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SEI DAILY INCOME TRUST
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ANNUAL REPORT
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JANUARY 31, 1996
<PAGE>
LETTER TO SHAREHOLDERS
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TO OUR SHAREHOLDERS:
The 1996 fiscal year was truly an exceptional year for both the money market and
fixed income markets, with many major market indices recording positive total
returns.
The year was marked with sharp contrast to fiscal year 1995, as the Federal
Reserve Board reversed its restrictive policy by lowering interest rates. This
action benefited shorter-term instruments. Additionally, a weak economy, low
inflation, and hopes of a Federal budget deficit reduction supported longer-term
securities during the year.
For fixed income investors, the declining interest rate environment resulted in
substantial increases in the market value of existing securities, particularly
longer-term instruments. In response to this trend, Wellington Management
Company, the adviser of the SEI Daily Income Trust's fixed income portfolios,
increased the overall durations of each of the portfolios during the year.
For money market investors, yields were modest in comparison to the strong
performance of the previous fiscal year, in which money market indices
outperformed both the fixed income and equity markets. However, during 1995,
money market assets reached a record level of close to $780 billion. This
increase was primarily due to investors' continued distrust of fixed income
investments after 1994 declines, and the movement of corporate, municipal and
401(k) assets into money market portfolios.
Looking forward, we expect the Federal Reserve to continue lowering short-term
rates, which will translate into lower yields in money market portfolios. Though
we also expect continued positive results in the fixed income markets during the
coming fiscal year, it will be difficult to repeat the outstanding performances
of 1995.
As always, we thank you for your continued confidence in the SEI Daily Income
Trust, and look forward to serving your investment needs in the future.
Sincerely,
/s/David G. Lee
David G. Lee
PRESIDENT AND CHIEF EXECUTIVE OFFICER
<PAGE>
TABLE OF CONTENTS
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MONEY MARKET AND FIXED INCOME REVIEW................................. 1
MANAGEMENT'S DISCUSSION AND ANALYSIS
OF FUND PERFORMANCE
SHORT-TERM GOVERNMENT.......................................... 3
INTERMEDIATE-TERM GOVERNMENT................................... 4
GNMA........................................................... 5
CORPORATE DAILY INCOME......................................... 6
SHORT-TERM MORTGAGE............................................ 7
STATEMENTS OF NET ASSETS............................................. 9
STATEMENTS OF OPERATIONS............................................. 22
STATEMENTS OF CHANGES IN NET ASSETS.................................. 24
FINANCIAL HIGHLIGHTS................................................. 28
NOTES TO FINANCIAL STATEMENTS........................................ 32
REPORT OF INDEPENDENT PUBLIC ACCOUNTANTS............................. 37
NOTICE TO SHAREHOLDERS............................................... 38
<PAGE>
MONEY MARKET AND FIXED INCOME REVIEW
================================================================================
SEI DAILY INCOME TRUST -- JANUARY 31, 1996
DAILY INCOME TRUST MONEY MARKET PORTFOLIOS
MONEY MARKET PRIME OBLIGATION
GOVERNMENT TREASURY
GOVERNMENT II TREASURY II
DAILY INCOME TRUST FIXED INCOME PORTFOLIOS
SHORT-TERM GOVERNMENT CORPORATE DAILY INCOME
INTERMEDIATE-TERM GOVERNMENT SHORT-TERM MORTGAGE
GNMA
DAILY INCOME TRUST MONEY MARKET AND FIXED INCOME PORTFOLIOS ARE MANAGED BY
WELLINGTON MANAGEMENT COMPANY
In sharp contrast to 1994, 1995 was a year of declining long-term interest rates
and relatively stable short-term rates. After the Federal Reserve (the "Fed")
increased short-term rates six times in 1994 from 3.00% to 5.50%, they tightened
just once this year, raising key rates in February by 50 basis points. As fears
of economic "overheating" receded and the Fed-engineered "soft landing" took
hold, the Fed began to reverse its restrictive policy, and cut rates by a
quarter point in both July and December, thereby completely off-setting the
February increase. Forecasts of economic growth remain cautious, as reflected in
the shape of the current yield curve, which implies that at least two more
25-basis point Fed easings during the first half of 1996 are in the offing.
While the Fed rate cuts worked on the short end of the yield curve, the rest of
the bond market was supported during the year by a weak economy, low inflation
and optimism regarding a meaningful reduction in the Federal budget deficit.
Indeed, intermediate and long-term Treasury rates fell in 1995 by 250 and 200
basis points, respectively.
In a declining interest rate environment, such as 1995, longer term bonds
outperform shorter instruments such as money market securities. The yield on the
IBC/Donoghue's All Taxable Money Market Average was 3.5% for the year, while
investment grade bonds returned 18.5% as measured by the Lehman Brothers
Aggregate Index, and 30-year Treasury securities returned over 30%, nearly as
much as the surging equity market. This is in sharp contrast to 1994 when
returns on intermediate and long-term bond funds were largely negative and money
market instruments outperformed their longer brethren. Additionally, during
1995, mortgage-backed securities lagged Treasury bonds and corporate bonds, due
to the increased risk of prepayments in a declining rate environment, and high
yield bonds modestly outperformed investment grade bonds.
Despite the strong performance by bond funds, money market fund assets
reached record levels, ending the year at close to $780 billion. The surge in
assets was a function of several factors including a lingering distrust of bond
funds by investors who saw their fixed income assets decline during 1994, and
the movement of corporate, municipal and 401(k) assets into money market funds.
Growth in money market fund assets may be more difficult to achieve in the
coming year, however, as December's rate cut begins to impact yields and if the
Fed continues to lower short-term rates, as is expected. Longer-term bond funds
will be hard pressed to repeat
1
<PAGE>
MONEY MARKET AND FIXED INCOME REVIEW
================================================================================
SEI DAILY INCOME TRUST -- JANUARY 31, 1996
their stellar performances of 1995. With yields on 30-year bonds falling to
5.94% by year-end 1995, significant further yield declines during 1996 are
unlikely, and bond investors will be forced to rely on coupon payments for the
bulk of their return.
Wellington Management Company continues to rely on fundamental research
and its significant analytical resources in selecting investments for the
portfolios in the Trust.
2
<PAGE>
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
================================================================================
SEI DAILY INCOME TRUST -- JANUARY 31, 1996
SHORT-TERM GOVERNMENT
PORTFOLIO
WELLINGTON MANAGEMENT COMPANY
OBJECTIVES. The Short-Term Government Portfolio seeks to preserve
principal value and maintain a high degree of liquidity while providing current
income. The Portfolio invests in those securities issued by the U.S. Government
and backed by its full faith and credit and securities issued by the U.S.
Government agencies. The weighted average maturity of the Portfolio is up to
three years. The Portfolio seeks to provide a higher level of sustainable income
and total return than money market investments, with limited principal
fluctuations.
STRATEGY. The Portfolio's weighted average maturity will be managed to
take advantage of anticipated changes in the direction of interest rates. The
distribution of maturities for individual securities will also be managed to
take advantage of expected changes in the shape of the yield curve. The
Portfolio focuses on Treasury and agency securities, and agency mortgage-backed
securities will be utilized when their prospects for enhancing income and total
return are judged to be attractive.
ANALYSIS. The Federal Reserve lowered short-term interest rates in
mid-December by an additional 25 basis points to 5.50%. The action came well
after the markets had anticipated the move. This was the second time this year
that the Federal Reserve had lowered rates by 25 basis points, and fully offsets
the 50 basis point increase in early February. The easing move came in response
to continued slow economic growth with a favorable inflation backdrop. This
environment provided ample cushion in real interest rates for the Federal
Reserve to stimulate growth modestly. The positive market psychology was also
supported by progress made toward a Federal budget resolution and long-term
deficit reduction.
In this positive market environment, duration was the primary contributor
to performance during 1995. Yields declined more than the Federal Reserve's
easing moves as the markets anticipate additional easings in the months ahead.
Positions in Treasury securities, especially longer duration Treasury
securities, enhanced returns. Positions in mortgage-backed securities were less
contributory to returns as homeowners refinanced their loans, causing the
securities' durations to shorten during the strong market rally. In this
context, for the fiscal year ended January 31, 1996, the
- ---------------------------------------------------------------
SHORT-TERM GOVERNMENT
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AVERAGE ANNUAL TOTAL RETURN1
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Since
1 Year 5 Year Inception
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Short-Term Gov't, Class A 10.27% 6.40% 6.91%
- ---------------------------------------------------------------
Short-Term Gov't, Class B 9.94% 6.06% 6.28%
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Short-Term Gov't, Class D w/o Load 9.85% 6.32% 6.89%
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Short-Term Gov't, Class D w/Load 6.01% 5.56% 6.47%
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Comparison of Change in the Value of a $10,000 Investment in the SEI Daily
Income Trust Short-Term Government Portfolio, versus the Merrill Lynch 1-3 Year
Short-Term Treasury Index
[GRAPHIC OMITTED]
A line graph depicting the total growth (including reinvestment of dividends and
capital gains) of a hypothetical investment of $10,000 in SEI Daily Income Trust
Short-Term Government Portfolio Class A Shares and Class D Shares from February
28, 1987 through January 31, 1996 as compared with the growth of a $10,000
investment in the Merrill Lynch 1-3 Year Short-Term Treasury Index. The plot
points used to draw the line graph were as follows:
PLOT POINTS
Short-Term Short-Term Merrill Lynch 1-3 Year
Government Government Short-Term
Class A Class D Treasury Index
2/28/87 10000 9650 10000
1/31/88 10588 10217 10606
1/31/89 11139 10749 11175
1/31/90 12142 11717 12304
1/31/91 13354 12887 13614
1/31/92 14689 14175 15041
1/31/93 15665 15116 16179
1/31/94 16362 15789 16990
1/31/95 16514 15936 17214
1/31/96 18210 17506 19003
1 For the period ended January 31, 1996. Past performance is no indication
of future performance. The Class D shares were offered beginning 2/28/95.
The performance shown for the Class D shares prior to such date is based
on the performance of the Class A shares, adjusted to reflect the maximum
sales charge of 3.50% for the Class D shares. Class A shares were offered
beginning 2/17/87 and Class B shares were offered beginning 11/5/90.
3
<PAGE>
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
================================================================================
SEI DAILY INCOME TRUST -- JANUARY 31, 1996
SHORT-TERM GOVERNMENT (CONTINUED)
Short-Term Government Portfolio (Class A shares) returned 10.27% compared
to 10.39% for the Merrill Lynch 1-3 year Short-Term Treasury Index.
While Treasuries were the best performing area in 1995, and agency
mortgage-backed securities were slightly less positive, we believe that the
trend may reverse in 1996. As market prices already incorporate additional
Federal Reserve easings, this leads us to believe that duration will not be the
primary contributor to enhanced returns in 1996. The best opportunity to enhance
returns going forward will be through incremental yield offered by agency and
agency mortgage-backed securities.
After being shorter than the benchmark early in 1995, we lengthened
mid-year which contributed substantially to returns. The Portfolio is now closer
to neutral in terms of duration and we have added materially to yield by
increasing the agency weighting to 55% and the agency mortgage-backed weighting
to 18%. This allows the Portfolio to yield 5.7% versus 5.0% for the benchmark
and, we believe may position the Portfolio for outperformance in 1996.
INTERMEDIATE-TERM GOVERNMENT PORTFOLIO
WELLINGTON MANAGEMENT COMPANY
OBJECTIVES. The Intermediate-Term Government Portfolio seeks to preserve
principal value and maintain a high degree of liquidity while providing current
income. The Portfolio invests in those securities issued by the U.S. Government
and backed by its full faith and credit and securities issued by the
- ---------------------------------------------------------------
INTERMEDIATE-TERM GOVERNMENT
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AVERAGE ANNUAL TOTAL RETURN1
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Since
1 Year 5 Year Inception
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Interm. Gov't, Class A 14.60% 7.80% 7.73%
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Interm. Gov't, Class D w/o/Load 14.15% 7.53% 7.57%
- ---------------------------------------------------------------
Interm. Gov't, Class D w/Load 10.13% 6.77% 7.15%
- ---------------------------------------------------------------
Comparison of Change in the Value of a $10,000 Investment in the SEI Daily
Income Trust Intermediate-Term Government Portfolio, versus the Merrill Lynch
3-5 Year Treasury Index
[GRAPHIC OMITTED]
A line graph depicting the total growth (including reinvestment of dividends and
capital gains) of a hypothetical investment of $10,000 in SEI Daily Income Trust
Intermediate-Term Government Portfolio Class A Shares and Class D Shares from
February 28, 1987 through January 31, 1996 as compared with the growth of a
$10,000 investment in the Merrill Lynch 3-5 Year Treasury Index. The plot points
used to draw the line graph were as follows:
PLOT POINTS
Intermediate-Term Intermediate-Term
Government Government Merrill Lynch 3-5 Year
Class A Class D Treasury Index
2/28/87 10000 9650 10000
1/31/88 10496 10128 10512
1/31/89 10938 10556 10943
1/31/90 12026 11605 12155
1/31/91 13356 12888 13597
1/31/92 14884 14363 15314
1/31/93 16296 15726 17023
1/31/94 17346 16724 18341
1/31/95 16967 16288 17965
1/31/96 19445 18593 20688
1 For the period ended January 31, 1996. Past performance is no indication
of future performance. The Class D shares were offered beginning 9/26/93.
The performance shown for the Class D shares prior to such date is based
on the performance of the Class A shares, adjusted to reflect the maximum
sales charge of 3.50% for the Class D shares. Class A shares were offered
beginning 2/17/87.
U.S. Government agencies. The weighted average maturity of the
Portfolio is three to five years. The Portfolio seeks to provide a higher level
of sustainable income and total return than money market investments, with
limited principal fluctuations.
STRATEGY. The Portfolio's weighted average maturity will be managed to
take advantage of anticipated changes in the direction of interest rates. The
distribution of maturities for individual securities will also be managed to
take advantage of expected changes in the shape of the yield curve. The
Portfolio focuses on Treasury and agency securities, and agency mortgage-backed
securities will be utilized when their prospects for enhancing income and total
return are judged to be attractive.
4
<PAGE>
INTERMEDIATE-TERM GOVERNMENT (CONTINUED)
ANALYSIS. The Federal Reserve lowered short-term interest rates in
mid-December by an additional 25 basis points to 5.50%. The action came well
after the markets had anticipated the move. This was the second time this year
that the Federal Reserve had lowered rates by 25 basis points, and fully offsets
the 50 basis point increase in early February. The easing move came in response
to continued slow economic growth with a favorable inflation backdrop. This
environment provided ample cushion in real interest rates for the Federal
Reserve to stimulate growth modestly. The positive market psychology was also
supported by progress made toward a budget resolution and long-term deficit
reduction.
In this positive market environment, duration was the primary contributor
to performance during 1995. Yields declined more than the Federal Reserve's
easing moves as the markets anticipate additional easings in the months ahead.
Positions in Treasury securities, especially longer duration Treasury
securities, enhanced returns. Positions in mortgage-backed securities were less
contributory to returns as homeowners refinanced their loans, causing the
securities' durations to shorten during the strong market rally. In this
context, for the fiscal year ended January 31, 1996, the Intermediate-Term
Government Portfolio (Class A shares) returned 14.6% compared to 15.16% for the
Merrill Lynch 3-5 year Treasury Index.
While Treasuries were the best performing area in 1995, and agency
mortgage-backed securities were slightly less positive, we believe that the
trend may reverse in 1996. As market prices already incorporate additional
Federal Reserve easings, this leads us to believe that duration will not be the
primary contributor to enhanced returns in 1996. The best opportunity to enhance
returns going forward will be through incremental yield offered by agency and
agency mortgage-backed securities.
After being shorter than the benchmark early in 1995, we lengthened
mid-year which contributed substantially to returns. The Portfolio is now closer
to neutral in terms of duration and we have added materially to yield by
increasing the agency weighting to 24% and the agency mortgage-backed weighting
to 20%. This allows the Portfolio to yield 5.8% versus 5.2% for the benchmark
and, we believe may position the Portfolio for outperformance in 1996.
GNMA PORTFOLIO
WELLINGTON MANAGEMENT COMPANY
OBJECTIVES. The GNMA Portfolio seeks to preserve principal value and
maintain a high degree of liquidity while providing current income. The
Portfolio invests primarily in mortgage-backed securities issued by the
Government National Mortgage Association and backed by the full faith and credit
of the U.S. Government.
STRATEGY. The Portfolio's investment strategy emphasizes the distribution
of security coupon rates, the weighted average coupon rate, and the selection of
appropriate underlying mortgage types. The selection of coupon rates affects the
sensitivity of the Portfolio to changes in the reinvestment risk associated with
loan prepayment. The Portfolio will therefore tend to purchase somewhat lower
coupons when interest rates are expected to fall, and somewhat higher coupons
when interest rates are expected to be stable or rising.
