================================================================================
SEI DAILY INCOME TRUST
================================================================================
SEMI-ANNUAL REPORT
================================================================================
JULY 31, 1996
<PAGE>
TABLE OF CONTENTS
================================================================================
STATEMENTS OF NET ASSETS............................................. 1
STATEMENTS OF OPERATIONS............................................. 14
STATEMENTS OF CHANGES IN NET ASSETS.................................. 16
FINANCIAL HIGHLIGHTS................................................. 20
NOTES TO FINANCIAL STATEMENTS........................................ 24
<PAGE>
STATEMENT OF NET ASSETS
================================================================================
SEI DAILY INCOME TRUST -- JULY 31, 1996 (UNAUDITED)
MONEY MARKET PORTFOLIO
- --------------------------------------------------------------------------------
FACE
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
COMMERCIAL PAPER--57.8%
American Home Products
5.400%, 08/15/96 $ 4,000 $ 3,992
Banco Bilbao Vizcaya
5.330%, 08/07/96 3,000 2,997
Bank of New York
5.400%, 08/27/96 3,100 3,088
BCI Funding
5.340%, 08/02/96 3,000 3,000
Bear Stearns
5.400%, 09/23/96 4,000 3,968
BT Securities
5.330%, 08/20/96 3,000 2,992
Centric Funding
5.430%, 08/07/96 3,000 2,997
Clipper Receivables
5.320%, 08/21/96 4,000 3,988
Coca Cola
5.330%, 08/26/96 4,000 3,985
Corporate Receivables
5.400%, 08/13/96 3,900 3,893
Enterprise Funding
5.420%, 08/19/96 2,425 2,418
5.310%, 09/11/96 1,019 1,013
First Chicago
5.340%, 08/22/96 4,045 4,032
General Motors Acceptance
5.440%, 11/08/96 4,000 3,940
Greenwich Funding
5.450%, 08/27/96 900 896
5.470%, 10/15/96 1,276 1,263
Hitachi America
5.270%, 09/25/96 2,500 2,480
International Lease Finance
5.400%, 08/21/96 4,000 3,988
New Center Asset Trust
5.420%, 08/12/96 4,000 3,993
Philip Morris
5.370%, 08/20/96 1,663 1,658
Province of British Columbia
5.360%, 10/29/96 1,505 1,485
Puerto Rico Development Bank
5.430%, 09/27/96 4,000 3,966
Stat Oil
5.360%, 08/15/96 4,000 3,992
Toshiba America
5.750%, 10/01/96 992 982
-------
TOTAL COMMERCIAL PAPER
(Cost $71,006) 71,006
-------
U.S. GOVERNMENT AGENCY OBLIGATIONS--17.3%
FFCB
5.600%, 06/03/97 5,000 4,994
FHLMC
5.490%, 09/03/96 1,335 1,328
- --------------------------------------------------------------------------------
FACE
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
SLMA
5.530%, 08/06/96 (A) $15,000 $ 15,000
--------
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS
(Cost $21,322) 21,322
--------
FLOATING RATE INSTRUMENTS--13.5%
Caterpillar
5.657%, 09/18/96 (A) 100 100
Ford Motor Credit
5.820%, 08/06/96 (A) 500 500
General Electric Capital
5.500%, 08/22/96 (A) 3,000 3,000
People's Security Funding
Agreement
5.630%, 10/29/96 (A) 4,000 4,000
PNC Bank
5.420%, 08/06/96 (A) 3,000 2,999
Travelers Insurance
5.640%, 10/29/96 (A) 4,000 4,000
Wells Fargo
5.582%, 09/18/96 (A) 2,025 2,025
--------
TOTAL FLOATING RATE INSTRUMENTS
(Cost $16,624) 16,624
--------
BANKER'S ACCEPTANCE--0.7%
Bank of Boston
5.350%, 08/06/96 300 300
5.400%, 08/28/96 615 612
--------
TOTAL BANKER'S ACCEPTANCE
(Cost $912) 912
--------
CORPORATE BOND--2.3%
NationsBank
4.750%, 08/15/96 2,825 2,824
--------
TOTAL CORPORATE BOND
(Cost $2,824) 2,824
--------
MUNICIPAL BOND--1.6%
DeKalb County, Georgia
5.500%, 08/07/96 (A) 2,000 2,000
--------
TOTAL MUNICIPAL BOND
(Cost $2,000) 2,000
--------
U.S. TREASURY OBLIGATION--2.5%
U.S. Treasury Note
7.500%, 01/31/97 3,000 3,034
--------
TOTAL U.S. TREASURY OBLIGATION
(Cost $3,034) 3,034
--------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
1
<PAGE>
STATEMENT OF NET ASSETS
================================================================================
SEI DAILY INCOME TRUST -- JULY 31, 1996 (UNAUDITED)
MONEY MARKET PORTFOLIO (CONCLUDED)
- --------------------------------------------------------------------------------
FACE
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
REPURCHASE AGREEMENT--3.6%
Aubrey Lanston
5.60%, dated 07/31/96, matures
08/01/96, repurchase price
$4,452,693 (collateralized by
U.S. Treasury obligation, par
value $4,547,000, 6.250%,
matures 07/31/98: market
value $4,548,421) $ 4,452 $ 4,452
--------
TOTAL REPURCHASE AGREEMENT
(Cost $4,452) 4,452
--------
TOTAL INVESTMENTS--99.3%
(Cost $122,174) 122,174
--------
OTHER ASSETS AND LIABILITIES, NET--0.7% 814
--------
NET ASSETS:
Portfolio Shares of Class A (unlimited
authorization -- no par value) based
on 108,450,613 outstanding shares of
beneficial interest 108,451
Portfolio Shares of Class B (unlimited
authorization -- no par value) based
on 732,384 outstanding shares of
beneficial interest 732
Portfolio Shares of Class C (unlimited
authorization -- no par value) based
on 13,814,381 outstanding shares of
beneficial interest 13,814
Accumulated net realized loss
on investments (9)
--------
TOTAL NET ASSETS--100.0% $122,988
========
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE-- CLASS A $1.00
========
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE-- CLASS B $1.00
========
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE-- CLASS C $1.00
========
(A) FLOATING RATE INSTRUMENT. RATE REFLECTED ON THE STATEMENT OF NET ASSETS IS
THE RATE IN EFFECT ON JULY 31, 1996. THE DATE SHOWN IS THE LONGER OF THE
RESET DATE OR THE DEMAND DATE.
FFCB FEDERAL FARM CREDIT BANK
FHLMC FEDERAL HOME LOAN MORTGAGE CORPORATION
SLMA STUDENT LOAN MARKETING ASSOCIATION
GOVERNMENT PORTFOLIO
- --------------------------------------------------------------------------------
FACE
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
U.S. GOVERNMENT AGENCY OBLIGATIONS--78.2%
FFCB
5.360%, 08/15/96 $ 35,000 $ 34,928
5.798%, 10/17/96 6,570 6,494
5.550%, 05/02/97 5,000 4,995
5.600%, 06/03/97 33,000 32,961
FHLB
5.299%, 08/03/96 (A) 100,000 99,958
5.487%, 10/03/96 5,000 4,953
5.764%, 10/18/96 400 395
FHLMC
5.431%, 08/12/96 10,000 9,984
5.462%, 08/12/96 57,000 56,907
5.009%, 08/20/96 12,000 11,969
5.459%, 08/20/96 80,000 79,774
5.464%, 08/20/96 75,462 75,249
5.465%, 09/04/96 35,000 34,824
5.482%, 09/09/96 1,120 1,114
5.487%, 09/16/96 2,000 1,986
5.373%, 10/01/96 13,000 12,886
FNMA
5.379%, 08/06/96 2,500 2,498
5.520%, 08/06/96 (A) 22,000 22,000
5.380%, 08/08/96 2,500 2,497
5.407%, 09/05/96 10,000 9,949
5.371%, 09/17/96 1,925 1,912
5.372%, 09/18/96 28,000 27,807
5.503%, 09/18/96 10,000 9,929
5.368%, 09/20/96 14,000 13,900
5.372%, 09/24/96 13,090 12,989
5.392%, 09/24/96 24,000 23,814
FNMA MTN
5.319%, 08/16/96 (A) 25,000 24,999
--------
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS
(Cost $621,671) 621,671
--------
U.S. TREASURY OBLIGATION--1.3%
U.S. Treasury Note
6.500%, 05/15/97 10,000 10,062
--------
TOTAL U.S. TREASURY OBLIGATION
(Cost $10,062) 10,062
--------
REPURCHASE AGREEMENTS--20.8%
Goldman Sachs
5.73%, dated 07/31/96, matures
08/01/96, repurchase price
$35,005,571 (collateralized by
various GNMA obligations ranging
in par value $11,977,597 -
$12,622,265, 7.500%, 12/15/25 -
07/15/26; with total market
value of $35,740,317) 35,000 35,000
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
2
<PAGE>
================================================================================
- --------------------------------------------------------------------------------
FACE
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
Goldman Sachs (B)
5.35%, dated 07/18/96, matures
08/20/96, repurchase price
$70,010,403 (collateralized
by various GNMA obligations
ranging in par value $9,300,000
- $20,073,821, 7.500% - 8.500%,
07/15/25 - 07/15/26; with
total market value of
$71,372,318) $70,000 $ 70,000
J.P. Morgan
5.60%, dated 07/31/96, matures
08/01/96, repurchase price
$10,001,556 (collateralized by
U.S. Treasury obligation, par
value $10,025,000, 6.500%,
matures 04/30/99: market
value $10,219,234) 10,000 10,000
Union Bank of Switzerland
5.70%, dated 07/31/96, matures
08/01/96, repurchase price
$50,007,917 (collateralized by
FNMA obligation, par value
$53,430,000, 7.500%, matures
04/01/26: market value
$51,003,494) 50,000 50,000
--------
TOTAL REPURCHASE AGREEMENTS
(Cost $165,000) 165,000
--------
TOTAL INVESTMENTS--100.3%
(Cost $796,733) 796,733
--------
OTHER ASSETS AND LIABILITIES, NET--(0.3%) (2,196)
--------
NET ASSETS:
Portfolio Shares of Class A
(unlimited authorization --
no par value) based on
115,223,543 outstanding shares
of beneficial interest 115,224
Portfolio Shares of Class B
(unlimited authorization --
no par value) based on
27,751,663 outstanding shares
of beneficial interest 27,752
Portfolio Shares of Class G
(unlimited authorization --
no par value) based on
651,681,121 outstanding shares
of beneficial interest 651,681
Accumulated net realized loss
on investments (120)
--------
TOTAL NET ASSETS--100.0% $794,537
========
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE-- CLASS A $1.00
========
- --------------------------------------------------------------------------------
FACE
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE-- CLASS B $1.00
========
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE-- CLASS G $1.00
========
(A) FLOATING RATE INSTRUMENT. THE RATE REFLECTED ON THE STATEMENT OF NET
ASSETS IS THE RATE IN EFFECT ON JULY 31, 1996. THE DATE SHOWN IS THE
LONGER OF THE RESET DATE OR THE DEMAND DATE.
(B) ILLIQUID SECURITY.
