SEMI-ANNUAL REPORT AS OF
JULY 31, 1997 (UNAUDITED)
SEI DAILY
INCOME TRUST
=============================================
Money Market Portfolio
=============================================
Government Portfolio
=============================================
Government II Portfolio
=============================================
Prime Obligation Portfolio
=============================================
Treasury Portfolio
=============================================
Treasury II Portfolio
=============================================
Short-Duration Government Portfolio
=============================================
Intermediate-Duration Government Portfolio
=============================================
GNMA Portfolio
=============================================
Corporate Daily Income Portfolio
=============================================
[SEI INVESTEMENTS LOGO OMITTED]
<PAGE>
TABLE OF CONTENTS
================================================================================
STATEMENTS OF NET ASSETS/SCHEDULE OF INVESTMENTS........................ 1
STATEMENT OF ASSETS AND LIABILITIES..................................... 15
STATEMENTS OF OPERATIONS................................................ 16
STATEMENTS OF CHANGES IN NET ASSETS..................................... 18
FINANCIAL HIGHLIGHTS.................................................... 22
NOTES TO FINANCIAL STATEMENTS........................................... 26
<PAGE>
STATEMENT OF NET ASSETS
================================================================================
SEI DAILY INCOME TRUST -- JULY 31, 1997 (UNAUDITED)
MONEY MARKET PORTFOLIO
- -------------------------------------------------------------
FACE
DESCRIPTION AMOUNT (000) VALUE (000)
- -------------------------------------------------------------
COMMERCIAL PAPER -- 62.7%
AUTOMOTIVE -- 0.6%
Daimler-Benz N.A.
5.630%, 09/09/97 $ 3,000 $ 2,982
--------
BANKS -- 2.9%
Union Bank of Switzerland
5.603%, 08/11/97 15,000 14,977
--------
COMMUNICATIONS EQUIPMENT -- 3.6%
Hitachi America
5.620%, 11/21/97 14,000 13,755
Toshiba America
5.620%, 08/22/97 5,000 4,984
--------
18,739
--------
DRUGS -- 1.1%
Glaxo Welcome PLC
5.720%, 11/10/97 6,000 5,904
--------
FINANCIAL SERVICES -- 43.4%
Centre Square Funding
5.749%, 11/20/97 2,800 2,752
Centric Funding
5.520%, 10/22/97 8,000 7,899
5.700%, 12/02/97 7,000 6,864
Clipper Receivables
5.610%, 08/06/97 10,000 9,992
Corporate Receivables
5.530%, 09/08/97 15,000 14,912
Enterprise Capital Funding
5.520%, 08/27/97 15,000 14,940
Falcon Asset Securitization
5.623%, 08/11/97 5,650 5,641
5.520%, 08/21/97 5,000 4,985
Ford Motor Credit
5.670%, 12/01/97 13,000 12,750
General Motors Acceptance
5.800%, 11/10/97 7,000 6,886
Greenwich Funding
5.540%, 08/15/97 10,000 9,978
ING Finance
5.595%, 09/09/97 15,000 14,909
Island Finance
5.702%, 11/25/97 15,000 14,733
Kitty Hawk Funding
5.623%, 08/20/97 7,000 6,980
5.760%, 09/17/97 10,000 9,927
Mont Blanc Capital
5.623%, 08/21/97 8,000 7,975
New Center Asset Trust
5.280%, 08/13/97 5,000 4,991
5.650%, 11/07/97 11,700 11,520
Peacock Funding
5.675%, 10/27/97 18,398 18,153
Rose Funding
5.540%, 08/29/97 12,565 12,511
5.570%, 08/29/97 10,000 9,957
- ------------------------------------------------------------
FACE
DESCRIPTION AMOUNT (000) VALUE (000)
- ------------------------------------------------------------
Svenska Handlesbank NY
5.550%, 09/30/97 $ 15,000 $ 14,861
--------
224,116
--------
FOREIGN GOVERNMENT -- 2.9%
Quebec Province
5.700%, 11/12/97 15,000 14,755
--------
PETROLEUM REFINING -- 5.3%
Chevron Transport
5.660%, 12/08/97 3,000 2,939
Petrofina Delaware
5.500%, 10/21/97 5,000 4,938
Repsol SA
5.680%, 11/24/97 10,000 9,819
Statoil
5.621%, 08/15/97 10,000 9,979
--------
27,675
--------
SECURITY BROKERAGE/DEALERS -- 2.9%
BT Securities
5.640%, 09/23/97 5,000 4,959
Goldman Sachs
5.540%, 08/22/97 10,000 9,968
--------
14,927
--------
Total Commercial Paper
(Cost $309,148) 324,075
--------
CERTIFICATES OF DEPOSIT/BANK NOTES -- 16.9%
Bank of Tokyo-Mitsubishi
5.940%, 11/17/97 4,500 4,500
Banque National de Paris
6.150%, 01/15/98 8,000 8,013
Canadian Imperial Bank
5.500%, 08/29/97 5,000 4,999
First National Bank of Boston
5.690%, 10/14/97 15,000 15,000
First of America Bank
5.950%, 01/12/98 10,000 10,005
Morgan Guaranty
5.965%, 06/22/98 15,000 14,995
Rabobank Nederland
5.840%, 11/12/97 5,000 5,001
Regions Bank
5.820%, 04/17/98 5,000 5,001
Societe Generale
5.875%, 11/24/97 15,000 15,001
Wilmington Trust
5.900%, 11/24/97 5,000 5,000
--------
87,515
--------
Total Certificates of Deposit/Bank Notes
(Cost $87,515) 87,515
--------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
1
<PAGE>
STATEMENT OF NET ASSETS
================================================================================
SEI DAILY INCOME TRUST -- JULY 31, 1997 (UNAUDITED)
MONEY MARKET PORTFOLIO (concluded)
- ------------------------------------------------------------
FACE
DESCRIPTION AMOUNT (000) VALUE (000)
- ------------------------------------------------------------
FLOATING RATE INSTRUMENTS -- 11.8%
BANKS -- 3.9%
Bank of America (A)
5.650%, 08/01/97 $ 10,000 $ 9,997
Bank One Columbus (A)
5.470%, 08/05/97 10,000 9,995
--------
19,992
--------
FINANCIAL SERVICES -- 5.8%
ABS Investment Trust 1997-C (A)
5.688%, 08/15/97 15,000 15,000
CIT Group Holdings (A)
5.600%, 08/01/97 15,000 14,989
--------
29,989
--------
INSURANCE -- 2.1%
People's Security Life (A)
5.960%, 08/01/97 3,000 3,000
5.980%, 08/01/97 4,000 4,000
Travelers Insurance (A)
5.831%, 10/01/97 4,000 4,000
--------
11,000
--------
Total Floating Rate Instruments
(Cost $60,981) 60,981
--------
CORPORATE OBLIGATIONS -- 3.9%
Bank of Hawaii
5.570%, 08/11/97 10,000 9,985
BHP Finance
7.000%, 12/01/97 6,000 6,021
Coca Cola Enterprises
6.500%, 11/15/97 1,980 1,984
E.I. Dupont de Nemours
8.650%, 12/01/97 2,000 2,019
--------
Total Corporate Obligations
(Cost $20,009) 20,009
--------
U.S. GOVERNMENT AGENCY OBLIGATION -- 2.9%
SLMA (A)
5.450%, 08/05/97 15,000 15,000
--------
Total U.S. Government Agency Obligation
(Cost $15,000) 15,000
--------
MUNICIPAL BOND -- 0.4%
DeKalb County, Georgia (RB) (A)
5.600%, 08/06/97 1,900 1,900
--------
Total Municipal Bond
(Cost $1,900) 1,900
--------
- -------------------------------------------------------------
FACE
DESCRIPTION AMOUNT (000) VALUE (000)
- -------------------------------------------------------------
REPURCHASE AGREEMENT -- 1.2%
Goldman Sachs
6.00%, dated 07/31/97, matures
08/01/97, repurchase price
$6,001,000 (collateralized by
FHLMC obligation, par value $6,474,352,
7.00%, matures 08/01/11: market value
$6,120,000) (B) $6,000 $ 6,000
--------
Total Repurchase Agreement
(Cost $6,000) 6,000
--------
Total Investments -- 99.8%
(Cost $515,480) 515,480
--------
OTHER ASSETS AND LIABILITIES -- 0.2%
Other Assets and Liabilities, Net 853
--------
NET ASSETS:
Portfolio Shares of Class A (unlimited
authorization -- no par value) based on
472,060,426 outstanding shares of
beneficial interest 472,060
Portfolio Shares of Class C (unlimited
authorization -- no par value) based on
44,319,412 outstanding shares of
beneficial interest 44,319
Accumulated net realized loss
on investments (46)
--------
TOTAL NET ASSETS -- 100.0% $516,333
========
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) FLOATING RATE INSTRUMENT. RATE REFLECTED ON THE STATEMENT
OF NET ASSETS IS THE RATE IN EFFECT ON JULY 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
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
2
<PAGE>
================================================================================
GOVERNMENT PORTFOLIO
- ------------------------------------------------------------
FACE
DESCRIPTION AMOUNT (000) VALUE (000)
- ------------------------------------------------------------
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 43.3%
FHLB
5.630%, 08/05/97 (A) $15,000 $ 15,000
5.450%, 08/08/97 10,361 10,350
5.440%, 08/14/97 9,347 9,329
5.492%, 08/24/97 (A) 40,000 39,980
5.703%, 12/10/97 17,700 17,348
5.540%, 01/08/98 20,000 19,508
5.730%, 01/27/98 10,000 9,997
5.820%, 06/16/98 10,000 9,994
FNMA
5.440%, 08/05/97 (A) 72,000 71,991
5.505%, 08/05/97 (A) 5,000 5,000
5.528%, 08/13/97 (A) 50,000 49,984
5.816%, 10/06/97 21,000 20,785
5.667%, 10/20/97 17,000 16,793
5.877%, 10/20/97 20,000 19,749
5.878%, 10/20/97 20,000 19,749
5.500%, 11/06/97 1,570 1,547
5.642%, 11/12/97 3,025 2,978
5.725%, 11/19/97 14,300 14,060
5.720%, 11/26/97 28,400 27,893
5.540%, 12/08/97 3,000 2,940
5.540%, 12/12/97 2,000 1,959
5.530%, 12/18/97 19,575 19,157
5.840%, 06/18/98 10,000 9,995
--------
Total U.S. Government Agency Obligations
(Cost $416,086) 416,086
--------
U.S. TREASURY OBLIGATION -- 1.3%
U.S. Treasury Note
6.125%, 03/31/98 12,000 12,030
--------
Total U.S. Treasury Obligation
(Cost $12,030) 12,030
--------
REPURCHASE AGREEMENTS -- 55.2%
Goldman Sachs
5.49%, dated 07/14/97, matures
08/15/97, repurchase price
$80,390,400 (collateralized by
various FHLMC obligations ranging
in par value $990,000-$50,965,363,
0.000%- 9.000%: total market value
$81,600,000) (B) 80,000 80,000
- ------------------------------------------------------------
FACE
DESCRIPTION AMOUNT (000) VALUE (000)
- ------------------------------------------------------------
Goldman Sachs
5.86%, dated 07/31/97,
matures 08/01/97, repurchase
price $150,024,417 (collateralized
by various U.S. Treasury Notes,
ranging in par value
$67,253,000-$82,814,000,
5.875%-6.250%: total market
value $153,000,297) (B) $150,000 $150,000
Greenwich
5.90%, dated 07/31/97,
matures 08/01/97, repurchase
price $100,016,389 (collateralized
by various GNMA, FHLMC &
FNMA obligations, ranging in
par value $29,174-$32,209,038,
0.000%-14.000%: total market
value $102,000,703) (B) 100,000 100,000
J.P. Morgan
5.85%, dated 07/31/97,
matures 08/01/97, repurchase
price $25,004,063 (collateralized
by U.S. Treasury Note, par value
$24,925,000, 6.750%: market
value $25,520,113) 25,000 25,000
Prudential Securities
5.88%, dated 07/31/97, matures
08/01/97, repurchase price $50,008,167
(collateralized by various FNMA &
FHLMC obligations ranging in par value
$13,225,000-$18,388,588, 7.500%-
9.000%: total market
value $51,072,999) 50,000 50,000
Union Bank of Switzerland
5.83%, dated 07/31/97,
matures 08/01/97, repurchase price
$125,020,243 (collateralized by
various GNMA obligations
ranging in par value
$26,170-$7,806,919,
6.000%-8.000%: total market
value $127,503,977) (B) 125,000 125,000
--------
Total Repurchase Agreements
(Cost $530,000) 530,000
--------
Total Investments -- 99.8%
(Cost $958,116) 958,116
--------
OTHER ASSETS AND LIABILITIES -- 0.2%
Other Assets and Liabilities, Net 2,222
--------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
3
<PAGE>
STATEMENT OF NET ASSETS
================================================================================
SEI DAILY INCOME TRUST -- JULY 31, 1997 (UNAUDITED)
GOVERNMENT PORTFOLIO (concluded)
- ------------------------------------------------------------
DESCRIPTION VALUE (000)
- ------------------------------------------------------------
NET ASSETS:
Portfolio Shares of Class A (unlimited
authorization -- no par value) based on
121,745,675 outstanding shares of
beneficial interest $121,746
Portfolio Shares of Class B (unlimited
authorization -- no par value) based on
9,655,022 outstanding shares of
beneficial interest 9,655
Portfolio Shares of Class C (unlimited
authorization -- no par value) based on
13,993,142 outstanding shares of
beneficial interest 13,993
Portfolio Shares of Class G (unlimited
authorization -- no par value) based on
815,098,799 outstanding shares of
beneficial interest 815,099
Accumulated net realized loss
on investments (174)
Undistributed net investment income 19
--------
TOTAL NET ASSETS -- 100.0% $960,338
========
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
========
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE -- CLASS G $1.00
========
(A) FLOATING RATE INSTRUMENT. THE RATE REFLECTED ON THE STATEMENT OF NET
ASSETS IS THE RATE IN EFFECT ON JULY 31, 1997. THE DATE SHOWN IS THE
LONGER OF THE RESET DATE OR THE DEMAND DATE.