ANALYSIS. As the broad bond market completed its strongest year of
performance in over a
5
<PAGE>
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
================================================================================
SEI DAILY INCOME TRUST -- JANUARY 31, 1996
GNMA (CONTINUED)
- --------------------------------------------------------------
GNMA
- --------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURN1
- --------------------------------------------------------------
Since
1 Year 5 Year Inception
- --------------------------------------------------------------
GNMA, CLASS A 15.06% 8.23% 8.36%
- --------------------------------------------------------------
GNMA, CLASS B 14.72% N/A 12.01%
- --------------------------------------------------------------
GNMA, CLASS D w/o Load 14.61% 7.93% 8.19%
- --------------------------------------------------------------
GNMA, CLASS D w/Load 9.47% 6.95% 7.63%
- --------------------------------------------------------------
Comparison of Change in the Value of a $10,000 Investment in the SEI Daily
Income Trust GNMA Portfolio, versus the Salomon Brothers 30-Year GNMA Index
[GRAPHIC OMITTED]
A line graph depicting the total growth (including reinvestment of
dividends and capital gains) of a hypothetical investment of $10,000 in SEI
Daily Income Trust GNMA Portfolio Class A Shares and Class D Shares from March
31, 1987 through January 31, 1996 as compared with the growth of a $10,000
investment in the Salomon Brothers 30-Year GNMA Index.
The plot points used to draw the line graph were as follows:
PLOT POINTS
GNMA GNMA Salomon Brothers 30 Year
Class A Class D GNMA Index
3/31/87 10000 9550 10000
1/31/88 10402 9934 10537
1/31/89 11043 10547 11225
1/31/90 12317 11763 12630
1/31/91 13886 13261 14336
1/31/92 15620 14917 16208
1/31/93 17321 16542 17883
1/31/94 18376 17566 18966
1/31/95 17924 17034 18963
1/31/96 20624 19522 21883
1 For the period ended January 31, 1996. Past performance is no indication
of future performance. The Class D shares were offered beginning 9/30/93.
The performance shown for the Class D shares prior to such date is based
on the performance of the Class A shares, adjusted to reflect the maximum
sales charge of 4.50% for the Class D shares. Class A shares were offered
beginning 3/20/87 and Class B shares were offered beginning 7/12/94.
decade during 1995, mortgage-backed securities struggled to keep pace with
Treasury issues. Despite concerns over the lack of a budget agreement in
Washington and the threat of a Treasury default, bonds continued their year-long
climb during the fourth quarter, as signs of low inflation and contained growth
continued. The Lehman Mortgage Index gained 15.21% for the fiscal year,
underperforming the Lehman Aggregate Index by 1.73% as a result of the mortgage
sector's relatively shorter duration and inability to match the price
appreciation of Treasuries in the market rally. As yield levels continued their
fall, so did the duration of the mortgage sector, further inhibiting mortgages'
relative returns in the rallying fixed income market. The Lehman Mortgage Index
duration declined from 4.2 years in January 1995 to 2.6 years at fiscal
year-end, while the durations of the other sectors lengthened during that same
period. The GNMA Portfolio (Class A shares) posted a strong year of performance
in fiscal year 1996, gaining 15.06%. These results slightly underperformed the
Salomon Brothers 30-year GNMA Index which gained 15.40% over the same time
period. Performance in 1995's strong bond market was driven by a longer duration
posture as well as the Portfolio's coupon allocation. The Portfolio was
overweighted in discount coupon issues, which provided the most prepayment
protection and price appreciation potential during the bond market's year-long
rally. In addition, an avoidance of coupons facing extreme prepayment risk (8%
and 8.5%), further enhanced returns.
CORPORATE DAILY INCOME PORTFOLIO
WELLINGTON MANAGEMENT COMPANY
OBJECTIVES. The Corporate Daily Income Portfolio seeks to provide higher
current income than that typically offered by a money market fund while
maintaining a high degree of liquidity and a correspondingly higher risk of
principal volatility. The Portfolio invests in U.S. Treasury and agency
obligations, short average life mortgage-backed issues, and short-term
investment grade corporate securities. The weighted average maturity of the
Portfolio will range between six and eighteen months.
STRATEGY. The Corporate Daily Income Portfolio seeks to provide a return
in excess of the Merrill Lynch 1-year Treasury Bill Index and to manage risk
through the adviser's use of sector strategies, security selection and dura-
6
<PAGE>
CORPORATE DAILY INCOME (CONTINUED)
tion management. In determining the average maturity and duration position
of the Portfolio, the adviser considers the shape of the yield curve, the extent
of a yield change, and the period of time over which rates are likely to rise,
fall or remain stable. Investment in short average life mortgage-backed issues
and short-term investment grade securities is emphasized when relative spreads
are attractive and incremental yields serve to enhance total return.
- -------------------------------------------------------------------------------
CORPORATE DAILY INCOME
- -------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURN1
- -------------------------------------------------------------------------------
SINCE
1 YEAR INCEPTION
- -------------------------------------------------------------------------------
CORPORATE DAILY INCOME, CLASS A 8.65% 5.26%
- -------------------------------------------------------------------------------
Comparison of change in the value of a $10,000 investment in the SEI Daily
Income Trust Corporate Daily Income Portfolio, Class A Versus the Merrill Lynch
1-year Treasury Bill Index
[GRAPHIC OMITTED]
A line graph depicting the total growth (including reinvestment of dividends and
capital gains) of a hypothetical investment of $10,000 in SEI Daily Income Trust
Corporate Daily Income Portfolio Class A shares from September 30, 1993 through
January 31, 1996 as compared with the growth of a $10,000 investment in the
Merrill Lynch 1-year Treasury Index.
The plot points used to draw the line graph were as follows:
PLOT POINTS
Corporate Daily Income Merrill Lynch 1-Year
Class A Treasury Bill Index
9/30/93 10000 10000
1/31/94 10114 10113
1/31/95 10376 10426
1/31/96 11274 11211
1 For the period ended January 31, 1996. Past performance is no indication
of future performance. Class a shares were offered beginning 9/28/93.
ANALYSIS. For the fiscal year ended January 31, 1996, the Corporate Daily
Income Portfolio (Class A shares) returned 8.65% compared to a 7.53% return for
its benchmark, the Merrill Lynch 1-year Treasury Bill Index.
The Portfolio continued to seek return and yield from sector and security
selection, complimented by duration management. As short-term bond yields
decreased significantly during the year, duration management was the primary
contributor to performance, and corporate, mortgage-backed and asset-backed
securities were favored for their high income and return characteristics. Taking
advantage of seasonal efficiencies in the marketplace, the Portfolio utilized
cash equivalents to boost yield, while Treasury and agency securities were used
to manage duration and maintain liquidity.
At the start of the period and amid an increasing interest rate
environment, the Portfolio maintained a defensive relative duration posture.
Shortly thereafter, as it was evident that the economy was headed toward a
soft-landing, and the Federal Reserve would most likely lower short-term
interest rates, the Portfolio lengthened duration to capture security price
appreciation.
SHORT-TERM MORTGAGE PORTFOLIO
WELLINGTON MANAGEMENT COMPANY
OBJECTIVES. The Short-Term Mortgage Portfolio seeks to provide a high
level of current income consistent with low principal volatility by investing in
fixed rate and adjustable rate mortgage-backed securities, asset-backed
securities, and other obligations of the U.S. Government. Both the rate of
interest and the net asset value of the Portfolio can fluctuate. The Portfolio
is expected to maintain an average effective maturity of less than three years.
STRATEGY. In determining portfolio structure, the adviser employs a
quantitatively-oriented process which continually assesses individual security
and aggregate portfolio risk. This is combined with a fundamental market overlay
analysis to determine relative
7
<PAGE>
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
================================================================================
SEI DAILY INCOME TRUST -- JANUARY 31, 1996
SHORT-TERM MORTGAGE (CONTINUED)
value. Prepayment model analysis and stress testing are used to derive
best and worst case scenarios within certain confidence levels. These scenarios
are then used to compare relative valuation levels of individual issues and how
their inclusion in the Portfolio is expected to affect overall performance.
ANALYSIS. As the broad bond market completed its strongest year of
performance in over a decade during 1995, mortgage-backed securities struggled
to keep pace with Treasury issues. Despite concerns over the lack of a budget
agreement in Washington and the threat of a Treasury default, bonds continued
their year-long climb during the fourth quarter, as signs of low inflation and
contained growth continued. The Lehman Mortgage Index gained 15.21% for the
fiscal year, underperforming the Lehman Aggregate Index by 1.73% as a result of
the mortgage sector's relatively shorter duration and inability to match the
price appreciation of Treasuries in the market rally. As yield levels continued
their fall, so did the duration of the mortgage sector, further inhibiting
mortgages' relative returns in the rallying fixed income market.
For the year ending January 31, 1996, the Short-Term Mortgage Portfolio
(Class A shares) returned 9.43%, compared to a gain of 10.39% for the Merrill
1-3 year Short-Term Treasury Index. The Portfolio's commitment to
higher-yielding fixed rate and adjustable rate mortgage securities hindered
performance relative to the benchmark in a fixed income market environment
dominated by price appreciation. However, the Portfolio's commitment to
collateralized mortgage obligations (CMOs) and seasoned pass-through securities
benefited results over the period. CMOs enjoyed technical support as new
issuance, limited by a flat yield
- ----------------------------------------------------
SHORT-TERM MORTGAGE
- ----------------------------------------------------
AVERAGE ANNUAL TOTAL RETURN1
- ----------------------------------------------------
Since
1 Year Inception
- ----------------------------------------------------
Short-Term Mortgage, Class A 9.43% 4.76%
- ----------------------------------------------------
Comparison of Change in the Value of a $10,000 Investment in the SEI Daily
Income Trust Short-Term Mortgage Portfolio, Class A versus the Merrill Lynch 1-3
Year Short-Term Treasury Index
[GRAPHIC OMITTED]
A line graph depicting the total growth (including reinvestment of dividends and
capital gains) of a hypothetical investment of $10,000 in SEI Daily Income Trust
Short-Term Mortgage Portfolio Class A shares from May 31, 1993 through January
31, 1996 as compared with the growth of a $10,000 investment in the Merrill
Lynch 1-3 year Short-Term Treasury Index. The plot points used to draw the line
graph were as follows:
PLOT POINTS
Short-Term Mortgage Merrill Lynch 1-3 Year
Class A Short-Term Treasury Index
5/31/93 10000 10000
1/31/94 10222 10346
1/31/95 10456 10482
1/31/96 11442 11572
1 For the period ended January 31, 1996. Past performance is no indication
of future performance. Class A shares were offered beginning 5/20/93. Bear
Stearns Asset Management served as the Investment Adviser of the
Short-Term Mortgage Portfolio since inception through June 29, 1994.
Effective June 30, 1994, Wellington Management Company began serving as
the Investment Adviser of the Short-Term Mortgage Portfolio.
curve, combined with increased demand, as investors searched for yield on the
short end of the curve. Seasoned issues outperformed new securities, as these
securities are less likely to see a sharp rise in prepayment speeds since the
underlying mortgage holders previously had an opportunity to refinance during
the 1992-1993 refinancing boom.
8
<PAGE>
STATEMENT OF NET ASSETS
================================================================================
SEI DAILY INCOME TRUST--JANUARY 31, 1996
<TABLE>
<CAPTION>
MONEY MARKET PORTFOLIO
- --------------------------------------------------------------------------------
FACE
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
<S> <C> <C>
COMMERCIAL PAPER -- 52.3%
American Home Products
5.450%, 03/15/96 $ 3,000 $ 2,980
ANZ Delaware
5.680%, 02/13/96 1,000 998
Banque National De Paris
5.510%, 05/21/96 3,000 2,949
BHF Finance Delaware
5.640%, 03/04/96 3,000 2,985
Burlington Northern Railroad
Santa Fe
5.900%, 02/28/96 1,000 996
Ciesco LP
5.750%, 02/06/96 300 300
5.750%, 02/08/96 400 399
5.400%, 02/16/96 1,000 998
CoreStates Capital
5.680%, 02/20/96 3,000 2,991
Corporate Receivables
5.270%, 04/26/96 3,000 2,963
ESC Securitization
5.680%, 02/22/96 4,000 3,987
Falcon Asset Securitization
5.450%, 02/26/96 3,000 2,989
General Motors Acceptance
5.750%, 02/16/96 3,000 2,993
Goldman Sachs Group LP
5.440%, 03/11/96 3,000 2,982
GTE Northwest
5.380%, 02/20/96 500 499
Household International
5.730%, 02/08/96 2,400 2,397
Kreditbank North America Finance
5.740%, 02/05/96 2,000 1,999
Metropolitan Life Funding
5.380%, 02/23/96 635 633
Norwest Corporation
5.370%, 04/22/96 3,000 2,964
Norwest Financial
5.690%, 02/28/96 2,000 1,991
Preferred Receivables Funding
5.500%, 02/20/96 1,100 1,097
Puerto Rico Development Bank
5.650%, 02/28/96 3,000 2,987
Quebec Province
5.080%, 07/22/96 3,000 2,927
Sears Roebuck Acceptance
5.720%, 02/13/96 3,000 2,994
Westpac Banking
5.530%, 04/30/96 3,000 2,959
-------
TOTAL COMMERCIAL PAPER
(Cost $54,957) 54,957
-------
</TABLE>
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------
FACE
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
<S> <C> <C>
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 20.3%
FFCB
5.181%, 07/18/96 $ 1,310 $ 1,280
FHLMC
5.523%, 02/26/96 5,000 4,981
SLMA
5.350%, 03/28/96 (A) 15,000 15,000
--------
TOTAL U.S. GOVERNMENT AGENCY
OBLIGATIONS
(Cost $21,261) 21,261
--------
CERTIFICATES OF DEPOSIT/BANK NOTES -- 17.1%
BankAmerica
5.740%, 02/16/96 3,000 3,000
Bank of Nova Scotia
5.240%, 06/28/96 3,000 3,000
Bank of Tokyo
5.590%, 03/12/96 3,000 3,000
Chase Manhattan
5.770%, 04/15/96 3,000 3,000
First of America Bank
5.375%, 05/17/96 3,000 3,000
National Westminister Bank
5.760%, 02/22/96 3,000 3,000
--------
TOTAL CERTIFICATES OF DEPOSIT/BANK NOTES
(Cost $18,000) 18,000
--------
FLOATING RATE INSTRUMENTS -- 12.4%
General Electric Capital
5.867%, 02/22/96 (A) 3,000 3,001
People's Security Funding
Agreement
6.090%, 05/01/96 (A) 5,000 5,000
PNC Bank NA
5.550%, 02/06/96 (A) 3,000 2,998
SMM Trust 1995-1
5.583%, 02/29/96 (A) 2,000 2,000
--------
TOTAL FLOATING RATE INSTRUMENTS
(Cost $12,999) 12,999
--------
CORPORATE BOND -- 2.7%
NationsBank
4.750%, 08/15/96 2,825 2,810
--------
TOTAL CORPORATE BOND
(Cost $2,810) 2,810
--------
TOTAL INVESTMENTS-- 104.8%
(Cost $110,027) 110,027
--------
OTHER ASSETS AND LIABILITIES, NET -- (4.8)% (5,060)
--------
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
9
<PAGE>
STATEMENT OF NET ASSETS
================================================================================
SEI DAILY INCOME TRUST--JANUARY 31, 1996
<TABLE>
<CAPTION>
MONEY MARKET PORTFOLIO
- --------------------------------------------------------------------------------
FACE
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
<S> <C>
NET ASSETS:
Portfolio shares of Class A
(unlimited authorization -- no
par value) based on 95,900,558
outstanding shares of beneficial
interest $ 95,900
Portfolio shares of Class B
(unlimited authorization -- no
par value) based on 6,615,694
outstanding shares of beneficial
interest 6,616
Portfolio shares of Class C
(unlimited authorization -- no
par value) based on 2,460,108
outstanding shares of beneficial
interest 2,460
Accumulated net realized loss
on investments (9)
---------
TOTAL NET ASSETS-- 100.0% $ 104,967
=========
NET ASSET VALUE, OFFERING PRICE AND
REDEMPTION PRICE PER SHARE-- CLASS A $ 1.00
=========
NET ASSET VALUE, OFFERING PRICE AND
REDEMPTION PRICE PER SHARE-- CLASS B $ 1.00
=========
NET ASSET VALUE, OFFERING PRICE AND
REDEMPTION PRICE PER SHARE-- CLASS C $ 1.00
=========
<FN>
(A) FLOATING RATE INSTRUMENT. RATE REFLECTED ON THE STATEMENT OF NET ASSETS IS
THE RATE IN EFFECT ON JANUARY 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
LP LIMITED PARTNERSHIP
SLMA STUDENT LOAN MARKETING ASSOCIATION
</FN>
</TABLE>
<TABLE>
<S> <C> <C>
GOVERNMENT PORTFOLIO
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 91.9%
FFCB
5.821%, 02/13/96 $ 9,000 $ 8,983
5.822%, 02/14/96 20,000 19,960
5.798%, 10/17/96 6,570 6,314
FHLB
5.503%, 02/03/96 (A) 100,000 99,909
5.710%, 02/21/96 40,000 39,877
5.695%, 02/28/96 32,000 31,867
5.722%, 03/26/96 5,075 5,033
5.310%, 05/13/96 10,220 10,071
5.250%, 06/14/96 30,000 29,434
5.201%, 06/27/96 5,000 4,897
5.764%, 10/18/96 400 384
</TABLE>
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------
FACE
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
<S> <C> <C>
FHLMC
5.700%, 02/22/96 $ 1,985 $ 1,979
4.400%, 03/11/96 2,730 2,727
4.550%, 04/01/96 5,000 4,992
5.362%, 04/24/96 2,535 2,504
FNMA
5.340%, 02/07/96 (A) 22,000 22,000
5.572%, 02/21/96 3,800 3,788
5.824%, 02/22/96 20,000 19,935
5.827%, 02/22/96 30,000 29,902
5.720%, 03/13/96 6,000 5,962
5.708%, 03/15/96 20,000 19,869
5.614%, 03/20/96 50,000 49,636
5.683%, 04/30/96 7,000 6,906
5.686%, 04/30/96 7,000 6,906
5.193%, 06/20/96 10,000 9,805
5.200%, 06/26/96 25,000 24,491
5.101%, 06/27/96 10,900 10,681
5.180%, 07/30/96 40,000 39,004
FNMA MTN
5.475%, 02/16/96 (A) 25,000 24,992
TVA
5.296%, 05/28/96 14,770 14,524
---------
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS
(Cost $557,332) 557,332
---------
REPURCHASE AGREEMENTS -- 9.9%
Goldman Sachs (B)
5.47%, dated 01/26/96, matures
02/28/96, repurchase price
$60,009,117 (collateralized by
various FHLMC obligations ranging
in par value $6,525,730 --
$34,577,833, 6.00% -- 7.500%,
04/01/09 -- 08/01/25; FNMA
obligation par value $30,000,000,
7.000%, 01/01/09; with total market
value of $61,200,000) 60,000 60,000
Lehman Brothers
5.93%, dated 01/31/96, matures
02/01/96, repurchase price
$144,024 (collateralized by U.S.