FFCB FEDERAL FARM CREDIT BANK
FHLB FEDERAL HOME LOAN BANK
FHLMC FEDERAL HOME LOAN MORTGAGE CORPORATION
FNMA FEDERAL NATIONAL MORTGAGE ASSOCIATION
GNMA GOVERNMENT NATIONAL MORTGAGE ASSOCIATION
MTN MEDIUM TERM NOTE
GOVERNMENT II PORTFOLIO
U.S. GOVERNMENT AGENCY OBLIGATIONS--98.6%
FFCB
5.356%, 08/05/96 $ 1,000 $ 999
5.303%, 08/06/96 15,000 14,989
5.570%, 08/06/96 (A) 20,000 19,989
5.372%, 08/08/96 2,430 2,428
5.341%, 08/12/96 16,000 15,975
5.351%, 08/16/96 1,000 998
5.324%, 08/19/96 10,000 9,974
5.338%, 08/19/96 9,000 8,976
5.424%, 08/21/96 8,500 8,475
5.342%, 08/22/96 7,000 6,979
5.425%, 08/22/96 1,450 1,446
5.428%, 08/26/96 5,360 5,340
5.383%, 09/04/96 1,855 1,846
5.457%, 09/06/96 5,000 4,973
5.360%, 09/23/96 17,585 17,452
5.368%, 09/27/96 625 620
5.423%, 10/15/96 8,000 7,913
5.550%, 05/02/97 45,000 44,956
5.600%, 06/03/97 25,000 24,971
FHLB
5.577%, 08/01/96 2,645 2,645
5.699%, 08/01/96 50,000 50,000
5.252%, 08/05/96 (A) 30,000 29,999
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
3
<PAGE>
STATEMENT OF NET ASSETS
================================================================================
SEI DAILY INCOME TRUST -- JULY 31, 1996 (UNAUDITED)
GOVERNMENT II PORTFOLIO (CONCLUDED)
- --------------------------------------------------------------------------------
FACE
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
5.429%, 08/05/96 $ 1,365 $ 1,364
5.326%, 08/07/96 7,000 6,994
5.373%, 08/09/96 1,975 1,973
5.349%, 08/13/96 1,020 1,018
5.309%, 08/14/96 27,545 27,493
5.310%, 08/14/96 5,650 5,639
5.385%, 08/14/96 1,100 1,098
5.338%, 08/19/96 8,000 7,979
5.314%, 08/21/96 10,000 9,971
5.315%, 08/21/96 24,375 24,304
5.316%, 08/21/96 20,000 19,942
5.346%, 08/21/96 (A) 10,000 9,998
5.421%, 08/26/96 30,000 29,890
5.431%, 08/30/96 3,395 3,381
5.442%, 09/03/96 25,000 24,878
5.451%, 09/03/96 1,235 1,229
5.404%, 09/04/96 31,880 31,721
5.465%, 09/04/96 1,885 1,875
5.106%, 09/06/96 10,000 9,951
5.343%, 09/16/96 11,850 11,772
5.463%, 09/18/96 15,290 15,182
5.467%, 09/18/96 6,000 5,957
5.347%, 09/20/96 3,270 3,247
5.467%, 09/23/96 27,960 27,741
5.360%, 09/24/96 4,500 4,465
5.843%, 09/25/96 5,000 4,958
5.788%, 09/27/96 175 175
5.379%, 10/17/96 15,900 15,724
SLMA
5.690%, 08/06/96 (A) 30,000 30,055
5.510%, 08/06/96 (A) 30,000 30,000
5.530%, 08/06/96 (A) 20,000 20,000
5.550%, 08/06/96 (A) 29,450 29,452
5.550%, 08/06/96 (A) 15,000 15,000
5.500%, 08/06/96 (A) 30,000 30,000
5.510%, 08/06/96 (A) 5,000 5,000
5.397%, 09/30/96 5,860 5,809
--------
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS
(Cost $757,178) 757,178
--------
U.S. TREASURY OBLIGATION--1.4%
U.S. Treasury Note
4.375%, 08/15/96 11,000 10,994
--------
TOTAL U.S. TREASURY OBLIGATION
(Cost $10,994) 10,994
--------
TOTAL INVESTMENTS--100.0%
(Cost $768,172) 768,172
--------
OTHER ASSETS AND LIABILITIES, NET--(0.0%) (46)
--------
- --------------------------------------------------------------------------------
FACE
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
NET ASSETS:
Portfolio Shares of Class A
(unlimited authorization --
no par value) based on
749,813,098 outstanding shares
of beneficial interest $749,813
Portfolio Shares of Class B
(unlimited authorization -- no
par value) based on 18,552,653
outstanding shares of
beneficial interest 18,553
Accumulated net realized loss
on investments (240)
--------
TOTAL NET ASSETS--100.0% $768,126
========
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE-- CLASS A $1.00
========
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE-- CLASS B $1.00
========
(A) FLOATING RATE INSTRUMENT. THE RATE REFLECTED ON THE STATEMENT OF NET
ASSETS IS THE RATE IN EFFECT ON JULY 31, 1996. 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
PRIME OBLIGATION PORTFOLIO
COMMERCIAL PAPER--62.1%
American Express Credit
5.330%, 08/19/96 $60,000 $ 59,840
American Greetings
5.350%, 08/06/96 16,300 16,288
5.300%, 08/15/96 11,000 10,977
American Home Products
5.400%, 09/12/96 18,000 17,887
Associates of North America
5.400%, 08/27/96 25,000 24,903
5.350%, 09/04/96 55,000 54,722
Banc One
5.350%, 08/13/96 33,835 33,775
BankAmerica
5.340%, 08/14/96 30,000 29,942
Bear Stearns
5.400%, 08/08/96 25,000 24,974
5.400%, 08/15/96 25,000 24,948
5.400%, 09/23/96 20,000 19,841
Beneficial
5.340%, 09/10/96 30,000 29,822
BT Securities
5.330%, 08/20/96 27,000 26,924
5.330%, 08/21/96 20,000 19,941
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
4
<PAGE>
================================================================================
- --------------------------------------------------------------------------------
FACE
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
Centric Funding
5.300%, 08/01/96 $25,000 $ 25,000
5.430%, 08/07/96 30,000 29,973
4.890%, 08/14/96 20,000 19,965
CIT Group Holdings
5.360%, 08/12/96 40,000 39,934
5.350%, 09/03/96 30,000 29,853
Clipper Receivable
5.400%, 08/01/96 20,000 20,000
5.350%, 08/20/96 25,000 24,929
5.330%, 08/23/96 40,000 39,870
CPC International
5.300%, 08/16/96 14,900 14,867
Emerson Electric
5.300%, 08/19/96 13,300 13,265
Enterprise Funding
5.300%, 08/21/96 10,674 10,643
5.370%, 09/04/96 19,869 19,768
Fleet Financial
5.360%, 08/07/96 45,000 44,960
Fleet Funding
5.360%, 08/05/96 10,000 9,994
Ford Motor Credit
5.350%, 09/09/96 50,000 49,710
General Electric Capital
5.260%, 08/28/96 60,000 59,763
IBM
5.380%, 08/14/96 50,000 49,903
5.330%, 08/22/96 50,000 49,845
International Lease Finance
5.400%, 08/21/96 16,000 15,952
Island Finance
5.400%, 08/26/96 10,000 9,961
Knight Ridder
5.370%, 08/19/96 20,000 19,946
Merrill Lynch
5.320%, 08/22/96 55,000 54,829
Metropolitan Life Funding
5.350%, 09/19/96 11,455 11,372
5.360%, 09/30/96 25,000 24,777
Morgan Stanley
5.320%, 08/21/96 10,000 9,970
5.340%, 09/03/96 25,000 24,878
National Rural Utilities
5.370%, 09/26/96 10,000 9,916
New Center Asset Trust
5.420%, 08/12/96 50,000 49,917
Norwest Corporation
5.350%, 08/05/96 50,000 49,970
Pepsico
5.300%, 08/23/96 9,148 9,118
Pfizer
5.310%, 08/16/96 17,800 17,761
PHH
5.330%, 08/19/96 19,495 19,443
- --------------------------------------------------------------------------------
FACE
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
Philip Morris
5.300%, 08/05/96 $20,000 $ 19,988
PPG Industries
5.300%, 08/16/96 32,000 31,929
Preferred Receivables Funding
5.400%, 08/02/96 22,000 21,997
5.360%, 08/13/96 15,000 14,973
5.380%, 08/21/96 2,175 2,168
5.340%, 09/05/96 15,375 15,295
5.360%, 09/19/96 35,675 35,415
Prudential Funding
5.350%, 08/08/96 50,000 49,948
5.330%, 09/09/96 30,000 29,827
Ranger Funding
5.300%, 08/02/96 7,000 6,999
5.320%, 08/09/96 25,000 24,970
5.320%, 08/12/96 5,069 5,061
5.300%, 08/16/96 10,000 9,978
5.310%, 08/22/96 10,000 9,969
5.370%, 09/06/96 15,000 14,919
Riverwood Funding
5.300%, 08/05/96 12,005 11,998
5.320%, 08/19/96 12,952 12,918
5.320%, 08/21/96 50,000 49,852
Sears Roebuck Acceptance
5.400%, 08/13/96 30,000 29,946
5.410%, 08/20/96 60,000 59,828
Southwestern Bell Telephone
5.340%, 08/19/96 32,700 32,613
----------
TOTAL COMMERCIAL PAPER
(Cost $1,765,427) 1,765,427
----------
CERTIFICATES OF DEPOSIT/BANK NOTES--5.5%
Bank of Hawaii
5.570%, 11/06/96 38,000 38,012
Chase Manhattan
5.500%, 11/06/96 50,000 50,000
Mellon Bank
5.375%, 08/06/96 25,000 25,000
NationsBank
5.360%, 08/12/96 30,000 30,000
South Trust Bank
5.630%, 10/16/96 12,000 12,001
----------
TOTAL CERTIFICATES OF DEPOSIT/BANK NOTES
(Cost $155,013) 155,013
----------
FLOATING RATE INSTRUMENTS--12.5%
Allstate
5.559%, 10/29/96 (A) 15,000 15,000
CoreStates Capital
5.510%, 08/05/96 (A) 15,000 15,000
5.450%, 08/12/96 (A) 15,000 15,000
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
5
<PAGE>
STATEMENT OF NET ASSETS
================================================================================
SEI DAILY INCOME TRUST -- JULY 31, 1996 (UNAUDITED)
PRIME OBLIGATION PORTFOLIO (CONCLUDED)
- --------------------------------------------------------------------------------
FACE
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
People's Security Funding
Agreement
5.630%, 10/29/96 (A) $70,000 $ 70,000
PNC Bank
5.399%, 08/05/96 (A) 25,000 24,992
5.420%, 08/06/96 (A) 50,000 49,983
South Trust Bank
5.563%, 08/15/96 (A) 35,000 34,985
SMM Trust 1995-B
5.546%, 08/02/96 (A) 30,000 30,000
SMM Trust 1996-B
5.515%, 08/02/96 (A) 30,000 30,000
SMM Trust 1996-I
5.488%, 08/29/96 (A) 50,000 50,000
Travelers Insurance
5.640%, 10/29/96 (A) 20,000 20,000
---------
TOTAL FLOATING RATE INSTRUMENTS
(Cost $354,960) 354,960
---------
U.S. GOVERNMENT AGENCY OBLIGATIONS--9.7%
FFCB
5.600%, 06/03/97 35,000 34,959
FNMA
5.520%, 08/06/96 (A) 100,000 100,000
5.403%, 10/02/96 10,000 9,911
5.389%, 10/11/96 20,000 19,796
SLMA
5.530%, 08/06/96 (A) 47,600 47,600
5.550%, 08/06/96 (A) 30,000 30,005
5.550%, 08/06/96 (A) 17,000 17,000
5.540%, 08/06/96 (A) 16,000 16,002
---------
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS
(Cost $275,273) 275,273
---------
U.S. TREASURY OBLIGATION--5.8%
U.S. Treasury Note
7.500%, 01/31/97 163,000 164,850
---------
TOTAL U.S. TREASURY OBLIGATION
(Cost $164,850) 164,850
---------
REPURCHASE AGREEMENTS--7.0%
Goldman Sachs
5.73%, dated 07/31/96,
matures 08/01/96, repurchase price
$120,019,100 (collateralized by
various FHLMC obligations ranging
in par value $1,154,970 -
$50,981,440, 5.500% - 9.000%,
03/01/00 - 07/01/26; various
FNMA obligations ranging in par
value $2,323,818 - $58,200,959,
6.000% - 8.000%, 03/01/00 -
06/01/26; with total market
value of $122,400,001) 120,000 120,000
- --------------------------------------------------------------------------------
FACE
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
J.P. Morgan
5.60%, dated 07/31/96, matures
08/01/96, repurchase price
$25,003,889 (collateralized by
U.S. Treasury obligation, par
value $24,939,000, 6.750%,
matures 04/30/00: market
value $25,546,888) $25,000 $ 25,000
Lehman Brothers
6.00%, dated 07/31/96,
matures 08/01/96, repurchase
price $54,209,033
(collateralized by various U.S.
Treasury obligations ranging in
par value $269,000 - $48,355,000,
5.220% - 5.280%, 11/29/96 -
12/19/96; with total
market value of $55,284,447) 54,200 54,200
----------
TOTAL REPURCHASE AGREEMENTS
(Cost $199,200) 199,200
----------
TOTAL INVESTMENTS--102.6%
(Cost $2,914,723) 2,914,723
----------
OTHER ASSETS AND LIABILITIES, NET--(2.6%) (75,130)
----------
NET ASSETS:
Portfolio Shares of Class A
(unlimited authorization --
no par value) based
on 2,650,574,280 outstanding
shares of beneficial interest 2,650,574
Portfolio Shares of Class B
(unlimited authorization --
no par value) based on
188,977,920 outstanding shares
of beneficial interest 188,978
Portfolio Shares of Class C
(unlimited authorization --
no par value) based
on 100,150 outstanding shares of
beneficial interest 100
Accumulated net realized loss
on investments (63)
Undistributed net investment income 4
----------
TOTAL NET ASSETS--100.0% $2,839,593
==========
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE-- CLASS A $1.00
==========
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE-- CLASS B $1.00
==========
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE-- CLASS C $1.00
==========
(A) FLOATING RATE INSTRUMENT. RATE REFLECTED ON THE STATEMENT OF NET ASSETS IS
THE RATE IN EFFECT ON JULY 31, 1996. THE DATE SHOWN IS THE LONGER OF THE
RESET DATE OR THE DEMAND DATE.
