SEMI-ANNUAL REPORT AS OF
JULY 31, 1998 (UNAUDITED)
[Logo Omitted]
SEI DAILY
INCOME TRUST
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Money Market Portfolio
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Government Portfolio
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Government II Portfolio
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Prime Obligation Portfolio
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Treasury Portfolio
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Treasury II Portfolio
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Short-Duration Government Portfolio
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Intermediate-Duration Government Portfolio
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GNMA Portfolio
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Corporate Daily Income Portfolio
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SEI
INVESTMENTS
The art of people.
The science of results.
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TABLE OF CONTENTS
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STATEMENT OF NET ASSETS.............................................. 1
STATEMENT OF OPERATIONS.............................................. 16
STATEMENT OF CHANGES IN NET ASSETS................................... 18
FINANCIAL HIGHLIGHTS................................................. 22
<PAGE>
STATEMENT OF NET ASSETS
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SEI DAILY INCOME TRUST -- JULY 31, 1998 (UNAUDITED)
MONEY MARKET PORTFOLIO
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FACE
DESCRIPTION AMOUNT (000) VALUE (000)
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COMMERCIAL PAPER -- 47.8%
FINANCIAL SERVICES -- 47.8%
Aesop Funding Corporation
5.560%, 08/12/98 $ 8,965 $ 8,950
5.580%, 08/21/98 17,600 17,545
Associates of North America
5.530%, 09/21/98 15,000 14,882
Enterprise Funding Corporation
5.540%, 08/20/98 13,589 13,549
Eureka Securities Incorporated
5.540%, 08/31/98 25,000 24,885
Falcon Asset Securitization
5.550%, 08/03/98 10,050 10,047
General Motors Acceptance
Corporation
5.560%, 08/17/98 10,000 9,975
5.540%, 08/21/98 25,000 24,923
Greyhawk Funding Corporation
5.540%, 09/22/98 10,000 9,920
Island Finance of Puerto Rico
5.550%, 08/13/98 16,970 16,939
Merrill Lynch and Company
Incorporated
5.520%, 09/09/98 30,000 29,821
Mont Blanc Capital
5.580%, 08/21/98 15,000 14,953
New Center Asset Trust
5.530%, 09/15/98 25,000 24,827
Park Avenue Receivables
5.550%, 09/03/98 11,870 11,810
5.530%, 09/09/98 10,006 9,946
5.540%, 09/18/98 10,736 10,657
Peacock Funding
5.530%, 09/08/98 5,000 4,971
Prefco
5.570%, 08/13/98 10,000 9,981
Rose Funding Incorporated
5.560%, 08/20/98 19,279 19,222
5.570%, 09/01/98 12,052 11,994
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Total Commercial Paper
(Cost $299,797) 299,797
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FLOATING RATE INSTRUMENTS -- 26.7%
Allstate Corporation (A)
5.758%, 10/01/98 15,000 15,000
American Express Centurion (A)
5.596%, 08/26/98 20,000 20,000
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FACE
DESCRIPTION AMOUNT (000) VALUE (000)
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Comerica Bank (A)
5.536%, 08/13/98 $25,000 $ 24,986
Key Bank of New York (A)
5.660%, 08/01/98 20,000 20,000
People's Security Life Insurance
Company (A)
5.770%, 08/01/98 15,000 15,000
5.820%, 08/01/98 7,000 7,000
PNC Bank (A)
5.548%, 08/01/98 10,000 9,994
5.600%, 08/01/98 25,000 24,997
Travelers Insurance (A)
5.738%, 09/01/98 10,000 10,000
Triangle Funding LTD (A)
5.688%, 10/15/98 20,000 20,000
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Total Floating Rate Instruments
(Cost $166,977) 166,977
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CERTIFICATES OF DEPOSIT/BANK NOTES -- 28.6%
BANKS -- 26.2%
Bank of America
5.630%, 02/26/99 20,000 19,996
BankBoston North America
5.590%, 10/13/98 10,000 10,000
Bankers Trust
6.000%, 12/10/98 10,000 10,000
Barclays Bank of New York
5.530%, 02/23/99 16,000 15,995
Chase Manhattan Corporation
5.700%, 07/02/99 15,000 14,991
Comerica Bank
5.970%, 10/27/98 5,000 4,999
Credit Agricole New York
5.730%, 05/26/99 15,000 14,992
National Bank of Canada
5.800%, 05/12/99 12,000 11,995
Societe General
5.910%, 09/04/98 5,000 5,000
5.680%, 03/22/99 11,750 11,747
Svenska Handels New York
5.740%, 06/01/99 14,500 14,492
Swiss Bank Corporation
5.650%, 03/24/99 10,000 9,996
Wilmington Trust
5.750%, 07/12/99 20,000 20,000
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164,203
