, the
Portfolio may have to sell portfolio securities to
distribute such imputed income, which may occur at a time
when the Adviser would not have chosen to sell such
securities, and which may result in a taxable gain or
loss.
Sale, exchange, or redemption of Portfolio shares is a
taxable transaction to the shareholder.
GENERAL INFORMATION ____________________________________________________________
The Trust The Trust was organized as a Massachusetts business trust
under a Declaration of Trust dated March 15, 1982. The
Declaration of Trust permits the Trust to offer separate
portfolios of shares and different classes of each
portfolio. In addition to the Portfolios, the Trust
consists of the following portfolios: Short-Term
Government Portfolio, Intermediate-Term Government
Portfolio, GNMA Portfolio, Short-Term Mortgage Portfolio
(formerly Adjustable Rate Mortgage Portfolio) Short
Duration Mortgage Portfolio, Corporate Daily Income
Portfolio and Government Securities Daily Income
Portfolio. All consideration received by the Trust for
shares of any portfolio and all assets of such portfolio
belong to that portfolio and would be subject to
liabilities related thereto.
The Trust pays its expenses, including fees of its
service providers, audit and legal expenses, expenses of
preparing prospectuses, proxy solicitation materials and
reports to
27
<PAGE>
shareholders, costs of custodial services and registering
the shares under state and federal securities laws,
pricing, insurance expenses, litigation and other
extraordinary expenses, brokerage costs, interest charges,
taxes and organization expenses.
Trustees of the The management and affairs of the Trust are supervised by
Trust the Trustees under the laws of The Commonwealth of
Massachusetts. The Trustees have approved contracts under
which, as described above, certain companies provide
essential management services to the Trust.
Voting Rights Each share held entitles the shareholder of record to one
vote. The shareholders of each Portfolio or class will
vote separately on matters relating solely to that
Portfolio or class. As a Massachusetts business trust, the
Trust is not required to hold annual meetings of
shareholders but approval will be sought for certain
changes in the operation of the Trust and for the election
of Trustees under certain circumstances. In addition, a
Trustee may be removed by the remaining Trustees or by
shareholders at a special meeting called upon written
request of shareholders owning at least 10% of the
outstanding shares of the Trust. In the event that such a
meeting is requested the Trust will provide appropriate
assistance and information to the shareholders requesting
the meeting.
Reporting The Trust issues unaudited financial information semi-
annually and audited financial statements annually. The
Trust furnishes proxy statements and other reports to
shareholders of record.
Shareholder Shareholder inquiries should be directed to the Manager,
Inquiries SEI Financial Management Corporation, 680 E. Swedesford
Road, Wayne, PA 19087.
Dividends Substantially all of the net investment income (exclusive
of capital gains) of each Portfolio is distributed in the
form of monthly dividends. The dividends are determined
and declared as a dividend for shareholders of record on
the close of business on that day. Dividends are paid by
the Portfolio in federal funds or in additional shares at
the discretion of the shareholder on the first Business
Day of each month. The dividends on Class A shares are
normally higher than those on Class B shares of each
Portfolio because of the additional distribution expenses
charged to Class B shares. Likewise, the dividends on
Class B shares are normally higher than those on Class C
shares of each Portfolio because of the additional
distribution expenses charged to Class C shares.
Counsel and Morgan, Lewis & Bockius serves as counsel to the Trust.
Independent Arthur Andersen LLP serves a s the independent public
Accountants accountants of the Trust.
Custodians and Comerica Bank, 100 Renaissance Center, Detroit MI 48243 (a
Wire Agent "Custodian"), acts as custodian of the assets of the Money
Market Portfolio. First Interstate Bank of Oregon, 1300
S.W. Fifth Street, Portland, OR 97208 (a "Custodian"),
acts as custodian of the assets of the Federal Securities
Portfolio. CoreStates Bank, N.A., Broad and Chestnut
Streets, P.O. Box 7618, Philadelphia, PA 19101 (a
"Custodian," and together, the "Custodians"), acts as
custodian of the assets of the Prime Obligation,
Government,
28
<PAGE>
Government II, Treasury and Treasury II Portfolios, and as
wire agent of the Trust. The Custodians hold cash,
securities and other assets of the Trust as required by
the 1940 Act.
DESCRIPTION
OF PERMITTED
INVESTMENTS
AND RISK FACTORS ______________________________________________________________
The following is a description of certain of the permitted
investment practices for the Portfolios and the associated
risk factors:
Bankers' Bankers' acceptances are bills of exchange or time drafts
Acceptance drawn on and accepted by a commercial bank. Bankers'
acceptances are used by corporations to finance the
shipment and storage of goods. Maturities are generally
six months or less.
Certificates of Certificates of deposit are interest-bearing instruments
Deposit with a specific maturity. They are issued by banks and
savings and loan institutions in exchange for the deposit
of funds and normally can be traded in the secondary
market, prior to maturity. Certificates of deposit with
penalties for early withdrawal will be considered
illiquid.
Commercial Paper Commercial paper is a term used to describe unsecured
short-term promissory notes issued by banks,
municipalities, corporations and other entities.
Maturities on these issues vary from a few to 270 days.
Demand Certain instruments may entail a demand feature which
Instruments permits the holder to demand payment of the principal
amount of the instrument. Demand instruments may include
variable rate master demand notes.
Illiquid Illiquid securities are securities which cannot be
Securities disposed of within seven business days at approximately
the price at which they are being carried on a Portfolio's
books. An illiquid security includes a demand instrument
with a demand notice period exceeding seven days, where
there is no secondary market for such security, and
repurchase agreements with maturities over seven days in
length.
Repurchase Repurchase agreements are agreements by which a Portfolio
Agreements obtains a security and simultaneously commits to return
the security to the seller at an agreed upon price on an
agreed upon date within a number of days from the date of
purchase. The Custodian will hold the security as
collateral for the repurchase agreement. A Portfolio bears
a risk of loss in the event the other party defaults on
its obligations and the Portfolio is delayed or prevented
from exercising its rights to dispose of the collateral or
if the Portfolio realizes a loss on the sale of the
collateral. A Portfolio will enter into repurchase
agreements only with financial institutions deemed to
present minimal risk of bankruptcy during the term of the
agreement based on established guidelines. Repurchase
agreements are considered loans under the 1940 Act.
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<PAGE>
Restraints on Investments by a money market fund are subject to
Investments by limitations imposed under regulations adopted by the
Money Market Securities and Exchange Commission. These regulations
Funds generally require money market funds to acquire only U.S.
dollar denominated obligations maturing in 397 days or
less (currently the Money Market and Prime Obligation
Portfolios have a fundamental policy limiting their
investments to obligations maturing in one year or less)
and to maintain a dollar-weighted average portfolio
maturity of 90 days or less. In addition, money market
funds may acquire only obligations that present minimal
credit risk and that are "eligible securities," which
means they are (i) rated, at the time of investment, by at
least two nationally recognized statistical rating
organizations (one if it is the only organization rating
such obligation) in the highest short-term rating category
or, if unrated, determined to be of comparable quality (a
"first tier security"), or (ii) rated according to the
foregoing criteria in the second highest rating category
or, if unrated, determined to be of comparable quality
("second tier security"). A security is not considered to
be unrated if its issuer has outstanding obligations of
comparable priority and security that have a short-term
rating. In the case of taxable money market funds,
investments in second tier securities are subject to the
further constraints that (i) no more than 5% of a
Portfolio's assets may be invested in second tier
securities, and (ii) any investment in securities of any
one issuer is limited to the greater of 1% of the
Portfolio's total assets or $1 million. A taxable money
market fund may also hold more than 5% of its total assets
in the first tier securities of a single issuer for three
business days.
Time Deposits Time deposits are non-negotiable receipts issued by a bank
in exchange for the deposit of funds. Like a certificate
of deposit, it earns a specified rate of interest over a
definite period of time; however, it cannot be traded in
the secondary market. Time deposits are considered to be
illiquid securities.
U.S. Government Obligations issued or guaranteed by agencies of the U.S.
Agencies Government, including, among others, the Federal Farm
Credit Bank, the Federal Housing Administration and the
Small Business Administration, and obligations issued or
guaranteed by instrumentalities of the U.S. Government,
including, among others, the Federal Home Loan Mortgage
Corporations, the Federal Land Banks and the U.S. Postal
Service. Some of these securities are supported by the
full faith and credit of the U.S. Treasury (e.g.,
Government National Mortgage Association), others are
supported by the right of the issuer to borrow from the
Treasury (e.g., Federal Farm Credit Bank), while still
others are supported only by the credit of the
instrumentality (e.g., Federal National Mortgage
Association). Guarantees of principal by agencies or
instrumentalities of the U.S. Government may be a
guarantee of payment at the maturity of the obligation so
that in the event of a default prior to maturity there
might not be a market and thus no means of realizing on
the obligation prior to maturity. Guarantees as to the
timely payment of principal and interest do not extend to
the value or yield of these securities nor to the value of
the Portfolio's shares.
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<PAGE>
U.S. Treasury U.S. treasury obligations consist of bills, notes and
Obligations bonds issued by the U.S. Treasury and separately traded
interest and principal component parts of such obligations
that are transferable through the Federal book-entry
system known as Separately Traded Registered Interest and
Principal Securities ("STRIPS").
STRIPS STRIPS are sold as zero coupon securities which means that
they are sold at a substantial discount and redeemed at
face value at their maturity date without interim cash
payments of interest or principal. This discount is
accreted over the life of the security, and such accretion
will constitute the income earned on the security for both
accounting and tax purposes. Because of these features,
such securities may be subject to greater interest rate
volatility than interest paying securities. See also
"Taxes."
Variable and Certain obligations may carry variable or floating rates
Floating Rate of interest, and may involve a conditional or
Instruments unconditional demand feature. Such instruments bear
interest at rates which are not fixed, but which vary with
changes in specified market rates or indices. The interest
rates on these securities may be reset daily, weekly,
quarterly or some other reset period, and may have a floor
or ceiling on interest rate changes. There is a risk that
the current interest rate on such obligations may not
accurately reflect existing market interest rates. A
demand instrument with a demand notice exceeding seven
days may be considered illiquid if there is no secondary
market for such security.
When-Issued and When-issued or delayed delivery basis transactions involve
Delayed Delivery the purchase of an instrument with payment and delivery
Securities taking place in the future. Delivery of and payment for
these securities may occur a month or more after the date
of the purchase commitment. A Portfolio will maintain with
the Custodian a separate account with liquid high grade
debt securities or cash in an amount at least equal to
these commitments. The interest rate realized on these
securities is fixed as of the purchase date and no
interest accrues to a Portfolio before settlement. These
securities are subject to market fluctuation due to
changes in market interest rates and it is possible that
the market value at the time of settlement could be higher
or lower than the purchase price if the general level of
interest rates has changed. Although a Portfolio generally
purchases securities on a when-issued or forward
commitment basis with the intention of actually acquiring
securities, a Portfolio may dispose of a when-issued
security or forward commitment prior to settlement if it
deems appropriate.
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TABLE OF CONTENTS
- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
Expense Summary................... 2
Financial Highlights.............. 5
The Trust......................... 18
Investment Objectives and
Policies.......................... 18
General Investment Policies....... 19
Investment Limitations............ 20
The Manager and Shareholder
Servicing Agent................... 21
</TABLE>
<TABLE>
<S> <C>
The Adviser....................... 22
Distribution...................... 22
Purchase and Redemption of Shares. 24
Performance....................... 25
Taxes............................. 26
General Information............... 27
Description of Permitted
Investments and Risk Factors...... 29
</TABLE>
32
<PAGE>
SEI DAILY INCOME TRUST
MAY 31, 1995
- --------------------------------------------------------------------------------
CORPORATE DAILY INCOME PORTFOLIO
GOVERNMENT SECURITIES DAILY INCOME PORTFOLIO
SHORT-TERM MORTGAGE PORTFOLIO
SHORT DURATION MORTGAGE PORTFOLIO
SHORT-TERM GOVERNMENT PORTFOLIO
INTERMEDIATE-TERM GOVERNMENT PORTFOLIO
GNMA PORTFOLIO
- --------------------------------------------------------------------------------
Please read this Prospectus carefully before investing, and keep it on file for
future reference.
A Statement of Additional Information dated May 31, 1995 has been filed with
the Securities and Exchange Commission and is available without charge through
the Distributor, SEI Financial Services Company, 680 East Swedesford Road,
Wayne, PA 19087 or by calling 1-800-342-5734. The Statement of Additional
Information is incorporated into this Prospectus by reference.
SEI Daily Income Trust (the "Trust") is a mutual fund that offers financial
institutions a convenient means of investing their own funds or funds for which
they act in a fiduciary, agency or custodial capacity in professionally managed
diversified portfolios of securities. Some portfolios offer separate classes of
units of beneficial interest ("shares") that differ from each other primarily
in the allocation of certain distribution expenses and minimum investment
amounts. This Prospectus offers Class A, Class B and Class C shares of the
seven fixed income portfolios (the "Portfolios," and each of these, a
"Portfolio") listed above.
- --------------------------------------------------------------------------------
THESE SECURITIES HAVE NOT BEEN APPROVED OR DISAPPROVED BY THE SECURITIES AND
EXCHANGE COMMISSION OR ANY STATE SECURITIES COMMISSION NOR HAS THE SECURITIES
AND EXCHANGE COMMISSION OR ANY STATE SECURITIES COMMISSION PASSED UPON THE
ACCURACY OR ADEQUACY OF THIS PROSPECTUS. ANY REPRESENTATION TO THE CONTRARY IS
A CRIMINAL OFFENSE.
THE TRUST'S SHARES ARE NOT DEPOSITS OR OBLIGATIONS OF, OR GUARANTEED OR
ENDORSED BY, ANY BANK. THE TRUST'S SHARES ARE NOT FEDERALLY INSURED BY THE
FEDERAL DEPOSIT INSURANCE CORPORATION, THE FEDERAL RESERVE BOARD OR ANY
OTHER GOVERNMENT AGENCY. INVESTMENT IN THE SHARES INVOLVES RISK, INCLUDING
POSSIBLE LOSS OF THE PRINCIPAL AMOUNT INVESTED.
<PAGE>
ANNUAL OPERATING EXPENSES (as a percentage of average net assets) CLASS A
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
GOVERNMENT
CORPORATE SECURITIES SHORT INTERMEDIATE-
DAILY DAILY SHORT-TERM DURATION SHORT-TERM TERM
INCOME INCOME MORTGAGE MORTGAGE GOVERNMENT GOVERNMENT GNMA
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
--------- ---------- ---------- --------- ---------- ------------- ---------
<S> <C> <C> <C> <C> <C> <C> <C>
Management/Advisory Fees
(after fee waiver) (1) .24% .25% .26% .10% .37% .37% .40%
12b-1 Fees (2) .06% .06% .04% .08% .05% .05% .05%
Other Expenses .05% .04% .15% .27% .03% .03% .04%
- ------------------------------------------------------------------------------------------------------
Total Operating Expenses
(after fee waiver) (3)
(4) (5) .35% .35% .45% .45% .45% .45% .49%
- ------------------------------------------------------------------------------------------------------
</TABLE>
(1) The Manager has waived, on a voluntary basis, a portion of its fee, and the
management/advisory fees shown reflect this voluntary waiver. The Manager
reserves the right to terminate its waiver at any time in its sole
discretion. Absent such fee waiver, management/advisory fees would be .45%
for the Corporate Daily Income, Government Securities Daily Income, Short-
Term Mortgage, Short Duration Mortgage .44% for the Short-Term Government
and the Intermediate-Term Government Portfolios and .41 for the GNMA
Portfolio.
(2) The 12b-1 fees shown reflect each Portfolio's current 12b-1 budget for
reimbursement of expenses. The maximum 12b-1 fees payable by Class A shares
for each Portfolio are .30%.
(3) Total operating expenses for the Government Securities Portfolio and the
Short Duration Mortgage Portfolio, are based on estimated amounts for the
current fiscal year.
(4) Total operating expenses for the GNMA Portfolio have been restated to
reflect a reduction in the fee waivers.
(5) Absent the voluntary fee waiver and reimbursement described above, total
operating expenses for Class A shares of the Portfolios would be .56% for
the Corporate Daily Income Portfolio, .55% for the Government Securities
Daily Income Portfolio, .64% for the Short-Term Mortgage Portfolio, .80%
for the Short Duration Mortgage Portfolio, .52% for the Short-Term
Government Portfolio, .52% for the Intermediate-Term Government Portfolio
and .50 for the GNMA Portfolio.
EXAMPLE
<TABLE>
- --------------------------------------------------------------------------------
<CAPTION>
1 YR. 3 YRS. 5 YRS. 10 YRS.
----- ------ ------ -------
<S> <C> <C> <C> <C>
An investor would pay the following expenses on a
$1,000 investment of each portfolio assuming (1) 5%
annual return and (2) redemption at the end of each
time period:
Corporate Daily Income Portfolio $4.00 $11.00 $20.00 $44.00
Government Securities Daily Income Portfolio $4.00 $11.00 $20.00 $44.00
Short-Term Mortgage Portfolio $5.00 $14.00 $25.00 $57.00
Short Duration Mortgage Portfolio $5.00 $14.00 $25.00 $57.00
Short-Term Government Portfolio $5.00 $14.00 $25.00 $57.00
Intermediate-Term Government Portfolio $5.00 $14.00 $25.00 $57.00
GNMA Portfolio $5.00 $16.00 $27.00 $62.00
- --------------------------------------------------------------------------------
</TABLE>
THE EXAMPLE SHOULD NOT BE CONSIDERED A REPRESENTATION OF PAST OR FUTURE
EXPENSES. ACTUAL EXPENSES MAY BE GREATER OR LESS THAN THOSE SHOWN.
The purpose of this table is to assist the investor in understanding the
various costs and expenses that may be directly or indirectly borne by
investors in the Portfolios. A person who purchases shares through a financial
institution may be charged separate fees by that institution. The information
set forth in the foregoing table and example relates only to Class A shares.
The Corporate Daily income, Short-Term Government, Intermediate-Term Government
and GNMA Portfolios also offer Class D shares, which are subject to the same
expenses except that Class D shares bear sales loads and different distribution
costs. Additional information may be found under "The Manager and Shareholder
Servicing Agent," "The Adviser" and "Distribution." Long-term shareholders may
eventually pay more than the economic equivalent of the maximum front-end sales
charges otherwise permitted by the Rules of Fair Practice (the "Rules") of the
National Association of Securities Dealers, Inc. ("NASD").
2
<PAGE>
ANNUAL OPERATING EXPENSES (as a percentage of average net assets) CLASS B
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
GOVERNMENT
CORPORATE SECURITIES SHORT INTERMEDIATE-
DAILY DAILY SHORT-TERM DURATION SHORT-TERM TERM
INCOME INCOME MORTGAGE MORTGAGE GOVERNMENT GOVERNMENT GNMA
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
--------- ---------- ---------- --------- ---------- ------------- ---------
<S> <C> <C> <C> <C> <C> <C> <C>
Management/Advisory Fees
(after fee waiver) (1) .24% .25% .26% .10% .37% .37% .40%
12b-1 Fees (2) .36% .36% .34% .38% .35% .35% .35%
Other Expenses .05% .04% .15% .27% .03% .03% .04%
- ------------------------------------------------------------------------------------------------------
Total Operating Expenses
(after fee waiver ) (3)
(4) (5) .65% .65% .75% .75% .75% .75% .79%
- ------------------------------------------------------------------------------------------------------
</TABLE>
(1) The Manager has waived, on a voluntary basis, a portion of its fee, and the
management/advisory fees shown reflect this voluntary waiver. The Manager
reserves the right to terminate its waiver at any time in its sole
discretion. Absent such fee waiver, management/advisory fees would be .45%
for the Corporate Daily Income, Government Securities Daily Income, Short-
Term Mortgage, Short Duration Mortgage, .44% for the Short-Term Government
and the Intermediate-Term Government Portfolios; and .41% for the GNMA
Portfolio.
(2) The 12b-1 fees shown reflect each Portfolio's current 12b-1 budget for
reimbursement of expenses. The maximum 12b-1 fees payable by Class B shares
for each Portfolio are .60%.
(3) Total operating expenses for the Government Securities Portfolio and the
Short Duration Mortgage Portfolio are based on estimated amounts for the
current fiscal year.
(4) Total operating expenses for the GNMA Portfolio have been restated to
reflect a reduction in the fee waivers.
(5) Absent the voluntary fee waiver and reimbursement described above, total
operating expenses for Class B shares of the Portfolios would be .86% for
the Corporate Daily Income Portfolio, .85% for the Government Securities
Daily Income Portfolio, .94% for the Short-Term Mortgage Portfolio, 1.10%
for the Short Duration Mortgage Portfolio, .82% for the Short-Term
Government Portfolio and .82% for the Intermediate-Term Government
Portfolio and .80% for the GNMA Portfolio.
EXAMPLE
<TABLE>
- --------------------------------------------------------------------------------
<CAPTION>
1 YR. 3 YRS. 5 YRS. 10 YRS.
----- ------ ------ -------
<S> <C> <C> <C> <C>
An investor would pay the following expenses on a
$1,000 investment of each portfolio assuming (1) 5%
annual return and (2) redemption at the end of each
time period:
Corporate Daily Income Portfolio $7.00 $21.00 $36.00 $81.00
Government Securities Daily Income Portfolio $7.00 $21.00 $36.00 $81.00
Short-Term Mortgage Portfolio $8.00 $24.00 $42.00 $93.00
Short Duration Mortgage Portfolio $8.00 $24.00 $42.00 $93.00
Short-Term Government Portfolio $8.00 $24.00 $42.00 $93.00
Intermediate-Term Government Portfolio $8.00 $24.00 $42.00 $93.00
GNMA Portfolio $8.00 $25.00 $44.00 $98.00
- --------------------------------------------------------------------------------
</TABLE>
THE EXAMPLE SHOULD NOT BE CONSIDERED A REPRESENTATION OF PAST OR FUTURE
EXPENSES. ACTUAL EXPENSES MAY BE GREATER OR LESS THAN THOSE SHOWN.
The purpose of this table is to assist the investor in understanding the
various costs and expenses that may be directly or indirectly borne by
investors in the Portfolios. A person who purchases shares through a financial
institution may be charged separate fees by that institution. The information
set forth in the foregoing table and example relates only to Class B shares.
The Corporate Daily Income, Short-Term Government, Intermediate-Term Government
and GNMA Portfolios also offer Class D shares, which are subject to the same
expenses except that Class D shares bear sales loads and different distribution
costs. Additional information may be found under "The Manager and Shareholder
Servicing Agent," "The Adviser" and "Distribution." Long-term shareholders may
eventually pay more than the economic equivalent of the maximum front-end sales
charges otherwise permitted by the NASD Rules.
3
<PAGE>
ANNUAL OPERATING EXPENSES (as a percentage of average net assets) CLASS C
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
GOVERNMENT
CORPORATE SECURITIES SHORT INTERMEDIATE-
DAILY DAILY SHORT-TERM DURATION SHORT-TERM TERM
INCOME INCOME MORTGAGE MORTGAGE GOVERNMENT GOVERNMENT GNMA
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
--------- ---------- ---------- --------- ---------- ------------- ---------
<S> <C> <C> <C> <C> <C> <C> <C>
Management/Advisory Fees
(after fee waiver) (1) .24% .25% .26% .10% .37% .37% .40%
12b-1 Fees (2) .56% .56% .54% .58% .55% .55% .55%
Other Expenses .05% .04% .15% .27% .03% .03% .04%
- ------------------------------------------------------------------------------------------------------
Total Operating Expenses
(after the waiver)
(3)(4)(5) .85% .85% .95% .95% .95% .95% .99%
- ------------------------------------------------------------------------------------------------------
</TABLE>
(1) The Manager has waived, on a voluntary basis, a portion of its fee, and the
management/advisory fees shown reflect this voluntary waiver. The Manager
reserves the right to terminate its waiver at any time in its sole
discretion. Absent such fee waiver, management/advisory fees would be .45%
for the Corporate Daily Income, Government Securities Daily Income, Short-
Term Mortgage and Short Duration Mortgage Portfolios, .44% for the Short-
Term Government and the Intermediate-Term Government Portfolios and .41%
for the GNMA Portfolio.
(2) The 12b-1 fees shown reflect each Portfolio's current 12b-1 budget for
reimbursement of expenses. The maximum 12b-1 fees payable by Class C shares
for each Portfolio are .80%.
(3) Total operating expenses for the Government Securities Daily Income
Portfolio and the Short Duration Mortgage Portfolio are based on estimated
amounts for the current fiscal year.
(4) Total operating expenses for the GNMA Portfolio have been restated to
reflect a reduction in the fee waivers.
(5) Absent the voluntary fee waiver and reimbursement described above, total
operating expenses for Class C shares of the Portfolios would be 1.06% for
the Corporate Daily Income Portfolio, 1.05% for the Government Securities
Daily Income Portfolio, 1.14% for the Short-Term Mortgage Portfolio, 1.30%
for the Short Duration Mortgage Portfolio, 1.02% for the Short-Term
Government Portfolio, 1.02% for the Intermediate-Term Government Portfolio
and 1.00% for the GNMA Portfolio.
EXAMPLE
<TABLE>
- -------------------------------------------------------------------------------
<CAPTION>
1 YR. 3 YRS. 5 YRS. 10 YRS.
------ ------ ------ -------
<S> <C> <C> <C> <C>
An investor would pay the following expenses on a
$1,000 investment of each portfolio assuming (1)
5% annual return and (2) redemption at the end of
each time period:
Corporate Daily Income Portfolio $ 9.00 $27.00 $47.00 $105.00
Government Securities Daily Income Portfolio $ 9.00 $27.00 $47.00 $105.00
Short-Term Mortgage Portfolio $10.00 $30.00 $53.00 $117.00
Short Duration Mortgage Portfolio $10.00 $30.00 $53.00 $117.00
Short-Term Government Portfolio $10.00 $30.00 $53.00 $117.00
Intermediate-Term Government Portfolio $10.00 $30.00 $53.00 $117.00
GNMA Portfolio $10.00 $32.00 $55.00 $121.00
- -------------------------------------------------------------------------------
</TABLE>
THE EXAMPLE SHOULD NOT BE CONSIDERED A REPRESENTATION OF PAST OR FUTURE
EXPENSES. ACTUAL EXPENSES MAY BE GREATER OR LESS THAN THOSE SHOWN.
The purpose of this table is to assist the investor in understanding the
various costs and expenses that may be directly or indirectly borne by
investors in the Portfolios. A person who purchases shares through a financial
institution may be charged separate fees by that institution. The information
set forth in the foregoing table and example relates only to Class C shares.
The Corporate Daily Income, Short-Term Government, Intermediate-Term Government
and GNMA Portfolios also offer Class D shares, which are subject to the same
expenses except that Class D shares bear sales loads and different distribution
costs. Additional information may be found under "The Manager and Shareholder
Servicing Agent," "The Adviser" and "Distribution." Long-term shareholders may
eventually pay more than the economic equivalent of the maximum front-end sales
charges otherwise permitted by the NASD Rules.
4
<PAGE>
FINANCIAL HIGHLIGHTS ___________________________________________________________
The following information has been audited by Arthur Andersen LLP, the Trust's
independent accountants, as indicated in their report dated March 8, 1995 on
the Trust's financial statements as of January 31, 1995 included in the Trust's
Statement of Additional Information under "Financial Information." Additional
performance information is set forth in the 1995 Annual Report to shareholders
and is available upon request and without charge by calling 1-800-342-5734. As
of the most recent fiscal year end, there were no shares outstanding of the
Government Securities Daily Income or Short Duration Mortgage Portfolios, no
Class B or C shares outstanding of the Corporate Daily Income or Short-Term
Mortgage Portfolios, and no Class C shares outstanding of the GNMA Portfolio.
This table should be read in conjunction with the Trust's financial statements
and notes thereto.
FOR A CLASS A SHARE OUTSTANDING THROUGHOUT THE PERIOD
<TABLE>
<CAPTION>
Corporate Daily Income Portfolio
-----------------------------------
For Fiscal Year Ended
January 31,
---------------------
1995 1994 (1)
- ------------------------------------------------------------------------------
<S> <C> <C>
Net Asset Value, Beginning of Period $ 2.00 $ 2.00
- ------------------------------------------------------------------------------
Income from Investment Operations:
Net Investment Income 0.09 0.02
Net Realized and Unrealized Gains
(Losses) on Securities (0.04) --
- ------------------------------------------------------------------------------
Total from Investment Operations $ 0.05 $ 0.02
- ------------------------------------------------------------------------------
Less Distributions:
Dividends from Net Investment Income (0.09) (0.02)
Distributions from Realized Capital
Gains -- --
- ------------------------------------------------------------------------------
Total Distributions $(0.09) $(0.02)
- ------------------------------------------------------------------------------
Net Asset Value, End of Period $ 1.96 $ 2.00
- ------------------------------------------------------------------------------
- ------------------------------------------------------------------------------
Total Return 2.59% 3.45%
- ------------------------------------------------------------------------------
- ------------------------------------------------------------------------------
Ratios/Supplemental Data:
Net Assets End of Period (000) $ 50,495 $ 43,655
Ratio of Expenses to Average Net Assets 0.35% 0.35%
Ratio of Expenses to Average Net Assets
(Excluding Waivers) 0.55% 0.63%
Ratio of Net Investment Income to
Average Net Assets 4.60% 3.45%
Ratio of Net Investment Income to
Average Net Assets (Excluding Waivers) 4.40% 3.18%
Portfolio Turnover Rate 147% 34%
- ------------------------------------------------------------------------------
- ------------------------------------------------------------------------------
</TABLE>
(1) The Corporate Daily Income Portfolio, Class A commenced operations on
September 28, 1993. All ratios including total return for that period have
been annualized.
5
<PAGE>
FINANCIAL HIGHLIGHTS (CONTINUED) _______________________________________________
FOR A CLASS A SHARE OUTSTANDING THROUGHOUT THE PERIOD
<TABLE>
<CAPTION>
Short-Term Mortgage Portfolio
--------------------------------
For Fiscal Year Ended
January 31,
---------------------
1995 (2) 1994 (1)
- -------------------------------------------------------------------------------
<S> <C> <C>
Net Asset Value, Beginning of Period $ 9.90 $10.00
- -------------------------------------------------------------------------------
Income from Investment Operations:
Net Investment Income 0.48 0.22
Net Realized and Unrealized Gains (Losses)
on Securities (0.24) (0.10)
- -------------------------------------------------------------------------------
Total from Investment Operations $ 0.24 $ 0.12
- -------------------------------------------------------------------------------
Less Distributions:
Dividends from Net Investment Income (0.48) (0.22)
Distributions from Realized Capital Gains (0.02) --
- -------------------------------------------------------------------------------
Total Distributions $(0.50) $ (0.22)
- -------------------------------------------------------------------------------
Net Asset Value, End of Period $ 9.64 $ 9.90
- -------------------------------------------------------------------------------
- -------------------------------------------------------------------------------
Total Return 2.29% 1.84%
- -------------------------------------------------------------------------------
- -------------------------------------------------------------------------------
Ratios/Supplemental Data:
Net Assets End of Period (000) $ 3,607 $ 3,921
Ratio of Expenses to Average Net Assets 0.45% 0.45%
Ratio of Expenses to Average Net Assets
(Excluding Waivers) 0.64% 0.93%
Ratio of Net Investment Income to Average
Net Assets 4.90% 3.16%
Ratio of Net Investment Income to Average
Net Assets (Excluding Waivers) 4.71% 2.68%
Portfolio Turnover Rate 741% 166%
- -------------------------------------------------------------------------------
- -------------------------------------------------------------------------------
</TABLE>
(1) The Short-Term Mortgage Portfolio, Class A commenced operations on May 20,
1993. All ratios including total return for that period have been
annualized.
(2) 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.
6
<PAGE>
FINANCIAL HIGHLIGHTS (CONTINUED) _______________________________________________
FOR A CLASS A SHARE OUTSTANDING THROUGHOUT THE PERIOD
<TABLE>
<CAPTION>
Short-Term Government Portfolio
------------------------------------------------------------------------
For Fiscal Year Ended January 31,
------------------------------------------------------------------------
1995 1994 1993 1992 1991 1990 1989 1988(1)
- ---------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Net Asset Value,
Beginning of Period $10.06 $10.13 $10.09 $ 9.82 $ 9.65 $ 9.54 $ 9.81 $10.00
- ---------------------------------------------------------------------------------------------------
Income from Investment
Operations:
Net Investment Income 0.40 0.40 0.52 0.68 0.76 0.75 0.76 0.76
Net Realized and
Unrealized Gains
(Losses) on Securities (0.32) 0.04 0.14 0.27 0.17 0.11 (0.27) (0.19)
- ---------------------------------------------------------------------------------------------------
Total from Investment
Operations $ 0.08 $ 0.44 $ 0.66 $ 0.95 $ 0.93 $ 0.86 $ 0.49 $ 0.57
- ---------------------------------------------------------------------------------------------------
Less Distributions:
Dividends from Net
Investment Income (0.40) (0.40) (0.52) (0.68) (0.76) (0.75) (0.76) (0.76)
Distributions from
Realized Capital Gains (0.01) (0.11) (0.10) -- -- -- -- --
- ---------------------------------------------------------------------------------------------------
Total Distributions $(0.41) $(0.51) $(0.62) $(0.68) $(0.76) $(0.75) $(0.76) $(0.76)
- ---------------------------------------------------------------------------------------------------
Net Asset Value, End of
Period $ 9.73 $10.06 $10.13 $10.09 $ 9.82 $ 9.65 $ 9.54 $ 9.81
- ---------------------------------------------------------------------------------------------------
- ---------------------------------------------------------------------------------------------------
Total Return 0.93% 4.41% 6.66% 10.00% 9.98% 9.01% 5.21% 6.09%
- ---------------------------------------------------------------------------------------------------
- ---------------------------------------------------------------------------------------------------
Ratios/Supplemental
Data:
Net Assets End of
Period (000) $99,458 $128,063 $100,153 $63,194 $51,457 $48,683 $54,887 $27,279
Ratio of Expenses to
Average Net Assets 0.45% 0.45% 0.45% 0.45% 0.45% 0.45% 0.41% 0.32%
Ratio of Expenses to
Average Net Assets
(Excluding Waivers) 0.52% 0.52% 0.55% 0.56% 0.54% 0.58% 0.58% 0.78%
Ratio of Net
Investment Income to
Average Net Assets 4.12% 3.98% 5.04% 6.82% 7.73% 7.72% 7.95% 8.17%
Ratio of Net
Investment Income to
Average Net Assets
(Excluding Waivers) 4.05% 3.91% 4.94% 6.71% 7.64% 7.59% 7.78% 7.71%
Portfolio Turnover
Rate 45% 105% 80% 36% 17% 6% 55% 85%
- ---------------------------------------------------------------------------------------------------
- ---------------------------------------------------------------------------------------------------
</TABLE>
(1) The Short-Term Government Portfolio, Class A commenced operations on
February 17, 1987. All ratios including total return for that period have
been annualized.