FFCB FEDERAL FARM CREDIT BANK
FHLMC FEDERAL HOME LOAN MORTGAGE CORPORATION
FNMA FEDERAL NATIONAL MORTGAGE ASSOCIATION
SLMA STUDENT LOAN MARKETING ASSOCIATION
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
6
<PAGE>
================================================================================
TREASURY PORTFOLIO
- --------------------------------------------------------------------------------
FACE
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
U.S. TREASURY OBLIGATIONS--12.4%
U.S. Treasury Notes
4.375%, 08/15/96 $ 4,000 $ 3,998
7.500%, 01/31/97 5,000 5,050
6.750%, 02/28/97 2,000 2,014
6.500%, 05/15/97 500 503
-------
TOTAL U.S. TREASURY OBLIGATIONS
(Cost $11,565) 11,565
-------
REPURCHASE AGREEMENTS--87.8%
Aubrey Lanston
5.60%, dated 07/31/96, mature
08/01/96, repurchase price
$3,049,474 (collateralized by
U.S. Treasury obligation, par
value $3,114,000, 6.250%,
matures 07/31/98: market
value $3,114,973) 3,049 3,049
Chase Manhattan
5.63%, dated 07/31/96, mature
08/01/96, repurchase price
$15,002,346 (collateralized b
U.S. Treasury obligation, par
value $15,460,000, 5.140%,
10/10/96: market value of
$15,301,071) 15,000 15,000
J.P. Morgan
5.60%, dated 07/31/96, mature
08/01/96, repurchase price
$17,002,644 (collateralized b
U.S. Treasury obligation, par
value $16,534,000, 7.750%,
matures 11/30/99: market
value $17,372,756) 17,000 17,000
Lehman Brothers
5.62%, dated 07/31/96, mature
08/01/96, repurchase price
$7,001,093 (collateralized by
U.S. Treasury obligation, par
value $27,850,000, 0.000%,
matures 08/15/15: market
value $7,202,567) 7,000 7,000
Lehman Brothers
5.625%, dated 07/31/96, matures
08/01/96, repurchase price
$10,001,563 (collateralized by
U.S. Treasury obligation, par
value $10,060,000, 7.500%, matures
12/31/96: market value
$10,202,126) 10,000 10,000
- --------------------------------------------------------------------------------
FACE
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
Swiss Bank
5.62%, dated 07/31/96, matures
08/01/96, repurchase price
$15,002,342 (collateralized by
various U.S. Treasury obligations
ranging in par value
$263,000 - $2,220,000, 7.125% -
11.250%, 04/15/97 - 02/15/23;
with total market value of
$15,328,481) $15,000 $15,000
Union Bank of Switzerland
5.66%, dated 07/31/96, matures
08/01/96, repurchase price
$15,002,358 (collateralized by
U.S. Treasury obligation, par
value $16,200,000, 5.570%,
07/24/97: market value
$15,303,329) 15,000 15,000
-------
TOTAL REPURCHASE AGREEMENTS
(Cost $82,049) 82,049
-------
TOTAL INVESTMENTS--100.2%
(Cost $93,614) 93,614
-------
OTHER ASSETS AND LIABILITIES, NET--(0.2%) (214)
-------
NET ASSETS:
Portfolio Shares of Class A
(unlimited authorization --
no par value) based on
79,892,584 outstanding shares
of beneficial interest 79,893
Portfolio Shares of Class C
(unlimited authorization --
no par value) based
on 13,502,369 outstanding shares
of beneficial interest 13,502
Accumulated net realized gain
on investments 5
-------
TOTAL NET ASSETS--100.0% $93,400
=======
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE-- CLASS A $1.00
=======
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE-- CLASS C $1.00
=======
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
7
<PAGE>
STATEMENT OF NET ASSETS
================================================================================
SEI DAILY INCOME TRUST -- JULY 31, 1996 (UNAUDITED)
TREASURY II PORTFOLIO
- --------------------------------------------------------------------------------
FACE
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
U.S. TREASURY OBLIGATIONS--100.3%
U.S. Treasury Bills
5.170%, 08/22/96 $ 29,790 $ 29,702
5.172%, 08/22/96 3,760 3,749
5.198%, 08/22/96 114,725 114,385
5.212%, 08/22/96 50,000 49,852
5.222%, 08/22/96 11,070 11,037
5.158%, 09/05/96 1,865 1,856
5.171%, 09/05/96 1,060 1,055
5.178%, 09/05/96 23,875 23,757
5.213%, 09/05/96 3,245 3,229
5.218%, 09/05/96 50,000 49,752
5.260%, 09/05/96 2,190 2,179
5.237%, 09/12/96 60,000 59,642
5.172%, 09/19/96 7,270 7,220
5.181%, 09/19/96 32,590 32,365
5.197%, 09/19/96 40,000 39,724
5.209%, 09/19/96 25,000 24,827
5.275%, 09/19/96 114,625 113,822
5.248%, 10/03/96 9,250 9,167
--------
TOTAL U.S. TREASURY OBLIGATIONS
(Cost $577,320) 577,320
--------
TOTAL INVESTMENTS--100.3%
(Cost $577,320) 577,320
--------
OTHER ASSETS AND LIABILITIES, NET--(0.3%) (1,756)
--------
NET ASSETS:
Portfolio Shares of Class A
(unlimited authorization -- no
par value) based on 549,720,011
outstanding shares of
beneficial interest 549,720
Portfolio Shares of Class B
(unlimited authorization -- no
par value) based on 20,262,479
outstanding shares of
beneficial interest 20,262
Portfolio Shares of Class C
(unlimited authorization -- no
par value) based on 5,549,803
outstanding shares of
beneficial interest 5,550
Accumulated net realized gain
on investments 32
--------
TOTAL NET ASSETS--100.0% $575,564
========
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE-- CLASS A $1.00
========
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE-- CLASS B $1.00
========
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE-- CLASS C $1.00
========
SHORT-DURATION
GOVERNMENT PORTFOLIO
- --------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
U.S. GOVERNMENT AGENCY OBLIGATIONS--51.7%
FFCB MTN
6.750%, 05/14/99 $ 9,000 $ 8,994
FHLB
6.940%, 03/14/97 10,000 10,063
FHLMC
7.000%, 05/29/01 5,000 4,975
FNMA
5.390%, 08/05/98 4,000 3,920
6.850%, 05/26/00 6,000 5,987
FNMA MTN
5.410%, 06/25/98 3,000 2,944
-------
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS
(Cost $37,024) 36,883
-------
U.S. TREASURY OBLIGATION--23.6%
U.S. Treasury Note
5.250%, 12/31/97 17,000 16,817
-------
TOTAL U.S. TREASURY OBLIGATION
(Cost $16,945) 16,817
-------
U.S. GOVERNMENT MORTGAGE-BACKED BONDS--16.7%
FHLMC
6.500%, 10/01/07 3,579 3,458
7.000%, 11/01/10 2,015 1,987
7.000%, 01/01/11 916 903
7.000%, 02/01/11 43 43
7.000%, 03/01/11 918 905
7.000%, 04/01/11 1,124 1,108
FNMA
6.000%, 11/25/03 1,153 1,116
6.750%, 03/25/15 481 480
GNMA
7.500%, 01/15/11 53 54
7.500%, 02/15/11 1,813 1,828
-------
TOTAL U.S. GOVERNMENT MORTGAGE-BACKED BONDS
(Cost $12,053) 11,882
-------
REPURCHASE AGREEMENT--7.2%
Paine Webber
5.60%, dated 07/31/96, matures
08/01/96, repurchase price
$5,129,798 (collateralized by
U.S. Treasury obligation, par
value $4,120,000, 9.250%,
matures 02/15/16: market
value $5,224,420) 5,129 5,129
-------
TOTAL REPURCHASE AGREEMENT
(Cost $5,129) 5,129
-------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
8
<PAGE>
================================================================================
- --------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
TOTAL INVESTMENTS--99.2%
(Cost $71,151) $70,711
-------
OTHER ASSETS AND LIABILITIES, NET--0.8% 584
-------
NET ASSETS:
Portfolio Shares of Class A
(unlimited authorization --
no par value) based
on 7,208,216 outstanding shares
of beneficial interest 73,081
Portfolio Shares of Class B
(unlimited authorization --
no par value) based
on 1,337 outstanding shares
of beneficial interest 13
Accumulated net realized loss
on investments (1,487)
Net unrealized depreciation
on investments (440)
Undistributed net
investment income 128
-------
TOTAL NET ASSETS--100.0% $71,295
=======
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE-- CLASS A $9.89
=======
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE-- CLASS B $9.88
=======
FFCB FEDERAL FARM CREDIT BANK
FHLB FEDERAL HOME LOAN BANK
FHLMC FEDERAL HOME LOAN MORTGAGE CORPORATION
FNMA FEDERAL NATIONAL MORTGAGE ASSOCIATION
GNMA GOVERNMENT NATIONAL MORTGAGE ASSOCIATION
MTN MEDIUM TERM NOTE
INTERMEDIATE-DURATION
GOVERNMENT PORTFOLIO
U.S. TREASURY OBLIGATIONS--54.6%
U.S. Treasury Bonds
11.875%, 11/15/03 $ 1,000 $ 1,293
12.000%, 08/15/13 1,200 1,686
U.S. Treasury Notes
7.875%, 04/15/98 9,500 9,760
8.875%, 11/15/98 4,000 4,217
5.500%, 02/28/99 600 588
7.500%, 10/31/99 27,500 28,338
8.500%, 02/15/00 21,000 22,321
10.750%, 02/15/03 10,825 13,127
-------
TOTAL U.S. TREASURY OBLIGATIONS
(Cost $83,520) 81,330
-------
- --------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
U.S. GOVERNMENT AGENCY OBLIGATIONS--19.8%
FHLMC
7.974%, 04/20/05 $ 655 $ 656
7.350%, 05/16/05 750 744
FNMA MTN
7.920%, 03/30/05 3,100 3,128
Private Export Funding
7.900%, 03/31/00 5,450 5,661
8.350%, 01/31/01 4,665 4,939
8.400%, 07/31/01 1,600 1,704
7.300%, 01/31/02 1,670 1,708
6.900%, 01/31/03 2,875 2,868
8.750%, 06/30/03 4,790 5,251
6.860%, 04/30/04 2,960 2,916
--------
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS
(Cost $30,899) 29,575
--------
U.S. GOVERNMENT MORTGAGE-BACKED BONDS--21.8%
FHLMC
6.250%, 07/01/03 471 453
5.750%, 01/15/06 500 485
6.000%, 10/15/06 830 781
5.500%, 08/01/08 119 112
5.500%, 09/01/08 201 188
7.500%, 06/01/10 104 105
7.500%, 08/01/10 517 519
6.500%, 09/01/10 6,886 6,648
7.500%, 11/01/10 1,007 1,010
6.500%, 03/01/11 257 248
6.500%, 04/01/11 1,479 1,431
7.000%, 02/25/19 500 491
6.500%, 06/25/19 2,100 2,049
6.500%, 09/15/21 570 534
7.000%, 05/01/24 1,382 1,329
7.000%, 10/01/25 1,921 1,846
FNMA
7.500%, 03/01/07 389 386
8.000%, 05/01/08 434 437
8.000%, 06/01/08 413 416
7.500%, 06/01/09 175 174
9.500%, 05/01/18 591 631
GNMA
7.000%, 06/15/09 871 861
7.000%, 11/15/10 115 115
7.000%, 12/15/10 142 140
7.000%, 02/15/11 816 806
7.000%, 03/15/11 487 481
8.500%, 05/20/16 370 377
8.500%, 09/20/16 23 24
8.500%, 11/20/16 950 968
8.500%, 04/20/17 20 21
8.500%, 05/20/17 1,155 1,180
8.750%, 06/20/17 204 209
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
9
<PAGE>
STATEMENT OF NET ASSETS
================================================================================
SEI DAILY INCOME TRUST -- JULY 31, 1996 (UNAUDITED)
INTERMEDIATE-DURATION
GOVERNMENT PORTFOLIO (CONCLUDED)
- --------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
8.500%, 07/20/17 $ 310 $ 316
8.750%, 07/20/17 245 250
8.500%, 08/20/17 228 233
8.750%, 10/20/17 43 45
8.750%, 11/20/17 234 240
8.500%, 01/20/18 165 169
8.500%, 02/20/18 191 195
7.500%, 05/15/22 402 396
7.500%, 04/15/23 163 161
7.000%, 08/15/23 1,922 1,838
7.500%, 03/15/24 312 307
7.500%, 04/15/24 396 390
7.000%, 06/15/24 1,412 1,356
7.500%, 06/15/24 153 150
7.000%, 08/15/25 505 483
7.000%, 01/15/26 49 47
7.000%, 02/15/26 491 470
--------
TOTAL U.S. GOVERNMENT MORTGAGE-BACKED BONDS
(Cost $33,104) 32,501
--------
REPURCHASE AGREEMENT--2.2%
Paine Webber
5.60%, dated 07/31/96, matures
08/01/96, repurchase price
$3,238,504 (collateralized by
U.S. Treasury obligation, par
value $2,695,000, 8.750%,
matures 08/15/20: market
value $3,302,606) 3,238 3,238
--------
TOTAL REPURCHASE AGREEMENT
(Cost $3,238) 3,238
--------
TOTAL INVESTMENTS--98.4%
(Cost $150,761) 146,644
--------
OTHER ASSETS AND LIABILITIES, NET--1.6% 2,350
--------
NET ASSETS:
Portfolio Shares of Class A
(unlimited authorization -- no par
value) based on 15,448,893
outstanding shares of
beneficial interest 157,868
Accumulated net realized loss
on investments (4,757)
Net unrealized depreciation
on investments (4,117)
--------
TOTAL NET ASSETS--100.0% $148,994
========
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE-- CLASS A $9.64
========
- --------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
FHLMC FEDERAL HOME LOAN MORTGAGE CORPORATION
FNMA FEDERAL NATIONAL MORTGAGE ASSOCIATION
GNMA GOVERNMENT NATIONAL MORTGAGE ASSOCIATION
MTN MEDIUM TERM NOTE
GNMA PORTFOLIO
GNMA--97.9%
GNMA
6.500%, 09/15/10 - 02/15/26 $25,147 $ 23,425
7.000%, 12/15/22 - 09/15/23 29,809 28,505
7.500%, 02/15/17 - 07/15/26 19,484 19,149
8.000%, 12/15/21 - 09/15/24 13,308 13,387
8.500%, 08/15/08 - 12/15/21 10,387 10,650
9.000%, 05/15/16 - 05/15/22 7,670 8,022
9.500%, 06/15/09 - 12/15/20 9,721 10,344
10.000%, 02/15/13 - 07/15/20 3,282 3,568
10.500%, 03/15/18 107 118
11.500%, 04/15/10 - 02/15/13 79 89
12.000%, 01/15/13 - 04/15/14 15 17
12.500%, 12/15/06 - 07/15/15 59 68
--------
TOTAL GNMA
(Cost $120,253) 117,342
--------
REPURCHASE AGREEMENT--2.4%
Paine Webber
5.60%, dated 07/31/96, matures
08/01/96, repurchase price
$2,896,450 (collateralized by
U.S. Treasury obligation, par
value $2,305,000, 10.375%,
matures 11/15/12: market
value $2,976,308) 2,896 2,896
--------
TOTAL REPURCHASE AGREEMENT
(Cost $2,896) 2,896
--------
TOTAL INVESTMENTS--100.3%
(Cost $123,150) $120,238
--------
OTHER ASSETS AND LIABILITIES, NET--(0.3%) (417)
--------
NET ASSETS:
Portfolio Shares of Class A
(unlimited authorization --
no par value) based
on 12,688,049 outstanding shares of
beneficial interest 134,524
Accumulated net realized loss
on investments (11,885)
Net unrealized depreciation
on investments (2,912)
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
10
<PAGE>
================================================================================
- --------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
Undistributed net investment income $ 94
--------
TOTAL NET ASSETS--100.0% $119,821
========
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE-- CLASS A $9.44
========
GNMA GOVERNMENT NATIONAL MORTGAGE ASSOCIATION
CORPORATE DAILY INCOME
PORTFOLIO
CORPORATE OBLIGATIONS--32.6%
BankAmerica Corporate
5.782%, 09/18/96 (A) $2,000 $ 2,000
Bankers Trust of New York
9.200%, 07/15/99 1,000 1,060
Caterpillar MTN
5.630%, 10/01/96 (A) 1,000 976
Citicorp MTN
5.625%, 08/12/96 (A) 2,000 2,001
Continental Bank
5.863%, 08/19/96 (A) 825 830
Ford Motor Credit
5.940%, 08/15/96 (A) 1,500 1,491
General Motors Acceptance
6.250%, 09/25/96 (A) 1,000 995
International Lease Finance
5.888%, 10/15/96 (A) 1,000 1,000
NationsBank MTN
5.752%, 09/18/96 (A) 2,000 2,000
Sears Roebuck MTN
5.785%, 09/10/96 (A) 1,000 995
Wells Fargo
5.582%, 08/16/96 (A) 2,000 1,999
--------
TOTAL CORPORATE OBLIGATIONS
(Cost $15,354) 15,347
--------
COMMERCIAL PAPER--11.3%
Centric Funding
5.300%, 08/19/96 1,250 1,247
Fleet Funding
5.380%, 08/09/96 1,025 1,024
Hewlett-Packard
5.380%, 08/23/96 1,560 1,555
Ranger Funding
5.320%, 08/02/96 1,500 1,500
--------
TOTAL COMMERCIAL PAPER
(Cost $5,326) 5,326
--------
- --------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
U.S. GOVERNMENT MORTGAGE-BACKED
OBLIGATIONS--21.2%
FNMA
6.000%, 04/01/01 $9,414 $ 9,082
5.869%, 08/26/96 (A) 896 899
-------
TOTAL U.S. GOVERNMENT MORTGAGE-BACKED
OBLIGATIONS
(Cost $10,291) 9,981
-------
ASSET BACKED SECURITIES--22.2%
Airplanes Pass Through Trust
1-A2
5.816%, 08/15/96 (A) 1,000 1,003
Banc One Auto 95-A A3
6.850%, 11/15/97 1,437 1,442
Daimler-Benz Auto Grantor
Trust 93-A
3.900%, 10/15/98 114 114
Daimler-Benz Auto Grantor
Trust 95-A A
5.850%, 05/15/02 713 711
Ford Credit Grantor Trust 93-B
4.300%, 07/15/98 155 153
Ford Credit Grantor Trust 95-B A
5.900%, 10/15/00 767 763
General Motors Acceptance 93-A A
4.150%, 03/16/98 34 34
General Motors Acceptance 93-B A
4.000%, 09/15/98 126 126
General Motors Grantor Trust 95 A1
7.150%, 03/15/00 706 713
IBM Credit Receivables Lease Asset
Master Trust 93-1 A
4.550%, 11/15/00 642 634
Main Place Funding 95-2
5.795%, 10/25/96 (A) 1,000 1,001
MBNA Master Credit 94-DA
5.660%, 08/01/96 (A) 1,500 1,504
Premier Auto Trust 92-5
4.550%, 03/15/98 61 62
Premier Auto Trust 93-4 A2
4.650%, 02/02/99 173 172
Premier Auto Trust 93-6 A2
4.650%, 11/02/99 465 458
Premier Auto Trust 95-2 A4
7.050%, 07/04/98 1,500 1,512
Toyota Auto Receivables 93-A A
3.900%, 08/15/98 100 100
-------
TOTAL ASSET BACKED SECURITIES
(Cost $10,485) 10,502
-------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
11
<PAGE>
STATEMENT OF NET ASSETS
================================================================================
SEI DAILY INCOME TRUST -- JULY 31, 1996 (UNAUDITED)
CORPORATE DAILY INCOME
PORTFOLIO (CONCLUDED)
- --------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
U.S. TREASURY OBLIGATION--10.7%
U.S. Treasury Note
7.500%, 01/31/97 $5,000 $ 5,046
--------
TOTAL U.S. TREASURY OBLIGATION
(Cost $5,053) 5,046
--------
REPURCHASE AGREEMENT--1.7%
Paine Webber
5.60%, dated 07/31/96, matures
08/01/96, repurchase price
$784,122 (collateralized by U.S.