Treasury STRIPS, par value $650,000,
0.000%, matures 08/15/19: market
value $146,848) 144 144
---------
TOTAL REPURCHASE AGREEMENTS
(Cost $60,144) 60,144
---------
TOTAL INVESTMENTS-- 101.8%
(Cost $617,476) 617,476
---------
OTHER ASSETS AND LIABILITIES, NET -- (1.8)% (10,781)
---------
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
10
<PAGE>
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------
FACE
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
<S> <C> <C>
NET ASSETS:
Portfolio shares of Class A
(unlimited authorization -- no
par value) based on 48,760,917
outstanding shares of beneficial
interest $ 48,761
Portfolio shares of Class B
(unlimited authorization -- no
par value) based on 14,995,987
outstanding shares of beneficial
interest 14,996
Portfolio shares of Class C
(unlimited authorization -- no
par value) based on 542,927,756
outstanding shares of beneficial
interest 542,928
Accumulated net realized gain
on investments 5
Undistributed net investment
income 5
--------
TOTAL NET ASSETS-- 100.0% $606,695
========
NET ASSET VALUE, OFFERING PRICE AND
REDEMPTION PRICE PER SHARE-- CLASS A $ 1.00
========
NET ASSET VALUE, OFFERING PRICE AND
REDEMPTION PRICE PER SHARE-- CLASS B $ 1.00
========
NET ASSET VALUE, OFFERING PRICE AND
REDEMPTION PRICE PER SHARE-- CLASS C $ 1.00
========
<FN>
(A) FLOATING RATE INSTRUMENT. THE RATE REFLECTED ON THE STATEMENT OF NET
ASSETS IS THE RATE IN EFFECT ON JANUARY 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
MTN MEDIUM TERM NOTE
STRIPS SEPARATELY TRADING OF REGISTERED INTEREST AND PRINCIPAL OF SECURITIES
TVA TENNESSEE VALLEY AUTHORITY
</FN>
</TABLE>
<TABLE>
<S> <C> <C>
GOVERNMENT II PORTFOLIO
U.S. GOVERNMENT AGENCY
OBLIGATIONS -- 99.5%
FFCB
5.514%, 02/14/96 $10,750 $10,729
5.525%, 02/14/96 3,000 2,994
5.529%, 02/14/96 3,000 2,994
5.546%, 02/14/96 1,015 1,013
5.683%, 02/15/96 2,055 2,051
5.729%, 02/15/96 1,600 1,597
</TABLE>
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------
FACE
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
<S> <C> <C>
5.536%, 02/21/96 $15,000 $14,955
5.448%, 02/23/96 4,075 4,062
5.688%, 02/26/96 6,000 5,977
5.705%, 02/29/96 2,000 1,991
5.625%, 03/08/96 20,000 19,891
5.394%, 03/15/96 12,565 12,486
5.375%, 03/18/96 1,460 1,450
5.325%, 03/25/96 1,405 1,394
5.552%, 04/15/96 3,000 2,967
5.091%, 06/28/96 1,000 980
5.112%, 06/28/96 5,000 4,898
5.187%, 07/10/96 11,285 11,034
5.191%, 07/15/96 2,175 2,125
5.169%, 07/30/96 12,000 11,702
FHLB
5.446%, 02/01/96 11,435 11,435
5.881%, 02/01/96 40,900 40,900
5.713%, 02/14/96 4,000 3,992
5.671%, 02/15/96 35,000 34,925
5.686%, 02/15/96 4,885 4,875
5.822%, 02/15/96 45,000 44,902
5.445%, 02/20/96 20,000 19,944
5.688%, 02/21/96 4,500 4,486
5.573%, 02/22/96 1,195 1,191
5.711%, 02/22/96 58,915 58,725
5.728%, 02/26/96 2,035 2,027
5.664%, 02/29/96 2,000 1,991
5.702%, 02/29/96 10,000 9,957
5.598%, 03/13/96 9,660 9,600
5.593%, 03/20/96 50,200 49,836
5.624%, 03/25/96 1,800 1,786
5.626%, 03/26/96 13,690 13,578
5.318%, 05/09/96 30,000 29,579
5.310%, 05/13/96 15,000 14,781
5.251%, 05/21/96 10,000 9,843
5.201%, 06/13/96 3,000 2,944
5.282%, 06/13/96 4,055 3,979
5.250%, 06/14/96 35,000 34,339
5.203%, 06/19/96 4,875 4,779
5.229%, 06/19/96 14,410 14,126
5.229%, 06/20/96 6,330 6,204
5.197%, 06/26/96 37,400 36,639
5.201%, 06/27/96 6,160 6,034
5.216%, 06/27/96 25,000 24,486
5.843%, 09/25/96 5,000 4,821
5.788%, 09/27/96 175 169
FHLB
5.385%, 02/05/96 (A) 30,000 29,976
SLMA
5.330%, 02/07/96 (A) 35,000 35,000
5.350%, 02/07/96 (A) 20,000 20,000
5.360%, 02/07/96 (A) 30,000 30,000
5.370%, 02/07/96 (A) 44,450 44,453
5.510%, 02/07/96 (A) 30,000 30,076
TVA
5.466%, 02/01/96 12,450 12,450
-------
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
11
<PAGE>
STATEMENT OF NET ASSETS
================================================================================
SEI DAILY INCOME TRUST -- JANUARY 31, 1996
GOVERNMENT II PORTFOLIO
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------
FACE
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
<S> <C> <C>
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS
(Cost $826,118) $ 826,118
---------
U.S. TREASURY OBLIGATIONS -- 4.3%
U.S. Treasury Bill
5.093%, 05/02/96 $ 25,000 24,686
U.S. Treasury Note
4.375%, 08/15/96 11,000 10,921
---------
TOTAL U.S. TREASURY OBLIGATIONS
(Cost $35,607) 35,607
---------
TOTAL INVESTMENTS -- 103.8%
(Cost $861,725) 861,725
---------
OTHER ASSETS AND LIABILITIES, NET -- (3.8)% (31,682)
---------
NET ASSETS:
Portfolio shares of Class A
(unlimited authorization -- no
par value) based on 810,513,477
outstanding shares of beneficial
interest 810,513
Portfolio shares of Class B
(unlimited authorization -- no
par value) based on 19,676,306
outstanding shares of beneficial
interest 19,676
Accumulated net realized loss
on investments (146)
---------
TOTAL NET ASSETS-- 100.0% $ 830,043
=========
NET ASSET VALUE, OFFERING PRICE AND
REDEMPTION PRICE PER SHARE-- CLASS A $ 1.00
=========
NET ASSET VALUE, OFFERING PRICE AND
REDEMPTION PRICE PER SHARE-- CLASS B $ 1.00
=========
<FN>
(A) FLOATING RATE INSTRUMENT. THE RATE REFLECTED ON THE STATEMENT OF NET
ASSETS IS THE RATE IN EFFECT ON JANUARY 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
TVA TENNESSEE VALLEY AUTHORITY
</FN>
</TABLE>
<TABLE>
<CAPTION>
PRIME OBLIGATION PORTFOLIO
<S> <C> <C>
COMMERCIAL PAPER -- 60.1%
American Express Credit
5.650%, 03/08/96 $20,000 $19,887
5.520%, 04/19/96 50,000 49,402
5.160%, 06/21/96 30,000 29,394
American Home Products
5.710%, 02/02/96 10,000 9,998
5.700%, 02/06/96 19,400 19,385
</TABLE>
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------
FACE
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
<S> <C> <C>
5.720%, 02/09/96 $15,000 $14,981
5.700%, 02/12/96 11,000 10,981
5.660%, 03/07/96 15,000 14,917
5.450%, 03/15/96 12,000 11,922
5.300%, 04/24/96 23,000 22,719
Associates of North America
5.680%, 02/08/96 20,000 19,978
5.680%, 02/12/96 20,000 19,965
Bear Stearns
5.470%, 03/04/96 40,000 39,806
5.420%, 03/18/96 35,000 34,758
Beneficial
5.220%, 05/21/96 75,000 73,804
Centric Funding
5.850%, 02/01/96 17,000 17,000
Chase Manhattan
5.650%, 02/29/96 45,000 44,802
Chevron Transportation
5.700%, 02/06/96 10,000 9,992
5.150%, 06/21/96 15,000 14,697
5.100%, 06/27/96 8,000 7,833
Ciesco LP
5.650%, 02/13/96 40,000 39,925
5.650%, 02/23/96 10,000 9,966
5.630%, 02/29/96 7,000 6,969
CIT Group Holdings
5.650%, 02/12/96 20,000 19,965
Coca Cola Enterprises
5.700%, 02/12/96 13,000 12,977
CoreStates Capital
5.680%, 02/16/96 7,000 6,983
5.680%, 02/20/96 15,000 14,955
Corporate Receivables
5.520%, 02/28/96 25,000 24,897
5.600%, 03/08/96 20,000 19,888
Ford Motor Credit
5.680%, 02/09/96 30,000 29,962
5.580%, 03/27/96 30,000 29,744
General Electric Capital
5.690%, 02/13/96 20,000 19,962
5.590%, 03/01/96 25,000 24,887
5.580%, 04/11/96 15,000 14,837
5.150%, 06/21/96 30,000 29,395
General Motors Acceptance
5.680%, 02/15/96 25,000 24,945
5.750%, 02/16/96 9,000 8,978
5.700%, 02/22/96 20,000 19,934
5.310%, 05/16/96 25,000 24,613
Goldman Sachs Group LP
5.440%, 03/11/96 55,000 54,676
Harvard University
5.250%, 05/15/96 20,000 19,697
Hewlett-Packard
5.650%, 02/15/96 4,200 4,191
</TABLE>
12
<PAGE>
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------
FACE
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
<S> <C> <C>
IBM Credit
5.510%, 04/24/96 $ 55,000 $ 54,301
International Lease Finance
5.650%, 02/26/96 8,000 7,969
5.620%, 03/08/96 23,000 22,871
John Deere Capital
5.640%, 03/29/96 35,000 34,687
5.510%, 04/25/96 30,000 29,614
5.200%, 05/22/96 25,000 24,599
McKenna Triangle National
5.660%, 02/15/96 25,000 24,945
National Fuel Gas
5.330%, 04/25/96 25,000 24,689
NationsBank
5.635%, 04/03/96 25,000 24,757
5.190%, 06/28/96 28,000 27,403
New Center Asset Trust
5.710%, 02/02/96 30,000 29,995
Norwest Financial
5.690%, 02/28/96 15,000 14,936
Norwest Corporation
5.370%, 04/22/96 27,000 26,674
PNC Funding
5.770%, 02/05/96 20,000 19,987
Preferred Receivables Funding
5.520%, 04/16/96 30,200 29,853
Prudential Funding
5.530%, 04/18/96 20,000 19,763
Puerto Rico Development Bank
5.650%, 02/28/96 15,000 14,936
Riverwood Funding
5.680%, 02/15/96 29,000 28,936
Sears Roebuck Acceptance
5.700%, 02/13/96 25,000 24,953
5.720%, 02/13/96 30,000 29,943
5.700%, 02/22/96 25,000 24,917
Suntrust Banks
5.605%, 02/08/96 15,000 14,984
5.600%, 02/28/96 15,000 14,937
Whirlpool
5.760%, 02/14/96 14,000 13,971
5.680%, 02/15/96 20,000 19,956
5.710%, 02/16/96 16,000 15,962
----------
TOTAL COMMERCIAL PAPER
(Cost $1,569,105) 1,569,105
----------
CERTIFICATES OF DEPOSIT/BANK NOTES -- 22.6%
Bank of Hawaii
5.570%, 11/06/96 38,000 38,034
BankAmerica
5.740%, 02/16/96 55,000 55,000
5.270%, 06/25/96 30,000 30,000
Bank of New York
5.520%, 05/22/96 50,000 49,988
</TABLE>
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------
FACE
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
<S> <C> <C>
Chase Manhattan
5.770%, 04/15/96 $ 35,000 $ 35,000
First Alabama Bank
5.250%, 05/31/96 20,000 20,000
5.230%, 07/22/96 20,000 19,998
First American Bank
5.560%, 03/20/96 8,000 8,000
First Chicago
5.480%, 03/15/96 25,000 25,000
First of America Bank
5.375%, 05/17/96 60,000 60,000
5.340%, 05/23/96 20,000 20,000
First National Bank of Maryland
5.740%, 02/05/96 30,000 30,000
First Union National Bank
5.220%, 05/03/96 45,000 45,000
Fleet Financial Group
5.750%, 02/29/96 16,000 16,000
National Bank of Detroit
5.300%, 04/01/96 50,000 50,002
NationsBank
5.500%, 06/10/96 40,000 40,000
Wilmington Trust Bank
5.680%, 03/27/96 50,000 50,000
--------
TOTAL CERTIFICATES OF DEPOSIT/BANK NOTES
(Cost $592,022) 592,022
--------
FLOATING RATE INSTRUMENTS -- 12.4%
Allstate
6.000%, 02/01/96 (A) 15,000 15,000
CoreStates Capital
5.650%, 02/05/96 (A) 15,000 15,000
5.590%, 02/12/96 (A) 15,000 15,000
First Bank of South Dakota
5.605%, 02/21/96 (A) 50,000 49,997
People's Security Funding
Agreement
6.090%, 05/01/96 (A) 62,000 62,000
PNC Bank
5.603%, 02/05/96 (A) 25,000 24,982
5.550%, 02/06/96 (A) 50,000 49,964
South Trust
5.603%, 02/20/96 (A) 13,000 13,000
SMM Trust 1995-B
5.738%, 02/02/96 (A) 30,000 30,000
SMM Trust 1995-1
5.583%, 02/29/96 (A) 50,000 49,995
--------
TOTAL FLOATING RATE INSTRUMENTS
(Cost $324,938) 324,938
--------
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
13
<PAGE>
STATEMENT OF NET ASSETS
================================================================================
SEI DAILY INCOME TRUST -- JANUARY 31, 1996
PRIME OBLIGATION PORTFOLIO
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------
FACE
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
<S> <C> <C>
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 8.0%
FNMA
5.340%, 02/07/96 (A) $ 100,000 $ 100,000
SLMA
5.350%, 02/07/96 (A) 47,600 47,600
5.370%, 02/07/96 (A) 47,000 47,006
5.360%, 02/07/96 (A) 16,000 16,002
----------
TOTAL U.S. GOVERNMENT AGENCY
OBLIGATIONS
(Cost $210,608) 210,608
----------
BANKER'S ACCEPTANCE -- 0.6%
Republic National Bank
5.420%, 03/14/96 15,000 14,905
----------
TOTAL BANKER'S ACCEPTANCE
(Cost $14,905) 14,905
----------
REPURCHASE AGREEMENTS -- 0.8%
Aubrey Lanston
5.90%, dated 01/31/96,
matures 02/01/96,
repurchase price $17,505,869
(collateralized by U.S.
Treasury Bill, par value
$18,295,000, 4.830%, matures
07/25/96: market value
$17,862,994) 17,503 17,503
Lehman Brothers
5.93%, dated 01/31/96,
matures 02/01/96,
repurchase price $4,000,659
(collateralized by U.S.