(B) TRI-PARTY REPURCHASE AGREEMENT
FHLB FEDERAL HOME LOAN BANK
FHLMC FEDERAL HOME LOAN MORTGAGE CORPORATION
FNMA FEDERAL NATIONAL MORTGAGE ASSOCIATION
GNMA GOVERNMENT NATIONAL MORTGAGE ASSOCIATION
GOVERNMENT II PORTFOLIO
- -------------------------------------------------------------
FACE
DESCRIPTION AMOUNT (000) VALUE (000)
- -------------------------------------------------------------
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 98.6%
FFCB
5.454%, 08/04/97 $20,650 $ 20,641
5.464%, 08/15/97 3,910 3,902
5.630%, 08/15/97 16,000 15,966
5.479%, 08/18/97 4,420 4,409
5.478%, 08/27/97 19,000 18,926
5.551%, 10/30/97 7,000 6,907
5.689%, 11/03/97 15,000 14,785
5.566%, 11/07/97 6,860 6,761
5.709%, 12/05/97 13,000 12,751
5.610%, 05/21/98 (A) 30,000 29,986
FHLB
5.474%, 08/01/97 29,585 29,585
5.475%, 08/01/97 25,000 25,000
5.831%, 08/01/97 50,000 50,000
5.630%, 08/05/97 (A) 20,000 20,000
5.446%, 08/06/97 21,767 21,751
5.592%, 08/07/97 26,620 26,596
5.492%, 08/08/97 8,000 7,992
5.450%, 08/11/97 23,300 23,265
5.453%, 08/15/97 23,000 22,952
5.420%, 08/21/97 50,000 49,849
5.520%, 09/25/97 11,600 11,505
5.497%, 10/01/97 17,365 17,207
5.717%, 10/17/97 3,830 3,785
5.637%, 11/07/97 26,320 25,930
5.693%, 11/10/97 50,000 49,231
5.833%, 11/13/97 49,440 48,642
5.747%, 11/20/97 13,595 13,364
5.781%, 12/01/97 2,000 1,961
5.708%, 12/04/97 1,892 1,856
5.703%, 12/10/97 32,375 31,731
5.730%, 01/27/98 10,000 9,997
5.707%, 02/27/98 10,000 9,685
5.820%, 06/16/98 15,000 14,991
SLMA
5.831%, 08/01/97 16,340 16,340
5.430%, 10/14/97 (A) 5,000 5,000
5.610%, 11/20/97 (A) 30,000 30,013
5.430%, 11/24/97 (A) 30,000 30,000
5.450%, 11/10/98 (A) 20,000 20,000
5.470%, 02/08/99 (A) 44,450 44,451
5.480%, 08/02/99 (A) 30,000 30,000
--------
Total U.S. Government Agency Obligations
(Cost $827,713) 827,713
--------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
4
<PAGE>
================================================================================
- ------------------------------------------------------------
FACE
DESCRIPTION AMOUNT (000) VALUE (000)
- ------------------------------------------------------------
U.S. TREASURY OBLIGATION -- 1.6%
U.S. Treasury Note
6.125%, 03/31/98 $13,000 $ 13,032
--------
Total U.S. Treasury Obligation
(Cost $13,032) 13,032
--------
Total Investments -- 100.2%
(Cost $840,745) 840,745
--------
OTHER ASSETS AND LIABILITIES -- (0.2%)
Other Assets and Liabilities, Net (1,268)
--------
NET ASSETS:
Portfolio Shares of Class A (unlimited
authorization -- no par value) based on
800,516,965 outstanding shares of
beneficial interest 800,517
Portfolio Shares of Class B (unlimited
authorization -- no par value) based on
17,899,844 outstanding shares of
beneficial interest 17,900
Portfolio Shares of Class C (unlimited
authorization -- no par value) based on
21,326,366 outstanding shares of
beneficial interest 21,326
Accumulated net realized loss
on investments (266)
--------
TOTAL NET ASSETS -- 100.0% $839,477
========
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 JULY 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 -- 65.7%
AEROSPACE & DEFENSE -- 0.5%
Rockwell International
5.500%, 08/20/97 $16,500 $16,452
--------
BANKS -- 13.2%
Banc One
5.500%, 09/04/97 35,000 34,818
- ------------------------------------------------------------
FACE
DESCRIPTION AMOUNT (000) VALUE (000)
- ------------------------------------------------------------
Centric Funding
5.550%, 09/05/97 $12,875 $ 12,806
5.550%, 10/14/97 13,205 13,054
5.520%, 10/22/97 27,000 26,661
5.660%, 11/20/97 10,000 9,825
5.620%, 12/02/97 10,000 9,808
Chase Manhattan
5.600%, 12/15/97 50,000 48,942
Fleet Funding
5.520%, 08/11/97 30,000 29,954
5.540%, 08/22/97 44,832 44,687
Kitty Hawk Funding
5.660%, 09/02/97 24,390 24,267
NationsBank
5.550%, 10/10/97 50,000 49,460
New Center Asset Trust
5.280%, 08/13/97 37,000 36,935
5.280%, 08/14/97 25,000 24,952
5.520%, 12/15/97 65,000 63,645
--------
429,814
--------
CHEMICALS -- 2.3%
E.I. Dupont de Nemours
5.670%, 11/14/97 25,000 24,587
5.540%, 12/02/97 25,000 24,527
5.540%, 12/05/97 25,000 24,515
--------
73,629
--------
FINANCIAL SERVICES -- 31.4%
Ameritech
5.660%, 12/05/97 10,000 9,802
Associates Corporation of
North America
5.600%, 08/26/97 50,000 49,806
AT&T
5.540%, 12/08/97 5,000 4,901
CIT Group Holdings
5.500%, 09/17/97 50,000 49,641
5.500%, 09/22/97 50,000 49,603
Corporate Receivables
5.500%, 08/06/97 9,440 9,433
5.600%, 12/23/97 22,000 21,507
Delaware Funding
5.530%, 08/15/97 75,000 74,839
Enterprise Funding
5.530%, 08/21/97 20,118 20,056
5.520%, 08/27/97 20,000 19,920
5.520%, 08/28/97 35,000 34,855
Falcon Asset Securitization
5.550%, 08/04/97 10,250 10,245
5.520%, 08/21/97 8,600 8,574
5.500%, 08/22/97 30,410 30,312
5.500%, 08/26/97 25,975 25,876
5.650%, 09/10/97 11,950 11,877
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
5
<PAGE>
STATEMENT OF NET ASSETS
================================================================================
SEI DAILY INCOME TRUST -- JULY 31, 1997 (UNAUDITED)
PRIME OBLIGATION PORTFOLIO (concluded)
- -------------------------------------------------------------
FACE
DESCRIPTION AMOUNT (000) VALUE (000)
- -------------------------------------------------------------
Ford Motor Credit
5.500%, 10/30/97 $50,000 $ 49,312
General Electric Capital
5.690%, 10/27/97 43,922 43,318
5.570%, 12/15/97 40,000 39,158
GTE Funding
5.510%, 08/19/97 33,000 32,909
Island Finance
5.520%, 09/03/97 22,000 21,889
5.714%, 10/14/97 27,700 27,384
5.670%, 10/17/97 10,000 9,879
5.702%, 11/25/97 38,500 37,815
Kitty Hawk Funding
5.600%, 09/17/97 65,944 65,462
5.540%, 10/15/97 16,214 16,027
National Rural Utilities
5.500%, 09/18/97 25,000 24,817
5.500%, 09/29/97 50,000 49,549
Peacock Funding
5.636%, 08/25/97 4,092 4,077
Pitney Bowes
5.505%, 01/14/98 7,340 7,154
5.505%, 01/16/98 37,700 36,731
Preferred Receivables Funding
5.510%, 08/25/97 9,200 9,166
Ranger Funding
5.670%, 08/12/97 15,000 14,974
5.600%, 09/16/97 37,700 37,430
5.520%, 09/18/97 27,000 26,801
5.540%, 09/30/97 15,000 14,861
5.707%, 10/06/97 25,000 24,746
---------
1,024,706
---------
INSURANCE -- 9.7%
AI Credit
5.500%, 01/07/98 6,916 6,748
American General Finance
5.500%, 08/28/97 30,000 29,876
Centre Square Funding
5.772%, 11/20/97 11,200 11,008
Corporate Asset Funding
5.500%, 08/21/97 40,000 39,878
5.550%, 08/27/97 48,300 48,106
Prudential Funding
5.680%, 11/24/97 15,000 14,728
5.550%, 01/20/98 75,000 73,011
Riverwoods Funding
5.588%, 08/11/97 35,000 34,947
5.675%, 08/27/97 25,000 24,900
5.560%, 10/06/97 35,000 34,643
---------
317,845
---------
LEASING & RENTING -- 0.8%
International Lease Finance
5.280%, 08/15/97 25,000 24,949
---------
- -------------------------------------------------------------
FACE
DESCRIPTION AMOUNT (000) VALUE (000)
- -------------------------------------------------------------
SECURITY BROKERAGE/DEALERS -- 7.8%
Bear Stearns
5.520%, 09/16/97 $75,000 $ 74,471
BT Securities
5.510%, 09/23/97 50,000 49,594
5.510%, 09/24/97 7,500 7,438
Goldman Sachs
5.540%, 08/22/97 25,000 24,919
5.648%, 09/08/97 25,000 24,854
Merrill Lynch
5.530%, 09/08/97 50,000 49,708
Merril Lynch
5.520%, 09/15/97 25,000 24,828
---------
255,812
---------
Total Commercial Paper
(Cost $2,143,207) 2,143,207
---------
CERTIFICATES OF DEPOSIT/BANK NOTES -- 11.1%
Bankamerica
5.570%, 11/07/97 31,000 30,963
First National Bank of Boston
5.650%, 10/08/97 50,000 50,000
First National Bank of Chicago
5.820%, 10/20/97 25,000 25,000
Harris Bankcorp
5.510%, 08/12/97 65,000 65,000
Morgan Guaranty
5.965%, 06/22/98 50,000 49,985
Regions Bank
5.860%, 09/22/97 25,000 25,001
5.860%, 11/04/97 50,000 50,000
5.750%, 12/15/97 25,000 25,000
Wilmington Trust
5.900%, 11/24/97 40,000 40,000
---------
360,949
---------
Total Certificates of Deposit/Bank Notes
(Cost $360,949) 360,949
---------
FLOATING RATE INSTRUMENTS -- 14.3%
BANKS -- 5.3%
Bank of America (A)
5.650%, 10/16/97 65,000 64,978
Bank One Columbus (A)
5.470%, 08/06/97 82,000 81,962
Key Bank (A)
5.640%, 08/07/97 25,000 25,000
---------
171,940
---------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
6
<PAGE>
================================================================================
- ------------------------------------------------------------
FACE
DESCRIPTION AMOUNT (000) VALUE (000)
- ------------------------------------------------------------
FINANCIAL SERVICES -- 4.5%
ABS Investment Trust 96-M (A)
5.680%, 08/15/97 $ 40,000 $ 40,000
ABS Investment Trust 97-C (A)
5.688%, 08/15/97 35,000 35,000
SMM Trust 96-B (A)
5.738%, 08/04/97 30,000 30,000
SMM Trust 97-L (A)
5.648%, 08/26/97 40,000 40,000
---------
145,000
---------
INSURANCE -- 4.5%
Allstate (A)
5.788%, 08/01/97 15,000 15,000
People's Security Life (A)
5.980%, 09/01/97 73,000 73,000
Travelers Insurance (A)
5.831%, 10/01/97 60,000 60,000
---------
148,000
---------
Total Floating Rate Instruments
(Cost $464,940) 464,940
---------
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 6.4%
FNMA (A)
5.440%, 08/05/97 100,000 100,000
SLMA (A)
5.450%, 08/05/97 47,600 47,600
5.460%, 08/05/97 16,000 16,001
5.470%, 08/05/97 47,000 47,003
---------
Total U.S. Government Agency Obligations
(Cost $210,604) 210,604
---------
REPURCHASE AGREEMENT -- 4.3%
Goldman Sachs
6.00%, dated 07/31/97,
matures 08/01/97, repurchase
price $140,023,333 (collateralized
by FHLMC obligation, par value
$229,615,631, 0.00%, matures
06/01/26: market value
$142,800,871) (B) 140,000 140,000
---------
Total Repurchase Agreement
(Cost $140,000) 140,000
---------
Total Investments -- 101.8%
(Cost $3,319,700) 3,319,700
---------
OTHER ASSETS AND LIABILITIES -- (1.8%)
Other Assets and Liabilities, Net (59,618)
---------
- ------------------------------------------------------------
FACE
DESCRIPTION AMOUNT (000) VALUE (000)
- ------------------------------------------------------------
NET ASSETS:
Portfolio Shares of Class A (unlimited
authorization -- no par value) based on
3,061,191,997 outstanding shares
of beneficial interest $3,061,192
Portfolio Shares of Class B (unlimited
authorization -- no par value) based on
181,279,504 outstanding shares of
beneficial interest 181,280
Portfolio Shares of Class C (unlimited
authorization -- no par value) based on
17,727,429 outstanding shares of
beneficial interest 17,727
Accumulated net realized loss
on investments (172)
Undistributed net investment income 55
----------
TOTAL NET ASSETS -- 100.0% $3,260,082
==========
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE -- CLASS A $1.00
==========
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE -- CLASS B $1.00
==========
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE -- CLASS C $1.00
==========
(A) FLOATING RATE INSTRUMENT. RATE REFLECTED ON THE STATEMENT
OF NET ASSETS IS THE RATE IN EFFECT ON JULY 31, 1997. THE DATE SHOWN
IS THE LONGER OF THE RESET DATE OR THE DEMAND DATE.