Treasury obligation, par value
$630,000, 9.250%, matures
02/15/16: market value $798,092) 784 784
--------
TOTAL REPURCHASE AGREEMENT
(Cost $784) 784
--------
TOTAL INVESTMENTS--99.7%
(Cost $47,293) 46,986
--------
OTHER ASSETS AND LIABILITIES, NET--0.3% 135
--------
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION VALUE (000)
- --------------------------------------------------------------------------------
NET ASSETS:
Portfolio Shares of Class A
(unlimited authorization -- no
par value) based on 23,805,973
outstanding shares of
beneficial interest $47,400
Accumulated net realized gain
on investments 28
Net unrealized depreciation
on investments (307)
-------
TOTAL NET ASSETS--100.0% $47,121
=======
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE-- CLASS A $1.98
=======
(A) FLOATING RATE INSTRUMENT. THE RATE REFLECTED ON THE STATEMENT OF NET
ASSETS IS THE RATE IN EFFECT ON JULY 31, 1996. THE DATE SHOWN IS THE
LONGER OF THE RESET DATE OR THE DEMAND DATE.
FNMA FEDERAL NATIONAL MORTGAGE ASSOCIATION
MTN MEDIUM TERM NOTE
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
12
<PAGE>
[THIS PAGE LEFT INTENTIONALLY BLANK]
<PAGE>
STATEMENTS OF OPERATIONS (000)
================================================================================
SEI DAILY INCOME TRUST--FOR THE PERIOD ENDED JULY 31, 1996 (UNAUDITED)
<TABLE>
<CAPTION>
--------- ---------- ------------- ---------- --------- -----------
MONEY PRIME
MARKET GOVERNMENT GOVERNMENT II OBLIGATION TREASURY TREASURY II
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
--------- ---------- ------------- ---------- --------- -----------
<S> <C> <C> <C> <C> <C> <C>
Interest Income $3,209 $18,367 $20,997 $72,387 $1,965 $13,609
------ ------- ------- ------- ------ -------
EXPENSES:
Management fee 194 818 747 2,537 88 627
Less management fees waived (139) (347) (219) (684) (68) (140)
Less contribution from management -- -- -- -- -- --
Investment advisory fee 15 87 101 342 9 67
Less investment advisory fees waived (12) (59) (63) (208) (8) (38)
Custodian/wire agent fees 33 46 57 168 25 34
Trustee fees 1 7 8 27 1 5
Distribution fees(1) 37 1,880 87 481 33 76
Other 18 85 94 289 21 64
Amortization of deferred
organizational costs -- -- -- -- -- --
------ ------- ------- ------- ------ -------
Total expenses, net of waivers 147 2,517 812 2,952 101 695
------ ------- ------- ------- ------ -------
NET INVESTMENT INCOME 3,062 15,850 20,185 69,435 1,864 12,914
------ ------- ------- ------- ------ -------
NET REALIZED AND UNREALIZED GAIN
(LOSS) ON INVESTMENTS
Net realized gain (loss) from security
transactions -- (125) (94) (41) (2) (148)
------ ------- ------- ------- ------ -------
Net change in unrealized depreciation
of investments -- -- -- -- -- --
------ ------- ------- ------- ------ -------
NET INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS $3,062 $15,725 $20,091 $69,394 $1,862 $12,766
====== ======= ======= ======= ====== =======
</TABLE>
14
<PAGE>
<TABLE>
<CAPTION>
-------------- ------------- --------- --------- ------------
INTERMEDIATE- CORPORATE SHORT-
SHORT-DURATION DURATION DAILY DURATION
GOVERNMENT GOVERNMENT GNMA INCOME MORTGAGE
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO(2)
-------------- ------------- --------- --------- ------------
<S> <C> <C> <C> <C> <C>
Interest Income $2,310 $ 4,557 $ 4,748 $1,421 $33
------ ------- ------- ------ ---
EXPENSES:
Management fee 127 264 208 85 2
Less management fees waived (19) (27) (8) (34) (2)
Less contribution from management -- -- -- -- (1)
Investment advisory fee 36 75 65 24 --
Less investment advisory fees waived (8) (11) (3) (12) --
Custodian/wire agent fees 8 17 26 6 1
Trustee fees 1 2 1 -- --
Distribution fees(1) 5 12 45 4 --
Other 13 26 18 8 --
Amortization of deferred
organizational costs -- -- -- 7 2
------ ------- ------- ------ ---
Total expenses, net of waivers 163 358 352 88 2
------ ------- ------- ------ ---
NET INVESTMENT INCOME 2,147 4,199 4,396 1,333 31
------ ------- ------- ------ ---
NET REALIZED AND UNREALIZED GAIN
(LOSS) ON INVESTMENTS
Net realized gain (loss) from security
transactions 97 2,168 (185) 32 5
------ ------- ------- ------ ---
Net change in unrealized depreciation
of investments (1,578) (8,685) (5,394) (588) (41)
------ ------- ------- ------ ---
NET INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS $ 666 $(2,318) $(1,183) $ 777 $ (5)
====== ======= ======= ====== ---
<FN>
(1) INCLUDES CLASS SPECIFIC EXPENSES OF APPROXIMATELY $30, $1,836, $26, $282,
$28, $43 AND $1 FOR THE MONEY MARKET, GOVERNMENT, GOVERNMENT II, PRIME
OBLIGATION, TREASURY, TREASURY II, AND GNMA PORTFOLIOS, RESPECTIVELY.
(2) SHORT-DURATION MORTGAGE PORTFOLIO CLOSED ON JUNE 4, 1996.
AMOUNTS DESIGNATED AS "--" ARE EITHER $0 OR HAVE BEEN ROUNDED TO $0.
</FN>
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
15
<PAGE>
STATEMENTS OF CHANGES IN NET ASSETS (000)
================================================================================
SEI DAILY INCOME TRUST--FOR THE PERIOD ENDED JULY 31, 1996 (UNAUDITED) AND FOR
THE YEAR ENDED JANUARY 31, 1996
<TABLE>
<CAPTION>
---------------------- ---------------------- ----------------------
MONEY
MARKET GOVERNMENT GOVERNMENT II
---------------------- ---------------------- ----------------------
2/1/96 2/1/95 2/1/96 2/1/95 2/1/96 2/1/95
to 7/31/96 to 1/31/96 to 7/31/96 to 1/31/96 to 7/31/96 to 1/31/96
---------- ---------- ---------- ---------- ---------- ----------
<S> <C> <C> <C> <C> <C> <C>
OPERATIONS:
Net investment income $ 3,062 $ 9,302 $ 15,850 $ 25,812 $ 20,185 $ 46,658
Net realized gain (loss) from security
transactions -- 27 (125) 79 (94) 56
--------- --------- --------- --------- -------- ---------
Net increase in net assets resulting
from operations 3,062 9,329 15,725 25,891 20,091 46,714
--------- --------- --------- --------- -------- ---------
DIVIDENDS DISTRIBUTED FROM:
Net investment income:
Class A (2,718) (8,897) (1,145) (260) (19,771) (45,683)
Class B (142) (335) (572) (300) (414) (975)
Class C (202) (70) -- (25,247) -- --
Class G -- -- (14,138) -- -- --
Net realized gains: -- -- -- -- -- --
--------- --------- --------- --------- -------- ---------
Total dividends distributed (3,062) (9,302) (15,855) (25,807) (20,185) (46,658)
--------- --------- --------- --------- -------- ---------
CAPITAL SHARE TRANSACTIONS (ALL AT $1.00
PER SHARE): Class A:
Proceeds from shares issued 525,048 1,636,983 359,422 151,613 2,219,015 4,331,859
Reinvestment of cash distributions 322 249 386 51 390 691
Cost of shares repurchased (512,819) (1,755,356) (293,345) (102,903) (2,280,105) (4,308,644)
--------- --------- --------- --------- -------- ---------
Increase (decrease) in net assets from
Class A transactions 12,551 (118,124) 66,463 48,761 (60,700) 23,906
--------- --------- --------- --------- -------- ---------
Class B:
Proceeds from shares issued 7,723 9,372 208,757 82,626 50,889 130,798
Reinvestment of cash distributions 17 9 -- 4 121 244
Cost of shares repurchased (13,624) (9,079) (196,001) (67,634) (52,133) (126,567)
--------- --------- --------- --------- -------- ---------
Increase (decrease) in net assets from
Class B transactions (5,884) 302 12,756 14,996 (1,123) 4,475
--------- --------- --------- --------- -------- ---------
Class C:
Proceeds from shares issued 23,484 8,473 -- -- -- --
Reinvestment of cash distributions 146 70 -- -- -- --
Cost of shares repurchased (12,276) (6,083) -- -- -- --
--------- --------- --------- --------- -------- ---------
Increase (decrease) in net assets from
Class C transactions 11,354 2,460 -- -- -- --
--------- --------- --------- --------- -------- ---------
Class G:
Proceeds from shares issued -- -- 943,806 1,365,830 -- --
Reinvestment of cash distributions -- -- 11,172 20,121 -- --
Cost of shares repurchased -- -- (846,225) (1,153,932) -- --
--------- --------- --------- --------- -------- ---------
Increase in net assets from Class G
transactions -- -- 108,753 232,019 -- --
--------- --------- --------- --------- -------- ---------
INCREASE (DECREASE) IN NET ASSETS DERIVED
FROM CAPITAL SHARE TRANSACTIONS 18,021 (115,362) 187,972 295,776 (61,823) 28,381
--------- --------- --------- --------- -------- ---------
Net increase (decrease) in net assets 18,021 (115,335) 187,842 295,860 (61,917) 28,437
--------- --------- --------- --------- -------- ---------
NET ASSETS:
Beginning of Period 104,967 220,302 606,695 310,835 830,043 801,606
--------- --------- --------- --------- -------- ---------
End of Period $ 122,988 $ 104,967 $ 794,537 $ 606,695 $768,126 $ 830,043
========= ========= ========= ========= ======== =========
</TABLE>
16
<PAGE>
<TABLE>
<CAPTION>
---------------------- ---------------------- -----------------------
PRIME
OBLIGATION TREASURY TREASURY II
----------------------- ---------------------- -----------------------
2/1/96 2/1/95 2/1/96 2/1/95 2/1/96 2/1/95
to 7/31/96 to 1/31/96 to 7/31/96 to 1/31/96 to 7/31/96 to 1/31/96
---------- ---------- ---------- ---------- ---------- ----------
<S> <C> <C> <C> <C> <C> <C>
OPERATIONS:
Net investment income $ 69,435 $ 139,533 $ 1,864 $ 3,009 $ 12,914 $ 26,441
Net realized gain (loss) from security
transactions (41) 94 (2) 11 (148) 103
---------- ----------- -------- -------- --------- ---------
Net increase in net assets resulting
from operations 69,394 139,627 1,862 3,020 12,766 26,544
---------- ----------- -------- -------- --------- ---------
DIVIDENDS DISTRIBUTED FROM:
Net investment income:
Class A (64,799) (136,749) (1,603) (2,644) (12,284) (24,600)
Class B (4,631) (2,784) -- -- (571) (1,768)
Class C (1) -- (261) (365) (59) (73)
Class G -- -- -- -- -- --
Net realized gains: -- -- -- -- -- --
---------- ----------- -------- -------- --------- ---------
Total dividends distributed (69,431) (139,533) (1,864) (3,009) (12,914) (26,441)
---------- ----------- -------- -------- --------- ---------
CAPITAL SHARE TRANSACTIONS (ALL AT $1.00
PER SHARE): Class A:
Proceeds from shares issued 11,865,951 15,851,570 128,669 221,471 1,931,028 3,724,146
Reinvestment of cash distributions 18,177 35,850 94 1 3,931 6,454
Cost of shares repurchased (11,675,238) (16,224,177) (103,684) (205,791) (1,803,323) (3,710,125)
---------- ----------- -------- -------- --------- ---------
Increase (decrease) in net assets from
Class A transactions 208,890 (336,757) 25,079 15,681 131,636 20,475
---------- ----------- -------- -------- --------- ---------
Class B:
Proceeds from shares issued 1,160,941 544,082 -- -- 57,923 173,790
Reinvestment of cash distributions 71 127 -- -- 2 2
Cost of shares repurchased (1,146,813) (391,283) -- -- (64,096) (192,035)
---------- ----------- -------- -------- --------- ---------
Increase (decrease) in net assets from
Class B transactions 14,199 152,926 -- -- (6,171) (18,243)
---------- ----------- -------- -------- --------- ---------
Class C:
Proceeds from shares issued 651 -- 37,707 40,529 18,952 8,448
Reinvestment of cash distributions -- -- -- -- 46 73
Cost of shares repurchased (551) -- (38,895) (25,839) (17,383) (4,586)
---------- ----------- -------- -------- --------- ---------
Increase (decrease) in net assets from
Class C transactions 100 -- (1,188) 14,690 1,615 3,935
---------- ----------- -------- -------- --------- ---------
Class G:
Proceeds from shares issued -- -- -- -- -- --
Reinvestment of cash distributions -- -- -- -- -- --
Cost of shares repurchased -- -- -- -- -- --
---------- ----------- -------- -------- --------- ---------
Increase in net assets from Class G
transactions -- -- -- -- -- --
---------- ----------- -------- -------- --------- ---------
INCREASE (DECREASE) IN NET ASSETS DERIVED
FROM CAPITAL SHARE TRANSACTIONS 223,189 (183,831) 23,891 30,371 127,080 6,167
---------- ----------- -------- -------- --------- ---------
Net increase (decrease) in net assets 223,152 (183,737) 23,889 30,382 126,932 6,270
---------- ----------- -------- -------- --------- ---------
NET ASSETS:
Beginning of Period 2,616,441 2,800,178 69,511 39,129 448,632 442,362
---------- ----------- -------- -------- --------- ---------
End of Period $2,839,593 $ 2,616,441 $ 93,400 $ 69,511 $ 575,564 $ 448,632
========== =========== ======== ======== ========= =========
<FN>
AMOUNTS DESIGNATED AS "--" ARE EITHER $0 OR HAVE BEEN ROUNDED TO $0.