Treasury STRIPS, par value
$9,460,000, 0.000%, matures
11/15/09: market value
$4,142,156) 4,000 4,000
----------
TOTAL REPURCHASE AGREEMENTS
(Cost $21,503) 21,503
----------
TOTAL INVESTMENTS -- 104.5%
(Cost $2,733,081) 2,733,081
----------
OTHER ASSETS AND LIABILITIES, NET -- (4.5)% (116,640)
----------
</TABLE>
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------
FACE
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
<S> <C> <C>
NET ASSETS:
Portfolio shares of Class A
(unlimited authorization -- no
par value) based on 2,441,684,292
outstanding shares of beneficial
interest $ 2,441,684
Portfolio shares of Class B
(unlimited authorization -- no
par value) based on 174,778,951
outstanding shares of beneficial
interest 174,779
Accumulated net realized loss on
investments (22)
-----------
TOTAL NET ASSETS-- 100.0% $ 2,616,441
===========
NET ASSET VALUE, OFFERING PRICE AND
REDEMPTION PRICE PER SHARE-- CLASS A $ 1.00
===========
NET ASSET VALUE, OFFERING PRICE AND
REDEMPTION PRICE PER SHARE-- CLASS B $ 1.00
===========
<FN>
(A) FLOATING RATE INSTRUMENT. RATE REFLECTED ON THE STATEMENT OF NET ASSETS
IS THE RATE IN EFFECT ON JANUARY 31, 1996. THE DATE SHOWN IS THE LONGER
OF THE RESET DATE OR THE DEMAND DATE.
FNMA FEDERAL NATIONAL MORTGAGE ASSOCIATION
LP LIMITED PARTNERSHIP
SLMA STUDENT LOAN MARKETING ASSOCIATION
STRIPS SEPARATELY TRADING OF REGISTERED INTEREST AND PRINCIPAL OF SECURITIES
</FN>
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
14
<PAGE>
================================================================================
TREASURY PORTFOLIO
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------
FACE
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
<S> <C> <C>
U.S. TREASURY OBLIGATIONS -- 36.8%
U.S. Treasury Bills
5.102%, 04/25/96 $ 4,000 $ 3,954
5.107%, 05/30/96 5,000 4,918
5.876%, 05/30/96 3,000 2,945
5.877%, 05/30/96 4,000 3,927
5.122%, 06/20/96 3,000 2,942
5.126%, 07/11/96 3,000 2,934
U.S. Treasury Note
4.375%, 08/15/96 4,000 3,971
-------
TOTAL U.S. TREASURY OBLIGATIONS
(Cost $25,591) 25,591
-------
REPURCHASE AGREEMENTS -- 62.1%
Aubrey Lanston
5.90%, dated 01/31/96,
matures 02/01/96, repurchase
price $1,172,192 (collateralized
by U.S. Treasury Note, par
value $1,115,000, 7.250%,
matures 02/15/98: market
value $1,199,438) 1,172 1,172
J. P. Morgan
5.90%, dated 01/31/96,
matures 02/01/96, repurchase
price $6,000,983 (collateralized
by U.S. Treasury Note, par
value $4,318,000, 11.875%,
matures 11/15/03: market
value $6,127,737) 6,000 6,000
Lehman Brothers
5.93%, dated 01/31/96,
matures 02/01/96, repurchase
price $6,000,988 (collateralized
by U.S. Treasury STRIPS, par
value $13,330,000, 0.000%,
matures 11/15/08: market
value $6,243,372) 6,000 6,000
Nomura Securities
5.94%, dated 01/31/96,
matures 02/01/96, repurchase
price $15,002,475 (collateralized
by U.S. Treasury Note, par
value $15,098,000, 7.875%,
matures 07/31/96: market
value $15,300,177) 15,000 15,000
</TABLE>
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------
FACE
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
<S> <C> <C>
Swiss Bank
5.93%, dated 01/31/96,
matures 02/01/96, repurchase
price $15,002,471 (collateralized
by various U.S. Treasury Bonds
ranging in par value $2,680,000
-- $9,500,000, 8.125% -- 9.125%,
05/15/09 -- 05/15/21; with total
market value of $15,389,302) $15,000 $15,000
-------
TOTAL REPURCHASE AGREEMENTS
(Cost $43,172) 43,172
-------
TOTAL INVESTMENTS -- 98.9%
(Cost $68,763) 68,763
-------
OTHER ASSETS AND LIABILITIES, NET -- 1.1% 748
-------
NET ASSETS:
Portfolio shares of Class A
(unlimited authorization -- no par value)
based on 54,813,953 outstanding shares of
beneficial interest 54,814
Portfolio shares of Class C
(unlimited authorization -- no
par value) based on 14,690,387
outstanding shares of beneficial
interest 14,690
Accumulated net realized gain
on investments 7
-------
TOTAL NET ASSETS-- 100.0% $69,511
=======
NET ASSET VALUE, OFFERING PRICE AND
REDEMPTION PRICE PER SHARE-- CLASS A $ 1.00
=======
NET ASSET VALUE, OFFERING PRICE AND
REDEMPTION PRICE PER SHARE-- CLASS C $ 1.00
=======
<FN>
STRIPS SEPARATELY TRADING OF REGISTERED INTEREST AND PRINCIPAL OF SECURITIES
</FN>
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
15
<PAGE>
STATEMENT OF NET ASSETS
================================================================================
SEI DAILY INCOME TRUST -- JANUARY 31, 1996
TREASURY II PORTFOLIO
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------
FACE
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
<S> <C> <C>
U.S. TREASURY OBLIGATIONS -- 98.8%
U.S. Treasury Bills
5.135%, 02/29/96 $ 12,980 $ 12,928
5.200%, 03/07/96 5,570 5,542
5.295%, 03/07/96 42,685 42,465
5.521%, 03/07/96 3,695 3,676
5.540%, 03/07/96 1,435 1,428
5.109%, 04/04/96 11,625 11,523
5.115%, 04/04/96 4,555 4,515
5.131%, 04/04/96 6,590 6,532
5.146%, 04/04/96 6,230 6,175
5.155%, 04/04/96 7,590 7,523
5.171%, 04/04/96 10,530 10,437
5.175%, 04/04/96 7,165 7,102
6.057%, 04/04/96 3,370 3,337
6.199%, 04/04/96 2,775 2,747
6.208%, 04/04/96 4,440 4,395
6.299%, 04/04/96 7,000 6,928
6.301%, 04/04/96 1,995 1,975
6.362%, 04/04/96 7,000 6,927
5.131%, 04/11/96 6,615 6,551
U.S. Treasury Notes
4.625%, 02/15/96 200,000 199,947
7.875%, 02/15/96 35,000 35,029
9.375%, 04/15/96 55,000 55,444
--------
TOTAL U.S. TREASURY OBLIGATIONS
(Cost $443,126) 443,126
--------
TOTAL INVESTMENTS -- 98.8%
(Cost $443,126) 443,126
--------
OTHER ASSETS AND LIABILITIES, NET -- 1.2% 5,506
--------
NET ASSETS:
Portfolio shares of Class A
(unlimited authorization -- no
par value) based on 418,083,768
outstanding shares of beneficial
interest 418,084
Portfolio shares of Class B
(unlimited authorization -- no
par value) based on 26,433,415
outstanding shares of beneficial
interest 26,433
Portfolio shares of Class C
(unlimited authorization -- no
par value) based on 3,934,437
outstanding shares of beneficial
interest 3,935
Accumulated net realized gain
on investments 180
--------
TOTAL NET ASSETS-- 100.0% $448,632
========
</TABLE>
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
<S> <C> <C>
NET ASSET VALUE, OFFERING PRICE AND
REDEMPTION PRICE PER SHARE-- CLASS A $ 1.00
=======
NET ASSET VALUE, OFFERING PRICE AND
REDEMPTION PRICE PER SHARE-- CLASS B $ 1.00
=======
NET ASSET VALUE, OFFERING PRICE AND
REDEMPTION PRICE PER SHARE-- CLASS C $ 1.00
=======
SHORT-TERM GOVERNMENT PORTFOLIO
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 56.5%
FFCB
6.970%, 03/28/97 $ 5,000 $ 5,012
FHLB
6.940%, 03/14/97 10,000 10,201
FNMA
5.390%, 08/05/98 4,000 3,992
6.850%, 05/26/00 6,000 6,162
FNMA MTN
7.440%, 03/06/98 5,000 5,000
5.850%, 06/22/98 8,000 8,113
5.410%, 06/25/98 3,000 3,002
-------
TOTAL U.S. GOVERNMENT AGENCY
OBLIGATIONS
(Cost $40,912) 41,482
-------
U.S. TREASURY OBLIGATION -- 24.3%
U.S. Treasury Note
6.750%, 06/30/99 17,000 17,851
-------
TOTAL U.S. TREASURY OBLIGATION
(Cost $17,469) 17,851
-------
U.S. GOVERNMENT MORTGAGE-BACKED
BONDS -- 18.6%
FHLMC
6.500%, 10/01/07 4,038 4,022
FNMA
6.750%, 03/25/15 3,932 3,923
GNMA
7.500%, 01/01/10 TBA 2,000 2,052
9.000%, 11/15/20 29 31
9.000%, 10/15/21 28 29
9.000%, 06/15/24 20 21
9.000%, 11/15/24 584 617
9.000%, 12/15/24 951 1,006
9.000%, 01/15/25 802 848
9.000%, 02/15/25 451 477
9.000%, 05/15/25 652 689
-------
TOTAL U.S. GOVERNMENT
MORTGAGE-BACKED BONDS
(Cost $13,529) 13,715
-------
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
16
<PAGE>
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
<S> <C> <C>
Repurchase Agreement -- 2.7%
Paine Webber
5.90%, dated 01/31/96,
matures 02/01/96, repurchase
price $1,985,325 (collateralized
by U.S. Treasury Note, par
value $1,935,000, 6.250%,
matures 05/31/00: market
value $2,016,532) $ 1,985 $ 1,985
--------
TOTAL REPURCHASE AGREEMENT
(Cost $1,985) 1,985
--------
TOTAL INVESTMENTS-- 102.1%
(Cost $73,895) 75,033
--------
OTHER ASSETS AND LIABILITIES, NET -- (2.1)% (1,552)
--------
NET ASSETS:
Portfolio shares of Class A
(unlimited authorization -- no
par value) based on 7,278,572
outstanding shares of beneficial
interest 73,751
Portfolio shares of Class B
(unlimited authorization -- no
par value) based on 3,868 outstanding
shares of beneficial interest 38
Portfolio shares of Class D
(unlimited authorization -- no
value) based on 1,130 outstanding
shares of beneficial interest 11
Accumulated net realized loss
on investments (1,584)
Net unrealized appreciation on
investments 1,138
Undistributed net investment income 127
--------
TOTAL NET ASSETS-- 100.0% $ 73,481
========
NET ASSET VALUE, OFFERING PRICE AND
REDEMPTION PRICE PER SHARE-- CLASS A $ 10.09
========
NET ASSET VALUE, OFFERING PRICE AND
REDEMPTION PRICE PER SHARE-- CLASS B $ 10.07
========
NET ASSET VALUE AND REDEMPTION
PRICE PER SHARE-- CLASS D $ 10.09
========
MAXIMUM OFFERING PRICE PER
SHARE-- CLASS D ($10.09 / 96.5%)(DAGGER) $ 10.46
========
<FN>
(DAGGER)THE MAXIMUM OFFERING PRICE PER SHARE IS CALCULATED BY DIVIDING THE NET
ASSET VALUE BY 1 MINUS THE MAXIMUM SALES CHARGE OF 3.50%.
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
TBA "TO BE ANNOUNCED" MORTGAGE BACKED SECURITY (SEE NOTE 2)
</FN>
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
================================================================================
INTERMEDIATE-TERM
GOVERNMENT PORTFOLIO
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
<S> <C> <C>
U.S. TREASURY OBLIGATIONS -- 55.0%
U.S. Treasury Bond
12.000%, 08/15/13 $13,550 $20,856
U.S. Treasury Notes
5.625%, 01/31/98 6,250 6,331
7.875%, 04/15/98 10,350 10,967
7.500%, 10/31/99 16,500 17,788
8.500%, 02/15/00 9,000 10,070
10.750%, 02/15/03 19,000 24,796
-------
TOTAL U.S. TREASURY OBLIGATIONS
(Cost $88,183) 90,808
-------
U.S. GOVERNMENT AGENCY
OBLIGATIONS -- 24.2%
FHLMC
7.974%, 04/20/05 655 681
7.350%, 05/16/05 750 786
FNMA Callable 05/13/96 @ 100
5.250%, 05/13/98 20,000 19,964
FNMA MTN
7.920%, 03/30/05 3,100 3,316
Private Export Funding
7.900%, 03/31/00 3,000 3,255
8.400%, 07/31/01 1,000 1,132
7.300%, 01/31/02 1,445 1,568
6.240%, 05/15/02 1,100 1,136
8.750%, 06/30/03 4,790 5,628
6.860%, 04/30/04 2,295 2,438
-------
TOTAL U.S. GOVERNMENT AGENCY
OBLIGATIONS
(Cost $38,583) 39,904
-------
U.S. GOVERNMENT
MORTGAGE-BACKED BONDS -- 19.6%
FHLMC
6.250%, 07/01/03 535 537
6.500%, 10/01/07 6,085 6,060
6.500%, 09/01/10 7,315 7,379
7.000%, 02/25/19 500 515
6.500%, 06/25/19 2,100 2,122
6.500%, 09/15/21 570 565
7.000%, 05/01/24 1,444 1,459
7.000%, 10/01/25 1,978 1,999
FNMA
7.500%, 03/01/07 458 470
7.500%, 06/01/09 203 208
9.500%, 05/01/18 601 643
GNMA
7.000%, 02/01/95 (A) 5,823 5,976
8.000%, 06/15/24 522 543
8.000%, 07/15/24 394 410
8.000%, 08/15/24 1,281 1,333
8.000%, 11/15/24 476 495
8.000%, 05/15/25 526 547
8.000%, 07/15/25 527 548
</TABLE>
17
<PAGE>
STATEMENT OF NET ASSETS
===============================================================================
SEI DAILY INCOME TRUST -- JANUARY 31, 1996
<TABLE>
<CAPTION>
INTERMEDIATE-TERM
GOVERNMENT PORTFOLIO
- -------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- -------------------------------------------------------------------------------
<S> <C> <C>
GNMA (CONTINUED)
8.000%, 08/15/25 $ 473 $ 492
8.000%, 09/15/25 50 52
--------
TOTAL U.S. GOVERNMENT
MORTGAGE-BACKED BONDS
(Cost $31,731) 32,353
--------
REPURCHASE AGREEMENT -- 1.7%
Paine Webber
5.90%, dated 01/31/96, matures
02/01/96, repurchase price
$2,857,468 (collateralized by
U.S. Treasury Note, par value
$2,850,000, 5.125%, matures
02/28/98: market value
$2,917,905) 2,857 2,857
--------
TOTAL REPURCHASE AGREEMENT
(Cost $2,857) 2,857
--------
TOTAL INVESTMENTS-- 100.5%
(Cost $161,354) 165,922
--------
OTHER ASSETS AND LIABILITIES, NET -- (0.5%)
(884)
--------
NET ASSETS:
Portfolio shares of Class A
(unlimited authorization -- no
par value) based on 16,404,114
outstanding shares of beneficial
interest 167,329
Portfolio shares of Class D
(unlimited authorization -- no
par value) based on 5,965
outstanding shares of beneficial
interest 66
Accumulated net realized loss on
investments (6,925)
Net unrealized appreciation on
investments 4,568
--------
TOTAL NET ASSETS-- 100.0% $165,038
========
NET ASSET VALUE, OFFERING PRICE AND
REDEMPTION PRICE PER SHARE-- CLASS A $ 10.06
========
NET ASSET VALUE, AND REDEMPTION
PRICE PER SHARE-- CLASS D $ 10.05
========
MAXIMUM OFFERING PRICE PER
SHARE-- CLASS D ($10.05 / 96.5%)(DAGGER) $ 10.41
========
<FN>
(DAGGER) THE MAXIMUM OFFERING PRICE PER SHARE IS CALCULATED BY DIVIDING THE NET
ASSET VALUE BY 1 MINUS THE MAXIMUM SALES CHARGE OF 3.50%.
(A) ADJUSTABLE RATE MORTGAGE. THE RATE REFLECTED ON THE STATEMENT OF NET ASSETS
IS THE RATE IN EFFECT ON JANUARY 31, 1996.