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THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
1
<PAGE>
STATEMENT OF NET ASSETS
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SEI DAILY INCOME TRUST -- JULY 31, 1998 (UNAUDITED)
MONEY MARKET PORTFOLIO (concluded)
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FACE
DESCRIPTION AMOUNT (000) VALUE (000)
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FINANCIAL SERVICES -- 2.4%
Fleet Funding Corporation
5.540%, 08/14/98 $15,000 $ 14,970
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Total Certificates of Deposit/Bank Notes
(Cost $179,173) 179,173
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CORPORATE BONDS -- 2.4%
BANKS -- 2.4%
Abbey National PLC
5.875%, 12/22/98 15,000 15,007
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Total Corporate Bonds
(Cost $15,007) 15,007
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TOTAL INVESTMENTS -- 105.5%
(Cost $660,954) 660,954
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OTHER ASSETS AND LIABILITIES -- (5.5%)
Other Assets and Liabilities, Net (34,355)
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DESCRIPTION VALUE (000)
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NET ASSETS:
Portfolio Shares of Class A (unlimited
authorization -- no par value) based
on 505,316,612 outstanding shares of
beneficial interest $505,317
Portfolio Shares of Class B (unlimited
authorization -- no par value) based on
1,972,002 outstanding shares of
beneficial interest 1,972
Portfolio Shares of Class C (unlimited
authorization -- no par value) based on
118,922,342 outstanding shares of
beneficial interest 118,922
Portfolio Shares of Sweep Class
(unlimited authorization -- no par value)
based on 457,201 outstanding shares of
beneficial interest 457
Overdistributed net investment income (7)
Accumulated net realized loss
on investments (62)
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TOTAL NET ASSETS -- 100.0% $626,599
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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 -- SWEEP CLASS $1.00
=========
(A) FLOATING RATE INSTRUMENT. RATE REFLECTED ON THE STATEMENT OF NET
ASSETS IS THE RATE IN EFFECT ON JULY 31, 1998.THE DATE
SHOWN IS THE LONGER OF THE RESET DATE OR THE DEMAND DATE.
PLC PUBLIC LIMITED COMPANY
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
2
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GOVERNMENT PORTFOLIO
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FACE
DESCRIPTION AMOUNT (000) VALUE (000)
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U.S. GOVERNMENT AGENCY OBLIGATIONS -- 27.0%
FFCB
5.700%, 11/03/98 $25,000 $ 24,996
FHLB
5.700%, 09/10/98 15,000 14,998
7.640%, 09/21/98 5,000 5,012
5.560%, 09/22/98 (A) 60,000 59,991
5.700%, 10/23/98 15,000 14,996
5.810%, 11/04/98 20,060 20,057
5.482%, 12/17/98 (A) 13,500 13,497
5.835%, 12/17/98 30,000 29,994
5.800%, 12/18/98 5,000 5,000
5.570%, 03/09/99 11,440 11,438
5.560%, 03/25/99 10,000 9,996
5.665%, 05/07/99 4,000 3,999
FHLMC
5.525%, 08/03/98 10,000 9,997
5.370%, 02/26/99 24,000 23,977
5.605%, 03/12/99 10,000 10,000
5.490%, 04/30/99 20,000 19,972
FNMA (A)
5.233%, 08/25/98 22,000 22,000
SLMA
5.820%, 09/16/98 13,000 12,999
5.400%, 02/10/99 37,700 37,681
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Total U.S. Government Agency Obligations
(Cost $350,600) 350,600
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REPURCHASE AGREEMENTS -- 73.0%
C.S. First Boston Corporation (B)
5.690%, dated 07/31/98, matures
08/03/98, repurchase price $151,071,599
(collateralized by various U.S. Treasury
Notes ranging in par value $48,110,000-
$139,147,000, 5.625%-5.750%,
04/30/00-04/30/03; with total
market value of $155,487,000) 151,000 151,000
Goldman Sachs (B)
5.690%, dated 07/31/98, matures
08/03/98, repurchase price $279,732,577
(collateralized by various U.S. Government
obligations ranging in par value
$15,500,000-$116,489,034, 0.000%-7.952%,
01/01/05- 07/01/28; with total
market value of $285,192,000) 279,600 279,600
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FACE
DESCRIPTION AMOUNT (000) VALUE (000)
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Greenwich Capital (B)
5.690%, dated 07/31/98, matures
08/03/98, repurchase price
$90,042,675 (collateralized by
various U.S. Government
Obligations ranging in par
value $8,390-$106,485,000,
08/01/23-02/01/28; with total
market value of $91,800,511) $ 90,000 $ 90,000
J.P. Morgan (B)
5.600%, dated 07/31/98, matures
08/03/98, repurchase price $53,925,153
(collateralized by various U.S.
