ANNUAL REPORT AS OF
JANUARY 31, 1997
SEI DAILY
INCOME TRUST
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Money Market Portfolio
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Government Portfolio
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Government II Portfolio
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Prime Obligation Portfolio
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Treasury Portfolio
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Treasury II Portfolio
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Short-Duration Government Portfolio
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Intermediate-Duration Government Portfolio
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GNMA Portfolio
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Corporate Daily Income Portfolio
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Short-Duration Mortgage Portfolio
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[LOGO OMITTED]
<PAGE>
TABLE OF CONTENTS
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MONEY MARKET AND FIXED INCOME REVIEW................................. 1
MANAGEMENT'S DISCUSSION AND ANALYSIS
OF FUND PERFORMANCE
SHORT-DURATION GOVERNMENT...................................... 3
INTERMEDIATE-DURATION GOVERNMENT............................... 4
GNMA........................................................... 5
CORPORATE DAILY INCOME......................................... 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............................. 36
NOTICE TO SHAREHOLDERS............................................... 37
<PAGE>
LETTER TO SHAREHOLDERS
================================================================================
TO OUR SHAREHOLDERS:
The fiscal year ending January 1997 contained little of the elation that the
double digit fixed income returns brought during the previous year. Despite the
anticipation of higher interest rates, the Federal Reserve (the "Fed") has kept
rates steady at 5.25% since January of 1996, when rates actually decreased by 25
basis points.
Given the lack of interest rate movement by the Fed and the overall decrease in
short term yields, Wellington Management Company LLP, the adviser of the SEI
Daily Income Trust, maintained neutral to slightly longer average weighted
maturities across all the funds and sought to capture incremental yield whenever
possible.
Overall, yields for money market investors decreased in comparison to the
previous fiscal year. Almost all of that decline occurred during January and
February of 1996, immediately following the quarter point reduction in the Fed
Funds rate. However, 1996 was another year of outstanding growth for money
market funds, as total assets exceeded $910 billion at the close of the year.
The use of money market funds as investment alternatives in sweep accounts, as
well as, in retirement plans, has been paramount to this growth.
The outlook for the coming year is for the Federal Reserve Board to maintain its
steady policy, although the prospect of a possible tightening has not been ruled
out. It seems that the U.S. economy is on a moderate growth and low inflation
path with no end in sight. As always, Wellington Management Company LLP will
continue to seek safe investment opportunities that provide the competitive
yields our shareholders expect.
We thank you for your continued confidence in the SEI Daily Income Trust, and we
look forward to serving your investment needs in the future.
Sincerely,
/S/ SIGNATURE
David G. Lee
PRESIDENT AND CHIEF EXECUTIVE OFFICER
<PAGE>
MONEY MARKET AND FIXED INCOME REVIEW
================================================================================
SEI DAILY INCOME TRUST -- JANUARY 31, 1997
SEI DAILY INCOME TRUST MONEY MARKET PORTFOLIOS
MONEY MARKET PRIME OBLIGATION
GOVERNMENT TREASURY
GOVERNMENT II TREASURY II
SEI DAILY INCOME TRUST FIXED INCOME PORTFOLIOS
SHORT-DURATION GOVERNMENT CORPORATE DAILY INCOME
INTERMEDIATE-DURATION GOVERNMENT SHORT-DURATION MORTGAGE
GNMA
SEI DAILY INCOME TRUST MONEY MARKET AND FIXED INCOME PORTFOLIOS ARE
MANAGED BY WELLINGTON MANAGEMENT COMPANY
U.S. bond investors experienced modestly positive total returns in 1996 as
interest rates moved higher during the year, causing bond prices to decline,
offsetting a portion of the coupon income earned on those securities. The U.S.
bond market as a whole prized higher-yielding sectors amidst an optimistic
consensus for global growth and inflation. Thus, low-quality issues that offer
the highest yields were the best performers. This was witnessed by the 11.3%
return for the Lehman High Yield Index, while investment grade bonds as measured
by the Lehman Government/ Corporate Index trailed by a wide margin, returning
2.9%. Similarly, the investment grade Lehman Aggregate Index (which includes
mortgage-backed securities) was only slightly better, returning 3.6% for 1996.
Within the investment grade sectors, corporate bonds and mortgage-backed
securities each outperformed comparable-duration Treasuries by roughly one
percentage point. Economic trends continued to defy those expecting a slowdown,
and inflation was stubbornly confined. Domestic investors were net sellers of
bonds during the year, while foreign buying supported U.S. bonds.
Interesting developments in the year involved the U.S. Treasury. First, Congress
shut down the government and put the Treasury at risk of defaulting,
temporarily, on its maturing debt. Cooler heads prevailed and the markets
returned to normal. Second, the Treasury developed plans to issue its first-ever
inflation indexed bond, a floating rate security whose return is tied to changes
in the rate of U.S. inflation.
1
<PAGE>
MONEY MARKET AND FIXED INCOME REVIEW
================================================================================
SEI DAILY INCOME TRUST -- JANUARY 31, 1997
After reducing short-term interest rates in January of 1996, the Federal Reserve
left them unchanged for the remainder of the year. With the central bank
anchoring short-term yields at 5.25%, yields on longer maturity instruments
moved with the ebbs and flows of market psychology. Signs of stronger economic
growth, even without the shadow of inflation, prompted the Fed to shift their
bias toward raising rates later in the year. However, later economic data
suggested that perhaps the economy wasn't growing as strongly as had been
perceived and the Fed left rates unchanged. With stronger economic trends, the
credit cycle remains healthy. Money market funds sailed smoothly through the
year without exposure to credit defaults. Asset growth remained strong within
the money market sector with total assets ending the year at approximately $910
billion. This represented an approximate growth of 19% over the previous year as
measured by IBC Financial Data, Inc. Money market yields ended the year lower as
signs of moderate growth and sustained monetary policy eased investor's fears of
potential interest rate hikes by the Fed.
2
<PAGE>
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
================================================================================
SEI DAILY INCOME TRUST -- JANUARY 31, 1997
SHORT-DURATION
GOVERNMENT PORTFOLIO
WELLINGTON MANAGEMENT COMPANY
OBJECTIVES. The Short-Duration 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. Maturities
will typically be laddered across the permitted maturity range to provide
reinvestment opportunities. In order to minimize risk, the Portfolio is
generally not invested in a bulleted structure, meaning individual securities
are not clustered around a specific maturity. Treasury and agency securities
will form the core of the Portfolio, and agency-backed mortgage securities will
be utilized when their yields are judged to be attractive relative to those of
Treasuries and agencies.
ANALYSIS. For the fiscal year ended 1997, the Short-Duration Government
Portfolio Class A shares posted a 4.62% return compared to a 4.58% return for
its benchmark, the Merrill Lynch 1-3 Year Short-Term Treasury Index.
The onset of the year was greeted with a highly anticipated Federal
Reserve ease in short-term interest rates with the Fed lowering the targeted
Federal Funds rate an additional 25 basis points to 5.25%. Shortly thereafter
and throughout the balance of the year, interest rates continued to rise as
signs of a heated economy and concerns over inflation surfaced. However, later
in the year as bond-friendly economic data indicated that perhaps the economy
was not gaining steam and inflation remained subdued, the Federal Reserve
continued to leave monetary policy unchanged and the bond market rallied.
[LINE GRAPH DEPICTING THE COMPARISON OF CHANGE IN THE VALUE OF A $10,000
INVESTMENT IN THE SEI DAILY INCOME TRUST SHORT-DURATION GOVERNMENT PORTFOLIO,
CLASS A, VERSUS THE MERRILL LYNCH 1-3 YEAR SHORT-TERM TREASURY INDEX]
Plot points for Short-Duration Government are as follows:
SEI Daily Income Trust Corporate
Daily Income Portfolio
2/28/87 - 10,000
1/31/89 - 10,588
1/31/90 - 11,139
1/31/91 - 12,142
1/31/92 - 13,354
1/31/93 - 14,689
1/31/94 - 15,665
1/31/95 - 16,362
1/31/96 - 18,210
1/31/97 - 19,051
MERRILL LYNCH ONE-THREE YEAR
SHORT-TERM TREASURY INDEX
2/28/87 - 10,000
1/31/89 - 10,606
1/31/90 - 11,175
1/31/91 - 12,304
1/31/92 - 13,614
1/31/93 - 15,041
1/31/94 - 16,179
1/31/95 - 17,214
1/31/96 - 19,003
1/31/97 - 19,873
AVERAGE ANNUAL TOTAL RETURN 1
ONE YEAR
RETURN
Class A 4.62%
Class B 4.40%
ANNUALIZED
3 YEAR
RETURN
Class A 5.20%
Class B 4.95%
ANNUALIZED
5 YEAR
RETURN
Class A 5.34%
Class B 5.02%
ANNUALIZED
INCEPTION
TO DATE
Class A 6.68%
Class B 5.98%
1 FOR THE PERIOD ENDED JANUARY 31, 1997. PAST
PERFORMANCE IS NO INDICATION OF FUTURE
PERFORMANCE. 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, 1997
SHORT-DURATION GOVERNMENT (CONCLUDED)
Throughout the year, the Portfolio focused on enhancing yield and return
through sector selection. The weight to both agency and agency mortgage-backed
securities was increased significantly as a means to boost yield. Enhanced
return was realized as agency and mortgage spreads tightened relative to
Treasuries. In particular, the Portfolio favored callable agency, short
collateralized mortgage obligations, and discount pass-through mortgage
securities.
Yield curve structure also contributed to return. For most of the year a
bulleted yield curve structure was maintained, and at year-end the Portfolio
assumed a more evenly distributed structure to take advantage of a flatter yield
curve. In the wake of interest rate volatility, duration posture remained
neutral to slightly longer.
INTERMEDIATE-DURATION GOVERNMENT PORTFOLIO
WELLINGTON MANAGEMENT COMPANY
OBJECTIVES. The Intermediate-Duration 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
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
[LINE GRAPH DEPICTING COMPARISON OF CHANGE IN THE VALUE OF A $10,000 INVESTMENT
IN THE SEI DAILY INCOME TRUST INTERMEDIATE-DURATION GOVERNMENT PORTFOLIO, VERSUS
THE MERRILL LYNCH 3-5 YEAR INTERMEDIATE TREASURY INDEX]
Plot points for Intermediate - Duration are as follows:
SEI Daily Income Trust Intermediate-Duration Government Portfolio
2/28/87 - 10,000
1/31/88 - 10,496
1/31/89 - 10,938
1/31/90 - 12,026
1/31/91 - 13,356
1/31/92 - 14,884
1/31/93 - 16,296
1/31/94 - 17,346
1/31/95 - 16,967
1/31/96 - 19,445
1/31/97 - 19,991
MERRILL LYNCH 3-5 YEAR INTERMEDIATE
TREASURY INDEX
2/28/87 - 10,000
1/31/88 - 10,512
1/31/89 - 10,943
1/31/90 - 12,155
1/31/91 - 13,597
1/31/92 - 15,314
1/31/93 - 17,023
1/31/94 - 18,341
1/31/95 - 17,965
1/31/96 - 20,688
1/31/97 - 21,297
AVERAGE ANNUAL TOTAL RETURN1
ONE YEAR
RETURN
2.81%
ANNUALIZED
3 YEAR
RETURN
4.84%
ANNUALIZED
5 YEAR
RETURN
6.08%
ANNUALIZED
INCEPTION
TO DATE
7.23%
1 FOR THE PERIOD ENDED JANUARY 31, 1997. PAST PERFORMANCE IS NO INDICATION OF
FUTURE PERFORMANCE. CLASS A SHARES WERE OFFERED BEGINNING 2/17/87.
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. For the fiscal year ended January 31, 1997, the
Intermediate-Duration Government Portfolio gained 2.81%, underperforming the
Merrill Lynch 3-5 Year Intermediate Treasury Index return of 2.93%. The
strategy's slightly longer duration and barbell yield curve posture earlier in
the year were the primary detractors from relative performance. Significant
exposures to mortgage-backed and agency debt contributed positively to returns.
4
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INTERMEDIATE-DURATION GOVERNMENT (CONCLUDED)
The bond market got off to a difficult start during the fiscal year, as
political uncertainty combined with mixed economic data left the timing and
direction of the next Fed move in question. The unexpected surge in February
employment shocked the broad bond market, resulting in the largest one day drop
in nearly a decade. Strong economic data continued throughout the remainder of
the year, with employment data continuing to cause volatility within the fixed
income markets. However, the short-term Fed Funds and discount rates remained
unchanged by the Fed as increased economic activity had not yet translated into
increased inflationary pressures. The broad fixed income market posted strong
rallies during October and November amid moderate growth and tame inflation. The
bond market again reversed its direction in December and January, as renewed
signs of a strong economy and tight labor market, combined with comments by Fed
chairman Alan Greenspan, renewed investor fears of a Fed rate increase. Yields
in the 3-5 year area of the Treasury curve ended the year over 100 basis points
higher than the previous January's levels. Shorter-term yields rose less,
resulting in a steepening of the short end of the yield curve. As a result, the
Portfolio's modestly long duration posture early in the year, combined with a
barbell yield curve posture, detracted from relative returns for the period.
Mortgage-backed securities performed extremely well in this environment of
rising interest rates, providing nearly 100 basis points of outperformance
versus comparable Treasury instruments. This outperformance can be attributed to
decreased prepayment concerns as a result of higher mortgage rates and strong
investor demand for yield in an environment of tight corporate spreads. The
Portfolio benefited throughout the year from 20-30% exposures in the
mortgage-backed sector. In particular, seasoned securities strongly outperformed
new issues. This "tiering" of mortgage securities according to origination year
was a main theme in the mortgage market throughout the fiscal year. Mortgage
investors began to recognize the extra value inherent in older securities which
have gone through one or more refinancing cycles. Commitments to these seasoned
mortgages contributed positively to performance throughout the year.
Current yield levels are viewed as high given current and expected levels
of inflation. With no expectation of a Fed tightening, the Portfolio will
maintain a neutral to slightly long duration position. Given a stable to falling
outlook on rates, mortgage positions will be discount coupons and seasoned
premium issues, which exhibit less prepayment sensitivity.
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 there-
5
<PAGE>
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
================================================================================
SEI DAILY INCOME TRUST -- JANUARY 31, 1997
GNMA (CONTINUED)
[LINE GRAPH DEPICTING COMPARISON OF CHANGE IN THE VALUE OF A $10,000 INVESTMENT
IN THE SEI DAILY INCOME TRUST GNMA PORTFOLIO, VERSUS THE SALOMON 30 YEAR GNMA
INDEX]
PLOT POINTS FOR GNMA ARE AS FOLLOWS:
SEI DAILY INCOME TRUST GNMA
PORTFOLIO
3/31/87 - 10,000
1/31/88 - 10,402
1/31/89 - 11,043
1/31/90 - 12,317
1/31/91 - 13,886
1/31/92 - 15,620
1/31/93 - 17,321
1/31/94 - 18,376
1/31/95 - 17,924
1/31/96 - 20,624
1/31/97 - 21,593
SALOMON 30-YEAR
GNMA INDEX
3/31/87 - 10,000
1/31/88 - 10,537
1/31/89 - 11,225
1/31/90 - 12,630
1/31/91 - 14,336
1/31/92 - 16,208
1/31/93 - 17,883
1/31/94 - 18,966
1/31/95 - 18,963
1/31/96 - 21,883
1/31/97 - 23,148
AVERAGE ANNUAL TOTAL RETURN1
ONE YEAR
RETURN
4.70%
ANNUALIZED
3 YEAR
RETURN
5.52%
ANNUALIZED
5 YEAR
RETURN
6.70%
ANNUALIZED
INCEPTION
TO DATE
7.99%
1 FOR THE PERIOD ENDED JANUARY 31, 1997. PAST PERFORMANCE IS NO INDICATION
OF FUTURE PERFORMANCE. CLASS A SHARES WERE OFFERED BEGINNING 3/20/87.
fore 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. For the fiscal year ended January 31, 1997, the GNMA Portfolio
gained 4.70%, underperforming the Lehman GNMA Index return of 5.60%, but
strongly outperforming the Lipper GNMA Average return of 3.90%. The strategy's
longer duration posture and emphasis on discount coupon structures subtracted
from performance relative to the Lehman benchmark. However, a 100% investment in
GNMA pass-throughs and emphasis on seasoned securities boosted performance
relative to the peer group universe.
The bond market got off to a difficult start during the fiscal year, as
political uncertainty combined with mixed economic data left the timing and
direction of the next Fed move in question. The unexpected surge in February
employment shocked the broad bond market, resulting in the largest one day drop
in nearly a decade. Strong economic data continued throughout the remainder of
the year, with employment data continuing to cause volatility within the fixed
income markets. However, the short-term Fed Funds and discount rates remained
unchanged by the Fed as increased economic activity had not yet translated into
increased inflationary pressures. The broad fixed income market posted strong
rallies during October and November amid moderate growth and tame inflation. The
bond market again reversed its direction in December and January, as renewed
signs of a strong economy and tight labor market, combined with comments by Fed
chairman Alan Greenspan, renewed investor fears of a Fed rate increase. Yields
on 30-year Treasury bonds ended the year nearly 77 basis points higher than the
previous January's levels. As a result, the Portfolio's modestly long duration
posture, which was maintained throughout the year, significantly detracted from
returns for the period.