(B) TRI-PARTY REPURCHASE AGREEMENT
FHLMC FEDERAL HOME LOAN MORTGAGE CORPORATION
FNMA FEDERAL NATIONAL MORTGAGE ASSOCIATION
SLMA STUDENT LOAN MARKETING ASSOCIATION
TREASURY PORTFOLIO
U.S. TREASURY OBLIGATIONS -- 11.2%
U.S. Treasury Notes
5.250%, 12/31/97 $1,000 $ 998
5.125%, 02/28/98 2,000 1,993
5.125%, 03/31/98 5,000 4,982
6.125%, 03/31/98 4,000 4,010
5.875%, 04/30/98 2,000 2,000
--------
Total U.S. Treasury Obligations
(Cost $13,983) 13,983
--------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
7
<PAGE>
STATEMENT OF NET ASSETS/SCHEDULE OF INVESTMENTS
================================================================================
SEI DAILY INCOME TRUST -- JULY 31, 1997 (UNAUDITED)
TREASURY PORTFOLIO (concluded)
- -----------------------------------------------------------
FACE
DESCRIPTION AMOUNT (000) VALUE (000)
- -----------------------------------------------------------
REPURCHASE AGREEMENTS -- 89.1%
First Boston
5.78%, dated 07/31/97,
matures 08/01/97, repurchase
price $25,004,014 (collateralized
by U.S. Treasury Note, par
value $23,510,000, 8.000%,
matures 05/15/01: market
value $25,556,525) (A) $25,000 $ 25,000
Greenwich
5.78%, dated 07/31/97,
matures 08/01/97, repurchase
price $20,003,211 (collateralized
by various U.S. Treasury
Notes, ranging in par value
$350,000-$11,615,000,
5.870%-7.000%, matures
03/31/99-04/15/99: total
market value $20,400,232) (A) 20,000 20,000
Morgan Stanley
5.78%, dated 07/31/97,
matures 08/01/97, repurchase
price $25,004,014 (collateralized
by U.S. Treasury Note, par value
$24,925,000, 6.750%, matures
06/30/99:market value
$25,378,386) (A) 25,000 25,000
Lehman Brothers
5.76%, dated 07/31/97,
matures 08/01/97,
repurchase price $15,002,400
(collateralized by various U.S.
Treasury Strips obligations
ranging in par value $4,805,000-
$11,600,000, 5.480%-5.780%,
matures 05/15/98-05/15/99:
total market value $15,525,000)(A) 15,000 15,000
Lehman Brothers
5.76%, dated 07/31/97,
matures 08/01/97,
repurchase price $942,151
(collateralized by U.S. Treasury
Strip, par value $2,935,000, 6.500%,
matures 11/15/14: total market
value $976,357)(A) 942 942
Swiss Bank
5.78%, dated 07/31/97, matures
08/01/97, repurchase price $25,004,014
(collateralized by various U.S.
Treasury Bonds & Note, ranging in par value
$300,000-$12,771,000, 6.00%-12.00%,
12/31/99-02/15/26: total market
value $25,578,742) (A) 25,000 25,000
--------
Total Repurchase Agreements
(Cost $110,942) 110,942
--------
- ------------------------------------------------------------
FACE
DESCRIPTION AMOUNT (000) VALUE (000)
- ------------------------------------------------------------
Total Investments -- 100.3%
(Cost $124,925) $124,925
--------
OTHER ASSETS AND LIABILITIES -- (0.3%)
Other Assets and Liabilities, Net (332)
--------
NET ASSETS:
Portfolio Shares of Class A (unlimited
authorization -- no par value) based on
87,473,974 outstanding shares of
beneficial interest 87,474
Portfolio Shares of Class C (unlimited
authorization -- no par value) based on
37,126,497 outstanding shares of
beneficial interest 37,126
Accumulated net realized loss (14)
Undistributed net investment income 7
--------
TOTAL NET ASSETS -- 100.0% $124,593
========
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
GNMA GOVERNMENT NATIONAL MORTGAGE ASSOCIATION
TREASURY II PORTFOLIO
U.S. TREASURY OBLIGATIONS -- 105.5%
U.S. Treasury Bills
5.000%, 08/07/97 $ 3,387 $ 3,384
4.995%, 09/18/97 1,680 1,669
5.085%, 09/18/97 6,015 5,974
5.095%, 09/18/97 30,000 29,796
5.222%, 09/18/97 3,805 3,779
5.250%, 09/18/97 101,790 101,078
5.330%, 09/18/97 100,000 99,289
5.340%, 09/18/97 200,000 198,576
5.360%, 09/18/97 23,000 22,836
5.095%, 10/30/97 18,210 17,978
U.S. Treasury Notes
6.500%, 08/15/97 140,000 140,059
8.625%, 08/15/97 7,000 7,009
6.000%, 08/31/97 50,000 50,020
5.750%, 09/30/97 50,000 50,035
5.750%, 10/31/97 94,240 94,309
5.250%, 12/31/97 25,000 24,966
--------
Total U.S. Treasury Obligations
(Cost $850,757) 850,757
--------
Total Investments -- 105.5%
(Cost $850,757) 850,757
--------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
8
<PAGE>
================================================================================
SHORT-DURATION
GOVERNMENT PORTFOLIO
- -------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- -------------------------------------------------------------
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 19.4%
FHLMC
7.000%, 05/29/01 $ 5,000 $ 5,054
FNMA
5.390%, 08/05/98 4,000 3,995
6.850%, 05/26/00 6,000 6,019
--------
Total U.S. Government Agency Obligations
(Cost $14,941) 15,068
--------
U.S. TREASURY OBLIGATIONS -- 32.5%
U.S. Treasury Notes
6.250%, 03/31/99 20,000 20,173
6.250%, 06/30/02 5,000 5,068
--------
Total U.S. Treasury Obligations
(Cost $25,007) 25,241
--------
U.S. GOVERNMENT MORTGAGE-BACKED BONDS -- 43.3%
FHLB
6.900%, 04/28/00 10,000 10,029
FHLMC
6.500%, 11/01/99 4,532 4,591
6.500%, 12/01/01 4,708 4,735
6.500%, 10/01/07 2,688 2,717
7.000%, 11/01/10 1,804 1,827
7.000%, 01/01/11 808 819
7.000%, 02/01/11 38 39
7.000%, 03/01/11 729 739
7.000%, 04/01/11 1,041 1,055
FNMA
6.500%, 04/01/00 4,304 4,352
6.000%, 11/25/03 1,024 1,020
GNMA
7.500%, 01/15/11 49 51
7.500%, 02/15/11 1,679 1,726
--------
Total U.S. Government Mortgage-Backed Bonds
(Cost $33,483) 33,700
--------
REPURCHASE AGREEMENT -- 3.9%
J.P. Morgan
5.74%, dated 07/31/97,
matures 08/01/97, repurchase
price $3,031,483 (collateralized
by U.S. Treasury Note par value
$2,866,000, 8.000%, matures
08/15/99: market
value $3,092,944) 3,031 3,031
--------
Total Repurchase Agreement
(Cost $3,031) 3,031
--------
Total Investments -- 99.1%
(Cost $76,462) 77,040
--------
- ------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- ------------------------------------------------------------
OTHER ASSETS AND LIABILITIES -- 0.9%
Other Assets and Liabilities, Net $ 676
-------
NET ASSETS:
Portfolio Shares of Class A (unlimited
authorization -- no par value) based on
7,767,686 outstanding shares of
beneficial interest 78,670
Portfolio Shares of Class B (unlimited
authorization -- no par value) based on
1,295 outstanding shares of
beneficial interest 13
Accumulated net realized loss
on investments (1,535)
Net unrealized appreciation
on investments 578
Overdistributed net investment income (10)
-------
TOTAL NET ASSETS -- 100.0% $77,716
=======
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE -- CLASS A $10.00
=======
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE -- CLASS B $9.99
=======
FHLB FEDERAL HOME LOAN BANK
FHLMC FEDERAL HOME LOAN MORTGAGE CORPORATION
FNMA FEDERAL NATIONAL MORTGAGE ASSOCIATION
GNMA GOVERNMENT NATIONAL MORTGAGE ASSOCIATION
INTERMEDIATE-DURATION
GOVERNMENT PORTFOLIO
U.S. TREASURY OBLIGATIONS -- 44.1%
U.S. Treasury Bill
5.500%, 12/31/00 $10,500 $10,390
U.S. Treasury Bond
12.000%, 08/15/13 5,700 8,311
U.S. Treasury Notes
8.875%, 11/15/98 4,000 4,157
8.500%, 02/15/00 4,000 4,252
6.625%, 07/31/01 11,000 11,288
10.750%, 02/15/03 8,500 10,409
-------
Total U.S. Treasury Obligations
(Cost $48,009) 48,807
-------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
9
<PAGE>
STATEMENT OF NET ASSETS
================================================================================
SEI DAILY INCOME TRUST -- JULY 31, 1997 (UNAUDITED)
INTERMEDIATE-DURATION
GOVERNMENT PORTFOLIO (concluded)
- ------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- ------------------------------------------------------------
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 26.2%
Agency For International
Development
5.450%, 02/15/01 $ 750 $ 735
6.750%, 08/15/04 4,000 4,100
FHLMC
7.974%, 04/20/05 655 662
7.350%, 05/16/05 750 767
FNMA
5.640%, 02/20/01 5,000 4,926
Private Export Funding
7.900%, 03/31/00 5,450 5,702
5.500%, 03/15/01 1,000 981
8.400%, 07/31/01 1,600 1,728
6.900%, 01/31/03 2,875 2,976
8.750%, 06/30/03 5,670 6,386
--------
Total U.S. Government Agency Obligations
(Cost $28,845) 28,963
--------
U.S. GOVERNMENT MORTGAGE-BACKED BONDS -- 28.1%
FHLMC
6.250%, 07/01/03 349 347
7.250%, 03/15/04 252 253
5.750%, 05/15/05 1,000 990
5.650%, 07/15/05 1,500 1,482
5.750%, 01/15/06 639 636
8.000%, 01/15/06 500 520
6.000%, 10/15/06 830 815
6.000%, 08/15/07 400 398
8.250%, 12/01/07 199 207
5.500%, 04/15/08 1,000 966
6.500%, 07/01/08 119 120
5.500%, 08/01/08 105 101
5.500%, 09/01/08 181 174
6.500%, 09/01/08 150 150
6.500%, 01/01/09 124 125
8.250%, 01/01/09 546 567
8.250%, 12/01/09 289 300
6.500%, 09/01/10 6,095 6,077
7.500%, 04/15/15 500 511
7.700%, 07/15/18 435 443
7.000%, 02/25/19 500 501
6.000%, 06/15/19 866 861
6.500%, 06/25/19 2,100 2,116
6.500%, 09/15/21 570 558
7.000%, 05/01/24 1,260 1,262
FNMA
7.750%, 10/25/00 800 799
6.000%, 11/25/03 211 210
- ------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- ------------------------------------------------------------
6.000%, 09/25/05 $ 500 $ 499
6.500%, 02/25/07 400 404
7.500%, 03/01/07 297 302
8.000%, 05/01/08 360 372
8.000%, 06/01/08 346 358
7.500%, 06/01/09 139 142
9.500%, 05/01/18 458 493
GNMA
8.250%, 06/15/06 137 143
8.250%, 05/15/06 215 224
8.250%, 04/15/08 150 156
8.250%, 05/15/08 343 357
8.250%, 06/15/08 457 476
8.250%, 07/15/08 162 168
8.500%, 05/20/16 362 376
8.500%, 09/20/16 18 19
8.500%, 11/20/16 794 824
8.500%, 04/20/17 17 18
8.500%, 05/20/17 433 449
8.750%, 05/20/17 556 581
8.750%, 06/20/17 131 138
8.500%, 07/20/17 280 291
8.750%, 07/20/17 208 219
8.500%, 08/20/17 198 206
8.750%, 10/20/17 43 45
8.750%, 11/20/17 191 200
8.500%, 01/20/18 127 132
8.500%, 02/20/18 176 183
7.000%, 08/15/23 1,745 1,749
--------
Total U.S. Government Mortgage-Backed Bonds
(Cost $30,648) 31,013
--------
REPURCHASE AGREEMENT -- 0.7%
Lehman Brothers
5.74%, dated 07/31/97,
matures 08/01/97, repurchase
price $810,129 (collateralized by
U.S. Treasury Note par value
$787,000, 7.750%, matures
12/31/99: market
value $826,569) 810 810
--------
Total Repurchase Agreement
(Cost $810) 810
--------
Total Investments -- 99.1%
(Cost $108,312) 109,593
--------
OTHER ASSETS AND LIABILITIES -- 0.9%
Other Assets and Liabilities, Net 973
--------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
10
<PAGE>
===============================================================================
- ------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- ------------------------------------------------------------
NET ASSETS:
Portfolio Shares of Class A (unlimited
authorization -- no par value) based on
11,122,184 outstanding shares
of beneficial interest $115,797