</FN>
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- -------------------------------------------------------------------------------
<S> <C> <C>
<FN>
FHLMC FEDERAL HOME LOAN MORTGAGE CORPORATION
FNMA FEDERAL NATIONAL MORTGAGE ASSOCIATION
GNMA GOVERNMENT NATIONAL MORTGAGE ASSOCIATION
MTN MEDIUM TERM NOTE
</FN>
GNMA PORTFOLIO
GNMA-- 98.0%
6.00%, 10/15/23 - 04/15/24 $ 3,947 $ 3,841
6.50%, 06/15/23 - 11/01/24 17,828 17,700
6.50%, 11/01/24 TBA 6,000 5,957
7.00%, 12/15/22 - 04/15/24 36,274 36,739
7.50%, 02/15/17 - 09/15/23 19,277 19,843
8.00%, 12/15/21 - 07/15/22 9,543 9,930
8.50%, 08/15/08 - 12/15/21 11,899 12,466
9.00%, 05/15/16 - 05/15/22 8,609 9,104
9.50%, 06/15/09 - 12/15/20 11,195 11,976
10.00%, 02/15/13 - 07/15/20 3,865 4,254
10.50%, 03/15/18 180 200
11.00%, 12/15/09 - 11/15/14 1,507 1,700
11.50%, 04/15/10 - 02/15/13 87 98
12.00%, 01/15/13 - 04/15/14 22 25
12.50%, 12/15/06 - 07/15/15 66 76
--------
TOTAL GNMA
(Cost $131,427) 133,909
--------
REPURCHASE AGREEMENT -- 4.0%
Paine Webber
5.90%, dated 01/31/96,
matures 02/01/96, repurchase
price $5,431,890 (collateralized
by U.S. Treasury Note, par
value $5,345,000, 6.375%,
matures 01/15/99: market
value $5,544,602) 5,431 5,431
--------
TOTAL REPURCHASE AGREEMENT
(Cost $5,431) 5,431
--------
TOTAL INVESTMENTS-- 102.0%
(Cost $136,858) 139,340
--------
OTHER ASSETS AND LIABILITIES, NET -- (2.0%)
(2,773)
--------
NET ASSETS:
Portfolio shares of Class A
(unlimited authorization -- no
par value) based on 13,859,553
outstanding shares of beneficial
interest 145,516
Portfolio shares of Class B
(unlimited authorization -- no
par value) based on 1,567
outstanding shares of beneficial
interest 14
</TABLE>
18
<PAGE>
===============================================================================
<TABLE>
<CAPTION>
GNMA PORTFOLIO
- -------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- -------------------------------------------------------------------------------
<S> <C> <C>
Portfolio shares of Class D
(unlimited authorization -- no
par value) based on 16,126
outstanding shares of beneficial
interest $ 161
Accumulated net realized loss on
investments (11,700)
Net unrealized appreciation on
investments 2,482
Undistributed net investment income 94
--------
TOTAL NET ASSETS-- 100.0% $136,567
========
NET ASSET VALUE, OFFERING PRICE AND
REDEMPTION PRICE PER SHARE-- CLASS A $ 9.84
========
NET ASSET VALUE, OFFERING PRICE AND
REDEMPTION PRICE PER SHARE-- CLASS B $ 9.84
========
NET ASSET VALUE AND REDEMPTION
PRICE PER SHARE-- CLASS D $ 9.83
========
MAXIMUM OFFERING PRICE PER
SHARE-- CLASS D ($9.83 / 95.5%) (DAGGER) $ 10.29
========
<FN>
(DAGGER) THE MAXIMUM OFFERING PRICE PER SHARE IS CALCULATED BY DIVIDING THE NET
ASSET VALUE BY 1 MINUS THE MAXIMUM SALES CHARGE OF 4.50%
GNMA GOVERNMENT NATIONAL MORTGAGE ASSOCIATION
TBA "TO BE ANNOUNCED" MORTGAGE BACKED SECURITY (SEE NOTE 2)
</FN>
CORPORATE DAILY INCOME
PORTFOLIO
CORPORATE OBLIGATIONS -- 35.9%
BankAmerica Corporate
6.013%, 03/20/96 (A) $ 2,000 $ 2,000
Bankers Trust of New York
9.200%, 07/15/99 1,000 1,105
Caterpillar MTN
5.200%, 04/01/96 (A) 1,000 980
Citicorp MTN
6.000%, 02/12/96 (A) 2,000 1,999
Continental Bank
6.250%, 02/20/96 (A) 825 829
Fleet Mortgage Group
6.500%, 06/15/00 2,000 2,050
Ford Motor Credit
5.310%, 02/15/96 (A) 1,500 1,491
General Electric Capital
5.600%, 02/01/96 (A) 1,000 1,000
General Motors Acceptance
5.230%, 03/25/96 (A) 1,000 985
NationsBank MTN
5.983%, 03/20/96 (A) 2,000 2,000
Sears Roebuck MTN
5.223%, 03/10/96 (A) 1,000 995
</TABLE>
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- -------------------------------------------------------------------------------
<S> <C> <C>
Wells Fargo
5.813%, 03/20/96 (A) $ 2,000 $ 1,999
--------
TOTAL CORPORATE OBLIGATIONS
(Cost $17,355) 17,433
--------
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 26.6%
FHLMC
6.000%, 05/25/97 780 786
6.000%, 07/22/97 88 89
6.000%, 09/26/97 495 499
6.000%, 11/01/97 122 123
6.000%, 02/28/98 433 437
6.000%, 03/06/98 745 751
6.000%, 03/24/98 68 69
6.000%, 04/11/98 241 243
6.000%, 06/30/98 3,375 3,403
6.000%, 07/19/98 322 325
6.000%, 07/22/98 664 670
6.000%, 08/13/98 471 475
6.000%, 08/09/99 105 105
6.000%, 10/03/99 127 128
6.000%, 10/29/99 759 765
FNMA
5.994%, 02/25/96 (A) 1,058 1,060
FNMA MTN
5.410%, 06/25/98 3,000 3,002
--------
TOTAL U.S. GOVERNMENT
AGENCY OBLIGATIONS
(Cost $12,827) 12,930
--------
ASSET BACKED SECURITIES -- 23.2%
Banc One Auto 95-A A3
6.850%, 10/29/96 1,500 1,514
Daimler-Benz Auto Grantor
Trust 93-A
3.900%, 10/22/96 191 189
Daimler-Benz Auto Grantor
Trust 95-A A
5.850%, 04/22/97 924 928
Ford Credit Grantor Trust 93-B
4.300%, 11/16/96 255 253
Ford Credit Grantor Trust 95-B A
5.900%, 09/04/97 946 955
General Motors Acceptance 93-A
4.150%, 08/13/96 64 64
General Motors Acceptance 93-B A
4.000%, 10/25/96 207 205
General Motors Grantor Trust 95 A1
7.150%, 06/09/97 966 985
IBM Credit Receivables Lease
Asset Master Trust 93-1 A
4.550%, 12/30/96 967 957
Main Place Funding 95-2
5.670%, 04/25/96 (A) 1,000 1,000
</TABLE>
19
<PAGE>
STATEMENT OF NET ASSETS
===============================================================================
SEI DAILY INCOME TRUST -- JANUARY 31, 1996
<TABLE>
<CAPTION>
CORPORATE DAILY INCOME
PORTFOLIO
- -------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- -------------------------------------------------------------------------------
<S> <C> <C>
MBNA Master Credit 94-DA
5.700%, 02/01/96 (A) $ 1,500 $ 1,501
Premier Auto Trust 92-5
4.550%, 09/30/96 113 112
Premier Auto Trust 93-4 A2
4.650%, 01/14/97 254 252
Premier Auto Trust 93-6 A2
4.650%, 03/06/97 645 641
Premier Auto Trust 95-2 A4
7.050%, 02/08/97 1,500 1,527
Toyota Auto Receivables 93-A A
3.900%, 09/04/96 178 176
--------
TOTAL ASSET BACKED SECURITIES
(Cost $11,185) 11,259
--------
U.S. TREASURY OBLIGATION -- 6.4%
U.S. Treasury Note
6.125%, 09/30/00 3,000 3,106
--------
TOTAL U.S. TREASURY OBLIGATION
(Cost $3,080) 3,106
--------
REPURCHASE AGREEMENT -- 7.4%
Paine Webber
5.90%, dated 01/31/96,
matures 02/01/96, repurchase
price $3,579,587 (collateralized
by U.S. Treasury Note, par
value $3,638,000, 5.250%,
matures 07/31/98: market
value $3,653,916) 3,579 3,579
--------
TOTAL REPURCHASE AGREEMENT
(Cost $3,579) 3,579
--------
TOTAL INVESTMENTS -- 99.5%
(Cost $48,026) 48,307
--------
OTHER ASSETS AND LIABILITIES, NET -- 0.5% 232
--------
NET ASSETS:
Portfolio shares of Class A
(unlimited authorization -- no
par value) based on 24,243,059
outstanding shares of beneficial
interest 48,262
Accumulated net realized loss on
investments (4)
Net unrealized appreciation on
investments 281
--------
TOTAL NET ASSETS-- 100.0% $ 48,539
========
NET ASSET VALUE, OFFERING PRICE AND
REDEMPTION PRICE PER SHARE-- CLASS A $2.00
======
</TABLE>
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- -------------------------------------------------------------------------------
<FN>
(A) FLOATING RATE INSTRUMENT. THE RATE REFLECTED ON THE STATEMENT OF NET
ASSETS IS THE RATE IN EFFECT ON JANUARY 31, 1996. THE DATE SHOWN IS THE
LONGER OF THE RESET DATE OR THE DEMAND DATE.
FHLMC FEDERAL HOME LOAN MORTGAGE CORPORATION
FNMA FEDERAL NATIONAL MORTGAGE ASSOCIATION
MTN MEDIUM TERM NOTE
</FN>
SHORT-TERM
MORTGAGE PORTFOLIO
U.S. MORTGAGE-BACKED OBLIGATIONS -- 84.1%
<S> <C> <C>
FHLMC
7.000%, 02/01/99 $ 50 $ 50
FHLMC IO
7.000%, 05/15/21 401 60
FNMA
7.690%, 02/01/96 (A) 280 289
8.250%, 02/01/96 (A) 504 524
7.000%, 01/25/99 150 153
GNMA
12.000%, 09/15/98 45 49
12.000%, 10/15/98 19 20
10.000%, 04/20/01 141 152
10.750%, 03/15/03 38 41
8.000%, 02/15/08 117 121
9.250%, 11/20/16 65 68
------
TOTAL U.S. MORTGAGE-BACKED OBLIGATIONS
(Cost $1,489) 1,527
------
U.S. TREASURY OBLIGATIONS -- 13.6%
U.S. Treasury Notes
7.500%, 10/31/99 35 38
10.750%, 02/15/03 160 209
------
U.S. TREASURY OBLIGATIONS
(Cost $244) 247
------
REPURCHASE AGREEMENT -- 0.9%
Paine Webber
5.90%, dated 01/31/96,
matures 02/01/96, repurchase
price $16,003 (collateralized by
U.S. Treasury Note, par value
$17,000, 5.250%, matures 07/31/98:
market value $17,074) 16 16
------
TOTAL REPURCHASE AGREEMENT
(Cost $16) 16
------
</TABLE>
20
<PAGE>
===============================================================================
<TABLE>
<CAPTION>
SHORT-TERM MORTGAGE
PORTFOLIO
- -------------------------------------------------------------------------------
MARKET
DESCRIPTION VALUE (000)
- -------------------------------------------------------------------------------
<S> <C>
TOTAL INVESTMENTS -- 98.6%
(Cost $1,749) $ 1,790
-------
OTHER ASSETS AND LIABILITIES, NET -- 1.4% 25
-------
NET ASSETS:
Portfolio shares of Class A
(unlimited authorization -- no par
value) based on 183,682 outstanding
shares of beneficial interest 1,886
Accumulated net realized loss
on investments (110)
Net unrealized appreciation on investments 41
Distributions in excess of net
investment income (2)
-------
TOTAL NET ASSETS-- 100.0% $ 1,815
=======
NET ASSET VALUE, OFFERING PRICE AND
REDEMPTION PRICE PER SHARE-- CLASS A $9.88
=====
<FN>
(A) ADJUSTABLE RATE MORTGAGE. THE RATE REFLECTED ON THE STATEMENT OF NET
ASSETS IS THE RATE IN EFFECT ON JANUARY 31, 1996.
FNMA FEDERAL NATIONAL MORTGAGE ASSOCIATION
FHLMC FEDERAL HOME LOAN MORTGAGE CORPORATION
GNMA GOVERNMENT NATIONAL MORTGAGE ASSOCIATION
IO INTEREST ONLY
</FN>
</TABLE>
21
<PAGE>
STATEMENTS OF OPERATIONS (000)
===============================================================================
SEI DAILY INCOME TRUST--FOR THE YEAR ENDED JANUARY 31, 1996
<TABLE>
<CAPTION>
--------- ---------- ------------- ---------- ---------
MONEY PRIME
MARKET GOVERNMENT GOVERNMENT II OBLIGATION TREASURY
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
--------- ---------- ------------- ---------- ---------
<S> <C> <C> <C> <C> <C>
Interest Income $9,645 $29,232 $48,353 $144,492 $3,151
------ ------- ------- -------- ------
EXPENSES:
Management fee 524 1,185 1,559 4,565 128
Less management fees waived (365) (580) (572) (1,646) (75)
Investment advisory fee 42 130 215 630 14
Less investment advisory fees waived (29) (97) (148) (433) (11)
Custodian/wire agent fees 39 39 65 164 18
Trustee fees 3 8 14 41 1
Distribution fees(1) 84 2,594 333 981 53
Other 45 141 229 657 14
Amortization of deferred
organizational costs -- -- -- -- --
------ ------- ------- -------- ------
Total expenses 343 3,420 1,695 4,959 142
------ ------- ------- -------- ------
NET INVESTMENT INCOME 9,302 25,812 46,658 139,533 3,009
------ ------- ------- -------- ------
NET REALIZED AND UNREALIZED GAIN
(LOSS) ON INVESTMENTS
Net realized gain (loss) from security
transactions 27 79 56 94 11
------ ------- ------- -------- ------
Net change in unrealized appreciation
of investments -- -- -- -- --
------ ------- ------- -------- ------
NET INCREASE IN NET ASSETS FROM OPERATIONS $9,329 $25,891 $46,714 $139,627 $3,020
====== ======= ======= ======== ======
<FN>
(1) INCLUDES CLASS SPECIFIC EXPENSES OF APPROXIMATELY $25, $2,432, $54, $155,
$36, $110, $1, AND $1 FOR THE MONEY MARKET, GOVERNMENT, GOVERNMENT II,
PRIME OBLIGATION, TREASURY, TREASURY II, INTERMEDIATE-TERM GOVERNMENT, AND
GNMA PORTFOLIOS, RESPECTIVELY.
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.
22
<PAGE>
<TABLE>
<CAPTION>
----------- ---------- ------------- --------- --------- ----------
INTERMEDIATE- CORPORATE
SHORT-TERM TERM DAILY SHORT-TERM
TREASURY II GOVERNMENT GOVERNMENT GNMA INCOME MORTGAGE
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
----------- ---------- ------------- --------- --------- ----------
<S> <C> <C> <C> <C> <C> <C>
Interest Income $27,770 $5,249 $12,553 $11,362 $3,350 $186
------- ------ ------- ------- ------ ----
EXPENSES:
Management fee 1,170 279 669 483 185 9
Less management fees waived (356) (48) (113) (19) (80) (9)
Investment advisory fee 128 79 191 150 53 3
Less investment advisory fees waived (84) (14) (34) (7) (23) --
Custodian/wire agent fees 37 8 16 35 8 2
Trustee fees 8 1 3 3 1 --
Distribution fees(1) 273 28 68 52 18 1
Other 153 26 60 43 16 --
Amortization of deferred
organizational costs -- -- -- -- 8 6
------- ------ ------- ------- ------ ----
Total expenses 1,329 359 860 740 186 12
------- ------ ------- ------- ------ ----
NET INVESTMENT INCOME 26,441 4,890 11,693 10,622 3,164 174
------- ------ ------- ------- ------ ----
NET REALIZED AND UNREALIZED GAIN
(LOSS) ON INVESTMENTS
Net realized gain (loss) from security
transactions 103 (210) 1,392 (1,931) 530 44
------- ------ ------- ------- ------ ----
Net change in unrealized appreciation
of investments -- 3,207 13,934 13,217 737 31
------- ------ ------- ------- ------ ----
NET INCREASE IN NET ASSETS FROM OPERATIONS $26,544 $7,887 $27,019 $21,908 $4,431 $249
======= ====== ======= ======= ====== ====
<FN>
(1) INCLUDES CLASS SPECIFIC EXPENSES OF APPROXIMATELY $25, $2,432, $54, $155,
$36, $110, $1, AND $1 FOR THE MONEY MARKET, GOVERNMENT, GOVERNMENT II,
PRIME OBLIGATION, TREASURY, TREASURY II, INTERMEDIATE-TERM GOVERNMENT, AND
GNMA PORTFOLIOS, RESPECTIVELY.
AMOUNTS DESIGNATED AS "--" ARE EITHER $0 OR HAVE BEEN ROUNDED TO $0.