7
<PAGE>
FINANCIAL HIGHLIGHTS (CONTINUED) _______________________________________________
FOR A CLASS B SHARE OUTSTANDING THROUGHOUT THE PERIOD
<TABLE>
<CAPTION>
Short-Term Government Portfolio
---------------------------------------
For Fiscal Year Ended January 31,
---------------------------------------
1995 1994 1993 1992 1991(1)
- -------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Net Asset Value, Beginning of Period $10.04 $10.13 $10.09 $ 9.82 $ 9.75
- -------------------------------------------------------------------------------
Income from Investment Operations:
Net Investment Income 0.38 0.37 0.48 0.65 0.17
Net Realized and Unrealized Gains
(Losses) on Securities (0.32) 0.02 0.14 0.27 0.07
- -------------------------------------------------------------------------------
Total from Investment Operations $ 0.06 $ 0.39 $ 0.62 $ 0.92 $ 0.24
- -------------------------------------------------------------------------------
Less Distributions:
Dividends from Net Investment
Income (0.38) (0.37) (0.48) (0.65) (0.17)
Distributions from Realized Capital
Gains (0.01) (0.11) (0.10) -- --
- -------------------------------------------------------------------------------
Total Distributions $(0.39) $(0.48) $(0.58) $(0.65) $ (0.17)
- -------------------------------------------------------------------------------
Net Asset Value, End of Period $ 9.71 $10.04 $10.13 $10.09 $ 9.82
- -------------------------------------------------------------------------------
- -------------------------------------------------------------------------------
Total Return 0.70% 3.93% 6.34% 9.68% (0.25)%
- -------------------------------------------------------------------------------
- -------------------------------------------------------------------------------
Ratios/Supplemental Data:
Net Assets End of Period (000) $ 131 $ 37 $ 135 $ 135 $ 150
Ratio of Expenses to Average Net
Assets 0.75% 0.75% 0.75% 0.75% 0.75%
Ratio of Expenses to Average Net
Assets (Excluding Waivers) 0.82% 0.82% 0.85% 0.85% 0.93%
Ratio of Net Investment Income to
Average Net Assets 3.92% 3.67% 4.74% 6.52% 7.25%
Ratio of Net Investment Income to
Average Net Assets (Excluding
Waivers) 3.85% 3.60% 4.64% 6.42% 7.07%
Portfolio Turnover Rate 45% 105% 80% 36% 17%
- -------------------------------------------------------------------------------
- -------------------------------------------------------------------------------
</TABLE>
(1) The Short-Term Government Portfolio, Class B commenced operations on
November 5, 1990. All ratios including total return for that period have
been annualized.
8
<PAGE>
FINANCIAL HIGHLIGHTS (CONTINUED) _______________________________________________
FOR A CLASS A SHARE OUTSTANDING THROUGHOUT THE PERIOD
<TABLE>
<CAPTION>
Intermediate-Term Government Portfolio
------------------------------------------------------------------------------
For Fiscal Year Ended January 31,
------------------------------------------------------------------------------
1995 1994 1993 1992 1991 1990 1989 1988(1)
- ---------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Net Asset Value,
Beginning of Period $10.13 $10.23 $10.06 $ 9.75 $ 9.48 $ 9.32 $ 9.71 $10.00
- ---------------------------------------------------------------------------------------------------------
Income from Investment
Operations:
Net Investment Income 0.50 0.54 0.62 0.70 0.73 0.76 0.78 0.77
Net Realized and
Unrealized Gains
(Losses) on Securities (0.73) 0.11 0.28 0.40 0.28 0.16 (0.39) (0.29)
- ---------------------------------------------------------------------------------------------------------
Total from Investment
Operations $(0.23) $ 0.65 $ 0.90 $ 1.10 $ 1.01 $ 0.92 $ 0.39 $ 0.48
- ---------------------------------------------------------------------------------------------------------
Less Distributions:
Dividends from Net
Investment Income (0.50) (0.54) (0.62) (0.70) (0.74) (0.76) (0.78) (0.77)
Distributions from
Realized Capital Gains (0.07) (0.21) (0.11) (0.09) -- -- -- --
- ---------------------------------------------------------------------------------------------------------
Total Distributions $(0.57) $(0.75) $(0.73) $(0.79) $(0.74) $(0.76) $(0.78) $ (0.77)
- ---------------------------------------------------------------------------------------------------------
Net Asset Value, End of
Period $ 9.33 $10.13 $10.23 $10.06 $ 9.75 $ 9.48 $ 9.32 $ 9.71
- ---------------------------------------------------------------------------------------------------------
- ---------------------------------------------------------------------------------------------------------
Total Return (2.19)% 6.44% 9.51% 11.44% 11.06% 9.94% 4.23% 5.37%
- ---------------------------------------------------------------------------------------------------------
- ---------------------------------------------------------------------------------------------------------
Ratios/Supplemental
Data:
Net Assets End of
Period (000) $243,671 $336,814 $259,488 $199,901 $184,193 $127,966 $102,166 $77,542
Ratio of Expenses to
Average Net Assets 0.45% 0.45% 0.45% 0.45% 0.45% 0.45% 0.41% 0.28%
Ratio of Expenses to
Average Net Assets
(Excluding Waivers) 0.52% 0.53% 0.53% 0.54% 0.54% 0.74% 0.72% 1.67%
Ratio of Net
Investment Income to
Average Net Assets 5.20% 5.24% 6.16% 7.08% 7.78% 8.01% 8.32% 8.40%
Ratio of Net
Investment Income to
Average Net Assets
(Excluding Waivers) 5.13% 5.16% 6.08% 6.99% 7.69% 7.72% 8.01% 7.01%
Portfolio Turnover
Rate 61% 56% 52% 62% 39% 34% 36% 56%
- ---------------------------------------------------------------------------------------------------------
- ---------------------------------------------------------------------------------------------------------
</TABLE>
(1) The Intermediate-Term Government Portfolio, Class A commenced operations on
February 17, 1987. All ratios including total return for that period have
been annualized.
9
<PAGE>
FINANCIAL HIGHLIGHTS (CONTINUED) _______________________________________________
FOR A CLASS B SHARE OUTSTANDING THROUGHOUT THE PERIOD
<TABLE>
<CAPTION>
Intermediate-Term Government Portfolio
--------------------------------------
For Fiscal Year Ended January 31,
--------------------------------------
1995(1)
- ------------------------------------------------------------------------------
<S> <C>
Net Asset Value,
Beginning of Period $ 9.64
- ------------------------------------------------------------------------------
Income from Investment Operations:
Net Investment Income 0.31
Net Realized and Unrealized Gains
(Losses) on Securities (0.24)
- ------------------------------------------------------------------------------
Total from Investment Operations $ 0.07
- ------------------------------------------------------------------------------
Less Distributions:
Dividends from Net Investment Income (0.31)
Distributions from Realized Capital
Gains (0.07)
- ------------------------------------------------------------------------------
Total Distributions $ (0.38)
- ------------------------------------------------------------------------------
Net Asset Value, End of Period $ 9.33
- ------------------------------------------------------------------------------
- ------------------------------------------------------------------------------
Total Return 0.61%(2)
- ------------------------------------------------------------------------------
- ------------------------------------------------------------------------------
Ratios/Supplemental Data:
Net Assets End of Period (000) $ 93
Ratio of Expenses to Average Net
Assets 0.75%
Ratio of Expenses to Average Net
Assets (Excluding Waivers) 0.83%
Ratio of Net Investment Income to
Average Net Assets 5.07%
Ratio of Net Investment Income to
Average Net Assets (Excluding
Waivers) 4.99%
Portfolio Turnover Rate 61%
- ------------------------------------------------------------------------------
- ------------------------------------------------------------------------------
</TABLE>
(1) The Intermediate-Term Government Portfolio, Class B commenced operations on
June 8, 1994. All ratios including total return for that period have been
annualized.
(2) Returns are for the period indicated and have not been annualized.
10
<PAGE>
FINANCIAL HIGHLIGHTS (CONCLUDED) _______________________________________________
FOR A CLASS A SHARE OUTSTANDING THROUGHOUT THE PERIOD
<TABLE>
<CAPTION>
GNMA Portfolio
------------------------------------------------------------------------
For Fiscal Year Ended January 31,
------------------------------------------------------------------------
1995 1994 1993 1992 1991 1990 1989 1988(1)
- --------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Net Asset Value,
Beginning of Period $10.07 $10.22 $ 9.99 $ 9.61 $ 9.31 $ 9.15 $ 9.47 $10.00
- --------------------------------------------------------------------------------------------------
Income from Investment
Operations:
Net Investment Income 0.64 0.66 0.75 0.79 0.83 0.88 0.87 0.77
Net Realized and
Unrealized Gains
(Losses) on Securities (0.90) (0.06) 0.27 0.38 0.30 0.16 (0.32) (0.53)
- --------------------------------------------------------------------------------------------------
Total from Investment
Operations $(0.26) $ 0.60 $ 1.02 $ 1.17 $ 1.13 $ 1.04 $ 0.55 $ 0.24
- --------------------------------------------------------------------------------------------------
Less Distributions:
Dividends from Net
Investment Income (0.64) (0.66) (0.75) (0.79) (0.83) (0.88) (0.87) (0.77)
Distributions from
Realized Capital Gains -- (0.09) (0.04) -- -- -- -- --
- --------------------------------------------------------------------------------------------------
Total Distributions $(0.64) $(0.75) $(0.79) $(0.79) $(0.83) $(0.88) $(0.87) $(0.77)
- --------------------------------------------------------------------------------------------------
Net Asset Value, End of
Period $ 9.17 $10.07 $10.22 $ 9.99 $ 9.61 $ 9.31 $ 9.15 $ 9.47
- --------------------------------------------------------------------------------------------------
- --------------------------------------------------------------------------------------------------
Total Return (2.46)% 6.09% 10.92% 12.49% 12.74% 11.53% 6.19% 3.25%
- --------------------------------------------------------------------------------------------------
- --------------------------------------------------------------------------------------------------
Ratios/Supplemental
Data:
Net Assets End of
Period (000) $182,225 $262,162 $193,204 $120,712 $56,912 $7,899 $8,367 $4,968
Ratio of Expenses to
Average Net Assets 0.47% 0.45% 0.45% 0.45% 0.45% 0.44% 0.37% 0.03%
Ratio of Expenses to
Average Net Assets
(Excluding Waivers) 0.50% 0.50% 0.52% 0.52% 0.61% 0.49% 0.44% 0.74%
Ratio of Net
Investment Income to
Average Net Assets 6.89% 6.38% 7.49% 8.09% 8.66% 9.50% 9.49% 9.49%
Ratio of Net
Investment Income to
Average Net Assets
(Excluding Waivers) 6.86% 6.32% 7.42% 8.02% 8.50% 9.45% 9.42% 8.78%
Portfolio Turnover
Rate 85% 70% 23% 9% 16% 29% 19% 48%
- --------------------------------------------------------------------------------------------------
- --------------------------------------------------------------------------------------------------
</TABLE>
(1) The GNMA Portfolio, Class A commenced operations on March 20, 1987. All
ratios including total return for that period have been annualized.
11
<PAGE>
FINANCIAL HIGHLIGHTS (CONCLUDED) _______________________________________________
FOR A CLASS B SHARE OUTSTANDING THROUGHOUT THE PERIOD
<TABLE>
<CAPTION>
GNMA Portfolio
---------------------------------
For Fiscal Year Ended January 31,
---------------------------------
1995(1)
- -------------------------------------------------------------------------------
<S> <C>
Net Asset Value, Beginning of Period $ 9.16
- -------------------------------------------------------------------------------
Income from Investment Operations:
Net Investment Income 0.35
Net Realized and Unrealized Gains (Losses)
on Securities 0.01
- -------------------------------------------------------------------------------
Total from Investment Operations $ 0.36
- -------------------------------------------------------------------------------
Less Distributions:
Dividends from Net Investment Income (0.35)
Distributions from Realized Capital Gains --
- -------------------------------------------------------------------------------
Total Distributions $(0.35)
- -------------------------------------------------------------------------------
Net Asset Value, End of Period $ 9.17
- -------------------------------------------------------------------------------
- -------------------------------------------------------------------------------
Total Return 4.00%(2)
- -------------------------------------------------------------------------------
- -------------------------------------------------------------------------------
Ratios/Supplemental Data:
Net Assets End of Period (000) $14
Ratio of Expenses to Average Net Assets 0.79%
Ratio of Expenses to Average Net Assets
(Excluding Waivers) 0.82%
Ratio of Net Investment Income to Average
Net Assets 6.80%
Ratio of Net Investment Income to Average
Net Assets (Excluding Waivers) 6.77%
Portfolio Turnover Rate 85%
- -------------------------------------------------------------------------------
- -------------------------------------------------------------------------------
</TABLE>
(1) The GNMA Portfolio, Class B commenced operations on July 12, 1994. All
ratios for that period have been annualized.
(2) Returns are for the period indicated and have not been annualized.
12
<PAGE>
THE TRUST ______________________________________________________________________
SEI DAILY INCOME TRUST (the "Trust") is a diversified open-end management
investment company that offers units of beneficial interest ("shares") in
separate investment portfolios. This Prospectus offers Class A, Class B and
Class C shares of the Trust's Corporate Daily Income, Government Securities
Daily Income, Short-Term Mortgage (formerly Adjustable Rate Mortgage), Short
Duration Mortgage, Short-Term Government, Intermediate-Term Government and GNMA
Portfolios (the "Portfolios," and each of these seven, a "Portfolio"). Each
Portfolio may have separate classes of shares which provide for variations in
distribution and transfer agent costs, sales charges, voting rights and
dividends. Shares in the Corporate Daily Income, Short-Term Government,
Intermediate-Term Government and GNMA Portfolios may also be purchased through
those Portfolios' Class D shares. Additional information pertaining to the
Trust's other portfolios may be obtained by writing to SEI Financial Services
Company, 680 East Swedesford Road, Wayne, PA 19087 or by calling
1-800-342-5734.
INVESTMENT OBJECTIVES AND POLICIES _____________________________________________
THE CORPORATE The Corporate Daily Income Portfolio seeks to provide
DAILY INCOME higher current income than that typically offered by a
PORTFOLIO money market fund while maintaining a high degree of
liquidity and a correspondingly higher risk of principal
volatility. Under normal conditions the Portfolio invests
exclusively in high quality obligations of U.S. domiciled
issuers (not including foreign branches of U.S. banks or
U.S. branches of foreign banks) consisting of: (i)
commercial paper rated in one of the two highest rating
category by a nationally recognized statistical rating
organization ("NRSRO") or, if unrated, of comparable
quality at the time of investment as determined by the
Adviser; (ii) obligations (certificates of deposit, time
deposits, bankers' acceptances and bank notes) of U.S.
commercial banks or savings and loan institutions having
net assets of at least $500 million as of the end of their
most recent fiscal year; (iii) U.S. Treasury obligations
and obligations issued or guaranteed as to principal and
interest by agencies or instrumentalities of the U.S.
Government; (iv) corporate obligations (notes, bonds and
debentures) rated in one of the four highest rating
categories by a NRSRO or, if unrated, of comparable
quality at the time of investment as determined by the
Adviser; (v) mortgage-backed securities, asset-backed
securities rated in one of the four highest rating
categories by a NRSRO or, if unrated, of comparable
quality at the time of investment as determined by the
Adviser; and (vi) repurchase agreements involving the
foregoing securities. However, the Adviser intends to
limit the Portfolio's purchases of non-mortgage asset-
backed securities to securities that are readily
marketable at the time of purchase. Securities rated in
the lowest category of investment grade may have
speculative characteristics. In the event a security owned
by the Portfolio is downgraded below these rating
categories, the Adviser will review and take appropriate
action with regard to such security. The Portfolio's
dollar-weighted average maturity will range from 6 to 18
months. Maximum remaining maturity on any single issue
will be 5 years, with the exception of floating rate
securities that reset at least annually.
13
<PAGE>
THE GOVERNMENT The Government Securities Daily Income Portfolio seeks to
SECURITIES provide higher current income than that typically offered by
DAILY INCOME a money market fund while maintaining a high degree of
PORTFOLIO liquidity and a correspondingly higher risk of principal
volatility. Under normal conditions the Portfolio invests
exclusively in U.S. Treasury obligations, obligations issued
or guaranteed as to principal and interest by the agencies
and instrumentalities of the U.S. Government, and repurchase
agreements involving such obligations. The Portfolio's
dollar-weighted average maturity will range from 6 to 18
months. Maximum remaining maturity on any single issue will
be 5 years, with the exception of floating rate securities
that reset at least annually.
THE SHORT-TERM Under normal conditions, the Short-Term Mortgage Portfolio
MORTGAGE seeks to provide a high level of current income consistent
PORTFOLIO with low principal volatility. Under normal conditions the
Portfolio will invest at least 65% of its total assets in
fixed rate and adjustable rate mortgage-backed securities
("ARMs") that are either privately issued or guaranteed by
the U.S. Government, its agencies or instrumentalities; and
asset-backed securities rated in one of the two highest
rating categories. The Portfolio may also invest in direct
obligations issued or guaranteed by the U.S. Government, its
agencies or instrumentalities. In addition, the Portfolio
may invest in futures contracts and related options, swaps,
caps, and floors, as described in this Prospectus and in the
Statement of Additional Information, as a hedging strategy.
Under normal conditions, the Portfolio is expected to
maintain an average effective maturity of less than three
years. Effective maturity as used herein takes into account
not only the stated maturity but other characteristics that
may cause the instrument to trade similarly to securities
with shorter maturities. The Adviser believes the effective
maturity of a mortgage security is a more accurate gauge of
its potential price volatility than its final maturity date
in light of the variable nature of mortgage prepayments from
the underlying mortgages which comprise the pool. These
uncertain prepayments result in a different average term
than the final principal payment from the underlying
mortgages. With respect to adjustable rate mortgage
securities (securities whose coupon periodically resets),
the effective maturity is equal to the remaining time until
the next coupon reset date. The effective maturity of
securities with fixed cash flows is equal to the stated
maturity date of the security.
In addition, the Portfolio will acquire only adjustable
rate securities that have an interest rate reset period not
exceeding one year.
THE SHORT The Short Duration Mortgage Portfolio seeks to provide a
DURATION high level of current income consistent with low principal
MORTGAGE volatility. Under normal conditions the Portfolio will
PORTFOLIO invest in the investments permitted for the Short-Term
Mortgage Portfolio, in mortgage-backed securities that are
privately issued and not guaranteed by the U.S. Government,
its agencies or instrumentalities, and in asset-backed
securities rated in one of the two highest rating categories
for such securities. Under normal conditions, the Portfolio
will invest at least 65% of its total assets in fixed rate
and adjustable rate mortgage-backed securities.
14
<PAGE>
For more information about the mortgage-backed securities
in which the Portfolio may invest, see "Description of
Permitted Investments and Risk Factors."
The maturity of any single instrument held by the
Portfolio is not limited. However, the dollar-weighted
average maturity of the Portfolio will not exceed three
years. The Adviser will seek to maintain a duration of
approximately two years but may, subject to the foregoing
limitation on average maturity, vary the Portfolio's
duration depending upon market conditions. Duration
incorporates a security's yield, coupon interest payments,
final maturity and option features into one measure, and
is computed by determining the weighted average maturity
of a security's cash flows, where the present values of
the cash flows serve as weights. Since the Portfolio
ordinarily will invest in securities with longer
maturities than those found in money market funds, its
total return is expected to be higher and fluctuations in
its net asset value are expected to be greater. In
addition, the Portfolio will acquire only adjustable rate
securities that have an interest rate reset period not
exceeding one year.
THE SHORT-TERM The Short-Term Government Portfolio seeks to preserve
GOVERNMENT principal value and maintain a high degree of liquidity
PORTFOLIO while providing current income. Under normal conditions
the Portfolio invests exclusively in U.S. Treasury
obligations, obligations issued or guaranteed as to
principal and interest by the agencies and
instrumentalities of the U.S. Government, and repurchase
agreements involving such obligations. The Portfolio will
have a dollar-weighted average portfolio maturity of up to
three years.
THE INTERMEDIATE- The Intermediate-Term Government Portfolio seeks to
TERM GOVERNMENT preserve principal value and maintain a high degree of
PORTFOLIO liquidity while providing current income. Under normal
conditions the Portfolio invests exclusively in the
investments permitted for the Short-Term Government
Portfolio. This Portfolio will have a dollar-weighted
average portfolio maturity of three to five years.
THE GNMA The GNMA Portfolio seeks to preserve principal value and
PORTFOLIO maintain a high degree of liquidity while providing
current income. Under normal conditions the Portfolio
invests exclusively in the investments permitted for the
Short-Term Government Portfolio, but without restrictions
on portfolio maturity. At least 65% of the total assets of
the Portfolio will, under normal circumstances, be
invested in instruments issued by the Government National
Mortgage Association ("GNMA"). In addition, the GNMA
Portfolio may enter into dollar roll transactions with
selected banks and broker-dealers.
For a description of permitted investments, see
"Description of Permitted Investments and Risk Factors."
There is no assurance that the investment objective of
any Portfolio will be met.
15
<PAGE>
GENERAL
INVESTMENT
POLICIES _______________________________________________________________________
Each Portfolio may invest up to 10% of its net assets in
illiquid securities, including illiquid restricted
securities. However, restricted securities, including Rule
144A securities and section 4(2) commercial paper, that
meet the criteria established by the Board of Trustees of
the Trust will be considered liquid. In addition, each
Portfolio's investments may include STRIPS ( as defined in
the "Description of Permitted Investments and Risk
Factors").
Each Portfolio may purchase securities on a when-
issued basis.
Each Portfolio may invest in fixed income securities
rated in the fourth highest category by a NRSRO; such
securities, while still investment grade, are considered
to have speculative characteristics.
For temporary defensive purposes during periods when
the Adviser believes that market conditions warrant, any
Portfolio may invest up to 100% of its assets in
investments such as money market instruments (including
securities issued or guaranteed by the U.S. Government,
its agencies or instrumentalities, repurchase agreements,
certificates of deposit and bankers' acceptances issued by
banks or savings and loan associations having net assets
of at least $500 million as of the end of their most
recent fiscal year) or other long- and short-term debt
instruments which are rated A or higher by Standard &
Poor's Corporation ("S&P") or Moody's Investors Service,
Inc. ("Moody's"), and it also may hold a portion of its
assets in cash or cash equivalents. During such periods,
the Intermediate-Term Government Portfolio can reduce its
average weighted maturity to less than three years.
Under normal circumstances, it is anticipated that the
annual portfolio turnover rate for each Portfolio will not
exceed 150%. A high turnover rate will result in higher
transaction costs and may result in additional taxes for
shareholders. See "Taxes."
INVESTMENT
LIMITATIONS ____________________________________________________________________
The investment objective and investment limitations are
fundamental policies of the Portfolios.
Fundamental policies cannot be changed with respect to
the Trust or a Portfolio without the consent of the
holders of a majority of the Trust's or that Portfolio's
outstanding shares.
Each Portfolio may not:
1. Purchase securities of any issuer (except securities
issued or guaranteed by the U.S. Government, its agencies
or instrumentalities), if as a result, more than 5% of
total
16
<PAGE>
assets of the Portfolio would be invested in the
securities of such issuer. This limitation applies to
75% of each Portfolio's total assets.
2. Purchase any securities which would cause more than 25%
of the total assets of the Portfolio to be invested in
the securities of one or more issuers conducting their
principal business activities in the same industry,
provided that this limitation does not apply to
investments in obligations issued or guaranteed by the
U.S. Government or its agencies and instrumentalities
(but does apply to mortgage-backed securities of non-
government issuers). For purposes of this limitation,
asset-backed securities secured by truck and auto loan
leases, credit card receivables and home equity loans
each will be considered a separate industry.
3. Borrow money except for temporary or emergency purposes
and then only an amount not exceeding 10% of the value
of the total assets of that Portfolio. This borrowing
provision is included solely to facilitate the orderly
sale of portfolio securities to accommodate substantial
redemption requests if they should occur and is not for
investment purposes. All borrowings will be repaid
before making additional investments for that Portfolio
and any interest paid on such borrowings will reduce
the income of that Portfolio.
The foregoing percentage limitations will apply at the
time of the purchase of a security. Additional investment
limitations are set forth in the Statement of Additional
Information.
THE MANAGER
AND SHAREHOLDER
SERVICING AGENT ________________________________________________________________
SEI Financial Management Corporation (the "Manager" and
the "Transfer Agent"), a wholly owned subsidiary of SEI
Corporation ("SEI"), and the Trust are parties to a
management agreement (the "Management Agreement"). Under
the terms of the Management Agreement, the Manager is
responsible for (i) providing the Trust with overall
management services, regulatory reporting, all necessary
office space, equipment, personnel and facilities and (ii)
acting as transfer agent, dividend disbursing agent, and
shareholder servicing agent for Class A, Class B and Class
C shares of each Portfolio.
For these services, the Manager is entitled to a fee
which is calculated daily and paid monthly at an annual
rate of .35% of the average daily net assets of each
Portfolio except the GNMA Portfolio, for which the Manager
is entitled to a fee of .32%. The Manager has voluntarily
agreed to waive a portion of its fee in order to limit
total operating expenses on an annualized basis to not
more than .45% of the average daily net assets of Class A,
.75% of the average daily net assets of Class B and .95%
of the average daily net assets of Class C of the Short-
Term Mortgage, Short Duration Mortgage, Short-Term
Government and Intermediate-Term Government Portfolios;
.49% of the average daily net assets of Class A, .79% of
the average daily net assets of Class B and .99% of the
average daily net assets of Class C of the GNMA Portfolio;
and to not more than .35%
17
<PAGE>
of the average daily net assets of Class A, .65% of the
average daily net assets of Class B and .85% of the
average daily net assets of Class C of the Corporate Daily
Income and Government Securities Daily Income Portfolios.
The Manager reserves the right, in its sole discretion, to
terminate this voluntary waiver at any time.
THE ADVISER ____________________________________________________________________
Wellington Management Company ("WMC" or the "Adviser")
acts as the investment adviser for each Portfolio under
advisory agreements with the Trust. WMC is a professional
investment counseling firm which provides investment
services to investment companies, employee benefit plans,
endowments, foundations, and other institutions and
individuals. Under these advisory agreements, the Adviser
is responsible for the investment decisions for the
Portfolios and continuously reviews, supervises and
administers their investment program. The Adviser is
independent of the Manager and SEI and discharges its
responsibilities subject to the supervision of, and
policies set by, the Trustees of the Trust.
John C. Keogh, Senior Vice President of the Adviser,
serves as the portfolio manager for the Corporate Daily
Income, Government Securities Daily Income and Short-Term
Government Portfolios. He has been an investment
professional with the Adviser since 1983. Mr. Keogh has
served as portfolio manager for the Government Securities
Daily Income since its inception in 1993 and has served as
portfolio manager for the Short-Term Government Portfolio
since 1995. Mr. Keogh will also serve as portfolio manager
for the Corporate Daily Income Portfolio upon its
inception.
Paul D. Kaplan, Senior Vice President of the Adviser,
serves as the portfolio manager for the GNMA Portfolio. He
has been an investment professional with the Adviser since
1978. Mr. Kaplan has served as portfolio manager for the
GNMA Portfolio since its inception in 1987.
Thomas L. Pappas, Vice President of the Adviser,
serves as the portfolio manager for the Intermediate-Term
Government, Short-Term Mortgage and Short Duration
Mortgage Portfolios. He has been an investment
professional with the Adviser since 1987. Mr. Pappas has
served as portfolio manager for the Intermediate-Term
Government and Short-Term Mortgage Portfolios since 1995.
Mr. Pappas will also serve as portfolio manager for the
Short Duration Mortgage Portfolio upon its inception.
As of March 31, 1995, the Adviser had discretionary
management authority with respect to approximately $88.5
billion of assets, including the assets of the Trust, SEI
Liquid Asset Trust and the Insurance Investment Products
Trust, each an open-end investment company. The Adviser's
predecessor organizations have provided investment
advisory services to investment companies since 1933 and
to investment counseling clients since 1960. Wellington
Trust Company, National Association, a wholly-owned
subsidiary of the Adviser, utilizes SEI's trust accounting
services. The principal address of WMC is 75 State Street,
Boston, MA 02109. WMC is a Massachusetts general
partnership, of which the following persons are managing
partners: Robert W. Doran, Duncan M.McFarland and John B.
Neff.
18
<PAGE>
WMC is entitled to a fee with respect to each
Portfolio, which fee is calculated daily and paid monthly,
at an annual rate of .10% of the average daily net assets
of each group of Portfolios up to $500 million, .075% of
such average daily net assets from $500 million to $1
billion and .05% of such average daily net assets in
excess of $1 billion. For the purpose of calculating such
fees, the Portfolios are aggregated into the following
groups: (i) Corporate Daily Income and Government
Securities Daily Income Portfolios, (ii) Short-Term
Government, Intermediate-Term Government and GNMA
Portfolios and (iii) Short-Term Mortgage and Short
Duration Mortgage Portfolios. The fees are based upon each
group's aggregate average daily net assets, and are
allocated daily among each Portfolio within a group on the
basis of each Portfolio's relative net assets. For the
fiscal year ended January 31, 1995, the Portfolios paid
WMC advisory fees (shown here as a percentage of average
daily net assets, after voluntary fee waivers) as follows:
Corporate Daily Income Portfolio--.08%; Short-Term
Government Portfolio--.08%; Intermediate-Term Government
Portfolio--.08%; and GNMA Portfolio--.08%. In addition,
for the fiscal year ended January 31, 1995, the Short-Term
Mortgage Portfolio paid an advisory fee of .10% of average
daily net assets. Of this advisory fee, .04% of the
Portfolio's total average daily net assets was paid to
Bear Stearns & Co. Inc. and .06% was paid to WMC. The
Government Daily Income Securities and Short Duration
Mortgage Portfolios have not commenced operations as of
January 31, 1995.
DISTRIBUTION ___________________________________________________________________
SEI Financial Services Company (the "Distributor"), a
wholly owned subsidiary of SEI, serves as each Portfolio's
distributor pursuant to a distribution agreement (the
"Distribution Agreement") with the Trust. Each class of
each Portfolio has a separate distribution plan (the
"Class A Plan", "Class B Plan", "Class C Plan" and "Class
D Plan"; collectively, the "Plans") pursuant to Rule 12b-1
under the Investment Company Act of 1940, as amended (the
"1940 Act"). The Trust may also execute brokerage or other
agency transactions through the Distributor for which the
Distributor may receive usual and customary compensation.
The Trust intends to operate the Plans in accordance with
their terms and with the Rules of Fair Practice (the
"Rules") of the (National Association & Securities
Dealers, Inc. ("NASD") concerning sales charges.
The Distribution Agreement and Plan for each class
provide for reimbursement of expenses incurred by the
Distributor in an amount not to exceed .30% of a
Portfolio's average daily net assets on an annualized
basis, provided those expenses are permissible as to both
type and amount under a budget, and the Class B and Class
C Plans provide for additional payments for distribution
and shareholder services, as described below. The budget
must be approved and monitored quarterly by the Trustees,
including those Trustees who are not interested persons
and have no financial interest in the Plan or any related
agreement ("Qualified Trustees").
19
<PAGE>
Distribution related expenses reimbursable to the
Distributor under the budget include those related to the
costs of advertising and sales materials, the costs of
federal and state securities laws registration,
advertising expenses and promotional and sales expenses
including expenses for travel, communication and
compensation and benefits for sales personnel. The Trust
is not obligated to reimburse the Distributor for any
expenditures in excess of the approved budget. Currently,
the budget for each Portfolio (shown here as a percentage
of average daily net assets) is as follows: Corporate
Daily Income--.15%; Government Securities Daily Income--
.06%; Short-Term Mortgage--.13%; Short Duration Mortgage--
.08%; Short-Term Government--.05%; Intermediate-Term
Government--.06%; and GNMA--.06%. For any given Portfolio,
the budget does not vary from class to class. Distribution
expenses not attributable to a specific portfolio of the
Trust are allocated among each of the portfolios of the
Trust based on average net assets.
The Class B and Class C Plans, in addition to
providing for the reimbursement payments described above,
provide for payments to the Distributor at an annual rate
of .30% and .50%, respectively, of each Portfolio's
average daily net assets attributable to Class B and Class
C shares. The Class D Plan also provides for additional
payments to the Distributor of up to .30% of each
Portfolio's average daily net assets attributable to Class
D shares. These additional payments are characterized as
"compensation" and are not directly tied to expenses
incurred by the Distributor; the payments the Distributor
receives during any year may therefore be higher or lower
than its actual expenses. These additional payments may be
used to compensate Class B and Class C shareholders that
provide distribution related services to their customers.
It is possible that an institution may offer different
classes of shares to its customers and thus receive
compensation with respect to different classes. These
financial institutions may also charge separate fees to
their customers. Certain financial institutions offering
shares to their customers may be required to register as
dealers pursuant to state laws.
The Distributor may, from time to time in its sole
discretion, institute one or more promotional incentive
programs, which will be paid by the Distributor from the
sales charge it receives or from any other source
available to it. Under any such program, the Distributor
will provide promotional incentives, in the form of cash
or other compensation, including merchandise, airline
vouchers, trips and vacation packages, to all dealers
selling shares of the Portfolios. Such promotional
incentives will be offered uniformly to all dealers and
predicated upon the amount of shares of the Portfolios
sold by the dealer.
20
<PAGE>
PURCHASE AND
REDEMPTION OF
SHARES _________________________________________________________________________
Financial institutions may acquire shares of the
Portfolios for their own account or as a record owner on
behalf of fiduciary, agency or custody accounts by placing
orders with the Transfer Agent. Institutions that use
certain SEI proprietary systems may place orders
electronically through those systems. State securities
laws may require banks and financial institutions
purchasing shares for their customers to register as
dealers pursuant to state laws. Financial institutions may
impose an earlier cut-off time for receipt of purchase
orders directed through them to allow for processing and
transmittal of these orders to the Transfer Agent for
effectiveness the same day. Financial institutions which
purchase shares for the accounts of their customers may
impose separate charges on these customers for account
services. Shares of each Portfolio are offered only to
residents of states in which the shares are eligible for
purchase.
Shares of each Portfolio may be purchased or redeemed
on days on which the New York Stock Exchange is open for
business ("Business Days").
Shareholders who desire to purchase shares with cash
must place their orders with the Transfer Agent prior to
4:00 p.m. Eastern time on any Business Day for the order
to be accepted on that Business Day. Cash investments must
be transmitted or delivered in federal funds to the wire
agent on the next Business Day following the day the order
is placed. The Trust reserves the right to reject a
purchase order when the Distributor determines that it is
not in the best interest of the Trust or shareholders to
accept such purchase order.