</FN>
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
17
<PAGE>
STATEMENTS OF CHANGES IN NET ASSETS (000)
================================================================================
SEI DAILY INCOME TRUST--FOR THE PERIOD ENDED JULY 31, 1996 (UNAUDITED) AND FOR
THE YEAR ENDED JANUARY 31, 1996
<TABLE>
<CAPTION>
----------------------- ----------------------- -----------------------
INTERMEDIATE-
SHORT-DURATION DURATION
GOVERNMENT GOVERNMENT GNMA
----------------------- ----------------------- -----------------------
2/1/96 2/1/95 2/1/96 2/1/95 2/1/96 2/1/95
to 7/31/96 to 1/31/96 to 7/31/96 to 1/31/96 to 7/31/96 to 1/31/96
----------------------- ----------------------- -----------------------
<S> <C> <C> <C> <C> <C> <C>
OPERATIONS:
Net investment income $ 2,147 $ 4,890 $ 4,199 $ 11,693 $ 4,396 $ 10,622
Net realized gain (loss) from security
transactions 97 (210) 2,168 1,392 (185) (1,931)
Net change in unrealized appreciation
(depreciation) of investments (1,578) 3,207 (8,685) 13,934 (5,394) 13,217
------- ------- --------- -------- --------- --------
Net increase (decrease) in net assets
resulting from operations 666 7,887 (2,318) 27,019 (1,183) 21,908
------- ------- --------- -------- --------- --------
DIVIDENDS DISTRIBUTED FROM:
Net investment income:
Class A (2,145) (4,882) (4,198) (11,683) (4,391) (10,609)
Class B (1) (7) -- (5) (1) (1)
Class D -- (1) (1) (5) (4) (12)
Net Realized Gains:
Class A -- -- -- -- -- --
Class B -- -- -- -- -- --
Class D -- -- -- -- -- --
------- ------- --------- -------- --------- --------
Total dividends distributed (2,146) (4,890) (4,199) (11,693) (4,396) (10,622)
------- ------- --------- -------- --------- --------
CAPITAL SHARE TRANSACTIONS:
Class A:
Proceeds from shares issued 28,032 54,202 28,191 35,080 16,515 35,784
Reinvestment of cash distributions 711 1,484 740 1,840 1,020 2,093
Cost of shares repurchased (29,413) (84,705) (38,392) (130,929) (28,527) (94,982)
------- ------- --------- -------- --------- --------
Decrease in net assets from Class A
transactions (670) (29,019) (9,461) (94,009) (10,992) (57,105)
------- ------- --------- -------- --------- --------
Class B:
Proceeds from shares issued -- 1 -- -- -- --
Reinvestment of cash distributions -- -- -- -- -- --
Cost of shares repurchased (25) (98) -- (96) (14) --
------- ------- --------- -------- --------- --------
Decrease in net assets from Class B
transactions (25) (97) -- (96) (14) --
------- ------- --------- -------- --------- --------
Class D:
Proceeds from shares issued -- 11 -- 26 -- 17
Reinvestment of cash distributions -- -- -- 4 3 10
Cost of shares repurchased (11) -- (66) (76) (164) (49)
------- ------- --------- -------- --------- --------
Increase (decrease) in net assets
from Class D transactions (11) 11 (66) (46) (161) (22)
------- ------- --------- -------- --------- --------
DECREASE IN NET ASSETS DERIVED FROM
CAPITAL SHARE TRANSACTIONS (706) (29,105) (9,527) (94,151) (11,167) (57,127)
------- ------- --------- -------- --------- --------
Net decrease in net assets (2,186) (26,108) (16,044) (78,825) (16,746) (45,841)
------- ------- --------- -------- --------- --------
NET ASSETS:
Beginning of Period 73,481 99,589 165,038 243,863 136,567 182,408
------- ------- --------- -------- --------- --------
End of Period $71,295 $73,481 $ 148,994 $165,038 $ 119,821 $136,567
======= ======= ========= ======== ========= ========
CAPITAL SHARE TRANSACTIONS:
Class A:
Shares issued 2,826 5,451 2,905 3,585 1,722 3,727
Shares issued in lieu of cash
distributions 72 149 76 188 107 218
Shares repurchased (2,968) (8,542) (3,936) (13,494) (3,001) (9,957)
------- ------- --------- -------- --------- --------
Total Class A transactions (70) (2,942) (955) (9,721) (1,172) (6,012)
------- ------- --------- -------- --------- --------
Class B:
Shares issued -- -- -- -- -- --
Shares issued in lieu of cash
distributions -- -- -- -- -- --
Shares repurchased (3) (10) -- (10) (2) --
------- ------- --------- -------- --------- --------
Total Class B transactions (3) (10) -- (10) (2) --
------- ------- --------- -------- --------- --------
Class D:
Shares issued -- 1 -- 3 -- 2
Shares issued in lieu of cash
distributions -- -- -- -- -- 1
Shares repurchased (1) -- (6) (8) (16) (5)
------- ------- --------- -------- --------- --------
Total Class D transactions (1) 1 (6) (5) (16) (2)
------- ------- --------- -------- --------- --------
Decrease in capital shares (74) (2,951) (961) (9,736) (1,190) (6,014)
======= ======= ========= ======== ========= ========
</TABLE>
<TABLE>
<CAPTION>
----------------------- -----------------------
CORPORATE
DAILY SHORT-DURATION
INCOME MORTGAGE
----------------------- -----------------------
2/1/96 2/1/95 2/1/96 2/1/95
to 7/31/96 to 1/31/96 to 6/4/96(1) to 1/31/96
----------------------- -----------------------
<S> <C> <C> <C> <C>
OPERATIONS:
Net investment income $ 1,333 $ 3,164 $ 31 $ 174
Net realized gain (loss) from security
transactions 32 530 5 44
Net change in unrealized appreciation
(depreciation) of investments (588) 737 (41) 31
--------- -------- ------ -------
Net increase (decrease) in net assets
resulting from operations 777 4,431 (5) 249
--------- -------- ------ -------
DIVIDENDS DISTRIBUTED FROM:
Net investment income:
Class A (1,333) (3,164) (29) (176)
Class B -- -- -- --
Class D -- -- -- --
Net Realized Gains:
Class A -- (168) -- --
Class B -- -- -- --
Class D -- -- -- --
--------- -------- ------ -------
Total dividends distributed (1,333) (3,332) (29) (176)
--------- -------- ------ -------
CAPITAL SHARE TRANSACTIONS:
Class A:
Proceeds from shares issued 13,296 33,220 338 1,707
Reinvestment of cash distributions 873 1,876 12 53
Cost of shares repurchased (15,031) (38,151) (2,131) (3,625)
--------- -------- ------ -------
Decrease in net assets from Class A
transactions (862) (3,055) (1,781) (1,865)
--------- -------- ------ -------
Class B:
Proceeds from shares issued -- -- -- --
Reinvestment of cash distributions -- -- -- --
Cost of shares repurchased -- -- -- --
--------- -------- ------ -------
Decrease in net assets from Class B
transactions -- -- -- --
--------- -------- ------ -------
Class D:
Proceeds from shares issued -- -- -- --
Reinvestment of cash distributions -- -- -- --
Cost of shares repurchased -- -- -- --
--------- -------- ------ -------
Increase (decrease) in net assets
from Class D transactions -- -- -- --
--------- -------- ------ -------
DECREASE IN NET ASSETS DERIVED FROM
CAPITAL SHARE TRANSACTIONS (862) (3,055) (1,781) (1,865)
--------- -------- ------ -------
Net decrease in net assets (862) (1,956) (1,815) (1,792)
--------- -------- ------ -------
NET ASSETS:
Beginning of Period 48,539 50,495 1,815 3,607
--------- -------- ------ -------
End of Period $ 47,121 $ 48,539 $ -- $ 1,815
========= ======== ====== =======
CAPITAL SHARE TRANSACTIONS:
Class A:
Shares issued 6,695 16,731 34 174
Shares issued in lieu of cash
distributions 440 942 1 6
Shares repurchased (7,572) (19,144) (219) (370)
--------- -------- ------ -------
Total Class A transactions (437) (1,471) (184) (190)
--------- -------- ------ -------
Class B:
Shares issued -- -- -- --
Shares issued in lieu of cash
distributions -- -- -- --
Shares repurchased -- -- -- --
--------- -------- ------ -------
Total Class B transactions -- -- --
--------- -------- ------ -------
Class D:
Shares issued -- -- -- --
Shares issued in lieu of cash
distributions -- -- -- --
Shares repurchased -- -- -- --
--------- -------- ------ -------
Total Class D transactions -- -- -- --
--------- -------- ------ -------
Decrease in capital shares (437) (1,471) (183) (190)
========= ======== ====== =======
<FN>
(1) SHORT-DURATION MORTGAGE PORTFOLIO CLOSED ON JUNE 4, 1996.