</FN>
</TABLE>
23
<PAGE>
STATEMENTS OF CHANGES IN NET ASSETS (000)
===============================================================================
SEI DAILY INCOME TRUST--FOR THE PERIODS ENDED JANUARY 31
<TABLE>
<CAPTION>
---------------------- --------------------- ----------------------
MONEY
MARKET GOVERNMENT GOVERNMENT II
---------------------- --------------------- ----------------------
1996 1995 1996 1995 (1) 1996 1995
---------------------- --------------------- ----------------------
<S> <C> <C> <C> <C> <C> <C>
OPERATIONS:
Net investment income $ 9,302 $ 9,667 $ 25,812 $ 7,304 $ 46,658 $ 32,719
Net realized gain (loss) from
security transactions 27 (12) 79 (74) 56 (87)
--------- --------- --------- --------- --------- ---------
Net increase in net assets
resulting from operations 9,329 9,655 25,891 7,230 46,714 32,632
--------- --------- --------- --------- --------- ---------
DIVIDENDS DISTRIBUTED FROM:
Net investment income:
Class A (8,897) (9,468) (260) -- (45,683) (32,116)
Class B (335) (199) (300) -- (975) (603)
Class C (70) -- (25,247) (7,304) -- --
Net realized gains: -- -- -- -- -- --
--------- --------- --------- --------- --------- ---------
Total dividends distributed (9,302) (9,667) (25,807) (7,304) (46,658) (32,719)
--------- --------- --------- --------- --------- ---------
CAPITAL SHARE TRANSACTIONS (ALL AT
$1.00 PER SHARE): Class A:
Proceeds from shares issued 1,636,983 2,811,452 151,613 -- 4,331,859 3,658,726
Reinvestment of cash distributions 249 38 51 -- 691 623
Cost of shares repurchased (1,755,356) (2,801,293) (102,903) -- (4,308,644) (3,610,898)
--------- --------- --------- --------- --------- ---------
Increase (decrease) in net assets
from Class A transactions (118,124) 10,197 48,761 -- 23,906 48,451
--------- --------- --------- --------- --------- ---------
Class B:
Proceeds from shares issued 9,372 13,161 82,626 -- 130,798 70,987
Reinvestment of cash distributions 9 -- 4 -- 244 57
Cost of shares repurchased (9,079) (9,181) (67,634) -- (126,567) (77,304)
--------- --------- --------- --------- --------- ---------
Increase (decrease) in net assets
from Class B transactions 302 3,980 14,996 -- 4,475 (6,260)
--------- --------- --------- --------- --------- ---------
Class C:
Proceeds from shares issued 8,473 -- 1,365,830 824,507 -- --
Reinvestment of cash distributions 70 -- 20,121 6,347 -- --
Cost of shares repurchased (6,083) -- (1,153,932) (519,945) -- --
--------- --------- --------- --------- --------- ---------
Increase (decrease) in net assets
from Class C transactions 2,460 -- 232,019 310,909 -- --
--------- --------- --------- --------- --------- ---------
INCREASE (DECREASE) IN NET ASSETS DERIVED
FROM CAPITAL SHARE TRANSACTIONS (115,362) 14,177 295,776 310,909 28,381 42,191
--------- --------- --------- --------- --------- ---------
Net increase (decrease) in net assets (115,335) 14,165 295,860 310,835 28,437 42,104
--------- --------- --------- --------- --------- ---------
NET ASSETS:
Beginning of Period 220,302 206,137 310,835 -- 801,606 759,502
--------- --------- --------- --------- --------- ---------
End of Period $ 104,967 $ 220,302 $ 606,695 $ 310,835 $ 830,043 $ 801,606
========= ========= ========= ========= ========= =========
<FN>
(1) GOVERNMENT PORTFOLIO REOPENED ON APRIL 7, 1994.
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.
24
<PAGE>
<TABLE>
<CAPTION>
------------------------ ------------------- ------------------------
PRIME
OBLIGATION TREASURY TREASURY II
------------------------ ------------------- ------------------------
1996 1995 1996 1995 1996 1995
------------------------ ------------------- ------------------------
<S> <C> <C> <C> <C> <C> <C>
OPERATIONS:
Net investment income $ 139,533 $ 98,561 $ 3,009 $ 1,999 $ 26,441 $ 15,796
Net realized gain (loss)
from security transactions 94 (138) 11 (3) 103 95
---------- ---------- -------- -------- --------- ---------
Net increase in net assets
resulting from operations 139,627 98,423 3,020 1,996 26,544 15,891
---------- ---------- -------- -------- --------- ---------
DIVIDENDS DISTRIBUTED FROM:
Net investment income:
Class A (136,749) (97,805) (2,644) (1,999) (24,600) (14,850)
Class B (2,784) (647) -- -- (1,768) (946)
Class C -- (109) (365) -- (73) --
Net realized gains: -- -- -- -- -- --
---------- ---------- -------- -------- --------- ---------
Total dividends distributed (139,533) (98,561) (3,009) (1,999) (26,441) (15,796)
---------- ---------- -------- -------- --------- ---------
CAPITAL SHARE TRANSACTIONS (ALL AT
$1.00 PER SHARE): Class A:
Proceeds from shares issued 15,851,570 16,480,679 221,471 225,159 3,724,146 2,198,439
Reinvestment of cash distributions 35,850 18,646 1 -- 6,454 5,301
Cost of shares repurchased (16,224,177) (16,261,984) (205,791) (232,323) (3,710,125) (2,170,484)
---------- ---------- -------- -------- --------- ---------
Increase (decrease) in net assets
from Class A transactions (336,757) 237,341 15,681 (7,164) 20,475 33,256
---------- ---------- -------- -------- --------- ---------
Class B:
Proceeds from shares issued 544,082 56,734 -- -- 173,790 157,948
Reinvestment of cash distributions 127 5 -- -- 2 4
Cost of shares repurchased (391,283) (41,198) -- -- (192,035) (135,723)
---------- ---------- -------- -------- --------- ---------
Increase (decrease) in net assets
from Class B transactions 152,926 15,541 -- -- (18,243) 22,229
---------- ---------- -------- -------- --------- ---------
Class C:
Proceeds from shares issued -- 3,479 40,529 -- 8,448 --
Reinvestment of cash distributions -- -- -- -- 73 --
Cost of shares repurchased -- (24,085) (25,839) -- (4,586) --
---------- ---------- -------- -------- --------- ---------
Increase (decrease) in net assets
from Class C transactions -- (20,606) 14,690 -- 3,935 --
---------- ---------- -------- -------- --------- ---------
INCREASE (DECREASE) IN NET ASSETS DERIVED
FROM CAPITAL SHARE TRANSACTIONS (183,831) 232,276 30,371 (7,164) 6,167 55,485
---------- ---------- -------- -------- --------- ---------
Net increase (decrease) in net assets (183,737) 232,138 30,382 (7,167) 6,270 55,580
---------- ---------- -------- -------- --------- ---------
NET ASSETS:
Beginning of Period 2,800,178 2,568,040 39,129 46,296 442,362 386,782
---------- ---------- -------- -------- --------- ---------
End of Period $2,616,441 $2,800,178 $ 69,511 $ 39,129 $ 448,632 $ 442,362
========== ========== ======== ======== ========= =========
<FN>
(1) GOVERNMENT PORTFOLIO REOPENED ON APRIL 7, 1994.
AMOUNTS DESIGNATED AS "--" ARE EITHER $0 OR HAVE BEEN ROUNDED TO $0.
</FN>
</TABLE>
25
<PAGE>
STATEMENTS OF CHANGES IN NET ASSETS (000)
===============================================================================
SEI DAILY INCOME TRUST--FOR THE YEARS ENDED JANUARY 31
<TABLE>
<CAPTION>
------------------ -------------------
INTERMEDIATE-
SHORT-TERM TERM
GOVERNMENT GOVERNMENT
------------------ -------------------
1996 1995 1996 1995
------------------ -------------------
<S> <C> <C> <C> <C>
OPERATIONS:
Net investment income $ 4,890 $ 4,639 $ 11,693 $ 15,663
Net realized gain (loss) from security transactions (210) (1,375) 1,392 (8,331)
Net change in unrealized appreciation (depreciation) of investments 3,207 (2,532) 13,934 (16,030)
------- -------- -------- --------
Net increase (decrease) in net assets resulting from operations 7,887 732 27,019 (8,698)
------- -------- -------- --------
DIVIDENDS DISTRIBUTED FROM:
Net investment income:
Class A (4,882) (4,636) (11,683) (15,655)
Class B (7) (3) (5) (3)
Class D (1) -- (5) (7)
Net Realized Gains:
Class A -- (143) -- (2,132)
Class B -- -- -- (1)
Class D -- -- -- (1)
------- -------- -------- --------
Total dividends distributed (4,890) (4,782) (11,693) (17,799)
------- -------- -------- --------
CAPITAL SHARE TRANSACTIONS:
Class A:
Proceeds from shares issued 54,202 61,290 35,080 109,590
Reinvestment of cash distributions 1,484 1,556 1,840 2,663
Cost of shares repurchased (84,705) (87,404) (130,929) (178,914)
------- -------- -------- --------
Increase (decrease) in net assets from Class A transactions (29,019) (24,558) (94,009) (66,661)
------- -------- -------- --------
Class B:
Proceeds from shares issued 1 112 -- 96
Reinvestment of cash distributions -- -- -- --
Cost of shares repurchased (98) (15) (96) --
------- -------- -------- --------
Increase (decrease) in net assets from Class B transactions (97) 97 (96) 96
------- -------- -------- --------
Class D:
Proceeds from shares issued 11 -- 26 142
Reinvestment of cash distributions -- -- 4 7
Cost of shares repurchased -- -- (76) (145)
------- -------- -------- --------
Increase (decrease) in net assets from Class D transactions 11 -- (46) 4
------- -------- -------- --------
INCREASE (DECREASE) IN NET ASSETS DERIVED FROM CAPITAL SHARE TRANSACTIONS (29,105) (24,461) (94,151) (66,561)
------- -------- -------- --------
Net increase (decrease) in net assets (26,108) (28,511) (78,825) (93,058)
------- -------- -------- --------
NET ASSETS:
Beginning of Period 99,589 128,100 243,863 336,921
------- -------- -------- --------
End of Period $73,481 $ 99,589 $165,038 $243,863
======= ======== ======== ========
CAPITAL SHARE TRANSACTIONS:
Class A:
Shares issued 5,451 6,239 3,585 11,387
Shares issued in lieu of cash distributions 149 159 188 280
Shares repurchased (8,542) (8,911) (13,494) (18,803)
------- -------- -------- --------
Total Class A transactions (2,942) (2,513) (9,721) (7,136)
------- -------- -------- --------
Class B:
Shares issued -- 11 -- 10
Shares issued in lieu of cash distributions -- -- -- --
Shares repurchased (10) (1) (10) --
------- -------- -------- --------
Total Class B transactions (10) 10 (10) 10
------- -------- -------- --------
Class D:
Shares issued 1 -- 3 14
Shares issued in lieu of cash distributions -- -- -- 1
Shares repurchased -- -- (8) (15)
------- -------- -------- --------
Total Class D transactions 1 -- (5) --
------- -------- -------- --------
Increase (decrease) in capital shares (2,951) (2,503) (9,736) (7,126)
======= ======== ======== ========
Distributions in excess of net investment income $ -- $ -- $ -- $ --
======= ======== ======== ========
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
26
<PAGE>
<TABLE>
<CAPTION>
------------------ ------------------ -----------------
CORPORATE
DAILY SHORT-TERM
GNMA INCOME MORTGAGE
------------------ ------------------ -----------------
1996 1995 1996 1995 1996 1995
------------------ ------------------ -----------------
<S> <C> <C> <C> <C> <C> <C>
OPERATIONS:
Net investment income $ 10,622 $ 16,746 $ 3,164 $ 1,997 $ 174 $ 241
Net realized gain (loss) from security transactions (1,931) (9,770) 530 (367) 44 (148)
Net change in unrealized appreciation (depreciation)
of investments 13,217 (14,407) 737 (442) 31 12
-------- -------- ------- ------- ------ ------
Net increase (decrease) in net assets resulting
from operations 21,908 (7,431) 4,431 1,188 249 105
-------- -------- ------- ------- ------ ------
DIVIDENDS DISTRIBUTED FROM:
Net investment income:
Class A (10,609) (16,618) (3,164) (1,997) (176) (241)
Class B (1) (1) -- -- -- --
Class D (12) (10) -- -- -- --
Net Realized Gains:
Class A -- (66) (168) -- -- --
Class B -- -- -- -- -- --
Class D -- -- -- -- -- --
-------- -------- ------- ------- ------ ------
Total dividends distributed (10,622) (16,695) (3,332) (1,997) (176) (241)
-------- -------- ------- ------- ------ ------
CAPITAL SHARE TRANSACTIONS:
Class A:
Proceeds from shares issued 35,784 96,860 33,220 51,564 1,707 5,704
Reinvestment of cash distributions 2,093 3,898 1,876 1,071 53 95
Cost of shares repurchased (94,982) (156,581) (38,151) (44,986) (3,625) (5,977)
-------- -------- ------- ------- ------ ------
Increase (decrease) in net assets from
Class A transactions (57,105) (55,823) (3,055) 7,649 (1,865) (178)
-------- -------- ------- ------- ------ ------
Class B:
Proceeds from shares issued -- 28 -- -- -- --
Reinvestment of cash distributions -- -- -- -- -- --
Cost of shares repurchased -- (14) -- -- -- --
-------- -------- ------- ------- ------ ------
Increase (decrease) in net assets from
Class B transactions -- 14 -- -- -- --
-------- -------- ------- ------- ------ ------
Class D:
Proceeds from shares issued 17 47 -- -- -- --
Reinvestment of cash distributions 10 8 -- -- -- --
Cost of shares repurchased (49) (7) -- -- -- --
-------- -------- ------- ------- ------ ------
Increase (decrease) in net assets
from Class D transactions (22) 48 -- -- -- --
-------- -------- ------- ------- ------ ------
INCREASE (DECREASE) IN NET ASSETS DERIVED FROM
CAPITAL SHARE TRANSACTIONS (57,127) (55,761) (3,055) 7,649 (1,865) (178)
-------- -------- ------- ------- ------ ------
Net increase (decrease) in net assets (45,841) (79,887) (1,956) 6,840 (1,792) (314)
-------- -------- ------- ------- ------ ------
NET ASSETS:
Beginning of Period 182,408 262,295 50,495 43,655 3,607 3,921
-------- -------- ------- ------- ------ ------
End of Period $136,567 $182,408 $48,539 $50,495 $1,815 $3,607
======== ======== ======= ======= ====== ======
CAPITAL SHARE TRANSACTIONS:
Class A:
Shares issued 3,727 10,398 16,731 26,175 174 584
Shares issued in lieu of cash distributions 218 421 942 544 6 10
Shares repurchased (9,957) (16,985) (19,144) (22,845) (370) (616)
-------- -------- ------- ------- ------ ------
Total Class A transactions (6,012) (6,166) (1,471) 3,874 (190) (22)
-------- -------- ------- ------- ------ ------
Class B:
Shares issued -- 3 -- -- -- --
Shares issued in lieu of cash distributions -- -- -- -- -- --
Shares repurchased -- (1) -- -- -- --