Shares of the GNMA Portfolio may be purchased in
exchange for securities that are permissible investments
of that Portfolio, subject to the Adviser's and Manager's
determination that the securities are acceptable.
Securities accepted in exchange will be valued at the mean
between their bid and asked quotations.
Purchases will be made in full and fractional shares
of a Portfolio calculated to three decimal places. The
Trust will send shareholders a statement of shares owned
after each transaction. The purchase price of shares is
the net asset value next determined after a purchase order
is received and accepted by the Trust plus, in the case of
the Class D shares of the Portfolios, the applicable sales
load. The net asset value per share of each Portfolio is
determined by dividing the total market value of a
Portfolio's investments and other assets, less any
liabilities, by the total outstanding shares of that
Portfolio. Securities having maturities of 60 days or less
at the time of purchase will be valued using the amortized
cost method (described in the Statement of Additional
Information), which approximates the securities' market
value. Net asset value per share is determined daily as of
4:00 p.m. Eastern time on each Business Day. The market
value of each security is obtained by the Manager from an
independent pricing service. The pricing service may use a
matrix system to determine valuations of equity and fixed
income securities. The pricing
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service may also provide market quotations. Portfolio
securities for which market quotations are available are
valued at the last quoted sale price on each Business Day
or, if there is no such reported sale, at the most
recently quoted bid price. Although the methodology and
procedures are identical, the net asset value of classes
within a Portfolio may differ because of the different
Rule 12b-1 fees charged to each class.
Shareholders who desire to redeem shares of a
Portfolio must place their redemption orders with the
Transfer Agent prior to 4:00 p.m. Eastern time on any
Business Day. The redemption price is the net asset value
per share of the Portfolio next determined after receipt
by the Transfer Agent of the redemption order. Payment on
redemption will be made as promptly as possible and, in
any event, within seven days after the redemption order is
received.
Purchase and redemption orders may be placed by
telephone. Neither the Trust nor the Trust's Transfer
Agent will be responsible for any loss, liability, cost or
expense for acting upon wire instructions or upon
telephone instructions that it reasonably believes to be
genuine. The Trust and the Trust's transfer agent will
each employ reasonable procedures to confirm that
instructions communicated by telephone are genuine,
including requiring a form of personal identification
prior to acting upon instructions received by telephone
and recording telephone instructions.
If market conditions are extraordinarily active, or
other extraordinary circumstances exist, and you
experience difficulties placing redemption orders by
telephone, you may wish to consider placing your order by
other means.
PERFORMANCE ____________________________________________________________________
For any Portfolio, the performance on Class A shares will
normally be higher than that on Class B shares of each
Portfolio because of the additional distribution expenses
charged Class B shares. Likewise, the performance on Class
B shares will normally be higher than on Class D shares of
a Portfolio because of the sales load and additional
distribution expenses and transfer agent fees charged to
Class D shares. The performance on Class C shares of a
Portfolio may be lower than the performance on that
Portfolio's Class D shares because of the additional
distribution expenses charged to Class C shares.
From time to time, each Portfolio may advertise yield
and total return. These figures are based on historical
earnings and are not intended to indicate future
performance. No representation can be made concerning
actual future yields or returns. The yield of a Portfolio
refers to the income generated by a hypothetical
investment, net of any sales charge imposed in the case of
some of the Class D shares, in such Portfolio over a
thirty-day period. This income is then "annualized," i.e.
the income over thirty days is assumed to be generated
over one year and is shown as a percentage of the
investment.
The total return of a Portfolio refers to the average
compounded rate of return on a hypothetical investment for
designated time periods, assuming that the entire
investment
22
<PAGE>
is redeemed at the end of each period and assuming the
reinvestment of all dividend and capital gain
distributions.
A Portfolio may periodically compare its performance
to that of other mutual funds tracked by mutual fund
rating services (such as Lipper Analytical) or financial
and business publications and periodicals, broad groups of
comparable mutual funds, unmanaged indices which may
assume investment of dividends but generally do not
reflect deductions for administrative and management costs
or to other investment alternatives. A Portfolio may quote
Morningstar, Inc., a service that ranks mutual funds on
the basis of risk-adjusted performance. A Portfolio may
use long-term performance of these capital markets to
demonstrate general long-term risk versus reward scenarios
and could include the value of a hypothetical investment
in any of the capital markets. A Portfolio may also quote
financial and business publications and periodicals as
they relate to fund management, investment philosophy and
investment techniques.
A Portfolio may quote various measures of volatility
and benchmark correlation in advertising and may compare
these measures to those of other funds. Measures of
volatility attempt to compare historical share price
fluctuations or total returns to a benchmark while
measures of benchmark correlation indicate how valid a
comparative benchmark might be. Measures of volatility and
correlation are calculated using averages of historical
data and cannot be calculated precisely.
TAXES __________________________________________________________________________
The following summary of federal income tax consequences
is based on current tax laws and regulations, which may be
changed by legislative, judicial or administrative action.
No attempt has been made to present a detailed explanation
of the federal, state or local income tax treatment of the
Portfolios or their shareholders. Accordingly,
shareholders are urged to consult their tax advisers
regarding specific questions as to federal, state and
local income taxes. State and local tax consequences of an
investment in a Portfolio may differ from the federal
income tax consequences described below. Additional
information concerning taxes is set forth in the Statement
of Additional information.
Tax Status of the Each Portfolio is treated as a separate entity for federal
Portfolios income tax purposes and is not combined with the Trust's
other portfolios. Each Portfolio intends to continue to
qualify for the special tax treatment afforded regulated
investment companies ("RICs") under Subchapter M of the
Internal Revenue Code of 1986, as amended, (the "Code") so
as to be relieved of federal income tax on net investment
company taxable income and net capital gains (the excess
of net long-term capital gains over net short-term capital
losses) distributed to shareholders.
Tax Status of Each Portfolio distributes substantially all of its net
Distributions investment income (including net short-term capital gains)
to shareholders. Dividends from a Portfolio's net
investment income are taxable to its shareholders as
ordinary income (whether received in cash or in additional
23
<PAGE>
shares) and will not qualify for the corporate dividends-
received deduction. Distributions of net capital gains are
taxable to shareholders as long-term capital gains. The
Portfolios provide annual reports to shareholders of the
federal income tax status of all distributions.
Each Portfolio intends to make sufficient
distributions to avoid liability for the federal excise
tax.
Dividends declared by a Portfolio in October, November
or December of any year and payable to shareholders of
record on a date in such a month will be deemed to have
been paid by the Portfolio and received by the
shareholders on December 31 of the year declared if paid
by the Portfolio at any time during the following January.
Income received on direct U.S. Government obligations
is exempt from tax at the state level when received
directly and may be exempt, depending on the state, when
received by a shareholder from a Portfolio provided
certain conditions are satisfied. Each Portfolio will
inform shareholders annually of the percentage of income
and distributions derived from direct U.S. Government
obligations. Shareholders should consult their tax
advisers to determine whether any portion of the income
dividends received from a Portfolio is considered tax
exempt in their particular states.
With respect to investments such as STRIPS, which are
sold at original issue discount and thus do not make
periodic cash interest payments, each Portfolio will be
required to include as part of its current income the
accreted interest on such obligations even though such
Portfolio has not received any interest payments on such
obligations during that period. Because each Portfolio
distributes all of its net investment income to its
shareholders, a Portfolio may have to sell portfolio
securities to distribute such imputed income, which may
occur at a time when the Adviser would not have chosen to
sell such securities and, which may result in a taxable
gain or loss.
Sale, exchange, or redemption of Portfolio shares is a
taxable transaction to the shareholder.
GENERAL INFORMATION ____________________________________________________________
The Trust The Trust was organized as a Massachusetts business trust
under a Declaration of Trust dated March 15, 1982. The
Declaration of Trust permits the Trust to offer separate
portfolios of shares and different classes of each
portfolio. In addition to the Portfolios, the Trust
consists of the following portfolios: Money Market
Portfolio, Prime Obligation Portfolio, Government
Portfolio, Government II Portfolio, Treasury Portfolio,
Treasury II Portfolio and Federal Securities Portfolio.
All consideration received by the Trust for shares of any
portfolio and all assets of such portfolio belong to that
portfolio and would be subject to liabilities related
thereto.
The Trust pays its expenses, including fees of its
service providers, audit and legal expenses, expenses of
preparing prospectuses, proxy solicitation materials and
reports to shareholders, costs of custodial services and
registering the shares under state and federal
24
<PAGE>
securities laws, pricing, insurance expenses, litigation
and other extraordinary expenses, brokerage costs,
interest charges, taxes and organization expenses.
Trustees of the The management and affairs of the Trust are supervised by
Trust the Trustees under the laws of The Commonwealth of
Massachusetts. The Trustees have approved contracts under
which, as described above, certain companies provide
essential management services to the Trust.
Voting Rights Each share held entitles the shareholder of record to one
vote. The shareholders of each Portfolio or class will
vote separately on matters relating solely to that
Portfolio or class. As a Massachusetts business trust, the
Trust is not required to hold annual meetings of
shareholders but approval will be sought for certain
changes in the operation of the Trust and for the election
of Trustees under certain circumstances. In addition, a
Trustee may be removed by the remaining Trustees or by
shareholders at a special meeting called upon written
request of shareholders owning at least 10% of the
outstanding shares of the Trust. In the event that such a
meeting is requested the Trust will provide appropriate
assistance and information to the shareholders requesting
the meeting.
Reporting The Trust issues unaudited financial information semi-
annually and audited financial statements annually. The
Trust furnishes proxy statements and other reports to
shareholders of record.
Shareholder Shareholder inquiries should be directed to the Manager,
Inquiries SEI Financial Management Corporation, 680 E. Swedesford
Road, Wayne, PA 19087.
Dividends Substantially all of the net investment income (exclusive
of capital gains) of each Portfolio is distributed in the
form of monthly dividends. Dividends are determined and
declared on each Business Day as a dividend for
shareholders of record as of the close of business on that
day. Dividends are paid by the Portfolios in federal funds
or in additional shares at the discretion of the
shareholder on the first Business Day of each month. The
dividends on Class A shares are normally higher than those
on Class B shares of each Portfolio because of the
additional distribution expenses charged to Class B
shares. Likewise, the dividends on Class B shares are
normally higher than those on Class D shares of a
Portfolio because of the additional distribution expenses
charged to Class D shares, and the dividends on Class D
shares are normally higher than those on Class C shares of
each Portfolio because of the additional distribution
expenses charged to Class C shares.
Counsel and Morgan, Lewis & Bockius serves as counsel to the Trust.
Independent Arthur Andersen LLP serves as the independent public
Accountants accountants of the Trust.
Custodian and CoreStates Bank, N.A., Broad and Chestnut Streets, P.O.
Wire Agent Box 7618, Philadelphia, PA 19101 (the "Custodian"), acts
as custodian and wire agent of the assets of the
Portfolios. The Custodian holds cash, securities and other
assets of the Trust as required by the 1940 Act.
25
<PAGE>
DESCRIPTION
OF PERMITTED
INVESTMENTS
AND RISK FACTORS _______________________________________________________________
The following is a description of the permitted investment
practices for the Portfolios, and the associated risk
factors:
Commercial Paper Commercial paper is a term used to describe unsecured
short-term promissory notes issued by banks,
municipalities, corporations and other entities.
Maturities on these issues vary from a few to 270 days.
Dollar Roll Dollar rolls are transactions in which securities are sold
Transactions for delivery in the current month and the seller
simultaneously contracts to repurchase substantially
similar securities on a specified future date. Any
difference between the sale price and the purchase price
is netted against the interest income foregone on the
securities sold to arrive at an implied borrowing rate.
Alternatively, the sale and purchase transactions can be
executed at the same price, with a Portfolio being paid a
fee as consideration for entering into the commitment to
purchase. Dollar rolls may be renewed prior to cash
settlement and initially may involve only a firm
commitment agreement by a Portfolio to buy a security. If
the broker-dealer to whom a Portfolio sells the security
becomes insolvent, a Portfolio's right to repurchase the
security may be restricted. Other risks involved in
entering into dollar rolls include the risk that the value
of the security may change adversely over the term of the
dollar roll and that the security a Portfolio is required
to repurchase may be worth less than the security the
Portfolio originally held.
Fixed Income Fixed income securities are debt obligations issued by
Securities corporations, municipalities and other borrowers. The
market value of fixed income investments will generally
change in response to interest rate changes and other
factors. During periods of falling interest rates, the
values of outstanding fixed income securities generally
rise. Conversely, during periods of rising interest rates,
the values of such securities generally decline. Moreover,
while securities with longer maturities tend to produce
higher yields, the prices of longer maturity securities
are also subject to greater market fluctuations as a
result of changes in interest rates. Changes by recognized
agencies in the rating of any fixed income security and in
the ability of an issuer to make payments of interest and
principal will also affect the value of these investments.
Changes in the value of portfolio securities will not
affect cash income derived from these securities but will
affect a Portfolio's net asset value.
Illiquid Illiquid securities are securities which cannot be
Securities disposed of within seven business days at approximately
the price at which they are being carried on a Portfolio's
books. An illiquid security includes a demand instrument
with a demand notice period exceeding seven days, when
there is no secondary market for such security, and
repurchase agreements with maturities over seven days in
length.
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<PAGE>
Mortgage-Backed Mortgage-backed securities are instruments that entitle
Securities the holder to a share of all interest and principal
payments from mortgages underlying the security. The
mortgages backing these securities include conventional
thirty-year fixed-rate mortgages, graduated payment
mortgages, and adjustable rate mortgages. During periods
of declining interest rates, prepayment of mortgages
underlying mortgage-backed securities can be expected to
accelerate. Prepayment of mortgages which underlie
securities purchased at a premium often results in capital
losses, while prepayment of mortgages purchased at a
discount often results in capital gains. Because of these
unpredictable prepayment characteristics, it is often not
possible to predict accurately the average life or
realized yield of a particular issue.
Government Pass-Through Securities: These are
securities that are issued or guaranteed by a U.S.
Government agency representing an interest in a pool of
mortgage loans. The primary issuers or guarantors of these
mortgage-backed securities are GNMA, FNMA and FHLMC. FNMA
and FHLMC obligations are not backed by the full faith and
credit of the U.S. Government as GNMA certificates are,
but FNMA and FHLMC securities are supported by the
instrumentalities' right to borrow from the U.S. Treasury.
GNMA, FNMA and FHLMC each guarantees timely distributions
of interest to certificate holders. GNMA and FNMA also
each guarantees timely distributions of scheduled
principal. FHLMC has in the past guaranteed only the
ultimate collection of principal of the underlying
mortgage loan; however, FHLMC now issues mortgage-backed
securities (FHLMC Gold PCs) which also guarantee timely
payment of monthly principal reductions. Government and
private guarantees do not extend to the securities' value,
which is likely to vary inversely with fluctuations in
interest rates.
Private Pass-Through Securities: These are mortgage-
backed securities issued by a non-governmental entity,
such as a trust. These securities include collateralized
mortgage obligations ("CMOs") and real estate mortgage
investments conduits ("REMICs") that are rated in one of
the top two rating categories. While they are generally
structured with one or more types of credit enhancement,
private pass-through securities typically lack a guarantee
by an entity having the credit status of a governmental
agency or instrumentality.
Collateralized Mortgage Obligations ("CMOs"): CMOs are
debt obligations or multiclass pass-through certificates
issued by agencies or instrumentalities of the U.S.
Government or by private originators or investors in
mortgage loans. In a CMO, series of bonds or certificates
are usually issued in multiple classes. Principal and
interest paid on the underlying mortgage assets may be
allocated among the several classes of a series of a CMO
in a variety of ways. Each class of a CMO, often referred
to as a "tranche," is issued with a specific fixed or
floating coupon rate and has a stated maturity or final
distribution date. Principal payments on the underlying
mortgage assets may cause CMOs to be retired substantially
earlier than their stated maturities or final distribution
dates, resulting in a loss of all or part of any premium
paid.
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<PAGE>
REMICs: A REMIC is a CMO that qualifies for special
tax treatment under the Internal Revenue Code and invests
in certain mortgages principally secured by interests in
real property. Investors may purchase beneficial interests
in REMICs, which are known as "regular" interests, or
"residual" interests. Guaranteed REMIC pass-through
certificates ("REMIC Certificates") issued by FNMA or
FHLMC represent beneficial ownership interests in a REMIC
trust consisting principally of mortgage loans or FNMA,
FHLMC or GNMA-guaranteed mortgage pass-through
certificates. For FHLMC REMIC Certificates, FHLMC
guarantees the timely payment of interest, and also
guarantees the payment of principal as payments are
required to be made on the underlying mortgage
participation certificates. FNMA REMIC Certificates are
issued and guaranteed as to timely distribution of
principal and interest by FNMA.
Parallel Pay Securities: PAC Bonds: Parallel pay CMOs
and REMICs are structured to provide payments of principal
on each payment date to more than one class. These
simultaneous payments are taken into account in
calculating the stated maturity date or final distribution
date of each class, which must be retired by its stated
maturity date or final distribution date, but may be
retired earlier. Planned Amortization Class CMOs ("PAC
Bonds") generally require payments of a specified amount
of principal on each payment date. PAC Bonds are always
parallel pay CMOs with the required principal payment on
such securities having the highest priority after interest
has been paid to all classes.
REITs: REITs are trusts that invest primarily in
commercial real estate or real estate-related loans. The
value of interests in REITs may be affected by the value
of the property owned or the quality of the mortgages held
by the trust.
Stripped Mortgage-Backed Securities ("SMBs"): SMBs are
usually structured with two classes that receive specified
proportions of the monthly interest and principal payments
from a pool of mortgage securities. One class may receive
all of the interest payments and is thus termed an
interest-only class ("IO"), while the other class may
receive all of the principal payments and is thus termed
the principal-only class ("PO"). The value of IOs tends to
increase as rates rise and decrease as rates fall; the
opposite is true of POs. SMBs are extremely sensitive to
changes in interest rates because of the impact thereon of
prepayment of principal on the underlying mortgage
securities can experience wide swings in value in response
to changes in interest rates and associated mortgage
prepayment rates. During times when interest rates are
experiencing fluctuations, such securities can be
difficult to price on a consistent basis. The market for
SMBs is not as fully developed as other markets; SMBs
therefore may be illiquid.
Risk Factors: Due to the possibility of prepayments of
the underlying mortgage instruments, mortgage-backed
securities generally do not have a known maturity. In the
absence of a known maturity, market participants generally
refer to an estimated average life. An average life
estimate is a function of an assumption regarding
anticipated prepayment patterns, based upon current
interest rates, current conditions in the relevant housing
markets and other factors. The assumption is necessarily
subjective, and thus
28
<PAGE>
different market participants can produce different
average life estimates with regard to the same security.
There can be no assurance that estimated average life will
be a security's actual average life.
Repurchase Repurchase agreements are agreements by which a Portfolio
Agreements obtains a security and simultaneously commits to return
the security to the seller at an agreed upon price on an
agreed upon date within a number of days from the date of
purchase. The Custodian will hold the security as
collateral for the repurchase agreement. A Portfolio bears
a risk of loss in the event the other party defaults on
its obligations and the Portfolio is delayed or prevented
from exercising its rights to dispose of the collateral
securities or if the Portfolio realizes a loss on the sale
of the collateral. A Portfolio will enter into repurchase
agreements only with financial institutions deemed to
present minimal risk of bankruptcy during the term of the
agreement based on established guidelines. Repurchase
agreements are considered loans under the 1940 Act.
U.S. Government Obligations issued or guaranteed by agencies of the U.S.
Agencies Government, including, among others, the Federal Farm
Credit Bank, the Federal Housing Administration and the
Small Business Administration, and obligations issued or
guaranteed by instrumentalities of the U.S. Government,
including, among others, the Federal Home Loan Mortgage
Corporation, the Federal Land Banks and the U.S. Postal
Service. Some of these securities are supported by the
full faith and credit of the U.S. Treasury (e.g.,
Government National Mortgage Association), others are
supported by the right of the issuer to borrow from the
Treasury (e.g., Federal Farm Credit Bank), while still
others are supported only by the credit of the
instrumentality (e.g., Federal National Mortgage
Association). Guarantees of principal by agencies or
instrumentalities of the U.S. Government may be a
guarantee of payment at the maturity of the obligation so
that in the event of a default prior to maturity there
might not be a market and thus no means of realizing on
the obligation prior to maturity. Guarantees as to the
timely payment of principal and interest do not extend to
the value or yield of these securities nor to the value of
the Portfolio's shares.
U.S. Treasury U.S. treasury obligations consist of bills, notes and
Obligations bonds issued by the U.S. Treasury and separately traded
interest and principal component parts of such obligations
that are transferable through the Federal book-entry
system known as Separately Traded Registered Interest and
Principal Securities ("STRIPS").
STRIPS STRIPS are sold as zero coupon securities which means that
they are sold at a substantial discount and redeemed at
face value at their maturity date without interim cash
payments of interest or principal. This discount is
accreted over the life of the security, and such accretion
will constitute the income earned on the security for both
accounting and tax purposes. Because of these features,
such securities may be subject to greater interest rate
volatility than interest paying fixed income securities.
See also "Taxes."
29
<PAGE>
When-Issued and When-issued or delayed delivery basis transactions involve
Delayed Delivery the purchase of an instrument with payment and delivery
Securities taking place in the future. Delivery of and payment for
including TBA these securities may occur a month or more after the date
Mortgage-Backed of the purchase commitment. A Portfolio will maintain with
Securities the Custodian a separate account with liquid high grade
debt securities or cash in an amount at least equal to
these commitments. The interest rate realized on these
securities is fixed as of the purchase date and no
interest accrues to a Portfolio before settlement. These
securities are subject to market fluctuation due to
changes in market interest rates and it is possible that
the market value at the time of settlement could be higher
or lower than the purchase price if the general level of
interest rates has changed. Although a Portfolio generally
purchases securities on a when-issued or forward
commitment basis with the intention of actually acquiring
securities, a Portfolio may dispose of a when-issued
security or forward commitment prior to settlement if it
deems appropriate.
One form of when-issued or delayed-delivery security
that a Portfolio may purchase is a "to be announced"
("TBA") mortgage-backed security. A TBA mortgage-backed
security transaction arises when a mortgage-backed
security, such as a GNMA pass-through security, is
purchased or sold with the specific pools that will
constitute that GNMA pass-through security to be announced
on a future settlement date.
30
<PAGE>
TABLE OF CONTENTS
- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
Expense Summary................... 2
Financial Highlights.............. 5
The Trust......................... 13
Investment Objectives and
Policies.......................... 13
General Investment Policies....... 16
Investment Limitations............ 16
The Manager and Shareholder
Servicing Agent................... 17
</TABLE>
<TABLE>
<S> <C>
The Adviser....................... 18
Distribution...................... 19
Purchase and Redemption of Shares. 21
Performance....................... 22
Taxes............................. 23
General Information............... 24
Description of Permitted
Investments and Risk Factors...... 26
</TABLE>
31
<PAGE>
PROSPECTUS
MAY 31, 1995
- --------------------------------------------------------------------------------
CORPORATE DAILY INCOME PORTFOLIO
SHORT-TERM GOVERNMENT PORTFOLIO
INTERMEDIATE-TERM GOVERNMENT PORTFOLIO
GNMA PORTFOLIO
- --------------------------------------------------------------------------------
Please read this Prospectus carefully before investing, and keep it on file for
future reference. It contains information that can help you decide if a
Portfolio's investment goals match your own.
A Statement of Additional Information dated May 31, 1995 has been filed with
the Securities and Exchange Commission and is available without charge through
the Distributor, SEI Financial Services Company, 680 East Swedesford Road,
Wayne, PA 19087 or by calling 1-800-437-6016. The Statement of Additional
Information is incorporated into this Prospectus by reference.
SEI Daily Income Trust (the "Trust") is a mutual fund that offers a convenient
means of investing in one or more professionally managed diversified portfolios
of securities. Class D shares differ from other classes of the Trust primarily
in the imposition of sales charges and the allocation of certain distribution
expenses and transfer agent fees. Class D shares are available through SEI
Financial Services Company (the Trust's distributor) and through participating
broker-dealers, financial institutions and other organizations. This Prospectus
offers Class D shares of the four fixed income portfolios (the "Portfolios,"
and each of these, a "Portfolio") listed above.
- --------------------------------------------------------------------------------
THESE SECURITIES HAVE NOT BEEN APPROVED OR DISAPPROVED BY THE SECURITIES AND
EXCHANGE COMMISSION OR ANY STATE SECURITIES COMMISSION, NOR HAS THE SECURITIES
AND EXCHANGE COMMISSION OR ANY STATE SECURITIES COMMISSION PASSED UPON THE
ACCURACY OR ADEQUACY OF THIS PROSPECTUS. ANY REPRESENTATION TO THE CONTRARY IS
A CRIMINAL OFFENSE.
THE TRUST'S SHARES ARE NOT DEPOSITS OR OBLIGATIONS OF, OR GUARANTEED OR
ENDORSED BY, ANY BANK. THE TRUST'S SHARES ARE NOT FEDERALLY INSURED BY THE
FEDERAL DEPOSIT INSURANCE CORPORATION, THE FEDERAL RESERVE BOARD OR ANY
OTHER GOVERNMENT AGENCY. INVESTMENT IN THE SHARES INVOLVES RISK, INCLUDING
POSSIBLE LOSS OF THE PRINCIPAL AMOUNT INVESTED.
<PAGE>
HOW TO READ THIS PROSPECTUS ____________________________________________________
This Prospectus gives you information that you should know about the Portfolios
before investing. Brief descriptions are also provided throughout the
prospectus to better explain certain key points. To find these helpful guides,
look for this symbol. (SYMBOL APPEARS HERE)
PORTFOLIO HIGHLIGHTS ___________________________________________________________
The following summary provides basic information about the Class D shares of
the Trust's Corporate Daily Income Portfolio, Short-Term Government Portfolio,
Intermediate-Term Government Portfolio and GNMA Portfolio. This summary is
qualified in its entirety by reference to the more detailed information
provided elsewhere in this Prospectus and in the Statement of Additional
Information.
INVESTMENT The Corporate Daily Income, Short-Term Government, Intermedi-
OBJECTIVES AND ate-Term Government and GNMA Portfolios seek to preserve
POLICIES principal value and maintain a high degree of liquidity while
providing current income by investing in U.S. Treasury obli-
gations, U.S. Government agency obligations and repurchase
agreements involving any of these obligations. See "In-
vestment Objectives and Policies" and "Description of
Permitted Investments and Risk Factors."
UNDERSTANDING Shares of each Portfolio, like shares of any mutual fund, will
RISK fluctuate in value and when you sell your shares, they may be
worth more or less than what you paid for them. The value of
fixed income funds and the fixed income securities in which
they invest tend to vary inversely with interest rates and may
be affected by other market and economic factors. In addition,
there is no assurance that any Portfolio will achieve its
investment objective. See "Investment Objectives and Policies"
and "Description of Permitted Investments and Risk Factors."
MANAGEMENT Wellington Management Company (the "Adviser") serves as the
PROFILE investment adviser of the Portfolios. The Adviser is a
professional investment counseling firm which has been
providing investment advisory services to mutual funds since
1933. SEI Financial Management Corporation serves as the
manager and shareholder servicing agent of the Trust (the
"Manager"). DST Systems, Inc. ("DST") serves as transfer agent
(the "Transfer Agent") and dividend disbursing agent for the
Class D shares of the Trust. SEI Financial Services Company
acts as distributor (the "Distributor") of the Trust's shares.
See "The Manager and Shareholder Servicing Agent,"
"Distribution" and "The Adviser."
................................................................................
TABLE OF
CONTENTS
<TABLE>
<S> <C>
Portfolio Highlights............ 2
Portfolio Expenses.............. 4
Financial Highlights............ 5
Your Account and Doing Business
with Us........................ 6
Investment Objectives and
Policies....................... 9
General Investment Policies..... 11
Investment Limitations.......... 12
The Manager and Transfer
Agent.......................... 12
The Adviser..................... 13
Distribution.................... 14
Performance..................... 15
Taxes........................... 16
Additional Information About
Doing Business With Us......... 18
General Information............. 22
Description of Permitted
Investments and Risk Factors... 24
</TABLE>
................................................................................
2
<PAGE>
YOUR ACCOUNT You may open an account with just $1,000 and make additional
AND DOING investments with as little as $100. Class D shares of a
BUSINESS WITH Portfolio are offered at net asset value per share plus a
US maximum sales charge at the time of purchase of 3.50% for the
Corporate Daily Income Portfolio; 3.50% for the Short-Term
Government and Intermediate-Term Government Portfolios and
4.50% for the GNMA Portfolio. Shareholders who purchase
larger amounts may qualify for a reduced sales charge.
Redemptions of a Portfolio's shares are made at net asset
value per share. See "Purchase of Shares" and "Redemption of
Shares."
DIVIDENDS Substantially all of the net investment income (exclusive of
capital gains) of each Portfolio is distributed in the form of
dividends that will be declared daily and paid monthly on the
first Business Day of each month. Any realized net capital
gain is distributed at least annually. Distributions are paid
in additional shares unless the shareholder elects to take the
payment in cash. See "Dividends."
INFORMATION/ For more information about Class D shares of the Portfolios
SERVICE call 1-800-437-6016.
CONTACTS
...............................................................................
(SYMBOL INVESTMENT
APPEARS PHILOSOPHY
HERE)
Believing that no single investment adviser can deliver outstanding perfor-
mance in every investment category, only those advisers who have distin-
guished themselves within their areas of specialization are selected to
advise our mutual funds.
................................................................................
3
<PAGE>
PORTFOLIO EXPENSES _____________________________________________________________
The purpose of the following table is to help you understand the various costs
and expenses that you, as a shareholder, will bear directly or indirectly in
connection with an investment in the Class D shares of a Portfolio.
SHAREHOLDER TRANSACTION EXPENSES (as a percentage of offering price)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
CORPORATE SHORT-TERM INTERMEDIATE-TERM
DAILY INCOME GOVERNMENT GOVERNMENT GNMA
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
------------ ---------- ----------------- ---------
<S> <C> <C> <C> <C>
Maximum Sales Charge Im-
posed on Purchases 3.50% 3.50% 3.50% 4.50%
Maximum Sales Charge Im-
posed on Reinvested Divi-
dends none none none none
Redemption Fees (1) none none none none
ANNUAL OPERATING EXPENSES (as a percentage of average net assets)
- -------------------------------------------------------------------------------
Management/Advisory Fees
(after fee waiver) (2) .24% .37% .37% .40%
12b-1 Fees (4) .31% .30% .30% .30%
Other Expenses .20% .18% .18% .19%
- -------------------------------------------------------------------------------
Total Operating Expenses
(after fee waiver) (3) (5) .75% .85% .85% .89%
- -------------------------------------------------------------------------------
</TABLE>
(1) A charge, currently $10.00, is imposed on wires of redemption proceeds of a
Portfolio's Class D shares.
(2) The Manager has waived, on a voluntary basis, a portion of its fee, and the
management/advisory fees shown reflect this voluntary waiver. The Manager
reserves the right to terminate its waiver at any time in its sole
discretion. Absent such waiver, the management/advisory fees would be .45%
for the Corporate Daily Portfolio; .44% for the Short-Term Government and
Intermediate-Term Government Portfolios and .41% for the GNMA Portfolio.
(3) Total operating expenses for the GNMA Portfolio have been restated to
reflect a reduction in the fee waivers.
(4) The 12b-1 fees shown reflect both the current 12b-1 budget for
reimbursement of expenses and the Distributor's voluntary waiver of a
portion of its compensatory fee. The Distributor reserves the right to
terminate its waiver at any time in its sole discretion. The maximum 12b-1
fees payable by the Class D shares for each Portfolio are .60%.
(5) Absent the voluntary fee waivers described above, total operating expenses
for Class D shares of the Corporate Daily Income Portfolio would be .96%,
.92% for the Short-Term Government and Intermediate-Term Government
Portfolios and .90% for the GNMA Portfolio.
EXAMPLE
<TABLE>
- ------------------------------------------------------------------------------
<CAPTION>
1 YR. 3 YRS. 5 YRS. 10 YRS.
------ ------ ------ -------
<S> <C> <C> <C> <C>
An investor in the Portfolio would pay the
following expenses on a $1,000 investment
assuming (1) imposition of the maximum sales
load, (2) 5% annual return and (3) redemption at
the end of each time period:
Corporate Daily Income Portfolio $42.00 $58.00 $75.00 $125.00
Short-Term Government Portfolio $43.00 $61.00 $80.00 $136.00
Intermediate-Term Government Portfolio $43.00 $61.00 $80.00 $136.00
GNMA Portfolio $54.00 $72.00 $92.00 $150.00
- ------------------------------------------------------------------------------
</TABLE>
THE EXAMPLE SHOULD NOT BE CONSIDERED A REPRESENTATION OF PAST OR FUTURE
EXPENSES. ACTUAL EXPENSES MAY BE GREATER OR LESS THAN THOSE SHOWN.
The purpose of the expense table and example is to assist the investor in
understanding the various costs and expenses that may be directly or indirectly
borne by investors in Class D shares of each Portfolio. A person who purchases
shares through a financial institution may be charged separate fees by that
institution. The information set forth in the foregoing table and example
relates only to the Class D shares. Each Portfolio also offers Class A, Class B
and Class C shares, which are subject to the same expenses, except that there
are no sales charges, different distribution costs and no transfer agent costs.
Additional information may be found under "The Manager and Shareholder
Servicing Agent," "Distribution" and "The Adviser."
The rules of the Securities and Exchange Commission require that the maximum
sales charge be reflected in the above table. However, certain investors may
qualify for reduced sales charges. See "Purchase of Shares."
Long-term shareholders may pay more than the economic equivalent of the maximum
front-end sales charges otherwise permitted by the Rules of Fair Practice (the
"Rules") of the National Association of Securities Dealers, Inc. ("NASD").
4
<PAGE>
FINANCIAL HIGHLIGHTS ___________________________________________________________
The following information has been audited by Arthur Andersen LLP, the Trust's
independent public accountants, as indicated in their report dated March 8,
1995 on the Trust's financial statements as of January 31, 1995 included in the
Trust's Statement of Additional Information under "Financial Information."
Additional performance information is set forth in the 1995 Annual Report to
shareholders and is available upon request and without charge by calling 1-800-
437-6016. Class D shares of the Corporate Daily Income and Short-Term
Government Portfolios were not offered as of the most recent fiscal year end.
This table should be read in conjunction with the Trust's financial statements
and notes thereto.