</FN>
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
19
<PAGE>
FINANCIAL HIGHLIGHTS
================================================================================
SEI DAILY INCOME TRUST--FOR THE PERIOD ENDED JULY 31, 1996 (UNAUDITED)
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
<TABLE>
<CAPTION>
NET ASSET NET REALIZED AND DISTRIBUTIONS DISTRIBUTIONS
VALUE NET UNREALIZED FROM NET FROM NET ASSET
BEGINNING INVESTMENT GAINS (LOSSES) INVESTMENT REALIZED CAPITAL VALUE END TOTAL
OF PERIOD INCOME ON SECURITIES INCOME GAINS OF PERIOD RETURN
=============================================================================================================
<S> <C> <C> <C> <C> <C> <C> <C>
- ----------------------
MONEY MARKET PORTFOLIO
- ----------------------
CLASS A
1996* $1.00 $0.03 $-- $(0.03) $-- $1.00 2.65%(DAGGER)
1996 1.00 0.06 -- (0.06) -- 1.00 5.98
1995 1.00 0.04 -- (0.04) -- 1.00 4.55
1994 1.00 0.03 -- (0.03) -- 1.00 2.98
1993 1.00 0.04 -- (0.04) -- 1.00 3.60
1992 1.00 0.06 -- (0.06) -- 1.00 5.76
CLASS B
1996* 1.00 0.02 -- (0.02) -- 1.00 2.50(DAGGER)
1996 1.00 0.06 -- (0.06) -- 1.00 5.67
1995 1.00 0.04 -- (0.04) -- 1.00 4.24
1994 1.00 0.03 -- (0.03) -- 1.00 2.68
1993 1.00 0.04 -- (0.04) -- 1.00 3.29
1992 1.00 0.05 -- (0.05) -- 1.00 5.45
CLASS C
1996* 1.00 0.02 -- (0.02) -- 1.00 2.39(DAGGER)
1996(1) 1.00 0.04 -- (0.04) -- 1.00 3.79(DAGGER)
- --------------------
GOVERNMENT PORTFOLIO
- --------------------
CLASS A
1996* $1.00 $0.03 $-- $(0.03) $-- $1.00 2.61%(DAGGER)
1996(2) 1.00 0.01 -- (0.01) -- 1.00 1.48(DAGGER)
1994(3) 1.00 0.01 -- (0.01) -- 1.00 3.22
1993(4) 1.00 0.03 -- (0.03) -- 1.00 3.19
CLASS B
1996* 1.00 0.02 -- (0.02) -- 1.00 2.46(DAGGER)
1996(5) 1.00 0.02 -- (0.02) -- 1.00 2.39(DAGGER)
CLASS G
1996* 1.00 0.02 -- (0.02) -- 1.00 2.31(DAGGER)
1996 1.00 0.05 -- (0.05) -- 1.00 5.39
1995(6) 1.00 0.03 -- (0.03) -- 1.00 3.41(DAGGER)
- -----------------------
GOVERNMENT II PORTFOLIO
- -----------------------
CLASS A
1996* $1.00 $0.03 $-- $(0.03) $-- $1.00 2.58%(DAGGER)
1996 1.00 0.06 -- (0.06) -- 1.00 5.83
1995 1.00 0.04 -- (0.04) -- 1.00 4.39
1994 1.00 0.03 -- (0.03) -- 1.00 3.02
1993 1.00 0.04 -- (0.04) -- 1.00 3.57
1992 1.00 0.06 -- (0.06) -- 1.00 5.73
CLASS B
1996* 1.00 0.02 -- (0.02) -- 1.00 2.43(DAGGER)
1996 1.00 0.05 -- (0.05) -- 1.00 5.52
1995 1.00 0.04 -- (0.04) -- 1.00 4.08
1994 1.00 0.03 -- (0.03) -- 1.00 2.71
1993 1.00 0.03 -- (0.03) -- 1.00 3.26
1992 1.00 0.05 -- (0.05) -- 1.00 5.02
- --------------------------
PRIME OBLIGATION PORTFOLIO
- --------------------------
CLASS A
1996* $1.00 $0.03 $-- $(0.03) $-- $1.00 2.62%(DAGGER)
1996 1.00 0.06 -- (0.06) -- 1.00 5.96
1995 1.00 0.04 -- (0.04) -- 1.00 4.46
1994 1.00 0.03 -- (0.03) -- 1.00 3.10
1993 1.00 0.04 -- (0.04) -- 1.00 3.72
1992 1.00 0.06 -- (0.06) -- 1.00 5.97
CLASS B
1996* 1.00 0.02 -- (0.02) -- 1.00 2.47(DAGGER)
1996 1.00 0.06 -- (0.06) -- 1.00 5.65
1995 1.00 0.04 -- (0.04) -- 1.00 4.15
1994 1.00 0.03 -- (0.03) -- 1.00 2.79
1993 1.00 0.04 -- (0.04) -- 1.00 3.41
1992(7) 1.00 0.04 -- (0.04) -- 1.00 5.58
CLASS C
1996(8)* 1.00 0.01 -- (0.01) -- 1.00 1.19(DAGGER)
1995(9) 1.00 0.03 -- (0.03) -- 1.00 2.55(DAGGER)
1994 1.00 0.03 -- (0.03) -- 1.00 2.59
1993(10) 1.00 0.03 -- (0.03) -- 1.00 3.13
</TABLE>
<TABLE>
<CAPTION>
RATIO OF
NET
RATIO OF RATIO OF INVESTMENT
NET EXPENSES INCOME
RATIO OF INVESTMENT TO AVERAGE TO AVERAGE
NET ASSETS EXPENSES INCOME NET ASSETS NET ASSETS
END OF TO AVERAGE TO AVERAGE (EXCLUDING (EXCLUDING
PERIOD (000) NET ASSETS NET ASSETS WAIVERS) WAIVERS)
===========================================================================
<S> <C> <C> <C> <C> <C>
- ----------------------
MONEY MARKET PORTFOLIO
- ----------------------
CLASS A
1996* $108,440 0.20% 5.25% 0.46% 4.99%
1996 95,891 0.20 5.88 0.45 5.63
1995 213,988 0.21 4.49 0.45 4.25
1994 203,803 0.35 2.95 0.44 2.86
1993 264,450 0.35 3.56 0.39 3.52
1992 312,151 0.35 5.84 0.39 5.80
CLASS B
1996* 734 0.50 4.93 0.76 4.67
1996 6,616 0.50 5.53 0.75 5.28
1995 6,314 0.51 4.49 0.75 4.25
1994 2,334 0.65 2.65 0.74 2.56
1993 309 0.65 3.47 0.69 3.43
1992 2,305 0.53 5.18 0.61 5.10
CLASS C
1996* 13,814 0.70 4.75 0.95 4.50
1996(1) 2,460 0.70 5.17 0.96 4.91
- --------------------
GOVERNMENT PORTFOLIO
- --------------------
CLASS A
1996* $115,221 0.20% 5.20% 0.32% 5.08%
1996(2) 48,762 0.20 5.55 0.33 5.42
1994(3) -- 0.20 3.04 0.37 2.87
1993(4) 20,022 0.20 3.41 0.38 3.23
CLASS B
1996* 27,748 0.50 4.88 0.62 4.76
1996(5) 14,997 0.50 5.27 0.63 5.14
CLASS G
1996* 651,568 0.78 4.59 0.90 4.47
1996 542,936 0.70 5.23 0.84 5.09
1995(6) 310,835 0.70 4.32 0.89 4.13
- -----------------------
GOVERNMENT II PORTFOLIO
- -----------------------
CLASS A
1996* $749,574 0.20% 5.14% 0.27% 5.07%
1996 810,365 0.20 5.69 0.29 5.60
1995 786,405 0.20 4.33 0.30 4.23
1994 738,040 0.20 2.98 0.29 2.89
1993 664,540 0.20 3.48 0.29 3.39
1992 534,303 0.20 5.56 0.28 5.48
CLASS B
1996* 18,552 0.50 4.85 0.57 4.78
1996 19,678 0.50 5.41 0.59 5.32
1995 15,201 0.50 4.33 0.60 4.23
1994 21,462 0.50 2.68 0.60 2.58
1993 338 0.50 3.35 0.59 3.26
1992 1,906 0.48 4.75 0.59 4.64
- --------------------------
PRIME OBLIGATION PORTFOLIO
- --------------------------
CLASS A
1996* $2,650,518 0.20% 5.21% 0.27% 5.14%
1996 2,441,662 0.20 5.82 0.29 5.73
1995 2,778,326 0.20 4.41 0.30 4.31
1994 2,541,126 0.20 3.07 0.28 2.98
1993 2,564,340 0.20 3.62 0.30 3.52
1992 1,661,619 0.20 5.73 0.29 5.64
CLASS B
1996* 188,975 0.50 4.91 0.57 4.84
1996 174,779 0.50 5.38 0.58 5.30
1995 21,852 0.50 4.55 0.60 4.45
1994 6,312 0.50 2.77 0.58 2.68
1993 4,699 0.47 3.63 0.53 3.57
1992(7) 67,016 0.50 4.98 0.59 4.89
CLASS C
1996(8)* 100 0.70 4.72 0.75 4.67
1995(9) -- 0.70 2.79 0.77 2.72
1994 20,602 0.70 2.57 0.78 2.48
1993(10) 85,325 0.70 3.05 0.83 2.92
</TABLE>
20
<PAGE>
================================================================================
<TABLE>
<CAPTION>
NET ASSET NET REALIZED AND DISTRIBUTIONS DISTRIBUTIONS
VALUE NET UNREALIZED FROM NET FROM NET ASSET
BEGINNING INVESTMENT GAINS (LOSSES) INVESTMENT REALIZED CAPITAL VALUE END TOTAL
OF PERIOD INCOME ON SECURITIES INCOME GAINS OF PERIOD RETURN
=============================================================================================================
<S> <C> <C> <C> <C> <C> <C> <C>
- ------------------
TREASURY PORTFOLIO
- ------------------
CLASS A
1996* $1.00 $0.03 $-- $(0.03) $-- $1.00 2.60%(DAGGER)
1996 1.00 0.06 -- (0.06) -- 1.00 5.89
1995 1.00 0.04 -- (0.04) -- 1.00 4.29
1994 1.00 0.03 -- (0.03) -- 1.00 3.00
1993(11) 1.00 0.01 -- (0.01) -- 1.00 2.91
CLASS C
1996* 1.00 0.02 -- (0.02) -- 1.00 2.35%(DAGGER)
1996(12) 1.00 0.03 -- (0.03) -- 1.00 2.68(DAGGER)
- ---------------------
TREASURY II PORTFOLIO
- ---------------------
CLASS A
1996* $1.00 $0.02 $-- $(0.02) $-- $1.00 2.49%(DAGGER)
1996 1.00 0.05 -- (0.05) -- 1.00 5.58
1995 1.00 0.04 -- (0.04) -- 1.00 4.17
1994 1.00 0.03 -- (0.03) -- 1.00 2.88
1993 1.00 0.03 -- (0.03) -- 1.00 3.46
1992 1.00 0.06 -- (0.06) -- 1.00 5.48
CLASS B
1996* 1.00 0.02 -- (0.02) -- 1.00 2.34(DAGGER)
1996 1.00 0.05 -- (0.05) -- 1.00 5.27
1995 1.00 0.04 -- (0.04) -- 1.00 3.86
1994 1.00 0.03 -- (0.03) -- 1.00 2.57
1993 1.00 0.03 -- (0.03) -- 1.00 3.15
1992 1.00 0.05 -- (0.05) -- 1.00 5.16
CLASS C
1996* 1.00 0.02 -- (0.02) -- 1.00 2.24(DAGGER)
1996(13) 1.00 0.04 -- (0.04) -- 1.00 3.64(DAGGER)
</TABLE>
<TABLE>
<CAPTION>
RATIO OF
NET
RATIO OF RATIO OF INVESTMENT
NET EXPENSES INCOME
RATIO OF INVESTMENT TO AVERAGE TO AVERAGE
NET ASSETS EXPENSES INCOME NET ASSETS NET ASSETS
END OF TO AVERAGE TO AVERAGE (EXCLUDING (EXCLUDING
PERIOD (000) NET ASSETS NET ASSETS WAIVERS) WAIVERS)
===========================================================================
<S> <C> <C> <C> <C> <C>
- ------------------
TREASURY PORTFOLIO
- ------------------
CLASS A
1996* $79,897 0.20% 5.18% 0.41% 4.97%
1996 54,820 0.20 5.72 0.36 5.56
1995 39,129 0.20 4.17 0.34 4.03
1994 46,296 0.20 2.96 0.33 2.82
1993(11) 44,624 0.20 2.89 0.42 2.67
CLASS C
1996* 13,503 0.70 4.68 0.91 4.47
1996(12) 14,691 0.70 5.12 0.87 4.95
- ---------------------
TREASURY II PORTFOLIO
- ---------------------
CLASS A
1996* $549,747 0.25% 4.96% 0.32% 4.89%
1996 418,250 0.25 5.44 0.34 5.35
1995 397,682 0.25 4.11 0.35 4.01
1994 364,334 0.25 2.84 0.34 2.76
1993 352,435 0.25 3.40 0.34 3.31
1992 282,535 0.25 5.43 0.31 5.37
CLASS B
1996* 20,268 0.55 4.67 0.62 4.60
1996 26,447 0.55 5.18 0.64 5.09
1995 44,680 0.55 3.71 0.65 3.61
1994 22,448 0.55 2.54 0.64 2.46
1993 6,038 0.55 3.42 0.64 3.33
1992 102,182 0.55 4.97 0.61 4.91
CLASS C
1996* 5,549 0.75 4.46 0.82 4.39
1996(13) 3,935 0.75 4.85 0.84 4.76
<FN>
* ALL RATIOS FOR THE SEMI-ANNUAL PERIOD ENDED JULY 31, 1996 (UNAUDITED) HAVE
BEEN ANNUALIZED.
(DAGGER) RETURNS ARE FOR THE PERIOD INDICATED AND HAVE NOT BEEN ANNUALIZED.
1 MONEY MARKET CLASS C SHARES WERE OFFERED BEGINNING MAY 17, 1995. ALL RATIOS
FOR THAT PERIOD HAVE BEEN ANNUALIZED.
2 GOVERNMENT CLASS A SHARES WERE RE-OFFERED BEGINNING OCTOBER 27, 1995. ALL
RATIOS FOR THAT PERIOD HAVE BEEN ANNUALIZED.
3 GOVERNMENT CLASS A SHARES WERE FULLY LIQUIDATED JUNE 2, 1993. ALL RATIOS
INCLUDING TOTAL RETURN FOR THAT PERIOD HAVE BEEN ANNUALIZED.
4 GOVERNMENT CLASS A SHARES WERE OFFERED BEGINNING MARCH 8, 1992. ALL RATIOS
INCLUDING TOTAL RETURN FOR THAT PERIOD HAVE BEEN ANNUALIZED.
5 GOVERNMENT CLASS B SHARES WERE OFFERED BEGINNING AUGUST 22, 1995. ALL
RATIOS FOR THAT PERIOD HAVE BEEN ANNUALIZED.
6 GOVERNMENT CLASS G SHARES (FORMERLY CLASS C SHARES) WERE OFFERED BEGINNING
APRIL 7, 1994. ALL RATIOS FOR THAT PERIOD HAVE BEEN ANNUALIZED.
7 PRIME OBLIGATION CLASS B SHARES WERE OFFERED BEGINNING MARCH 26, 1991. ALL
RATIOS INCLUDING TOTAL RETURN FOR THAT PERIOD HAVE BEEN ANNUALIZED.
8 PRIME OBLIGATION CLASS C SHARES WERE RE-OFFERED BEGINNING APRIL 30, 1996.
ALL RATIOS FOR THAT PERIOD HAVE BEEN ANNUALIZED.
9 PRIME OBLIGATION CLASS C SHARES WERE FULLY LIQUIDATED OCTOBER 27, 1994. ALL
RATIOS FOR THAT PERIOD HAVE BEEN ANNUALIZED.
10 PRIME OBLIGATION CLASS C SHARES WERE OFFERED BEGINNING MARCH 25, 1992. ALL
RATIOS INCLUDING TOTAL RETURN FOR THAT PERIOD HAVE BEEN ANNUALIZED.
11 TREASURY CLASS A SHARES WERE OFFERED BEGINNING SEPTEMBER 30, 1992. ALL
RATIOS INCLUDING TOTAL RETURN FOR THAT PERIOD HAVE BEEN ANNUALIZED.
12 TREASURY CLASS C SHARES WERE OFFERED BEGINNING JULY 27, 1995. ALL RATIOS
FOR THAT PERIOD HAVE BEEN ANNUALIZED.
13 TREASURY II CLASS C SHARES WERE OFFERED BEGINNING MAY 8, 1995. ALL RATIOS
FOR THAT PERIOD HAVE BEEN ANNUALIZED.