Mortgage-backed securities performed extremely well in this environment of
rising interest rates, providing nearly 100 basis points of outperformance
versus comparable Treasury instruments. This outperformance can be attributed to
decreased prepayment concerns as a result of higher mortgage rates and strong
investor demand for yield in an environment of tight corporate spreads. The
Portfolio benefited throughout the year from remaining fully
6
<PAGE>
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GNMA (CONCLUDED)
invested in 30-year GNMA mortgage-backed securities and avoiding
investment in Treasury issues. Premium coupon issues outperformed discount
mortgages throughout the year, and the Portfolio's emphasis on discount coupons
thus subtracted from performance. Seasoned securities strongly outperformed new
issues. This "tiering" of mortgage securities according to origination year was
a main theme in the mortgage market throughout the fiscal year. Mortgage
investors began to recognize the extra value inherent in older securities which
have gone through one or more refinancing cycles. Commitments to these seasoned
mortgages contributed positively to performance throughout the year.
Current yield levels are viewed as high given current and expected levels
of inflation. Going forward, the Portfolio will therefore maintain a long
relative duration posture. In addition, the Portfolio will likely remain fully
invested in GNMA mortgage securities and avoid Treasuries on a relative value
basis.
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 portfolio while
maintaining a high degree of liquidity and minimal 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 duration 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 One-Year Treasury Index and to manage risk
through the adviser's use of sector strategies, security selection and duration
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.
ANALYSIS. For the fiscal year ended 1997, the Corporate Daily Income
Portfolio returned 5.21% compared to it's benchmark, the Merrill Lynch One-Year
Treasury Index return of 5.35%.
The onset of the year was greeted with a highly anticipated Federal
Reserve ease in short-term interest rates with the Fed lowering the targeted
Federal Funds rate an additional 25 basis points to 5.25%. Shortly thereafter
and throughout the most part of the year, interest rates continued to rise as
signs of a heated economy and concerns over inflation surfaced. However, later
in the year as bond-friendly economic data indicated that perhaps the economy
was not gaining steam and inflation remained subdued, the Federal Reserve
continued to leave monetary policy unchanged and the bond market rallied.
The Portfolio maintained its overall strategy of enhanced yield and return
through an overweight to income producing sectors such as asset-backed and
corporates. In addition, exposure to floating rate notes benefited
7
<PAGE>
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
================================================================================
SEI DAILY INCOME TRUST -- JANUARY 31, 1997
CORPORATE DAILY INCOME (CONCLUDED)
performance. The Portfolio was able to take advantage of relative value
opportunities in the corporate sector and continued to add to its mortgage
allocation in an effort to boost yield.
Duration posture was altered throughout the year. A more defensive
posture was maintained during the first half of the year, but this was not
enough to combat the rise in interest rates and thus dampened performance.
Subsequently, as rates decreased and the yield curve flattened, duration of the
Portfolio was lengthened.
[LINE GRAPH DEPICTING COMPARISON OF CHANGE IN THE VALUE OF A $10,000 INVESTMENT
IN THE SEI DAILY INCOME TRUST CORPORATE DAILY INCOME PORTFOLIO, VERSUS THE
MERRILL LYNCH ONE-YEAR TREASURY INDEX]
Plot points for CORPORATE DAILY INCOME are as follows:
SEI DAILY INCOME TRUST CORPORATE
DAILY INCOME PORTFOLIO
9/30/93 - 10,000
1/31/94 - 10,114
1/31/95 - 10,376
1/31/96 - 11,274
1/31/97 - 11,861
MERRILL LYNCH ONE-YEAR
TREASURY INDEX
9/30/93 - 10,000
1/31/94 - 10,113
1/31/95 - 10,426
1/31/96 - 11,211
1/31/97 - 11,811
AVERAGE ANNUAL TOTAL RETURN 1
CORPORATE DAILY INCOME
ONE YEAR
RETURN
5.21%
ANNUALIZED
3 YEAR
RETURN
5.45%
ANNUALIZED
INCEPTION
TO DATE
5.24%
1 FOR THE PERIOD ENDED JANUARY 31, 1997. PAST PERFORMANCE IS NO INDICATION OF
FUTURE PERFORMANCE. CLASS A SHARES WERE OFFERED BEGINNING 9/28/93.
8
<PAGE>
STATEMENT OF NET ASSETS
================================================================================
SEI DAILY INCOME TRUST--JANUARY 31, 1997
MONEY MARKET PORTFOLIO
- -------------------------------------------------------------
FACE
DESCRIPTION AMOUNT (000) VALUE (000)
- -------------------------------------------------------------
COMMERCIAL PAPER -- 60.5%
ABN AMRO Bank
5.500%, 02/28/97 $ 3,000 $2,987
American Express Credit
5.300%, 03/28/97 4,000 3,968
Avon Capital
5.380%, 03/18/97 1,000 994
Bank of Scotland
5.300%, 05/12/97 3,000 2,956
Banque National de Paris
5.370%, 05/30/97 1,075 1,056
Bear Stearns
5.310%, 02/13/97 3,000 2,995
5.380%, 04/14/97 7,000 6,925
BHF Finance
5.300%, 04/11/97 4,000 3,959
Canadian Wheat Board
5.550%, 03/13/97 3,000 2,982
Centric Funding
5.360%, 02/25/97 5,000 4,982
5.350%, 03/06/97 5,000 4,975
Chevron
5.310%, 02/12/97 3,000 2,995
Chrysler Financial
5.350%, 02/13/97 4,000 3,993
Cie de Saint Gobain
5.300%, 02/14/97 5,000 4,990
5.310%, 04/28/97 3,000 2,962
Clipper Receivables
5.400%, 02/14/97 5,000 4,990
5.340%, 02/18/97 5,248 5,235
5.330%, 02/28/97 3,883 3,867
Commercial Credit
5.300%, 02/06/97 10,000 9,993
Corporate Receivables
5.370%, 04/10/97 6,725 6,657
CPC International
5.320%, 04/16/97 4,000 3,956
Delaware Funding
5.330%, 04/28/97 10,000 9,876
Eureka Securities
5.350%, 02/03/97 2,125 2,124
5.350%, 02/28/97 10,000 9,960
Falcon Asset Security
5.350%, 02/10/97 2,275 2,272
First Chicago Finance
5.350%, 04/15/97 4,000 3,957
General Electric Capital
5.400%, 03/17/97 5,000 4,967
5.300%, 03/31/97 2,350 2,330
General Motors Acceptance
5.620%, 03/14/97 4,000 3,974
5.495%, 07/14/97 8,000 7,801
- ------------------------------------------------------------
FACE
DESCRIPTION AMOUNT (000) VALUE (000)
- ------------------------------------------------------------
Goldman Sachs
5.360%, 04/11/97 $ 5,000 $ 4,949
Government Development
Bank of Puerto Rico
5.380%, 02/10/97 5,000 4,993
Hitachi America
5.400%, 03/12/97 7,800 7,754
IBM
5.300%, 02/18/97 4,000 3,990
ING Finance
5.340%, 02/05/97 10,000 9,994
Island Finance
5.360%, 04/21/97 9,500 9,388
Kitty Hawk Funding
5.400%, 03/14/97 10,000 9,939
Matterhorn Capital
5.370%, 02/21/97 6,370 6,351
Merrill Lynch
5.350%, 04/15/97 5,000 4,946
National Fuel and Gas
5.420%, 03/17/97 5,000 4,967
Pepsico
5.350%, 02/05/97 5,000 4,997
Ranger Funding
5.320%, 02/18/97 3,000 2,992
5.370%, 04/30/97 7,000 6,908
Rose Funding
5.400%, 02/28/97 5,000 4,980
SunTrust Bank
5.350%, 06/30/97 5,000 4,889
Toshiba America
5.750%, 04/01/97 1,200 1,189
5.410%, 05/16/97 5,000 4,922
Unifunding
5.390%, 05/12/97 4,780 4,708
Westpac Capital
5.300%, 05/09/97 4,000 3,943
----------
Total Commercial Paper
(Cost $242,477) 242,477
----------
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 5.0%
FFCB
5.600%, 06/03/97 5,000 4,998
SLMA
5.390%, 02/04/97 (A) 15,000 15,000
----------
Total U.S. Government Agency Obligations
(Cost $19,998) 19,998
----------
FLOATING RATE INSTRUMENTS -- 5.8%
BancOne
5.230%, 02/04/97 (A) 10,000 9,989
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
9
<PAGE>
STATEMENT OF NET ASSETS
================================================================================
SEI DAILY INCOME TRUST--JANUARY 31, 1997
MONEY MARKET PORTFOLIO (concluded)
- -------------------------------------------------------------
FACE
DESCRIPTION AMOUNT (000) VALUE (000)
- -------------------------------------------------------------
Caterpillar
5.657%, 03/20/97 (A) $ 100 $ 100
Corestates Capital
5.430%, 02/25/97 (A) 4,000 4,000
Ford Motor Credit
5.580%, 02/04/97 (A) 500 500
People's Security Life
5.670%, 05/01/97 (A) 4,000 4,000
Travelers Insurance
5.687%, 05/01/97 (A) 4,000 4,000
Wells Fargo
5.543%, 03/19/97 (A) 500 500
----------
Total Floating Rate Instruments
(Cost $23,089) 23,089
----------
CERTIFICATES OF DEPOSIT/BANK NOTES -- 16.0%
Abbey National
5.500%, 11/26/97 10,000 9,977
Bank of New York
5.550%, 03/19/97 5,000 5,000
Bank of Tokyo
5.610%, 04/15/97 2,000 2,000
Bank of Tokyo - Mitsubishi
5.880%, 04/23/97 5,000 4,999
Bankers Trust of New York
5.450%, 05/01/97 10,000 10,000
Chase Manhattan Bank
5.500%, 07/01/97 5,000 5,000
First Bank of South Dakota
5.300%, 02/26/97 5,000 5,000
First National Bank of Boston
5.470%, 02/28/97 3,000 3,000
First of America Bank
5.400%, 02/04/97 4,000 4,000
Republic National Bank
5.440%, 04/30/97 5,000 5,000
Societe Generale
5.770%, 05/15/97 3,000 3,001
SouthTrust Bank
5.500%, 04/30/97 3,000 3,000
Wilmington Trust
5.410%, 03/26/97 4,000 4,000
----------
Total Certificates of Deposit/Bank Notes
(Cost $63,977) 63,977
----------
CORPORATE BOND -- 0.5%
Coca Cola Enterprises
6.500%, 11/15/97 1,980 1,990
----------
Total Corporate Bond
(Cost $1,990) 1,990
----------
- -----------------------------------------------------------
FACE
DESCRIPTION AMOUNT (000) VALUE (000)
- -----------------------------------------------------------
MUNICIPAL BOND-- 0.5%
DeKalb County, Georgia, RB
5.450%, 02/07/97 (A) $ 1,900 $ 1,900
----------
Total Municipal Bond
(Cost $1,900) 1,900
----------
REPURCHASE AGREEMENTS -- 15.6%
Lehman Brothers
5.60%, dated 01/31/97,
matures 02/03/97, repurchase
price $12,505,833 (collateralized
by U.S. Treasury obligation, par
value $12,545,000, 6.125%, matures
09/30/00: market value
$12,749,824) (B) 12,500 12,500
Union Bank of Switzerland
5.61%, dated 01/31/97, matures
02/03/97, repurchase price
$50,023,375 (collateralized by
various FHLMC obligations
ranging in par value $253,244-
$18,193,130, 6.500%-7.000%,
01/01/27; with total market
value of $51,000,416) (B) 50,000 50,000
----------
Total Repurchase Agreements
(Cost $62,500) 62,500
----------
Total Investments -- 103.9%
(Cost $415,931) 415,931
----------
OTHER ASSETS AND LIABILITIES -- (3.9%)
Other Assets and Liabilities, Net (15,581)
----------
NET ASSETS:
Portfolio Shares of Class A
(unlimited authorization -- no
par value) based on
369,067,508 outstanding shares of
beneficial interest 369,067
Portfolio Shares of Class B
(unlimited authorization -- no par
value) based on 768,679 outstanding
shares of beneficial interest 769
Portfolio Shares of Class C
(unlimited authorization -- no
par value) based on 30,529,535
outstanding shares of beneficial interest 30,529
Accumulated Net Realized Loss
on Investments (15)
----------
TOTAL NET ASSETS -- 100.0% $400,350
==========
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
10
<PAGE>
================================================================================
- --------------------------------------------------------------
FACE
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------
NET ASSET VALUE, OFFERING AND
REDEMPTION PRICE PER SHARE -- CLASS A $1.00
==========
NET ASSET VALUE, OFFERING AND
REDEMPTION PRICE PER SHARE-- CLASS B $1.00
==========
NET ASSET VALUE, OFFERING AND
REDEMPTION PRICE PER SHARE-- CLASS C $1.00
==========
(A) FLOATING RATE INSTRUMENT. RATE REFLECTED ON THE STATEMENT OF NET ASSETS
IS THE RATE IN EFFECT ON JANUARY 31, 1997. THE DATE SHOWN IS THE LONGER
OF THE RESET DATE OR THE DEMAND DATE.
(B) TRI-PARTY REPURCHASE AGREEMENT
FFCB FEDERAL FARM CREDIT BANK
FHLMC FEDERAL HOME LOAN MORTGAGE CORPORATION
RB REVENUE BOND
SLMA STUDENT LOAN MARKETING ASSOCIATION
GOVERNMENT PORTFOLIO
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 81.2%
FFCB
5.342%, 02/28/97 $53,000 $52,806
5.420%, 04/01/97 3,000 2,974
5.550%, 05/02/97 5,000 4,998
5.600%, 06/03/97 33,000 32,985
5.439%, 06/23/97 23,000 22,526
FHLB
5.320%, 02/05/97 (A) 15,000 14,995
5.360%, 02/24/97 43,500 43,366
5.352%, 02/27/97 21,500 21,425
5.443%, 04/17/97 6,490 6,419
5.480%, 07/03/97 16,235 15,874
5.485%, 07/08/97 6,930 6,771
5.730%, 01/27/98 10,000 9,993
FHLMC
5.661%, 02/03/97 3,900 3,899
5.319%, 02/14/97 10,400 10,380
5.390%, 02/18/97 22,768 22,712
5.451%, 03/17/97 5,000 4,968
5.457%, 03/21/97 20,000 19,858
5.383%, 04/01/97 22,000 21,811
5.383%, 04/09/97 15,964 15,808
5.453%, 06/13/97 57 56
5.499%, 06/13/97 29,042 28,479
5.484%, 06/20/97 11,200 10,972
FNMA
5.380%, 02/04/97 (A) 22,000 22,000
5.411%, 03/17/97 15,000 14,904
5.415%, 03/28/97 37,440 37,141
5.378%, 04/15/97 12,425 12,293
5.388%, 04/15/97 20,515 20,297
- -------------------------------------------------------------
FACE
DESCRIPTION AMOUNT (000) VALUE (000)
- -------------------------------------------------------------
5.434%, 04/28/97 $ 5,215 $ 5,150
5.376%, 04/29/97 23,740 23,442
5.387%, 05/19/97 10,640 10,476
5.250%, 06/09/97 (A) 50,000 49,980
5.453%, 06/12/97 5,000 4,905
5.485%, 06/25/97 20,000 19,578
SLMA
5.383%, 03/31/97 45,000 44,619
----------
Total U.S. Government Agency Obligations
(Cost $638,860) 638,860
----------
U.S. TREASURY OBLIGATION -- 1.3%
U.S. Treasury Note
6.500%, 05/15/97 10,000 10,022
----------
Total U.S. Treasury Obligation
(Cost $10,022) 10,022
----------
REPURCHASE AGREEMENTS -- 32.5%
Lehman Brothers
5.60%, dated 01/31/97, matures
02/03/97, repurchase price
$20,809,707 (collateralized by
U.S. Treasury obligation, par
value $18,960,000, 8.750%,
matures 08/15/00: market
value $21,203,223) (B) 20,800 20,800
Morgan Stanley
5.61%, dated 01/31/97, matures
02/03/97, repurchase price
$85,039,738 (collateralized by
various GNMA obligations ranging
in par value $4,209,596 -$33,060,404,
8.000%-8.500%, 09/20/26-12/20/26;
with total market value of
$86,866,406) (B) 85,000 85,000
Union Bank of Switzerland
5.61%, dated 01/31/97, matures
02/03/97, repurchase price
$150,070,125 (collateralized by
various GNMA obligations ranging in
par value $25,000- $21,705,000,
7.000%-17.000%, 11/15/97-11/15/25;
with total market value of
$153,000,642) (B) 150,000 150,000
----------
Total Repurchase Agreements
(Cost $255,800) 255,800
----------
Total Investments -- 115.0%
(Cost $904,682) 904,682
----------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
11
<PAGE>
STATEMENT OF NET ASSETS
================================================================================
SEI DAILY INCOME TRUST -- JANUARY 31, 1997
GOVERNMENT PORTFOLIO (concluded)
- -------------------------------------------------------------
FACE
DESCRIPTION AMOUNT (000) VALUE (000)
- -------------------------------------------------------------
OTHER ASSETS AND LIABILITIES -- (15.0%)
Investment Securities Purchased $(117,598)
Other Assets and Liabilities (381)
---------
TOTAL OTHER ASSETS AND LIABILITIES, NET (117,979)
---------
NET ASSETS:
Portfolio Shares of Class A
(unlimited authorization -- no
par value) based on 116,379,480
outstanding shares of beneficial interest 116,379
Portfolio Shares of Class B
(unlimited authorization -- no
par value) based on 53,149,085
outstanding shares of beneficial interest 53,149
Portfolio Shares of Class G
(unlimited authorization -- no
par value) based on 617,317,700
outstanding shares of beneficial interest 617,318
Accumulated Net Realized Loss
on Investments (148)
Undistributed Net Investment Income 5
---------
TOTAL NET ASSETS-- 100.0% $ 786,703
=========
NET ASSET VALUE, OFFERING AND
REDEMPTION PRICE PER SHARE -- CLASS A $1.00
=========
NET ASSET VALUE, OFFERING AND
REDEMPTION PRICE PER SHARE -- CLASS B $1.00
=========
NET ASSET VALUE, OFFERING AND
REDEMPTION PRICE PER SHARE -- CLASS G $1.00
=========
(A) FLOATING RATE INSTRUMENT. THE RATE REFLECTED ON THE STATEMENT OF NET ASSETS
IS THE RATE IN EFFECT ON JANUARY 31, 1997. THE DATE SHOWN IS THE LONGER OF
THE RESET DATE OR THE DEMAND DATE.