Accumulated net realized loss
on investments (6,516)
Net unrealized appreciation
on investments 1,281
Undistributed net investment income 4
--------
TOTAL NET ASSETS -- 100.0% $110,566
========
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE -- CLASS A $9.94
========
FHLMC FEDERAL HOME LOAN MORTGAGE CORPORATION
FNMA FEDERAL NATIONAL MORTGAGE ASSOCIATION
GNMA GOVERNMENT NATIONAL MORTGAGE ASSOCIATION
GNMA PORTFOLIO
GNMA -- 96.8%
GNMA
12.500%, 12/15/06 $ 3 $ 4
8.500%, 08/15/08 45 48
9.500%, 06/15/09 165 178
9.500%, 07/15/09 858 929
9.500%, 08/15/09 695 759
9.500%, 09/15/09 1,328 1,437
9.500%, 10/15/09 2,776 2,468
9.500%, 11/15/09 95 104
11.500%, 04/15/10 -- 1
6.500%, 09/15/10 63 63
6.500%, 10/15/10 67 68
6.500%, 11/15/10 68 68
12.500%, 12/15/10 43 51
6.500%, 03/15/11 27 27
6.500%, 04/15/11 1,595 1,597
12.000%, 01/15/13 9 10
10.000%, 02/15/13 101 111
11.500%, 02/15/13 75 85
12.000%, 04/15/14 2 2
12.500%, 06/15/14 -- 1
12.500%, 07/15/15 1 1
10.000%, 09/15/15 40 45
9.000%, 05/15/16 73 78
10.000%, 05/15/16 16 19
- -------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- -------------------------------------------------------------
9.000%, 06/15/16 $ 99 $105
9.000%, 07/15/16 12 13
9.000%, 08/15/16 28 30
9.000%, 09/15/16 10 11
9.500%, 09/15/16 39 43
8.500%, 10/15/16 129 137
9.000%, 11/15/16 161 172
9.500%, 11/15/16 107 117
10.000%, 11/15/16 92 102
9.500%, 12/15/16 174 189
8.500%, 01/15/17 185 196
7.500%, 02/15/17 250 255
8.500%, 02/15/17 82 86
9.000%, 02/15/17 50 54
9.500%, 02/15/17 366 397
8.500%, 03/15/17 317 333
8.500%, 04/15/17 596 625
7.500%, 05/15/17 521 531
8.500%, 05/15/17 325 340
9.500%, 05/15/17 98 106
7.500%, 06/15/17 245 250
8.500%, 06/15/17 312 327
8.500%, 07/15/17 17 19
9.000%, 07/15/17 127 136
10.000%, 07/15/17 27 30
9.500%, 08/15/17 161 177
10.000%, 08/15/17 196 216
8.500%, 09/15/17 11 12
9.500%, 09/15/17 144 157
9.500%, 11/15/17 59 64
10.000%, 12/15/17 181 199
8.500%, 01/15/18 150 157
9.000%, 01/15/18 33 35
10.000%, 01/15/18 16 19
10.000%, 02/15/18 439 483
9.500%, 03/15/18 77 84
10.500%, 03/15/18 44 49
9.000%, 04/15/18 32 35
9.500%, 04/15/18 62 67
10.000%, 04/15/18 123 136
9.000%, 05/15/18 21 23
9.500%, 05/15/18 22 25
9.500%, 06/15/18 40 44
10.000%, 07/15/18 10 11
9.500%, 08/15/18 21 24
10.000%, 08/15/18 205 226
9.500%, 09/15/18 66 72
10.000%, 09/15/18 347 383
9.500%, 10/15/18 53 58
10.000%, 10/15/18 203 225
9.000%, 11/15/18 174 186
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
11
<PAGE>
STATEMENT OF NET ASSETS
================================================================================
SEI DAILY INCOME TRUST -- JULY 31, 1997 (UNAUDITED)
GNMA PORTFOLIO (concluded)
- ------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- ------------------------------------------------------------
9.500%, 11/15/18 $ 18 $ 20
10.000%, 11/15/18 15 17
9.000%, 01/15/19 17 19
10.000%, 01/15/19 195 216
10.000%, 02/15/19 142 157
10.000%, 03/15/19 1 2
10.000%, 04/15/19 46 52
10.000%, 05/15/19 58 65
9.000%, 06/15/19 255 271
10.000%, 06/15/19 111 124
9.500%, 07/15/19 32 35
10.000%, 07/15/19 45 50
9.000%, 09/15/19 252 270
10.000%, 09/15/19 19 21
9.000%, 10/15/19 343 367
8.500%, 11/15/19 364 381
9.500%, 11/15/19 52 56
8.500%, 12/15/19 305 320
9.000%, 12/15/19 199 213
8.500%, 01/15/20 9 10
9.000%, 01/15/20 68 75
9.500%, 01/15/20 103 112
8.500%, 02/15/20 556 583
9.000%, 02/15/20 547 584
10.000%, 02/15/20 78 86
8.500%, 03/15/20 215 226
9.000%, 03/15/20 35 39
8.500%, 04/15/20 71 76
9.000%, 04/15/20 591 631
10.000%, 04/15/20 14 16
8.500%, 06/15/20 45 47
9.000%, 06/15/20 5 6
9.000%, 07/15/20 132 141
10.000%, 07/15/20 3 3
9.500%, 08/15/20 58 64
9.000%, 09/15/20 137 150
9.500%, 09/15/20 230 253
8.500%, 10/15/20 9 10
9.000%, 10/15/20 333 358
9.500%, 10/15/20 38 43
9.000%, 11/15/20 464 496
9.500%, 11/15/20 139 153
9.000%, 12/15/20 185 197
9.500%, 12/15/20 3 4
9.000%, 01/15/21 252 269
9.000%, 04/15/21 754 805
9.000%, 05/15/21 544 580
7.500%, 06/15/21 572 583
9.000%, 09/15/21 149 159
7.500%, 11/15/21 635 647
7.500%, 12/15/21 790 804
- -------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- -------------------------------------------------------------
8.000%, 12/15/21 $ 280 $ 290
8.000%, 01/15/22 3,677 3,798
8.000%, 02/15/22 403 417
8.000%, 04/15/22 530 548
9.000%, 05/15/22 312 332
8.000%, 06/15/22 526 544
8.000%, 07/15/22 2,154 2,229
7.500%, 01/15/23 3,248 3,305
7.500%, 04/15/23 729 742
7.000%, 05/15/23 11,504 11,529
7.500%, 05/15/23 670 683
6.500%, 06/15/23 78 78
7.500%, 06/15/23 720 733
6.500%, 07/15/23 173 170
7.000%, 08/15/23 3,915 3,925
7.500%, 08/15/23 3,372 3,432
6.500%, 09/15/23 4,995 4,910
7.000%, 09/15/23 3,375 3,383
7.500%, 09/15/23 1,923 1,957
6.500%, 10/15/23 999 984
6.500%, 11/15/23 1,158 1,139
8.000%, 11/15/23 756 781
6.500%, 12/15/23 5,893 5,794
6.500%, 01/15/24 1,375 1,354
6.500%, 02/15/24 210 207
6.500%, 03/15/24 846 832
6.500%, 04/15/24 356 351
6.500%, 05/15/24 279 276
7.500%, 09/15/25 799 813
7.500%, 10/15/25 58 60
--------
Total GNMA
(Cost $81,251) 82,387
--------
REPURCHASE AGREEMENT -- 3.3%
J.P. Morgan
5.74%, dated 07/31/97,
matures 08/01/97, repurchase
price $2,782,444 (collateralized
by U.S. Treasury Note par value
$2,690,000, 7.750%, matures
11/30/99: market
value $2,838,230) 2,782 2,782
--------
Total Repurchase Agreement
(Cost $2,782) 2,782
--------
Total Investments -- 100.1%
(Cost $84,033) 85,169
--------
OTHER ASSETS AND LIABILITIES -- (0.1%)
Other Assets and Liabilities, Net (50)
--------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
12
<PAGE>
================================================================================
- -------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- -------------------------------------------------------------
NET ASSETS:
Portfolio Shares of Class A (unlimited
authorization -- no par value) based on
8,699,784 outstanding shares of
beneficial interest $96,319
Accumulated net realized loss
on investments (12,321)
Net unrealized appreciation
on investments 1,135
Overdistributed net investment income (14)
--------
TOTAL NET ASSETS -- 100.0% $85,119
========
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE -- CLASS A $9.78
========
GNMA GOVERNMENT NATIONAL MORTGAGE ASSOCIATION
CORPORATE DAILY INCOME
PORTFOLIO
CORPORATE OBLIGATIONS -- 28.5%
BANKS -- 18.1%
Banc One (A)
5.916%, 09/25/97 $2,000 $ 2,002
Bank of New York
5.940%, 06/30/98 2,000 2,002
Citicorp MTN (A)
5.894%, 08/11/97 2,000 2,001
NationsBank MTN (A)
5.951%, 09/17/97 2,000 2,000
Norwest (A)
5.831%, 09/16/97 1,600 1,592
--------
9,597
--------
FINANCIAL SERVICES -- 8.5%
Caterpillar MTN (A)
6.200%, 10/03/97 1,000 995
Ford Motor Credit (A)
5.690%, 08/15/97 1,500 1,491
General Motors Acceptance (A)
6.190%, 09/25/97 1,000 994
Sears Roebuck MTN (A)
5.643%, 09/10/97 1,000 995
--------
4,475
--------
LEASING & RENTING -- 1.9%
International Lease Finance (A)
5.950%, 10/15/97 1,000 1,000
--------
- ------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- ------------------------------------------------------------
Total Corporate Obligations
(Cost $15,093) $15,072
--------
U.S. GOVERNMENT MORTGAGE-BACKED
OBLIGATIONS -- 26.2%
FHLB
6.900%, 04/28/00 5,000 5,015
FNMA (A)
6.087%, 08/25/97 697 698
FNMA
6.000%, 04/01/01 8,180 8,155
--------
Total U.S. Government
Mortgage-Backed Obligations
(Cost $13,894) 13,868
--------
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 9.5%
FNMA
5.510%, 02/24/98 5,000 5,001
--------
Total U.S. Government Agency Obligations
(Cost $4,998) 5,001
--------
ASSET BACKED SECURITIES -- 29.9%
AIRCRAFT -- 1.9%
Airplanes Pass Through
Trust 1-A2 (A)
6.000%, 08/15/97 1,000 1,008
--------
AUTOMOTIVE -- 17.1%
Chase Manhattan 97-B
6.350%, 02/15/01 1,000 1,000
Daimler-Benz Auto Grantor
Trust 93-A
3.900%, 10/15/98 26 27
Daimler-Benz Auto Grantor
Trust 95-A A
5.850%, 05/15/02 975 977
Ford Credit Auto Lease
Trust 96-1 A2
5.800%, 05/15/99 1,600 1,601
Ford Credit Grantor
Trust 93-B
4.300%, 07/15/98 36 36
Ford Credit Grantor
Trust 95-B A
5.900%, 10/15/00 932 934
General Motors Acceptance 93-A A
4.150%, 03/16/98 5 5
General Motors Acceptance 93-B A
4.000%, 09/15/98 34 34
General Motors Acceptance 95-A1
7.150%, 03/15/00 341 345
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
13
<PAGE>
STATEMENT OF NET ASSETS
================================================================================
SEI DAILY INCOME TRUST -- JULY 31, 1997 (UNAUDITED)
CORPORATE DAILY INCOME
PORTFOLIO (concluded)
- -------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- -------------------------------------------------------------
General Motors Acceptance 97-A
6.500%, 04/15/02 $ 883 $ 890
Navistar Financial Trust 96-A B2
5.930%, 11/20/99 995 997
Premier Auto Trust 93-4 A2
4.650%, 02/02/99 62 62
Premier Auto Trust 93-6 A2
4.650%, 11/02/99 203 202
Premier Auto Trust 96-4 A3
6.200%, 11/06/00 1,000 1,006
Toyota Receivables 97-A (A)
6.450%, 08/15/97 890 895
--------
9,011
--------
CREDIT CARDS -- 4.7%
AT&T (A)
5.903%, 08/17/97 1,000 1,000
MBNA Master Credit 94-DA (A)
6.110%, 08/15/97 1,500 1,501
--------
2,501
--------
EQUIPMENT FUNDING -- 4.3%
Capital Equipment Receivables
Trust 96-1 A2
5.950%, 07/15/98 1,000 1,003
IBM Credit Receivables Lease
Asset Master Trust 93-1 A
4.550%, 11/15/00 1,279 1,265
--------
2,268
--------
MORTGAGE RELATED -- 1.9%
Main Place Funding 95-2 (A)
5.998%, 10/25/97 1,000 1,001
--------
Total Asset Backed Securities
(Cost $15,750) 15,789
--------
REPURCHASE AGREEMENT -- 3.9%
J.P. Morgan
5.74%, dated 07/31/97,
matures 08/01/97, repurchase
price $2,082,332 (collateralized
by U.S. Treasury Note par value
$2,013,000, 7.750%, matures
11/30/99: market
value $2,123,925) 2,082 2,082
--------
Total Repurchase Agreement
(Cost $2,082) 2,082
--------
- -------------------------------------------------------------
MARKET
DESCRIPTION VALUE (000)
- -------------------------------------------------------------
Total Investments -- 98.0%
(Cost $51,817) $51,812
--------
OTHER ASSETS AND LIABILITIES -- 2.0%
Other Assets and Liabilities, Net 1,053
--------
NET ASSETS:
Portfolio Shares of Class A (unlimited
authorization -- no par value) based on
26,577,253 outstanding shares
of beneficial interest 52,897
Accumulated net realized loss
on investments (31)
Net unrealized depreciation
on investments (5)
Undistributed net investment income 4
--------
TOTAL NET ASSETS -- 100.0% $52,865
========
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 JULY 31, 1997. THE DATE SHOWN IS THE
LONGER OF THE RESET DATE OR THE DEMAND DATE.