FOR A CLASS D SHARE OUTSTANDING THROUGHOUT THE PERIOD
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Intermediate-Term
Government GNMA
Portfolio Portfolio
--------------------- --------------------
9/26/93 9/30/93
to to
1995 (3) 1/31/94 (2) 1995 1/31/94 (1)
- -------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Net Asset Value, Beginning of
Period $10.13 $10.44 $10.09 $10.22
- -------------------------------------------------------------------------------
Income from Investment Operations:
Net Investment Income 0.47 0.17 0.61 0.19
Net Realized and Unrealized Gains
(Losses) on Securities (0.74) (0.10) (0.93) (0.04)
- -------------------------------------------------------------------------------
Total from Investment Operations $(0.27) $0.07 $(0.32) $0.15
- -------------------------------------------------------------------------------
Less Distributions:
Dividends from Net Investment
Income (0.47) (0.17) (0.61) (0.19)
Distributions from Realized
Capital Gains (0.07) (0.21) -- (0.09)
- -------------------------------------------------------------------------------
Total Distributions $(0.54) $(0.38) $(0.61) $(0.28)
- -------------------------------------------------------------------------------
Net Asset Value, End of Period $9.32 $10.13 $9.16 $10.09
- -------------------------------------------------------------------------------
- -------------------------------------------------------------------------------
Total Return (3) (2.61)% 1.52% (3.04)% 4.24%
- -------------------------------------------------------------------------------
- -------------------------------------------------------------------------------
Ratios/Supplemental Data:
Net Assets End of Period (000) $99 $107 $169 $133
Ratio of Expenses to Average Net
Assets 0.84% 0.75% 0.86% 0.75%
Ratio of Expenses to Average Net
Assets (excluding waivers) 0.92% 0.83% 0.89% 0.80%
Ratio of Net Investment Income to
Average Net Assets 4.80% 4.94% 6.54% 6.06%
Ratio of Net Investment Income to
Average Net Assets (excluding
waivers) 4.72% 4.86% 6.51% 6.01%
Portfolio Turnover Rate 61% 56% 85% 70%
- -------------------------------------------------------------------------------
- -------------------------------------------------------------------------------
</TABLE>
(1) Class D of the GNMA Portfolio commenced operations on September 30, 1993.
All ratios including total return for that period have been annualized.
(2) Class D of the Intermediate-Term Government Portfolio commenced operations
on September 26, 1993. All ratios including total return for that period
have been annualized.
(3) Total return does not reflect the sales charge on Class D shares.
5
<PAGE>
YOUR ACCOUNT AND DOING BUSINESS
WITH US ________________________________________________________________________
Class D shares of the Portfolios are sold on a continuous basis and may be
purchased directly from the Trust's Distributor, SEI Financial Services
Company. Shares may also be purchased through financial institutions, broker-
dealers, or other organizations which have established a dealer agreement or
other arrangement with SEI Financial Services Company ("Intermediaries"). For
more information about the following topics, see "Additional Information About
Doing Business with Us."
- --------------------------------------------------------------------------------
HOW TO BUY, Class D shares of the Portfolios may be purchased through
SELL AND Intermediaries that provide various levels of shareholder
EXCHANGE services to their customers. Contact your Intermediary for
SHARES THROUGH information about the services available to you and for
INTERMEDIARIES specific instructions on how to buy, sell and exchange shares.
To allow for processing and transmittal of orders to the
Distributor on the same day, Intermediaries may impose earlier
cut-off times for receipt of purchase orders. Certain
Intermediaries may charge customer account fees. Information
concerning shareholder services and any charges will be
provided to the customer by the Intermediary. Certain of these
Intermediaries may be required to register as broker/dealers
under state law.
The shares you purchase through an Intermediary may be held
"of record" by that Intermediary. If you want to transfer the
registration of shares beneficially owned by you, but held "of
record" by an Intermediary, you should call the Intermediary
to request this change.
HOW TO BUY Account Application forms can be obtained by calling 1-800-
SHARES FROM 437-6016. Class D shares of the Portfolio are offered only to
THE residents of states in which the shares are eligible for
DISTRIBUTOR purchase.
Opening an You may buy Class D shares by mailing a completed application
Account and a check (or other negotiable bank instrument or money
By Check order) payable to "Class D (Portfolio Name)." If you send a
check that does not clear, the purchase will be canceled, and
you could be liable for any losses or fees incurred.
By Fed Wire To buy shares by Fed Wire call toll-free at 1-800-437-6016.
Automatic You may systematically buy Class D shares through deductions
Investment from your checking or savings accounts, provided these
Plan ("AIP") accounts are maintained through banks which are part of the
Automated Clearing House ("ACH") system. You may purchase
shares on a fixed schedule (semi-monthly or monthly) with
amounts as low as $25, or as high as $100,000. Upon notice,
the amount you commit to the AIP may be changed or canceled
at any time. The AIP is subject to account minimum initial
purchase amounts and minimum balance maintenance
requirements.
................................................................................
(SYMBOL WHAT IS AN
APPEARS INTERMEDIARY?
HERE)
Any entity, such as a bank, broker-dealer, other financial institution,
association or organization which has entered into an agreement with the
Distributor to sell Class D shares of the Portfolios to their customers.
................................................................................
6
<PAGE>
OTHER Your purchase is subject to a sales charge which varies
INFORMATION depending on the size of your purchase and the Portfolio
ABOUT BUYING shares that you are purchasing. The following table shows
SHARES the regular sales charges on Class D shares of each
Portfolio to a "single purchaser", together with the
Sales Charges reallowance paid to dealers and the agency commission paid
to brokers (collectively the "commission"):
CORPORATE DAILY INCOME PORTFOLIO
SHORT-TERM GOVERNMENT PORTFOLIO
INTERMEDIATE-TERM GOVERNMENT PORTFOLIO
<TABLE>
----------------------------------------------------------------------------------------
<CAPTION>
SALES CHARGE REALLOWANCE AND
SALES CHARGE AS AS APPROPRIATE BROKER COMMISSION
A PERCENTAGE OF PERCENTAGE OF AS A PERCENTAGE OF
AMOUNT OF PURCHASE OFFERING PRICE NET AMOUNT INVESTED OFFERING PRICE
-----------------------------------------------------------------------------------------
<S> <C> <C> <C>
(less than) $50,000 3.50% 3.63% 3.00%
$50,000 (less than) $100,000 3.00% 3.09% 2.50%
$100,000 (less than) $250,000 2.50% 2.56% 2.00%
$250,000 (less than) $500,000 2.00% 2.04% 1.50%
$500,000 (less than) $1,000,000 1.50% 1.52% 1.25%
$1,000,000 (less than) $2,000,000 1.00% 1.01% 1.00%
$2,000,000 (less than) $4,000,000 .50% .50% .50%
Over $4,000,000 none none none
-----------------------------------------------------------------------------------------
GNMA PORTFOLIO
-----------------------------------------------------------------------------------------
(less than) $50,000 4.50% 4.71% 4.00%
$50,000 (less than) $100,000 4.00% 4.17% 3.50%
$100,000 (less than) $250,000 3.50% 3.63% 3.00%
$250,000 (less than) $500,000 2.50% 2.56% 2.00%
$500,000 (less than) $1,000,000 2.00% 2.04% 1.75%
$1,000,000 (less than) $2,000,000 1.00% 1.01% 1.00%
$2,000,000 (less than) $4,000,000 .50% .50% .50%
Over $4,000,000 none none none
-----------------------------------------------------------------------------------------
</TABLE>
The commissions shown in the table above apply to sales
through Intermediaries. Under certain circumstances,
commissions up to the amount of the entire sales charge may
be re-allowed to certain Intermediaries, who might then be
deemed to be "underwriters" under the Securities Act of
1933, as amended. Commission rates may vary among the
Portfolios.
Rights of Accumulation allow you, under certain
Rights of circumstances, to combine your current purchase with the
Accumulation current market value of previously purchased shares of that
Portfolio and Class D shares of other portfolios ("Eligible
Portfolios") in order to obtain a reduced sales charge.
Letter of A Letter of Intent allows you, under certain circumstances,
Intent to aggregate anticipated purchases over a 13-month period to
obtain a reduced sales charge.
Sales Charge Certain shareholders may qualify for a sales charge waiver.
Waiver To determine whether or not you qualify for a sales charge
waiver see "Additional Information about Doing Business with
Us." Shareholders who qualify for a sales charge waiver must
notify the Transfer Agent before purchasing shares.
7
<PAGE>
EXCHANGING Once payment for your shares has been received and accepted
SHARES (i.e., an account has been established), you may exchange
When Can You some or all of your shares for Class D shares of other
Exchange portfolios. Exchanges are made at net asset value plus any
Shares? applicable sales charge.
When Do Sales Portfolios that are not money market portfolios currently
Charges Apply impose a sales charge on Class D shares. If you exchange into
to an one of these "non-money market" portfolios, you will have to
Exchange? pay a sales charge on any portion of your exchanged Class D
shares for which you have not previously paid a sales charge.
If you previously paid a sales charge on your Class D
shares, no additional sales charge will be assessed when you
exchange those Class D shares for other Class D shares.
If you buy Class D shares of a "non-money market"
portfolio and you receive a sales charge waiver, you will be
deemed to have paid the sales charge for purposes of this
exchange privilege. In calculating any sales charge payable
on your exchange, the Trust will assume that the first shares
you exchange are those on which you have already paid a sales
charge. Sales charge waivers may also be available under
certain circumstances described in the portfolios'
prospectuses.
The Trust reserves the right to change the terms and
conditions of the exchange privilege discussed herein, or to
terminate the exchange privilege, upon sixty days' notice.
The Trust also reserves the right to deny an exchange request
made within 60 days of the purchase of a non-money market
portfolio.
Requesting an To request an exchange, you must provide proper instructions
Exchange of in writing to the Transfer Agent. Telephone exchanges will
Shares also be accepted if you previously elected this option on
your Account Application.
In the case of shares held "of record" by an Intermediary
but beneficially owned by you, you should contact the
Intermediary who will contact the Transfer Agent and effect
the exchange on your behalf.
HOW TO SELL To sell your shares, a written request for redemption in good
SHARES THROUGH order must be received by the Transfer Agent. Valid written
THE redemption requests will be effective on receipt. All
DISTRIBUTOR shareholders of record must sign the redemption request. The
Transfer Agent may require that the signatures on written
By Mail requests be guaranteed.
For information about the proper form of redemption
requests, call 1-800-437-6016. You may also have the proceeds
mailed to an address of record or mailed (or sent by ACH) to
a commercial bank account previously designated on the
Account Application or specified by written instruction to
the Transfer Agent. There is no charge for having redemption
requests mailed to a designated bank account.
................................................................................
(SYMBOL HOW DOES AN
APPEARS EXCHANGE
HERE) TAKE PLACE?
When making an exchange, you authorize the sale of your shares of one or more
Portfolios in order to purchase the shares of another Portfolio. In other
words, you are executing a sell order and then a buy order. This sale of your
shares is a taxable event which could result in a taxable gain or loss.
................................................................................
8
<PAGE>
By Telephone You may sell your shares by telephone if you previously
elected that option on the Account Application. You may have
the proceeds mailed to the address of record, wired or sent by
ACH to a commercial bank account previously designated on the
Account Application. Under most circumstances, payments will
be transmitted on the next Business Day following receipt of a
valid telephone request for redemption. Wire redemption
requests may be made by calling 1-800-437-6016, who will
subtract a wire redemption charge (presently $10.00) from the
amount of the redemption.
Systematic You may establish a SWP account with a $10,000 minimum
Withdrawal balance. Under the plan, redemptions can be automatically
Plan ("SWP") processed from accounts (monthly, quarterly, semi-annually
or annually) by check or by ACH with a minimum redemption
amount of $50.
INVESTMENT
OBJECTIVES AND
POLICIES ______________________________________________________________________
THE CORPORATE The investment objective of the Corporate Daily Income
DAILY INCOME Portfolio is to provide higher current income than that
PORTFOLIO typically offered by a money market fund while maintaining a
high degree of liquidity and a correspondingly higher risk of
principal volatility.
Under normal conditions the Portfolio invests exclusively
in high quality obligations of U.S. domiciled issuers (not
including foreign branches of U.S. banks or U.S. branches of
foreign banks) consisting of: (i) commercial paper rated in
one of the two highest rating categories by a nationally
recognized statistical rating organization ("NRSRO") or, if
unrated, of comparable quality at the time of investment as
determined by the Adviser; (ii) obligations (certificates of
deposit, time deposits, bankers' acceptances and bank notes)
of U.S. commercial banks or savings and loan institutions
having net assets of at least $500 million as of the end of
their most recent fiscal year; (iii) U.S. Treasury
obligations and obligations issued or guaranteed as to
principal and interest by agencies or instrumentalities of
the U.S. Government; (iv) corporate obligations (notes, bonds
and debentures) rated in one of the four highest rating
categories by a NRSRO or, if unrated, of comparable quality
at the time of investment as determined by the Adviser; (v)
mortgage-backed securities, asset-backed securities rated in
one of the four highest rating categories by a NRSRO or, if
unrated, of comparable quality at the time of investment as
determined by the Adviser; and (vi) repurchase agreements
involving the foregoing securities. However, the Adviser
intends to limit the Portfolio's purchases of non-mortgage
................................................................................
(SYMBOL WHAT IS A
APPEARS SIGNATURE
HERE) GUARANTEE?
A signature guarantee verifies the authenticity of your signature and may be
obtained from any of the following: banks, brokers, dealers, certain credit
unions, securities exchange or association, clearing agency or savings
association. A notary public cannot provide a signature guarantee.
................................................................................
9
<PAGE>
asset-backed securities to securities that are readily
marketable at the time of purchase. Securities rated in the
lowest category of investment grade may have speculative
characteristics. In the event a security owned by the
Portfolio is downgraded below these rating categories, the
Adviser will review and take appropriate action with regard
to such security. The Portfolio's dollar-weighted average
maturity will range from 6 to 18 months. Maximum remaining
maturity on any single issue will be 5 years, with the
exception of floating rate securities that reset at least
annually.
SHORT-TERM The investment objective of the Short-Term Government
GOVERNMENT Portfolio is to preserve principal value and maintain a high
PORTFOLIO degree of liquidity while providing current income.
Under normal conditions, the Short-Term Government
Portfolio invests exclusively in U.S. Treasury obligations,
obligations issued or guaranteed as to principal and interest
by the agencies and instrumentalities of the U.S. Government
and repurchase agreements involving such obligations. The
Portfolio will have a dollar-weighted average portfolio
maturity of up to three years.
INTERMEDIATE- The investment objective of the Intermediate-Term Government
TERM Portfolio is to preserve principal value and maintain a high
GOVERNMENT degree of liquidity while providing current income.
PORTFOLIO
Under normal conditions, the Intermediate-Term Government
Portfolio invests exclusively in U.S. Treasury obligations,
obligations issued or guaranteed as to principal and interest
by the agencies and instrumentalities of the U.S. Government
and repurchase agreements involving such obligations. The
Portfolio will have a dollar-weighted average portfolio
maturity of three to five years.
GNMA PORTFOLIO The investment objective of the GNMA Portfolio is to preserve
principal value and maintain a high degree of liquidity while
providing current income.
Under normal conditions, the GNMA Portfolio invests
exclusively in U.S. Treasury obligations, obligations issued
or guaranteed as to principal and interest by the agencies and
instrumentalities of the U.S. Government and repurchase
agreements involving such obligations. In addition, the GNMA
Portfolio may enter into dollar roll transactions with
selected banks and broker-dealers. The Portfolio has no
restrictions on its portfolio maturity. At least 65% of the
total assets of the Portfolio will, under normal
circumstances, be invested in instruments issued by the
Government National Mortgage Association ("GNMA").
................................................................................
(SYMBOL WHAT ARE
APPEARS INVESTMENT
HERE) OBJECTIVES AND
POLICIES?
A Portfolio's investment objective is a statement of what it seeks to
achieve. It is important to make sure that the investment objective matches
your own financial needs and circumstances. The investment policies section
spells out the types of securities in which each Portfolio invests.
................................................................................
10
<PAGE>
For additional information regarding the permitted
investments of the Portfolios, see the "Description of
Permitted Investments and Risk Factors" in this Prospectus
and in the Statement of Additional Information.
GENERAL
INVESTMENT
POLICIES _______________________________________________________________________
There is no assurance that the investment objective of any
Portfolio will be met.
Each Portfolio may invest up to 10% of its net assets
in illiquid securities, including illiquid restricted
securities. However, restricted securities, including Rule
144A securities and Section 4(2) commercial paper, that
meet the criteria established by the Board of Trustees of
the Trust will be considered liquid. In addition, each
Portfolio may invest in STRIPS (as defined in the
"Description of Permitted Investments and Risk Factors").
Each Portfolio may purchase securities on a when-issued
basis.
Each Portfolio may invest in fixed income securities
rated in the fourth highest category by a nationally
recognized statistical rating organization ("NRSRO"); such
securities, while still investment grade, are considered
to have speculative characteristics.
For temporary defensive purposes during periods when
the Adviser believes that market conditions warrant, each
Portfolio may invest up to 100% of its assets in
investments such as money market instruments (consisting
of securities issued or guaranteed by the U.S. Government,
its agencies or instrumentalities, repurchase agreements,
certificates of deposit and bankers' acceptances issued by
banks or savings and loan associations having net assets
of at least $500 million as of the end of their most
recent fiscal year), other long- and short-term debt
instruments which are rated A or higher by Standard &
Poor's Corporation ("S&P") or Moody's Investors Service,
Inc. ("Moody's"), and also may hold a portion of its
assets in cash or cash equivalents. During such periods,
the Intermediate-Term Government Portfolio can reduce its
average weighted maturity to less than three years.
As a result of the Portfolio's investment strategies,
the annual portfolio turnover rate for each Portfolio is
expected to be over 150%. A high turnover rate will result
in higher transaction costs and may result in additional
taxes for shareholders. See "Taxes."
INVESTMENT
LIMITATIONS ____________________________________________________________________
The investment objective and investment limitations are
fundamental policies of the Portfolios. Fundamental
policies cannot be changed with respect to the Trust or a
Portfolio without the consent of the holders of a majority
of the Trust's or that Portfolio's outstanding shares.
11
<PAGE>
Each Portfolio may not:
1. Purchase securities of any issuer (except securities
issued or guaranteed by the U.S. Government, its
agencies or instrumentalities) if, as a result, more
than 5% of total assets of the Portfolio would be
invested in the securities of such issuer. This
limitation applies to 75% of each Portfolio's total
assets.
2. Purchase any securities which would cause more than 25%
of the total assets of the Portfolio (based on fair
market value at the time of such purchase) to be
invested in the securities of one or more issuers
conducting their principal business activities in the
same industry, provided that this limitation does not
apply to investments in obligations issued or
guaranteed by the U.S. Government or its agencies and
instrumentalities.
3. Borrow money except for temporary or emergency purposes
and then only an amount not exceeding 10% of the value
of the total assets of that Portfolio. This borrowing
provision is included solely to facilitate the orderly
sale of portfolio securities to accommodate substantial
redemption requests if they should occur and is not for
investment purposes. All borrowings will be repaid
before making additional investments for that Portfolio
and any interest paid on such borrowings will reduce
the income of that Portfolio.
The foregoing percentage limitations will apply at the
time of the purchase of a security. Additional investment
limitations are set forth in the Statement of Additional
Information.
THE MANAGER
AND TRANSFER
AGENT __________________________________________________________________________
SEI Financial Management Corporation (the "Manager"), a
wholly owned subsidiary of SEI Corporation ("SEI"), and
the Trust are parties to a management agreement (the
"Management Agreement"). Under the terms of the Management
Agreement, the Manager is responsible for providing the
Trust with overall management services, regulatory
reporting, all necessary office space, equipment,
personnel, and facilities, and for acting as shareholder
servicing agent.
For these services, the Manager is entitled to a fee
which is calculated daily and paid monthly at an annual
rate of .32% of the average daily net assets of the
Corporate Daily Income; .35% of the average daily net
assets of the Short-Term Government and Intermediate-Term
Government Portfolios and .32% of the average daily net
assets of the GNMA Portfolio. The Manager has voluntarily
agreed to waive a portion of its fee in order to limit the
total operating expenses to not more than .75% of the
average daily net assets of Class D shares of the
Corporate Daily Income Portfolio; .85% of the average
daily net assets of the Class D shares of the Short-Term
Government and Intermediate-Term Government Portfolios and
to not more than .85% of the average daily net assets of
the Class D shares of the GNMA Portfolio on an annualized
basis. The Manager reserves the right, in its sole
discretion, to terminate this waiver at any time.
12
<PAGE>
The Trust and DST Systems, Inc., 811 Main Street, Kansas
City, MO 64105, have entered into a separate transfer agent
agreement with respect to the Class D shares of each
Portfolio. Under this agreement, Supervised Service Company
acts as the transfer and dividend disbursing agent (the
"Transfer Agent") for the Class D shares of the Trust.
THE ADVISER ____________________________________________________________________
Wellington Management Company ("WMC" or the "Adviser") acts as
the investment adviser for the Portfolios under an advisory
agreement (the "Advisory Agreement") with the Trust. WMC is a
professional investment counseling firm which provides
investment services to investment companies, employee benefit
plans, endowments, foundations, and other institutions and
individuals. Under the Advisory Agreement with the Trust, the
Adviser makes the investment decisions for the Portfolios and
continuously reviews, supervises and administers each
Portfolio's investments program. The Adviser is independent of
the Manager and SEI and discharges its responsibilities,
subject to the supervision of, and policies set by, the
Trustees of the Trust.
John C. Keogh, Senior Vice President of the Adviser, serves
as the portfolio manager for the Short-Term Government
Portfolio. He has been an investment professional with the
Adviser since 1983. Mr. Keogh has served as portfolio manager
for the Short-Term Government Portfolio since 1995. Paul D.
Kaplan, Senior Vice President of the Adviser, serves as the
portfolio manager for the GNMA Portfolio. He has been an
investment professional with the Adviser since 1978. Mr.
Kaplan has served as portfolio manager for the GNMA Portfolio
since its inception in 1987. Thomas L. Pappas, Vice President
of the Adviser, serves as the portfolio manager for the
Intermediate-Term Government Portfolio. He has been an
investment professional with the Adviser since 1987. Mr.
Pappas has served as portfolio manager for the Intermediate-
Term Government Portfolio since 1995.
As of March 31, 1995, the Adviser had discretionary
management authority with respect to approximately $88.5
billion of assets, including the assets of the Trust, SEI
Liquid Asset Trust and the Insurance Investment Products
Trust, each an open-end investment company. The Adviser's
predecessor organizations have provided investment advisory
services to investment companies since 1933 and to investment
counseling clients since 1960. Wellington Trust Company,
National Association, a wholly owned subsidiary of the
Adviser, utilizes SEI's trust accounting services. The
principal address of WMC is 75 State Street, Boston, MA
02109. WMC is a Massachusetts general partnership, of which
the following persons are managing partners: Robert W. Doran,
Duncan M. McFarland and John B. Neff.
................................................................................
(SYMBOL INVESTMENT
APPEARS ADVISER
HERE)
A Portfolio's investment adviser manages the investment activities and is
responsible for the performance of the Portfolio. The adviser conducts
investment research, executes investment strategies based on an assessment of
economic and market conditions, and determines which securities to buy, hold
or sell.
...............................................................................
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<PAGE>
The Adviser is entitled to a fee, which is calculated
daily and paid monthly, at an annual rate of .10% of the
combined average daily net assets of the Portfolios up to
$500 million, .075% of such assets from $500 million to $1
billion and .05% of such net assets in excess of $1
billion. Such fees are allocated daily among the
Portfolios on the basis of their relative net assets. For
the fiscal year ended January 31, 1995, the Portfolios
each paid WMC advisory fees of .08%.
DISTRIBUTION ___________________________________________________________________
SEI Financial Services Company (the "Distributor"), a
wholly-owned subsidiary of SEI, serves as each Portfolio's
distributor pursuant to a distribution agreement (the
"Distribution Agreement") with the Trust. Each class of
each Portfolio has a separate distribution plan (the
"Class A Plan", "Class B Plan", "Class C Plan" and "Class
D Plan"; collectively, the "Plans") pursuant to Rule 12b-1
under the Investment Company Act of 1940, as amended (the
"1940 Act"). The Trust may also execute brokerage or other
agency transactions through the Distributor for which the
Distributor may receive usual and customary compensation.
The Trust intends to operate the Plans in accordance with
their terms and with the Rules of Fair Practice (the
"Rules") of the National Association of Securities
Dealers, Inc. ("NASD") concerning sales charges.
The Distribution Agreement and the Plan for each class
provide for reimbursement of expenses incurred by the
Distributor in an amount not to exceed .30% of each
Portfolio's average daily net assets on an annualized
basis, provided those expenses are permissible as to both
type and amount under a budget approved and monitored
quarterly by the Trustees, including those Trustees who
are not interested persons and have no financial interest
in the Plans or any related agreement ("Qualified
Trustees").
Distribution related expenses reimbursable to the
Distributor under the budget include those related to the
costs of advertising and sales materials, the costs of
federal and state securities laws registration,
advertising expenses and promotional and sales expenses
including expenses for travel, communication and
compensation and benefits for sales personnel. The Trust
is not obligated to reimburse the Distributor for any
expenditures in excess of the approved budget. Currently,
the budget for each Portfolio is set at an annual rate of
.06% of its average daily net assets. Distribution
expenses not attributable to a specific portfolio are
allocated among each of the portfolios of the Trust based
on average net assets.
The Class D Plan, in addition to providing for the
reimbursement payments described above, provides for
payments to the Distributor at an annual rate of .30% of
each Portfolio's average daily net assets attributable to
Class D shares. These additional payments are
characterized as "compensation," and are not directly tied
to expenses incurred by the Distributor; the payments the
Distributor receives during any year may therefore be
higher or lower than its actual expenses. These additional
payments may be used to compensate the Distributor for its
services in connection with distribution
14
<PAGE>
assistance or provision of shareholder services, and some
or all of it may be used to pay financial institutions and
intermediaries such as banks, savings and loan
associations, insurance companies, and investment
counselors, broker-dealers and the Distributor's
affiliates and subsidiaries for services or reimbursement
of expenses incurred in connection with distribution
assistance or provision of shareholder services. If the
Distributor's expenses are less than its fees under the
Class D Plan, the Trust will still pay the full fee and
the Distributor will realize a profit, but the Trust will
not be obligated to pay in excess of the full fee, even if
the Distributor's actual expenses are higher. Currently,
the Distributor is taking this additional "compensation"
payment under the Class D Plan at a rate of only .25% of
each Portfolio's average daily net assets, on an
annualized basis, attributable to Class D shares.
The Class B and Class C Plans are similar to the Class
D Plan described above, except that for each Portfolio,
the Class B and Class C Plans provide for additional
payments to the Distributor of .30% and .50%,
respectively, and they apply only to Class B or Class C
shares. It is possible that a financial institution may
offer different classes of shares to its customers and
thus receive different compensation with respect to
different classes. These financial institutions may also
charge separate fees to their customers. Certain financial
institutions offering shares to their customers may be
required to register as dealers pursuant to state laws.
The Distributor may, from time to time in its sole
discretion, institute one or more promotional incentive
programs, which will be paid by the Distributor from the
sales charge it receives or from any other source
available to it. Under any such program, the Distributor
will provide promotional incentives, in the form of cash
or other compensation, including merchandise, airline
vouchers, trips and vacation packages, to all dealers
selling shares of the Portfolios. Such promotional
incentives will be offered uniformly to all dealers and
predicated upon the amount of shares of the Portfolios
sold by the dealer.
PERFORMANCE ____________________________________________________________________
For any Portfolio, the performance of the Class D shares
will normally be lower than that on Class A or Class B
shares of the Portfolio because of the sales charge (when
applicable) and additional distribution and transfer agent
expenses charged to Class D shares. The performance of the
Class D shares will normally be higher than on Class C
shares of each Portfolio because of the additional
distribution expenses charged to Class C shares.
From time to time, each Portfolio may advertise its
yield and total return. These figures are based on
historical earnings and are not intended to indicate
future performance. No representation can be made
concerning actual future yields or returns. The yield of a
Portfolio refers to the income generated by a hypothetical
investment, net of any sales charge imposed in the case of
some of the Class D shares, in that Portfolio over a
thirty day period. This income is then "annualized," (i.e.
the income generated by
15
<PAGE>
the investment over thirty days is assumed to be generated
over one year and is shown as a percentage of the
investment.
The total return of a Portfolio refers to the average
compounded rate of return on a hypothetical investment,
for designated time periods (including but not limited to,
the period from which the Portfolio commenced operations
through the specified date), assuming that the entire
investment is redeemed at the end of each period and
assuming the reinvestment of all dividend and capital gain
distributions.
A Portfolio may periodically compare its performance
to that of other mutual funds tracked by mutual fund
rating services (such as Lipper Analytical) or financial
and business publications and periodicals, broad groups of
comparable mutual funds, unmanaged indices which may
assume investment of dividends but generally do not
reflect deductions for administrative and management costs
or to other investment alternatives. The Portfolios may
quote Morningstar, Inc., a service that ranks mutual funds
on the basis of risk-adjusted performance. The Portfolios
may also quote Ibbotson Associates of Chicago, Illinois,
which provides historical returns of the capital markets
in the U.S. The Portfolios may use the long-term
performance of these capital markets to demonstrate
general long-term risk versus reward scenarios and could
include the value of a hypothetical investment in any of
the capital markets. The Portfolios may also quote
financial and business publications and periodicals as
they relate to fund management, investment philosophy and
investment techniques.
A Portfolio may quote various measures of volatility
and benchmark correlation in advertising and may compare
these measures to those of other funds. Measures of
volatility attempt to compare historical share price
fluctuations or total returns to a benchmark while
measures of benchmark correlation indicate how valid a
comparative benchmark might be. Measures of volatility and
correlation are calculated using averages of historical
data and cannot be calculated precisely.
TAXES __________________________________________________________________________
The following summary of federal income tax consequences
is based on current tax laws and regulations, which may be
changed by legislative, judicial or administrative action.
No attempt has been made to present a detailed explanation
of the federal, state or local income tax treatment of the
Portfolios or their shareholders. Accordingly,
shareholders are urged to consult their tax advisers
regarding specific questions as to federal, state and
local income taxes. State and local tax consequences of an
investment in any Portfolio may differ from the federal
income tax consequences described below. Additional
information concerning taxes is set forth in the Statement
of Additional Information.
Tax Status of the A Portfolio is treated as a separate entity for federal
Portfolio income tax purposes and is not combined with the Trust's
other portfolios. The Portfolios intend to continue to
qualify for the special tax treatment afforded regulated
investment companies ("RICs") under Subchapter M of the
Internal Revenue Code of 1986, as amended (the "Code"), so
as to
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<PAGE>
be relieved of federal income tax on net investment company
taxable income and net capital gains (the excess of net long-
term capital gain over net short-term capital losses)
distributed to shareholders.
Tax Status of Each Portfolio will distribute substantially all of its net
Distributions investment income (including net short-term capital gains) and
net capital gain to shareholders. Dividends from each
Portfolio's net investment income will be taxable to its
shareholders as ordinary income, whether received in cash or
in additional shares and do not qualify for the corporate
dividends-received deduction. Distributions of net capital
gains are taxable to shareholders as long-term capital gains.
The Portfolios will make annual reports to shareholders of the
federal income tax status of all distributions. Each Portfolio
intends to make sufficient distributions to avoid liability
for federal excise tax. Dividends declared by the Portfolio in
October, November or December of any year and payable to
shareholders of record on a date in such a month will be
deemed to have been paid by the Portfolio and received by the
shareholders on December 31 of that year if paid by the
Portfolio at any time during the following January.
Income received on direct U.S. Government obligations is
exempt from tax at the state level when received directly and
may be exempt, depending on the state, when received by a
shareholder from any Portfolio provided certain conditions
are satisfied. Interest received on repurchase agreements
collateralized by U.S. Government obligations normally is not
exempt from state taxation. Each Portfolio will inform
shareholders annually of the percentage of income and
distributions derived from direct U.S. Government
obligations. Shareholders should consult their tax advisers
to determine whether any portion of the income dividends
received from a Portfolio is considered tax exempt in their
particular states.
With respect to investments such as STRIPS, which are sold
at original issue discount and thus do not make periodic cash
interest payments, a Portfolio will be required to include as
part of its current income the accreted interest on such
obligations even though the Portfolio has not received any
interest payments on such obligations during that period.
Because each Portfolio distributes all of its net investment
income to its shareholders, the Portfolio may have to sell
portfolio securities to distribute such imputed income, which
may occur at a time when the Adviser would not have chosen to
sell such securities and, which may result in a taxable gain
or loss.
..............................................................................
(SYMBOL TAXES
APPEARS
HERE)
You must pay taxes on your Portfolio's earnings whether you take your payments
in cash or additional shares.
................................................................................
(SYMBOL DISTRIBUTIONS
APPEARS
HERE)
A Portfolio distributes income dividends and capital gains. Income dividends
represent the earnings from the Portfolio's investments; capital gains
distributions occur when investments in the Portfolio are sold for more than
they were originally bought.
................................................................................
17
<PAGE>
Sale, exchange or redemption of any Portfolio's shares is
a taxable transaction to the shareholder.
ADDITIONAL INFORMATION
ABOUT DOING BUSINESS WITH US ____________________________
Business Days You may buy, sell or exchange shares on days on which the New
York Stock Exchange is open for business (a "Business Day").
All purchase, exchange and redemption requests are received in
"good order" will be effective as of the Business Day received
by the Transfer Agent as long as the Transfer Agent receives
the order and, in the case of a purchase request, payment
before 4:00 p.m. Eastern time. Otherwise the purchase will be
effective when payment is received. Broker-dealers may have
separate arrangements with Class D shares of the Portfolios.
If an exchange request is for shares of a portfolio whose
net asset value is calculated as of a time earlier than 4:00
p.m. Eastern time, the exchange request will not be effective
until the next Business Day. Anyone who wishes to make an
exchange must have received a current prospectus of the
portfolio into which the exchange is being made before the
exchange will be effected.
Minimum The minimum initial investment in each Portfolio is $1,000;
Investments however, the minimum investment may be waived at the
Distributor's discretion. All subsequent purchases must be at
least $100 ($25 for payroll deductions authorized pursuant to
preapproved payroll deduction plans). The Trust reserves the
right to reject a purchase order when the Distributor
determines that it is not in the best interest of the Trust
or its shareholders to accept such order.
Maintaining a Due to the relatively high cost of handling small
Minimum investments, the Portfolios reserve the right to redeem, at
Account net asset value, the shares of any shareholder if, because of
Balance redemptions of shares by or on behalf of the shareholder, the
account of such shareholder in a Portfolio has a value of
less than $1,000, the minimum initial purchase amount.
Accordingly, an investor purchasing shares of a Portfolio in
only the minimum investment amount may be subject to such
involuntary redemption if he or she thereafter redeems any of
these shares. Before a Portfolio exercises its right to
redeem such shares and to send the proceeds to the
shareholder, the shareholder will be given notice that the
value of the shares in his or her account is less than the
minimum amount and will be allowed 60 days to make an
additional investment in the Portfolio in an amount that will
increase the value
................................................................................