-------- -------- ------- ------- ------ ------
Total Class B transactions -- 2 -- -- -- --
-------- -------- ------- ------- ------ ------
Class D:
Shares issued 2 5 -- -- -- --
Shares issued in lieu of cash distributions 1 1 -- -- -- --
Shares repurchased (5) (1) -- -- -- --
-------- -------- ------- ------- ------ ------
Total Class D transactions (2) 5 -- -- -- --
-------- -------- ------- ------- ------ ------
Increase (decrease) in capital shares (6,014) (6,159) (1,471) 3,874 (190) (22)
======== ======== ======= ======= ====== ======
Distributions in excess of net investment income $ -- $ -- $ -- $ -- $ (2) $ --
======== ======== ======= ======= ====== ======
</TABLE>
27
<PAGE>
FINANCIAL HIGHLIGHTS
===============================================================================
SEI DAILY INCOME TRUST--FOR THE PERIOD ENDED JANUARY 31, 1996
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
<TABLE>
<CAPTION>
NET
REALIZED
AND
UNREALIZED DISTRIBUTIONS NET
NET ASSET GAINS DISTRIBUTIONS FROM ASSET
VALUE NET (LOSSES) FROM NET REALIZED VALUE
BEGINNING INVESTMENT ON INVESTMENT CAPITAL END OF
OF PERIOD INCOME SECURITIES INCOME GAINS PERIOD
- ----------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
- ----------------------
MONEY MARKET PORTFOLIO
- ----------------------
CLASS A
1996 $1.00 $0.06 $-- $(0.06) $-- $1.00
1995 1.00 0.04 -- (0.04) -- 1.00
1994 1.00 0.03 -- (0.03) -- 1.00
1993 1.00 0.04 -- (0.04) -- 1.00
1992 1.00 0.06 -- (0.06) -- 1.00
CLASS B
1996 1.00 0.06 -- (0.06) -- 1.00
1995 1.00 0.04 -- (0.04) -- 1.00
1994 1.00 0.03 -- (0.03) -- 1.00
1993 1.00 0.04 -- (0.04) -- 1.00
1992 1.00 0.05 -- (0.05) -- 1.00
CLASS C
1996(1) 1.00 0.04 -- (0.04) -- 1.00
- --------------------
GOVERNMENT PORTFOLIO
- --------------------
CLASS A
1996(2) $1.00 $0.01 $-- $(0.01) $-- $1.00
1994(3) 1.00 0.01 -- (0.01) -- 1.00
1993(4) 1.00 0.03 -- (0.03) -- 1.00
CLASS B
1996(5) 1.00 0.02 -- (0.02) -- 1.00
CLASS C
1996 1.00 0.05 -- (0.05) -- 1.00
1995(6) 1.00 0.03 -- (0.03) -- 1.00
- -----------------------
GOVERNMENT II PORTFOLIO
- -----------------------
CLASS A
1996 $1.00 $0.06 $-- $(0.06) $-- $1.00
1995 1.00 0.04 -- (0.04) -- 1.00
1994 1.00 0.03 -- (0.03) -- 1.00
1993 1.00 0.04 -- (0.04) -- 1.00
1992 1.00 0.06 -- (0.06) -- 1.00
CLASS B
1996 1.00 0.05 -- (0.05) -- 1.00
1995 1.00 0.04 -- (0.04) -- 1.00
1994 1.00 0.03 -- (0.03) -- 1.00
1993 1.00 0.03 -- (0.03) -- 1.00
1992 1.00 0.05 -- (0.05) -- 1.00
- --------------------------
PRIME OBLIGATION PORTFOLIO
- --------------------------
CLASS A
1996 $1.00 $0.06 $-- $(0.06) $-- $1.00
1995 1.00 0.04 -- (0.04) -- 1.00
1994 1.00 0.03 -- (0.03) -- 1.00
1993 1.00 0.04 -- (0.04) -- 1.00
1992 1.00 0.06 -- (0.06) -- 1.00
CLASS B
1996 1.00 0.06 -- (0.06) -- 1.00
1995 1.00 0.04 -- (0.04) -- 1.00
1994 1.00 0.03 -- (0.03) -- 1.00
1993 1.00 0.04 -- (0.04) -- 1.00
1992(7) 1.00 0.04 -- (0.04) -- 1.00
CLASS C
1995(8) 1.00 0.03 -- (0.03) -- 1.00
1994 1.00 0.03 -- (0.03) -- 1.00
1993(9) 1.00 0.03 -- (0.03) -- 1.00
</TABLE>
<TABLE>
<CAPTION>
RATIO OF
NET
RATIO OF INVESTMENT
RATIO OF RATIO OF EXPENSES INCOME
NET EXPENSES NET TO TO
ASSETS TO INVESTMENT AVERAGE AVERAGE
END OF AVERAGE INCOME NET ASSETS NET ASSETS
TOTAL PERIOD NET TO AVERAGE (EXCLUDING (EXCLUDING
RETURN (000) ASSETS NET ASSETS WAIVERS) WAIVERS)
- ------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
- ----------------------
MONEY MARKET PORTFOLIO
- ----------------------
CLASS A
1996 5.98% $ 95,891 0.20% 5.88% 0.45% 5.63%
1995 4.55 213,988 0.21 4.49 0.45 4.25
1994 2.98 203,803 0.35 2.95 0.44 2.86
1993 3.60 264,450 0.35 3.56 0.39 3.52
1992 5.76 312,151 0.35 5.84 0.39 5.80
CLASS B
1996 5.67 6,616 0.50 5.53 0.75 5.28
1995 4.24 6,314 0.51 4.49 0.75 4.25
1994 2.68 2,334 0.65 2.65 0.74 2.56
1993 3.29 309 0.65 3.47 0.69 3.43
1992 5.45 2,305 0.53 5.18 0.61 5.10
CLASS C
1996(1) 3.79(DAGGER) 2,460 0.70 5.17 0.96 4.91
- --------------------
GOVERNMENT PORTFOLIO
- --------------------
CLASS A
1996(2) 1.48%(DAGGER) $ 48,762 0.20% 5.55% 0.33% 5.42%
1994(3) 3.22 -- 0.20 3.04 0.37 2.87
1993(4) 3.19 20,022 0.20 3.41 0.38 3.23
CLASS B
1996(5) 2.39(DAGGER) 14,997 0.50 5.27 0.63 5.14
CLASS C
1996 5.39(DAGGER) 542,936 0.70 5.23 0.84 5.09
1995(6) 3.41(DAGGER) 310,835 0.70 4.32 0.89 4.13
- -----------------------
GOVERNMENT II PORTFOLIO
- -----------------------
CLASS A
1996 5.83% $810,365 0.20% 5.69% 0.29% 5.60%
1995 4.39 786,405 0.20 4.33 0.30 4.23
1994 3.02 738,040 0.20 2.98 0.29 2.89
1993 3.57 664,540 0.20 3.48 0.29 3.39
1992 5.73 534,303 0.20 5.56 0.28 5.48
CLASS B
1996 5.52 19,678 0.50 5.41 0.59 5.32
1995 4.08 15,201 0.50 4.33 0.60 4.23
1994 2.71 21,462 0.50 2.68 0.60 2.58
1993 3.26 338 0.50 3.35 0.59 3.26
1992 5.02 1,906 0.48 4.75 0.59 4.64
- --------------------------
PRIME OBLIGATION PORTFOLIO
- --------------------------
CLASS A
1996 5.96% $2,441,662 0.20% 5.82% 0.29% 5.73%
1995 4.46 2,778,326 0.20 4.41 0.30 4.31
1994 3.10 2,541,126 0.20 3.07 0.28 2.98
1993 3.72 2,564,340 0.20 3.62 0.30 3.52
1992 5.97 1,661,619 0.20 5.73 0.29 5.64
CLASS B
1996 5.65 174,779 0.50 5.38 0.58 5.30
1995 4.15 21,852 0.50 4.55 0.60 4.45
1994 2.79 6,312 0.50 2.77 0.58 2.68
1993 3.41 4,699 0.47 3.63 0.53 3.57
1992(7) 5.58 67,016 0.50 4.98 0.59 4.89
CLASS C
1995(8) 2.55(DAGGER) -- 0.70 2.79 0.77 2.72
1994 2.59 20,602 0.70 2.57 0.78 2.48
1993(9) 3.13 85,325 0.70 3.05 0.83 2.92
</TABLE>
28
<PAGE>
<TABLE>
<CAPTION>
NET
REALIZED
AND
UNREALIZED DISTRIBUTIONS NET
NET ASSET GAINS DISTRIBUTIONS FROM ASSET
VALUE NET (LOSSES) FROM NET REALIZED VALUE
BEGINNING INVESTMENT ON INVESTMENT CAPITAL END OF
OF PERIOD INCOME SECURITIES INCOME GAINS PERIOD
- ----------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
- -------------------------------------------------------------------------------
- ------------------
TREASURY PORTFOLIO
- ------------------
CLASS A
1996 $1.00 $0.06 $-- $(0.06) $-- $1.00
1995 1.00 0.04 -- (0.04) -- 1.00
1994 1.00 0.03 -- (0.03) -- 1.00
1993(10) 1.00 0.01 -- (0.01) -- 1.00
CLASS C
1996(11) 1.00 0.03 -- (0.03) -- 1.00
- ---------------------
TREASURY II PORTFOLIO
- ---------------------
CLASS A
1996 $1.00 $0.05 $-- $(0.05) $-- $1.00
1995 1.00 0.04 -- (0.04) -- 1.00
1994 1.00 0.03 -- (0.03) -- 1.00
1993 1.00 0.03 -- (0.03) -- 1.00
1992 1.00 0.06 -- (0.06) -- 1.00
CLASS B
1996 1.00 0.05 -- (0.05) -- 1.00
1995 1.00 0.04 -- (0.04) -- 1.00
1994 1.00 0.03 -- (0.03) -- 1.00
1993 1.00 0.03 -- (0.03) -- 1.00
1992 1.00 0.05 -- (0.05) -- 1.00
CLASS C
1996(12) 1.00 0.04 -- (0.04) -- 1.00
</TABLE>
<TABLE>
<CAPTION>
RATIO OF
NET
RATIO OF INVESTMENT
RATIO OF RATIO OF EXPENSES INCOME
NET EXPENSES NET TO TO
ASSETS TO INVESTMENT AVERAGE AVERAGE
END OF AVERAGE INCOME NET ASSETS NET ASSETS
TOTAL PERIOD NET TO AVERAGE (EXCLUDING (EXCLUDING
RETURN (000) ASSETS NET ASSETS WAIVERS) WAIVERS)
- ------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
CLASS A
1996 5.89% $ 54,820 0.20% 5.72% 0.36% 5.56%
1995 4.29 39,129 0.20 4.17 0.34 4.03
1994 3.00 46,296 0.20 2.96 0.33 2.82
1993(10) 2.91 44,624 0.20 2.89 0.42 2.67
CLASS C
1996(11) 2.68(DAGGER) 14,691 0.70 5.12 0.87 4.95
- ---------------------
TREASURY II PORTFOLIO
- ---------------------
CLASS A
1996 5.58% $418,250 0.25% 5.44% 0.34% 5.35%
1995 4.17 397,682 0.25 4.11 0.35 4.01
1994 2.88 364,334 0.25 2.84 0.34 2.76
1993 3.46 352,435 0.25 3.40 0.34 3.31
1992 5.48 282,535 0.25 5.43 0.31 5.37
CLASS B
1996 5.27 26,447 0.55 5.18 0.64 5.09
1995 3.86 44,680 0.55 3.71 0.65 3.61
1994 2.57 22,448 0.55 2.54 0.64 2.46
1993 3.15 6,038 0.55 3.42 0.64 3.33
1992 5.16 102,182 0.55 4.97 0.61 4.91
CLASS C
1996(12) 3.64(DAGGER) 3,935 0.75 4.85 0.84 4.76
<FN>
(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 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 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 FULLY LIQUIDATED OCTOBER 27, 1994. ALL RATIOS FOR THAT PERIOD HAVE BEEN ANNUALIZED.
9 PRIME OBLIGATION CLASS C SHARES WERE OFFERED BEGINNING MARCH 25, 1992. ALL RATIOS INCLUDING TOTAL RETURN FOR THAT PERIOD
HAVE BEEN ANNUALIZED.
10 TREASURY CLASS A SHARES WERE OFFERED BEGINNING SEPTEMBER 30, 1992. ALL RATIOS INCLUDING TOTAL RETURN FOR THAT PERIOD HAVE
BEEN ANNUALIZED.
11 TREASURY CLASS C SHARES WERE OFFERED BEGINNING JULY 27, 1995. ALL RATIOS FOR THAT PERIOD HAVE BEEN ANNUALIZED.
12 TREASURY II CLASS 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.
29
<PAGE>
FINANCIAL HIGHLIGHTS (Continued)
===============================================================================
SEI DAILY INCOME TRUST--FOR THE PERIOD ENDED JANUARY 31, 1996 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
OF PERIOD INCOME ON SECURITIES INCOME GAINS OF PERIOD
- ---------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
- -------------------------------
SHORT-TERM GOVERNMENT PORTFOLIO
- -------------------------------
CLASS A
1996 $ 9.73 $0.61 $0.36 $(0.61) $ -- $10.09
1995 10.06 0.40 (0.32) (0.40) (0.01) 9.73
1994 10.13 0.40 0.04 (0.40) (0.11) 10.06
1993 10.09 0.52 0.14 (0.52) (0.10) 10.13
1992 9.82 0.68 0.27 (0.68) -- 10.09
CLASS B
1996 9.71 0.58 0.36 (0.58) -- 10.07
1995 10.04 0.38 (0.32) (0.38) (0.01) 9.71
1994 10.13 0.37 0.02 (0.37) (0.11) 10.04
1993 10.09 0.48 0.14 (0.48) (0.10) 10.13
1992 9.82 0.65 0.27 (0.65) -- 10.09
CLASS D**
1996(1) 9.83 0.54 0.26 (0.54) -- 10.09
- --------------------------------------
INTERMEDIATE-TERM GOVERNMENT PORTFOLIO
- --------------------------------------
CLASS A
1996 $ 9.33 $0.60 $0.73 $(0.60) $ -- $10.06
1995 10.13 0.50 (0.73) (0.50) (0.07) 9.33
1994 10.23 0.54 0.11 (0.54) (0.21) 10.13
1993 10.06 0.62 0.28 (0.62) (0.11) 10.23
1992 9.75 0.70 0.40 (0.70) (0.09) 10.06
CLASS B
1996(2) 9.33 0.50 0.65 (0.50) -- 9.98
1995(3) 9.64 0.31 (0.24) (0.31) (0.07) 9.33
CLASS D**
1996 9.32 0.56 0.73 (0.56) -- 10.05
1995 10.13 0.47 (0.74) (0.47) (0.07) 9.32
1994(4) 10.44 0.17 (0.10) (0.17) (0.21) 10.13
- --------------
GNMA PORTFOLIO
- --------------
CLASS A
1996 $ 9.17 $0.67 $0.67 $(0.67) $ -- $ 9.84
1995 10.07 0.64 (0.90) (0.64) -- 9.17
1994 10.22 0.66 (0.06) (0.66) (0.09) 10.07
1993 9.99 0.75 0.27 (0.75) (0.04) 10.22
1992 9.61 0.79 0.38 (0.79) -- 9.99
CLASS B
1996 9.17 0.64 0.67 (0.64) -- 9.84
1995(5) 9.16 0.35 0.01 (0.35) -- 9.17
CLASS D**
1996 9.16 0.63 0.67 (0.63) -- 9.83
1995 10.09 0.61 (0.93) (0.61) -- 9.16
1994(6) 10.22 0.19 (0.04) (0.19) (0.09) 10.09
- --------------------------------
CORPORATE DAILY INCOME PORTFOLIO
- --------------------------------
CLASS A
1996 $1.96 $0.12 $0.05 $(0.12) $(0.01) $2.00
1995 2.00 0.09 (0.04) (0.09) -- 1.96
1994(7) 2.00 0.02 -- (0.02) -- 2.00
</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
TOTAL END OF TO AVERAGE TO AVERAGE (EXCLUDING (EXCLUDING TURNOVER
RETURN PERIOD (000) NET ASSETS NET ASSETS WAIVERS) WAIVERS) RATE
- ---------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
- -------------------------------
SHORT-TERM GOVERNMENT PORTFOLIO
- -------------------------------
CLASS A
1996 10.27% $ 73,431 0.45% 6.13% 0.53% 6.05% 184%
1995 0.93 99,458 0.45 4.12 0.52 4.05 45
1994 4.41 128,063 0.45 3.98 0.52 3.91 105
1993 6.66 100,153 0.45 5.04 0.55 4.94 80
1992 10.00 63,194 0.45 6.82 0.56 6.71 36
CLASS B
1996 9.94 39 0.75 5.85 0.83 5.77 184
1995 0.70 131 0.75 3.92 0.82 3.85 45
1994 3.93 37 0.75 3.67 0.82 3.60 105
1993 6.34 135 0.75 4.74 0.85 4.64 80
1992 9.68 135 0.75 6.52 0.85 6.42 36
CLASS D**
1996(1) 8.31(DAGGER) 11 0.85 5.86 0.93 5.78 184
- --------------------------------------
INTERMEDIATE-TERM GOVERNMENT PORTFOLIO
- --------------------------------------
CLASS A
1996 14.60% $164,978 0.45% 6.12% 0.53% 6.04% 115%
1995 (2.19) 243,671 0.45 5.20 0.52 5.13 61
1994 6.44 336,814 0.45 5.24 0.53 5.16 56
1993 9.51 259,488 0.45 6.16 0.53 6.08 52
1992 11.44 199,901 0.45 7.08 0.54 6.99 62
CLASS B
1996(2) 12.26(DAGGER) -- 0.75 5.82 0.83 5.74 115
1995(3) 0.61(DAGGER) 93 0.75 5.07 0.83 4.99 61
CLASS D**
1996 14.15 60 0.85 5.73 0.93 5.65 115
1995 (2.61) 99 0.84 4.80 0.92 4.72 61
1994(4) 1.52 107 0.75 4.94 0.83 4.86 56
- --------------
GNMA PORTFOLIO
- --------------
CLASS A
1996 15.06% $136,394 0.49% 7.04% 0.51% 7.02% 20%
1995 (2.46) 182,225 0.47 6.89 0.50 6.86 85
1994 6.09 262,162 0.45 6.38 0.50 6.32 70
1993 10.92 193,204 0.45 7.49 0.52 7.42 23
1992 12.49 120,712 0.45 8.09 0.52 8.02 9
CLASS B
1996 14.72 15 0.79 6.71 0.81 6.69 20
1995(5) 4.00(DAGGER) 14 0.79 6.80 0.82 6.77 85
CLASS D**
1996 14.61 158 0.89 6.62 0.91 6.60 20
1995 (3.04) 169 0.86 6.54 0.89 6.51 85
1994(6) 4.24 133 0.75 6.06 0.80 6.01 70
- --------------------------------
CORPORATE DAILY INCOME PORTFOLIO
- --------------------------------
CLASS A
1996 8.65% $48,539 0.35% 5.97% 0.55% 5.77% 295%
1995 2.59 50,495 0.35 4.60 0.55 4.40 147
1994(7) 3.45 43,655 0.35 3.45 0.63 3.18 34
</TABLE>
30
<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
OF PERIOD INCOME ON SECURITIES INCOME GAINS OF PERIOD
- ---------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
- -----------------------------
SHORT-TERM MORTGAGE PORTFOLIO
- -----------------------------
CLASS A
1996 $ 9.64 $0.63 $0.25 $(0.64) $ -- $9.88
1995 9.90 0.48 (0.24) (0.48) (0.02) 9.64
1994(8) 10.00 0.22 (0.10) (0.22) -- 9.90
</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
TOTAL END OF TO AVERAGE TO AVERAGE (EXCLUDING (EXCLUDING TURNOVER
RETURN PERIOD (000) NET ASSETS NET ASSETS WAIVERS) WAIVERS) RATE
- ---------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
- -----------------------------
SHORT-TERM MORTGAGE PORTFOLIO
- -----------------------------
CLASS A
1996 9.43% $1,815 0.45% 6.50% 0.80% 6.15% 356%
1995 2.29 3,607 0.45 4.90 0.64 4.71 741
1994(8) 1.84 3,921 0.45 3.16 0.93 2.68 166
<FN>
(DAGGER) RETURNS ARE FOR THE PERIOD INDICATED AND HAVE NOT BEEN ANNUALIZED.