FHLB FEDERAL HOME LOAN BANK
FNMA FEDERAL NATIONAL MORTGAGE ASSOCIATION
MTN MEDIUM TERM NOTE
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
14
<PAGE>
STATEMENT OF ASSETS AND LIABILITIES
================================================================================
SEI DAILY INCOME TRUST -- JULY 31, 1997 (UNAUDITED)
-------------
TREASURY II
PORTFOLIO
-------------
ASSETS:
Investments at market value (identified cost $850,757) $ 850,757
Cash (4,882)
Accrued interest receivable 8,165
Receivable for investment securities sold 276,549
---------
Total Assets 1,130,589
---------
LIABILITIES:
Distribution payable 3,662
Payable for investment securities purchased 320,701
Accrued expenses payable 15
---------
Total Liabilities 324,378
---------
Net Assets $ 806,211
=========
NET ASSETS:
Portfolio shares of Class A (unlimited
authorization -- no par value)
based on 745,137,778 outstanding
shares of beneficial interest 745,138
Portfolio shares of Class B (unlimited
authorization -- no par value)
based on 50,789,293 outstanding
shares of beneficial interest 50,789
Portfolio shares of Class C (unlimited
authorization -- no par value)
based on 10,368,713 outstanding
shares of beneficial interest 10,369
Accumulated net realized loss on
investments (301)
Undistributed net investment income 216
---------
Net Assets $ 806,211
=========
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
=========
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
15
<PAGE>
STATEMENTS OF OPERATIONS (000)
================================================================================
SEI DAILY INCOME TRUST--FOR THE PERIOD ENDED JULY 31, 1997 (UNAUDITED)
<TABLE>
<CAPTION>
--------- ---------- ------------- ---------- --------- -----------
MONEY PRIME
MARKET GOVERNMENT GOVERNMENT II OBLIGATION TREASURY TREASURY II
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
--------- ---------- ------------- ---------- --------- -----------
<S> <C> <C> <C> <C> <C> <C>
Interest Income $12,877 $23,569 $24,489 $85,256 $3,222 $21,793
------- ------- ------- ------- ------ -------
EXPENSES:
Management fees 758 1,024 849 2,900 141 987
Less management fees waived (528) (368) (173) (595) (52) (151)
Investment advisory fees 56 104 109 372 14 100
Less investment advisory fees waived (45) (79) (76) (260) (33) (65)
Distribution fees (1) 90 2,321 57 281 72 95
Custodian/wire agent fees 66 43 48 142 29 40
Trustee fees 1 2 2 8 -- 2
Registration fees 12 94 104 384 3 83
Other 19 32 33 105 15 33
Amortization of deferred
organizational costs -- -- -- -- -- --
------- ------- ------- ------- ------ -------
Total expenses 429 3,173 953 3,337 189 1,124
------- ------- ------- ------- ------ -------
NET INVESTMENT INCOME 12,448 20,396 23,536 81,919 3,033 20,669
------- ------- ------- ------- ------ -------
NET REALIZED AND UNREALIZED GAIN
(LOSS) ON INVESTMENTS:
Net realized loss from security
transactions (31) (26) (37) (54) (13) (122)
------- ------- ------- ------- ------ -------
Net change in unrealized appreciation
of investments -- -- -- -- -- --
------- ------- ------- ------- ------ -------
NET INCREASE IN NET ASSETS FROM OPERATIONS $12,417 $20,370 $23,499 $81,865 $3,020 $20,547
======= ======= ======= ======= ====== =======
---------- ------------- --------- ---------
SHORT- INTERMEDIATE- CORPORATE
DURATION DURATION DAILY
GOVERNMENT GOVERNMENT GNMA INCOME
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
---------- ------------- --------- ---------
<S> <C> <C> <C> <C>
Interest Income $2,485 $3,654 $3,326 $1,606
------ ------ ------ ------
EXPENSES:
Management fees 135 200 144 94
Less management fees waived (12) -- -- (33)
Investment advisory fees 38 57 45 26
Less investment advisory fees waived (7) (3) (1) (9)
Distribution fees (1) -- -- -- --
Custodian/wire agent fees 5 7 14 3
Trustee fees -- -- -- --
Registration fees 8 16 17 8
Other 6 9 58 3
Amortization of deferred
organizational costs -- -- -- 3
------ ------ ------ ------
Total expenses 173 291 277 95
------ ------ ------ ------
NET INVESTMENT INCOME 2,312 3,363 3,049 1,511
------ ------ ------ ------
NET REALIZED AND UNREALIZED GAIN
(LOSS) ON INVESTMENTS:
Net realized loss from security
transactions (11) (783) (301) (28)
------ ------ ------ ------
Net change in unrealized appreciation
of investments 384 2,451 1,547 48
------ ------ ------ ------
NET INCREASE IN NET ASSETS FROM OPERATIONS $2,685 $5,031 $4,295 $1,531
====== ====== ====== ======
<FN>
(1)INCLUDES CLASS SPECIFIC DISTRIBUTION AND SHAREHOLDER SERVICING FEES.
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.
16 & 17
<PAGE>
STATEMENTS OF CHANGES IN NET ASSETS (000)
================================================================================
SEI DAILY INCOME TRUST--FOR THE PERIOD ENDED JULY 31, 1997 (UNAUDITED) AND FOR
THE YEAR ENDED JANUARY 31, 1997
<TABLE>
<CAPTION>
------------------------ ---------------------
MONEY
MARKET GOVERNMENT
------------------------ ---------------------
2/1/97 2/1/96 2/1/97 2/1/96
to 7/31/97 to 1/31/97 to 7/31/97 to 1/31/97
------------------------ ----------------------
OPERATIONS:
<S> <C> <C> <C> <C>
Net investment income $ 12,448 $ 8,249 $ 20,396 $ 36,890
Net realized loss from security transactions (31) (6) (26) (148)
---------- ---------- ---------- ----------
Net increase in net assets from operations 12,417 8,243 20,370 36,742
---------- ---------- ---------- ----------
DIVIDENDS DISTRIBUTED FROM:
Net investment income:
Class A (11,554) (7,294) (3,129) (4,797)
Class B (6) (161) (982) (1,539)
Class C (888) (794) (16,166) --
Class G -- -- (104) (30,559)
---------- ---------- ---------- ----------
Total dividends distributed (12,448) (8,249) (20,381) (36,895)
---------- ---------- ---------- ----------
CAPITAL SHARE TRANSACTIONS (ALL AT $1.00 PER SHARE): Class A:
Proceeds from shares issued 2,943,665 1,998,879 700,827 730,378
Reinvestment of cash distributions 5,619 1,817 1,051 1,615
Cost of shares repurchased (2,846,291) (1,727,529) (696,512) (664,375)
---------- ---------- ---------- ----------
Increase (decrease) in net assets from Class A transactions 102,993 273,167 5,366 67,618
---------- ---------- ---------- ----------
Class B:
Proceeds from shares issued 55 7,740 297,538 528,207
Reinvestment of cash distributions 3 37 2,006 --
Cost of shares repurchased (826) (13,624) (343,038) (490,054)
---------- ---------- ---------- ----------
Increase (decrease) in net assets from Class B transactions (768) (5,847) (43,494) 38,153
---------- ---------- ---------- ----------
Class C:
Proceeds from shares issued 50,349 54,043 36,100 --
Reinvestment of cash distributions 153 325 -- --
Cost of shares repurchased (36,713) (26,299) (22,107) --
---------- ---------- ---------- ----------
Increase in net assets from Class C transactions 13,789 28,069 13,993 --
---------- ---------- ---------- ----------
Class G:
Proceeds from shares issued -- -- 1,219,948 1,761,763
Reinvestment of cash distributions -- -- 7,722 23,714
Cost of shares repurchased -- -- (1,029,889) (1,711,087)
---------- ---------- ---------- ----------
Increase in net assets from Class G transactions -- -- 197,781 74,390
---------- ---------- ---------- ----------
INCREASE (DECREASE) IN NET ASSETS DERIVED FROM CAPITAL SHARE TRANSACTIONS 116,014 295,389 173,646 180,161
---------- ---------- ---------- ----------
Net increase (decrease) in net assets 115,983 295,383 173,635 180,008
---------- ---------- ---------- ----------
NET ASSETS:
Beginning of Period 400,350 104,967 786,703 606,695
---------- ---------- ---------- ----------
End of Period $ 516,333 $ 400,350 $ 960,338 $ 786,703
========== ========== ========== ==========
--------------------- -----------------------
PRIME
GOVERNMENT II OBLIGATION
---------------------- -----------------------
2/1/97 2/1/96 2/1/97 2/1/96
to 7/31/97 to 1/31/97 to 7/31/97 to 1/31/97
---------------------- -----------------------
OPERATIONS:
<S> <C> <C> <C> <C>
Net investment income $ 23,536 $ 40,571 $ 81,919 $ 147,275
Net realized loss from security transactions (37) (83) (54) (96)
---------- ---------- ----------- -----------
Net increase in net assets from operations 23,499 40,488 81,865 147,179
---------- ---------- ----------- -----------
DIVIDENDS DISTRIBUTED FROM:
Net investment income:
Class A (22,782) (39,711) (77,348) (138,844)
Class B (500) (804) (4,173) (8,391)
Class C (254) (56) (345) (38)
Class G -- -- -- --
---------- ---------- ----------- -----------
Total dividends distributed (23,536) (40,571) (81,866) (147,273)
---------- ---------- ----------- -----------
CAPITAL SHARE TRANSACTIONS (ALL AT $1.00 PER SHARE): Class A:
Proceeds from shares issued 2,866,613 4,473,934 14,775,357 24,807,352
Reinvestment of cash distributions 776 632 20,303 40,591
Cost of shares repurchased (2,829,115) (4,522,836) (14,360,938) (24,663,157)
---------- ---------- ----------- -----------
Increase (decrease) in net assets from Class A transactions 38,274 (48,270) 434,722 184,786
---------- ---------- ----------- -----------
Class B:
Proceeds from shares issued 70,484 92,880 988,401 2,059,805
Reinvestment of cash distributions 136 236 21 128
Cost of shares repurchased (69,043) (96,469) (953,415) (2,088,439)
---------- ---------- ----------- -----------
Increase (decrease) in net assets from Class B transactions 1,577 (3,353) 35,007 (28,506)
---------- ---------- ----------- -----------
Class C:
Proceeds from shares issued 63,616 18,066 102,167 29,017
Reinvestment of cash distributions -- -- -- --
Cost of shares repurchased (48,650) (11,706) (88,772) (24,685)
---------- ---------- ----------- -----------
Increase in net assets from Class C transactions 14,966 6,360 13,395 4,332
---------- ---------- ----------- -----------
Class G:
Proceeds from shares issued -- -- -- --
Reinvestment of cash distributions -- -- -- --
Cost of shares repurchased -- -- -- --
---------- ---------- ----------- -----------
Increase in net assets from Class G transactions -- -- -- --
---------- ---------- ----------- -----------
INCREASE (DECREASE) IN NET ASSETS DERIVED FROM CAPITAL SHARE TRANSACTIONS 54,817 (45,263) 483,124 160,612
---------- ---------- ----------- -----------
Net increase (decrease) in net assets 54,780 (45,346) 483,123 160,518
---------- ---------- ----------- -----------
NET ASSETS:
Beginning of Period 784,697 830,043 2,776,959 2,616,441
---------- ---------- ----------- -----------
End of Period $ 839,477 $ 784,697 $ 3,260,082 $ 2,776,959
========== ========== =========== ===========
---------------------- -----------------------
TREASURY TREASURY II
---------------------- -----------------------
2/1/97 2/1/96 2/1/97 2/1/96
tto 7/31/97 to 1/31/97 to 7/31/97 to 1/31/97
---------------------- -----------------------
OPERATIONS:
<S> <C> <C> <C> <C>
Net investment income $ 3,033 $ 4,335 $ 20,669 $ 26,940
Net realized loss from security transactions (13) (1) (122) (141)
-------- -------- ---------- ----------
Net increase in net assets from operations 3,020 4,334 20,547 26,799
-------- -------- ---------- ----------
DIVIDENDS DISTRIBUTED FROM:
Net investment income:
Class A (2,349) (3,621) (19,269) (25,532)
Class B (684) -- (1,264) (1,223)
Class C -- (714) (137) (185)
Class G -- -- -- --
-------- -------- ---------- ----------
Total dividends distributed (3,033) (4,335) (20,670) (26,940)
-------- -------- ---------- ----------
CAPITAL SHARE TRANSACTIONS (ALL AT $1.00 PER SHARE): Class A:
Proceeds from shares issued 372,082 296,378 1,787,731 4,047,676
Reinvestment of cash distributions 203 246 2,768 7,548
Cost of shares repurchased (352,730) (283,519) (1,826,046) (3,692,624)
-------- -------- ---------- ----------
Increase (decrease) in net assets from Class A transactions 19,555 13,105 (35,547) 362,600
-------- -------- ---------- ----------
Class B:
Proceeds from shares issued 77,268 -- 128,130 195,613
Reinvestment of cash distributions -- -- 1 4
Cost of shares repurchased (65,045) -- (131,485) (167,907)
-------- -------- ---------- ----------
Increase (decrease) in net assets from Class B transactions 12,223 -- (3,354) 27,710
-------- -------- ---------- ----------
Class C:
Proceeds from shares issued -- 84,434 48,309 52,451
Reinvestment of cash distributions -- -- 46 128
Cost of shares repurchased -- (74,221) (42,514) (51,986)
-------- -------- ---------- ----------
Increase in net assets from Class C transactions -- 10,213 5,841 593
-------- -------- ---------- ----------
Class G:
Proceeds from shares issued -- -- -- --
Reinvestment of cash distributions -- -- -- --
Cost of shares repurchased -- -- -- --
-------- -------- ---------- ----------
Increase in net assets from Class G transactions -- -- -- --
-------- -------- ---------- ----------
INCREASE (DECREASE) IN NET ASSETS DERIVED FROM CAPITAL SHARE TRANSACTIONS 31,778 23,318 (33,060) 390,903
-------- -------- ---------- ----------
Net increase (decrease) in net assets 31,765 23,317 (33,183) 390,762
-------- -------- ---------- ----------
NET ASSETS:
Beginning of Period 92,828 69,511 839,394 448,632
-------- -------- ---------- ----------
End of Period $124,593 $ 92,828 $ 806,211 $ 839,394
======== ======== ========== ==========
<FN>
AMOUNTS DESIGNATED AS "--" ARE EITHER $0 OR HAVE BEEN ROUNDED TO $0.