(B) TRI-PARTY REPURCHASE AGREEMENT
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
SLMA STUDENT LOAN MARKETING ASSOCIATION
GOVERNMENT II PORTFOLIO
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 100.0%
FFCB
5.353%, 02/03/97 $ 5,000 $ 4,999
5.303%, 02/04/97 10,795 10,790
5.330%, 02/04/97 (A) 20,000 19,995
5.328%, 02/06/97 5,380 5,376
5.396%, 02/21/97 6,865 6,845
- -------------------------------------------------------------
FACE
DESCRIPTION AMOUNT (000) VALUE (000)
- -------------------------------------------------------------
5.353%, 02/24/97 $ 27,000 $ 26,909
5.450%, 03/12/97 1,600 1,591
5.435%, 04/23/97 2,000 1,976
5.389%, 04/30/97 25,000 24,683
5.402%, 04/30/97 15,000 14,810
5.550%, 05/02/97 45,000 44,986
5.450%, 05/27/97 1,075 1,057
5.600%, 06/03/97 25,000 24,988
5.483%, 06/19/97 16,000 15,677
5.486%, 06/23/97 5,870 5,748
5.447%, 07/02/97 25,000 24,452
5.551%, 10/30/97 7,000 6,721
5.566%, 11/07/97 6,860 6,578
FHLB
5.320%, 02/05/97 (A) 20,000 19,993
5.390%, 02/10/97 1,000 999
5.388%, 02/20/97 1,650 1,645
5.360%, 02/27/97 45,865 45,691
5.420%, 03/27/97 8,500 8,433
5.478%, 03/27/97 14,000 13,888
5.395%, 04/15/97 28,845 28,538
5.437%, 04/17/97 10,000 9,890
5.450%, 05/27/97 5,000 4,917
5.440%, 06/11/97 3,765 3,694
5.453%, 06/12/97 2,265 2,222
5.486%, 06/23/97 6,870 6,727
5.478%, 06/30/97 3,235 3,165
5.479%, 06/30/97 12,760 12,482
5.730%, 01/27/98 10,000 9,993
SLMA
5.569%, 02/03/97 30,000 29,991
5.370%, 02/04/97 (A) 35,000 35,000
5.380%, 02/04/97 (A) 30,000 30,000
5.550%, 02/04/97 (A) 30,000 30,034
5.388%, 02/06/97 100,000 99,927
5.410%, 02/08/97 (A) 44,450 44,452
5.390%, 02/10/97 (A) 20,000 20,000
5.356%, 03/10/97 25,000 24,865
5.352%, 03/27/97 42,350 42,018
5.383%, 03/31/97 8,380 8,309
----------
Total U.S. Government Agency Obligations
(Cost $785,054) 785,054
----------
Total Investments -- 100.0%
(Cost $785,054) 785,054
----------
OTHER ASSETS AND LIABILITIES -- 0.0%
Other Assets and Liabilities, Net (357)
----------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
12
<PAGE>
================================================================================
- -------------------------------------------------------------
FACE
DESCRIPTION AMOUNT (000) VALUE (000)
- -------------------------------------------------------------
NET ASSETS:
Portfolio Shares of Class A
(unlimited authorization -- no
par value) based on 762,243,139
outstanding shares of beneficial interest $762,243
Portfolio Shares of Class B
(unlimited authorization -- no
par value) based on 16,323,254
outstanding shares of beneficial interest 16,323
Portfolio Shares of Class C
(unlimited authorization -- no
par value) based on 6,359,381
outstanding shares of beneficial interest 6,360
Accumulated Net Realized Loss
on Investments (229)
--------
TOTAL NET ASSETS -- 100.0% $784,697
========
NET ASSET VALUE, OFFERING AND
REDEMPTION PRICE PER SHARE -- CLASS A $1.00
========
NET ASSET VALUE, OFFERING AND
REDEMPTION PRICE PER SHARE -- CLASS B $1.00
========
NET ASSET VALUE, OFFERING AND
REDEMPTION PRICE PER SHARE -- CLASS C $1.00
========
(A) FLOATING RATE INSTRUMENT. THE RATE REFLECTED ON THE STATEMENT OF NET
ASSETS IS THE RATE IN EFFECT ON JANUARY 31, 1997. THE DATE SHOWN IS
THE LONGER OF THE RESET DATE OR THE DEMAND DATE.
FFCB FEDERAL FARM CREDIT BANK
FHLB FEDERAL HOME LOAN BANK
SLMA STUDENT LOAN MARKETING ASSOCIATION
PRIME OBLIGATION PORTFOLIO
COMMERCIAL PAPER -- 60.8%
American Express Credit
5.300%, 03/28/97 $50,000 $49,592
5.320%, 06/25/97 50,000 48,936
American General Finance
5.290%, 02/14/97 30,000 29,943
5.290%, 02/19/97 30,000 29,921
5.340%, 05/22/97 25,000 24,592
American Home Products
5.320%, 02/24/97 25,000 24,915
Associates Corp of North America
5.310%, 02/11/97 20,000 19,971
5.330%, 03/11/97 50,000 49,719
Bear Stearns
5.310%, 02/13/97 10,000 9,982
5.380%, 04/14/97 50,000 49,462
5.350%, 04/23/97 25,000 24,699
- ------------------------------------------------------------
FACE
DESCRIPTION AMOUNT (000) VALUE (000)
- ------------------------------------------------------------
BT Securities
5.360%, 02/13/97 $45,000 $44,920
Centric Funding
5.350%, 02/14/97 15,000 14,971
5.350%, 03/14/97 21,000 20,872
CIT Group Holdings
5.350%, 06/30/97 60,000 58,671
Clipper Receivables
5.400%, 02/14/97 15,000 14,971
5.350%, 02/18/97 30,000 29,924
Corporate Receivables
5.290%, 02/14/97 50,000 49,904
Delaware Funding
5.310%, 02/18/97 40,000 39,900
Enterprise Funding
5.350%, 02/20/97 10,010 9,982
5.340%, 03/13/97 13,724 13,643
Equitable Resources
5.320%, 02/27/97 8,000 7,969
Falcon Asset Securitization
5.360%, 02/13/97 18,750 18,717
First Chicago Finance
5.310%, 02/19/97 10,000 9,973
Ford Motor Credit
5.500%, 03/24/97 45,000 44,649
5.360%, 07/09/97 50,000 48,824
General Electric Capital
5.530%, 02/10/97 40,000 39,945
5.400%, 03/17/97 15,000 14,901
5.340%, 06/16/97 50,000 48,999
5.350%, 07/15/97 20,000 19,513
Gillette
5.290%, 03/05/97 8,800 8,759
Goldman Sachs
5.360%, 04/11/97 40,000 39,589
IBM Credit
5.300%, 02/27/97 40,000 39,847
5.370%, 04/16/97 15,000 14,834
Island Finance
5.300%, 02/20/97 10,300 10,271
Kitty Hawk Funding
5.350%, 02/20/97 11,116 11,085
5.380%, 03/03/97 80,023 79,664
5.350%, 03/14/97 9,000 8,945
5.400%, 03/14/97 10,000 9,939
5.440%, 03/17/97 10,000 9,934
Merrill Lynch
5.320%, 02/03/97 50,000 49,985
5.330%, 02/14/97 25,000 24,952
5.350%, 04/09/97 25,000 24,751
Morgan Stanley
5.370%, 02/14/97 40,000 39,922
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
13
<PAGE>
STATEMENT OF NET ASSETS
================================================================================
SEI DAILY INCOME TRUST -- JANUARY 31, 1997
PRIME OBLIGATION PORTFOLIO (concluded)
- -----------------------------------------------------------
FACE
DESCRIPTION AMOUNT (000) VALUE (000)
- -----------------------------------------------------------
National Fuel and Gas
5.350%, 03/11/97 $10,000 $ 9,944
5.360%, 03/11/97 10,000 9,943
National Rural Utility
5.290%, 03/03/97 45,000 44,802
NationsBank
5.370%, 07/08/97 25,000 24,415
Northern Indiana Public Service
5.320%, 02/13/97 20,000 19,965
Pitney Bowes Credit
5.490%, 03/10/97 15,000 14,915
PPG Industries
5.410%, 02/20/97 31,615 31,525
Preferred Receivables Funding
5.350%, 02/28/97 30,000 29,880
5.320%, 04/29/97 8,000 7,897
Prudential Funding
5.360%, 06/23/97 50,000 48,943
Ranger Funding
5.310%, 02/13/97 15,000 14,973
5.350%, 02/20/97 11,050 11,019
5.350%, 04/21/97 15,000 14,824
Sears Roebuck Acceptance
5.320%, 02/11/97 50,000 49,926
Transamerica Finance
5.300%, 03/19/97 70,000 69,526
---------
Total Commercial Paper
(Cost $1,687,954) 1,687,954
---------
CERTIFICATES OF DEPOSIT/BANK NOTES -- 13.7%
Bank of America
5.500%, 06/19/97 20,000 19,999
Bankers Trust
5.450%, 05/01/97 40,000 40,001
Chase Manhattan Bank
5.730%, 02/03/97 40,000 40,000
5.450%, 05/01/97 50,000 50,000
5.500%, 07/01/97 25,000 25,000
First Alabama Bank
5.530%, 02/03/97 25,000 25,000
5.400%, 03/04/97 20,000 20,000
5.450%, 04/29/97 46,000 46,000
First Bank of South Dakota
5.300%, 02/26/97 100,000 99,993
First of America Bank
5.400%, 02/04/97 16,000 16,000
---------
Total Certificates of Deposit/Bank Notes
(Cost $381,993) 381,993
---------
FLOATING RATE INSTRUMENTS -- 16.2%
Allstate
5.741%, 02/01/97 (A) 15,000 15,000
- -----------------------------------------------------------
FACE
DESCRIPTION AMOUNT (000) VALUE (000)
- -----------------------------------------------------------
ABS Investment Trust 1996-M
5.484%, 02/17/97 (A) $40,000 $ 40,000
Bank One Columbus
5.230%, 02/04/97 (A) 82,000 81,913
CIT Group Holdings
5.794%, 04/16/97 (A) 8,000 8,004
Corestates Capital
5.460%, 02/17/97 (A) 15,000 15,000
5.430%, 02/25/97 (A) 16,000 16,000
Key Bank
5.370%, 02/03/97 (A) 25,000 24,990
People's Security Life
5.670%, 05/01/97 (A) 73,000 73,000
SMM Trust 1996-B
5.613%, 02/04/97 (A) 30,000 30,000
SMM Trust 1996-I
5.488%, 03/03/97 (A) 50,000 50,000
SouthTrust Bank
5.521%, 03/17/97 (A) 35,000 34,993
Travelers Insurance
5.687%, 05/01/97 (A) 60,000 60,000
---------
Total Floating Rate Instruments
(Cost $448,900) 448,900
---------
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 10.1%
FFCB
5.600%, 06/03/97 35,000 34,984
5.476%, 06/30/97 35,000 34,238
FNMA
5.380%, 02/04/97 (A) 100,000 100,000
SLMA
5.390%, 02/04/97 (A) 47,600 47,600
5.400%, 02/04/97 (A) 16,000 16,001
5.410%, 02/04/97 (A) 30,000 30,004
5.410%, 02/08/97 (A) 17,000 17,000
---------
Total U.S. Government Agency Obligations
(Cost $279,827) 279,827
---------
Total Investments -- 100.8%
(Cost $2,798,674) 2,798,674
---------
OTHER ASSETS AND LIABILITIES -- (0.8%)
Other Assets and Liabilities, Net (21,715)
---------
NET ASSETS:
Portfolio Shares of Class A
(unlimited authorization -- no
par value) based on 2,626,469,485
outstanding shares of beneficial interest 2,626,470
Portfolio Shares of Class B
(unlimited authorization -- no
par value) based on 146,273,215
outstanding shares of beneficial interest 146,273
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
14
<PAGE>
================================================================================
- --------------------------------------------------------------
FACE
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------
Portfolio Shares of Class C
(unlimited authorization -- no
par value) based on 4,332,310
outstanding shares of beneficial interest $ 4,332
Accumulated Net Realized Loss
on Investments (118)
Undistributed net investment income 2
----------
TOTAL NET ASSETS-- 100.0% $2,776,959
==========
NET ASSET VALUE, OFFERING AND
REDEMPTION PRICE PER SHARE -- CLASS A $1.00
==========
NET ASSET VALUE, OFFERING AND
REDEMPTION PRICE PER SHARE -- CLASS B $1.00
==========
NET ASSET VALUE, OFFERING AND
REDEMPTION PRICE PER SHARE -- CLASS C $1.00
==========
(A) FLOATING RATE INSTRUMENT. RATE REFLECTED ON THE STATEMENT OF NET ASSETS
IS THE RATE IN EFFECT ON JANUARY 31, 1997. THE DATE SHOWN IS THE LONGER
OF THE RESET DATE OR THE DEMAND DATE.