</FN>
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
21
<PAGE>
FINANCIAL HIGHLIGHTS (Concluded)
================================================================================
SEI DAILY INCOME TRUST--FOR THE PERIOD ENDED JULY 31, 1996 (UNAUDITED)
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
<TABLE>
<CAPTION>
NET ASSET NET REALIZED AND DISTRIBUTIONS DISTRIBUTIONS
VALUE NET UNREALIZED FROM NET FROM NET ASSET
BEGINNING INVESTMENT GAINS (LOSSES) INVESTMENT REALIZED CAPITAL VALUE END TOTAL
OF PERIOD INCOME ON SECURITIES INCOME GAINS OF PERIOD RETURN
==============================================================================================================
<S> <C> <C> <C> <C> <C> <C> <C>
- ------------------------------------
SHORT-DURATION GOVERNMENT PORTFOLIO
- ------------------------------------
CLASS A
1996* $10.09 $0.29 $(0.20) $(0.29) $ -- $ 9.89 0.95%(DAGGER)
1996 9.73 0.61 0.36 (0.61) -- 10.09 10.27
1995 10.06 0.40 (0.32) (0.40) (0.01) 9.73 0.93
1994 10.13 0.40 0.04 (0.40) (0.11) 10.06 4.41
1993 10.09 0.52 0.14 (0.52) (0.10) 10.13 6.66
1992 9.82 0.68 0.27 (0.68) -- 10.09 10.00
CLASS B
1996* 10.07 0.28 (0.19) (0.28) -- 9.88 0.89(DAGGER)
1996 9.71 0.58 0.36 (0.58) -- 10.07 9.94
1995 10.04 0.38 (0.32) (0.38) (0.01) 9.71 0.70
1994 10.13 0.37 0.02 (0.37) (0.11) 10.04 3.93
1993 10.09 0.48 0.14 (0.48) (0.10) 10.13 6.34
1992 9.82 0.65 0.27 (0.65) -- 10.09 9.68
CLASS D**
1996(1)* 10.09 0.23 (0.19) (0.23) -- 9.90 0.37(DAGGER)
1996(2) 9.83 0.54 0.26 (0.54) -- 10.09 8.31(DAGGER)
- ------------------------------------------
INTERMEDIATE-DURATION GOVERNMENT PORTFOLIO
- ------------------------------------------
CLASS A
1996* $10.06 $0.27 $(0.42) $(0.27) $ -- $ 9.64 (1.48)%(DAGGER)
1996 9.33 0.60 0.73 (0.60) -- 10.06 14.60
1995 10.13 0.50 (0.73) (0.50) (0.07) 9.33 (2.19)
1994 10.23 0.54 0.11 (0.54) (0.21) 10.13 6.44
1993 10.06 0.62 0.28 (0.62) (0.11) 10.23 9.51
1992 9.75 0.70 0.40 (0.70) (0.09) 10.06 11.44
CLASS B
1996(3) 9.33 0.50 0.65 (0.50) -- 9.98 12.26(DAGGER)
1995(4) 9.64 0.31 (0.24) (0.31) (0.07) 9.33 0.61(DAGGER)
CLASS D**
1996(5)* 10.05 0.20 (0.40) (0.20) -- 9.65 (2.02)(DAGGER)
1996 9.32 0.56 0.73 (0.56) -- 10.05 14.15
1995 10.13 0.47 (0.74) (0.47) (0.07) 9.32 (2.61)
1994(6) 10.44 0.17 (0.10) (0.17) (0.21) 10.13 1.52
- --------------
GNMA PORTFOLIO
- --------------
CLASS A
1996* $ 9.84 $0.32 $(0.40) $(0.32) $ -- $ 9.44 (0.77)%(DAGGER)
1996 9.17 0.67 0.67 (0.67) -- 9.84 15.06
1995 10.07 0.64 (0.90) (0.64) -- 9.17 (2.46)
1994 10.22 0.66 (0.06) (0.66) (0.09) 10.07 6.09
1993 9.99 0.75 0.27 (0.75) (0.04) 10.22 10.92
1992 9.61 0.79 0.38 (0.79) -- 9.99 12.49
CLASS B
1996(7)* 9.84 0.28 (0.46) (0.28) -- 9.38 (1.97)(DAGGER)
1996 9.17 0.64 0.67 (0.64) -- 9.84 14.72
1995(8) 9.16 0.35 0.01 (0.35) -- 9.17 4.00(DAGGER)
CLASS D**
1996(9)* 9.83 0.25 (0.38) (0.25) -- 9.45 (1.38)(DAGGER)
1996 9.16 0.63 0.67 (0.63) -- 9.83 14.61
1995 10.09 0.61 (0.93) (0.61) -- 9.16 (3.04)
1994(10) 10.22 0.19 (0.04) (0.19) (0.09) 10.09 4.24
</TABLE>
<TABLE>
<CAPTION>
RATIO OF
NET
RATIO OF RATIO OF INVESTMENT
NET EXPENSES INCOME
RATIO OF INVESTMENT TO AVERAGE TO AVERAGE
NET ASSETS EXPENSES INCOME NET ASSETS NET ASSETS PORTFOLIO
END OF TO AVERAGE TO AVERAGE (EXCLUDING (EXCLUDING TURNOVER
PERIOD (000) NET ASSETS NET ASSETS WAIVERS) WAIVERS) RATE
======================================================================================
<S> <C> <C> <C> <C> <C> <C>
- ------------------------------------
SHORT-DURATION GOVERNMENT PORTFOLIO
- ------------------------------------
CLASS A
1996* $71,282 0.45% 5.52% 0.52% 5.45% 95%
1996 73,431 0.45 6.13 0.53 6.05 184
1995 99,458 0.45 4.12 0.52 4.05 45
1994 128,063 0.45 3.98 0.52 3.91 105
1993 100,153 0.45 5.04 0.55 4.94 80
1992 63,194 0.45 6.82 0.56 6.71 36
CLASS B
1996* 13 0.75 5.43 0.82 5.36 95
1996 39 0.75 5.85 0.83 5.77 184
1995 131 0.75 3.92 0.82 3.85 45
1994 37 0.75 3.67 0.82 3.60 105
1993 135 0.75 4.74 0.85 4.64 80
1992 135 0.75 6.52 0.85 6.42 36
CLASS D**
1996(1)* -- 0.85 5.54 0.94 5.45 95
1996(2) 11 0.85 5.86 0.93 5.78 184
- ------------------------------------------
INTERMEDIATE-DURATION GOVERNMENT PORTFOLIO
- ------------------------------------------
CLASS A
1996* $148,994 0.47% 5.57% 0.52% 5.52% 57%
1996 164,978 0.45 6.12 0.53 6.04 115
1995 243,671 0.45 5.20 0.52 5.13 61
1994 336,814 0.45 5.24 0.53 5.16 56
1993 259,488 0.45 6.16 0.53 6.08 52
1992 199,901 0.45 7.08 0.54 6.99 62
CLASS B
1996(3) -- 0.75 5.82 0.83 5.74 115
1995(4) 93 0.75 5.07 0.83 4.99 61
CLASS D**
1996(5)* -- 0.87 5.19 0.93 5.13 57
1996 60 0.85 5.73 0.93 5.65 115
1995 99 0.84 4.80 0.92 4.72 61
1994(6) 107 0.75 4.94 0.83 4.86 56
- --------------
GNMA PORTFOLIO
- --------------
CLASS A
1996* $119,821 0.54% 6.77% 0.56% 6.75% 7%
1996 136,394 0.49 7.04 0.51 7.02 20
1995 182,225 0.47 6.89 0.50 6.86 85
1994 262,162 0.45 6.38 0.50 6.32 70
1993 193,204 0.45 7.49 0.52 7.42 23
1992 120,712 0.45 8.09 0.52 8.02 9
CLASS B
1996(7)* -- 0.78 6.54 0.80 6.52 7
1996 15 0.79 6.71 0.81 6.69 20
1995(8) 14 0.79 6.80 0.82 6.77 85
CLASS D**
1996(9)* -- 0.89 6.46 0.91 6.44 7
1996 158 0.89 6.62 0.91 6.60 20
1995 169 0.86 6.54 0.89 6.51 85
1994(10) 133 0.75 6.06 0.80 6.01 70
</TABLE>
22
<PAGE>
================================================================================
<TABLE>
<CAPTION>
NET ASSET NET REALIZED AND DISTRIBUTIONS DISTRIBUTIONS
VALUE NET UNREALIZED FROM NET FROM NET ASSET
BEGINNING INVESTMENT GAINS (LOSSES) INVESTMENT REALIZED CAPITAL VALUE END TOTAL
OF PERIOD INCOME ON SECURITIES INCOME GAINS OF PERIOD RETURN
==============================================================================================================
<S> <C> <C> <C> <C> <C> <C> <C>
- --------------------------------
CORPORATE DAILY INCOME PORTFOLIO
- --------------------------------
CLASS A
1996* $ 2.00 $0.05 $(0.02) $(0.05) $ -- $ 1.98 1.73%(DAGGER)
1996 1.96 0.12 0.05 (0.12) (0.01) 2.00 8.65
1995 2.00 0.09 (0.04) (0.09) -- 1.96 2.59
1994(11) 2.00 0.02 -- (0.02) -- 2.00 3.45
- ---------------------------------
SHORT-DURATION MORTGAGE PORTFOLIO
- ---------------------------------
CLASS A
1996(12)* $ 9.88 $0.20 $0.66 $(0.19) $ -- $10.55 8.65%(DAGGER)
1996 9.64 0.63 0.25 (0.64) -- 9.88 9.43
1995 9.90 0.48 (0.24) (0.48) (0.02) 9.64 2.29
1994(13) 10.00 0.22 (0.10) (0.22) -- 9.90 1.84
</TABLE>
<TABLE>
<CAPTION>
RATIO OF
NET
RATIO OF RATIO OF INVESTMENT
NET EXPENSES INCOME
RATIO OF INVESTMENT TO AVERAGE TO AVERAGE
NET ASSETS EXPENSES INCOME NET ASSETS NET ASSETS PORTFOLIO
END OF TO AVERAGE TO AVERAGE (EXCLUDING (EXCLUDING TURNOVER
PERIOD (000) NET ASSETS NET ASSETS WAIVERS) WAIVERS) RATE
======================================================================================
<S> <C> <C> <C> <C> <C> <C>
- --------------------------------
CORPORATE DAILY INCOME PORTFOLIO
- --------------------------------
CLASS A
1996* $47,121 0.36% 5.47% 0.55% 5.28% 73%
1996 48,539 0.35 5.97 0.55 5.77 295
1995 50,495 0.35 4.60 0.55 4.40 147
1994(11) 43,655 0.35 3.45 0.63 3.18 34
- ---------------------------------
SHORT-DURATION MORTGAGE PORTFOLIO
- ---------------------------------
CLASS A
1996(12)* $ -- 0.47% 6.33% 1.09% 5.71% 437%
1996 1,815 0.45 6.50 0.80 6.15 356
1995 3,607 0.45 4.90 0.64 4.71 741
1994(13) 3,921 0.45 3.16 0.93 2.68 166
<FN>
(DAGGER) RETURNS ARE FOR THE PERIOD INDICATED AND HAVE NOT BEEN ANNUALIZED.
* ALL RATIOS FOR THE SEMI-ANNUAL PERIOD ENDED JULY 31, 1996 (UNAUDITED) HAVE
BEEN ANNUALIZED.
** TOTAL RETURN DOES NOT REFLECT THE SALES CHARGE ON THE CLASS D SHARES.
1 SHORT-DURATION GOVERNMENT CLASS D SHARES WERE FULLY LIQUIDATED JUNE 28,
1996. ALL RATIOS FOR THAT PERIOD HAVE BEEN ANNUALIZED.
2 SHORT-DURATION GOVERNMENT CLASS D SHARES WERE OFFERED BEGINNING FEBRUARY
28, 1995. ALL RATIOS FOR THAT PERIOD HAVE BEEN ANNUALIZED.
3 INTERMEDIATE-DURATION GOVERNMENT CLASS B SHARES WERE FULLY LIQUIDATED
DECEMBER 22, 1995. ALL RATIOS FOR THAT PERIOD HAVE BEEN ANNUALIZED.
4 INTERMEDIATE-DURATION GOVERNMENT CLASS B SHARES WERE OFFERED BEGINNING JUNE
8, 1994. ALL RATIOS FOR THAT PERIOD HAVE BEEN ANNUALIZED.
5 INTERMEDIATE-DURATION GOVERNMENT CLASS D SHARES WERE FULLY LIQUIDATED JUNE
28, 1996. ALL RATIOS FOR THAT PERIOD HAVE BEEN ANNUALIZED.
6 INTERMEDIATE-DURATION GOVERNMENT CLASS D SHARES WERE OFFERED BEGINNING
SEPTEMBER 26, 1993. ALL RATIOS INCLUDING TOTAL RETURN FOR THAT PERIOD HAVE
BEEN ANNUALIZED.
7 GNMA CLASS B SHARES WERE FULLY LIQUIDATED JULY 10, 1996. ALL RATIOS FOR
THAT PERIOD HAVE BEEN ANNUALIZED.
8 GNMA CLASS B SHARES WERE OFFERED BEGINNING JULY 12, 1994. ALL RATIOS FOR
THAT PERIOD HAVE BEEN ANNUALIZED.
9 GNMA CLASS D SHARES WERE FULLY LIQUIDATED JUNE 28, 1996. ALL RATIOS FOR
THAT PERIOD HAVE BEEN ANNUALIZED.
10 GNMA CLASS D SHARES WERE OFFERED BEGINNING SEPTEMBER 30, 1993. ALL RATIOS
INCLUDING TOTAL RETURN FOR THAT PERIOD HAVE BEEN ANNUALIZED.
11 CORPORATE DAILY INCOME CLASS A SHARES WERE OFFERED BEGINNING SEPTEMBER 28,
1993. ALL RATIOS INCLUDING TOTAL RETURN FOR THAT PERIOD HAVE BEEN
ANNUALIZED.
12 SHORT-DURATION MORTGAGE CLASS A SHARES WERE FULLY LIQUIDATED JUNE 4, 1996.
ALL RATIOS FOR THAT PERIOD HAVE BEEN ANNUALIZED.
13 SHORT-DURATION MORTGAGE CLASS A SHARES WERE OFFERED BEGINNING MAY 20, 1993.
ALL RATIOS INCLUDING TOTAL RETURN FOR THAT PERIOD HAVE BEEN ANNUALIZED.