(SYMBOL BUY, EXCHANGE
APPEARS AND SELL
HERE) REQUESTS ARE
IN "GOOD
ORDER" WHEN:
. The account number and portfolio name are shown
. The amount of the transaction is specified in dollars or shares
. Signatures of all owners appear exactly as they are registered on the
account
. Any required signature guarantees (if applicable) are included
. Other supporting legal documents (as necessary) are present
................................................................................
18
<PAGE>
of the account to at least $1,000. See "Purchase and
Redemption of Shares" in the Statement of Additional
Information for examples of when the right of redemption
may be suspended.
At various times, a Portfolio may be requested to
redeem shares for which it has not yet received good
payment. In such circumstances, redemption proceeds will
be forwarded upon collection of payment for the shares;
collection of payment may take 10 or more days. The
Portfolios intend to pay cash for all shares redeemed, but
under abnormal conditions that make payment in cash
unwise, payment may be made wholly or partly in portfolio
securities with a market value equal to the redemption
price. In such cases, an investor may incur brokerage
costs in converting such securities to cash.
Net Asset Value An order to buy shares will be executed at a per share
price equal to the net asset value next determined after
the receipt of the purchase order by the Transfer Agent
plus any applicable sales charge (the "offering price").
No certificates representing shares will be issued. An
order to sell shares will be executed at the net asset
value per share next determined after receipt and
effectiveness of a request for redemption in good order.
Payment to shareholders for shares redeemed will be made
within 7 days after receipt by the Transfer Agent of the
redemption order.
How the Net Asset The net asset value per share of each Portfolio is
Value is determined by dividing the total market value of its other
Determined assets, less any liabilities, by the total number of
outstanding shares of that Portfolio. Securities having
maturities of 60 days or less at the time of purchase will
be valued using the amortized cost method (described in
the Statement of Additional Information), which
approximates the securities' market value. A Portfolio may
use a pricing service to obtain the last equity or fixed
income security held by that Portfolio. In addition,
portfolio securities for which market quotations are
available are valued at the last quoted sales price on
each Business Day, or, if there is not such reported sale,
at the most recently quoted bid price. Unlisted securities
for which market quotations are readily available are
valued at the most recently quoted bid price. Net asset
value per share is determined daily as of 4:00 p.m.
Eastern time on each Business Day. Purchases will be made
in full and fractional shares of the Portfolios calculated
to three decimal places. Although the methodology and
procedures for determining net asset value per share are
identical for all classes of each Portfolio, the net asset
value per share of one class may differ from that of
another class because of the different distribution fees
charged to each class and the incremental transfer agent
fees charged to Class D shares.
Rights of In calculating the sale charge rates applicable to current
Accumulation purchases of a Portfolio's shares, a "single purchaser"
(defined below) is entitled to combine current purchases
with the current market value of previously purchased
shares of the Portfolios and Class D shares of other
portfolios ("Eligible Portfolios") which are sold subject
to a comparable sales charge.
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<PAGE>
The term "single purchaser" refers to (i) an
individual, (ii) an individual spouse purchasing shares of
the Portfolio for their own account or for trust or
custodian accounts of their minor children, or (iii) a
fiduciary purchasing for any one trust, estate or
fiduciary account, including employee benefit plans
created under Sections 401 or 457 of the Code, including
related plans of the same employer. Furthermore, under
this provision, purchases by a single purchaser shall
include purchases by an individual for his/her own account
in combination with (i) purchases of that individual and
spouse for their joint accounts or for trust and custodial
accounts for their minor children and (ii) purchases of
that individual's spouse for his/her own account. To be
entitled to a reduced sales charge based upon shares
already owned, the investor must ask the Transfer Agent
for such reduction at the time of purchase and provide the
account number(s) of the investor, the investor and
spouse, and their children (under age 21). The Portfolios
may amend or terminate this right of accumulation at any
time as to subsequent purchases.
Letter of Intent By submitting a Letter of Intent (the "Letter") to the
Transfer Agent, a single purchaser may purchase shares of
any Portfolio and the other Eligible Portfolios during a
13-month period at the reduced sales charge rates applying
to the aggregate amount of the intended purchases stated
in the Letter. The Letter may apply to purchases made up
to 90 days before the date of the Letter. It is the
shareholder's responsibility to notify the Transfer Agent
at the time the Letter is submitted that there are prior
purchases that may apply.
Five percent (5%) of the total amount intended to be
purchased will be held in escrow by the Transfer Agent
until such purchase is completed within the 13-month
period. The 13-month period begins on the date of the
earliest purchase. If the intended investment is not
completed, the Manager will surrender an appropriate
number of the escrowed shares for redemption in order to
realize the difference between the sales charge on the
shares purchased at the reduced rate and the sales charge
otherwise applicable to the total shares purchased. Such
purchasers may include the value of all their shares of
the Portfolios and of any of the other Eligible Portfolios
in the Trust towards the completion of such Letter.
Sales Charge No sales charge is imposed on shares of the Portfolios:
Waivers (i) issued in plans of reorganization, such as mergers,
asset acquisitions and exchange offers, to which the Trust
is a party; (ii) sold to dealers or brokers that have a
sales agreement with the Distributor ("participating
broker-dealers"), for their own account or for retirement
plans for employees or sold to present employees of
dealers or brokers that certify to the Distributor at the
time of purchase that such purchase is for their own
account; (iii) sold to present employees of SEI or one of
its affiliates, or of any entity which is a current
service provider to the Trust; (iv) sold to tax-exempt
organizations enumerated in Section 501(c) of the Code or
qualified employee benefit plans created under Sections
401, 403(b)(7) or 457 of the Code (but not IRAs or SEPs);
(v) sold to fee-based clients of banks, financial planners
and investment advisers; (vi) sold to clients of trust
companies and bank trust departments; (vii) sold to
trustees and officers of the Trust; (viii) purchased with
proceeds from the
20
<PAGE>
recent redemption of another class of shares of a
portfolio of SEI Tax-Exempt Trust, SEI Institutional
Managed Trust, SEI International Trust, SEI Liquid Asset
Trust or SEI Daily Income Trust; (ix) purchased with the
proceeds from the recent redemption of shares of a mutual
fund with similar investment objectives and policies
(other than Class D shares of the Trusts listed in (viii)
above) for which a front-end sales charge was paid (this
offer will be extended, to cover shares on which a
deferred sales charge was paid, if permitted under
regulatory authorities' interpretation of applicable law);
or (x) sold to participants or members of certain affinity
groups, such as trade associations or membership
organizations, which have entered into arrangements with
the Distributor.
The waiver of the sales charge under circumstances
(viii) and (ix) above applies only if the following
conditions are met: the purchase must be made within 60
days of the redemption; the Transfer Agent must be
notified in writing by the investor, or his or her agent,
at the time a purchase is made; and a copy of the
investor's account statement showing such redemption must
accompany such notice. The waiver policy with respect to
the purchase of shares through the use of proceeds from a
recent redemption as described in clauses (viii) and (ix)
above will not be continued indefinitely and may be
discontinued at any time without notice. Investors should
call the Transfer Agent at 1-800-437-6016 to confirm
availability prior to initiating the procedures described
in clauses (viii) and (ix) above.
Signature The Transfer Agent may require that the signatures on the
Guarantees written request be guaranteed. You should be able to
obtain a signature guarantee from a bank, broker, dealer,
certain credit unions, securities exchange or association,
clearing agency or savings association. Notaries public
cannot guarantee signatures. The signature guarantee
requirement will be waived if all of the following
conditions apply: (1) the redemption is for not more than
$5,000 worth of shares, (2) the redemption check is
payable to the shareholder(s) of record and (3) the
redemption check is mailed to the shareholder(s) at his or
her address of record. The Trust and the Transfer Agent
reserve the right to amend these requirements without
notice.
Telephone/Wire Redemption orders may be placed by telephone. Neither the
Instructions Trust nor the Transfer Agent will be responsible for any
loss, liability, cost or expense for acting upon wire
instructions or upon telephone instructions that it
reasonably believes to be genuine. The Trust and the
Trust's Transfer Agent will each employ reasonable
procedures to confirm that instructions communicated by
telephone are genuine, including requiring a form of
personal identification prior to acting upon instructions
received by telephone and recording telephone
instructions. If market conditions are extraordinarily
active, or other extraordinary circumstances exist, and
you experience difficulties placing redemption orders by
telephone, you may wish to consider placing your order by
other means.
Systematic Please note that if withdrawals exceed income dividends,
Withdrawal Plan your invested principal in the account will be depleted.
("SWP") Thus, depending upon the frequency and amounts of the
withdrawal payments and/or any fluctuations in the net
asset value per share, your original
21
<PAGE>
investment could be exhausted entirely. To participate in
the SWP, you must have your dividends automatically
reinvested. You may change or cancel the SWP at any time,
upon written notice to the Transfer Agent.
How to Close your An account may be closed by providing written notice to
Account the Transfer Agent. You may also close your account by
telephone if you have previously elected telephone options
on your Account Application.
GENERAL INFORMATION ____________________________________________________________
The Trust SEI Daily Income Trust (the "Trust") was organized as a
Massachusetts business trust under a Declaration of Trust
dated March 15, 1982. The Declaration of Trust permits the
Trust to offer separate portfolios of shares and different
classes of each portfolio. Shareholders may purchase
shares in Portfolios through four separate classes: Class
A, Class B, Class C and Class D, which provide for
variation in distribution and transfer agent costs, voting
rights, dividends, and the imposition of a sales charge on
Class D shares. This Prospectus offers the Class D shares
of the Trust's Corporate Daily Income Portfolio, Short-
Term Government Portfolio, Intermediate-Term Portfolio and
GNMA Portfolio (the "Portfolios"). In addition to the
Portfolios, the Trust consists of the following
portfolios: Money Market Portfolio, Prime Obligation
Portfolio, Government Portfolio, Government II Portfolio,
Treasury Portfolio, Treasury II Portfolio, Federal
Securities Portfolio, Short-Term Mortgage Portfolio, Short
Duration Mortgage Portfolio and Government Securities
Daily Income Portfolio. Additional information pertaining
to the Trust may be obtained by writing to SEI Financial
Management Corporation, 680 East Swedesford Road, Wayne,
Pennsylvania 19087 or by calling 1-800-437-6016. All
consideration received by the Trust for shares of any
Portfolio and all assets of such Portfolio belong to that
Portfolio and would be subject to liabilities related
thereto.
The Trust pays its expenses, including fees of its
service providers, audit and legal expenses, expenses of
preparing prospectuses, proxy solicitation materials and
reports to shareholders, costs of custodial services and
registering the shares under federal and state securities
laws, pricing, insurance expenses, including litigation
and other extraordinary expenses, brokerage costs,
interest charges, taxes and organization expenses.
Trustees of the The management and affairs of the Trust are supervised by
Trust the Trustees under the laws of The Commonwealth of
Massachusetts. The Trustees have approved contracts under
which, as described above, certain companies provide
essential management services to the Trust.
Voting Rights Each share held entitles the shareholder of record to one
vote. The shareholders of each Portfolio or class will
vote separately on matters relating solely to that
Portfolio or class. As a Massachusetts business trust, the
Trust is not required to hold annual meetings of
shareholders but approval will be sought for certain
changes in the operation of the Trust and for the election
of Trustees under certain circumstances. In addition, a
Trustee may be removed by the remaining Trustees or by
shareholders at a special meeting called upon
22
<PAGE>
written request of shareholders owning at least 10% of the
outstanding shares of the Trust. In the event that such a
meeting is requested the Trust will provide appropriate
assistance and information to the shareholders requesting
the meeting.
Reporting The Trust issues unaudited financial information
semiannually and audited financial statements annually.
The Trust furnishes proxy statements and other reports to
shareholders of record.
Shareholder Shareholder inquiries should be directed to DST Systems,
Inquiries Inc., P.O. Box 419240, Kansas City, MO 64141-6240.
Dividends The dividends of Class D shares will normally be lower
than on Class A and Class B shares of each Portfolio
because of the additional distribution and transfer agent
expenses charged to Class D shares and the dividends on
Class D shares are normally higher then on Class C shares
of each Portfolio because of the additional distribution
expenses charged to Class C shares.
Substantially all of the net investment income
(exclusive of capital gains) of each Portfolio is
distributed in the form of dividends that will be declared
daily and paid monthly on the first Business Day of each
month. Currently, capital gains, if any, are distributed
at least annually.
Shareholders in the Portfolios automatically receive
all income dividends and capital gain distributions in
additional shares at the net asset value next determined
following the record date, unless the shareholder has
elected to take such payment in cash. Shareholders may
change their election by providing written notice to the
Transfer Agent at least 15 days prior to the distribution.
Dividends and distributions of the Portfolios are paid
by the Portfolios on a per-share basis. The value of each
share will be reduced by the amount of any such payment.
If shares are purchased shortly before the record date for
a dividend or the distribution of capital gains, a
shareholder will pay the full price for the shares and
receive some portion of the price back as a taxable
dividend or distribution.
Counsel and Morgan, Lewis & Bockius serves as counsel to the Trust.
Independent Arthur Andersen LLP serves as the independent public
Public accountants of the Trust.
Accountants
Custodian and CoreStates Bank, N.A., Broad and Chestnut Streets, P.O.
Wire Agent Box 7618, Philadelphia, PA 19101 (the "Custodian"), acts
as custodian and wire agent of the assets of the
Portfolios. The Custodian holds cash, securities and other
assets of the Trust as required by the 1940 Act.
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DESCRIPTION OF
PERMITTED
INVESTMENTS AND
RISK FACTORS ___________________________________________________________________
The following is a description of the permitted
investments practices for the Portfolios and the
associated risk factors:
Commercial Paper Commercial paper is a term used to describe unsecured
short-term promissory notes issued by banks,
municipalities, corporations and other entities.
Maturities on these issues vary from a few to 270 days.
Dollar Roll Dollar rolls are transactions in which securities are sold
Transactions for delivery in the current month and the seller
simultaneously contracts to repurchase substantially
similar securities on a specified future date. Any
difference between the sale price and the purchase price
is netted against the interest income foregone on the
securities sold to arrive at an implied borrowing rate.
Alternatively, the sale and purchase transactions can be
executed at the same price, with a Portfolio being paid a
fee as consideration for entering into the commitment to
purchase. Dollar rolls may be renewed prior to cash
settlement and initially may involve only a firm
commitment agreement by a Portfolio to buy a security. If
the broker-dealer to whom a Portfolio sells the security
becomes insolvent, a Portfolio's right to purchase the
security may be restricted. Other risks involved in
entering into dollar rolls include the risk that the value
of the security may change adversely over the term of the
dollar roll and that the security a Portfolio is required
to repurchase may be worth less than the security the
Portfolio originally held.
Fixed Income Fixed income securities are debt obligations issued by
Securities corporations, municipalities and other borrowers. The
market value of fixed income investments will generally
change in response to interest rate changes and other
factors. During periods of falling interest rates, the
values of outstanding fixed income securities generally
rise. Conversely, during
periods of rising interest rates, the values of such
securities generally decline. Moreover, while securities
with longer maturities tend to produce higher yields, the
prices of longer maturity securities are also subject to
greater market fluctuations as a result of change in
interest rates. Changes by recognized agencies in the
rating of any fixed income security and in the ability of
an issuer to make payments of interest and principal will
also affect the value of these investments. Changes in the
value of portfolio securities will not affect cash income
derived from these securities but will affect a
Portfolio's net asset value.
Illiquid Illiquid securities are securities which cannot be
Securities disposed of within seven business days at approximately
the value at which they are being carried on a Portfolio's
books. An illiquid security includes a demand instrument
with a demand notice period exceeding seven days, when
there is no secondary market for such security, and
repurchase agreements with maturities over seven days in
length.
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Mortgage-Backed Mortgage-backed securities are instruments that entitle
Securities the holder to a share of all interest and principal
payments from mortgages underlying the security. The
mortgages backing these securities include conventional
thirty-year fixed-rate mortgages, graduated payment
mortgages, and adjustable rate mortgages. During periods
of declining interest rates, prepayment of mortgages
underlying mortgage-backed securities can be expected to
accelerate. Prepayment of mortgages which underlie
securities purchased at a premium often results in capital
losses, while prepayment of mortgages purchased at a
discount often results in capital gains. Because of these
unpredictable prepayment characteristics, it is often not
possible to predict accurately the average life or
realized yield of a particular issue.
Government Pass-Through Securities: These are
securities that are issued or guaranteed by a U.S.
Government agency representing an interest in a pool of
mortgage loans. The primary issuers or guarantors of these
mortgage-backed securities are GNMA, FNMA and FHLMC. FNMA
and FHLMC obligations are not backed by the full faith and
credit of the U.S. Government as GNMA certificates are,
but FNMA and FHLMC securities are supported by the
instrumentalities' right to borrow from the U.S. Treasury.
GNMA, FNMA and FHLMC each guarantees timely distributions
of interest to certificate holders. GNMA and FNMA also
each guarantees timely distributions of scheduled
principal. FHLMC has in the past guaranteed only the
ultimate collection of principal of the underlying
mortgage loan; however, FHLMC now issues mortgage-backed
securities (FHLMC Gold PCs) which also guarantee timely
payment of monthly principal reductions. Government and
private guarantees do not extend to the securities' value,
which is likely to vary inversely with fluctuations in
interest rates.
Private Pass-Through Securities: These are mortgage-
backed securities issued by a non-governmental entity,
such as a trust. These securities include collateralized
mortgage obligations ("CMOs") and real estate mortgage
investments conduits ("REMICs") that are rated in one of
the top two rating categories. While they are generally
structured with one or more types of credit enhancement,
private pass-through securities typically lack a guarantee
by an entity having the credit status of a governmental
agency or instrumentality.
Collateralized Mortgage Obligations ("CMOs"): CMOs are
debt obligations or multiclass pass-through certificates
issued by agencies or instrumentalities of the U.S.
Government or by private originators or investors in
mortgage loans. In a CMO, series of bonds or certificates
are usually issued in multiple classes. Principal and
interest paid on the underlying mortgage assets may be
allocated among the several classes of a series of a CMO
in a variety of ways. Each class of a CMO, often referred
to as a "tranche," is issued with a specific fixed or
floating coupon rate and has a stated maturity or final
distribution date. Principal payments on the underlying
mortgage assets may cause CMOs to be retired substantially
earlier than their stated maturities or final distribution
dates, resulting in a loss of all or part of any premium
paid.
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REMICs: A REMIC is a CMO that qualifies for special
tax treatment under the Internal Revenue Code and invests
in certain mortgages principally secured by interests in
real property. Investors may purchase beneficial interests
in REMICs, which are known as "regular" interests, or
"residual" interests. Guaranteed REMIC pass-through
certificates ("REMIC Certificates") issued by FNMA or
FHLMC represent beneficial ownership interests in a REMIC
trust consisting principally of mortgage loans or FNMA,
FHLMC or GNMA-guaranteed mortgage pass-through
certificates. For FHLMC REMIC Certificates, FHLMC
guarantees the timely payment of interest, and also
guarantees the payment of principal as payments are
required to be made on the underlying mortgage
participation certificates. FNMA REMIC Certificates are
issued and guaranteed as to timely distribution of
principal and interest by FNMA.
Parallel Pay Securities: PAC Bonds: Parallel pay CMOs
and REMICs are structured to provide payments of principal
on each payment date to more than one class. These
simultaneous payments are taken into account in
calculating the stated maturity date or final distribution
date of each class, which must be retired by its stated
maturity date or final distribution date, but may be
retired earlier. Planned Amortization Class CMOs ("PAC
Bonds") generally require payments of a specified amount
of principal on each payment date. PAC Bonds are always
parallel pay CMOs with the required principal payment on
such securities having the highest priority after interest
has been paid to all classes.
REITs: REITs are trusts that invest primarily in
commercial real estate or real estate-related loans. The
value of interests in REITs may be affected by the value
of the property owned or the quality of the mortgages held
by the trust.
Stripped Mortgage-Backed Securities ("SMBs"): SMBs are
usually structured with two classes that receive specified
proportions of the monthly interest and principal payments
from a pool of mortgage securities. One class may receive
all of the interest payments and is thus termed an
interest-only class ("IO"), while the other class may
receive all of the principal payments and is thus termed
the principal-only class ("PO"). The value of IOs tends to
increase as rates rise and decrease as rates fall; the
opposite is true of POs. SMBs are extremely sensitive to
changes in interest rates because of the impact thereon of
prepayment of principal on the underlying mortgage
securities can experience wide swings in value in response
to changes in interest rates and associated mortgage
prepayment rates. During times when interest rates are
experiencing fluctuations, such securities can be
difficult to price on a consistent basis. The market for
SMBs is not as fully developed as other markets; SMBs
therefore may be illiquid.
Risk Factors: Due to the possibility of prepayments of
the underlying mortgage instruments, mortgage-backed
securities generally do not have a known maturity. In the
absence of a known maturity, market participants generally
refer to an estimated average life. An average life
estimate is a function of an assumption regarding
anticipated prepayment patterns, based upon current
interest rates, current conditions in the relevant housing
markets and other factors. The assumption is necessarily
subjective, and thus
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<PAGE>
different market participants can produce different
average life estimates with regard to the same security.
There can be no assurance that estimated average life will
be a security's actual average life.
Repurchase Repurchase agreements are agreements by which a Portfolio
Agreements obtains a security and simultaneously commits to return
the security to the seller at an agreed upon price on an
agreed upon date within a number of days from the date of
purchase. The Custodian will hold the security as
collateral for the repurchase agreement. A Portfolio bears
a risk of loss in the event the other party defaults on
its obligations and the Portfolio is delayed or prevented
from its right to dispose of the collateral securities or
if the Portfolio realizes a loss on the sale of the
collateral. A Portfolio will enter into repurchase
agreements only with financial institutions deemed to
present minimal risk of bankruptcy during the term of the
agreement based on established guidelines. Repurchase
agreements are considered loans under the 1940 Act.
U.S. Government Obligations issued or guaranteed by agencies of the U.S.
Agencies Government, including, among others, the Federal Farm
Credit Bank, the Federal Housing Administration and the
Small Business Administration, and obligations issued or
guaranteed by instrumentalities of the U.S. Government,
including, among others, the Federal Home Loan Mortgage
Corporation, the Federal Land Banks and the U.S. Postal
Service. Some of these securities are supported by the
full faith and credit of the U.S. Treasury (e.g.,
Government National Mortgage Association), others are
supported by the right of the issuer to borrow from the
Treasury (e.g., Federal Farm Credit Bank), while still
others are supported only by the credit of the
instrumentality (e.g., Federal National Mortgage
Association). Guarantees of principal by agencies or
instrumentalities of the U.S. Government may be a
guarantee of payment at the maturity of the obligation so
that in the event of a default prior to maturity there
might not be a market and thus no means of realizing on
the obligation prior to maturity. Guarantees as to the
timely payment of principal and interest do not extent to
the value or yield of these securities nor to the value of
the Portfolio's shares.
U.S. Treasury U.S. treasury obligations consist of bills, notes and
Obligations bonds issued by the U.S. Treasury and separately traded
interest and principal component parts of such obligations
that are transferable through the Federal book-entry
system known as Separately Traded Registered Interest and
Principal Securities ("STRIPS").
STRIPS STRIPS are sold as zero coupon securities which means that
they are sold at a substantial discount and redeemed at
face value at their maturity date without interim cash
payments of interest or principal. This discount is
accredited over the life of the security, and such
accretion will constitute the income earned on the
security for both accounting and tax purposes. Because of
these features, such securities may be subject to greater
interest rate volatility than interest paying fixed income
securities. See also "Taxes."
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<PAGE>
When-Issued and When-issued or delayed delivery basis transactions involve
Delayed the purchase of an instrument with payment and delivery
Delivery taking place in the future. Delivery of and payment for
Securities these securities may occur a month or more after the date of
including TBA the purchase commitment. A Portfolio will maintain with the
Mortgage-Backed Custodian a separate account with liquid high grade debt
Securities securities or cash in an amount at least equal to these
commitments. The interest rate realized on these securities
is fixed as of the purchase date and no interest accrues to
a Portfolio before settlement. These securities are subject
to market fluctuation due to changes in market interest
rates and it is possible that the market value at the time
of settlement could be higher or lower than the purchase
price if the general level of interest rates has changed.
Although a Portfolio generally purchases securities on a
when-issued or forward commitment basis with the intention
of actually acquiring securities, a Portfolio may dispose of
a when-issued security or forward commitment prior to
settlement if it deems appropriate.
One form of when-issued or delayed-delivery security that a
Portfolio may purchase is a "to be announced" ("TBA")
mortgage-backed security. A TBA mortgage-backed security
transaction arises when a mortgage-backed security, such as
a GNMA pass-through security, is purchased or sold with the
specific pools that will constitute that GNMA pass-through
security to be announced on a future settlement date.
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SEI DAILY INCOME TRUST
Manager and Shareholder Servicing Agent:
SEI Financial Management Corporation
Distributor:
SEI Financial Services Company
Investment Adviser:
Wellington Management Company
This Statement of Additional Information is not a Prospectus. It is intended to
provide additional information regarding the activities and operations of SEI
Daily Income Trust (the "Trust") and should be read in conjunction with the
Trust's Prospectuses dated May 31, 1995. Prospectuses may be obtained through
SEI Financial Services Company, 680 East Swedesford Road, Wayne, PA 19087.
TABLE OF CONTENTS
<TABLE>
<CAPTION>
PAGE
<S> <C>
THE TRUST................................................................... 2
DESCRIPTION OF PERMITTED INVESTMENTS........................................ 2
THE MANAGER AND SHAREHOLDER SERVICING AGENT................................. 10
THE ADVISER................................................................. 12
TRUSTEES AND OFFICERS OF THE TRUST.......................................... 15
INVESTMENT LIMITATIONS...................................................... 17
PERFORMANCE................................................................. 19
DETERMINATION OF NET ASSET VALUE............................................ 23
PURCHASE AND REDEMPTION OF SHARES........................................... 24
SHAREHOLDER SERVICES........................................................ 25
PORTFOLIO TRANSACTIONS...................................................... 27
DESCRIPTION OF SHARES....................................................... 28
LIMITATION OF TRUSTEES' LIABILITY........................................... 29
SHAREHOLDER LIABILITY....................................................... 29
CONTROL PERSONS AND PRINCIPAL HOLDERS OF SECURITIES......................... 29
EXPERTS..................................................................... 31
FINANCIAL STATEMENTS........................................................ 31
</TABLE>
May 31, 1995
SEI-F-045-07
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<PAGE>
THE TRUST
SEI Daily Income Trust (formerly SEI Cash+Plus Trust) (the "Trust") is a
diversified, open-end management investment company established under
Massachusetts law as a Massachusetts business trust under a Declaration of Trust
dated March 15, 1982. The Declaration of Trust permits the Trust to offer
separate series ("portfolios") of units of beneficial interest ("shares") and
separate classes of portfolios. Except for differences between the Class A,
Class B, Class C and/or Class D shares pertaining to distribution plans,
voting rights, dividends and transfer agent expenses, each share of each
portfolio represents an equal proportionate interest in that portfolio with each
other share of that portfolio. The Trust changed its name from SEI Cash+Plus
Trust to its current name in April 1994.
This Statement of Additional Information relates to the following portfolios:
Money Market, Prime Obligation, Government, Government II, Treasury, Treasury
II, Federal Securities, Corporate Daily Income, Government Securities Daily
Income, Short-Term Mortgage (formerly Adjustable Rate Mortgage), Short Duration
Mortgage, Short-Term Government, Intermediate-Term Government and GNMA
Portfolios (each a "Portfolio," and collectively, the "Portfolios") and any
different classes of the Portfolios. Currently, the Government Securities Daily
Income Portfolio and the Short Duration Mortgage Portfolio are not selling
shares.
Shareholders may purchase shares in some of the Portfolios through four separate
classes: Class A, Class B, Class C and Class D shares.
DESCRIPTION OF PERMITTED INVESTMENTS
ADJUSTABLE RATE FEATURES
Resets--Interest rates on the mortgages underlying the adjustable rate
securities and other floating rate securities are reset at intervals of one year
or less in response to changes in a predetermined interest rate index. There
are two main categories of indices: those based on U.S. Treasury securities and
those derived from a calculated measure such as a cost-of-funds index or a
moving average of mortgage rates. Commonly used indices include the one-year
and three-year constant maturity Treasury rates (CMT), the three-month Treasury
Bill rate, the 180-day Treasury Bill rate, the Eleventh District Federal Home
Loan Bank Cost-of-Funds Index, the one-month, three-month, six-month or one-year
London Interbank Offered Rate.
Caps and Floors--Underlying mortgages or other obligations which collateralize
the adjustable rate securities and other floating rate securities will
frequently have caps and floors which limit the maximum amount by which the loan
rate may change up or down, either at each reset or adjustment interval or over
the life of the loan. This provides the mortgage borrower and lender some
degree of protection against large changes in monthly payments. Some
residential mortgage loans restrict periodic adjustments by limiting changes in
the borrower's monthly principal and interest payments rather than limiting
interest rate changes. These payment caps may result in negative amortization,
i.e., an increase in the balance of the mortgage loan. The adjustable rate
feature of the mortgages underlying the adjustable rate mortgage securities
("ARMs"), collateralized mortgage obligations ("CMOs") and real estate mortgage
investment conduits ("REMICs") in which these Portfolios may invest should
reduce, but will not eliminate, price fluctuations in such securities,
particularly during periods of extreme fluctuations in market interest rates.
Since the interest rates on many mortgages underlying ARMs, CMOs and REMICs are
reset on an annual basis and generally are subject to caps, it can be expected
that the prices of such ARMs, CMOs and REMICs will fluctuate to the extent
prevailing market interest rates are not reflected in the interest rates payable
on the underlying ARMs, CMOs or REMICs. In this regard, the net asset value of
the Trust's shares could fluctuate to the extent interest rates on underlying
mortgages differ from prevailing market interest rates during interim periods
between interest rate reset dates. Accordingly, investors could experience some
principal loss, or less gain than might otherwise be achieved, if they redeem
their shares of the Trust before
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the interest rates on the mortgages underlying the Trust's portfolio securities
are adjusted to reflect prevailing market interest rates.
The Short-Term Mortgage Portfolio and Short Duration Mortgage Portfolio will
enter into interest rate and mortgage swaps only on a net basis, i.e., the two
payment streams are netted out, with the Portfolio receiving or paying, as the
case may be, only the net amount of the two payments. Since these transactions
are entered into for good faith hedging purposes, the Trust and the Adviser do
not believe that such obligations constitute senior securities as defined in the
Investment Company Act of 1940 (the "1940 Act") and, accordingly, will not treat
them as being subject to the Trust's or any Portfolio's borrowing restrictions.
The net amount of the excess, if any, of each Portfolio's obligations over its
entitlements with respect to each interest rate or mortgage swap will be accrued
on a daily basis and an amount of cash or liquid securities rated in one of the
top three ratings categories by Moody's Investors Service, Inc. ("Moody's") or
Standard & Poor's Corporation ("S&P"), or, if unrated by either Moody's or S&P,
deemed by the Adviser to be of comparable quality having an aggregate net asset
value at least equal to such accrued excess will be maintained in a segregated
account by the Portfolio's custodian.
ASSET-BACKED SECURITIES--Asset-backed securities are securities secured by non-
mortgage assets such as company receivables, truck and auto loans, leases and
credit card receivables. Such securities are generally issued as pass-through
certificates, which represent undivided fractional ownership interests in the
underlying pools of assets. Such securities also may be debt instruments, which
are also known as collateralized obligations and are generally issued as the
debt of a special purpose entity, such as a trust, organized solely for the
purpose of owning of such assets and issuing such debt.
Asset-backed securities are not issued or guaranteed by the United States
Government or its agencies or instrumentalities; however, the payment of
principal and interest on such obligations may be guaranteed up to certain
amounts and for a certain period by a letter of credit issued by a financial
institution (such as a bank or insurance company) unaffiliated with the issuers
of such securities. The purchase of asset-backed securities raises risk
considerations peculiar to the financing of the instruments underlying such
securities. For example, there is a risk that another party could acquire an
interest in the obligations superior to that of the holders of the asset-backed
securities. There also is the possibility that recoveries on repossessed
collateral may not, in some cases, be available to support payments on those
securities. Asset-backed securities entail prepayment risk, which may vary
depending on the type of asset, but is generally less than the prepayment risk
associated with mortgage-backed securities. In addition, credit card
receivables are unsecured obligations of the card holder.
The market for asset-backed securities is at a relatively early stage of
development. Accordingly, there may be a limited secondary market for such
securities. The Corporate Daily Income, Short-Term Mortgage and Short Duration
Mortgage Portfolios may invest in asset-backed securities.
BANKERS' ACCEPTANCES--a bill of exchange or time draft drawn on and accepted
by a commercial bank. Bankers' acceptances are used by corporations to finance
the shipment and storage of goods and to furnish dollar exchange. Maturities
are generally six months or less. All Portfolios may invest in bankers'
acceptances.
CERTIFICATES OF DEPOSIT--a negotiable interest bearing instrument with a
specific maturity. Certificates of deposit are issued by banks and savings and
loan institutions in exchange for the deposit of funds and normally can be
traded in the secondary market, prior to maturity. All Portfolios may invest in
certificates of deposit.
COMMERCIAL PAPER--the term used to designate unsecured short-term promissory
notes issued by corporations and other entities. Maturities on these issues
vary from a few days to nine months. All Portfolios may invest in commercial
paper.
The following descriptions of commercial paper ratings have been published by
S&P and Moody's, respectively.
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<PAGE>
Commercial paper rated A by S&P is regarded by S&P as having the greatest
capacity for timely payment. Issues rated A are further refined by use of the
numbers 1+, 1, 2 and 3 to indicate the relative degree of safety. Issues rated
A-1+ are those with an "overwhelming degree" of credit protection. Those rated
A-1 reflect a "very strong" degree of safety regarding timely payment. Those
rated A-2 reflect a "satisfactory" degree of safety regarding timely payment.
Commercial paper issuers rated Prime-1 or Prime-2 by Moody's are judged by
Moody's to be of "superior" quality and "strong" quality, respectively, on the
basis of relative repayment capacity.
DOLLAR ROLLS--in order to seek a high level of current income, the GNMA
Portfolio may enter into dollar rolls or "covered rolls" in which the Portfolio
sells securities (usually mortgage-backed securities) and simultaneously
contracts to repurchase, typically in 30 or 60 days, substantially similar, but
not identical, securities on a specified future date. During the roll
commitment period, a Portfolio forgoes principal and interest paid on such
securities. A Portfolio is compensated by the difference between the current
sales price and the forward price for the future purchase (often referred to as
the "drop") as well as by the interest earned on the cash proceeds of the
initial sale. A "covered roll" is a specific type of dollar roll for which
there is an offsetting cash position or cash equivalent securities position that
matures on or before the forward settlement date of the dollar roll transaction.