Government obligations ranging
in par value $3,860,928-$45,075,465,
6.000%-7.500%, 08/01/27- 03/01/28;
with total market value
of $54,978,001) 53,900 53,900
J.P. Morgan (B)
5.680%, dated 07/31/98, matures
08/03/98, repurchase price $60,028,400
(collateralized by U.S. Government
obligation par value $61,237,000,
0.000%, 08/03/98; with total market
value of $61,200,197) 60,000 60,000
Lehman Brothers (B)
5.670%, dated 07/31/98, matures
08/03/98, repurchase price
$111,627,719 (collateralized by
various U.S. Government
obligations ranging in par value
$230,000-$126,290,000, 0.000%-7.500%,
02/23/01- 09/15/23; with total market
value of $113,793,500) 111,575 111,575
Walburg Dillon Read (B)
5.670%, dated 07/31/98, matures
08/03/98, repurchase price
$200,094,500 (collateralized by
U.S. Government obligation par
value $220,979,000, 7.000%,
07/01/27; with total market
value of $205,238,000) 200,000 200,000
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Total Repurchase Agreements
(Cost $946,075) 946,075
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TOTAL INVESTMENTS -- 100.0%
(Cost $1,296,675) 1,296,675
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OTHER ASSETS AND LIABILITIES -- (0.0%)
Other Assets and Liabilities, Net (209)
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THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
3
<PAGE>
STATEMENT OF NET ASSETS
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SEI DAILY INCOME TRUST -- JULY 31, 1998 (UNAUDITED)
GOVERNMENT PORTFOLIO (concluded)
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DESCRIPTION VALUE (000)
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NET ASSETS:
Portfolio Shares of Class A (unlimited
authorization -- no par value)
based on 163,788,734 outstanding
shares of beneficial interest $ 163,789
Portfolio Shares of Class B (unlimited
authorization -- no par value) based on
39,013,717 outstanding shares of
beneficial interest 39,014
Portfolio Shares of Class C (unlimited
authorization -- no par value) based on
71,323,435 outstanding shares
of beneficial interest 71,323
Portfolio Shares of CNI Class (unlimited
authorization -- no par value) based on
1,020,412 outstanding shares of
beneficial interest 1,020,412
Portfolio Shares of Sweep Class
(unlimited authorization -- no par
value) based on 2,055 outstanding
shares of beneficial interest 2,055
Undistributed net investment income 26
Accumulated net realized loss
on investments (153)
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TOTAL NET ASSETS -- 100.0% $1,296,466
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NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE -- CLASS A $1.00
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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
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NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE -- CNI CLASS $1.00
==========
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE -- SWEEP CLASS $1.00
==========
(A) FLOATING RATE INSTRUMENT. THE RATE REFLECTED ON THE STATEMENT OF NET
ASSETS IS THE RATE IN EFFECT ON JULY 31, 1998. THE DATE SHOWN IS THE
LONGER OF THE RESET DATE OR THE DEMAND DATE.
(B) TRI-PARTY REPURCHASE AGREEMENT
FFCB FEDERAL FARM CREDIT BANK
FHLB FEDERAL HOME LOAN BANK
FHLMC FEDERAL HOME LOAN MORTGAGE CORPORATION
FNMA FEDERAL NATIONAL MORTGAGE ASSOCIATION
SLMA STUDENT LOAN MARKETING ASSOCIATION
GOVERNMENT II PORTFOLIO
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FACE
DESCRIPTION AMOUNT (000) VALUE (000)
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U.S. GOVERNMENT AGENCY OBLIGATIONS -- 99.8%
FFCB
5.489%, 08/01/98 (A) $ 50,000 $ 49,974
5.570%, 08/01/98 (A) 25,000 25,000
5.620%, 08/03/98 93,025 92,997
5.700%, 11/03/98 25,000 24,996
FHLB
5.620%, 08/03/98 301,810 301,719