FFCB FEDERAL FARM CREDIT BANK
FNMA FEDERAL NATIONAL MORTGAGE ASSOCIATION
SLMA STUDENT LOAN MARKETING ASSOCIATION
TREASURY PORTFOLIO
U.S. TREASURY OBLIGATIONS -- 30.9%
U.S. Treasury Bills
5.428%, 11/13/97 $2,000 $ 1,918
5.429%, 11/13/97 2,000 1,918
5.436%, 11/13/97 5,000 4,796
U.S. Treasury Notes
6.750%, 02/28/97 4,500 4,504
6.875%, 02/28/97 5,000 5,006
6.875%, 04/30/97 9,000 9,025
6.500%, 05/15/97 500 501
5.250%, 12/31/97 1,000 996
-------
Total U.S. Treasury Obligations
(Cost $28,664) 28,664
-------
REPURCHASE AGREEMENTS -- 69.2%
J.P. Morgan
5.53%, dated 01/31/97, matures
02/03/97, repurchase price
$14,006,452 (collateralized by
U.S. Treasury obligation, par
value $14,104,000, 6.000%,
matures 05/31/98: market
value $14,285,604) 14,000 14,000
- ------------------------------------------------------------
FACE
DESCRIPTION AMOUNT (000) VALUE (000)
- ------------------------------------------------------------
Lehman Brothers
5.55%, dated 01/31/97, matures
02/03/97, repurchase price
$298,138 (collateralized by
U.S. Treasury STRIPS, par
value $1,425,000, 0.000%,
matures 11/15/18: market
value $310,333) $ 298 $ 298
Lehman Brothers
5.60%, dated 01/31/97, matures
02/03/97, repurchase price
$20,009,333 (collateralized by
U.S. Treasury obligation, par
value $20,445,000, 5.750%,
matures 10/31/00: market
value $20,398,862) (A) 20,000 20,000
Swiss Bank
5.56%, dated 01/31/97, matures
02/03/97, repurchase price
$15,006,950 (collateralized by
U.S. Treasury obligation, par
value $14,950,000, 6.875%,
matures 08/15/25: market
value $15,311,636) (A) 15,000 15,000
Union Bank of Switzerland
5.56%, dated 01/31/97, matures
02/03/97, repurchase price
$15,006,950 (collateralized by
U.S. Treasury obligation, par
value $13,530,000, 8.750%,
matures 11/15/08: market
value $15,303,944) (A) 15,000 15,000
-------
Total Repurchase Agreements
(Cost $64,298) 64,298
-------
Total Investments -- 100.1%
(Cost $92,962) 92,962
-------
OTHER ASSETS AND LIABILITIES -- (0.1%)
Other Assets and Liabilities, Net (134)
-------
NET ASSETS:
Portfolio Shares of Class A
(unlimited authorization -- no
par value) based on 67,919,205
outstanding shares of beneficial interest 67,919
Portfolio Shares of Class C
(unlimited authorization -- no
par value) based on 24,903,739
outstanding shares of beneficial interest 24,903
Accumulated Net Realized Loss
on Investments (1)
Undistributed Net Investment Income 7
-------
TOTAL NET ASSETS -- 100.0% $92,828
=======
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
15
<PAGE>
STATEMENT OF NET ASSETS
================================================================================
SEI DAILY INCOME TRUST -- JANUARY 31, 1997
TREASURY PORTFOLIO (concluded)
- -------------------------------------------------------------
FACE
DESCRIPTION AMOUNT (000) VALUE (000)
- -------------------------------------------------------------
NET ASSET VALUE, OFFERING AND
REDEMPTION PRICE PER SHARE -- CLASS A $1.00
========
NET ASSET VALUE, OFFERING AND
REDEMPTION PRICE PER SHARE -- CLASS C $1.00
========
(A) TRI-PARTY REPURCHASE AGREEMENT
STRIPS SEPARATE TRADING OF REGISTERED INTEREST AND PRINCIPAL
OF SECURITIES
TREASURY II PORTFOLIO
U.S. TREASURY OBLIGATIONS -- 98.7%
U.S. Treasury Bills
5.072%, 04/03/97 $ 50,000 $ 49,579
5.083%, 04/03/97 50,000 49,579
5.149%, 04/03/97 26,150 25,928
5.152%, 04/03/97 9,375 9,295
5.189%, 04/03/97 20,765 20,587
5.308%, 04/03/97 10,730 10,637
5.146%, 04/17/97 5,665 5,606
5.154%, 04/24/97 1,780 1,760
5.155%, 04/24/97 8,050 7,958
5.183%, 04/24/97 12,760 12,613
5.134%, 05/01/97 34,740 34,311
5.139%, 05/01/97 33,000 32,592
5.160%, 05/01/97 25,530 25,214
5.230%, 05/01/97 22,485 22,203
5.243%, 05/22/97 25,000 24,613
5.460%, 11/13/97 10,000 9,588
U.S. Treasury Notes
6.750%, 02/28/97 211,000 211,245
6.875%, 02/28/97 100,000 100,119
6.625%, 03/31/97 75,000 75,153
6.875%, 03/31/97 60,000 60,146
6.500%, 04/30/97 40,000 40,113
--------
Total U.S. Treasury Obligations
(Cost $828,839) 828,839
--------
Total Investments -- 98.7%
(Cost $828,839) 828,839
--------
OTHER ASSETS AND LIABILITIES -- 1.3%
Other Assets and Liabilities, Net $ 10,555
--------
NET ASSETS:
Portfolio Shares of Class A
(unlimited authorization -- no
par value) based on 780,684,434
outstanding shares of beneficial interest 780,684
Portfolio Shares of Class B
(unlimited authorization -- no
par value) based on 54,142,944
outstanding shares of beneficial interest 54,143
- ------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- ------------------------------------------------------------
Portfolio Shares of Class C
(unlimited authorization -- no
par value) based on 4,528,194
outstanding shares of beneficial interest $ 4,528
Accumulated Net Realized Loss
on Investments (178)
Undistributed Net Investment Income 217
--------
TOTAL NET ASSETS-- 100.0% $839,394
========
NET ASSET VALUE, OFFERING AND
REDEMPTION PRICE PER SHARE -- CLASS A $1.00
========
NET ASSET VALUE, OFFERING AND
REDEMPTION PRICE PER SHARE -- CLASS B $1.00
========
NET ASSET VALUE, OFFERING AND
REDEMPTION PRICE PER SHARE -- CLASS C $1.00
========
SHORT-DURATION GOVERNMENT PORTFOLIO
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 40.8%
FFCB MTN
6.750%, 05/14/99 $9,000 $ 9,026
FHLB
6.940%, 03/14/97 3,000 3,005
FHLMC
7.000%, 05/29/01 5,000 5,023
FNMA
5.390%, 08/05/98 4,000 3,967
6.850%, 05/26/00 6,000 6,038
FNMA MTN
5.410%, 06/25/98 3,000 2,978
--------
Total U.S. Government Agency Obligations
(Cost $29,906) 30,037
--------
U.S. GOVERNMENT MORTGAGE-BACKED BONDS -- 34.5%
FHLMC
6.500%, 11/01/99 4,845 4,865
6.500%, 12/01/01 4,960 4,958
6.500%, 10/01/07 3,118 3,098
7.000%, 11/01/10 1,908 1,911
7.000%, 01/01/11 872 873
7.000%, 02/01/11 41 41
7.000%, 03/01/11 889 890
7.000%, 04/01/11 1,074 1,076
FNMA
6.500%, 04/01/00 4,712 4,720
6.000%, 11/25/03 1,090 1,074
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
16
<PAGE>
================================================================================
- -----------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- -----------------------------------------------------------
GNMA
7.500%, 01/15/11 $ 51 $ 52
7.500%, 02/15/11 1,777 1,812
-------
Total U.S. Government Mortgage-Backed Bonds
(Cost $25,340) 25,370
-------
U.S. TREASURY OBLIGATIONS -- 20.5%
U.S. Treasury Notes
5.250%, 12/31/97 10,000 9,973
6.625%, 06/30/01 5,000 5,068
-------
Total U.S. Treasury Obligations
(Cost $15,008) 15,041
-------
REPURCHASE AGREEMENT -- 3.6%
Paine Webber
5.52%, dated 01/31/97, matures
02/03/97, repurchase price
$2,683,234 (collateralized by
U.S. Treasury obligation, par
value $2,725,000, 5.000%, matures
02/15/99: market
value $2,738,606) 2,682 2,682
-------
Total Repurchase Agreement
(Cost $2,682) 2,682
-------
Total Investments -- 99.4%
(Cost $72,936) 73,130
-------
OTHER ASSETS AND LIABILITIES -- 0.6%
Other Assets and Liabilities, Net 428
-------
NET ASSETS:
Portfolio Shares of Class A
(unlimited authorization -- no
par value) based on 7,388,212
outstanding shares of beneficial interest 74,890
Portfolio Shares of Class B
(unlimited authorization -- no
par value) based on 1,376
outstanding shares of beneficial interest 13
Accumulated Net Realized
Loss on Investments (1,524)
Net Unrealized Gain on Investments 194
Distributions in Excess of
Net Investment Income (15)
-------
TOTAL NET ASSETS -- 100.0% $73,558
=======
- ------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- ------------------------------------------------------------
NET ASSET VALUE, OFFERING AND
REDEMPTION PRICE PER SHARE -- CLASS A $9.95
========
NET ASSET VALUE, OFFERING AND
REDEMPTION PRICE PER SHARE -- CLASS B $9.94
========
FFCB FEDERAL FARM CREDIT BANK
FHLB FEDERAL HOME LOAN BANK
FHLMC FEDERAL HOME LOAN MORTGAGE CORPORATION
FNMA FEDERAL NATIONAL MORTGAGE ASSOCIATION
GNMA GOVERNMENT NATIONAL MORTGAGE ASSOCIATION
MTN MEDIUM TERM NOTE
INTERMEDIATE-DURATION GOVERNMENT PORTFOLIO
U.S. TREASURY OBLIGATIONS -- 45.8%
U.S. Treasury Bonds
10.750%, 02/15/03 $ 4,500 $ 5,477
11.625%, 11/15/04 1,000 1,311
12.000%, 08/15/13 5,000 7,092
U.S. Treasury Notes
7.875%, 04/15/98 6,000 6,148
8.875%, 11/15/98 6,300 6,613
7.500%, 10/31/99 18,500 19,157
8.500%, 02/15/00 5,500 5,859
6.625%, 07/31/01 9,500 9,632
---------
Total U.S. Treasury Obligations
(Cost $62,045) 61,289
---------
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 25.1%
Agency for International Development
5.450%, 02/15/01 750 726
6.750%, 08/15/04 4,000 4,015
FHLMC
7.974%, 04/20/05 655 658
7.350%, 05/16/05 750 753
FNMA
5.640%, 02/20/01 5,000 4,855
FNMA ARM
6.084%, 02/01/97 (A) 973 966
Private Export Funding
7.900%, 03/31/00 5,450 5,688
8.350%, 01/31/01 4,665 4,968
8.400%, 07/31/01 1,600 1,716
6.900%, 01/31/03 2,875 2,925
8.750%, 06/30/03 5,670 6,308
---------
Total U.S. Government Agency Obligations
(Cost $34,048) 33,578
---------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
17
<PAGE>
STATEMENT OF NET ASSETS
================================================================================
SEI DAILY INCOME TRUST -- JANUARY 31, 1997
INTERMEDIATE-DURATION
GOVERNMENT PORTFOLIO (concluded)
- ------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- ------------------------------------------------------------
U.S. GOVERNMENT MORTGAGE-BACKED BONDS -- 26.5%
FHLMC
6.250%, 07/01/03 $ 404 $ 396
7.250%, 03/15/04 430 432
5.750%, 05/15/05 1,000 984
5.650%, 07/15/05 700 687
5.750%, 01/15/06 639 630
8.000%, 01/15/06 500 513
6.000%, 10/15/06 830 803
6.000%, 08/15/07 400 392
5.500%, 04/15/08 1,000 947
5.500%, 08/01/08 113 108
5.500%, 09/01/08 191 182
8.250%, 01/01/09 600 617
6.500%, 09/01/10 6,647 6,537
6.500%, 04/01/11 849 835
5.000%, 02/15/17 1,000 971
7.000%, 02/25/19 500 498
6.000%, 06/15/19 866 846
6.500%, 06/25/19 2,100 2,094
6.500%, 09/15/21 570 545
7.000%, 05/01/24 1,326 1,301
7.000%, 10/01/25 1,888 1,852
FNMA
7.750%, 10/25/00 1,100 1,105
6.000%, 09/25/05 500 497
6.500%, 02/25/07 400 401
7.500%, 03/01/07 340 341
8.000%, 05/01/08 397 406
8.000%, 06/01/08 378 387
7.500%, 06/01/09 156 156
9.500%, 05/01/18 547 591
GNMA
8.250%, 05/15/06 229 237
8.250%, 06/15/06 146 150
8.250%, 04/15/08 180 186
8.250%, 05/15/08 356 367
8.250%, 06/15/08 488 504
8.250%, 07/15/08 168 173
8.500%, 05/20/16 367 378
8.500%, 09/20/16 21 22
8.500%, 11/20/16 858 885
8.500%, 04/20/17 19 19
8.500%, 05/20/17 438 451
8.750%, 05/20/17 561 581
8.750%, 06/20/17 163 169
8.500%, 07/20/17 307 317
8.750%, 07/20/17 238 246
8.500%, 08/20/17 214 221
8.750%, 10/20/17 44 45
8.750%, 11/20/17 193 200
8.500%, 01/20/18 150 155
8.500%, 02/20/18 181 187
7.500%, 05/15/22 387 388
7.500%, 04/15/23 163 163
- ------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- ------------------------------------------------------------
8.000% 04/15/23 $ 87 $ 89
7.000%, 08/15/23 1,834 1,797
8.000%, 08/15/23 725 741
8.000%, 09/15/23 603 616
8.000%, 12/15/23 27 27
--------
Total U.S. Government Mortgage-Backed Bonds
(Cost $35,312) 35,368
--------
REPURCHASE AGREEMENT -- 2.1%
Paine Webber
5.52%, dated 01/31/97,
matures 02/03/97, repurchase
price $2,821,297 (collateralized
by U.S. Treasury obligation, par
value $2,635,000, 7.500%, matures
11/15/24: market value
$2,871,368) 2,820 2,820
--------
Total Repurchase Agreement
(Cost $2,820) 2,820
--------
Total Investments -- 99.5%
(Cost $134,225) $133,055
--------
OTHER ASSETS AND LIABILITIES -- 0.5%
Other Assets and Liabilities, Net 620
--------
NET ASSETS:
Portfolio Shares of Class A
(unlimited authorization -- no
par value) based on 13,669,989
outstanding shares of beneficial interest 140,578
Accumulated Net Realized Loss on Investments (5,733)
Net Unrealized Loss on Investments (1,170)
--------
TOTAL NET ASSETS -- 100.0% $133,675
========
NET ASSET VALUE, OFFERING AND
REDEMPTION PRICE PER SHARE -- CLASS A $9.78
========
(A) FLOATING RATE INSTRUMENT. RATE REFLECTED ON THE STATEMENT OF NET ASSETS
IS THE RATE IN EFFECT ON JANUARY 31, 1997. THE DATE SHOWN IS THE LONGER
OF THE RESET DATE OR THE DEMAND DATE.
ARM ADJUSTABLE RATE MORTGAGE
FHLMC FEDERAL HOME LOAN MORTGAGE CORPORATION
FNMA FEDERAL NATIONAL MORTGAGE ASSOCIATION
GNMA GOVERNMENT NATIONAL MORTGAGE ASSOCIATION
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
18
<PAGE>
================================================================================
GNMA PORTFOLIO
- -----------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- -----------------------------------------------------------
GNMA -- 94.1%
GNMA
6.500%, 09/15/10-05/15/24 $19,357 $ 18,521
7.000%, 01/15/23-09/15/23 23,708 23,233
7.500%, 02/15/17-07/15/26 18,530 18,576
8.000%, 12/15/21-07/15/24 10,759 11,000
8.500%, 08/15/08-10/15/20 4,034 4,188
9.000%, 05/15/16-05/15/22 7,039 7,433
9.500%, 06/15/09-12/15/20 8,661 9,330
10.000%, 02/15/13-07/15/20 3,065 3,370
10.500%, 03/15/18 45 50
11.500%, 04/15/10-02/15/13 77 87
12.000%, 01/15/13-04/15/14 12 13
12.500%, 12/15/06-07/15/15 56 65
--------
Total GNMA
(Cost $96,278) 95,866
--------
REPURCHASE AGREEMENT -- 5.7%
Paine Webber
5.52%, dated 01/31/97,
matures 02/03/97, repurchase
price $5,852,691 (collateralized
by U.S. Treasury obligation,
par value $5,885,000, 6.500%,
matures 05/15/05: market
value $5,970,963) 5,850 5,850
--------
Total Repurchase Agreement
(Cost $5,850) 5,850
--------
Total Investments -- 99.8%
(Cost $102,128) 101,716
--------
OTHER ASSETS AND LIABILITIES -- 0.2%
Other Assets and Liabilities, Net 171
--------
NET ASSETS:
Portfolio Shares of Class A
(unlimited authorization -- no
par value) based on 10,578,159
outstanding shares of beneficial interest 114,319
Accumulated Net Realized
Loss on Investments (12,114)
Net Unrealized Loss on Investments (412)
Undistributed Net Investment Income 94
--------
TOTAL NET ASSETS -- 100.0% $101,887
========
NET ASSET VALUE, OFFERING AND
REDEMPTION PRICE PER SHARE -- CLASS A $9.63
========
GNMA GOVERNMENT NATIONAL MORTGAGE ASSOCIATION
CORPORATE DAILY INCOME
PORTFOLIO
- ------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- ------------------------------------------------------------
CORPORATE OBLIGATIONS -- 17.0%
Caterpillar MTN
5.474%, 04/01/97 (A) $1,000 $ 994
Citicorp MTN
5.625%, 02/11/97 (A) 2,000 2,001
Ford Motor Credit
5.469%, 02/18/97 (A) 1,500 1,491
General Motors Acceptance
4.918%, 03/25/97 (A) 1,000 999
International Lease Finance
5.794%, 04/15/97 (A) 1,000 1,000
NationsBank MTN
5.713%, 03/19/97 (A) 2,000 2,000
Sears Roebuck MTN
5.430%, 03/10/97 (A) 1,000 995
-------
Total Corporate Obligations
(Cost $9,490) 9,480
-------
COMMERCIAL PAPER -- 4.6%
Goldman Sachs
5.370%, 02/05/97 1,500 1,499
Ranger Funding
5.420%, 02/03/97 1,057 1,057
-------
Total Commercial Paper
(Cost $2,556) 2,556
-------
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 35.9%
FHLB
5.997%, 09/30/97 5,000 5,009
FHLMC
6.655%, 05/20/99 5,000 5,010
6.500%, 01/14/00 5,000 5,014
FNMA
5.530%, 10/29/97 5,000 4,992
-------
Total U.S. Government Agency Obligations
(Cost $20,001) 20,025
-------
U.S. GOVERNMENT MORTGAGE-BACKED
OBLIGATIONS -- 17.0%
FNMA
5.679%, 02/25/97 (A) 783 785
6.000%, 04/01/01 8,776 8,679
-------
Total U.S. Government
Mortgage-Backed Obligations
(Cost $9,544) 9,464
-------
ASSET-BACKED SECURITIES -- 16.0%
Airplanes Pass Through
Trust 1-A2
5.804%, 02/18/97 (A) 1,000 1,003
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
19
<PAGE>
STATEMENT OF NET ASSETS
================================================================================
SEI DAILY INCOME TRUST -- JANUARY 31, 1997
CORPORATE DAILY INCOME
PORTFOLIO (concluded)
- -----------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- -----------------------------------------------------------
Daimler-Benz Auto Grantor
Trust 93-A
3.900%, 10/15/98 $ 61 $ 61
Daimler-Benz Auto Grantor
Trust 95-A A
5.850%, 05/15/02 528 528
Ford Credit Grantor Trust 93-B
4.300%, 07/15/98 84 84
Ford Credit Grantor Trust 95-B A
5.900%, 10/15/00 603 602
General Motors Acceptance 93-A A
4.150%, 03/16/98 16 16
General Motors Acceptance 93-B A
4.000%, 09/15/98 72 71
General Motors Grantor Trust 95 A1
7.150%, 03/15/00 503 509
IBM Credit Receivables Lease
Asset Master Trust 93-1 A
4.550%, 11/15/00 1,262 1,249
Main Place Funding 95-2
5.733%, 04/25/97 (A) 1,000 1,001
MBNA Master Credit 94-DA
5.630%, 02/03/97 (A) 1,500 1,502
Navistar Financial Trust 96-A B2
5.930%, 11/20/99 1,000 1,000
Premier Auto Trust 93-4 A2
4.650%, 02/02/99 113 113
Premier Auto Trust 93-6 A2
4.650%, 11/02/99 323 320
Premier Auto Trust 95-2 A4
7.050%, 07/04/98 879 887
--------
Total Asset Backed Securities
(Cost $8,933) 8,946
--------
REPURCHASE AGREEMENT -- 8.9%
Paine Webber
5.52%, dated 01/31/97,
matures 02/03/97, repurchase
price $4,946,274 (collateralized
by U.S. Treasury obligation,
par value $4,980,000, 6.000%,
matures 11/30/97: market
value $5,045,679) 4,944 4,944
--------
Total Repurchase Agreement
(Cost $4,944) 4,944
--------
Total Investments -- 99.4%
(Cost $55,468) 55,415
--------
OTHER ASSETS AND LIABILITIES -- 0.6%
Other Assets and Liabilities, Net 368
--------
- ------------------------------------------------------------
MARKET
DESCRIPTION VALUE (000)
- ------------------------------------------------------------
NET ASSETS:
Portfolio Shares of Class A
(unlimited authorization -- no
par value) based on 28,059,842
outstanding shares of beneficial interest $55,839
Accumulated Net Realized Loss on Investments (3)
Net Unrealized Loss on Investments (53)
-------
TOTAL NET ASSETS -- 100.0% $55,783
=======
NET ASSET VALUE, OFFERING AND
REDEMPTION PRICE PER SHARE -- CLASS A $1.99
=======
(A) FLOATING RATE INSTRUMENT. THE RATE REFLECTED ON THE STATEMENT OF NET
ASSETS IS THE RATE IN EFFECT ON JANUARY 31, 1997. THE DATE SHOWN IS
THE LONGER OF THE RESET DATE OR THE DEMAND DATE.