As used herein the term "dollar roll" refers to dollar rolls that are not
"covered rolls." At the end of the roll commitment period, a Portfolio may or
may not take delivery of the securities the Portfolio has contracted to
purchase.
FOREIGN SECURITIES--U.S. dollar denominated obligations of foreign branches of
U.S. commercial banks and of U.S. and London branches of foreign banks. These
instruments may subject the Portfolio to investment risks that differ in some
respects from those related to investments in obligations of U.S. domestic
issuers. Such risks include future adverse political and economic developments,
the possible imposition of withholding taxes on interest or other income,
possible seizure, nationalization, or expropriation of foreign deposits, the
possible establishment of exchange controls or taxation at the source, greater
fluctuations in value due to changes in exchange rates, or the adoption of other
foreign governmental restrictions which might adversely affect the payment of
principal and interest on such obligations. Such investments may also entail
higher custodial fees and sales commissions than domestic investments. Foreign
issuers of securities or obligations are often subject to accounting treatment
and engage in business practices different from those respecting domestic
issuers of similar securities or obligations. Foreign branches of U.S. banks
and foreign banks may be subject to less stringent reserve requirements than
those applicable to domestic branches of U.S. banks. The Money Market Portfolio
may invest in foreign securities.
FUTURES CONTRACTS AND OPTIONS ON FUTURES CONTRACTS--The Short-Term Mortgage and
Short Duration Mortgage Portfolios will enter into transactions in futures
contracts and in options on futures contracts for hedging purposes only. In
addition, a Portfolio may not purchase or sell such instruments if, immediately
thereafter, the sum of the amount of initial margin deposits on existing futures
contracts and options on futures contracts, and premiums paid for the purchase
of such options would exceed 5% of the Portfolio's total assets after taking
into account unrealized profits and unrealized losses on such contracts;
provided, however, that in the case of an option that is in-the-money at the
time of purchase, the in-the-money amount may be excluded in calculating the 5%.
Transactions in the foregoing instruments may be entered into by a Portfolio on
U.S. exchanges regulated by the Securities and Exchange Commission ("SEC") or
the Commodities Futures Trading Commission ("CFTC"). Over-the-counter
transactions involve certain risks which may not be present in an exchange
environment.
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Futures Contracts: A futures contract is a bilateral agreement providing for
the purchase and sale for future delivery of a fixed income security, or a
futures contract may be based on municipal bond or other financial indices,
including any index of fixed income securities. A "sale" of a futures contract
means a contractual obligation to deliver the securities called for by the
contract at a specified price on a specified date. A "purchase" of a futures
contract means a contractual obligation to acquire the securities called for by
the contract at a specified price on a specified date. Although futures
contracts call for the actual delivery or acquisition of securities or, in the
case of futures contracts based on an index, the making or acceptance of a cash
settlement at a specified future time, the contractual obligation is usually
fulfilled before such date without the making or taking of delivery by "closing
out" the contract, that is, by buying or selling, as the case may be, on a
commodities exchange, an identical futures contract calling for settlement in
the same month, subject to the availability of a liquid secondary market; there
can be no assurance that a liquid secondary market will exist for any particular
futures contract. Brokerage commissions are incurred when a futures contract is
bought or sold.
Futures contracts have been designed by exchanges which have been designated as
"contract markets" by the CFTC, and must be executed through a futures
commission merchant or brokerage firm which is a member of the relevant contract
market. Presently, futures contracts are based on such debt securities as long-
term U.S. Treasury Bonds, Treasury Notes, three-month U.S. Treasury Bills and
bank certificates of deposit. Existing contract markets include the Chicago
Board of Trade and the International Monetary Market of the Chicago Mercantile
Exchange. Futures contracts are traded on these markets, and, through their
clearing corporations, the exchanges guarantee performance of the contracts as
between the clearing members of the exchange.
Futures traders are required to make a good faith margin deposit in cash or
government securities with or for the account of a broker or custodian to
initiate and maintain open positions in futures contracts. A margin deposit is
intended to assure completion of the contract (delivery or acceptance of the
underlying security) if it is not terminated prior to the specified delivery
date. Minimal initial margin requirements are established by the futures
exchange and may be changed. Brokers may establish deposit requirements which
are higher than the exchange minimums. Deposit requirements on futures
contracts customarily range upward from less than 5% of the value of the
contract being traded.
After a futures contract position is opened, the value of the contract is marked
to market daily. If the futures contract price changes to the extent that the
margin on deposit does not satisfy the required margin, payment of additional
"variation" margin will be required. Conversely, change in the contract value
may reduce the required margin, resulting in a repayment of excess margin to the
contract holder. Variation margin payments are made to and from the futures
broker for as long as the contract remains open. The Portfolios expect to earn
interest income on their margin deposits.
At the time of delivery of securities pursuant to a futures contract based on
fixed income securities, adjustments are made to recognize differences in value
arising from the delivery of securities with a different interest rate from that
specified in the contract. In some (but not many) cases, securities called for
by a futures contract may not have been issued when the contract was written.
Traders in futures contracts and related options may be broadly classified as
either "hedgers" or "speculators." Hedgers use the futures markets primarily to
offset unfavorable changes in the value of securities otherwise held or expected
to be acquired for investment purposes. Speculators are less inclined to own
the securities underlying the futures contracts which they trade, and use
futures contracts with the expectation of realizing profits from fluctuations in
the prices of underlying securities. The purpose of the purchase or sale of a
futures contract, in the case of a Portfolio which holds or intends to acquire
long-term fixed income securities, is to hedge, that is, to attempt to protect
the Portfolio from fluctuations in interest rates without actually buying or
selling long-term fixed income securities. For example, if a Portfolio owns
long-term bonds and interest rates were expected to increase, the Portfolio
might enter into futures contracts for the sale of debt securities. Such a sale
would have much the same effect as selling an equivalent value of the long-term
bonds owned by the
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Portfolio. If interest rates did increase, the value of the debt securities in
the portfolio would decline, but the value of the futures contracts would
increase at approximately the same rate, thereby keeping the net asset value of
the Portfolio from declining as much as it otherwise would have. The Portfolio
could accomplish similar results by selling bonds with long maturities and
investing in bonds with short maturities when interest rates are expected to
increase. However, the use of futures contracts as an investment technique
allows a Portfolio to maintain a hedging position without having to sell its
portfolio securities.
Similarly, when it is expected that interest rates may decline, futures
contracts may be purchased to attempt to hedge against anticipated purchases of
long-term bonds at higher prices. Since the fluctuations in the value of
futures contracts should be similar to that of long-term bonds, a Portfolio
could take advantage of the anticipated rise in the value of long-term bonds
without actually buying them until the market had stabilized. At that time, the
futures contracts could be liquidated and the Portfolio could then buy long-term
bonds. To the extent a Portfolio purchases futures contracts for this purpose,
the assets in the segregated asset account maintained to cover the Portfolio's
obligations with respect to such futures contracts will consist of cash,
government securities or high quality fixed income securities in an amount equal
to the difference between the fluctuating market value of such futures contracts
and the aggregate value of the initial and variation margin payments made by the
Portfolio with respect to such futures contracts.
In order to insure that no Portfolio will be deemed to be a "commodity pool" as
defined in CFTC Regulations, all futures transactions must constitute either
bona fide hedging transactions or transactions for other purposes so long as the
aggregate initial margin and premiums required for such transaction will not
exceed five percent of the liquidation value of the qualifying entity's
portfolio, after taking into account unrealized profits and unrealized losses on
any such contracts it has entered into. The Portfolio will only sell futures
contracts to protect securities owned against declines in price or purchase
contracts to protect against an increase in the price of securities intended for
purchase. As evidence of this hedging interest, the Portfolio expects that
approximately 75% of its futures contracts will be "completed"; that is,
equivalent amounts of related securities will have been purchased or are being
purchased by the Portfolio upon sale of open futures contracts.
Options on Futures Contracts: A Portfolio, subject to any applicable laws, may
purchase and write options on futures contracts ("options on futures contracts")
for hedging purposes. An option on a futures contract provides the holder with
the right to enter into a "long" position in the underlying futures contract
(i.e., a purchase of the futures contract), in the case of a call option, or a
"short" position in the underlying futures contract (i.e., a sale of the futures
contract), in the case of a put option, at a fixed exercise price up to a stated
expiration date or, in the case of certain options, on such date. Such options
on futures contracts will be traded on contract markets regulated by the CFTC.
Depending on the pricing of the option compared to either the price of the
futures contract upon which it is based or the price of the underlying debt
securities, it may or may not be less risky than ownership of the futures
contract or underlying debt securities. As with the purchase of futures
contracts, when a Portfolio is not fully invested the Adviser may purchase a
call option on a futures contract on behalf of the Portfolio to hedge against a
market advance due to declining interest rates.
The writing of a call option on a futures contract constitutes a partial hedge
against declining prices of the securities which are deliverable upon exercise
of the futures contract. If the futures price at expiration of the option is
below the exercise price, a Portfolio will retain the full amount of the option
premium which provides a partial hedge against any decline that may have
occurred in the Portfolio's holdings. The writing of a put option on a futures
contract constitutes a partial hedge against increasing prices of the securities
which are deliverable upon exercise of the futures contract. If the futures
price at expiration of the options is higher than the exercise price, a
Portfolio will retain the full amount of the option premium, less related
transaction costs, which provides a partial hedge against any increase in the
price of securities which the Portfolio intends to purchase. If a put or call
option a Portfolio has written is exercised, the Portfolio may incur a loss
which will be reduced by the amount of the premium it receives, less related
transaction costs. A straddle involves the simultaneous writing of put and call
options with respect to a futures contract. The Portfolios will cover these
6
<PAGE>
straddles in accordance with applicable law. Depending on the degree of
correlation between changes in the value of the portfolio securities of a
Portfolio and changes in the value of its futures positions, a Portfolio's
losses from existing options on futures contracts may to some extent be reduced
or increased by changes in the value of the Portfolio's securities. The writer
of an option futures contract is subject to the requirement of initial and
variation margin payments.
A Portfolio may cover the writing of call options on futures contracts (a)
through purchases of the underlying futures contract, or (b) through the holding
of a call on the same futures contract and in the same principal amount as the
call written where the exercise price of the call held (i) is equal to or less
than the exercise price of the call written or (ii) is greater than the exercise
price of the call written if the difference is maintained by the Trust on behalf
of a Portfolio in cash, cash equivalents or U.S. Treasury securities in a
segregated account with its custodian. The Trust may cover the writing of put
options on futures contracts on behalf of a Portfolio (a) through sales of the
underlying futures contract, (b) through segregation of cash, cash equivalents
or U.S. Treasury securities in an amount equal to the value of the security or
index underlying the futures contract, or (c) through the holding of a put on
the same futures contract and in the same principal amount as the put written
where the exercise price of the put held is equal to or greater than the
exercise price of the put written or less than the exercise price of the put
written if the difference is maintained by the Portfolio in cash, cash
equivalents or U.S. Treasury securities in a segregated account with its
custodian. Put and call options on futures contracts written by the Trust on
behalf of a Portfolio may also be covered in such other manner as may be in
accordance with the requirements of the exchange on which they are traded and
applicable laws and regulations.
The amount of risk a Portfolio assumes when it purchases an option on a futures
contract is the premium paid for the option plus related transaction costs,
although in order to realize a profit it may be necessary to exercise the option
and close out the underlying futures contract, subject to the risks of futures
trading described herein. In addition to the correlation risks discussed above,
the purchase of an option also entails the risk that changes in the value of the
underlying futures contract will not be fully reflected in the value of the
option purchased. The writing of an option on a futures contract, however,
involves all of the risks of futures trading, including the requirement to make
initial and variation margin payments.
Although techniques other than the sale and purchase of futures contracts and
options on futures contracts could be used to control a Portfolios' exposure to
market fluctuations, the use of futures contracts may be a more effective means
of hedging this exposure. While a Portfolio will incur commission expenses in
both opening and closing out futures positions, these costs are lower than
transaction costs incurred in the purchase and sale of the underlying
securities.
Risks of Futures Contracts and Options on Futures Contracts: Various additional
risks exist with respect to the trading of futures contracts and options on
futures contracts. For example, the Trust's ability effectively to hedge all or
a portion of the holdings of a Portfolio through transactions in such
instruments will depend on the degree to which price movements in the underlying
index or instrument correlate with price movements in the relevant portion of
the Portfolio's holdings. The trading of futures contracts and options entails
the additional risk of imperfect correlation between movements in the futures or
option price and the price of the underlying index or obligation, while the
writing of options also entails the risk of imperfect correlation between
securities used to cover options written and the securities underlying such
options.
Positions in futures contracts may be closed out only on an exchange which
provides a secondary market for such futures. However, there can be no
assurance that a liquid secondary market will exist for any particular futures
contract at any specific time. Thus, it may not be possible to close a futures
position. In the event of adverse price movements, a Portfolio unable to close
out a futures position would continue to be required to make daily cash payments
to maintain its required margin. In such situations, if a Portfolio has
insufficient cash, it may have to sell portfolio securities to meet daily margin
requirements at a time when it may be disadvantageous to do so. In addition, a
Portfolio may be required to make delivery of the instruments underlying futures
7
<PAGE>
contracts it holds. The inability to close options and futures positions also
could have an adverse impact on the ability of the Portfolio to hedge
effectively. A Portfolio will minimize the risk that it will be unable to close
out a futures contract by only entering into futures which are traded on
national futures exchanges and for which there appears to be a liquid secondary
market.
Futures contracts entail risks. If the Adviser's investment judgment about the
general direction of interest rates is incorrect, the overall performance of a
Portfolio that has entered into a futures contract would be poorer than if it
had not entered into any such contract. If, for example, a Portfolio has hedged
against the possibility of an increase in interest rates, which increase would
adversely affect the price of bonds held in its portfolio, and interest rates
decrease instead, the Portfolio will lose part or all of the benefit of the
increased value of its hedged bonds because it will have offsetting losses in
its futures positions. In addition, in such situations, if a Portfolio has
insufficient cash, it may have to sell bonds from its portfolio to meet daily
variation margin requirements. Such sales of bonds may be, but will not
necessarily be, at increased prices which reflect the rising market. A
Portfolio may, therefore, have to sell securities at a time when it may be
disadvantageous to do so.
The risk of loss in trading futures contracts in some strategies can be
substantial, due to both the low margin deposits required and the extremely high
degree of leverage involved in futures pricing. As a result, a relatively small
price movement in a futures contract may result in immediate and substantial
loss (as well as gain) to a Portfolio. For example, if at the time of purchase
10% of the value of the futures contract is deposited as margin, a subsequent
10% decrease in the value of the futures contract would result in a total (100%)
loss of the margin deposit, before any deduction for the transaction costs, if
the account were then closed out. A 15% decrease would result in a loss equal to
150% of the original margin deposit if the contract were closed out. Thus, a
purchase or sale of a futures contract may result in losses in excess of the
amount invested in the contract. However, because a Portfolio will engage in
futures strategies only for hedging purposes, the Adviser does not believe that
the Portfolio is subject to the risks of loss frequently associated with futures
transactions. A Portfolio would presumably have sustained comparable losses if,
instead of transacting in the futures contract, it had invested in the
underlying financial instrument and sold it after the decline. The risk of loss
from the purchase of options is less than the risk from the purchase or sale of
futures contracts because the maximum amount at risk is the premium paid for the
option.
Utilization of futures transactions by a Portfolio does involve the risk of
imperfect or no correlation where the securities underlying futures contracts
have different maturities than the portfolio securities being hedged. It is
also possible that a Portfolio could both lose money on futures contracts and
experience a decline in the value of its portfolio securities. There is also
the risk of loss by a Portfolio of margin deposits in the event of the
bankruptcy of a broker with whom the Portfolio has an open position in a futures
contract or related option.
Most futures exchanges limit the amount of fluctuation permitted in futures
contract prices during a single trading day. The daily limit establishes the
maximum amount that the price of a futures contract may vary either up or down
from the previous day's settlement price at the end of a trading session. Once
the daily limit has been reached in a particular type of contract, no trades may
be made on that day at a price beyond that limit. The daily limit governs only
price movement during a particular trading day and therefore does not limit
potential losses because the limit may prevent the liquidation of unfavorable
positions. Futures contract prices have occasionally moved to the daily limit
for several consecutive trading days with little or no trading, thereby
preventing prompt liquidation of future positions and subjecting some futures
traders to substantial losses.
GNMA SECURITIES--Securities issued by GNMA are wholly-owned U.S. Government
corporation which guarantees the timely payment of principal and interest.
However, any premiums paid to purchase these instruments are not subject to GNMA
guarantees. The market value and interest yield of these instruments can vary
due to market interest rate fluctuations and early prepayments of underlying
mortgages. These securities represent ownership in a pool of federally insured
mortgage loans. GNMA certificates consist of underlying mortgages with a
maximum maturity of 30 years. However, due to scheduled and unscheduled
principal
8
<PAGE>
payments, GNMA certificates have a shorter average maturity and, therefore, less
principal volatility than a comparable 30-year bond. Since prepayment rates vary
widely, it is not possible to accurately predict the average maturity of a
particular GNMA pool. The scheduled monthly interest and principal payments
relating to mortgages in the pool will be "passed through" to investors. GNMA
securities differ from conventional bonds in that principal is paid back to the
certificate holders over the life of the loan rather than at maturity. As a
result, a Portfolio will receive monthly scheduled payments of principal and
interest. In addition, a Portfolio may receive unscheduled principal payments
representing prepayments on the underlying mortgages. Any prepayments will be
reinvested at the then prevailing interest rate.
Although GNMA certificates may offer yields higher than those available from
other types of U.S. Government securities, GNMA certificates may be less
effective than other types of securities as a means of "locking in" attractive
long-term rates because of the prepayment feature.
In determining the dollar-weighted average maturity or duration of each non-
money market Portfolio (except the Short-Term Mortgage, Short Duration Mortgage,
Treasury, Treasury II and Federal Securities Portfolios), the Adviser will
follow industry practice in assigning an average life to the mortgage-related
securities of each Portfolio. If the interest rate on the mortgages underlying
such securities is such that prepayments are likely, the Adviser will assign an
average life to such securities that differs from their stated maturity. For
example, where a GNMA certificate has a high interest rate relative to the
market rate, that GNMA certificate is likely to have a shorter overall maturity
because of prepayments on the underlying mortgages than a GNMA certificate with
a current market rate of interest. Moreover, the Adviser may deem it appropriate
to change the projected average life for a Portfolio's securities as a result of
fluctuations in market interest rates and other factors.
REPURCHASE AGREEMENTS - agreements under which securities are acquired from a
securities dealer or bank subject to resale on an agreed upon date and at an
agreed upon price which includes principal and interest. A Portfolio involved
bears a risk of loss in the event that the other party to a repurchase agreement
defaults on its obligations and a Portfolio is delayed or prevented from
exercising its rights to dispose of the collateral securities. The Adviser
enters into repurchase agreements only with financial institutions which they
deem to present minimal risk of bankruptcy during the term of the agreement
based on guidelines which are periodically reviewed by the Board of Trustees.
These guidelines currently permit a Portfolio to enter into repurchase
agreements only with approved banks and primary securities dealers, as
recognized by the Federal Reserve Bank of New York, which have minimum net
capital of $100 million, or with a member bank of the Federal Reserve System.
Repurchase agreements are considered to be loans collateralized by the
underlying security. Repurchase agreements entered into by a Portfolio will
provide that the underlying security at all times shall have a value at least
equal to 102% of the price stated in the agreement. This underlying security
will be marked to market daily. The Adviser monitors compliance with this
requirement. Under all repurchase agreements entered into by any Portfolio, the
custodian for that Portfolio or an agent of that custodian must take possession
of the underlying collateral. However, if the seller defaults, a Portfolio
could realize a loss on the sale of the underlying security to the extent the
proceeds of the sale are less than the resale price. In addition, even though
the Bankruptcy Code provides protection for most repurchase agreements, if the
seller should be involved in bankruptcy or insolvency proceedings, a Portfolio
may incur delay and costs in selling the security and may suffer a loss of
principal and interest if that Portfolio is treated as an unsecured creditor.
Each Portfolio except the Short-Term Mortgage, Short Duration Mortgage,
Government II and Treasury II may invest in repurchase agreements.
TIME DEPOSITS--a non-negotiable receipt issued by a bank in exchange for the
deposit of funds. Like a certificate of deposit, it earns a specified rate of
interest over a definite period of time; however, it cannot be traded in the
secondary market. Time deposits with a withdrawal penalty are considered to be
illiquid securities; no Portfolio will invest more than 10% of its net assets in
such time deposits and other illiquid securities. All Portfolios may invest in
time deposits.
U.S. GOVERNMENT AGENCY OBLIGATIONS--agencies of the U.S. Government which issue
obligations consisting of, among others, the Export Import Bank of the United
States, Farmers Home Administration, Federal Farm Credit Bank, Federal Housing
Administration, Government National Mortgage Association,
9
<PAGE>
Maritime Administration, Small Business Administration, and The Tennessee Valley
Authority. The Portfolios may purchase securities guaranteed by the Government
National Mortgage Association which represent participation in Veterans
Administration and Federal Housing Administration backed mortgage pools.
Obligations of instrumentalities of the U.S. Government include securities
issued by, among others, Federal Home Loan Banks, Federal Home Loan Mortgage
Corporation, Federal Intermediate Credit Banks, Federal Land Banks, Federal
National Mortgage Association and the U.S. Postal Service. Some of these
securities are supported by the full faith and credit of the U.S. Treasury
(e.g., Government National Mortgage Association), others (in which all
Portfolios permitted to invest in agencies' securities may invest) are supported
by the right of the issuer to borrow from the Treasury and still others (in
which only the Short Duration Mortgage, Short-Term Mortgage, Corporate Daily
Income and Government Securities Daily Income Portfolios may invest) are
supported only by the credit of the instrumentality (e.g., Federal National
Mortgage Association). Guarantees of principal by agencies or instrumentalities
of the U.S. Government may be a guarantee of payment at the maturity of the
obligation so that in the event of a default prior to maturity there might not
be a market and thus no means of realizing the value of the obligation prior to
maturity. The Trust does not intend to purchase securities issued by the World
Bank, the Inter-American Development Bank or the Asian Development Bank. All
Portfolios except the Treasury, Treasury II and Federal Securities Portfolio may
invest in U.S. agency obligations.
VARIABLE OR FLOATING RATE INSTRUMENTS--may involve a demand feature and may
include variable amount master demand notes which may or may not be backed by
bank letters of credit. Variable or floating rate instruments bear interest at
a rate that varies with changes in market rates. The holder of an instrument
with a demand feature may tender the instrument back to the issuer at par prior
to maturity. A variable amount master demand note is issued pursuant to a
written agreement between the issuer and the holder, its amount may be increased
by the holder or decreased by the holder or issuer, it is payable on demand, and
the rate of interest varies based upon an agreed formula. The quality of the
underlying credit must, in the opinion of the Advisers, be equivalent to the
long-term bond or commercial paper ratings applicable to permitted investments
for each Portfolio. The Adviser will monitor on an ongoing basis the earning
power, cash flow, and liquidity ratios of the issuers of such instruments and
will similarly monitor the ability of an issuer of a demand instrument to pay
principal and interest on demand. The Government Securities Daily Income
Portfolio may invest in variable or floating rate instruments.
WHEN-ISSUED SECURITIES--These securities involve the purchase of debt
obligations on a when-issued basis, in which case delivery and payment normally
take place within 45 days after the date of commitment to purchase. The
Portfolios will make commitments to purchase obligations on a when-issued basis
only with the intention of actually acquiring the securities, but may sell them
before the settlement date. The when-issued securities are subject to market
fluctuation, and no interest accrues to the purchaser during the period prior to
settlement. The payment obligation and the interest rate that a Portfolio will
receive on the securities are each fixed at the time the Portfolio enters into
the commitment. Purchasing obligations on a when-issued basis is a form of
leveraging and can involve a risk that the yields available in the market when
delivery takes place may actually be higher than those obtained in the
transaction itself, in which case the Portfolio could experience an unrealized
loss at the time of delivery.
Segregated accounts comprised of liquid assets will be established with the
custodian for the Portfolios in an amount at least equal in value to each such
Portfolio's commitments to purchase when-issued securities. If the value of
these assets declines, the appropriate Portfolio will place additional liquid
assets in the account on a daily basis so that the value of the assets in the
account is equal to the amount of such commitments. All Portfolios may invest in
when-issued securities.
THE MANAGER AND SHAREHOLDER SERVICING AGENT
The Management Agreement provides that the Manager shall not be liable for any
error of judgment or mistake of law or for any loss suffered by the Trust in
connection with the matters to which the Management Agreement
10
<PAGE>
relates, except a loss resulting from willful misfeasance, bad faith or gross
negligence on the part of the Manager in the performance of its duties or from
reckless disregard of its duties and obligations thereunder.
The continuance of the Management Agreement with respect to each Portfolio must
be specifically approved at least annually (i) by the vote of a majority of the
Trustees or by the vote of a majority of the outstanding voting securities of
that Portfolio, and (ii) by the vote of a majority of the Trustees of the Trust
who are not parties to the Management Agreement or an "interested person" (as
that term is defined in the 1940 Act) of any party thereto, cast in person at a
meeting called for the purpose of voting on such approval. The Management
Agreement is terminable, without penalty, at any time as to any Portfolio by the
Trustees of the Trust, by a vote of a majority of the outstanding shares of that
Portfolio or by the Manager on not less than 30 days' nor more than 60 days'
written notice.
The Manager, a wholly-owned subsidiary of SEI Corporation ("SEI"), was organized
as a Delaware corporation in 1969 and has its principal business offices at 101
Main Street, Cambridge, Massachusetts 02142. Alfred P. West, Jr., Carmen V.
Romeo and Henry H. Greer constitute the Board of Directors of the Manager. Mr.
West serves as the Chairman of the Board of Directors and Chief Executive
Officer of the Manager and SEI. Mr. Greer serves as President and Chief
Operating Officer of the Manager and SEI. SEI and its subsidiaries are leading
providers of funds evaluation services, trust accounting systems, and brokerage
and information services to financial institutions, institutional investors and
money managers. The Manager also serves as manager to the following other
mutual funds: SEI Liquid Asset Trust; SEI Tax Exempt Trust; SEI Institutional
Managed Trust; SEI Index Funds; SEI International Trust; Stepstone Funds
(formerly Union Investors Funds); The Compass Capital Group of Funds; FFB
Lexicon Funds; The Advisors' Inner Circle Fund; The Pillar Funds; CUFUND; STI
Classic Funds; CoreFunds, Inc.; First American Funds, Inc.; First American
Investment Funds, Inc.; First American Mutual Funds; Rembrandt Funds; The Arbor
Fund; 1784 Funds; The PBHG Funds, Inc. (formerly, The Advisors' Inner Circle II
Fund, Inc.); Marquis Funds ; Nationar Funds, Inc.; Inventor Funds, Inc.; Morgan
Grenfell Investment Trust; and Insurance Investments Products Trust.
The Manager is obligated under the Management Agreement to pay the excess of a
Portfolio's operating expenses over the following limitations: Federal
Securities Portfolio and Money Market Portfolio (Class A shares), 1.00% of
average daily net assets; Money Market Portfolio (Class B shares), 1.30% of
average daily net assets; Money Market Portfolio (Class C shares), 1.50% of
average daily net assets; Treasury II Portfolio (Class A shares) and Government
Portfolio (Class A shares), .25% of average daily net assets; Treasury II
Portfolio (Class B shares) and Government Portfolio (Class B shares), .55% of
average daily net assets; Treasury II Portfolio (Class C shares) and Government
Portfolio (Class C shares), .75% of average daily net assets; Prime Obligation
Portfolio (Class A shares), Government II Portfolio (Class A shares) and
Treasury Portfolio (Class A shares), .20% of average daily net assets; Prime
Obligation Portfolio (Class B shares), Government II Portfolio (Class B shares)
and Treasury Portfolio (Class B shares), .50% of average daily net assets; and
Prime Obligation Portfolio (Class C shares), Government II Portfolio (Class C
shares) and Treasury Portfolio (Class C shares), .70% of average daily net
assets. If operating expenses of any Portfolio exceed limitations established
by certain states, the Manager will pay such excess. The Manager will not be
required to bear expenses of any Portfolio to an extent which would result in
the Portfolio's inability to qualify as a regulated investment company under
provisions of the Internal Revenue Code. The term "expenses" is defined in such
laws or regulations, and generally excludes brokerage commissions, distribution
expenses, taxes, interest and extraordinary expenses. Certain voluntary and
contractual fee waivers and reimbursement arrangements by the Manager were in
effect during the fiscal year ended January 31, 1995; these voluntary fee
waivers and reimbursement arrangements are described in the Prospectuses.
For the fiscal years ended January 31, 1993, 1994 and 1995, the Portfolios
paid fees to the Manager as follows:
11
<PAGE>
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------------------------
Fees Paid (000) Fee Waivers and Reimbursements (000)
---------------------------------------------------------------------------------
1993 1994 1995 1993 1994 1995
- ----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Money Market Portfolio $ 768 $ 542 $ 220 $ 92 $ 181 $ 491
- ----------------------------------------------------------------------------------------------------------------------------------
Prime Obligation Portfolio $1,902 $2,669 $2,551 $1,555 $1,337 $1,697
- ----------------------------------------------------------------------------------------------------------------------------------
Government Portfolio $ 13 $ 6 $ 121 $ 26 $ 7 $ 285
- ----------------------------------------------------------------------------------------------------------------------------------
Government II Portfolio $ 697 $ 826 $ 861 $ 454 $ 473 $ 574
- ----------------------------------------------------------------------------------------------------------------------------------
Treasury Portfolio $ 7 $ 55 $ 56 $ 30 $ 51 $ 59
- ----------------------------------------------------------------------------------------------------------------------------------
Treasury II Portfolio $ 582 $ 639 $ 616 $ 222 $ 263 $ 313
- ----------------------------------------------------------------------------------------------------------------------------------
Federal Securities Portfolio $1,236 $ 166 $ 50 $ 175 $ 0 $ 2
- ----------------------------------------------------------------------------------------------------------------------------------
Corporate Daily Income Portfolio * $ 14 $ 70 * $ 29 $ 82
- ----------------------------------------------------------------------------------------------------------------------------------
Government Securities Daily Income Portfolio * * * * * *
- ----------------------------------------------------------------------------------------------------------------------------------
Short-Term Mortgage Portfolio * $ (1) $ 8 * $ 5 $ 9
- ----------------------------------------------------------------------------------------------------------------------------------
Short Duration Mortgage Portfolio * * * * * *
- ----------------------------------------------------------------------------------------------------------------------------------
Short-Term Government Portfolio $ 226 $ 323 $ 333 $ 69 $ 65 $ 61
- ----------------------------------------------------------------------------------------------------------------------------------
Intermediate-Term Government Portfolio $ 645 $ 885 $ 866 $ 154 $ 188 $ 188
- ----------------------------------------------------------------------------------------------------------------------------------
GNMA Portfolio $ 435 $ 671 $ 744 $ 74 $ 86 $ 34
==================================================================================================================================
</TABLE>
* Not in operation during such period.
THE ADVISER
The Trust and Wellington Management Company ("the Adviser") have entered into
four advisory agreements (the "Advisory Agreements," and each an "Advisory
Agreement") dated September 30, 1983, December 15, 1986, August 4, 1993 and June
30, 1994. The Advisory Agreements provide that the Adviser shall not be
protected against any liability to the Trust or its shareholders by reason of
willful misfeasance, bad faith or gross negligence on its part in the
performance of its duties or from reckless disregard of its obligations or
duties thereunder.
The continuance of the Advisory Agreements with respect to any Portfolio after
the first two (2) years of such Agreement must be specifically approved at least
annually (i) by the vote of a majority of the outstanding shares of that
Portfolio or by the Trustees, and (ii) by the vote of a majority of the Trustees
who are not parties to such Advisory Agreements or "interested persons" of any
party thereto, cast in person at a meeting called for the purpose of voting on
such approval. The Advisory Agreements will terminate automatically in the
event of its assignment, and is terminable at any time without penalty by the
Trustees of the Trust or, with respect to a Portfolio, by a majority of the
outstanding shares of that Portfolio, on not less than 30 days' nor more than 60
days' written notice to the Adviser, or by the Adviser on 90 days' written
notice to the Trust.
Wellington Management Company ("WMC"), Adviser to the Money Market, Prime
Obligation, Government, Government II, Treasury, Treasury II, Federal
Securities, Corporate Daily Income, Government Securities Daily Income, Short-
Term Mortgage, Short Duration Mortgage, Short- Term Government, Intermediate-
Term Government and GNMA Portfolios, is entitled to a fee, for its investment
advisory services, which is accrued daily and paid monthly at the following
annual rates: .075% of the combined daily net assets of the Money Market, Prime
Obligation, Government, Government II, Treasury, Treasury II and Federal
Securities Portfolios up to $500 million and .02% of
12
<PAGE>
such net assets in excess of $500 million; .10% of the combined daily net assets
of the Short-Term Government, Intermediate-Term Government and GNMA Portfolios
up to $500 million, .075% of such net assets from $500 million to $1 billion,
and .05% of such net assets in excess of $1 billion; .10% of the combined daily
net assets of the Corporate Daily Income and Government Securities Daily Income
Portfolios up to $500 million, .075% of such net assets from $500 million to $1
billion, and .05% of such assets in excess of $1 billion; and .10% of the
combined average daily net assets of the of the Short-Term Mortgage and Short
Duration Mortgage for the first $500 million, .075% of such assets from $500
million to $1 billion and .05% of such assets in excess of $1 billion. WMC may
voluntarily waive portions of its fees, although such waiver is not expected to
affect any Portfolio's total operating expenses, due to the nature of the
Manager's fee waivers. WMC may terminate its waiver at any time. The Trust's
investment advisory agreement respecting the Short-Term Mortgage and Short
Duration Mortgage Portfolios with Bear Stearns Asset Management was terminated
by the Board of Trustees on June 8, 1994 and by written consent of sole
shareholder on September 30, 1994, respectively. As of June 30, 1994, WMC has
served as investment adviser to the Short-Term Mortgage and Short Duration
Mortgage Portfolios, respectively.