5.426%, 08/04/98 (A) 100,000 99,999
5.519%, 08/14/98 54,000 53,894
5.525%, 08/14/98 16,395 16,363
5.548%, 08/28/98 25,000 24,898
5.700%, 09/10/98 10,000 9,998
5.800%, 09/18/98 4,010 4,010
5.560%, 09/22/98 (A) 40,000 39,994
5.810%, 11/04/98 10,000 9,999
5.835%, 12/17/98 10,000 9,998
5.435%, 02/02/99 20,000 19,985
5.570%, 03/09/99 25,000 24,996
5.560%, 03/25/99 7,000 6,997
5.723%, 05/05/99 10,000 10,000
5.695%, 05/06/99 10,000 9,996
SLMA
5.273%, 08/02/98 (A) 30,000 30,000
5.263%, 08/08/98 (A) 44,450 44,451
5.820%, 09/16/98 10,000 10,000
5.400%, 02/10/99 20,000 19,987
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Total U.S. Government Agency Obligations
(Cost $940,251) 940,251
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TOTAL INVESTMENTS -- 99.8%
(Cost $940,251) 940,251
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OTHER ASSETS AND LIABILITIES -- 0.2%
Other Assets and Liabilities, Net 1,490
--------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
4
<PAGE>
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DESCRIPTION VALUE (000)
- --------------------------------------------------------------------------------
NET ASSETS:
Portfolio Shares of Class A
(unlimited authorization -- no
par value) based on 849,721,362
outstanding shares of beneficial
interest $ 849,721
Portfolio Shares of Class B
(unlimited authorization -- no
par value) based on 44,878,737
outstanding shares of beneficial
interest 44,879
Portfolio Shares of Class C
(unlimited authorization -- no
par value) based on 47,384,783
outstanding shares of beneficial
interest 47,385
Undistributed net investment income 32
Accumulated net realized loss
on investments (276)
---------
TOTAL NET ASSETS -- 100.0% $ 941,741
=========
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, 1998. 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
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FACE
DESCRIPTION AMOUNT (000) VALUE (000)
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COMMERCIAL PAPER -- 49.4%
BANK HOLDING COMPANIES -- 3.2%
Bankers Trust New York
5.771%, 11/18/98 $ 25,000 $ 24,581
Fleet Funding
5.520%, 08/12/98 37,387 37,324
5.550%, 08/14/98 23,989 23,941
5.530%, 08/26/98 32,473 32,348
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118,194
--------
FINANCIAL SERVICES -- 41.2%
Aesop Funding Corporation
5.560%, 08/14/98 37,700 37,624
5.570%, 08/20/98 28,200 28,117
5.580%, 08/20/98 20,000 19,941
5.560%, 09/25/98 48,100 47,691
American Express Credit Corporation
5.580%, 08/19/98 21,100 21,041
Associates of North America
5.530%, 09/21/98 20,000 19,843
Bear Stearns Incorporated
5.540%, 09/14/98 100,000 99,323
Centric Capital Corporation
5.550%, 08/06/98 32,033 32,008
5.570%, 08/24/98 14,166 14,116
5.580%, 08/28/98 50,000 49,791
Ciesco LP
5.530%, 08/17/98 25,000 24,939
5.520%, 08/26/98 23,000 22,912
Columbia University
5.530%, 09/24/98 15,125 15,000
Corporate Asset Funding Corporation
5.580%, 08/26/98 35,000 34,864
5.550%, 09/11/98 30,159 29,968
Corporate Receivable Corporation
5.650%, 08/26/98 8,200 8,168
5.550%, 08/27/98 26,200 26,095
5.580%, 08/27/98 25,000 24,899
Delaware Funding Corporation
5.540%, 08/17/98 43,492 43,385
5.560%, 09/14/98 20,289 20,151
Enterprise Funding Corporation
5.540%, 08/17/98 43,163 43,057
Falcon Asset Securitization
5.540%, 08/17/98 37,430 37,338
5.580%, 08/28/98 38,615 38,453
5.550%, 09/21/98 6,000 5,953
General Electric Capital Corporation
5.390%, 08/10/98 25,000 24,966
5.380%, 08/17/98 40,000 39,904
5.520%, 09/14/98 25,000 24,831
Goldman Sachs Group LP
5.540%, 08/26/98 100,000 99,615
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
5
<PAGE>
STATEMENT OF NET ASSETS
================================================================================
SEI DAILY INCOME TRUST -- JULY 31, 1998 (UNAUDITED)
PRIME OBLIGATION PORTFOLIO (concluded)