FHLB FEDERAL HOME LOAN BANK
FHLMC FEDERAL HOME LOAN MORTGAGE CORPORATION
FNMA FEDERAL NATIONAL MORTGAGE ASSOCIATION
MTN MEDIUM TERM NOTE
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
20
<PAGE>
[THIS PAGE INTENTIONALLY LEFT BLANK]
21
<PAGE>
STATEMENTS OF OPERATIONS (000)
================================================================================
SEI DAILY INCOME TRUST--FOR THE YEAR ENDED JANUARY 31, 1997
<TABLE>
<CAPTION>
--------- ---------- ------------- ---------- ---------
MONEY PRIME
MARKET GOVERNMENT GOVERNMENT II OBLIGATION TREASURY
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
--------- ---------- ------------- ---------- ---------
<S> <C> <C> <C> <C> <C>
Interest Income $8,596 $42,696 $42,198 $153,409 $4,580
------ ------- ------- -------- ------
EXPENSES:
Management fees 516 1,894 1,493 5,342 204
Less management fees waived (385) (812) (338) (1,097) (148)
Less contribution from management -- -- -- -- --
Investment advisory fees 39 199 199 712 22
Less investment advisory fees waived (33) (155) (137) (485) (20)
Distribution fees (1) 382 5,046 1,564 5,751 222
Less distribution fees waived (283) (773) (1,448) (5,040) (141)
Custodian/wire agent fees 72 94 100 323 54
Trustee fees 2 13 13 46 1
Registration fees 13 201 95 303 36
Other 24 99 86 279 15
Amortization of deferred
organizational costs -- -- -- -- --
------ ------- ------- -------- ------
Total expenses, net 347 5,806 1,627 6,134 245
------ ------- ------- -------- ------
NET INVESTMENT INCOME 8,249 36,890 40,571 147,275 4,335
------ ------- ------- -------- ------
NET REALIZED AND UNREALIZED GAIN
(LOSS) ON INVESTMENTS:
Net realized gain (loss) from security
transactions (6) (148) (83) (96) (1)
------ ------- ------- -------- ------
Net change in unrealized appreciation
(depreciation) of investments -- -- -- -- --
------ ------- ------- -------- ------
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS $8,243 $36,742 $40,488 $147,179 $4,334
====== ======= ======= ======== ======
----------- ---------- ------------ ---------
SHORT- INTERMEDIATE-
DURATION DURATION
TREASURY II GOVERNMENT GOVERNMENT GNMA
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
----------- ---------- ------------ ---------
<S> <C> <C> <C> <C>
Interest Income $28,403 $4,388 $9,005 $9,041
------- ------ ------ ------
EXPENSES:
Management fees 1,310 249 519 395
Less management fees waived (297) (27) (27) (8)
Less contribution from management -- -- -- --
Investment advisory fees 138 71 148 124
Less investment advisory fees waived (93) (14) (11) (3)
Distribution fees (1) 1,139 138 280 236
Less distribution fees waived (1,006) (133) (268) (124)
Custodian/wire agent fees 63 12 24 44
Trustee fees 8 1 2 2
Registration fees 128 8 20 13
Other 73 15 34 25
Amortization of deferred
organizational costs -- -- -- --
------- ------ ------ ------
Total expenses, net 1,463 320 721 704
------- ------ ------ ------
NET INVESTMENT INCOME 26,940 4,068 8,284 8,337
------- ------ ------ ------
NET REALIZED AND UNREALIZED GAIN
(LOSS) ON INVESTMENTS:
Net realized gain (loss) from security
transactions (141) 60 1,192 (414)
------- ------ ------ ------
Net change in unrealized appreciation
(depreciation) of investments -- (944) (5,738) (2,894)
------- ------ ------ ------
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS $26,799 $3,184 $3,738 $5,029
======= ====== ====== ======
--------- ------------
CORPORATE SHORT-
DAILY DURATION
INCOME MORTGAGE
PORTFOLIO PORTFOLIO (2)
--------- ------------
<S> <C> <C>
Interest Income $2,916 $33
------ ---
EXPENSES:
Management fees 175 2
Less management fees waived (66) (2)
Less contribution from management -- (1)
Investment advisory fees 50 --
Less investment advisory fees waived (23) --
Distribution fees (1) 98 --
Less distribution fees waived (94) --
Custodian/wire agent fees 9 1
Trustee fees 1 --
Registration fees 7
Other 10 --
Amortization of deferred
organizational costs 15 2
------ ---
Total expenses, net 182 2
------ ---
NET INVESTMENT INCOME 2,734 31
------ ---
NET REALIZED AND UNREALIZED GAIN
(LOSS) ON INVESTMENTS:
Net realized gain (loss) from security
transactions 57 5
------ ---
Net change in unrealized appreciation
(depreciation) of investments (334) (41)
------ ---
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS $2,457 $(5)
====== ===
<FN>
(1) INCLUDES CLASS SPECIFIC DISTRIBUTION AND SHAREHOLDER SERVICING FEES.
(2) SHORT-DURATION MORTGAGE PORTFOLIO CLOSED ON JUNE 4, 1996.
AMOUNTS DESIGNATED AS "--" ARE EITHER $0 OR HAVE BEEN ROUNDED TO $0.
</FN>
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
22 & 23
<PAGE>
STATEMENTS OF CHANGES IN NET ASSETS (000)
================================================================================
SEI DAILY INCOME TRUST--FOR THE YEARS ENDED JANUARY 31
<TABLE>
<CAPTION>
----------------------- ----------------------
MONEY
MARKET GOVERNMENT
----------------------- ----------------------
1997 1996 1997 1996
----------------------- ----------------------
<S> <C> <C> <C> <C>
OPERATIONS:
Net investment income $ 8,249 $ 9,302 $ 36,890 $ 25,812
Net realized gain (loss) from security transactions (6) 27 (148) 79
---------- ---------- ---------- ----------
Net increase in net assets from operations 8,243 9,329 36,742 25,891
---------- ---------- ---------- ----------
DIVIDENDS DISTRIBUTED FROM:
Net investment income:
Class A (7,294) (8,897) (4,797) (260)
Class B (161) (335) (1,539) (300)
Class C (794) (70) -- (25,247)
Class G -- -- (30,559) --
Net realized gains: -- -- -- --
---------- ---------- ---------- ----------
Total dividends distributed (8,249) (9,302) (36,895) (25,807)
---------- ---------- ---------- ----------
CAPITAL SHARE TRANSACTIONS (ALL AT $1.00 PER SHARE): Class A:
Proceeds from shares issued 1,998,879 1,636,983 730,378 151,613
Reinvestment of cash distributions 1,817 249 1,615 51
Cost of shares repurchased (1,727,529) (1,755,356) (664,375) (102,903)
---------- ---------- ---------- ----------
Increase (decrease) in net assets from Class A transactions 273,167 (118,124) 67,618 48,761
---------- ---------- ---------- ----------
Class B:
Proceeds from shares issued 7,740 9,372 528,207 82,626
Reinvestment of cash distributions 37 9 -- 4
Cost of shares repurchased (13,624) (9,079) (490,054) (67,634)
---------- ---------- ---------- ----------
Increase (decrease) in net assets from Class B transactions (5,847) 302 38,153 14,996
---------- ---------- ---------- ----------
Class C:
Proceeds from shares issued 54,043 8,473 -- --
Reinvestment of cash distributions 325 70 -- --
Cost of shares repurchased (26,299) (6,083) -- --
---------- ---------- ---------- ----------
Increase in net assets from Class C transactions 28,069 2,460 -- --
---------- ---------- ---------- ----------
Class G:
Proceeds from shares issued -- -- 1,761,763 1,365,830
Reinvestment of cash distributions -- -- 23,714 20,121
Cost of shares repurchased -- -- (1,711,087) (1,153,932)
---------- ---------- ---------- ----------
Increase in net assets from Class G transactions -- -- 74,390 232,019
---------- ---------- ---------- ----------
INCREASE (DECREASE) IN NET ASSETS DERIVED FROM
CAPITAL SHARE TRANSACTIONS 295,389 (115,362) 180,161 295,776
---------- ---------- ---------- ----------
Net increase (decrease) in net assets 295,383 (115,335) 180,008 295,860
---------- ---------- ---------- ----------
NET ASSETS:
Beginning of Period 104,967 220,302 606,695 310,835
---------- ---------- ---------- ----------
End of Period $ 400,350 $ 104,967 $ 786,703 $ 606,695
========== ========== ========== ==========
----------------------- -------------------------
PRIME
GOVERNMENT II OBLIGATION
----------------------- -------------------------
1997 1996 1997 1996
----------------------- -------------------------
<S> <C> <C> <C> <C>
OPERATIONS:
Net investment income $ 40,571 $ 46,658 $ 147,275 $ 139,533
Net realized gain (loss) from security transactions (83) 56 (96) 94
---------- ---------- ----------- -----------
Net increase in net assets from operations 40,488 46,714 147,179 139,627
---------- ---------- ----------- -----------
DIVIDENDS DISTRIBUTED FROM:
Net investment income:
Class A (39,711) (45,683) (138,844) (136,749)
Class B (804) (975) (8,391) (2,784)
Class C (56) -- (38) --
Class G -- -- -- --
Net realized gains: -- -- -- --
---------- ---------- ----------- -----------
Total dividends distributed (40,571) (46,658) (147,273) (139,533)
---------- ---------- ----------- -----------
CAPITAL SHARE TRANSACTIONS (ALL AT $1.00 PER SHARE): Class A:
Proceeds from shares issued 4,473,934 4,331,859 24,807,352 15,851,570
Reinvestment of cash distributions 632 691 40,591 35,850
Cost of shares repurchased (4,522,836) (4,308,644)(24,663,157) (16,224,177)
---------- ---------- ----------- -----------
Increase (decrease) in net assets from Class A transactions (48,270) 23,906 184,786 (336,757)
---------- ---------- ----------- -----------
Class B:
Proceeds from shares issued 92,880 130,798 2,059,805 544,082
Reinvestment of cash distributions 236 244 128 127
Cost of shares repurchased (96,469) (126,567) (2,088,439) (391,283)
---------- ---------- ----------- -----------
Increase (decrease) in net assets from Class B transactions (3,353) 4,475 (28,506) 152,926
---------- ---------- ----------- -----------
Class C:
Proceeds from shares issued 18,066 -- 29,017 --
Reinvestment of cash distributions -- -- -- --
Cost of shares repurchased (11,706) -- (24,685) --
---------- ---------- ----------- -----------
Increase in net assets from Class C transactions 6,360 -- 4,332 --
---------- ---------- ----------- -----------
Class G:
Proceeds from shares issued -- -- -- --
Reinvestment of cash distributions -- -- -- --
Cost of shares repurchased -- -- -- --
---------- ---------- ----------- -----------
Increase (decrease) in net assets from Class G transactions -- -- -- --
---------- ---------- ----------- -----------
INCREASE (DECREASE) IN NET ASSETS DERIVED FROM
CAPITAL SHARE TRANSACTIONS (45,263) 28,381 160,612 (183,831)
---------- ---------- ----------- -----------
Net increase (decrease) in net assets (45,346) 28,437 160,518 (183,737)
---------- ---------- ----------- -----------
NET ASSETS:
Beginning of Period 830,043 801,606 2,616,441 2,800,178
---------- ---------- ----------- -----------
End of Period $ 784,697 $ 830,043 $ 2,776,959 $ 2,616,441
========== ========== =========== ===========
-------------------- -----------------------
TREASURY TREASURY II
-------------------- -----------------------
1997 1996 1997 1996
-------------------- -----------------------
<S> <C> <C> <C> <C>
OPERATIONS:
Net investment income $ 4,335 $ 3,009 $ 26,940 $ 26,441
Net realized gain (loss) from security transactions (1) 11 (141) 103
-------- -------- ---------- ----------
Net increase in net assets from operations 4,334 3,020 26,799 26,544
-------- -------- ---------- ----------
DIVIDENDS DISTRIBUTED FROM:
Net investment income:
Class A (3,621) (2,644) (25,532) (24,600)
Class B -- -- (1,223) (1,768)
Class C (714) (365) (185) (73)
Class G -- -- -- --
Net realized gains: -- -- -- --
-------- -------- ---------- ----------
Total dividends distributed (4,335) (3,009) (26,940) (26,441)
-------- -------- ---------- ----------
CAPITAL SHARE TRANSACTIONS (ALL AT $1.00 PER SHARE): Class A:
Proceeds from shares issued 296,378 221,471 4,047,676 3,724,146
Reinvestment of cash distributions 246 1 7,548 6,454
Cost of shares repurchased (283,519) (205,791) (3,692,624) (3,710,125)
-------- -------- ---------- ----------
Increase (decrease) in net assets from Class A transactions 13,105 15,681 362,600 20,475
-------- -------- ---------- ----------
Class B:
Proceeds from shares issued -- -- 195,613 173,790
Reinvestment of cash distributions -- -- 4 2
Cost of shares repurchased -- -- (167,907) (192,035)
-------- -------- ---------- ----------
Increase (decrease) in net assets from Class B transactions -- -- 27,710 (18,243)
-------- -------- ---------- ----------
Class C:
Proceeds from shares issued 84,434 40,529 52,451 8,448
Reinvestment of cash distributions -- -- 128 73
Cost of shares repurchased (74,221) (25,839) (51,986) (4,586)
-------- -------- ---------- ----------
Increase in net assets from Class C transactions 10,213 14,690 593 3,935
-------- -------- ---------- ----------
Class G:
Proceeds from shares issued -- -- -- --
Reinvestment of cash distributions -- -- -- --
Cost of shares repurchased -- -- -- --
-------- -------- ---------- ----------
Increase (decrease) in net assets from Class G transactions -- -- -- --
-------- -------- ---------- ----------
INCREASE (DECREASE) IN NET ASSETS DERIVED FROM
CAPITAL SHARE TRANSACTIONS 23,318 30,371 390,903 6,167
-------- -------- ---------- ----------
Net increase (decrease) in net assets 23,317 30,382 390,762 6,270
-------- -------- ---------- ----------
NET ASSETS:
Beginning of Period 69,511 39,129 448,632 442,362
-------- -------- ---------- ----------
End of Period $ 92,828 $ 69,511 $ 839,394 $ 448,632
======== ======== ========== ==========
<FN>
AMOUNTS DESIGNATED AS "--" ARE EITHER $0 OR HAVE BEEN ROUNDED TO $0.