For the fiscal years ended January 31, 1993, 1994 and 1995, the Portfolios
paid WMC advisory fees as follows:
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------------------------------------
Fees Paid (000) Fee Waivers (000)
----------------------------------------------------------------------
1993 1994 1995 1993 1994 1995
- -----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Money Market Portfolio $ 65 $ 52 $ 46 $ 7 $ 9 $ 13
- -----------------------------------------------------------------------------------------------------------------------
Prime Obligation Portfolio $ 147 $ 207 $ 165 $ 105 $ 381 $ 443
- -----------------------------------------------------------------------------------------------------------------------
Government Portfolio $ 1 $ 1 $ 12 $ 1 $ 1 $ 34
- -----------------------------------------------------------------------------------------------------------------------
Government II Portfolio $ 51 $ 68 $ 56 $ 33 $ 123 $ 150
- -----------------------------------------------------------------------------------------------------------------------
Treasury Portfolio $ 1 $ 4 $ 3 $ 1 $ 8 $ 10
- -----------------------------------------------------------------------------------------------------------------------
Treasury II Portfolio $ 30 $ 37 $ 28 $ 17 $ 68 $ 77
- -----------------------------------------------------------------------------------------------------------------------
Federal Securities Portfolio $ 60 $ 8 $ 2 $ 11 $ 0 $ 0
- -----------------------------------------------------------------------------------------------------------------------
Corporate Daily Income Portfolio * $ 4 $ 36 * $ 8 $ 6
- -----------------------------------------------------------------------------------------------------------------------
Government Securities Daily Income Portfolio * * * * * *
- -----------------------------------------------------------------------------------------------------------------------
Short-Term Mortgage Portfolio * $ 1 $ 5 * $ 0 $ 0
----------------------------------------------------------------------
Bear Stearns Asset Management N/A $ 1 $ 2 N/A $ 0 $ 0
----------------------------------------------------------------------
Wellington Management Company N/A N/A $ 3 N/A N/A $ 0
- -----------------------------------------------------------------------------------------------------------------------
Short Duration Mortgage Portfolio * * * * * *
- -----------------------------------------------------------------------------------------------------------------------
Short-Term Government Portfolio $ 67 $ 89 $ 88 $ 16 $ 16 $ 16
- -----------------------------------------------------------------------------------------------------------------------
Intermediate-Term Government Portfolio $ 187 $ 248 $ 235 $ 43 $ 44 $ 43
- -----------------------------------------------------------------------------------------------------------------------
GNMA Portfolio $ 127 $ 191 $ 190 $ 30 $ 34 $ 35
=======================================================================================================================
</TABLE>
* Not in operation during such period.
13
<PAGE>
DISTRIBUTION
The Trust has adopted a Distribution Plan (each a "Plan" and, collectively, the
"Plans") for the Class A, Class B, Class C and Class D shares of each
Portfolio (the Federal Securities Portfolio has only Class A shares, and only
the Corporate Daily Income, Short-Term Government, Intermediate-Term Government
and GNMA Portfolios have Class D shares) in accordance with the provisions of
Rule 12b-1 under the 1940 Act, which regulates circumstances under which an
investment company may directly or indirectly bear expenses relating to the
distribution of its shares. In this regard, the Board of Trustees has determined
that the Plans and the Distribution are in the best interests of the
shareholders. Continuance of the Plans must be approved annually by a majority
of the Trustees of the Trust and by a majority of the trustees who are not
"interested persons" of the Trust as that term is defined in the 1940 Act and
who have no direct or indirect financial interest in the operation of a
Distribution Plan or in any agreements related thereto ("Qualified Trustees").
The Plans require that quarterly written reports of amounts spent under the
Plans and the purposes of such expenditures be furnished to and reviewed by the
Trustees. The Plans may not be amended to increase materially the amount which
may be spent thereunder without approval by a majority of the outstanding shares
of the Portfolio or class affected. All material amendments of the Plans will
require approval by a majority of the Trustees of the Trust and of the Qualified
Trustees.
The Class D Distribution Plan adopted by the Class D shareholders provides
that the Trust will pay the Distributor a fee up to .30% of the average daily
net assets of a Portfolio's Class D class which the Distributor can use to
compensate broker-dealers and service providers, including SEI Financial
Services Company and its affiliates which provide distribution related services
to Class D shareholders or their customers who beneficially own Class D
shares.
The distribution-related services that may be provided under the Plans include
establishing and maintaining customer accounts and records; aggregating and
processing purchase and redemption requests from customers; placing net purchase
and redemption orders with the Distributor; automatically investing customer
account cash balances, providing periodic statements to customers; arranging for
wires; answering customer inquiries concerning their investments; assist
customers in changing dividend options, account designations, and addresses;
performing sub-accounting functions; processing dividend payments from the Trust
on behalf of customers; and forwarding shareholder communications from the Trust
(such as proxies, shareholder reports and dividend distribution and tax notices)
to these customers with respect to investments in the Trust. Certain state
securities laws may require those financial institutions providing such
distribution services to register as dealers pursuant to state law.
Except to the extent that the Manager and/or Adviser benefitted through
increased fees from an increase in the net assets of the Trust which may have
resulted in part from the expenditures, no interested person of the Trust nor
any Trustee of the Trust who is not an interested person of the Trust had a
direct or indirect financial interest in the operation of the Distribution Plans
or related agreements.
Although banking laws and regulations prohibit banks from distributing shares of
open-end investment companies such as the Trust, according to an opinion issued
to the staff of the SEC by the Office of the Comptroller of the Currency,
financial institutions are not prohibited from acting in other capacities for
investment companies, such as providing shareholder services. Should future
legislative, judicial or administrative action prohibit or restrict the
activities of financial institutions in connection with providing shareholder
services, the Trust may be required to alter materially or discontinue its
arrangements with such financial institutions.
For the fiscal year ended January 31, 1995, the Portfolios incurred the
following distribution expenses:
14
<PAGE>
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------------------------------------------------------
Total Dist. Amount Paid to
Expenses as 3rd Parties by
Total Dist. a % of net SFS for Sales Printing Other
Portfolio Class Expenses assets Distributor Expenses Costs Costs*
Related Services
- -------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
A $ 113,236 .05% N/A $ 64,307 $ 8,625 $ 40,304
Money Market Portfolio -----------------------------------------------------------------------------------
B $ 15,657 .35% $ 13,282 $ 1,349 $ 181 $ 845
- -------------------------------------------------------------------------------------------------------------------------------
A $1,201,377 .05% N/A $668,626 $86,042 $446,709
Prime Obligation Portfolio -----------------------------------------------------------------------------------
B $ 50,369 .35% $ 42,665 $ 4,288 $ 552 $ 2,864
-----------------------------------------------------------------------------------
C $ 21,625 .55% $ 19,512 1,176 $ 151 $ 786
- -------------------------------------------------------------------------------------------------------------------------------
Government Portfolio C $1,006,724 .60% $845,496 $ 47,602 $ 4,579 $109,047
- -------------------------------------------------------------------------------------------------------------------------------
A $ 404,173 .06% N/A $235,307 $29,491 $139,375
Government II Portfolio -----------------------------------------------------------------------------------
B $ 49,458 .36% $ 41,866 $ 4,420 $ 554 $ 2,618
- -------------------------------------------------------------------------------------------------------------------------------
Treasury Portfolio A $ 23,466 .05% N/A $ 14,780 $ 1,999 $ 6,687
- -------------------------------------------------------------------------------------------------------------------------------
A $ 204,292 .06% N/A $111,541 $14,974 $ 77,777
Treasury II Portfolio -----------------------------------------------------------------------------------
B $ 90,893 .36% $ 76,482 $ 7,868 $ 1,056 $ 5,487
- -------------------------------------------------------------------------------------------------------------------------------
Federal Securities Portfolio*** A $ (4,452) (.05)% N/A $ 3,190 $(2,429) $ (5,213)
- -------------------------------------------------------------------------------------------------------------------------------
Corporate Daily Income Portfolio A $ 24,364 .06% N/A $ 13,223 $ 2,697 $ 8,444
-----------------------------------------------------------------------------------
D ** ** ** ** ** **
- -------------------------------------------------------------------------------------------------------------------------------
Government Securities Daily A ** ** ** ** ** **
Income Portfolio
- -------------------------------------------------------------------------------------------------------------------------------
Short-Term Mortgage Portfolio A $ 1,761 .04% N/A $ 1,517 $ 300
- -------------------------------------------------------------------------------------------------------------------------------
Short Duration Mortgage Portfolio A ** ** ** ** ** **
- -------------------------------------------------------------------------------------------------------------------------------
A $ 51,326 .05% N/A $ 34,900 $ 8,787 $ 7,639
Short-Term Government Portfolio -----------------------------------------------------------------------------------
B $ 312 .35% $ 271 $ 28 $ 7 $ 6
- -------------------------------------------------------------------------------------------------------------------------------
A $ 158,953 .05% N/A $ 93,915 $40,668 $ 24,370
Intermediate-Term Government Portfolio -----------------------------------------------------------------------------------
D $ 446 .30% $ 367 $ 47 $ 21 $ 11
- -------------------------------------------------------------------------------------------------------------------------------
A $ 130,001 .05% N/A $ 77,556 $35,262 $ 17,183
GNMA -----------------------------------------------------------------------------------
D $ 469 .30% $ 387 $ 48 $ 21 $ 13
===============================================================================================================================
</TABLE>
* Costs of complying with securities laws pertaining to the distribution of
shares.
** Not in operation during such period.
TRUSTEES AND OFFICERS OF THE TRUST
15
<PAGE>
The Trustees and executive officers of the Trust and their principal occupations
for the last five years are set forth below. Each may have held other positions
with the named companies during that period. Unless otherwise noted, the
business address of each Trustee and executive officer is SEI Financial
Management Corporation, 680 E. Swedesford Road, Wayne, PA 19087. Certain
trustees and officers of the Trust also serve as trustees and officers of some
or all of the following: SEI Liquid Asset Trust, SEI Institutional Managed
Trust, SEI Tax Exempt Trust, SEI Index Funds, SEI International Trust; Stepstone
Funds, The Compass Capital Group of Funds, FFB Lexicon Funds, The Advisors'
Inner Circle Fund, The Pillar Funds, CUFUND, STI Classic Funds, CoreFunds, Inc.,
First American Funds, Inc., First American Investment Funds, Inc., First
American Mutual Funds, The Arbor Fund, 1784 Funds, The PBHG Funds, Inc., Marquis
Funds , Morgan Grenfell Investment Trust Inventor Funds, Nationar Funds, Inc.
and Insurance Investment Products Trust, open-end management investment
companies which are managed by SEI Financial Management Corporation and
distributed by SEI Financial Services Company.
ROBERT A. NESHER - Chief Executive Officer, Chairman of the Board of Trustees* -
Retired since 1994. Executive Vice President of SEI 1986-1994. Director and
Executive Vice President of the Manager and Executive Vice President of the
Distributor 1981-1994.
RICHARD F. BLANCHARD - Trustee** - P.O. Box 76, Canfield Road, Convent Station,
NJ 07961. Private Investor. Director of AEA Investors Inc. (acquisition and
investment firm) June 1981-86, Director of Baker Hughes Corp. (oil service
company) 1976-88. Director of Imperial Clevite Industries (transportation
equipment company) 1981-87. Executive Vice President of American Express
Company (financial services company), responsible for the investment function,
before June 1981.
WILLIAM M. DORAN - Trustee* - 2000 One Logan Square, Philadelphia, PA 19103.
Partner of Morgan, Lewis & Bockius, counsel to the Trust, Manager and
Distributor, Director and Secretary of SEI and Secretary of the Manager and
Distributor.
F. WENDELL GOOCH - Trustee** - P.O. Box 190, Paoli, IN 47454. Director, STI
Classic Funds since 1992. President, Orange County Publishing Co., Inc., since
October 1981. Publisher of the Paoli News and the Paoli Republican and Editor
of the Paoli Republican since January 1981, President, H & W Distribution, Inc.
since July 1984. Executive Vice President, Trust Department, Harris Trust and
Savings Bank and Chairman of the Board of Directors of The Harris Trust Company
of Arizona before January 1981. Trustee of STI Classic Funds.
FRANK E. MORRIS - Trustee** - 105 Walpole Street, Dover, MA 02030. Retired
since 1990. Peter Drucker Professor of Management, Boston College since 1989.
President, Federal Reserve Bank of Boston, 1968-1988. Trustee of The Arbor
Fund, Marquis Funds, Advisors' Inner Circle Fund, Advisors' Inner Circle Fund
II, Inc. and FFB Lexicon Funds.
JAMES M. STOREY - Trustee** - Ten Post Office Square, Boston, MA 02109. Partner
of Dechert Price & Rhodes (law firm).
DAVID G. LEE - President - Senior Vice President of the Distributor since 1993.
Vice President of the Distributor since 1991. President, GW Sierra Trust Funds
prior to 1991.
CARMEN V. ROMEO - Treasurer, Assistant Secretary - Director, Executive Vice
President, Chief Financial Officer and Treasurer of SEI since 1977. Director
and Treasurer of the Manager and Distributor since 1981.
SANDRA K. ORLOW - Vice President, Assistant Secretary - Vice President and
Assistant Secretary of the Manager and Distributor since 1988. Corporate Legal
Assistant, Omni Exploration (oil and gas investment) prior to 1983.
ROBERT B. CARROLL - Vice President, Assistant Secretary - Vice President and
Assistant Secretary of the SEI Corporation, the Manager and Distributor since
1994. United States Securities and Exchange Commission, Division of Investment
Management, 1990-1994. Associate, McGuire, Woods, Battle & Boothe (lawfirm),
prior to 1990.
16
<PAGE>
KATHRYN L. STANTON - Vice President, Assistant Secretary - Vice President and
Assistant Secretary of SEI Corporation, the Manager and Distributor since 1994.
Associate, Morgan, Lewis & Bockius (law firm), 1989-1994.
KEVIN P. ROBINS - Vice President, Assistant Secretary - Senior Vice President
and General Counsel of SEI and the Distributor since 1994. Vice President and
Assistant Secretary of the Manager and the Distributor 1992-1994. Associate,
Morgan, Lewis & Bockius (law firm) prior to 1992.
JEFFREY A. COHEN - Controller, Assistant Secretary - Director of Funds
Accounting of SEI since 1991. Senior Accountant of Price Waterhouse 1989-1991.
RICHARD W. GRANT - Secretary - 2000 One Logan Square, Philadelphia, PA 19103,
Partner, Morgan, Lewis & Bockius, counsel to the Trust, Manager and Distributor.
================================================================================
*Messrs. Nesher and Doran are Trustees who may be deemed to be "interested
persons" of the Trust as the term is defined in the 1940 Act.
**Messrs. Blanchard, Gooch, Morris and Storey serve as members of the Audit
Committee of the Trust.
The Trustees and officers of the Trust own, as a group, less than 1% of the
outstanding shares of the Trust. The Trust pays the fees for unaffiliated
Trustees. Compensation of officers and affiliated Trustees of the Trust is paid
by the Manager.
COMPENSATION TABLE
<TABLE>
<CAPTION>
===================================================================================================================================
Aggregate Compensation Total Compensation From
Name of Person, from Registrant for the Pension or Retirement Estimated Annual Registrant and Trust
Position Fiscal Year Ended Benefits Accrued as Benefits Upon Complex Paid to Trustees
January 31, 1995 Part of Fund Expenses Retirement for the Fiscal Year Ended
January 31, 1995
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Edward W. Binshadler $ 75,000 N/A N/A $75,000 for services on 1
board
- -----------------------------------------------------------------------------------------------------------------------------------
Richard F. Blanchard $ 75,000 N/A N/A $75,000 for services on 1
board
- -----------------------------------------------------------------------------------------------------------------------------------
F. Wendell Gooch $ 75,000 N/A N/A $75,000 for services on 1
board
- -----------------------------------------------------------------------------------------------------------------------------------
Frank E. Morris $100,000 N/A N/A $100,000 for services on 2
boards
- -----------------------------------------------------------------------------------------------------------------------------------
James M. Storey $100,000 N/A N/A $100,000 for services on 2
boards
====================================================================================================================================
</TABLE>
INVESTMENT LIMITATIONS
Fundamental Policies
The following investment limitations are fundamental policies of each Portfolio
which cannot be changed with respect to a Portfolio without the consent of the
holders of a majority of that Portfolio's outstanding shares. The term
"majority of outstanding shares" means the vote of (i) 67% or more of a
Portfolio's shares present at a meeting, if not more than 50% of the outstanding
shares of a Portfolio are present or represented by proxy, or (ii) more than 50%
of a Portfolio's outstanding shares, whichever is less.
17
<PAGE>
A Portfolio may not:
1. Make loans, except that each Portfolio may purchase or hold debt instruments
in accordance with its investment objective and policies and may enter into
repurchase agreements, provided that repurchase agreements maturing in more
than seven days, restricted securities and other illiquid securities are not
to exceed, in the aggregate, 10% of the Portfolio's total assets.
2. Pledge, mortgage or hypothecate assets except to secure temporary borrowings
permitted by (1) above in aggregate amounts not to exceed 10% of the net
assets of such Portfolio taken at fair market value at the time of the
incurrence of such loan.
3. Invest in companies for the purpose of exercising control.
4. Acquire more than 10% of the voting securities of any one issuer.
5. Purchase or sell real estate, real estate limited partnership interests,
commodities or commodities contracts including (with the exception of the
Short-Term Government, Intermediate-Term Government, GNMA, Short-Term
Mortgage and Short Duration Mortgage Portfolios) futures contracts. However,
subject to its permitted investments, the Portfolios may purchase
obligations issued by companies which invest in real estate, commodities or
commodities contracts.
6. Make short sales of securities, maintain a short position or purchase
securities on margin, except that the Portfolios may obtain short-term
credits as necessary for the clearance of security transactions.
7. Act as an underwriter of securities of other issuers except as it may be
deemed an underwriter in selling a portfolio security.
8. Purchase securities of other investment companies; provided that all
Portfolios may purchase such securities as permitted by the 1940 Act and the
rules and regulations thereunder but, in any event, such Portfolios (except
the Short-Term Mortgage and Short Duration Mortgage Portfolios) may not
purchase securities of other open-end investment companies.
9. Issue senior securities (as defined in the 1940 Act) except in connection
with permitted borrowings as described in the Prospectuses and this
Statement of Additional Information or as permitted by rule, regulation or
order of the SEC.
10. Purchase or retain securities of an issuer if, to the knowledge of the
Trust, an officer, trustee, partner or director of the Trust or any
investment adviser of the Trust owns beneficially more than 1/2 of 1% of the
shares or securities of such issuer and all such officers, trustees,
partners and directors owning more than 1/2 of 1% of such shares or
securities together own more than 5% of such shares or securities.
11. Purchase securities of any company which has (with predecessors) a record of
less than three years continuing operations, except (i) obligations issued
or guaranteed by the U.S. Government, its agencies or instrumentalities, or
(ii) municipal securities which are rated by at least two nationally
recognized municipal bond rating services if, as a result, more than 5% of
the total assets (taken at fair market value) would be invested in such
securities.
12. Purchase warrants, puts, calls, straddles, spreads or combinations thereof,
except that the Short-Term Mortgage and Short Duration Mortgage Portfolios
may invest in options on futures contracts.
13. Invest in interests in oil, gas or other mineral exploration or development
programs.
18
<PAGE>
14. Purchase restricted securities (securities which must be registered under
the Securities Act of 1933 before they may be offered or sold to the public)
or other illiquid securities except as described in the Prospectuses and
this Statement of Additional Information.
The foregoing percentages will apply at the time of the purchase of a security
and shall not be considered violated unless an excess or deficiency occurs or
exists immediately after and as a result of a purchase of such security. These
investment limitations and the investment limitations in each Prospectus are
fundamental policies of the Trust and may not be changed without shareholders'
approval. In addition, it is a fundamental policy of the Money Market and Prime
Obligation Portfolios to invest only in high quality, U.S. dollar denominated
obligations maturing in one year or less (although obligations subject to
repurchase agreements may have a maturity in excess thereof), and to maintain an
average maturity (on a dollar weighted basis) of 90 days or less.
In addition, it is a non-fundamental policy of the Portfolios not to invest in
oil, gas or mineral leases.
PERFORMANCE
From time to time, each Portfolio may advertise yield and/or total return.
These figures will be based on historical earnings and are not intended to
indicate future performance.
The current yield of the Portfolios that are money market funds is calculated
daily based upon the 7 days ending on the date of calculation ("base period").
The yield is computed by determining the net change (exclusive of capital
changes) in the value of a hypothetical pre-existing shareholder account having
a balance of one share at the beginning of the period, subtracting a
hypothetical charge reflecting deductions from shareholder accounts and dividing
such net change by the value of the account at the beginning of the same period
to obtain the base period return and multiplying the result by (365/7).
Realized and unrealized gains and losses are not included in the calculation of
the yield.
These money market Portfolios compute their effective compound yield by
determining the net changes, exclusive of capital changes, in the value of a
hypothetical pre-existing account having a balance of one share at the beginning
of the period, subtracting a hypothetical charge reflecting deductions from
shareholder accounts, and dividing the difference by the value of the account at
the beginning of the base period to obtain the base period return, and then
compounding the base period return by adding 1, raising the sum to a power equal
to 365 divided by 7, and subtracting 1 from the result, according to the
following formula: Effective Yield = {(Base Period Return + 1)(365 divided by
the 7th power)} - 1. The current and the effective yields reflect the
reinvestment of net income earned daily on portfolio assets.
From time to time, the Trust may advertise the yield of the Short-Term
Government, Intermediate-Term Government, GNMA, Short-Term Mortgage, Short
Duration Mortgage, Corporate Daily Income and/or Government Securities Daily
Income Portfolios. These figures will be based on historical earnings and are
not intended to indicate future performance. The yield of these Portfolios
refers to the annualized income generated by an investment in a Portfolio over a
specified 30-day period. The yield is calculated by assuming that the income
generated by the investment during that period generated each period over one
year and is shown as a percentage of the investment. In particular, yield will
be calculated according to the following formula: Yield = 2[(((a-b)/cd) + 1)/6/
- - 1], where a = dividends and interest earned during the period; b = expenses
accrued for the period (net of reimbursement); c = the current daily number of
shares outstanding during the period that were entitled to receive dividends;
and d = the maximum offering price per share on the last day of the period.
Actual yields will depend on such variables as asset quality, average asset
maturity, the type of instruments a Portfolio invests in, changes in interest
rates on money market instruments, changes in the expenses of the Portfolios and
other factors.
Yields are one basis upon which investors may compare the Portfolios with other
mutual funds; however, yields of other mutual funds and other investment
vehicles may not be comparable because of the factors set forth above and
differences in the methods used in valuing portfolio instruments.
19
<PAGE>
For the 7-day period ended January 31, 1995, the end of the Trust's most recent
fiscal year, the current and effective yield for Class A of each money market
Portfolio was: Money Market, 5.96% and 6.14%; Prime Obligation, 5.91% and
6.08%; Government II, 5.77% and 5.94%; Treasury, 5.54% and 5.69%; Treasury
II, 5.55% and 5.71%; respectively. As of the end of the fiscal year, the
Federal Securities Portfolio had no outstanding shares.
For the 7-day period ended January 31, 1995, the end of the Trust's most recent
fiscal year, the current and effective yield for Class B of each money market
Portfolio was: Money Market, 5.66% and 5.82%; Prime Obligation, 5.61% and
5.77%; Government II, 5.48% and 5.63%; and Treasury II, 5.25% and 5.39%,
respectively.
For the 7-day period ended January 31, 1995, the end of the Trust's most recent
fiscal year, the current and effective yield for Class C of the Government
Portfolio was 5.30% and 5.44%.
For the 30-day period ended January 31, 1995, the yield for Class A of each
non-money market Portfolio was: Corporate Daily Income, 6.17%; Short-Term
Mortgage, 7.37%; Short-Term Government, 6.87%; Intermediate-Term Government,
7.20%; and GNMA, 7.12%.
For the 30-day period ended January 31, 1995, the yield for Class B of each
non-money market Portfolio was: Short-Term Government Portfolio, 6.59%;
Intermediate-Term Government, 6.89%; and GNMA Securities, 6.82%.
For the 30-day period ended January 31, 1995, the yield (without loads) for
Class D class of each Portfolio which had offered Class D shares as of the end
of the 1995 fiscal year was: Intermediate-Term Government, 6.56%; and GNMA,
6.42%.
As of January 31, 1995, there were no shares outstanding of Class D shares of
the Corporate Daily Income and Short-Term Government Portfolios.
From time to time, the Trust may advertise total return for one or more of the
following Portfolios: Short-Term Government, Intermediate-Term Government,
GNMA, Short-Term Mortgage, Short Duration Mortgage, Corporate Daily Income and
Government Securities Daily Income. The total return of a Portfolio refers to
the average compounded rate of return to a hypothetical investment for
designated time periods (including, but not limited to, the period from which
the Portfolio commenced operations through the specified date), assuming that
the entire investment is redeemed at the end of each period. In particular,
total return will be calculated according to the following formula: P(1 + T)/n/
= ERV, where P = a hypothetical initial payment of $1,000; T = average annual
total return; n = number of years; and ERV = ending redeemable value of a
hypothetical $1,000 payment made at the beginning of the designated time period
as of the end of such period.
Corporate Daily Income Portfolio - Class A
For the fiscal year ended January 31, 1995, the ending redeemable value of a
$1,000 investment was $1,025.90, resulting in an annual total return equal to
2.59%. For the period from September 28, 1993 (commencement of operations)
through January 31, 1995, the ending redeemable value of a $1,000 payment was
$1,037.80, resulting in an annual return for the Portfolio equal to 2.81%.
Short-Term Mortgage Portfolio - Class A
For the fiscal year ended January 31, 1995, the ending redeemable value of a
$1,000 investment was $1,022.90 resulting in an annual return equal to 2.29%.
For the period from May 20, 1993 (commencement of operations) through January
31, 1995, the ending redeemable value of a $1,000 payment was $1,036.00,
resulting in an annual return for the Portfolio equal to 2.11%.
Short-Term Government Portfolio - Class A
For the fiscal year ended January 31, 1995, the ending redeemable value of a
$1,000 investment was $1,009.30, resulting in an annual total return equal to
.93%. For the five year period ended January 31, 1995, the ending redeemable
value of a $1,000 investment was $1,360.46, resulting in a total return equal
to 6.35%. For the period
20
<PAGE>
from February 17, 1987 (commencement of operations) through January 31, 1995,
the ending redeemable value of a $1,000 payment was $1,065.10, resulting in an
annual return for the Portfolio equal to 6.51%.
Short-Term Government Portfolio - Class B
For the fiscal year ended January 31, 1995, the ending redeemable value of a
$1,000 investment was $1,007.00, resulting in an annual total return equal to
.70%. For the period from November 5, 1990 (commencement of operations) through
January 31, 1995, the ending redeemable value of a $1,000 payment was
$1,251.30 resulting in an annual return for the Portfolio equal to 5.44%.
Money Market Portfolio - Class A
For the fiscal year ended January 31, 1995, the ending redeemable value of a
$1,000 investment was $1,045.50, resulting in an annual total return equal to
4.55%. For the five year period ended January 31, 1995, the ending redeemable
value of a $1,000 investment was $1,276.28, resulting in a total return equal
to 5.00%. For the ten year period ended January 31, 1995, the ending
redeemable value of a $1,000 investment was $1,856.10, resulting in a total
return equal to 6.38%. For the period from November 15, 1983 (commencement of
operations) through January 31, 1995, the ending redeemable value of a $1,000
payment was $2,092.80, resulting in an annual return for the Portfolio equal to
6.89%.
Money Market Portfolio - Class B
For the fiscal year ended January 31, 1995, the ending redeemable value of a
$1,000 investment was $1,042.40, resulting in an annual total return equal to
4.24%. For the period from October 12, 1990 (commencement of operations)
through January 31, 1995, the ending redeemable value of a $1,000 payment was
$1,192.10, resulting in an annual return for the Portfolio equal to 4.18%.
Prime Obligation Portfolio - Class A
For the fiscal year ended January 31, 1995, the ending redeemable value of a
$1,000 investment was $1,044.60, resulting in an annual total return equal to
4.46%. For the five year period ended January 31, 1995, the ending redeemable
value of a $1,000 investment was $1,282.37, resulting in a total return equal
to 5.10%. For the period from September 6, 1985 (commencement of operations)
through January 31, 1995, the ending redeemable value of a $1,000 payment was
$1,522.90, resulting in an annual return for the Portfolio equal to 6.13%.
Prime Obligation Portfolio - Class B
For the fiscal year ended January 31, 1995, the ending redeemable value of a
$1,000 investment was $1,041.50, resulting in an annual total return equal to
4.15%. For the period from March 26, 1991 (commencement of operations) through
January 31, 1995, the ending redeemable value of a $1,000 payment was
$1,158.50, resulting in an annual return for the Portfolio equal to 3.90%.
Government Portfolio - Class C
For the fiscal year ended January 31, 1995, the ending redeemable value of a
$1,000 investment was $1,034.10, resulting in an annual total return equal to
4.19%. For the period from March 8, 1992 (commencement of operations) through
January 31, 1995, the ending redeemable value of a $1,000 payment was
$1,034.10, resulting in an annual return for the Portfolio equal to 3.41%.
Government II Portfolio - Class A
For the fiscal year ended January 31, 1995, the ending redeemable value of a
$1,000 investment was $1,043.90, resulting in an annual total return equal to
4.39%. For the five year period ended January 31, 1995, the ending redeemable
value of a $1,000 investment was $1,271.90, resulting in a total return equal
to 4.93%. For the period
21
<PAGE>
from September 6, 1985 (commencement of operations) through January 31, 1995,
the ending redeemable value of a $1,000 payment was $1,712.80, resulting in an
annual return for the Portfolio equal to 6.06%.
Government II Portfolio - Class B
For the fiscal year ended January 31, 1995, the ending redeemable value of a
$1,000 investment was $1,040.80, resulting in an annual total return equal to
4.08%. For the period from January 28, 1991 (commencement of operations)
through January 31, 1995, the ending redeemable value of a $1,000 payment was
$1,164.50, resulting in an annual return for the Portfolio equal to 3.87%.
Treasury Portfolio - Class A
For the fiscal year ended January 31, 1995, the ending redeemable value of a
$1,000 investment was $1,042.90, resulting in an annual total return equal to
4.29%. For the period from September 30, 1992 (commencement of operations)
through January 31, 1995, the ending redeemable value of a $1,000 payment was
$1,084.60, resulting in an annual return for the Portfolio equal to 3.54%.
Treasury II Portfolio - Class A
For the fiscal year ended January 31, 1995, the ending redeemable value of a
$1,000 investment was $1,041.70, resulting in an annual total return equal to
4.17%. For the five year period ended January 31, 1995, the ending redeemable
value of a $1,000 investment was $1,260.56, resulting in a total return equal to
4.74%. For the period from July 28, 1989 (commencement of operations) through
January 31, 1995, the ending redeemable value of a $1,000 payment was $1,310.10,
resulting in an annual return for the Portfolio equal to 5.03%.
Treasury II Portfolio - Class B
For the fiscal year ended January 31, 1995, the ending redeemable value of a
$1,000 investment was $1,038.60, resulting in an annual total return equal to
3.86%. For the period from February 15, 1990 (commencement of operations)
through January 31, 1995, the ending redeemable value of a $1,000 payment was
$1,023.46, resulting in an annual return for the Portfolio equal to 4.35%.
Intermediate-Term Government Portfolio - Class A
For the fiscal year ended January 31, 1995, the ending redeemable value of a
$1,000 investment was $978.10, resulting in an annual total return equal to
(2.19)%. For the five year period ended January 31, 1995, the ending
redeemable value of a $1,000 investment was $1,411.09, resulting in a total
return equal to 7.13%. For the period from February 17, 1987 (commencement of
operations) through January 31, 1995, the ending redeemable value of a $1,000
payment was $1,699.50, resulting in an annual return for the Portfolio equal to
6.90%.
Intermediate-Term Government Portfolio - Class B
For the period from June 8, 1994 (commencement of operations) through January
31, 1995, the ending redeemable value of a $1,000 payment was $1,009.30,
resulting in an annual return for the Portfolio equal to .93%.
GNMA Portfolio - Class A
For the fiscal year ended January 31, 1995, the ending redeemable value of a
$1,000 investment was $975.40, resulting in an annual total return equal to
(2.46)%. For the five year period ended January 31, 1995, the ending
redeemable value of a $1,000 investment was $1,455.77, resulting in a total
return equal to 7.80%. For the period from March 20, 1987 (commencement of
operations) through January 31, 1995, the ending redeemable value of a $1,000
payment was $1,772.40, resulting in an annual return for the Portfolio equal to
7.55%.
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GNMA Portfolio - Class B
For the period from July 12, 1994 (commencement of operations) through January
31, 1995, the ending redeemable value of a $1,000 payment was $1,073.10,
resulting in an annual return for the Portfolio equal to 7.31%.
Intermediate-Term Government Portfolio - Class D
For the fiscal year ended January 31, 1995, assuming the maximum sales load is
deducted from the initial investment, the annual return for the Portfolio is
equal to (6.05)%. For the same period, assuming the sales load is not deducted
from the initial investment, the annual return for the Portfolio is equal to
(2.61)%.
For the period from September 26, 1993 (the date Class D shares of the
Intermediate-Term Government Portfolio were first offered) through January 31,
1995, assuming the maximum sales load is deducted from the initial investment,
the annual return for the Portfolio is equal to (3.83)%. For the same period,
assuming the sales load is not deducted from the initial investment, the annual
return for the Portfolio is equal to (1.22)%.
GNMA Portfolio - Class D
For the fiscal year ended January 31, 1995, assuming the maximum sales load is
deducted from the initial investment, the annual return for the Portfolio is
equal to (7.44)%. For the same period, assuming the sales load is not deducted
from the initial investment, the annual return for the Portfolio is equal to
(3.04)%.
For the period from September 30, 1993 (the date Class D shares of the GNMA
Portfolio were first offered) through January 31, 1995, assuming the maximum
sales load is deducted from the initial investment, the annual return for the
Portfolio is equal to (4.59)%. For the same period, assuming the sales load is
not deducted from the initial investment, the annual return for the Portfolio is
equal to (1.25)%.
The Portfolios may, from time to time, compare their performance to the
performance of other mutual funds tracked by mutual fund rating services, to
broad groups of comparable mutual funds or unmanaged indices which may assume
investment of dividends but generally do not reflect deductions for
administrative and management costs.
DETERMINATION OF NET ASSET VALUE
Securities of the Money Market, Prime Obligation, Government, Government II,
Treasury, Treasury II and Federal Securities Portfolios will be valued by the
amortized cost method, which involves valuing a security at its cost on the date
of purchase and thereafter (absent unusual circumstances) assuming a constant
amortization to maturity of any discount or premium, regardless of the impact of
fluctuations in general market rates of interest on the value of the instrument.
While this method provides certainty in valuation, there may be periods during
which the value of an instrument, as determined by this method, is higher or
lower than the price the Trust would receive if it sold the instrument. During
periods of declining interest rates, the daily yield of a Portfolio may tend to
be higher than a like computation made by a company with identical investments
utilizing a method of valuation based upon market prices and estimates of market
prices for all of its portfolio securities. Thus, if the use of amortized cost
by the Trust resulted in a lower aggregate portfolio value on a particular day,
a prospective investor in a Portfolio would be able to obtain a somewhat higher
yield than would result from investment in a company utilizing solely market
values, and existing shareholders in the Portfolio would experience a lower
yield. The converse would apply in a period of rising interest rates.