</FN>
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
18 & 19
<PAGE>
STATEMENTS OF CHANGES IN NET ASSETS (000)
================================================================================
SEI DAILY INCOME TRUST--FOR THE PERIOD ENDED JULY 31, 1997 (UNAUDITED) AND FOR
THE YEAR ENDED JANUARY 31, 1997
<TABLE>
<CAPTION>
--------------------- ----------------------
INTERMEDIATE-
SHORT-DURATION DURATION
GOVERNMENT GOVERNMENT
--------------------- ----------------------
2/1/97 2/1/96 2/1/97 2/1/96
to 7/31/97 to 1/31/97 to 7/31/97 to 1/31/97
--------------------- ----------------------
OPERATIONS:
<S> <C> <C> <C> <C>
Net investment income $ 2,312 $ 4,068 $ 3,363 $ 8,284
Net realized gain (loss) from security transactions (11) 60 (783) 1,192
Net change in unrealized appreciation (depreciation) of investments 384 (944) 2,451 (5,738)
------- ------- -------- --------
Net increase (decrease) in net assets from operations 2,685 3,184 5,031 3,738
------- ------- -------- --------
DIVIDENDS DISTRIBUTED FROM:
Net investment income:
Class A (2,307) (4,209) (3,359) (8,283)
Class B -- (1) -- --
Class D -- -- -- (1)
Net realized gains:
Class A -- -- -- --
Class B -- -- -- --
Class D -- -- -- --
------- ------- -------- --------
Total dividends distributed (2,307) (4,210) (3,359) (8,284)
------- ------- -------- --------
CAPITAL SHARE TRANSACTIONS:
Class A:
Proceeds from shares issued 24,508 51,283 17,863 52,840
Reinvestment of cash distributions 841 1,604 649 1,505
Cost of shares repurchased (21,569) (51,748) (43,293) (81,096)
------- ------- -------- --------
Increase (decrease) in net assets from Class A transactions 3,780 1,139 (24,781) (26,751)
------- ------- -------- --------
Class B:
Proceeds from shares issued -- -- -- --
Reinvestment of cash distributions -- -- -- --
Cost of shares repurchased -- (25) -- --
------- ------- -------- --------
Decrease in net assets from Class B transactions -- (25) -- --
------- ------- -------- --------
Class D:
Proceeds from shares issued -- -- -- --
Reinvestment of cash distributions -- -- -- --
Cost of shares repurchased -- (11) -- (66)
------- ------- -------- --------
Increase (decrease) in net assets from Class D transactions -- (11) -- (66)
------- ------- -------- --------
INCREASE (DECREASE) IN NET ASSETS DERIVED FROM CAPITAL SHARE TRANSACTIONS 3,780 1,103 (24,781) (26,817)
------- ------- -------- --------
Net increase (decrease) in net assets 4,158 77 (23,109) (31,363)
------- ------- -------- --------
NET ASSETS:
Beginning of Period 73,558 73,481 133,675 165,038
------- ------- -------- --------
End of Period $77,716 $73,558 $110,566 $133,675
======= ======= ======== ========
CAPITAL SHARE TRANSACTIONS:
Class A:
Shares issued 2,469 5,168 1,824 5,428
Shares issued in lieu of cash distributions 85 162 67 155
Shares repurchased (2,175) (5,220) (4,439) (8,317)
------- ------- -------- --------
Total Class A transactions 379 110 (2,548) (2,734)
------- ------- -------- --------
Class B:
Shares issued -- -- -- --
Shares issued in lieu of cash distributions -- -- -- --
Shares repurchased -- (3) -- --
------- ------- -------- --------
Total Class B transactions -- (3) -- --
------- ------- -------- --------
Class D:
Shares issued -- -- -- --
Shares issued in lieu of cash distributions -- -- -- --
Shares repurchased -- (1) -- (6)
------- ------- -------- --------
Total Class D transactions -- (1) -- (6)
------- ------- -------- --------
Increase (decrease) in capital shares 379 106 (2,548) (2,740)
======= ======= ======== ========
----------------------- ----------------------
CORPORATE
DAILY
GNMA INCOME
----------------------- ----------------------
2/1/97 2/1/96 2/1/97 2/1/96
to 7/31/97 to 1/31/97 to 7/31/97 to 1/31/97
----------------------- ----------------------
OPERATIONS:
<S> <C> <C> <C> <C>
Net investment income $ 3,049 $ 8,337 $ 1,511 $ 2,734
Net realized gain (loss) from security transactions (301) (414) (28) 57
Net change in unrealized appreciation (depreciation) of investments 1,547 (2,894) 48 (334)
------- -------- ------- -------
Net increase (decrease) in net assets from operations 4,295 5,029 1,531 2,457
------- -------- ------- -------
DIVIDENDS DISTRIBUTED FROM:
Net investment income:
Class A (3,063) (8,333) (1,507) (2,734)
Class B -- -- -- --
Class D -- (4) -- --
Net realized gains:
Class A -- -- -- (56)
Class B -- -- -- --
Class D -- -- -- --
------- -------- ------- -------
Total dividends distributed (3,063) (8,337) (1,507) (2,790)
------- -------- ------- -------
CAPITAL SHARE TRANSACTIONS:
Class A:
Proceeds from shares issued 9,680 27,248 19,836 32,404
Reinvestment of cash distributions 894 1,950 753 1,781
Cost of shares repurchased (28,574) (60,395) (23,531) (26,608)
------- -------- ------- -------
Increase (decrease) in net assets from Class A transactions (18,000) (31,197) (2,942) 7,577
------- -------- ------- -------
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 -- -- -- --
Reinvestment of cash distributions -- 3 -- --
Cost of shares repurchased -- (164) -- --
------- -------- ------- -------
Increase (decrease) in net assets from Class D transactions -- (161) -- --
------- -------- ------- -------
INCREASE (DECREASE) IN NET ASSETS DERIVED FROM CAPITAL SHARE TRANSACTIONS (18,000) (31,372) (2,942) 7,577
------- -------- ------- -------
Net increase (decrease) in net assets (16,768) (34,680) (2,918) 7,244
------- -------- ------- -------
NET ASSETS:
Beginning of Period 101,887 136,567 55,783 48,539
------- -------- ------- -------
End of Period $85,119 $101,887 $52,865 $55,783
======= ======== ======= =======
CAPITAL SHARE TRANSACTIONS:
Class A:
Shares issued 1,008 2,840 9,997 16,320
Shares issued in lieu of cash distributions 93 205 380 897
Shares repurchased (2,979) (6,326) (11,860) (13,400)
------- -------- ------- -------
Total Class A transactions (1,878) (3,281) (1,483) 3,817
------- -------- ------- -------
Class B:
Shares issued -- -- -- --
Shares issued in lieu of cash distributions -- -- -- --
Shares repurchased -- (2) -- --
------- -------- ------- -------
Total Class B transactions -- (2) -- --
------- -------- ------- -------
Class D:
Shares issued -- -- -- --
Shares issued in lieu of cash distributions -- -- -- --
Shares repurchased -- (16) -- --
------- -------- ------- -------
Total Class D transactions -- (16) -- --
------- -------- ------- -------
Increase (decrease) in capital shares (1,878) (3,299) (1,483) 3,817
======= ======== ======= =======
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
20 & 21
<PAGE>
FINANCIAL HIGHLIGHTS
================================================================================
SEI DAILY INCOME TRUST--FOR THE PERIOD ENDED JULY 31, 1997 (UNAUDITED) AND THE
YEARS ENDED JANUARY 31
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
<TABLE>
<CAPTION>
NET ASSET NET REALIZED AND DISTRIBUTIONS DISTRIBUTIONS RATIO OF
VALUE NET UNREALIZED FROM NET FROM NET ASSET NET ASSETS EXPENSES
BEGINNING INVESTMENT GAINS (LOSSES) INVESTMENT REALIZED CAPITAL VALUE END TOTAL END OF TO AVERAGE
OF PERIOD INCOME ON SECURITIES INCOME GAINS OF PERIOD RETURN PERIOD (000) NET ASSETS
============================================================================================================================
- -----------------------
MONEY MARKET PORTFOLIO
- -----------------------
CLASS A
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
1997* $1.00 $0.03 $ -- $(0.03) $-- $1.00 2.74%+ $ 472,018 0.15%
1997 1.00 0.05 -- (0.05) -- 1.00 5.44 369,052 0.16
1996 1.00 0.06 -- (0.06) -- 1.00 5.98 95,891 0.20
1995 1.00 0.04 -- (0.04) -- 1.00 4.55 213,988 0.21
1994 1.00 0.03 -- (0.03) -- 1.00 2.98 203,803 0.35
1993 1.00 0.04 -- (0.04) -- 1.00 3.60 264,450 0.35
CLASS B
1997(1) $1.00 $ -- $ -- $ -- $-- $1.00 0.32%+ $ -- 0.41%
1997 1.00 0.05 -- (0.05) -- 1.00 5.13 770 0.50
1996 1.00 0.06 -- (0.06) -- 1.00 5.67 6,616 0.50
1995 1.00 0.04 -- (0.04) -- 1.00 4.24 6,314 0.51
1994 1.00 0.03 -- (0.03) -- 1.00 2.68 2,334 0.65
1993 1.00 0.04 -- (0.04) -- 1.00 3.29 309 0.65
CLASS C
1997* $1.00 $0.02 $ -- $(0.02) $-- $1.00 2.48%+ $ 44,315 0.65%
1997 1.00 0.05 -- (0.05) -- 1.00 4.92 30,528 0.66
1996(2) 1.00 0.04 -- (0.04) -- 1.00 3.79+ 2,460 0.70
- ----------------------
GOVERNMENT PORTFOLIO
- ----------------------
CLASS A
1997* $1.00 $0.03 $ -- $(0.03) $ -- $1.00 2.67%+ $ 121,737 0.20%
1997 1.00 0.05 -- (0.05) -- 1.00 5.33 116,373 0.20
1996(3) 1.00 0.01 -- (0.01) -- 1.00 1.48+ 48,762 0.20
1994(4) 1.00 0.01 -- (0.01) -- 1.00 3.22 -- 0.20
1993(5) 1.00 0.03 -- (0.03) -- 1.00 3.19 20,022 0.20
CLASS B
1997* $1.00 $0.02 $ -- $(0.02) $ -- $1.00 2.51%+ $ 9,649 0.50%
1997 1.00 0.05 -- (0.05) -- 1.00 5.02 53,144 0.50
1996(6) 1.00 0.02 -- (0.02) -- 1.00 2.39+ 14,997 0.50
CLASS C
1997(7) $1.00 $ -- $ -- $ -- $ -- $1.00 0.41%+ $ 13,994 0.70%
CLASS G
1997* $1.00 $0.02 $ -- $(0.02) $ -- $1.00 2.34%+ $ 814,958 0.85%
1997 1.00 0.05 -- (0.05) -- 1.00 4.69 617,186 0.82
1996 1.00 0.05 -- (0.05) -- 1.00 5.39 542,936 0.70
1995(8) 1.00 0.03 -- (0.03) -- 1.00 3.41+ 310,835 0.70
- ------------------------