</FN>
</TABLE>
24 & 25
<PAGE>
STATEMENTS OF CHANGES IN NET ASSETS (000)
================================================================================
SEI DAILY INCOME TRUST--FOR THE YEARS ENDED JANUARY 31
<TABLE>
<CAPTION>
------------------ ------------------
SHORT- INTERMEDIATE-
DURATION DURATION
GOVERNMENT GOVERNMENT
------------------ ------------------
1997 1996 1997 1996
------------------ ------------------
OPERATIONS:
<S> <C> <C> <C> <C>
Net investment income $ 4,068 $ 4,890 $ 8,284 $ 11,693
Net realized gain (loss) from security transactions 60 (210) 1,192 1,392
Net change in unrealized appreciation (depreciation) of investments (944) 3,207 (5,738) 13,934
------- ------- -------- --------
Net increase (decrease) in net assets from operations 3,184 7,887 3,738 27,019
------- ------- -------- --------
DIVIDENDS DISTRIBUTED FROM:
Net investment income:
Class A (4,209) (4,882) (8,283) (11,683)
Class B (1) (7) -- (5)
Class D -- (1) (1) (5)
Net realized gains:
Class A -- -- -- --
Class B -- -- -- --
Class D -- -- -- --
------- ------- -------- --------
Total dividends distributed (4,210) (4,890) (8,284) (11,693)
------- ------- -------- --------
CAPITAL SHARE TRANSACTIONS:
Class A:
Proceeds from shares issued 51,283 54,202 52,840 35,080
Reinvestment of cash distributions 1,604 1,484 1,505 1,840
Cost of shares repurchased (51,748) (84,705) (81,096) (130,929)
------- ------- -------- --------
Increase (decrease) in net assets from Class A transactions 1,139 (29,019) (26,751) (94,009)
------- ------- -------- --------
Class B:
Proceeds from shares issued -- 1 -- --
Reinvestment of cash distributions -- -- -- --
Cost of shares repurchased (25) (98) -- (96)
------- ------- -------- --------
Decrease in net assets from Class B transactions (25) (97) -- (96)
------- ------- -------- --------
Class D:
Proceeds from shares issued -- 11 -- 26
Reinvestment of cash distributions -- -- -- 4
Cost of shares repurchased (11) -- (66) (76)
------- ------- -------- --------
Increase (decrease) in net assets from Class D transactions (11) 11 (66) (46)
------- ------- -------- --------
INCREASE (DECREASE) IN NET ASSETS DERIVED FROM CAPITAL SHARE TRANSACTIONS 1,103 (29,105) (26,817) (94,151)
------- ------- -------- --------
Net increase (decrease) in net assets 77 (26,108) (31,363) (78,825)
------- ------- -------- --------
NET ASSETS:
Beginning of Period 73,481 99,589 165,038 243,863
------- ------- -------- --------
End of Period $73,558 $73,481 $133,675 $165,038
======= ======= ======== ========
CAPITAL SHARE TRANSACTIONS:
Class A:
Shares issued 5,168 5,451 5,428 3,585
Shares issued in lieu of cash distributions 162 149 155 188
Shares repurchased (5,220) (8,542) (8,317) (13,494)
------- ------- -------- --------
Total Class A transactions 110 (2,942) (2,734) (9,721)
------- ------- -------- --------
Class B:
Shares issued -- -- -- --
Shares issued in lieu of cash distributions -- -- -- --
Shares repurchased (3) (10) -- (10)
------- ------- -------- --------
Total Class B transactions (3) (10) -- (10)
------- ------- -------- --------
Class D:
Shares issued -- 1 -- 3
Shares issued in lieu of cash distributions -- -- -- --
Shares repurchased (1) -- (6) (8)
------- ------- -------- --------
Total Class D transactions (1) 1 (6) (5)
------- ------- -------- --------
Increase (decrease) in capital shares 106 (2,951) (2,740) (9,736)
======= ======= ======== ========
------------------ -----------------
CORPORATE
DAILY
GNMA INCOME
------------------ -----------------
1997 1996 1997 1996
------------------ -----------------
OPERATIONS:
Net investment income $ 8,337 $ 10,622 $ 2,734 $ 3,164
Net realized gain (loss) from security transactions (414) (1,931) 57 530
Net change in unrealized appreciation (depreciation) of investments (2,894) 13,217 (334) 737
-------- -------- -------- --------
Net increase (decrease) in net assets from operations 5,029 21,908 2,457 4,431
-------- -------- -------- --------
DIVIDENDS DISTRIBUTED FROM:
Net investment income:
Class A (8,333) (10,609) (2,734) (3,164)
Class B -- (1) -- --
Class D (4) (12) -- --
Net realized gains:
Class A -- -- (56) (168)
Class B -- -- -- --
Class D -- -- -- --
-------- -------- -------- --------
Total dividends distributed (8,337) (10,622) (2,790) (3,332)
-------- -------- -------- --------
CAPITAL SHARE TRANSACTIONS:
Class A:
Proceeds from shares issued 27,248 35,784 32,404 33,220
Reinvestment of cash distributions 1,950 2,093 1,781 1,876
Cost of shares repurchased (60,395) (94,982) (26,608) (38,151)
-------- -------- -------- --------
Increase (decrease) in net assets from Class A transactions (31,197) (57,105) 7,577 (3,055)
-------- -------- -------- --------
Class B:
Proceeds from shares issued -- -- -- --
Reinvestment of cash distributions -- -- -- --
Cost of shares repurchased (14) -- -- --
-------- -------- -------- --------
Decrease in net assets from Class B transactions (14) -- -- --
-------- -------- -------- --------
Class D:
Proceeds from shares issued -- 17 -- --
Reinvestment of cash distributions 3 10 -- --
Cost of shares repurchased (164) (49) -- --
-------- -------- -------- --------
Increase (decrease) in net assets from Class D transactions (161) (22) -- --
-------- -------- -------- --------
INCREASE (DECREASE) IN NET ASSETS DERIVED FROM CAPITAL SHARE TRANSACTIONS (31,372) (57,127) 7,577 (3,055)
-------- -------- -------- --------
Net increase (decrease) in net assets (34,680) (45,841) 7,244 (1,956)
-------- -------- -------- --------
NET ASSETS:
Beginning of Period 136,567 182,408 48,539 50,495
-------- -------- -------- --------
End of Period $101,887 $136,567 $ 55,783 $ 48,539
======== ======== ======== ========
CAPITAL SHARE TRANSACTIONS:
Class A:
Shares issued 2,840 3,727 16,320 16,731
Shares issued in lieu of cash distributions 205 218 897 942
Shares repurchased (6,326) (9,957) (13,400) (19,144)
-------- -------- -------- --------
Total Class A transactions (3,281) (6,012) 3,817 (1,471)
-------- -------- -------- --------
Class B:
Shares issued -- -- -- --
Shares issued in lieu of cash distributions -- -- -- --
Shares repurchased (2) -- -- --
-------- -------- -------- --------
Total Class B transactions (2) -- -- --
-------- -------- -------- --------
Class D:
Shares issued -- 2 -- --
Shares issued in lieu of cash distributions -- 1 -- --
Shares repurchased (16) (5) -- --
-------- -------- -------- --------
Total Class D transactions (16) (2) -- --
-------- -------- -------- --------
Increase (decrease) in capital shares (3,299) (6,014) 3,817 (1,471)
======== ======== ======== ========
--------------
SHORT-
DURATION
MORTGAGE
--------------
1997(1) 1996
--------------
OPERATIONS:
Net investment income $ 31 $ 174
Net realized gain (loss) from security transactions 5 44
Net change in unrealized appreciation (depreciation) of investments (41) 31
------- -------
Net increase (decrease) in net assets from operations (5) 249
------- -------
DIVIDENDS DISTRIBUTED FROM:
Net investment income:
Class A (29) (176)
Class B -- --
Class D -- --
Net realized gains:
Class A -- --
Class B -- --
Class D -- --
------- -------
Total dividends distributed (29) (176)
------- -------
CAPITAL SHARE TRANSACTIONS:
Class A:
Proceeds from shares issued 338 1,707
Reinvestment of cash distributions 12 53
Cost of shares repurchased (2,131) (3,625)
------- -------
Increase (decrease) in net assets from Class A transactions (1,781) (1,865)
------- -------
Class B:
Proceeds from shares issued -- --
Reinvestment of cash distributions -- --
Cost of shares repurchased -- --
------- -------
Decrease in net assets from Class B transactions -- --
------- -------
Class D:
Proceeds from shares issued -- --
Reinvestment of cash distributions -- --
Cost of shares repurchased -- --
------- -------
Increase (decrease) in net assets from Class D transactions -- --
------- -------
INCREASE (DECREASE) IN NET ASSETS DERIVED FROM CAPITAL SHARE TRANSACTIONS (1,718) (1,865)
------- -------
Net increase (decrease) in net assets (1,815) (1,792)
------- -------
NET ASSETS:
Beginning of Period 1,815 3,607
------- -------
End of Period $ -- $ 1,815
======= =======
CAPITAL SHARE TRANSACTIONS:
Class A:
Shares issued 34 174
Shares issued in lieu of cash distributions 1 6
Shares repurchased (219) (370)
------- -------
Total Class A transactions (184) (190)
------- -------
Class B:
Shares issued -- --
Shares issued in lieu of cash distributions -- --
Shares repurchased -- --
------- -------
Total Class B transactions -- --
------- -------
Class D:
Shares issued -- --
Shares issued in lieu of cash distributions -- --
Shares repurchased -- --
------- -------
Total Class D transactions -- --
------- -------
Increase (decrease) in capital shares (184) (190)
======= =======
<FN>
(1) SHORT-DURATION MORTGAGE PORTFOLIO CLOSED ON JUNE 4, 1996.
</FN>
</TABLE>
26 & 27
<PAGE>
FINANCIAL HIGHLIGHTS
================================================================================
SEI DAILY INCOME TRUST--FOR THE YEARS ENDED JANUARY 31
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
<TABLE>
<CAPTION>
RATIO OF
RATIO RATIO NET
OF NET OF INVESTMENT
INVEST- EXPENSES INCOME
NET DISTRI- DISTRI- MENT TO TO
NET REALIZED AND BUTIONS BUTIONS NET RATIO OF INCOME AVERAGE AVERAGE
ASSET NET UNREALIZED FROM NET FROM ASSETS EXPENSES TO NET NET
VALUE INVEST- GAINS INVEST- REALIZED NET ASSET END OF TO AVERAGE ASSETS ASSETS
BEGINNING MENT (LOSSES) ON MENT CAPITAL VALUE END TOTAL PERIOD AVERAGE NET (EXCLUDING (EXCLUDING
OF PERIOD INCOME SECURITIES INCOME GAINS PERIOD RETURN (000) NET ASSETS ASSETS WAIVERS) WAIVERS)
- -----------------------------------------------------------------------------------------------------------------------------------
- -----------------------
MONEY MARKET PORTFOLIO
- -----------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
CLASS A
1997 $1.00 $0.05 $-- $(0.05) $-- $1.00 5.44% $369,052 0.16% 5.33% 0.63% 4.86%
1996 1.00 0.06 -- (0.06) -- 1.00 5.98 95,891 0.20 5.88 0.45 5.63
1995 1.00 0.04 -- (0.04) -- 1.00 4.55 213,988 0.21 4.49 0.45 4.25
1994 1.00 0.03 -- (0.03) -- 1.00 2.98 203,803 0.35 2.95 0.44 2.86
1993 1.00 0.04 -- (0.04) -- 1.00 3.60 264,450 0.35 3.56 0.39 3.52
CLASS B
1997 1.00 0.05 -- (0.05) -- 1.00 5.13 770 0.50 4.96 0.76 4.70
1996 1.00 0.06 -- (0.06) -- 1.00 5.67 6,616 0.50 5.53 0.75 5.28
1995 1.00 0.04 -- (0.04) -- 1.00 4.24 6,314 0.51 4.49 0.75 4.25
1994 1.00 0.03 -- (0.03) -- 1.00 2.68 2,334 0.65 2.65 0.74 2.56
1993 1.00 0.04 -- (0.04) -- 1.00 3.29 309 0.65 3.47 0.69 3.43
CLASS C
1997 1.00 0.05 -- (0.05) -- 1.00 4.92 30,528 0.66 4.84 0.92 4.58
1996(1) 1.00 0.04 -- (0.04) -- 1.00 3.79+ 2,460 0.70 5.17 0.96 4.91
- -----------------------
GOVERNMENT PORTFOLIO
- -----------------------
CLASS A
1997 $1.00 $0.05 $-- $(0.05) $-- $1.00 5.33% $116,373 0.20% 5.22% 0.55% 4.87%
1996(2) 1.00 0.01 -- (0.01) -- 1.00 1.48+ 48,762 0.20 5.55 0.33 5.42
1994(3) 1.00 0.01 -- (0.01) -- 1.00 3.22 -- 0.20 3.04 0.37 2.87
1993(4) 1.00 0.03 -- (0.03) -- 1.00 3.19 20,022 0.20 3.41 0.38 3.23
CLASS B
1997 1.00 0.05 -- (0.05) -- 1.00 5.02 53,144 0.50 4.91 0.62 4.79
1996(5) 1.00 0.02 -- (0.02) -- 1.00 2.39+ 14,997 0.50 5.27 0.63 5.14
CLASS G
1997 1.00 0.05 -- (0.05) -- 1.00 4.69 617,186 0.82 4.59 1.03 4.38
1996 1.00 0.05 -- (0.05) -- 1.00 5.39 542,936 0.70 5.23 0.84 5.09
1995(6) 1.00 0.03 -- (0.03) -- 1.00 3.41+ 310,835 0.70 4.32 0.89 4.13
- -----------------------
GOVERNMENT II PORTFOLIO
- -----------------------
CLASS A
1997 $1.00 $0.05 $-- $(0.05) $-- $1.00 5.29% $762,015 0.20% 5.17% 0.45% 4.92%
1996 1.00 0.06 -- (0.06) -- 1.00 5.83 810,365 0.20 5.69 0.29 5.60
1995 1.00 0.04 -- (0.04) -- 1.00 4.39 786,405 0.20 4.33 0.30 4.23
1994 1.00 0.03 -- (0.03) -- 1.00 3.02 738,040 0.20 2.98 0.29 2.89
1993 1.00 0.04 -- (0.04) -- 1.00 3.57 664,540 0.20 3.48 0.29 3.39
CLASS B
1997 1.00 0.05 -- (0.05) -- 1.00 4.98 16,323 0.50 4.87 0.56 4.81
1996 1.00 0.05 -- (0.05) -- 1.00 5.52 19,678 0.50 5.41 0.59 5.32
1995 1.00 0.04 -- (0.04) -- 1.00 4.08 15,201 0.50 4.33 0.60 4.23
1994 1.00 0.03 -- (0.03) -- 1.00 2.71 21,462 0.50 2.68 0.60 2.58
1993 1.00 0.03 -- (0.03) -- 1.00 3.26 338 0.50 3.35 0.59 3.26
CLASS C
1997 (7) 1.00 0.01 -- (0.01) -- 1.00 4.71 6,359 0.70 4.69 0.75 4.64
</TABLE>
28
<PAGE>
================================================================================
<TABLE>
<CAPTION>
RATIO OF
RATIO RATIO NET
OF NET OF INVESTMENT
INVEST- EXPENSES INCOME
NET DISTRI- DISTRI- MENT TO TO
NET REALIZED AND BUTIONS BUTIONS NET RATIO OF INCOME AVERAGE AVERAGE
ASSET NET UNREALIZED FROM NET FROM ASSETS EXPENSES TO NET NET
VALUE INVEST- GAINS INVEST- REALIZED NET ASSET END OF TO AVERAGE ASSETS ASSETS
BEGINNING MENT (LOSSES) ON MENT CAPITAL VALUE END TOTAL PERIOD AVERAGE NET (EXCLUDING (EXCLUDING
OF PERIOD INCOME SECURITIES INCOME GAINS PERIOD RETURN (000) NET ASSETS ASSETS WAIVERS) WAIVERS)
- -----------------------------------------------------------------------------------------------------------------------------------
- --------------------------
PRIME OBLIGATION PORTFOLIO
- --------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
CLASS A
1997 $1.00 $0.05 $-- $(0.05) $-- $1.00 5.38% $2,626,360 0.20% 5.26% 0.45% 5.01%
1996 1.00 0.06 -- (0.06) -- 1.00 5.96 2,441,662 0.20 5.82 0.29 5.73
1995 1.00 0.04 -- (0.04) -- 1.00 4.46 2,778,326 0.20 4.41 0.30 4.31
1994 1.00 0.03 -- (0.03) -- 1.00 3.10 2,541,126 0.20 3.07 0.28 2.98
1993 1.00 0.04 -- (0.04) -- 1.00 3.72 2,564,340 0.20 3.62 0.30 3.52
CLASS B
1997 1.00 0.05 -- (0.05) -- 1.00 5.07 146,267 0.50 4.95 0.56 4.89
1996 1.00 0.06 -- (0.06) -- 1.00 5.65 174,779 0.50 5.38 0.58 5.30
1995 1.00 0.04 -- (0.04) -- 1.00 4.15 21,852 0.50 4.55 0.60 4.45
1994 1.00 0.03 -- (0.03) -- 1.00 2.79 6,312 0.50 2.77 0.58 2.68
1993 1.00 0.04 -- (0.04) -- 1.00 3.41 4,699 0.47 3.63 0.53 3.57
CLASS C
1997(8) 1.00 0.04 -- (0.04) -- 1.00 4.85 4,332 0.70 4.79 0.74 4.75
1995(9) 1.00 0.03 -- (0.03) -- 1.00 2.55+ -- 0.70 2.79 0.77 2.72
1994 1.00 0.03 -- (0.03) -- 1.00 2.59 20,602 0.70 2.57 0.78 2.48
1993(10) 1.00 0.03 -- (0.03) -- 1.00 3.13 85,325 0.70 3.05 0.83 2.92
- -----------------------
TREASURY PORTFOLIO
- -----------------------
CLASS A
1997 $1.00 $0.05 $-- $(0.05) $-- $1.00 5.32% $67,924 0.20% 5.19% 0.60% 4.79%
1996 1.00 0.06 -- (0.06) -- 1.00 5.89 54,820 0.20 5.72 0.36 5.56
1995 1.00 0.04 -- (0.04) -- 1.00 4.29 39,129 0.20 4.17 0.34 4.03
1994 1.00 0.03 -- (0.03) -- 1.00 3.00 46,296 0.20 2.96 0.33 2.82
1993(11) 1.00 0.01 -- (0.01) -- 1.00 2.91 44,624 0.20 2.89 0.42 2.67
CLASS C
1997 1.00 0.05 -- (0.05) -- 1.00 4.80 24,904 0.70 4.70 0.90 4.50
1996(12) 1.00 0.03 -- (0.03) -- 1.00 2.68+ 14,691 0.70 5.12 0.87 4.95
- -----------------------
TREASURY II PORTFOLIO
- -----------------------
CLASS A
1997 $1.00 $0.05 $-- $(0.05) $-- $1.00 5.07% $780,718 0.25% 4.96% 0.52% 4.69%
1996 1.00 0.05 -- (0.05) -- 1.00 5.58 418,250 0.25 5.44 0.34 5.35
1995 1.00 0.04 -- (0.04) -- 1.00 4.17 397,682 0.25 4.11 0.35 4.01
1994 1.00 0.03 -- (0.03) -- 1.00 2.88 364,334 0.25 2.84 0.34 2.76
1993 1.00 0.03 -- (0.03) -- 1.00 3.46 352,435 0.25 3.40 0.34 3.31
CLASS B
1997 1.00 0.05 -- (0.05) -- 1.00 4.76 54,148 0.55 4.65 0.63 4.57
1996 1.00 0.05 -- (0.05) -- 1.00 5.27 26,447 0.55 5.18 0.64 5.09
1995 1.00 0.04 -- (0.04) -- 1.00 3.86 44,680 0.55 3.71 0.65 3.61
1994 1.00 0.03 -- (0.03) -- 1.00 2.57 22,448 0.55 2.54 0.64 2.46
1993 1.00 0.03 -- (0.03) -- 1.00 3.15 6,038 0.55 3.42 0.64 3.33
CLASS C
1997 1.00 0.04 -- (0.04) -- 1.00 4.55 4,528 0.75 4.45 0.82 4.38
1996(13) 1.00 0.04 -- (0.04) -- 1.00 3.64+ 3,935 0.75 4.85 0.84 4.76
</TABLE>
+ RETURNS ARE FOR THE PERIOD INDICATED AND HAVE NOT BEEN ANNUALIZED.