- --------------------------------------------------------------------------------
FACE
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
GTE Funding Incorporated
5.560%, 08/12/98 $ 9,165 $ 9,149
5.590%, 08/25/98 20,000 19,926
Island Finance Puerto Rico
5.600%, 09/08/98 13,700 13,619
5.550%, 09/10/98 7,600 7,553
5.520%, 10/21/98 18,000 17,776
Kitty Hawk Funding Corporation
5.650%, 08/17/98 33,989 33,904
5.738%, 09/21/98 25,675 25,475
5.550%, 10/29/98 20,000 19,726
5.495%, 02/26/99 25,000 24,202
5.500%, 02/26/99 41,000 39,691
Merrill Lynch and Company
Incorporated
5.530%, 08/17/98 25,000 24,939
5.530%, 08/26/98 45,000 44,827
Metlife Funding
5.520%, 08/17/98 31,843 31,765
New Center Asset Trust
5.530%, 09/15/98 91,500 90,867
Norwest Financial Incorporated
5.560%, 09/15/98 50,000 49,653
Park Avenue Receivables
5.550%, 08/17/98 43,797 43,689
5.550%, 08/28/98 21,606 21,516
5.580%, 08/28/98 25,110 25,005
5.530%, 09/14/98 34,714 34,479
Preferred Receivables Funding
5.540%, 08/12/98 15,450 15,424
----------
1,527,178
----------
INDUSTRIAL -- 4.1%
E.I. Dupont de Nemours
5.510%, 08/17/98 25,000 24,939
General Motors Acceptance
Corporation
5.540%, 08/21/98 100,000 99,692
5.540%, 08/24/98 25,000 24,912
----------
149,543
----------
INSURANCE -- 0.9%
Allstate Corporation
5.560%, 08/31/98 33,000 32,847
----------
Total Commercial Paper
(Cost $1,827,762) 1,827,762
----------
CERTIFICATES OF DEPOSIT/BANK NOTES -- 16.9%
Bank of New York
5.602%, 02/25/99 18,000 17,985
5.570%, 03/17/99 73,600 73,542
- --------------------------------------------------------------------------------
FACE
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
Bank One Wisconsin
5.550%, 02/26/99 $ 46,000 $ 45,985
BankBoston
5.590%, 10/13/98 25,000 25,000
Bankers Trust
5.640%, 09/11/98 (A) 45,000 44,978
5.680%, 03/09/99 23,000 22,991
5.770%, 04/28/99 30,000 29,990
Comerica Incorporated
5.970%, 10/27/98 62,500 62,494
First Chicago National Bank
5.740%, 05/07/99 30,500 30,486
First NBD Corporation of Chicago
5.870%, 08/28/98 85,000 84,996
Huntington National Bank
5.740%, 05/05/99 25,000 24,991
Key Bank
5.900%, 09/17/98 15,000 14,999
Regions Bank
5.770%, 05/21/99 43,500 43,490
Wilmington Trust
5.900%, 04/30/99 34,500 34,500
5.850%, 05/17/99 50,000 50,000
5.750%, 07/12/99 20,000 20,000
--------
Total Certificates of Deposit/Bank Notes
(Cost $626,427) 626,427
--------
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 5.7%
FNMA (A)
5.233%, 08/04/98 100,000 100,000
SLMA (A)
5.263%, 08/04/98 17,000 17,000
5.271%, 08/04/98 47,600 47,600
5.291%, 08/04/98 30,000 30,001
5.314%, 08/04/98 16,000 16,000
--------
Total U.S. Government Agency Obligations
(Cost $210,601) 210,601
--------
CORPORATE OBLIGATIONS -- 17.4%
BANKS -- 5.5%
Key Bank (A)
5.690%, 12/15/98 100,000 99,996
PNC Bank NA Funding
Corporation (A)
5.600%, 09/23/98 102,600 102,590
--------
202,586
--------
FINANCIAL SERVICES -- 6.0%
ABS Investment Trust 97 (A)
5.656%, 08/17/98 20,000 20,000
Associates Corporation of
North America
8.800%, 08/01/98 19,000 19,000
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
6
<PAGE>
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- --------------------------------------------------------------------------------
FACE
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
CIT Group Holdings (A)
5.590%, 09/30/98 $ 100,000 $ 99,986
General Electric Capital
7.875%, 09/15/98 30,000 30,069
J.P. Morgan & Company
5.750%, 03/10/99 20,000 20,000
SMM Trust 98-L (A)
5.668%, 08/28/98 35,000 35,000
---------
224,055
---------
INSURANCE -- 5.9%
Allstate Corporation
5.758%, 09/30/98 35,000 35,000
Allstate Corporation (A)
5.753%, 08/03/98 15,000 15,000
People's Security Life Insurance (A)
5.820%, 08/03/98 73,000 73,000
5.770%, 10/01/98 35,000 35,000
Travelers Insurance Company (A)
5.738%, 10/02/98 40,000 40,000