GOVERNMENT II PORTFOLIO
- ------------------------
CLASS A
1997* $1.00 $0.03 $ -- $(0.03) $ -- $1.00 2.65%+ $ 800,252 0.20%
1997 1.00 0.05 -- (0.05) -- 1.00 5.29 762,015 0.20
1996 1.00 0.06 -- (0.06) -- 1.00 5.83 810,365 0.20
1995 1.00 0.04 -- (0.04) -- 1.00 4.39 786,405 0.20
1994 1.00 0.03 -- (0.03) -- 1.00 3.02 738,040 0.20
1993 1.00 0.04 -- (0.04) -- 1.00 3.57 664,540 0.20
CLASS B
1997* $1.00 $0.02 $ -- $(0.02) $ -- $1.00 2.50%+ $ 17,899 0.50%
1997 1.00 0.05 -- (0.05) -- 1.00 4.98 16,323 0.50
1996 1.00 0.05 -- (0.05) -- 1.00 5.52 19,678 0.50
1995 1.00 0.04 -- (0.04) -- 1.00 4.08 15,201 0.50
1994 1.00 0.03 -- (0.03) -- 1.00 2.71 21,462 0.50
1993 1.00 0.03 -- (0.03) -- 1.00 3.26 338 0.50
CLASS C
1997* $1.00 $0.02 $ -- $(0.02) $ -- $1.00 2.39%+ $ 21,326 0.70%
1997(9) 1.00 0.01 -- (0.01) -- 1.00 4.71 6,359 0.70
- ---------------------------
PRIME OBLIGATION PORTFOLIO
- ---------------------------
CLASS A
1997* $1.00 $0.03 $ -- $(0.03) $ -- $1.00 2.70%+ $3,061,081 0.20%
1997 1.00 0.05 -- (0.05) -- 1.00 5.38 2,626,360 0.20
1996 1.00 0.06 -- (0.06) -- 1.00 5.96 2,441,662 0.20
1995 1.00 0.04 -- (0.04) -- 1.00 4.46 2,778,326 0.20
1994 1.00 0.03 -- (0.03) -- 1.00 3.10 2,541,126 0.20
1993 1.00 0.04 -- (0.04) -- 1.00 3.72 2,564,340 0.20
RATIO OF
NET
RATIO OF RATIO OF INVESTMENT
NET EXPENSES INCOME
INVESTMENT TO AVERAGE TO AVERAGE
INCOME NET ASSETS NET ASSETS
TO AVERAGE (EXCLUDING (EXCLUDING
NET ASSETS WAIVERS) WAIVERS)
============================================
- ----------------------
MONEY MARKET PORTFOLIO
- ----------------------
CLASS A
<S> <C> <C> <C>
1997* 5.46% 0.40% 5.21%
1997 5.33 0.63 4.86
1996 5.88 0.45 5.63
1995 4.49 0.45 4.25
1994 2.95 0.44 2.86
1993 3.56 0.39 3.52
CLASS B
1997(1) 4.96% 0.69% 4.68%
1997 4.96 0.76 4.70
1996 5.53 0.75 5.28
1995 4.49 0.75 4.25
1994 2.65 0.74 2.56
1993 3.47 0.69 3.43
CLASS C
1997* 4.96% 0.90% 4.71%
1997 4.84 0.92 4.58
1996(2) 5.17 0.96 4.91
- --------------------
GOVERNMENT PORTFOLIO
- --------------------
CLASS A
1997* 5.32% 0.31% 5.21%
1997 5.22 0.55 4.87
1996(3) 5.55 0.33 5.42
1994(4) 3.04 0.37 2.87
1993(5) 3.41 0.38 3.23
CLASS B
1997* 5.01% 0.61% 4.90%
1997 4.91 0.62 4.79
1996(6) 5.27 0.63 5.14
CLASS C
1997(7) 4.90% 0.79% 4.81%
CLASS G
1997* 4.67% 0.95% 4.57%
1997 4.59 1.03 4.38
1996 5.23 0.84 5.09
1995(8) 4.32 0.89 4.13
- ------------------------
GOVERNMENT II PORTFOLIO
- -----------------------
CLASS A
1997* 5.28% 0.26% 5.22%
1997 5.17 0.45 4.92
1996 5.69 0.29 5.60
1995 4.33 0.30 4.23
1994 2.98 0.29 2.89
1993 3.48 0.29 3.39
CLASS B
1997* 4.99% 0.56% 4.93%
1997 4.87 0.56 4.81
1996 5.41 0.59 5.32
1995 4.33 0.60 4.23
1994 2.68 0.60 2.58
1993 3.35 0.59 3.26
CLASS C
1997* 4.81% 0.77% 4.74%
1997(9) 4.69 0.75 4.64
- -----------------------------
PRIME OBLIGLIGATION PORTFOLIO
- -----------------------------
CLASS A
1997* 5.38% 0.26% 5.32%
1997 5.26 0.45 5.01
1996 5.82 0.29 5.73
1995 4.41 0.30 4.31
1994 3.07 0.28 2.98
1993 3.62 0.30 3.52
</TABLE>
22
<PAGE>
<TABLE>
<CAPTION>
NET ASSET NET REALIZED AND DISTRIBUTIONS DISTRIBUTIONS RATIO OF
VALUE NET UNREALIZED FROM NET FROM NET ASSET NET ASSETS EXPENSES
BEGINNING INVESTMENT GAINS (LOSSES) INVESTMENT REALIZED CAPITAL VALUE END TOTAL END OF TO AVERAGE
OF PERIOD INCOME ON SECURITIES INCOME GAINS OF PERIOD RETURN PERIOD (000) NET ASSETS
=============================================================================================================================
- ---------------------------------------
PRIME OBLIGATION PORTFOLIO (CONTINUED)
- ---------------------------------------
CLASS B
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
1997* $1.00 $0.03 $ -- $(0.03) $ -- $1.00 2.55%+ $181,273 0.50%
1997 1.00 0.05 -- (0.05) -- 1.00 5.07 146,267 0.50
1996 1.00 0.06 -- (0.06) -- 1.00 5.65 174,779 0.50
1995 1.00 0.04 -- (0.04) -- 1.00 4.15 21,852 0.50
1994 1.00 0.03 -- (0.03) -- 1.00 2.79 6,312 0.50
1993 1.00 0.04 -- (0.04) -- 1.00 3.41 4,699 0.47
CLASS C
1997* $1.00 $0.02 $ -- $(0.02) $ -- $1.00 2.44%+ $ 17,728 0.70%
1997(10) 1.00 0.04 -- (0.04) -- 1.00 4.85 4,332 0.70
1995(11) 1.00 0.03 -- (0.03) -- 1.00 2.55+ -- 0.70
1994 1.00 0.03 -- (0.03) -- 1.00 2.59 20,602 0.70
1993(12) 1.00 0.03 -- (0.03) -- 1.00 3.13 85,325 0.70
- -------------------
TREASURY PORTFOLIO
- -------------------
CLASS A
1997* $1.00 $0.03 $ -- $(0.03) $ -- $1.00 2.64%+ $ 87,468 0.20%
1997 1.00 0.05 -- (0.05) -- 1.00 5.32 67,924 0.20
1996 1.00 0.06 -- (0.06) -- 1.00 5.89 54,820 0.20
1995 1.00 0.04 -- (0.04) -- 1.00 4.29 39,129 0.20
1994 1.00 0.03 -- (0.03) -- 1.00 3.00 46,296 0.20
1993(13) 1.00 0.01 -- (0.01) -- 1.00 2.91 44,624 0.20
CLASS C
1997* $1.00 $0.02 $ -- $(0.02) $ -- $1.00 2.39%+ $ 37,125 0.69%
1997 1.00 0.05 -- (0.05) -- 1.00 4.80 24,904 0.70
1996(14) 1.00 0.03 -- (0.03) -- 1.00 2.68+ 14,691 0.70
- ----------------------
TREASURY II PORTFOLIO
- ----------------------
CLASS A
1997* $1.00 $0.04 $ -- $(0.04) $ -- $1.00 2.53%+ $745,058 0.25%
1997 1.00 0.05 -- (0.05) -- 1.00 5.07 780,718 0.25
1996 1.00 0.05 -- (0.05) -- 1.00 5.58 418,250 0.25
1995 1.00 0.04 -- (0.04) -- 1.00 4.17 397,682 0.25
1994 1.00 0.03 -- (0.03) -- 1.00 2.88 364,334 0.25
1993 1.00 0.03 -- (0.03) -- 1.00 3.46 352,435 0.25
CLASS B
1997* $1.00 $0.04 $ -- $(0.04) $ -- $1.00 2.38%+ $ 50,786 0.55%
1997 1.00 0.05 -- (0.05) -- 1.00 4.76 54,148 0.55
1996 1.00 0.05 -- (0.05) -- 1.00 5.27 26,447 0.55
1995 1.00 0.04 -- (0.04) -- 1.00 3.86 44,680 0.55
1994 1.00 0.03 -- (0.03) -- 1.00 2.57 22,448 0.55
1993 1.00 0.03 -- (0.03) -- 1.00 3.15 6,038 0.55
CLASS C
1997* $1.00 $0.04 $ -- $(0.04) $ -- $1.00 2.28%+ $ 10,367 0.75%
1997 1.00 0.04 -- (0.04) -- 1.00 4.55 4,528 0.75
1996(15) 1.00 0.04 -- (0.04) -- 1.00 3.64+ 3,935 0.75
RATIO OF
NET
RATIO OF RATIO OF INVESTMENT
NET EXPENSES INCOME
INVESTMENT TO AVERAGE TO AVERAGE
INCOME NET ASSETS NET ASSETS
TO AVERAGE (EXCLUDING (EXCLUDING
NET ASSETS WAIVERS) WAIVERS)
=============================================
- --------------------------------------
PRIME OBLIGATION PORTFOLIO (CONTINUED)
- --------------------------------------
CLASS B
<S> <C> <C> <C>
1997* 5.09% 0.56% 5.03%
1997 4.95 0.56 4.89
1996 5.38 0.58 5.30
1995 4.55 0.60 4.45
1994 2.77 0.58 2.68
1993 3.63 0.53 3.57
CLASS C
1997* 4.93% 0.76% 4.87%
1997(1) 4.79 0.74 4.75
1995(11) 2.79 0.77 2.72
1994 2.57 0.78 2.48
1993(1) 3.05 0.83 2.92
- ------------------
TREASURY PORTFOLIO
- ------------------
CLASS A
1997* 5.28% 0.37% 5.11%
1997 5.19 0.60 4.79
1996 5.72 0.36 5.56
1995 4.17 0.34 4.03
1994 2.96 0.33 2.82
1993(1) 2.89 0.42 2.67
CLASS C
1997* 4.78% 0.84% 4.63%
1997 4.70 0.90 4.50
1996(14) 5.12 0.87 4.95
- ---------------------
TREASURY II PORTFOLIO
- ---------------------
CLASS A
1997* $ 5.05% 0.30% 5.00%
1997 4.96 0.52 4.69
1996 5.44 0.34 5.35
1995 4.11 0.35 4.01
1994 2.84 0.34 2.76
1993 3.40 0.34 3.31
CLASS B
1997* $ 4.75% 0.60% 4.70%
1997 4.65 0.63 4.57
1996 5.18 0.64 5.09
1995 3.71 0.65 3.61
1994 2.54 0.64 2.46
1993 3.42 0.64 3.33
CLASS C
1997* $ 4.54% 0.81% 4.48%
1997 4.45 0.82 4.38
1996(15) 4.85 0.84 4.76
<FN>
+ RETURNS ARE FOR THE PERIOD INDICATED AND HAVE NOT BEEN ANNUALIZED.
* ALL RATIOS FOR THE SEMI-ANNUAL PERIOD ENDED JULY 31, 1997 (UNAUDITED) HAVE
BEEN ANNUALIZED.
1 MONEY MARKET CLASS B SHARES WERE FULLY LIQUIDATED MARCH 12, 1997. ALL RATIOS
FOR THAT PERIOD HAVE BEEN ANNUALIZED.
2 MONEY MARKET CLASS C SHARES WERE OFFERED BEGINNING MAY 17, 1995. ALL RATIOS
FOR THAT PERIOD HAVE BEEN ANNUALIZED.
3 GOVERNMENT CLASS A SHARES WERE RE-OFFERED BEGINNING OCTOBER 27, 1995. ALL
RATIOS FOR THAT PERIOD HAVE BEEN ANNUALIZED.
4 GOVERNMENT CLASS A SHARES WERE FULLY LIQUIDATED JUNE 2, 1993. ALL RATIOS
INCLUDING TOTAL RETURN FOR THAT PERIOD HAVE BEEN ANNUALIZED.
5 GOVERNMENT CLASS A SHARES WERE OFFERED BEGINNING MARCH 8, 1992. ALL RATIOS
INCLUDING TOTAL RETURN FOR THAT PERIOD HAVE BEEN ANNUALIZED.
6 GOVERNMENT CLASS B SHARES WERE OFFERED BEGINNING AUGUST 22, 1995. ALL RATIOS
FOR THAT PERIOD HAVE BEEN ANNUALIZED.
7 GOVERNMENT CLASS C SHARES WERE OFFERED BEGINNING JULY 1, 1997. ALL RATIOS
FOR THAT PERIOD HAVE BEEN ANNUALIZED.
8 GOVERNMENT CLASS G (FORMERLY CLASS C) SHARES WERE OFFERED BEGINNING APRIL 7,
1994. ALL RATIOS FOR THAT PERIOD HAVE BEEN ANNUALIZED.
9 GOVERNMENT II CLASS C SHARES WERE OFFERED BEGINNING NOVEMBER 27, 1996. ALL
RATIOS INCLUDING TOTAL RETURN FOR THAT PERIOD HAVE BEEN ANNUALIZED.
10 PRIME OBLIGATION CLASS C SHARES WERE RE-OFFERED BEGINNING APRIL 30, 1996.
ALL RATIOS INCLUDING TOTAL RETURN FOR THE PERIOD HAVE BEEN ANNUALIZED.
11 PRIME OBLIGATION CLASS C SHARES WERE FULLY LIQUIDATED OCTOBER 27, 1994. ALL
RATIOS FOR THAT PERIOD HAVE BEEN ANNUALIZED.
12 PRIME OBLIGATION CLASS C SHARES WERE OFFERED BEGINNING MARCH 25, 1992. ALL
RATIOS INCLUDING TOTAL RETURN FOR THAT PERIOD HAVE BEEN ANNUALIZED.
13 TREASURY CLASS A SHARES WERE OFFERED BEGINNING SEPTEMBER 30, 1992. ALL
RATIOS INCLUDING TOTAL RETURN FOR THAT PERIOD HAVE BEEN ANNUALIZED.
14 TREASURY CLASS C SHARES WERE OFFERED BEGINNING JULY 27, 1995. ALL RATIOS FOR
THAT PERIOD HAVE BEEN ANNUALIZED.
15 TREASURY II CLASS C SHARES WERE OFFERED BEGINNING MAY 8, 1995. ALL RATIOS
FOR THAT PERIOD HAVE BEEN ANNUALIZED.