1 MONEY MARKET CLASS C SHARES WERE OFFERED BEGINNING MAY 17, 1995. ALL RATIOS
FOR THAT PERIOD HAVE BEEN ANNUALIZED.
2 GOVERNMENT CLASS A SHARES WERE RE-OFFERED BEGINNING OCTOBER 27, 1995. ALL
RATIOS FOR THAT PERIOD HAVE BEEN ANNUALIZED.
3 GOVERNMENT CLASS A SHARES WERE FULLY LIQUIDATED JUNE 2, 1993. ALL
RATIOS INCLUDING TOTAL RETURN FOR THAT PERIOD HAVE BEEN ANNUALIZED.
4 GOVERNMENT CLASS A SHARES WERE OFFERED BEGINNING MARCH 8, 1992.
ALL RATIOS INCLUDING TOTAL RETURN FOR THAT PERIOD HAVE BEEN ANNUALIZED.
5 GOVERNMENT CLASS B SHARES WERE OFFERED BEGINNING AUGUST 22, 1995.
ALL RATIOS FOR THAT PERIOD HAVE BEEN ANNUALIZED.
6 GOVERNMENT CLASS G (FORMERLY CLASS C) SHARES WERE OFFERED
BEGINNING APRIL 7, 1994. ALL RATIOS FOR THAT PERIOD HAVE BEEN ANNUALIZED.
7 GOVERNMENT II CLASS C SHARES WERE OFFERED BEGINNING NOVEMBER 27, 1996. ALL
RATIOS INCLUDING TOTAL RETURN FOR THAT PERIOD HAVE BEEN ANNUALIZED.
8 PRIME OBLIGATION CLASS C SHARES WERE RE-OFFERED BEGINNING APRIL 30, 1996.
ALL RATIOS INCLUDING TOTAL RETURN FOR THE PERIOD HAVE BEEN ANNUALIZED.
9 PRIME OBLIGATION CLASS C SHARES WERE FULLY LIQUIDATED OCTOBER 27, 1994.
ALL RATIOS FOR THAT PERIOD HAVE BEEN ANNUALIZED.
10 PRIME OBLIGATION CLASS C SHARES WERE OFFERED BEGINNING MARCH 25, 1992.
ALL RATIOS INCLUDING TOTAL RETURN FOR THAT PERIOD HAVE BEEN ANNUALIZED.
11 TREASURY CLASS A SHARES WERE OFFERED BEGINNING SEPTEMBER 30, 1992.
ALL RATIOS INCLUDING TOTAL RETURN FOR THAT PERIOD HAVE BEEN ANNUALIZED.
12 TREASURY CLASS C SHARES WERE OFFERED BEGINNING JULY 27, 1995. ALL RATIOS FOR
THAT PERIOD HAVE BEEN ANNUALIZED.
13 TREASURY II CLASS C SHARES WERE OFFERED BEGINNING MAY 8, 1995.
ALL RATIOS FOR THAT PERIOD HAVE BEEN ANNUALIZED.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
29
<PAGE>
FINANCIAL HIGHLIGHTS (concluded)
================================================================================
SEI DAILY INCOME TRUST--FOR THE YEARS ENDED JANUARY 31
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
<TABLE>
RATIO OF
RATIO RATIO NET
OF NET OF INVESTMENT
INVEST- EXPENSES INCOME
NET DISTRI- DISTRI- RATIO OF MENT TO TO
NET REALIZED AND BUTIONS BUTIONS NET EXPENSES INCOME AVERAGE AVERAGE PORT-
ASSET NET UNREALIZED FROM NET FROM ASSETS TO TO NET NET FOLIO
VALUE INVEST- GAINS INVEST- REALIZED NET ASSET END OF AVERAGE AVERAGE ASSETS ASSETS TURN-
BEGINNING MENT (LOSSES) ON MENT CAPITAL VALUE END TOTAL PERIOD NET NET (EXCLUDING (EXCLUDING OVER
OF PERIOD INCOME SECURITIES INCOME GAINS PERIOD RETURN (000) ASSETS ASSETS WAIVERS) WAIVERS) RATE
- -----------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------
SHORT-DURATION GOVERNMENT PORTFOLIO
- ------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
CLASS A
1997 $10.09 $0.57 $(0.12) $(0.59) $ -- $ 9.95 4.62% $ 73,545 0.45% 5.72% 0.70% 5.47% 145%
1996 9.73 0.61 0.36 (0.61) -- 10.09 10.27 73,431 0.45 6.13 0.53 6.05 184
1995 10.06 0.40 (0.32) (0.40) (0.01) 9.73 0.93 99,458 0.45 4.12 0.52 4.05 45
1994 10.13 0.40 0.04 (0.40) (0.11) 10.06 4.41 128,063 0.45 3.98 0.52 3.91 105
1993 10.09 0.52 0.14 (0.52) (0.10) 10.13 6.66 100,153 0.45 5.04 0.55 4.94 80
CLASS B
1997 10.07 0.55 (0.12) (0.56) -- 9.94 4.40 13 0.75 5.49 0.82 5.42 145
1996 9.71 0.58 0.36 (0.58) -- 10.07 9.94 39 0.75 5.85 0.83 5.77 184
1995 10.04 0.38 (0.32) (0.38) (0.01) 9.71 0.70 131 0.75 3.92 0.82 3.85 45
1994 10.13 0.37 0.02 (0.37) (0.11) 10.04 3.93 37 0.75 3.67 0.82 3.60 105
1993 10.09 0.48 0.14 (0.48) (0.10) 10.13 6.34 135 0.75 4.74 0.85 4.64 80
CLASS D*
1997(1) 10.09 0.23 (0.19) (0.23) -- 9.90 (0.35)+ -- 0.85 5.54 0.94 5.45 87
1996(2) 9.83 0.54 0.26 (0.54) -- 10.09 8.31+ 11 0.85 5.86 0.93 5.78 184
- ------------------------------------------
INTERMEDIATE-DURATION GOVERNMENT PORTFOLIO
- ------------------------------------------
CLASS A
1997 $10.06 $0.55 $(0.28) $(0.55) $ -- $ 9.78 2.81% $133,675 0.49% 5.59% 0.69% 5.39% 94%
1996 9.33 0.60 0.73 (0.60) -- 10.06 14.60 164,978 0.45 6.12 0.53 6.04 115
1995 10.13 0.50 (0.73) (0.50) (0.07) 9.33 (2.19) 243,671 0.45 5.20 0.52 5.13 61
1994 10.23 0.54 0.11 (0.54) (0.21) 10.13 6.44 336,814 0.45 5.24 0.53 5.16 56
1993 10.06 0.62 0.28 (0.62) (0.11) 10.23 9.51 259,488 0.45 6.16 0.53 6.08 52
CLASS B
1996(3) 9.33 0.50 0.65 (0.50) -- 9.98 12.26+ -- 0.75 5.82 0.83 5.74 115
1995(4) 9.64 0.31 (0.24) (0.31) (0.07) 9.33 0.61+ 93 0.75 5.07 0.83 4.99 61
CLASS D*
1997(5) 10.05 0.20 (0.40) (0.20) -- 9.65 (1.93)+ -- 0.87 5.19 0.93 5.13 45
1996 9.32 0.56 0.73 (0.56) -- 10.05 14.15 60 0.85 5.73 0.93 5.65 115
1995 10.13 0.47 (0.74) (0.47) (0.07) 9.32 (2.61) 99 0.84 4.80 0.92 4.72 61
1994(6) 10.44 0.17 (0.10) (0.17) (0.21) 10.13 1.52 107 0.75 4.94 0.83 4.86 56
- ------------------------------------------
GNMA PORTFOLIO
- ------------------------------------------
CLASS A
1997 $9.84 $0.65 $(0.21) $(0.65) $ -- $ 9.63 4.70% $101,887 0.57% 6.76% 0.68% 6.65% 12%
1996 9.17 0.67 0.67 (0.67) -- 9.84 15.06 136,394 0.49 7.04 0.51 7.02 20
1995 10.07 0.64 (0.90) (0.64) -- 9.17 (2.46) 182,225 0.47 6.89 0.50 6.86 85
1994 10.22 0.66 (0.06) (0.66) (0.09) 10.07 6.09 262,162 0.45 6.38 0.50 6.32 70
1993 9.99 0.75 0.27 (0.75) (0.04) 10.22 10.92 193,204 0.45 7.49 0.52 7.42 23
CLASS B
1997(7) 9.84 0.28 (0.46) (0.28) -- 9.38 (1.88)+ -- 0.78 6.54 0.80 6.52 7
1996 9.17 0.64 0.67 (0.64) -- 9.84 14.72 15 0.79 6.71 0.81 6.69 20
1995(8) 9.16 0.35 0.01 (0.35) -- 9.17 4.00+ 14 0.79 6.80 0.82 6.77 85
CLASS D*
1997(9) 9.83 0.25 (0.38) (0.25) -- 9.45 (1.32)+ -- 0.89 6.46 0.91 6.44 6
1996 9.16 0.63 0.67 (0.63) -- 9.83 14.61 158 0.89 6.62 0.91 6.60 20
1995 10.09 0.61 (0.93) (0.61) -- 9.16 (3.04) 169 0.86 6.54 0.89 6.51 85
1994(10)10.22 0.19 (0.04) (0.19) (0.09) 10.09 4.24 133 0.75 6.06 0.80 6.01 70
</TABLE>
30
<PAGE>
================================================================================
<TABLE>
RATIO OF
RATIO RATIO NET
OF NET OF INVESTMENT
INVEST- EXPENSES INCOME
NET DISTRI- DISTRI- RATIO OF MENT TO TO
NET REALIZED AND BUTIONS BUTIONS NET EXPENSES INCOME AVERAGE AVERAGE PORT-
ASSET NET UNREALIZED FROM NET FROM ASSETS TO TO NET NET FOLIO
VALUE INVEST- GAINS INVEST- REALIZED NET ASSET END OF AVERAGE AVERAGE ASSETS ASSETS TURN-
BEGINNING MENT (LOSSES) ON MENT CAPITAL VALUE END TOTAL PERIOD NET NET (EXCLUDING (EXCLUDING OVER
OF PERIOD INCOME SECURITIES INCOME GAINS PERIOD RETURN (000) ASSETS ASSETS WAIVERS) WAIVERS) RATE
- -----------------------------------------------------------------------------------------------------------------------------------
- ---------------------------------
CORPORATE DAILY INCOME PORTFOLIO
- ---------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
CLASS A
1997 $2.00 $0.11 $(0.01) $(0.11) $-- $1.99 5.21% $55,783 0.36% 5.49% 0.73% 5.12% 141%
1996 1.96 0.12 0.05 (0.12) (0.01) 2.00 8.65 48,539 0.35 5.97 0.55 5.77 295
1995 2.00 0.09 (0.04) (0.09) -- 1.96 2.59 50,495 0.35 4.60 0.55 4.40 147
1994(11) 2.00 0.02 -- (0.02) -- 2.00 3.45 43,655 0.35 3.45 0.63 3.18 34
- ---------------------------------
SHORT-DURATION MORTGAGE PORTFOLIO
- ---------------------------------
CLASS A
1997(12)$9.88 $0.20 $0.66 $(0.19) $-- $10.55 8.78%+ $ -- 0.47% 6.33% 1.09% 5.71% 312%
1996 9.64 0.63 0.25 (0.64) -- 9.88 9.43 1,815 0.45 6.50 0.80 6.15 356
1995 9.90 0.48 (0.24) (0.48) (0.02) 9.64 2.29 3,607 0.45 4.90 0.64 4.71 741
1994(13)10.00 0.22 (0.10) (0.22) -- 9.90 1.84 3,921 0.45 3.16 0.93 2.68 166
</TABLE>
+ 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-DURATION GOVERNMENT CLASS D SHARES WERE FULLY LIQUIDATED JUNE 28, 1996.
ALL RATIOS FOR THAT PERIOD HAVE BEEN ANNUALIZED.
2 SHORT-DURATION GOVERNMENT CLASS D SHARES WERE OFFERED BEGINNING FEBRUARY 28,
1995. ALL RATIOS FOR THAT PERIOD HAVE BEEN ANNUALIZED.
3 INTERMEDIATE-DURATION GOVERNMENT CLASS B SHARES WERE FULLY LIQUIDATED
DECEMBER 22, 1995. ALL RATIOS FOR THAT PERIOD HAVE BEEN ANNUALIZED.
4 INTERMEDIATE-DURATION GOVERNMENT CLASS B SHARES WERE OFFERED BEGINNING JUNE
8, 1994. ALL RATIOS FOR THAT PERIOD HAVE BEEN ANNUALIZED.
5 INTERMEDIATE-DURATION GOVERNMENT CLASS D SHARES WERE FULLY LIQUIDATED
JUNE 28, 1996. ALL RATIOS INCLUDING TOTAL RETURN FOR THAT PERIOD HAVE
BEEN ANNUALIZED.
6 INTERMEDIATE-DURATION GOVERNMENT CLASS D SHARES WERE OFFERED BEGINNING
SEPTEMBER 26, 1993. ALL RATIOS INCLUDING TOTAL RETURN FOR THAT PERIOD HAVE
BEEN ANNUALIZED.
7 GNMA CLASS B SHARES WERE FULLY LIQUIDATED JULY 10, 1996. ALL RATIOS FOR THAT
PERIOD HAVE BEEN ANNUALIZED.
8 GNMA CLASS B SHARES WERE OFFERED BEGINNING JULY 12, 1994. ALL RATIOS
INCLUDING TOTAL RETURN FOR THAT PERIOD HAVE BEEN ANNUALIZED.
9 GNMA CLASS D SHARES FULLY LIQUIDATED JUNE 28, 1996. ALL RATIOS FOR THAT
PERIOD HAVE BEEN ANNUALIZED.
10 GNMA CLASS D SHARES WERE OFFERED BEGINNING
SEPTEMBER 30, 1993. ALL RATIOS INCLUDING TOTAL RETURN FOR THAT PERIOD HAVE
BEEN ANNUALIZED.
11 CORPORATE DAILY INCOME CLASS A SHARES WERE OFFERED
BEGINNING SEPTEMBER 28, 1993. ALL RATIOS INCLUDING TOTAL RETURN FOR THAT
PERIOD HAVE BEEN ANNUALIZED.