5.738%, 06/01/99 20,000 20,000
---------
218,000
---------
Total Corporate Obligations
(Cost $644,641) 644,641
---------
REPURCHASE AGREEMENTS -- 10.3%
C.S. First Boston Corporation (B)
5.690%, dated 07/31/98, matures
08/03/98, repurchase price
$59,027,976 (collateralized
by U.S. Treasury Notes par
value $125,960,000, 5.750%,
04/30/03; with total
market value of $128,754,419) 59,000 59,000
Goldman Sachs (B)
5.690%, dated 07/31/98, matures
08/03/98, repurchase price
$323,553,346 (collateralized
by various U.S. Government
obligations ranging in par value
$1,567,061-$85,525,000,
0.000%-9.000%, 11/01/00-07/01/28;
with total market value
of $329,868,000) 323,400 323,400
---------
Total Repurchase Agreements
(Cost $382,400) 382,400
---------
TOTAL INVESTMENTS -- 99.7%
(Cost $3,691,831) 3,691,831
---------
OTHER ASSETS AND LIABILITIES -- 0.3%
Other Assets and Liabilities, Net 12,904
---------
- --------------------------------------------------------------------------------
DESCRIPTION VALUE (000)
- --------------------------------------------------------------------------------
NET ASSETS:
Portfolio Shares of Class A (unlimited
authorization -- no par value) based on
3,094,734,785 outstanding shares
of beneficial interest $3,094,735
Portfolio Shares of Class B (unlimited
authorization -- no par value) based on
350,084,895 outstanding shares of
beneficial interest 350,085
Portfolio Shares of Class C (unlimited
authorization -- no par value) based on
260,070,278 outstanding shares
of beneficial interest 260,070
Portfolio Shares of Sweep Class
(unlimited authorization -- no
par value) based
on 87,982 outstanding shares
of beneficial interest 88
Overdistributed net investment income (29)
Accumulated net realized loss
on investments (214)
----------
TOTAL NET ASSETS -- 100.0% $3,704,735
==========
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 -- SWEEP CLASS $1.00
==========
(A) FLOATING RATE INSTRUMENT. RATE REFLECTED ON THE STATEMENT OF NET ASSETS
IS THE RATE IN EFFECT ON JULY 31, 1998. THE DATE SHOWN IS THE LONGER OF
THE RESET DATE OR THE DEMAND DATE.
(B) TRI-PARTY REPURCHASE AGREEMENT
FNMA FEDERAL NATIONAL MORTGAGE ASSOCIATION
SLMA STUDENT LOAN MARKETING ASSOCIATION
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
7
<PAGE>
STATEMENT OF NET ASSETS
================================================================================
SEI DAILY INCOME TRUST -- JULY 31, 1998 (UNAUDITED)
TREASURY PORTFOLIO
- --------------------------------------------------------------------------------
FACE
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
U.S. TREASURY OBLIGATIONS -- 26.3%
U.S. Treasury Notes
6.125%, 08/31/98 $ 6,500 $ 6,502
6.000%, 09/30/98 7,000 7,002
5.875%, 10/31/98 9,000 9,004
5.125%, 12/31/98 6,000 5,986
5.750%, 12/31/98 6,000 6,001
5.875%, 03/31/99 11,000 11,027
6.250%, 03/31/99 36,000 36,174
6.375%, 04/30/99 17,000 17,099
6.000%, 06/30/99 7,000 7,031
--------
Total U.S. Treasury Obligations
(Cost $105,826) 105,826
--------
REPURCHASE AGREEMENTS -- 73.8%
C.S. First Boston (A)
5.620%, dated 07/31/98, matures
08/03/98, repurchase price
$70,332,783 (collateralized
by U.S. Treasury Bond par
value $45,543,000, 10.625%,
08/15/15; with total market
value $71,558,183) 70,000 70,000
Goldman Sachs (A)
5.580%, dated 07/31/98, matures
08/03/98, repurchase price
$71,333,155 (collateralized
by U.S. Treasury Note par
value $72,806,000, 5.375%,
06/30/03; with total market
value $72,726,121) 71,300 71,300
Greenwich Capital (A)
5.640%, dated 07/31/98, matures
08/03/98, repurchase price
$50,023,500 (collateralized by
U.S. Treasury Bond par value
$51,000,000, 3.625%, 04/15/28;
with total market value
of $51,002,736) 50,000 50,000
J.P. Morgan (A)
5.680%, dated 07/31/98, matures
08/03/98, repurchase price
$10,605,017 (collateralized by
U.S. Treasury Bill par value