PRIOR TO JUNE 30, 1994, BEAR STEARNS ASSET MANAGEMENT SERVED AS THE
INVESTMENT ADVISER.
</FN>
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
23
<PAGE>
NOTES TO FINANCIAL STATEMENTS
================================================================================
SEI DAILY INCOME TRUST-- JULY 31, 1996 (UNAUDITED)
1. ORGANIZATION
SEI Daily Income Trust (the "Trust") was organized as a Massachusetts business
trust under a Declaration of Trust dated March 15, 1982.
The Trust is registered under the Investment Company Act of 1940, as
amended, as a diversified, open-end investment company with ten operational
Portfolios: 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-Duration
Government Portfolio (formerly the Short-Term Government Portfolio), the
Intermediate-Duration Government Portfolio (formerly the Intermediate-Term
Government Portfolio), the GNMA Portfolio, and the Corporate Daily Income
Portfolio (the "Fixed Income Portfolios"). The Portfolios' prospectus provides a
description of each Portfolio's investment objectives, policies and strategies.
The assets of each portfolio are segregated, and a shareholder's interest is
limited to the Portfolio in which shares are held.
On June 4, 1996, the Short-Duration Mortgage Portfolio (formerly the
Short-Term Mortgage Portfolio) closed and all of the outstanding shares of the
Portfolio were redeemed. SEI Fund Management Corporation, the Manager of the
Portfolio, agreed to bear the costs associated with the liquidation of the
Portfolio which approximated $11,400.
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
valuation 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, those 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. Accordingly, 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
accounted 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
amortization 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
Portfolios" 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
agreements are held by each Portfolio's custodian bank until maturity of the
repurchase agreements. Provisions of the agreements and procedures adopted by
the Adviser ensure that the market value of the collateral, including accrued
interest thereon, is sufficient in the event of default by the counterparty. The
Portfolios also invest in tri-party repurchase agreements. Securities held as
collateral for tri-party repurchase agreements are maintained by the broker's
custodian bank in a segregated account until maturity of the repurchase
agreement. Provisions of the agreements ensure that the market value of the
24
<PAGE>
================================================================================
collateral, including accrued interest thereon, is sufficient in the event of
default. If the counterparty defaults and the value of the collateral declines
or if the counterparty enters into an insolvency proceeding, realization of the
collateral by the Portfolio may be delayed or limited.
TBA PURCHASE COMMITMENTS--The Fixed Income Portfolios may enter into "TBA"
(To Be Announced) purchase commitments to purchase securities for a fixed price
at a future date beyond customary settlement time. TBA purchase commitments may
be considered securities in themselves, and involve a risk of loss if the value
of the security to be purchased declines prior to settlement date, which risk is
in addition to the risk of decline in the value of the funds' other assets.
Unsettled TBA purchase commitments are valued at the current market value of the
underlying securities, generally according to the procedures described under
"Security Valuation."
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
allocated 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
following month. Any net realized capital gains on sales of securities for a
Portfolio are distributed to its shareholders at least annually.
3. ORGANIZATION COSTS AND
TRANSACTIONS WITH AFFILIATES
Organizational costs have been capitalized by the Trust and are being amortized
on a straight line basis over a period of sixty months commencing with
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
organizational 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.
SEI Fund Management (the "Manager") provides management, administrative and
shareholder services to the Portfolios for an annual fee of .33% of the average
daily net assets of the Money Market Portfolio, .19% each of the average daily
net assets of the Government II and Prime Obligation Portfolios, .24% each of
the average daily net assets of the Government, Treasury and Treasury II
Portfolios, .35% each of the average daily net assets of the Short-Duration
Government, Intermediate-Duration Government, Corporate Daily Income and
Short-Duration Mortgage Portfolios (SEI Fund Management Corporation served as
Manager on behalf of the Short-Duration Mortgage for the period ended June 4,
1996); and .32% of the average daily net assets of the GNMA Portfolio. However,
the Manager has agreed to waive its annual fee in an amount which limits total
annual expenses of the following Portfolios (including the annual management
fee) to the following amounts set forth in the Management Agreement (expressed
as a percentage of each Portfolio's daily net assets):
MONEY PRIME
MARKET GOV'T GOV'T II OBLIGATION TREASURY TREASURY II
------ ----- -------- ---------- -------- -----------
Class A 1.00% .25% .20% .20% .20% .25%
Class B 1.30% .55% .50% .50% .50% .55%
Class C 1.50% .75% .70% .70% .70% .75%
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
limitation, the Manager has agreed to bear such excess.
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.
The Portfolios have adopted plans under which firms, including the
Distributor, that provide shareholder and administrative services may receive
compensation therefor. The Class A, B and C plans differ in a number of ways,
including the amounts that may be paid. Under each plan, the Distributor may
provide those services itself or may enter into arrangements under which third
parties provide such services and are compensated by the Distributor. Under such
arrangements the Distributor may retain as a profit any difference
25
<PAGE>
NOTES TO FINANCIAL STATEMENTS (Concluded)
================================================================================
SEI DAILY INCOME TRUST-- JULY 31, 1996 (UNAUDITED)
between the fee it receives and the amount it pays such third party. In
addition, the Portfolios may enter into such arrangements directly.
Under the Class A plan, a Portfolio will pay the Distributor a fee at an
annual rate of up to .25% of the average daily net assets of such Portfolio
attributable to Class A shares, in return for provision of a broad range of
shareholder and administrative services. Under the Class B and Class C
shareholder service plans, a Portfolio will pay a shareholder service fee to the
Distributor at an annual rate of up to .25% of its average daily net assets in
return for the Distributor's (or its agent's) efforts in maintaining client
accounts; arranging for bank wires; responding to client inquiries concerning
services provided or investments; and assisting clients in changing dividend
options, account designations and addresses. In addition, under their
administrative services plans, Class B and Class C shares will pay
administrative services fees at specified percentages of the average daily net
assets of the shares of the Class (up to .05% in the case of the Class B shares
and up to .25% in the case of the Class C shares). Administrative services
include sub-accounting; providing information on share positions to clients;
forwarding shareholder communications to clients; processing purchase, exchange
and redemption orders; and processing dividend payments.
The Government Portfolio has adopted a distribution plan for its Class G
shares (the "Class G Plan") pursuant to Rule 12b-1 under the 1940 Act. The Class
G Plan provides for payments to the Distributor at an annual rate of .50% of the
Portfolio's average daily net assets attributable to Class G shares. These
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
payments may be used to compensate Class G shareholders that provide
distribution related services to their customers.
Certain officers and/or Trustees of the Trust are also officers and/or
Directors of the Manager. The Trust pays each unaffiliated Trustee an annual fee
for attendance at quarterly, interim, and committee meetings. Compensation of
officers and affiliated Trustees is paid by the Manager.
4. INVESTMENT ADVISORY AND CUSTODIAN
AGREEMENT
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 receives a monthly fee equal to .075%
of the combined average 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 assets of each money market
portfolio in the Trust. The Adviser has agreed to waive 50% of the fee otherwise
due for the Government, Government II, Prime Obligation, Treasury and Treasury
II Portfolios. In addition, the Adviser has voluntarily agreed to waive its
remaining fee in an amount proportionate to the Manager's waiver of its fee.
Under an Investment Advisory Agreement dated December 15, 1986, Wellington
Management Company serves as the Investment Adviser of the Trust on behalf of
the Short-Duration Government, Intermediate-Duration Government and GNMA
Portfolios. Monthly fees are equal to .10% of the Portfolios' combined average
daily net assets up to $500 million, .075% of the next $500 million of such
assets and .05% of such net assets in excess of $1 billion. The Adviser has
voluntarily agreed to waive its remaining fee in an amount proportionate to the
Manager's waiver of its fee. Pursuant to an Investment Advisory Agreement dated
August 4, 1993, Wellington Management Company serves as Investment Adviser for
the 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. Pursuant to an Investment Advisory Agreement dated
June 30, 1994, Wellington Management Company served as the Investment Adviser of
the Trust on behalf of the Short-Duration Mortgage Portfolio for a monthly fee
equal to .10% of the Portfolio's average daily net assets.
Bank of New York serves as custodian of the
26
<PAGE>
================================================================================
Money Market and Treasury Portfolios under an agreement dated August 1, 1995.
CoreStates Bank, N.A. serves as custodian of the Government, Government II,
Prime Obligation, Treasury II and the Fixed Income Portfolios under an agreement
dated August 30, 1985. The custodians play no role in determining the investment
policies of the Portfolios or which securities are to be purchased or sold in
the Portfolios.
5. INVESTMENT TRANSACTIONS
The cost of security purchases and the proceeds from the sale of securities,
other than temporary investments in short-term securities for the period ended
July 31, 1996 (for the period ended June 4, 1996 for the Short-Duration
Portfolio), were as follows for the "Fixed Income Portfolios":
INTER-
SHORT- MEDIATE-
DURATION DURATION CORPORATE SHORT-
GOVERN- GOVERN- DAILY DURATION
MENT MENT GNMA INCOME MORTGAGE
(000) (000) (000) (000) (000)
-------- -------- ----- --------- --------
PURCHASES
U.S.
Government $61,451 $83,347 $ 8,704 $13,409 $2,239
Other -- -- 4 --
SALES
U.S.
Government $67,545 $92,305 $19,521 $19,027 $3,972
Other -- -- 3,747 --
At July 31, 1996 the total cost of securities and the net realized gains or
losses on securities sold for federal income tax purposes was not materially
different from amounts reported for financial reporting purposes. The aggregate
gross unrealized gain on securities in which there was an excess of market value
over cost, the aggregate gross unrealized loss on securities in which there was
an excess of cost over market value and the net unrealized gain/(loss) at July
31, 1996 for each Fixed Income Portfolio is as follows (in thousands):
INTERMEDIATE- CORPORATE SHORT-
SHORT-DURATION DURATION DAILY DURATION
GOVERNMENT GOVERNMENT GNMA INCOME MORTGAGE
-------------- ------------- ---- --------- ---------
Aggregate
gross
unrealized
gain $ 88 $ 172 $ 881 $ 63 $0
Aggregate
gross
unrealized
loss (528) (4,289) (3,793) $(370) 0
------ ------- ------- ----- --
Net
unrealized
loss $ (440) $(4,117) $(2,912) $(307) $0
====== ======= ======= ===== ==
6. SHAREHOLDER VOTING RESULTS
There was a special meeting scheduled for July 5, 1996, at which the
shareholders of the SEIDaily Income Trust, voted on a proposal to elect a Board
of Trustees. Due to a lack of quorum on July 5, 1996, the meeting was adjourned
until August 14, 1996. The name of each Trustee elected at the meeting and the
results of the Shareholder Vote are listed below. There are no additional
trustees whose term of office continued after the meeting.
Proposal 1: Election of Trustees:
SHARES SHARES % OF
VOTED % OF % OF WITHHELD TOTAL % OF
TRUSTEE "FOR" VOTED TOTAL AUTHORITY WITHHELD WITHHELD
------ ----- ----- --------- -------- --------
Robert A.
Nesher 3,043,099,316 99.75% 62.77% 7,547,835 0.25% 0.16%
Frank E.
Morris 3,043,099,316 99.75% 62.77% 7,547,835 0.25% 0.16%
William M.
Doran 3,043,099,316 99.75% 62.77% 7,547,835 0.25% 0.16%
F. Wendell
Gooch 3,043,099,316 99.75% 62.77% 7,547,963 0.25% 0.16%
James M.
Storey 3,043,099,316 99.75% 62.77% 7,550,576 0.25% 0.16%
George J.
Sullivan, Jr. 3,043,099,316 99.75% 62.77% 7,547,835 0.25% 0.16%
27
<PAGE>
NOTES
<PAGE>
======================
SEI DAILY INCOME TRUST
======================
SEMI-ANNUAL REPORT
======================
JULY 31, 1996
Robert A. Nesher
CHAIRMAN
TRUSTEES
William M. Doran
F. Wendell Gooch
Frank E. Morris
James M. Storey
George J. Sullivan
OFFICERS
David G. Lee
PRESIDENT AND CHIEF EXECUTIVE OFFICER
Todd Cipperman
VICE PRESIDENT, ASSISTANT SECRETARY
Barbara A. Nugent
VICE PRESIDENT, ASSISTANT SECRETARY
Joseph M. Lydon
VICE PRESIDENT, ASSISTANT SECRETARY
Kathryn L. Stanton
VICE PRESIDENT, ASSISTANT SECRETARY
Stephen G. Meyer
CONTROLLER, CHIEF FINANCIAL OFFICER
Sandra K. Orlow
VICE PRESIDENT, ASSISTANT SECRETARY
Kevin P. Robins
VICE PRESIDENT, ASSISTANT SECRETARY
Richard W. Grant
SECRETARY
INVESTMENT ADVISER
Wellington Management Company
MANAGER AND SHAREHOLDER SERVICING AGENT
SEI Fund Management
DISTRIBUTOR
SEI Financial Services Company
LEGAL COUNSEL
Morgan, Lewis & Bockius LLP
INDEPENDENT PUBLIC ACCOUNTANTS
Arthur Andersen LLP
THIS SEMI-ANNUAL REPORT AND THE FINANCIAL STATEMENTS CONTAINED HEREIN ARE
SUBMITTED FOR THE GENERAL INFORMATION OF THE SHAREHOLDERS OF THE TRUST AND MUST
BE PRECEDED OR ACCOMPANIED BY A CURRENT PROSPECTUS. SHARES OF THE SEI FUNDS ARE
NOT DEPOSITS OR OBLIGATIONS OF, OR GUARANTEED OR ENDORSED BY, ANY BANK. THE
SHARES ARE NOT FEDERALLY INSURED BY THE FEDERAL DEPOSIT INSURANCE CORPORATION
(FDIC), THE FEDERAL RESERVE BOARD, OR ANY OTHER GOVERNMENT AGENCY. INVESTMENT IN
THE SHARES INVOLVES RISK, INCLUDING THE POSSIBLE LOSS OF PRINCIPAL. SEI
FINANCIAL SERVICES COMPANY, THE DISTRIBUTOR OF THE SEI FUNDS, IS NOT AFFILIATED
WITH ANY BANK.
FOR MORE INFORMATION CALL 1(BULLET)800(BULLET)DIAL(BULLET)
SEI/1(BULLET)800(BULLET)342(BULLET)5734
<PAGE>
SEI-F-037-06