12 SHORT-DURATION MORTGAGE CLASS A SHARES WERE FULLY LIQUIDATED JUNE 4, 1996.
ALL RATIOS FOR THAT PERIOD HAVE BEEN ANNUALIZED.
13 SHORT-DURATION MORTGAGE CLASS A SHARES WERE OFFERED BEGINNING MAY 20, 1993.
ALL RATIOS INCLUDING TOTAL RETURN FOR THAT PERIOD HAVE BEEN ANNUALIZED.
PRIOR TO JUNE 30, 1994, BEAR STEARNS ASSET MANAGEMENT SERVED AS THE
INVESTMENT ADVISER.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
31
<PAGE>
NOTES TO FINANCIAL STATEMENTS
===============================================================================
SEI DAILY INCOME TRUST-- JANUARY 31, 1997
1. ORGANIZATION
SEI Daily Income Trust (the "Trust") was organized as a Massachusetts business
trust under a Declaration of Trust dated March 15, 1982.
The Trust is registered under the Investment Company Act of 1940, as
amended, as a diversified, open-end investment company with ten operational
Portfolios: the Money Market Portfolio, the Government Portfolio, the Government
II Portfolio, the Prime Obligation Portfolio, the Treasury Portfolio, the
Treasury II Portfolio (collectively the "Money Market Portfolios"), the
Short-Duration Government Portfolio (formerly the Short-Term Government
Portfolio), the Intermediate-Duration Government Portfolio (formerly the
Intermediate-Term Government Portfolio), the GNMA Portfolio, and the Corporate
Daily Income Portfolio (collectively the "Fixed Income Portfolios"). The
Portfolios' prospectus provides a description of each Portfolio's investment
objectives, policies and strategies. The assets of each portfolio are
segregated, and a shareholder's interest is limited to the Portfolio in which
shares are held.
On June 4, 1996, the Short-Duration Mortgage Portfolio (formerly the
Short-Term Mortgage Portfolio) closed and all of the outstanding shares of the
Portfolio were redeemed. SEI Fund Management, the Manager of the Portfolio,
agreed to bear the costs associated with the liquidation of the Portfolio which
approximated $11,400.
2. SIGNIFICANT ACCOUNTING POLICIES
The following is a summary of significant accounting policies followed by the
Portfolios.
SECURITY VALUATION--Investment securities of the Money Market Portfolios
are stated at amortized cost which approximates market value. Under this
valuation method, purchase discounts and premiums are accreted and amortized
ratably to maturity and are included in interest income.
Investment securities of the Fixed Income Portfolios which are listed on a
securities exchange for which market quotations are available are valued by an
independent pricing service at the last quoted sales price for such securities
on each business day. If there is no such reported sale, those securities for
which market quotations are readily available are valued at the most recent
quoted bid price. Unlisted securities for which market quotations are readily
available are valued at the most recently quoted price with estimates of such
values determined under certain market conditions using procedures determined in
good faith by the Board of Trustees. Debt obligations with sixty days or less
remaining until maturity may be valued at their amortized cost.
FEDERAL INCOME TAXES--It is each Portfolio's intention to continue to
qualify as a regulated investment company and distribute all of its taxable
income and net capital gains. 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 Distributions by Investment Companies," $4,895, $6,728 and $216,506
relating to permanent differences attributable to the classification of
short-term capital gains as ordinary income for tax purposes of the Government,
Treasury and Treasury II Funds, respectively, as of January 31, 1997, have been
reclassified between each portfolio's, accumulated net realized gains/losses and
undistributed net investment income accounts. These reclassifications have no
effect on net assets or net asset values per share.
NET ASSET VALUE PER SHARE--The net asset value per share is calculated on
each business day separately for each Class of 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.
32
<PAGE>
================================================================================
REPURCHASE AGREEMENTS--Securities pledged as collateral for repurchase
agreements are held by each Portfolio's custodian bank until maturity of the
repurchase agreements. Provisions of the agreements and procedures adopted by
the Adviser ensure that the market value of the collateral, including accrued
interest thereon, is sufficient in the event of default by the counterparty. The
Portfolios also invest in tri-party repurchase agreements. Securities held as
collateral for tri-party repurchase agreements are maintained by the broker's
custodian bank in a segregated account until maturity of the repurchase
agreement. Provisions of the agreements ensure that the market value of the
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.
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 distribution 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.
USE OF ESTIMATES--The financial statements have been prepared in accordance
with generally accepted accounting principles which requires the use of
estimates. Actual results could differ from those estimates.
3. ORGANIZATION COSTS AND
TRANSACTIONS WITH AFFILIATES
Organizational costs have been capitalized by the Trust and are being amortized
on a straight line basis over a period of sixty months commencing with
operations. In the event any of the initial shares of the Trust are redeemed by
any holder thereof during the period that the Trust is amortizing its
organizational costs, the redemption proceeds payable to the holder thereof by
the Trust will be reduced by the unamortized organizational costs in the same
ratio as the number of initial shares being redeemed bears to the number of
initial shares outstanding at the time of redemption.
SEI Fund Management (the "Manager") provides management,
administrative and shareholder services to the Portfolios for an annual fee of
.33% of the average daily net assets of the Money Market Portfolio, .19% each of
the average daily net assets of the Government II and Prime Obligation
Portfolios, .24% each of the average daily net assets of the Government,
Treasury and Treasury II Portfolios, .35% each of the average daily net assets
of the Short-Duration Government, Intermediate-Duration Government, Corporate
Daily Income and Short-Duration Mortgage Portfolios (SEI Fund Management
Corporation served as Manager on behalf of the Short-Duration Mortgage for the
period ended June 4, 1996); and .32% of the average daily net assets of the
GNMA Portfolio. However, the Manager has agreed to waive its annual fee in an
amount which limits total annual expenses of the following Portfolios (including
the annual management fee) to the following amounts set forth in the Management
Agreement (expressed as a percentage of each Portfolio's daily net assets):
MONEY GOV'T PRIME
MARKET GOV'T II OBLIGATION TREASURY TREASURY II
------ ----- ----- ---------- -------- -----------
Class A 1.00% .25% .20% .20% .20% .25%
Class B 1.30% .55% .50% .50% .50% .55%
Class C 1.50% .75% .70% .70% .70% .75%
Class G -- .90% -- -- -- --
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. In addition to
contractual specified expense limits, the Manager may voluntarily waive a
portion of its fee for both the Money Market and Fixed Income Portfolios in
order to limit the operating expenses of the Portfolios.
For the period February 1, 1996 to April 30, 1996, SEI Financial Services
Company ("SFS"), a wholly-owned subsidiary of SEI Investments and a registered
broker-dealer, acted as the distributor of the shares of the Trust under
distribution plans which provide for the Trust to reimburse SFS for certain
distribution-related expenses incurred by SFS.
Effective May 1, 1996, SFS (the "Distributor") continued to act as the
distributor of the shares of the Trust under new Distribution Agreements. The
33
<PAGE>
NOTES TO FINANCIAL STATEMENTS (continued)
===============================================================================
SEI DAILY INCOME TRUST-- JANUARY 31, 1997
Trust has adopted plans under which firms, including the Distributor, that
provide shareholder and administrative services may receive compensation
thereof. The Class A, Class B, Class C and Class G shareholder servicing plans
(the "Shareholder Servicing Plans") provide for servicing fees payable to the
Distributor of .25% of the average daily net assets attributable to that
particular class. For Class A shares of the Money Market Portfolios,
Short-Duration Government Portfolio and Corporate Daily Income Portfolio, no
such fees were levied since the inception of the plan. In addition to the
Shareholder Servicing Plans, the Class B and Class C shares have adopted
administrative services plans that provide for administrative service fees
payable to the Distributor of up to .05% and .25%, respectively, of the average
daily net assets attributable to that class.
The Government Portfolio has adopted a distribution plan for its Class G
shares (the "Class G Plan") pursuant to Rule 12b-1 under the 1940 Act, in
addition to the shareholder servicing plan. The Class G Plan provides for
payments to the Distributor at an annual rate of .50% of the Portfolio's average
daily net assets attributable to Class G shares. These payments are
characterized as "compensation," and are not directly tied to expenses incurred
by the Distributor; the payments the Distributor receives during any year may
therefore be higher or lower than its actual expenses. These payments may be
used to compensate Class G shareholders that provide distribution related
services to their customers.
Certain officers and/or Trustees of the Trust are also officers and/or
Directors of the Manager. The Trust pays each unaffiliated Trustee an annual fee
for attendance at quarterly, interim, and committee meetings. Compensation of
officers and affiliated Trustees is paid by the Manager.
4. INVESTMENT ADVISORY AND CUSTODIAN
AGREEMENT
Under an Investment Advisory Agreement dated September 30, 1983, Wellington
Management Company serves as the Investment Adviser of the Trust on behalf of
the Money Market Portfolios. For its services, the Investment Adviser receives a
monthly fee equal to .075% of the combined average daily net assets up to $500
million and .02% of such assets in excess of $500 million of the Money Market
Portfolios. Such fees are allocated daily on the basis of the relative net
assets of each money market portfolio in the Trust. The Adviser has agreed to
waive 50% of the fee otherwise due for the Government, Government II, Prime
Obligation, Treasury and Treasury II Portfolios. In addition, the Adviser has
voluntarily agreed to waive its remaining fee in an amount proportionate to the
Manager's waiver of its fee.
Under an Investment Advisory Agreement dated December 15, 1986, Wellington
Management Company serves as the Investment Adviser of the Trust on behalf of
the Short-Duration Government, Intermediate-Duration Government and GNMA
Portfolios. Monthly fees are equal to .10% of the Portfolios' combined average
daily net assets up to $500 million, .075% of the next $500 million of such
assets and .05% of such net assets in excess of $1 billion. The Adviser has
voluntarily agreed to waive its remaining fee in an amount proportionate to the
Manager's waiver of its fee. Pursuant to an Investment Advisory Agreement dated
August 4, 1993, Wellington Management Company serves as Investment Adviser for
the Corporate Daily Income Portfolio. Monthly fees are equal to .10% of the
Portfolios' average daily net assets up to $500 million, .075% of the next $500
million and .05% of such net assets in excess of $1 billion. The Adviser has
voluntarily agreed to waive its remaining fee in an amount proportionate to the
Manager's waiver of its fee. Pursuant to an Investment Advisory Agreement dated
June 30, 1994, Wellington Management Company served as the Investment Adviser of
the Trust on behalf of the Short-Duration Mortgage Portfolio for a monthly fee
equal to .10% of the Portfolio's average daily net assets.
Bank of New York serves as custodian of the
34
<PAGE>
===============================================================================
Money Market and Treasury Portfolios under an agreement dated August 1, 1995.
CoreStates Bank, N.A. serves as custodian of the Government, Government II,
Prime Obligation, Treasury II and the Fixed Income Portfolios under an agreement
dated August 30, 1985. The custodians play no role in determining the investment
policies of the Portfolios or which securities are to be purchased or sold in
the Portfolios.
5. INVESTMENT TRANSACTIONS
The cost of security purchases and the proceeds from the sale of securities,
other than temporary investments in short-term securities for the year ended
January 31, 1997, were as follows for the "Fixed Income Portfolios":
INTER-
SHORT- MEDIATE-
DURATION DURATION CORPORATE SHORT-
GOVERN- GOVERN- DAILY DURATION
MENT MENT GNMA INCOME MORTGAGE
(000) (000) (000) (000) (000)
-------- -------- -------- -------- --------
PURCHASES
U.S.
Government $93,446 $131,483 $13,681 $24,435 $2,239
Other -- -- -- 3,076 --
SALES
U.S.
Government $95,197 $159,042 $48,133 $20,782 $3,972
Other -- -- -- 13,131 --
At January 31, 1997, 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, 1997 for each Fixed Income Portfolio is as follows
(in thousands):
SHORT- INTERMEDIATE- CORPORATE SHORT-
DURATION DURATION DAILY DURATION
GOVERNMENT GOVERNMENT GNMA INCOME MORTGAGE
---------- ---------- ------ ------ --------
Aggregate
gross
unrealized
gain $291 $ 432 $ 1,390 $ 51 $ 0
Aggregate
gross
unrealized
loss (97) (1,602) (1,802) (104) $ 0
-------- ------- ------ ------ ------
Net
unrealized
gain/(loss) $194 $(1,170) $ (412) $ (53) $ 0
======== ======== ======= ===== ======
<PAGE>
6. CAPITAL LOSS CARRYFORWARDS
At January 31, 1997, the following portfolios have capital loss carryforwards:
EXPIRATION
AMOUNT DATE
------- -------
Money Market $ 355 2003
401 2005
Government 120,329 2005
Government II 32,234 2001
58,412 2002
84,628 2003
74,842 2005
Prime Obligation 45,241 2003
57,624 2005
Treasury 1,178 2005
Treasury II 141,311 2005
Short-Duration Government 278,802 2003
1,176,473 2004
Intermediate-Duration Government 2,100,933 2003
3,199,945 2004
GNMA 5,227,577 2003
6,472,568 2004
414,209 2005
During the fiscal year ended January 31, 1997, the Intermediate-Duration
Government Portfolio utilized capital loss carryforwards of $1,450,499.
Subsequent to October 31, 1996, the Portfolios recognized net capital
losses for tax purposes that have been deferred and can be used to
offset future capital gains at January 31, 1998.
POST OCTOBER 31, 1996 LOSSES
------------------------
Money Market $ 6,307
Government 27,733
Government II 7,904
Prime Obligation 38,303
Treasury II 20,950
Intermediate-Duration Government 409,670
Corporate Daily Income 121
7. LINE OF CREDIT
The Portfolios have a bank line of credit. Borrowings under the line of credit
are secured by investment securities of the Portfolios equal to 112% of such
borrowings which may not exceed 10% of the Portfolio's total assets. No
borrowings were outstanding at January 31, 1997.
35
<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-Duration Government (formerly Short-Term Government),
Intermediate-Duration Government (formerly Intermediate-Term Government), GNMA,
and Corporate Daily Income Portfolios of the SEI Daily Income Trust (the
"Trust") as of January 31, 1997, and the related statements of operations,
changes in net assets and financial highlights for the periods presented. We
have also audited the statement of operations of the Short-Duration Mortgage
(formerly Short-Term Mortgage) Portfolio of the SEI Daily Income Trust for the
period ended June 4, 1996, and the related statements of changes in net assets
and financial highlights for the periods presented. These financial statements
and financial highlights are the responsibility of the Trust'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, 1997, by correspondence with the custodians. 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-Duration Government, Intermediate-Duration Government, GNMA, and
Corporate Daily Income Portfolios of the SEI Daily Income Trust as of January
31, 1997, the results of their operations, changes in their net assets and
financial highlights for the periods presented, and the results of operations of
the Short-Duration Mortgage Portfolio of the SEI Daily Income Trust for the
period ended June 4, 1996, and the changes in its net assets and financial
highlights for the periods presented, in conformity with generally accepted
accounting principles.
ARTHUR ANDERSEN LLP
Philadelphia, Pa.
March 7, 1997
36
<PAGE>
NOTICE TO SHAREHOLDERS
================================================================================
JANUARY 31, 1997 (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, 1997, each portfolio is designating
long-term capital gains, and exempt income with regard to distributions paid
during the year as follows:
<TABLE>
(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-Duration Government 0% 100% 100% 0% 0%
Intermediate-Duration Government 0% 100% 100% 0% 0%
GNMA 0% 100% 100% 0% 0%
Corporate Daily Income .5% 99.5% 100% 0% 0%
Short-Duration Mortgage 0% 100% 100% 0% 0%
</TABLE>
* 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.
Please consult your tax adviser for proper treatment of this information.
37
<PAGE>
NOTES
<PAGE>
=======================
SEI DAILY INCOME TRUST
=======================
ANNUAL REPORT
=======================
JANUARY 31, 1997
Robert A. Nesher
CHAIRMAN
TRUSTEES
William M. Doran
F. Wendell Gooch
Frank E. Morris
James M. Storey
George J. Sullivan, Jr.
OFFICERS
David G. Lee
PRESIDENT AND CHIEF EXECUTIVE OFFICER
Todd B. Cipperman
VICE PRESIDENT, ASSISTANT SECRETARY
Barbara A. Nugent
VICE PRESIDENT, ASSISTANT SECRETARY
Kathryn L. Stanton
VICE PRESIDENT, ASSISTANT SECRETARY
Mark E. Nagle
CONTROLLER, CHIEF FINANCIAL OFFICER
Sandra K. Orlow
VICE PRESIDENT, ASSISTANT SECRETARY
Kevin P. Robins
VICE PRESIDENT, ASSISTANT SECRETARY
Marc H. Cahn
VICE PRESIDENT, ASSISTANT SECRETARY
Richard W. Grant
SECRETARY
INVESTMENT ADVISER
Wellington Management Company LLP
MANAGER AND SHAREHOLDER SERVICING AGENT
SEI Fund Management
DISTRIBUTOR
SEI Financial Services Company
LEGAL COUNSEL
Morgan, Lewis & Bockius LLP
INDEPENDENT PUBLIC ACCOUNTANTS
Arthur Andersen LLP
THIS 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>
[LOGO OMITTED]
FINANCIAL
SERVICES
COMPANY
Oaks, PA 19456-1100
800-DIAL-SEI/800-342-5734
SEI-F-022-07