$11,385,000, 0.000%,
07/22/99; with total market
value of $10,812,505) 10,600 10,600
Lehman Brothers (A)
5.580%, dated 07/31/98, matures
08/03/98, repurchase price
$15,006,975 (collateralized
by U.S. Treasury Note par
value $15,454,000, 5.500%,
11/15/98; with total market value
of $51,002,736) 15,000 15,000
- --------------------------------------------------------------------------------
FACE
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
Walburg Dillon Read (A)
5.640%, dated 07/31/98, matures
08/03/98, repurchase price
$80,037,600 (collateralized by
various U.S. Government obligations
ranging in par value $16,342,000-
$220,979,000, 7.000%-9.875%, 11/15/15-
07/01/27; with total market
value $86,265,000) $ 80,000 $ 80,000
--------
Total Repurchase Agreements
(Cost $296,900) 296,900
--------
TOTAL INVESTMENTS-- 100.1%
(Cost $402,726) 402,726
--------
OTHER ASSETS AND LIABILITIES -- (0.1%)
Other Assets and Liabilities, Net (435)
--------
NET ASSETS:
Portfolio Shares of Class A
(unlimited authorization --
no par value) based on
168,295,123 outstanding shares
of beneficial interest 168,295
Portfolio Shares of Class B
(unlimited authorization --
no par value) based on
78,202,570 outstanding shares
of beneficial interest 78,203
Portfolio Shares of Class C
(unlimited authorization --
no par value) based on
86,487,202 outstanding shares
of beneficial interest 86,487
Portfolio Shares of Sweep Class
(unlimited authorization --
no par value) based
on 69,308,176 outstanding
shares of beneficial interest 69,308
Undistributed net investment income 4
Accumulated net realized loss
on investments (6)
--------
TOTAL NET ASSETS -- 100.0% $402,291
========
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 -- SWEEP CLASS $1.00
========
(A) TRI-PARTY REPURCHASE AGREEMENT
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
8
<PAGE>
================================================================================
TREASURY II PORTFOLIO
- --------------------------------------------------------------------------------
FACE
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
U.S. TREASURY OBLIGATIONS -- 99.3%
U.S. Treasury Bills
4.820%, 08/20/98 $ 1,970 $ 1,965
4.900%, 08/20/98 15,240 15,201
4.910%, 08/20/98 4,660 4,648
4.920%, 08/20/98 2,180 2,174
4.930%, 08/20/98 4,875 4,862
4.940%, 08/20/98 430 429
4.885%, 09/03/98 16,615 16,541
4.945%, 09/03/98 21,820 21,721
4.940%, 09/17/98 11,465 11,391
4.975%, 10/01/98 2,090 2,072
4.950%, 10/08/98 25,000 24,766
4.960%, 10/15/98 50,000 49,483
4.980%, 10/15/98 25,000 24,741
4.995%, 10/15/98 137,065 135,639
5.000%, 10/15/98 25,000 24,740
4.940%, 10/22/98 34,815 34,423
5.015%, 01/07/99 11,000 10,757
U.S. Treasury Notes
4.750%, 08/31/98 270,000 269,876
6.125%, 08/31/98 21,602 21,614
6.000%, 09/30/98 160,000 160,181
--------
Total U.S. Treasury Obligations
(Cost $837,224) 837,224
--------
TOTAL INVESTMENTS -- 99.3%
(Cost $837,224) 837,224
--------
OTHER ASSETS AND LIABILITIES -- 0.7%
Other Assets and Liabilities, Net 5,752
--------
- --------------------------------------------------------------------------------
DESCRIPTION VALUE (000)
- --------------------------------------------------------------------------------
NET ASSETS:
Portfolio Shares of Class A
(unlimited authorization -- no
par value) based on
739,937,861 outstanding shares
of beneficial interest $739,938
Portfolio Shares of Class B
(unlimited authorization -- no
par value) based on 89,837,315
outstanding shares of
beneficial interest 89,837
Portfolio Shares of Class C
(unlimited authorization --
no par value) based on 13,451,047
outstanding shares
of beneficial interest 13,451
Undistributed net investment income 195
Accumulated net realized loss
on investments (445)
--------
TOTAL NET ASSETS -- 100.0% $842,976
========
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.