** TOTAL RETURN DOES NOT REFLECT THE SALES CHARGE ON THE CLASS D (FORMERLY PRO VANTAGE) SHARES.
1 SHORT-TERM GOVERNMENT CLASS D SHARES WERE OFFERED BEGINNING FEBRUARY 28, 1995. ALL RATIOS FOR THAT PERIOD HAVE BEEN
ANNUALIZED.
2 INTERMEDIATE-TERM GOVERNMENT CLASS B SHARES WERE FULLY LIQUIDATED DECEMBER 22, 1995. ALL RATIOS FOR THAT PERIOD HAVE
BEEN ANNUALIZED.
3 INTERMEDIATE-TERM GOVERNMENT CLASS B SHARES WERE OFFERED BEGINNING JUNE 8, 1994. ALL RATIOS FOR THAT PERIOD HAVE BEEN
ANNUALIZED.
4 INTERMEDIATE-TERM GOVERNMENT CLASS D SHARES WERE OFFERED BEGINNING SEPTEMBER 26, 1993. ALL RATIOS INCLUDING TOTAL RETURN
FOR THAT PERIOD HAVE BEEN ANNUALIZED.
5 GNMA CLASS B SHARES WERE OFFERED BEGINNING JULY 12, 1994. ALL RATIOS FOR THAT PERIOD HAVE BEEN ANNUALIZED.
6 GNMA CLASS D SHARES WERE OFFERED BEGINNING SEPTEMBER 30, 1993. ALL RATIOS INCLUDING TOTAL RETURN FOR THAT PERIOD HAVE BEEN
ANNUALIZED.
7 CORPORATE DAILY INCOME CLASS A SHARES WERE OFFERED BEGINNING SEPTEMBER 28, 1993. ALL RATIOS INCLUDING TOTAL RETURN FOR
THAT PERIOD HAVE BEEN ANNUALIZED.
8 SHORT-TERM MORTGAGE CLASS A SHARES WERE OFFERED BEGINNING MAY 20, 1993. ALL RATIOS INCLUDING TOTAL RETURN FOR THAT PERIOD
HAVE BEEN ANNUALIZED. PRIOR TO JUNE 30, 1994, BEAR STEARNS ASSET MANAGEMENT SERVED AS THE INVESTMENT ADVISER.
</FN>
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
31
<PAGE>
NOTES TO FINANCIAL STATEMENTS
===============================================================================
SEI DAILY INCOME TRUST-- JANUARY 31, 1996
1. ORGANIZATION
SEI Daily Income Trust (the "Trust") was organized as a Massachusetts business
trust under a Declaration of Trust dated March 15, 1982.
The Trust is registered under the Investment Company Act of 1940, as
amended, as a diversified, open-end investment company with eleven operational
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-Term Government
Portfolio, the Intermediate-Term Government Portfolio, the GNMA Portfolio, the
Corporate Daily Income Portfolio and the Short-Term Mortgage 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 July 15, 1994, the Federal Securities
Portfolio closed and all of the outstanding shares
of the Portfolio were redeemed. SEI Financial Management Corporation, the
Manager of the Portfolio, voluntarily agreed to bear the costs associated with
the liquidation of the Portfolio which approximated $9,000.
2. SIGNIFICANT ACCOUNTING POLICIES
The following is a summary of significant accounting policies followed by the
Portfolios.
SECURITY VALUATION--Investment securities of the "Money Market Portfolios"
are stated at amortized cost which approximates market value. Under this
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.
In accordance with Statement of Position 93-2, "Determination, Disclosure,
and Financial Statement Presentation of Income, Capital Gain, and Return of
Capital Distribution by Investment Companies," $126,900 and $94,600 relating to
permanent differences attributable to classifying short-term capital gains as
ordinary income for tax purposes of the Short-Term Government and GNMA Funds,
respectively, as of January 31, 1996 have been reclassified between the Fund's
paid-in capital, accumulated net realized gains/losses and undistributed net
investment income accounts.
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
32
<PAGE>
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
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.
The Trust and SEI Financial Management Corporation (the "Manager") are
parties to a Management Agreement dated May 23, 1986 under which 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-Term Government, Intermediate-Term Government, Corporate
Daily Income and Short-Term Mortgage Portfolios; 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):
<TABLE>
<CAPTION>
MONEY PRIME
MARKET GOV'T GOV'T II OBLIGATION TREASURY TREASURY II
------ ----- -------- ---------- -------- -----------
<S> <C> <C> <C> <C> <C> <C>
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%
</TABLE>
In the event that the total annual expenses of a Portfolio, after
reflecting a waiver of all fees by the Manager and Adviser, exceed the specified
limitation, the Manager has agreed to bear such excess.
SEI Financial Services Company ("the Distributor"), a wholly-owned
subsidiary of SEI Corporation and a registered broker-dealer, acts as the
distributor of the shares of the Trust under distribution plans which provide
for the Trust to reimburse the Distributor for certain distribution-related
expenses incurred by the Distributor. Such expenses
33
<PAGE>
NOTES TO FINANCIAL STATEMENTS (Continued)
===============================================================================
SEI DAILY INCOME TRUST-- JANUARY 31, 1996
may not exceed .30% of the average daily net assets of a Portfolio, provided
those expenses are permissible as to both type and amount under a budget
approved and monitored by the Board of Trustees.
In addition to providing for the reimbursement payments described above,
the Class B, Class C and Class D distribution plans provide for additional
payments to the Distributor. This additional payment may be used to compensate
financial institutions that provide distribution-related expenses for the Class
B, Class C and Class D shares of the Portfolios and may not exceed .60%, .80%
and .60%, respectively.
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-Term Government, Intermediate-Term Government and GNMA Portfolios.
Monthly fees are equal to .10% of the Portfolios' combined average daily net
assets up to $500 million, .075% of the next $500 million of such assets and
.05% of such net assets in excess of $1 billion. The Adviser has voluntarily
agreed to waive its remaining fee in an amount proportionate to the Manager's
waiver of its fee. Pursuant to an Investment Advisory Agreement dated August 4,
1993, Wellington Management Company serves as Investment Adviser for the
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 serves as the Investment Adviser of
the Trust on behalf of the Short-Term Mortgage Portfolio for a monthly fee equal
to .10% of the Portfolio's average daily net assets.
For the period of November 15, 1983 to July 31, 1995, Comerica Bank
(formerly Manufacturers National Bank of Detroit) acted as custodian of the
Money Market Portfolio's securities under an agreement dated September 22, 1983.
For the period of September 30, 1992 to July 31, 1995, CoreStates Bank, N.A.
acted as custodian of the Treasury Portfolio's securities under an agreement
dated August 30, 1985. Effective August 1, 1995, Bank of New York began serving
as custodian of the Money Market and Treasury Portfolio's securities under an
agreement dated August 1, 1995. CoreStates Bank, N.A. acts as the 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.
34
<PAGE>
5. INVESTMENT TRANSACTIONS
The cost of security purchases and the proceeds from the sale of securities,
other than temporary investments in short-term securities for the period ended
January 31, 1996, were as follows for the "Fixed Income Portfolios":
<TABLE>
<CAPTION>
INTER-
SHORT- MEDIATE-
TERM TERM CORPORATE SHORT-
GOVERN- GOVERN- DAILY TERM
MENT MENT GNMA INCOME MORTGAGE
(000) (000) (000) (000) (000)
------- -------- ----- -------- -------
<S> <C> <C> <C> <C> <C>
PURCHASES
U.S.
Government $103,978 $207,106 $28,476 $66,378 $5,309
Other -- -- -- 10,637 --
SALES
U.S.
Government $141,677 $304,840 $80,064 $65,655 $7,059
Other -- -- -- 10,377 --
</TABLE>
At January 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
January 31, 1996 for each "Fixed Income Portfolio" is as follows (in thousands):
<TABLE>
<CAPTION>
INTERMEDIATE- CORPORATE
SHORT-TERM TERM DAILY SHORT-TERM
GOVERNMENT GOVERNMENT GNMA INCOME MORTGAGE
---------- ------------- ------ -------- ----------
<S> <C> <C> <C> <C> <C>
Aggregate
gross
unrealized
gain $1,164 $4,598 $3,025 $335 $41
Aggregate
gross
unrealized
loss (26) (30) (543) (54) --
------ ------ ------ ----- ---
Net
unrealized
gain $1,138 $4,568 $2,482 $281 $41
====== ====== ====== ===== ===
</TABLE>
6. CAPITAL LOSS CARRYFORWARDS
At January 31, 1996 the following funds have capital loss carryforwards:
EXPIRATION
AMOUNT DATE
---------- ----------
Money Market $ 731 2003
Government II 32,234 2001
58,412 2002
84,628 2003
Prime Obligation 45,241 2003
Short-Term Government 407,299 2003
1,176,473 2004
Intermediate-Term Government 3,551,432 2003
3,199,945 2004
GNMA 5,227,577 2003
6,472,568 2004
Short-Term Mortgage 93,041 2003
16,758 2004
Subsequent to October 31, 1995, the Portfolios recognized net capital
losses for tax purposes that have been deferred to 1996 and can be used to
offset future capital gains at January 31, 1996.
POST OCTOBER 31, 1995 LOSSES
----------------------------
Treasury II $26,900
Corporate Daily Income 6,239
7. SHAREHOLDER VOTING RESULTS
There was a special meeting scheduled for July 28, 1995 at which the
shareholders of the Money Market and Prime Obligation Portfolios (the
"Portfolios") voted on a series of proposals (the "Proposals"). With respect to
the Prime Obligation Portfolio, the meeting was adjourned until August 3, 1995.
Proposal III related solely to the Money Market Portfolio. Each Proposal and the
results
of the shareholder meeting are set forth below (unaudited):
I. Proposal to approve the elimination of the fundamental policy requiring
each portfolio to invest its assets solely in the securities listed as
appropriate investments.
PRIME
MONEY OBLIGATION
MARKET PORTFOLIO PORTFOLIO
---------------- -----------------
For 145,629,802.00 1,583,847,565.17
Against 1,648,601.00 69,605,552.00
Abstain 232,253.00 3,157,819.00
35
<PAGE>
NOTES TO FINANCIAL STATEMENTS (Concluded)
===============================================================================
SEI DAILY INCOME TRUST-- JANUARY 31, 1996
II. Proposal to approve the elimination of the fundamental policy requiring
each portfolio to invest in securities maturing in one year or less and to
maintain an average weighted maturity of 120 days.
PRIME
MONEY OBLIGATION
MARKET PORTFOLIO PORTFOLIO
---------------- ----------------
For 146,934,842.00 1,635,230,466.17
Against 343,561.00 18,505,201.00
Abstain 232,253.00 3,156,616.00
III. Proposal to approve the elimination of the fundamental policy requiring
the Money Market portfolio to concentrate its investments in obligations
issued by the banking industry, consisting of U.S. dollar denominated
obligations of domestic banks and U.S. branches of foreign banks.
MONEY
MARKET PORTFOLIO
----------------
For 146,934,841.00
Against 343,562.00
Abstain 232,253.00
There were no broker non-votes submitted and no other proposals voted on at such
meeting.
36
<PAGE>
REPORT OF INDEPENDENT PUBLIC ACCOUNTANTS
===============================================================================
TO THE SHAREHOLDERS AND TRUSTEES OF THE SEI
DAILY INCOME TRUST
We have audited the accompanying statements
of net assets of the Money Market, Government, Government II, Prime Obligation,
Treasury, Treasury II, Short-Term Government, Intermediate-Term Government,
GNMA, Corporate Daily Income and Short-Term Mortgage Portfolios as of January
31, 1996, and the related statements of operations, changes in net assets and
financial highlights for the periods presented. These financial statements and
financial highlights are the responsibility of the Company's management. Our
responsibility is to express an opinion on these financial statements and
financial highlights based on our audits.
We conducted our audits in accordance with generally accepted auditing
standards. Those standards require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements and financial
highlights are free of material misstatement. An audit includes examining, on a
test basis, evidence supporting the amounts and disclosures in the financial
statements. Our procedures included confirmation of securities owned as of
January 31, 1996, by correspondence with the custodians and brokers. An audit
also includes assessing the accounting principles used and significant estimates
made by management, as well as evaluating the overall financial statement
presentation. We believe that our audits provide a reasonable basis for our
opinion.
In our opinion, the financial statements and financial highlights referred to
above present fairly, in all material respects, the financial position of the
Money Market, Government, Government II, Prime Obligation, Treasury, Treasury
II, Short-Term Government, Intermediate-Term Government, GNMA, Corporate Daily
Income and Short-Term Mortgage Portfolios of the SEI Daily Income Trust as of
January 31, 1996, the results of their operations, changes in their net assets
and financial highlights for the periods presented, in conformity with generally
accepted accounting principles.
ARTHUR ANDERSEN LLP
Philadelphia, Pa.
March 14, 1996
37
<PAGE>
NOTICE TO SHAREHOLDERS
===============================================================================
JANUARY 31, 1996 (UNAUDITED)
FOR TAXPAYERS FILING ON A CALENDAR YEAR BASIS, THIS NOTICE IS FOR INFORMATIONAL
PURPOSES ONLY.
Dear Daily Income Trust Shareholders:
For the fiscal year ended January 31, 1996, each portfolio is designating
long-term capital gains, and exempt income with regard to distributions paid
during the year as follows:
<TABLE>
<CAPTION>
(A) (B)
LONG TERM ORDINARY (C) (E)
CAPITAL GAINS INCOME TOTAL (D) TAX
DISTRIBUTIONS DISTRIBUTIONS DISTRIBUTIONS QUALIFYING EXEMPT
FUND (TAX BASIS) (TAX BASIS) (TAX BASIS) DIVIDENDS (1) INTEREST
---- ------------- ------------- ------------- ------------- --------
<S> <C> <C> <C> <C> <C>
Money Market 0% 100% 100% 0% 0%
Government 0% 100% 100% 0% 0%
Government II 0% 100% 100% 0% 0%
Prime Obligation 0% 100% 100% 0% 0%
Treasury 0% 100% 100% 0% 0%
Treasury II 0% 100% 100% 0% 0%
Short-Term Government 0% 100% 100% 0% 0%
Intermediate-Term Government 0% 100% 100% 0% 0%
GNMA 0% 100% 100% 0% 0%
Corporate Daily Income 0% 100% 100% 0% 0%
Short-Term Mortgage 0% 100% 100% 0% 0%
<FN>
* Items (A) and (B) are based on a percentage of the portfolios' total distributions.
** Items (D) and (E) are based on a percentage of ordinary income distribution of the portfolio.
(1) Qualifying dividends represent dividends which qualify for the corporate dividends received deduction.
</FN>
</TABLE>
Please consult your tax adviser for proper treatment of this information.
38
<PAGE>
NOTES
<PAGE>
NOTES
<PAGE>
NOTES
<PAGE>
===============================================================================
SEI DAILY INCOME TRUST
===============================================================================
ANNUAL REPORT
===============================================================================
JANUARY 31, 1996
Robert A. Nesher
CHAIRMAN
TRUSTEES
Richard F. Blanchard
William M. Doran
F. Wendell Gooch
Frank E. Morris
James M. Storey
OFFICERS
David G. Lee
PRESIDENT AND CHIEF EXECUTIVE OFFICER
Todd Cipperman
VICE PRESIDENT, ASSISTANT SECRETARY
Robert B. Carroll
VICE PRESIDENT, ASSISTANT SECRETARY
Joseph M. Lydon
VICE PRESIDENT, ASSISTANT SECRETARY
Kathryn L. Stanton
VICE PRESIDENT, ASSISTANT SECRETARY
Jeffrey A. Cohen
CONTROLLER, 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 Financial Management Corporation
DISTRIBUTOR
SEI Financial Services Company
LEGAL COUNSEL
Morgan, Lewis & Bockius LLP
INDEPENDENT PUBLIC ACCOUNTANTS
Arthur Andersen LLP
THIS ANNUAL REPORT AND THE FINANCIAL STATEMENTS CONTAINED HEREIN ARE SUBMITTED
FOR THE GENERAL INFORMATION OF THE SHAREHOLDERS OF THE TRUST AND MUST BE
PRECEDED OR ACCOMPANIED BY A CURRENT PROSPECTUS. SHARES OF THE SEI FUNDS ARE NOT
DEPOSITS OR OBLIGATIONS OF, OR GUARANTEED OR ENDORSED BY, ANY BANK. THE SHARES
ARE NOT FEDERALLY INSURED BY THE FEDERAL DEPOSIT INSURANCE CORPORATION (FDIC),
THE FEDERAL RESERVE BOARD, OR ANY OTHER GOVERNMENT AGENCY. INVESTMENT IN THE
SHARES INVOLVES RISK, INCLUDING THE POSSIBLE LOSS OF PRINCIPAL. SEI FINANCIAL
SERVICES COMPANY, THE DISTRIBUTOR OF THE SEI FUNDS, IS NOT AFFILIATED WITH ANY
BANK.
FOR MORE INFORMATION CALL
1(BULLET)800(BULLET)DIAL(BULLET)SEI/1(BULLET)800(BULLET)342(BULLET)5734
<PAGE>
SEI-F-022-06