</FN>
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
23
<PAGE>
FINANCIAL HIGHLIGHTS (concluded)
================================================================================
SEI DAILY INCOME TRUST--FOR THE PERIOD ENDED JULY 31, 1997 (UNAUDITED) AND THE
YEARS ENDED JANUARY 31 FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
<TABLE>
<CAPTION>
NET ASSET NET REALIZED AND DISTRIBUTIONS DISTRIBUTIONS RATIO OF
VALUE NET UNREALIZED FROM NET FROM NET ASSET NET ASSETS EXPENSES
BEGINNING INVESTMENT GAINS (LOSSES) INVESTMENT REALIZED CAPITAL VALUE END TOTAL END OF TO AVERAGE
OF PERIOD INCOME ON SECURITIES INCOME GAINS OF PERIOD RETURN PERIOD (000) NET ASSETS
=============================================================================================================================
- ------------------------------------
SHORT-DURATION GOVERNMENT PORTFOLIO
- ------------------------------------
CLASS A
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
1997* $ 9.95 $0.30 $0.05 $(0.30) $ -- $10.00 3.52%+ $ 77,703 0.45%
1997 10.09 0.57 (0.12) (0.59) -- 9.95 4.62 73,545 0.45
1996 9.73 0.61 0.36 (0.61) -- 10.09 10.27 73,431 0.45
1995 10.06 0.40 (0.32) (0.40) (0.01) 9.73 0.93 99,458 0.45
1994 10.13 0.40 0.04 (0.40) (0.11) 10.06 4.41 128,063 0.45
1993 10.09 0.52 0.14 (0.52) (0.10) 10.13 6.66 100,153 0.45
CLASS B
1997* $ 9.94 $0.28 $0.05 $(0.28) $ -- $ 9.99 3.39%+ $ 13 0.74%
1997 10.07 0.55 (0.12) (0.56) -- 9.94 4.40 13 0.75
1996 9.71 0.58 0.36 (0.58) -- 10.07 9.94 39 0.75
1995 10.04 0.38 (0.32) (0.38) (0.01) 9.71 0.70 131 0.75
1994 10.13 0.37 0.02 (0.37) (0.11) 10.04 3.93 37 0.75
1993 10.09 0.48 0.14 (0.48) (0.10) 10.13 6.34 135 0.75
CLASS D*
1997(1)$10.09 $0.23 $(0.19) $(0.23) $ -- $ 9.90 0.35%+ $ -- 0.85%
1996(2) 9.83 0.54 0.26 (0.54) -- 10.09 8.31+ 11 0.85
- -------------------------------------------
INTERMEDIATE-DURATION GOVERNMENT PORTFOLIO
- -------------------------------------------
CLASS A
1997* $ 9.78 $0.28 $0.16 $(0.28) $ -- $ 9.94 4.64%+ $110,566 0.50%
1997 10.06 0.55 (0.28) (0.55) -- 9.78 2.81 133,675 0.49
1996 9.33 0.60 0.73 (0.60) -- 10.06 14.60 164,978 0.45
1995 10.13 0.50 (0.73) (0.50) (0.07) 9.33 (2.19) 243,671 0.45
1994 10.23 0.54 0.11 (0.54) (0.21) 10.13 6.44 336,814 0.45
1993 10.06 0.62 0.28 (0.62) (0.11) 10.23 9.51 259,488 0.45
CLASS B
1996(3)$ 9.33 $0.50 $ 0.65 $(0.50) $ -- $ 9.98 12.26%+ $ -- 0.75%
1995(4) 9.64 0.31 (0.24) (0.31) (0.07) 9.33 0.61+ 93 0.75
CLASS D*
1997(5)$10.05 $0.20 $(0.40) $(0.20) $ -- $ 9.65 (1.93)%+$ -- 0.87%
1996 9.32 0.56 0.73 (0.56) -- 10.05 14.15 60 0.85
1995 10.13 0.47 (0.74) (0.47) (0.07) 9.32 (2.61) 99 0.84
1994(6) 10.44 0.17 (0.10) (0.17) (0.21) 10.13 1.52 107 0.75
- ---------------
GNMA PORTFOLIO
- ---------------
CLASS A
1997* $ 9.63 $0.32 $0.15 $(0.32) $ -- $ 9.78 5.04%+ $ 85,119 0.60%
1997 9.84 0.65 (0.21) (0.65) -- 9.63 4.70 101,887 0.57
1996 9.17 0.67 0.67 (0.67) -- 9.84 15.06 136,394 0.49
1995 10.07 0.64 (0.90) (0.64) -- 9.17 (2.46) 182,225 0.47
1994 10.22 0.66 (0.06) (0.66) (0.09) 10.07 6.09 262,162 0.45
1993 9.99 0.75 0.27 (0.75) (0.04) 10.22 10.92 193,204 0.45
RATIO OF
NET
RATIO OF RATIO OF INVESTMENT
NET EXPENSES INCOME
INVESTMENT TO AVERAGE TO AVERAGE
INCOME NET ASSETS NET ASSETS PORTFOLIO
TO AVERAGE (EXCLUDING (EXCLUDING TURNOVER
NET ASSETS WAIVERS) WAIVERS) RATE
========================================================
- -----------------------------------
SHORT-DURATION GOVERNMENT PORTFOLIO
- -----------------------------------
CLASS A
<S> <C> <C> <C> <C>
1997* 6.01% 0.50% 5.96% 86%
1997 5.72 0.70 5.47 145
1996 6.13 0.53 6.05 184
1995 4.12 0.52 4.05 45
1994 3.98 0.52 3.91 105
1993 5.04 0.55 4.94 80
CLASS B
1997* 5.71% 0.79% 5.66% 86%
1997 5.49 0.82 5.42 145
1996 5.85 0.83 5.77 184
1995 3.92 0.82 3.85 45
1994 3.67 0.82 3.60 105
1993 4.74 0.85 4.64 80
CLASS D*
1997(1) 5.54% 0.94% 5.45% 87%
1996(2) 5.86 0.93 5.78 184
- -------------------------------------------
INTERMEDIATE-DURATION GOVERNMENT PORTFOLIO
- -------------------------------------------
CLASS A
1997* 5.88% 0.50% 5.88% 31%
1997 5.59 0.69 5.39 94
1996 6.12 0.53 6.04 115
1995 5.20 0.52 5.13 61
1994 5.24 0.53 5.16 56
1993 6.16 0.53 6.08 52
CLASS B
1996(3) 5.82% 0.83% 5.74% 115%
1995(4) 5.07 0.83 4.99 61
CLASS D*
1997(5) 5.19% 0.93% 5.13% 45%
1996 5.73 0.93 5.65 115
1995 4.80 0.92 4.72 61
1994(6) 4.94 0.83 4.86 56
- ---------------
GNMA PORTFOLIO
- ---------------
CLASS A
1997* 6.79% 0.60% 6.79% --%
1997 6.76 0.68 6.65 12
1996 7.04 0.51 7.02 20
1995 6.89 0.50 6.86 85
1994 6.38 0.50 6.32 70
1993 7.49 0.52 7.42 23
</TABLE>
24
<PAGE>
================================================================================
<TABLE>
<CAPTION>
NET ASSET NET REALIZED AND DISTRIBUTIONS DISTRIBUTIONS RATIO OF
VALUE NET UNREALIZED FROM NET FROM NET ASSET NET ASSETS EXPENSES
BEGINNING INVESTMENT GAINS (LOSSES) INVESTMENT REALIZED CAPITAL VALUE END TOTAL END OF TO AVERAGE
OF PERIOD INCOME ON SECURITIES INCOME GAINS OF PERIOD RETURN PERIOD (000) NET ASSETS
=============================================================================================================================
- ---------------------------
GNMA PORTFOLIO (CONTINUED)
- ---------------------------
CLASS B
<S> <C> <C> <C> <C> <C> <C>
1997(7) $ 9.84 $0.28 $(0.46) $(0.28) $ -- $ 9.38 (1.88)%+ $ -- .78%
1996 9.17 0.64 0.67 (0.64) -- 9.84 14.72 15 .78
1995(8) 9.16 0.35 0.01 (0.35) -- 9.17 4.00+ 14 .79+
CLASS D**
1997(9) $ 9.83 $0.25 $(0.38) $(0.25) $ -- $ 9.45 (1.32)%+ $ -- .89%
1996 9.16 0.63 0.67 (0.63) -- 9.83 14.61 158 .89
1995 10.09 0.61 (0.93) (0.61) -- 9.16 (3.04) 169 .86
1994(10) 10.22 0.19 (0.04) (0.19) (0.09) 10.09 4.24 133 .75
- ---------------------------------
CORPORATE DAILY INCOME PORTFOLIO
- ---------------------------------
CLASS A
1997* $ 1.99 $0.06 $ -- $(0.06) $ -- $ 1.99 2.81%+ $52,865 .35%+
1997 2.00 0.11 (0.01) (0.11) -- 1.99 5.21 55,783 .36
1996 1.96 0.12 0.05 (0.12) (0.01) 2.00 8.65 48,539 .35
1995 2.00 0.09 (0.04) (0.09) -- 1.96 2.59 50,495 .35
1994(11) 2.00 0.02 -- (0.02) -- 2.00 3.45 43,655 .35
RATIO OF
NET
RATIO OF RATIO OF INVESTMENT
NET EXPENSES INCOME
INVESTMENT TO AVERAGE TO AVERAGE
INCOME NET ASSETS NET ASSETS PORTFOLIO
TO AVERAGE (EXCLUDING (EXCLUDING TURNOVER
NET ASSETS WAIVERS) WAIVERS) RATE
========================================================
- --------------------------
GNMA PORTFOLIO (CONTINUED)
- --------------------------
CLASS B
<S> <C> <C> <C> <C>
1997(7) 6.54% 0.80% 6.52% 7%
1996 6.71 0.81 6.69 20
1995(8) 6.80 0.82 6.77 85
CLASS D**
1997(9) 6.46% 0.91% 6.44% 6%
1996 6.62 0.91 6.60 20
1995 6.54 0.89 6.51 85
1994(10) 6.06 0.80 6.01 70
- --------------------------------
CORPORATE DAILY INCOME PORTFOLIO
- --------------------------------
CLASS A
1997* 5.62% 0.51% 5.46% 71%
1997 5.49 0.73 5.12 141
1996 5.97 0.55 5.77 295
1995 4.60 0.55 4.40 147
1994(11) 3.45 0.63 3.18 34
<FN>
+ RETURNS ARE FOR THE PERIOD INDICATED AND HAVE NOT BEEN ANNUALIZED.
* ALL RATIOS FOR THE SEMI-ANNUAL PERIOD ENDED JULY 31, 1997 (UNAUDITED) HAVE
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.
</FN>
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
25
<PAGE>
NOTES TO FINANCIAL STATEMENTS
================================================================================
SEI DAILY INCOME TRUST-- JULY 31, 1997 (UNAUDITED)
1. ORGANIZATION
SEI Daily Income Trust (the "Trust") was organized as a Massachusetts business
trust under a Declaration of Trust dated March 15, 1982.
The Trust is registered under the Investment Company Act of 1940, as
amended, as a diversified, open-end investment company with ten operational
Portfolios: the Money Market Portfolio, the Government Portfolio, the Government
II Portfolio, the Prime Obligation Portfolio, the Treasury Portfolio, the
Treasury II Portfolio (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 Corporation, the Manager of the
Portfolio, agreed to bear the costs associated with the liquidation of the
Portfolio which approximated $11,400.
2. SIGNIFICANT ACCOUNTING POLICIES
The following is a summary of significant accounting policies followed by the
Portfolios.
SECURITY VALUATION--Investment securities of the Money Market Portfolios
are stated at amortized cost which approximates market value. Under this
valuation method, purchase discounts and premiums are accreted and amortized
ratably to maturity and are included in interest income.
Investment securities of the Fixed Income Portfolios which are listed on a
securities exchange for which market quotations are available are valued by an
independent pricing service at the last quoted sales price for such securities
on each business day. If there is no such reported sale, those securities for
which market quotations are readily available are valued at the most recent
quoted bid price. Unlisted securities for which market quotations are readily
available are valued at the most recently quoted price with estimates of such
values determined under certain market conditions using procedures determined in
good faith by the Board of Trustees. Debt obligations with sixty days or less
remaining until maturity may be valued at their amortized cost.
FEDERAL INCOME TAXES--It is each Portfolio's intention to continue to
qualify as a regulated investment company and distribute all of its taxable
income 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.
26
<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, and Corporate Daily Income and
.32% of the average daily net assets of the GNMA Portfolio. However, the Manager
has agreed to waive its annual fee in an amount which limits total annual
expenses of the following Portfolios (including the annual management fee) to
the following amounts set forth in the Management Agreement (expressed as a
percentage of each Portfolio's daily net assets):
MONEY PRIME
MARKET GOV'T GOV'T II OBLIGATION TREASURY TREASURY II
------ ----- -------- ---------- -------- -----------
Class A 1.00% .25% .20% .20% .20% .25%
Class B 1.30% .55% .50% .50% .50% .55%
Class C 1.50% .75% .70% .70% .70% .75%
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 Investments
Distribution Co. ("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.
27
<PAGE>
NOTES TO FINANCIAL STATEMENTS (concluded)
================================================================================
SEI DAILY INCOME TRUST-- JULY 31, 1997 (UNAUDITED)
Effective May 1, 1996, SFS (the "Distributor") continued to act as the
distributor of the shares of the Trust under new Distribution Agreements. The
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 the 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.
Bank of New York serves as custodian of the 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.
28
<PAGE>
5. INVESTMENT TRANSACTIONS
The cost of security purchases and the proceeds from the sale of securities,
other than temporary investments in short-term securities for the period ended
July 31, 1997, were as follows for the "Fixed Income Portfolios":
INTER-
SHORT- MEDIATE-
DURATION DURATION CORPORATE
GOVERN- GOVERN- DAILY
MENT MENT GNMA INCOME
(000) (000) (000) (000)
-------- -------- ----- ---------
PURCHASES
U.S. Government $59,978 $35,076 $ -- $10,034
Other -- -- -- 5,596
SALES
U.S. Government $56,833 $57,373 $14,626 $15,662
Other -- -- -- 2,289
At July 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 July
31, 1997 for each Fixed Income Portfolio is as follows (in thousands):
SHORT- INTERMEDIATE- CORPORATE
DURATION DURATION DAILY
GOVERNMENT GOVERNMENT GNMA INCOME
---------- ------------- ---- ---------
Aggregate gross
unrealized gain $621 $1,577 $1,790 $ 54
Aggregate gross
unrealized loss (43) (296) (655) (59)
---- ------ ------ ----
Net unrealized
gain/(loss) $578 $1,281 $1,135 $ (5)
==== ====== ====== ====
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 period 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 July 31, 1997.
29
<PAGE>
NOTES
<PAGE>
NOTES
<PAGE>
NOTES
<PAGE>
=======================
SEI DAILY INCOME TRUST
=======================
SEMI-ANNUAL REPORT
=======================
JULY 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 Investments Distribution Co.
LEGAL COUNSEL
Morgan, Lewis & Bockius LLP
INDEPENDENT PUBLIC ACCOUNTANTS
Arthur Andersen LLP
THIS SEMI-ANNUAL REPORT AND THE FINANCIAL STATEMENTS CONTAINED HEREIN ARE
SUBMITTED FOR THE GENERAL INFORMATION OF THE SHAREHOLDERS OF THE TRUST AND MUST
BE PRECEDED OR ACCOMPANIED BY A CURRENT PROSPECTUS. SHARES OF THE SEI FUNDS ARE
NOT DEPOSITS OR OBLIGATIONS OF, OR GUARANTEED OR ENDORSED BY, ANY BANK. THE
SHARES ARE NOT FEDERALLY INSURED BY THE FEDERAL DEPOSIT INSURANCE CORPORATION
(FDIC), THE FEDERAL RESERVE BOARD, OR ANY OTHER GOVERNMENT AGENCY. INVESTMENT IN
THE SHARES INVOLVES RISK, INCLUDING THE POSSIBLE LOSS OF PRINCIPAL. SEI
INVESTMENTS DISTRIBUTION CO., THE DISTRIBUTOR OF THE SEI FUNDS, IS NOT
AFFILIATED WITH ANY BANK.
FOR MORE INFORMATION CALL
1[BULLET]800[BULLET]DIAL[BULLET]SEI/1[BULLET]800[BULLET]342[BULLET]5734
<PAGE>
[SEI LOGO]
INVESTMENTS
DISTRIBUTION
CO.
Oaks, PA 19456-1100
800-DIAL-SEI/800-342-5734
SEI-F-037-07