The Trust's use of amortized cost valuation (with respect to the Money Market,
Prime Obligation, Government, Government II, Treasury, Treasury II and Federal
Securities Portfolios) and the maintenance of the Trust's net asset value at
$1.00 are permitted, provided certain conditions are met, by Rule 2a-7,
promulgated by the SEC under the 1940 Act. Under Rule 2a-7 as amended, a money
market portfolio must maintain a dollar-weighted average maturity of 90 days or
less and not purchase any instrument having a remaining maturity of more than
397 days. In addition,
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money market funds may acquire only U.S. dollar denominated obligations that
present minimal credit risks and that are "eligible securities". An "eligible
security" is one that is (i) rated, at the time of investment, by at least two
nationally recognized statistical rating organizations (one if it is the only
organization rating such obligation) in the highest short-term rating category
or, if unrated, determined to be of comparable quality (a "first tier
security"), or (ii) rated according to the foregoing criteria in the second
highest short-term rating category or, if unrated, determined to be of
comparable quality ("second tier security"). The Advisers will determine that an
obligation presents minimal credit risks or that unrated instruments are of
comparable quality in accordance with guidelines established by the Trustees.
The Trustees must approve or ratify the purchase of any unrated securities or
securities rated by only one rating organization. In addition, investments in
second tier securities are subject to the further constraints that (i) no more
than 5% of a money market portfolio's assets may be invested in such securities
in the aggregate, and (ii) any investment in such securities of one issuer is
limited to the greater of 1% of the Portfolio's total assets or $1 million. The
regulations also require the Trustees to establish procedures which are
reasonably designed to stabilize the net asset value per share at $1.00 for each
Portfolio. However, there is no assurance that the Trust will be able to meet
this objective for any Portfolio. The Trust's procedures include the
determination of the extent of deviation, if any, of each Portfolio's current
net asset value per share calculated using available market quotations from each
Portfolio's amortized cost price per share at such intervals as the Trustees
deem appropriate and reasonable in light of market conditions and periodic
reviews of the amount of the deviation and the methods used to calculate such
deviation. In the event that such deviation exceeds 1/2 of 1%, the Trustees are
required to consider promptly what action, if any, should be initiated, and, if
the Trustees believe that the extent of any deviation may result in material
dilution or other unfair results to shareholders, the Trustees are required to
take such corrective action as they deem appropriate to eliminate or reduce such
dilution or unfair results to the extent reasonably practicable. In addition, if
any Portfolio incurs a significant loss or liability, the Trustees have the
authority to reduce pro rata the number of shares of that Portfolio in each
shareholder's account and to offset each shareholder's pro rata portion of such
loss or liability from the shareholder's accrued but unpaid dividends or from
future dividends.
Securities of the Short-Term Government, Intermediate-Term Government, GNMA,
Short-Term Mortgage, Short Duration Mortgage, Corporate Daily Income and
Government Securities Daily Income Portfolios are valued by the Manager pursuant
to valuations provided by an independent pricing service. The pricing service
relies primarily on prices of actual market transactions as well as trader
quotations. However, the service may also use a matrix system to determine
valuations, which system considers such factors as security prices, yields,
maturities, call features, ratings and developments relating to specific
securities in arriving at valuations. The procedures of the pricing service and
its valuations are reviewed by the officers of the Trust under the general
supervision of the Trustees.
PURCHASE AND REDEMPTION OF SHARES
It is currently the Trust's policy to pay all redemptions in cash. The Trust
retains the right, however, to alter this policy to provide for redemptions in
whole or in part by a distribution in kind of readily marketable securities held
by a Portfolio in lieu of cash. Shareholders may incur brokerage charges on the
sale of any such securities so received in payment of redemptions. However, a
shareholder will at all times be entitled to aggregate cash redemptions from all
Portfolios of the Trust during any 90-day period of up to the lesser of $250,000
or 1% of the Trust's net assets.
A gain or loss for federal income tax purposes may be realized by a taxable
shareholder upon an in-kind redemption depending upon the shareholder's basis in
the shares of the Trust redeemed.
The Trust reserves the right to suspend the right of redemption and/or to
postpone the date of payment upon redemption for any period during which trading
on the New York Stock Exchange is restricted, or during the existence of an
emergency (as determined by the SEC by rule or regulation) as a result of which
disposal or evaluation of the portfolio securities is not reasonably
practicable, or for such other periods as the SEC may by order permit. The
Trust also reserves the right to suspend sales of shares of the Portfolios for
any period during which the New York Stock Exchange, the Manager, the
Adviser(s), the Distributor and/or the Custodian(s) are not open for business.
The Manager or Distributor will not accept securities as payment for shares of
the GNMA Portfolio unless (a) such securities meet the investment objectives and
policies of the Trust; (b) the securities are acquired for investment and
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not for resale; (c) such securities are liquid securities which are not
restricted as to transfer either by law or liquidity of market; (d) such
securities have a value which is readily ascertainable (and not established only
by evaluation).
SHAREHOLDER SERVICES
The following is a description of plans and privileges by which the sale charges
imposed on the Class D shares of the Corporate Daily Income, Short-Term
Government, Intermediate-Term Government and GNMA Portfolios may be reduced.
Stop-Payment Requests: Investors may request a stop payment on checks by
providing the Trust with a written authorization to do so. Oral requests will
be accepted provided that the Trust promptly receives a written authorization.
Such requests will remain in effect for six months unless renewed or canceled.
The Trust will use its best efforts to effect stop-payment instructions, but
does not promise or guarantee that such instructions will be effective.
Shareholders requesting stop payment will be charged a $20 service fee per check
which will be deducted from their accounts.
Right of Accumulation: A shareholder qualifies for cumulative quantity
discounts when his new investment, together with the current market value of all
holdings of that shareholder in certain eligible portfolios reaches a discount
level. See "Purchase and Redemption of Shares" in the Prospectuses for the
sales charge on quantity purchases.
Letter Of Intent: The reduced sales charges are also applicable to the
aggregate amount of purchases made by any such purchaser previously enumerated
within a 13-month period pursuant to a written Letter of Intent provided by the
Distributor, and not legally binding on the signer or a Portfolio which provides
for the holder in escrow by the Manager of 5% of the total amount intended to be
purchased until such purchase is completed within the 13-month period. A Letter
of Intent may be dated to include shares purchased up to 90 days prior to the
date the Letter of Intent is signed. The 13-month period begins on the date of
the earliest purchase. If the intended investment is not completed, the Manager
will surrender an appropriate number of the escrowed shares for redemption in
order to realize the difference between the sales charge imposed under the
Letter of Intent and the sales charge that would have otherwise been imposed.
Distribution Investment Option: Distributions of dividends and capital gains
made by the Portfolios may be automatically invested in shares of one of the
Portfolios if shares of the Portfolio are available for sale. Such investments
will be subject to initial investment minimums, as well as additional purchase
minimums. A shareholder considering the distribution investment option should
obtain and read the prospectus of the other Portfolios and consider the
differences in objectives and policies before making any investment.
Reinstatement Privilege: A shareholder who has redeemed shares of any of the
Portfolios has a one-time right to reinvest the redemption proceeds in shares of
the Portfolio at their net asset value as of the time of reinvestment. Such a
reinvestment must be made within 30 days of the redemption and is limited to the
amount of the redemption proceeds. Although redemptions and repurchases of
shares are taxable events, a reinvestment within such 30-day period in the same
fund is considered a "wash sale" and results in the inability to recognize
currently all or a portion of a loss realized on the original redemption for
federal income tax purposes. The investor must notify the Transfer Agent at the
time the trade is placed that the transaction is a reinvestment.
Exchange Privilege: Some or all of the shares of a Portfolio's Class D for
which payment has been received (i.e., an established account), may be exchanged
for Class D shares of other portfolios of the Trust or of SEI Liquid Asset
Trust, SEI Tax Exempt Trust, SEI International Trust and SEI Institutional
Managed Trust ("SEI Funds"). Exchanges are made at net asset value plus any
applicable sales charge. SEI Funds' portfolios that are not money market
portfolios currently impose a sales charge on Class D shares. A shareholder
who exchanges into one of these "non-money market" portfolios will have to pay a
sales charge on any portion of the exchanged Class D shares for which he or she
has not previously paid a sales charge. If a shareholder has paid a sales
charge on Class D shares, no additional sales charge will be assessed when he
or she exchanges those Class D shares for other Class D shares. If a
shareholder buys Class D shares of a "non-money market" fund and receives a
sales load waiver, he or she will be deemed to have paid the sales load for
purposes of this exchange privilege. In calculating any sales charge payable on
an exchange transaction, the SEI Funds will assume that the first shares a
shareholder exchanges are those on which
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he or she has already paid a sales charge. Sales charge waivers may also be
available under certain circumstances, as described in the portfolios'
prospectuses. The Trust reserves the right to change the terms and conditions of
the exchange privilege discussed herein, or to terminate the exchange privilege,
upon sixty days' notice. Exchanges will be made only after proper instructions
in writing or by telephone (an "Exchange Request") are received for an
established account by the Distributor.
A shareholder may exchange the shares of each Portfolio's Class D shares, for
which good payment has been received, in his or her account at any time,
regardless of how long he or she has held his or her shares.
Each Exchange Request must be in proper form (i.e., if in writing, signed by the
record owner(s) exactly as the shares are registered; if by telephone-proper
account identification is given by the dealer or shareholder of record), and
each exchange must involve either shares having an aggregate value of at least
$1,000 or all the shares in the account. Each exchange involves the redemption
of the shares of a Portfolio (the "Old Portfolio") to be exchanged and the
purchase at net asset value (i.e., without a sales charge) of the shares of the
other portfolios. Any gain or loss on the redemption of the shares exchanged is
reportable on the shareholder's federal income tax return, unless such shares
were held in a tax-deferred retirement plan or other tax-exempt account. If the
Exchange Request is received by the Transfer Agent in writing or by telephone
on any business day prior to the redemption cut-off time specified in each
Prospectus, the exchange usually will occur on that day if all the restrictions
set forth above have been complied with at that time. However, payment of the
redemption proceeds by the Old Portfolios, and thus the purchase of shares of
the New Portfolios, may be delayed for up to seven days if the Portfolio
determines that such delay would be in the best interest of all of its
shareholders. Investment dealers which have satisfied criteria established by
the Portfolios may also communicate a shareholder's Exchange Request to the
Portfolios subject to the restrictions set forth above. No more than five
exchange requests may be made in any one telephone Exchange Request.
TAXES
Qualification as a RIC
In order to qualify for treatment as a regulated investment company ("RIC")
under Subchapter M of the Internal Revenue Code of 1986, as amended (the
"Code"), a Portfolio must distribute annually to its shareholders at least 90%
of its investment company taxable income (generally, net investment income plus
net short-term capital gain) (the "Distribution Requirement") and also must
meet several additional requirements. Among these requirements are the following
(i) at least 90% of a Portfolio's gross income each taxable year must be derived
from dividends, interest, payments with respect to securities loans, and gains
from the sale or other disposition of stock or securities, or other income
derived with respect to its business of investing in such stock or securities;
(ii) less than 30% of a Portfolio's gross income each taxable year may be
derived from the sale or other disposition of stock of securities held for less
than three months; (iii) at the close of each quarter of a Portfolio's taxable
year, at least 50% of the value of its total assets must be represented by cash
and cash items, U.S. Government securities, securities of other RICs and other
securities, with such other securities limited, in respect of any one issuer, to
an amount that does not exceed 5% of the value of a Portfolio's assets and that
does not represent more than 10% of the outstanding voting securities of such
issuer; and (iv) at the close of each quarter of a Portfolio's taxable year, not
more than 25% of the value of its assets may be invested in securities (other
than U.S. Government securities or the securities of other RICs) of any one
issuer or of two or more issuers which the Portfolio controls and which are
engaged in the same, similar or related trades or businesses.
Notwithstanding the Distribution Requirement described above, which only
requires a Portfolio to distribute at least 90% of its annual investment company
taxable income and does not require any minimum distribution of net capital
gain, a Portfolio will be subject to a nondeductible 4% excise tax to the extent
it fails to distribute, by the end of any calendar year, at least 98% of its
ordinary income for that year and 98% of its capital gain net income for the
one-year period ending on October 31 of that year, plus certain other amounts.
If capital gain distributions have been made with respect to shares that are
sold at a loss after being held for six months or less, then the loss is treated
as a long-term capital loss to the extent of the capital gain distributions.
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If a Portfolio fails to qualify as a RIC for any year, all of its income will be
subject to tax at corporate rates, and its distributions (including capital
gains distributions) will be taxable as ordinary income dividends to its
shareholders, subject to the dividends received deduction for corporate
shareholders who have held shares for more than 45 days.
State Taxes
A Portfolio is not liable for any income or franchise tax in Massachusetts if it
qualifies as a RIC for federal income tax purposes. Distributions by the
Portfolio to shareholders and the ownership of shares may be subject to state
and local taxes.
PORTFOLIO TRANSACTIONS
The Trust has no obligation to deal with any dealer or group of dealers in the
execution of transactions in portfolio securities. Subject to policies
established by the Trustees, the Advisers are responsible for placing orders to
execute Portfolio transactions. In placing orders, it is the Trust's policy to
seek to obtain the best net results taking into account such factors as price
(including the applicable dealer spread), size, type and difficulty of the
transaction involved, the firm's general execution and operational facilities,
and the firm's risk in positioning the securities involved. While the Advisers
generally seek reasonably competitive spreads or commissions, the Trust will not
necessarily be paying the lowest spread or commission available. The Trust's
policy of investing in securities with short maturities will result in high
portfolio turnover. The Trust will not purchase portfolio securities from any
affiliated person acting as principal except in conformity with the regulations
of the SEC.
The money market securities in which certain of the Portfolios invest are traded
primarily in the over-the-counter market. Bonds and debentures are usually
traded over-the-counter, but may be traded on an exchange. Where possible, the
Adviser will deal directly with the dealers who make a market in the securities
involved except in those circumstances where better prices and execution are
available elsewhere. Such dealers usually are acting as principal for their own
account. On occasion, securities may be purchased directly from the issuer.
Money market securities are generally traded on a net basis and do not normally
involve either brokerage commissions or transfer taxes. The cost of executing
portfolio securities transactions of the Portfolios will primarily consist of
dealer spreads and underwriting commissions.
It is expected that certain of the Portfolios may execute brokerage or other
agency transactions through the Distributor, a registered broker-dealer, for a
commission, in conformity with the 1940 Act, the Securities Exchange Act of 1934
and rules of the SEC. Under these provisions, the Distributor is permitted to
receive and retain compensation for effecting portfolio transactions for a
Portfolio on an exchange if a written contract is in effect between the
Distributor and the Trust expressly permitting the Distributor to receive and
retain such compensation. These provisions further require that commissions
paid to the Distributor by the Trust for exchange transactions not exceed "usual
and customary" brokerage commissions. The rules define "usual and customary"
commissions to include amounts which are "reasonable and fair compared to the
commission, fee or other remuneration received or to be received by other
brokers in connection with comparable transactions involving similar
securities being purchased or sold on a securities exchange during a comparable
period of time." In addition, the Portfolio may direct commission business to
one or more designated broker-dealers, including the Distributor, in connection
with such broker-dealer's payment of certain of the Portfolio's expenses. The
Trustees, including those who are not "interested persons" of the Trust, have
adopted procedures for evaluating the reasonableness of commissions paid to the
Distributor and will review these procedures periodically. For the fiscal years
ended January 31, 1993, 1994 and 1995, no Portfolio paid any brokerage
commissions.
The portfolio turnover rate for each fixed income Portfolio for the fiscal years
ending January 31, 1993 , 1994 and 1995 was as follows: Short-Term Government,
80%, 105% and 45%, respectively; Intermediate-Term Government, 56%, 52% and
61% respectively; GNMA, 23%, 70% and 85% respectively; and in each case is
expected to be comparable in the coming year. The portfolio turnover rate for
the Corporate Daily Income Portfolio and the Short-Term Mortgage Portfolio for
the fiscal years ended January 31, 1994 and 1995 were 34%, 166% and 147%,
respectively for the Corporate Daily Income Portfolio and 34%, 166% and 741%,
respectively for the Short Term Mortgage Portfolio, respectively, and is
expected to be comparable in the coming year.
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A portfolio turnover rate would exceed 100% if all of its securities, exclusive
of U.S. Government securities and other securities whose maturities at the time
of acquisition are one year or less, are replaced in the period of one year.
Turnover rates may vary from year to year and may be affected by cash
requirements for redemptions and by requirements which enable a portfolio to
receive favorable tax treatment.
Since the Trust does not market its shares through intermediary brokers or
dealers, it is not the Trust's practice to allocate brokerage or principal
business on the basis of sales of its shares which may be made through such
firms. However, the Adviser may place portfolio orders with qualified broker-
dealers who recommend the Trust to clients, and may, when a number of brokers
and dealers can provide best price and execution on a particular transaction,
consider such recommendations by a broker or dealer in selecting among broker-
dealers.
The Trust does not expect to use one particular dealer, but, subject to the
Trust's policy of seeking the best net results, dealers who provide supplemental
investment research to the Adviser may receive orders for transactions by the
Trust. Information so received will be in addition to and not in lieu of the
services required to be performed by the Advisers under the Advisory Agreement,
and the expenses of the Adviser will not necessarily be reduced as a result of
the receipt of such supplemental information.
The Trust is required to identify any securities of its "regular brokers or
dealers" (as such term is defined in the 1940 Act) which the Trust has acquired
during its most recent fiscal year. As of January 31, 1995, the Money Market
Portfolio held Commercial Paper issued by Bear Stearns in the amount of
$5,000,000 and an Overnight Repurchase Agreement issued by Donaldson, Lufkin, &
Jenrette in the amount of $1,526,000. As of January 31, 1995, the Prime
Obligation Portfolio held Commercial Paper issued by Merrill Lynch in the
amount of $80,000,000, Commercial Paper issued by Prudential Funding in the
amount of $60,000,000 and Overnight Repurchase Agreements issued by Donaldson,
Lufkin, & Jenrette; PaineWebber; Salomon Brothers and UBS Securities in the
respective amounts of $12,468,000, $25,000,000 and $87,000,000. As of January
31, 1995, the Corporate Daily Income Portfolio held Floating Rate Securities
issued by Dean Witter Reynolds in the amount of $1,000,000, Commercial Paper
issued by Merrill Lynch in the amount of $1,499,000 and an Overnight Repurchase
Agreement issued by Paine Webber in the amount of $6,337,000. As of January 31,
1995, the Government I Portfolio held Tri-Party Repurchase Agreement issued by
UBS Securities in the amount of $58,750,000, and Overnight Repurchase Agreements
issued by Paine Webber in the amount of $14,434,000. As of January 31, 1995,
the Short-Term Government Securities Portfolio held Overnight Repurchase
Agreements issued by Paine Webber in the amount of $646,000. As of January 31,
1995, the Intermediate-Term Government Portfolio held Overnight Repurchase
Agreements issued by Paine Webber in the amount of $4,817,000. As of January
31, 1995, the Treasury Portfolio held Overnight Repurchase Agreements issued by
Donaldson, Lufkin, & Jenrette; J. P. Morgan; Langston Aubray; Lehman Brothers
and Paine Webber in the respective amounts of $1,551,000; $7,500,000; $7,500,000
and $7,500,000. As of January 31, 1995, the GNMA Portfolio held an Overnight
Repurchase Agreement issued by Paine Webber in the amount of $12,589,000. As of
January 31, 1995 the Short-Term Mortgage Portfolio held an Overnight Repurchase
Agreement issued by Paine Webber in the amount of $48,000,000.
DESCRIPTION OF SHARES
The Declaration of Trust authorizes the issuance of an unlimited number of
shares of each Portfolio, each of which represents an equal proportionate
interest in that Portfolio. Each share of a Portfolio upon liquidation of that
Portfolio entitles a shareholder to a pro rata share in the net assets of that
Portfolio, after taking into account certain distribution expenses.
Shareholders have no preemptive rights. The Declaration of Trust provides that
the Trustees of the Trust may create additional portfolios of shares or classes
of portfolios. Any consideration received by the Trust for shares of any
additional portfolio and all assets in which such consideration is invested
would belong to that portfolio and would be subject to the liabilities related
thereto. Share certificates representing the shares will not be issued.
LIMITATION OF TRUSTEES' LIABILITY
The Declaration of Trust provides that a Trustee shall be liable only for his or
her own willful defaults and, if reasonable care has been exercised in the
selection of officers, agents, employees or administrators, shall not be liable
for any neglect or wrongdoing of any such person. The Declaration of Trust also
provides that the Trust will indemnify
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its Trustees and officers against liabilities and expenses incurred in
connection with actual or threatened litigation in which they may be involved
because of their offices with the Trust unless it is determined in the manner
provided in the Declaration of Trust that they have not acted in good faith in
the reasonable belief that their actions were in the best interests of the
Trust. However, nothing in the Declaration of Trust shall protect or indemnify a
Trustee against any liability for his wilful misfeasance, bad faith, gross
negligence or reckless disregard of his or her duties.
VOTING
Where the Prospectuses for the Portfolios or Statement of Additional Information
state that an investment limitation or a fundamental policy may not be changed
without shareholder approval, such approval means the vote of (i) 67% or more of
the Portfolio's shares present at a meeting if the holders of more than 50% of
the outstanding shares of the Portfolio are present or represented by Proxy, or
(ii) more than 50% of the Portfolio's outstanding shares, whichever is less.
SHAREHOLDER LIABILITY
The Trust is an entity of the type commonly known as a "Massachusetts business
trust". Under Massachusetts law, shareholders of such a Trust could, under
certain circumstances, be held personally liable as partners for the obligations
of the Trust. Even if, however, the Trust were held to be a partnership, the
possibility of the shareholders' incurring financial loss for that reason
appears remote because the Trust's Declaration of Trust contains an express
disclaimer of shareholder liability for obligations of the Trust and requires
that notice of such disclaimer be given in each agreement, obligation or
instrument entered into or executed by or on behalf of the Trust or the
Trustees, and because the Declaration of Trust provides for indemnification out
of the Trust property for any shareholders held personally liable for the
obligations of the Trust.
CONTROL PERSONS AND PRINCIPAL HOLDERS OF SECURITIES
As of February 28, 1995, the following persons were the only persons who were
record owners (or to the knowledge of the Trust, beneficial owners) of 5% or
more of the shares of the Portfolios. The Trust believes that most of the
shares referred to above were held by the above persons in accounts for their
fiduciary, agency, or custodial customers.
Money Market Portfolio-Class A: Calhoun & Co., c/o Comerica Bank, Attn: Dennis
Miriani, P.O. Box 1319, 7th floor, Detroit, MI 48231, 17.99%; Lilgran Co.,
c/o First Colonial Trust Company, Attn: Maureen Kruszynski, 104 North Oak Park
Avenue, Oak Park, IL 60301, 7.4%; Keystone Financial Inc., Attn: ACM Desk, P.O.
Box 2450, Altoona, PA, 16603-2450, 48.59%.
Money Market Portfolio-Class B: Palm Beach National Bank & Trust Company, Attn:
Diana Z. Hellmann, 11760 U.S. Highway One #100, North Palm Beach, FL 33408,
100%.
Prime Obligations Portfolio-Class A: Calhoun & Co., c/o Comerica Bank, Attn:
Dennis Miriani, P.O. Box 1319, 7th floor, Detroit, MI 48231, 25.12%;
Boatmen's Trust Company, Attn: Fund Accounting LBT 0785, 100 N. Broadway, St.
Louis, MO 63101, 5.91%; CoreStates Bank NA, Attn: Jim Quinlan, Penn Mutual
Insurance Building, Philadelphia, PA 19106, 8.65%; The New Hillman Company,
c/o Amalgamated Bank of New York, Attn: David Guitano, 11-15 Union Square, New
York, NY 1003, 18.52%.
Prime Obligation Portfolio-Class B: Muir & Co., c/o Frost National Bank, Attn:
Julia Warden, P.O. Box 2950, San Antonio, TX 78299, 57.67%; Oltrust & Co., c/o
Old National Bank in Evansville, Attn: David Crow, P.O. Box 207, Evansville, IN
47702, 35.44%; Eagle Trust Company, Attn: Martha Schaffer, 680 E. Swedesford
Rd, Wayne, PA 19087, 5.83%.
Government Portfolio- Class C: Southwest Securities Inc., Attn: Mary
McCallum/Paula Branum, 1201 Elm Street, Suite 4300, Dallas, TX 75270, 79.18%;
City National Bank, Attn: Michael Nunnelee, 400 N. Roxbury Dr., Suite 700,
Beverly Hills, CA 90210, 20.82%.
29
<PAGE>
Government II Portfolio-Class A: Shawmut Bank, NA, Attn: Kevin Adamson, ACI
Unit of 0504, One Federal Street, Boston, MA 02211, 22.71%; Enele Co., c/o
Pacific Northwest Trust Company, Attn: Dan De Polo, 121 SW Morrison, Suite 1450,
Portland, OR 97204, 7.81%; United States Trust Company, Attn: Rich Lynch, P.O.
Box 131, Boston, MA 02101, 14.68%; Dixie Company, c/o Jefferson National Bank,
Attn: Katherine Randolph, P.O. Box 12312, Richmond, VA 23241, 7.05%; Meg and
Co., c/o United States National Bank, Attn: Debbie Moraca, P.O. Box 520,
Johnstown, PA 15907, 5.39%.
Government II Portfolio-Class B: Muir & Co., c/o Frost National Bank,
Attn: Julia Warden, P.O. Box 2950, San Antonio, TX 78299, 50.03%; Oltrust & Co.,
c/o Old National Bank in Evansville, Attn: David Crow, P.O. Box 207, Evansville,
IN 47702, 10.31%; Gabco, German American Bank, Attn: Norm Kempf, 711 Main
Street, Jasper, IN 47547, 25.75%; Palm Beach National Bank & Trust Company,
Attn: Diana Z. Hellmann, 11760 U.S. Highway One #100, North Palm Beach, FL
33408, 9.69%.
Treasury Portfolio-Class A: BMS and Company, c/o Central Trust Bank, Attn:
Wanda McGlade, P.O. Box 779, Jefferson City, MO 65102, 88.78%; Southwest
Guaranty Trust Company, Attn: Susan Wolverton, 2121 Sage Road, Suite 150,
Houston, TX 77056, 8.06%.
Treasury II Portfolio-Class A: New England Trust Company, Attn: Nancy McFadden,
144 Westminster St., Providence, RI 02903, 8.12%; Kaw & Co. Y Bank, c/o One
Valley Bank, Attn: Pam Taylor, P.O. Box 1793, One Valley Square, Charlestown,
WV, 5.65%; Westar Bank, Attn: Shelia Evans, P.O. Box 2248, Bartlesville, OK
74005, 9.04%; West One Bank, Idaho NA, Attn: Tom Coleman, Trust Department
Securities Clearance, P.O. Box 7928, Boise, ID 83707, 6.13%; The New Hillman
Company, c/o Amalgamated Bank of New York, Attn: David Guitano, 11-15 Union
Square, New York, NY 1003, 29.90%; Trulin & Co., c/o Chase Lincoln First
Bank, Attn: Pat Whalen, P.O. Box 1412, Rochester, NY 14603, 5.35%.
Treasury II Portfolio-Class B: Muir & Co., c/o Frost National Bank, Attn: Julia
Warden, P.O. Box 2950, San Antonio, TX 78299, 86.11%; Second National Bank of
Saginaw, Attn: Bonnie Wenzel, 101 N. Washington Ave., Saginaw, MI 48607,
5.38%.
Corporate Daily Income Portfolio-Class A: Port & Co., c/o State Bank of
Freeport, Attn: Wendy Harbach, 50 W. Douglas St., Freeport, IL 61032, 10.29%;
Wellington Trust Company NA, Attn: Diane Bissell, 200 State Street, Floor 6,
Boston, MA 02109, 8.15%; Eagle Trust Company, Attn: Jacqueline Keenan, 680 E.
Swedesford Rd, Wayne, PA 19087, 26.94%; Professional Investment Magmt. Inc.,
Agent, Attn: Douglas Cowgill, 3455 Mill Run Dr., Suite 311, Hilliard, OH 43026,
8.50%; Smith & Co., c/o First Security Bank of Utah NA, Attn: Rick Parr,
P.O.Box 30007, Salt Lake City, UT 84130, 5.90%.
Short-Term Government Portfolio-Class A: Meg and Co., c/o United States
National Bank, Attn: Debbie Moraca, P.O. Box 520, Johnstown, PA 15907, 11.52%;
Eagle Trust Company, Attn: Jacqueline Keenan, 680 E. Swedesford Rd, Wayne, PA
19087, 7.05%; First Hawaiian Bank, Financial Management Group (FIDAC), Attn:
Dolores Mollring, P.O. Box 3200, Honolulu, HI 96847, 18.16%; Garico, c/o First
National Bank of Chicago, Trust Operations- Inst. Mutual Fund Desk, 218 E.
Wesley St., Suite 2027, Wheaton, IL 60187, 16.00%.
Short-Term Government Portfolio-Class B: Relico, c/o Reliance Trust Company,
Attn: Patrick O'Connor, 3295 Northcrest Rd. NE, Atlanta, GA 30340-4009, 89.43%.
Short-Term Mortgage Portfolio-Class A: New England Trust Company, Attn: Nancy
McFadden, 144 Westminster St., Providence, RI 02903, 34.08%; Pershing Division
of DLJ, Attn: Rich Boulanger, P.O. Box 2052, Jersey City, NJ , 07303, 12.68%;
CherryTrust Co., c/o The Bank of Cherry Creek, Attn: Daniel Rich, 3033 E. 1st
Ave., Denver, CO, 8.99%.
Short-Term Mortgage Portfolio-Class D: Reliance Trust Company, P.O. Box 48449,
Atlanta, GA 30362, 100%.
30
<PAGE>
Intermediate-Term Government -Class A: First Hawaiian Bank, Financial
Management Group (FIDAC), Attn: Dolores Mollring, P.O. Box 3200, Honolulu, HI
96847, 5.78%; Transco & Company, c/o Intrust Bank, NA, Attn: Pat Willis, P.O.
Box 48698, 10.12%; ACO, c/o Integra Trust Services, Attn: Karen White, Trust
Securities Section 2-032, 300 Fourth Avenue, Pittsburgh, PA 15278-2232, 31.89%.
Intermediate-Term Government -Class B: Relico, c/o Reliance Trust Company,
Attn: Patrick O'Connor, 3295 Northcrest Rd. NE, Atlanta, GA 30340-4009, 100%.
Intermediate-Term Government-Class D: Sumitomo Bank Trustee , FBO, JJ Cornell,
935 S. Park Circle, Anaheim, CA 92804, 5.26%; Sumitomo Bank Trustee , FBO,
Garland Chandler & Alma Chandler JTTN, 336 S. Acacia Street, San Dimas CA 91773,
5.31%; Relico, P.O. Box 48449, Atlanta, GA 30362-1449, 54.06%; Sumitomo Bank
Trustee FBO, Hillis O & Margaret B. Folkins Co TTEES, Hillis O & Margaret B.
Folkins 1989 Trust, 1048 Harding Court, Claremont, CA 91711, 10.23%; Dorell
Carter, 134-51 229th St., Queens, NY 11413, 10.83%.
GNMA Portfolio-Class A: BMS and Company, c/o Central Trust Bank, Attn: Wanda
McGlade, P.O. Box 779, Jefferson City, MO 65102, 9.11%; Eagle Trust Company,
Attn: Jacqueline Keenan, 680 E. Swedesford Rd, Wayne, PA 19087, 6.54%;
Transco & Company, c/o Intrust Bank, NA, Attn: Pat Willis, P.O. Box 48698,
22.52%; The Fulton Company, c/o Fulton Bank Trust Dept., Attn: Dennis
Patrick, One Penn Center, Lancaster, PA 17602, 7.15%.
GNMA Portfolio- Class B: Relico, c/o Reliance Trust Company, Attn: Patrick
O'Connor, 3295 Northcrest Rd. NE, Atlanta, GA 30340-4009, 100%.
GNMA Portfolio-Class D: Sumitomo Bank Trustee, FBO , The Chiu 1981 Revocable
Trust, 173 First Street, Suite 2000, Los Altos, CA 94022, 15.83%; Isamu Sam
Ishikata & Chiyoko Ishikata JTTN, 1814 Butte St., Richmond CA 94804, 8.69%;
Sumitomo Bank Trustee, FBO , Mary Ota, 538 39th Avenue, San Franciso, CA 94121,
14.51%; Sumitomo Bank Trustee , FBO, Etsuko M Horio & Mike Horio JJTEN, 264
Belblossom Dr., Los Gatos, CA 95032, 17.57%; Sumitomo Bank Trustee, FBO, Joseph
Cefalu Cust. FBO Giuliana & Cefalu Ugma Ca, 7061 Valentine Dr., Huntington
Beach, CA 92647, 21.66%.
EXPERTS
The financial statements in this Statement of Additional Information and the
Financial Highlights included in the Prospectuses have been audited by Arthur
Andersen LLP, independent public accountants, as indicated in their report,
with respect thereto, and are included herein in reliance upon the authority of
said firm as experts in giving said report.
FINANCIAL STATEMENTS
Following are the audited financial statements of the Trust for the fiscal year
ended January 31, 1995, and the Report of Independent Accountants of Arthur
Andersen LLP dated March 8, 1995, relating to the financial statements and
Financial Highlights of the Trust.
31
<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>
32
<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>
33
<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>
34
<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>
35
<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>
36
<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>
37
<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>
38
<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>
39
<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>
40
<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
41
<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>
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>
42
<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
43
<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.
44
<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.
45
<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>
46
<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.
47
<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>
48
<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>
49
<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>
50
<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>
51
<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.
52
<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.
53
<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.
54
<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
55
<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>
56
<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>
57
<PAGE>
ARTHUR ANDERSEN LLP
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
investments, of the GNMA and Short-Term Mortgage Portfolios as of January 31,
1995, and the related statements of operations, changes in net assets and
financial highlights for the periods presented. We have also audited the
statement of operations of the Federal Securities Portfolio for the year ended
January 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
responsibility is to express an opinion on these financial statements and
financial highlights based on our audits.
We conducted our audits in accordance with generally accepted auditing
standards. Those standards require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements and financial
highlights are free of material misstatement. 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
January 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 presentation. We believe that our audits provide a reasonable basis
for our opinion.
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 Income,
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 assets
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 financial
highlights for the periods presented, in conformity with generally accepted
accounting principles.
/s/ Arthur Andersen LLP
Philadelphia, Pa.
March 8, 1995