9
<PAGE>
STATEMENT OF NET ASSETS
================================================================================
SEI DAILY INCOME TRUST -- JULY 31, 1998 (UNAUDITED)
SHORT-DURATION
GOVERNMENT PORTFOLIO
- --------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
U.S. GOVERNMENT AGENCY
OBLIGATIONS -- 11.3%
FHLB
5.830%, 12/24/99 $ 5,000 $ 5,010
FNMA
5.380%, 01/16/01 5,000 4,966
-------
Total U.S. Government Agency Obligations
(Cost $9,995) 9,976
-------
U.S. TREASURY OBLIGATIONS -- 48.9%
U.S. Treasury Notes
5.625%, 12/31/99 13,000 13,023
5.500%, 03/31/00 20,000 20,001
6.250%, 06/30/02 10,000 10,055
-------
Total U.S. Treasury Obligations
(Cost $43,081) 43,079
-------
U.S. GOVERNMENT MORTGAGE-BACKED
OBLIGATIONS -- 35.4%FHLMC
6.500%, 11/01/99-10/01/07 5,063 5,204
6.000%, 12/15/06-10/15/07 9,000 8,992
FNMA
6.500%, 04/01/00-09/01/02 9,523 9,630
6.000%, 11/25/03 899 898
FNMA MTN
6.240%, 09/07/00 5,000 5,054
GNMA
7.500%, 01/15/11-02/15/11 1,325 1,368
-------
Total U.S. Government Mortgage-
Backed Obligations
(Cost $30,846) 31,146
-------
REPURCHASE AGREEMENT -- 3.9%
Paine Webber (A)
5.620%, dated 07/31/98,
matures 08/03/98, repurchase
price $3,440,611 (collateralized
by U.S. Treasury Note, par value
$3,435,000, 8.500%, 02/15/00;
with total market value
of $3,519,742) 3,439 3,439
-------
Total Repurchase Agreement
(Cost $3,439) 3,439
-------
TOTAL INVESTMENTS -- 99.5%
(Cost $87,361) 87,640
-------
OTHER ASSETS AND LIABILITIES -- 0.5%
Other Assets and Liabilities, Net 411
-------
- --------------------------------------------------------------------------------
DESCRIPTION VALUE (000)
- --------------------------------------------------------------------------------
NET ASSETS:
Portfolio Shares of Class A
(unlimited authorization --
no par value) based on
8,785,300 outstanding shares
of beneficial interest $88,859
Portfolio Shares of Class B
(unlimited authorization --
no par value) based on
1,308 outstanding shares
of beneficial interest 13
Undistributed net investment income 21
Accumulated net realized loss
on investments (1,121)
Net unrealized appreciation
on investments 279
-------
TOTAL NET ASSETS -- 100.0% $88,051
=======
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE -- CLASS A $10.02
=======
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE -- CLASS B $10.03
=======
(A) 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
MTN MEDIUM TERM NOTE
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
10
<PAGE>
================================================================================
INTERMEDIATE-DURATION
GOVERNMENT PORTFOLIO
- --------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
U.S. TREASURY OBLIGATIONS -- 47.7%
U.S. Treasury Bonds
11.125%, 08/15/03 $ 5,000 $ 6,199
11.875%, 11/15/03 7,500 9,625
11.625%, 11/15/04 1,045 1,374
12.000%, 08/15/13 9,000 13,264
U.S. Treasury Notes
6.625%, 07/31/01 9,000 9,266
10.750%, 02/15/03 13,000 15,651
--------
Total U.S. Treasury Obligations
(Cost $54,273) 55,379
--------
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 19.1%
Agency For International Development
6.750%, 08/15/04 4,000 4,180
Private Export Funding
7.900%, 03/31/00 5,450 5,641
5.500%, 03/15/01 1,000 994
8.400%, 07/31/01 1,600 1,714
6.900%, 01/31/03 2,875 3,001
8.750%, 06/30/03 5,670 6,379
7.010%, 04/30/04 285 302
--------
Total U.S. Government Agency Obligations
(Cost $21,902) 22,211
--------
U.S. GOVERNMENT MORTGAGE-BACKED
OBLIGATIONS -- 29.0%
FHLMC
8.250%, 12/01/07-12/01/99 768 806
8.000%, 01/15/06 500 516
7.700%, 07/15/18 148 149
7.500%, 04/15/15 500 505
7.350%, 05/16/05 750 768
7.000%, 05/01/24-02/25/19 1,591 1,609
6.500%, 09/01/08-01/01/21 7,845 7,882
6.300%, 03/15/23 2,000 1,997
6.250%, 07/01/03 237 238
6.000%, 10/15/06-06/15/19 2,096 2,087
5.750%, 05/15/06-01/15/06 1,470 1,467
5.650%, 07/15/05 1,345 1,339
5.500%, 04/15/08-08/01/08 1,249 1,228
FNMA
9.500%, 05/01/18 372 397
8.000%, 05/01/08-06/01/08 570 591
7.500%, 03/01/07-06/01/09 346 354
7.385%, 03/25/21 1,853 1,912
6.907%, 06/01/07 1,244 1,293
6.500%, 02/25/07 400 405
6.000%, 11/25/03-09/25/05 614 613
5.500%, 12/01/08-11/01/09 836 810
- --------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
GNMA
8.750%, 05/20/17-11/20/17 $ 706 $ 741
8.500%, 05/20/16-02/20/18 2,125 2,227
8.250%, 05/15/06-07/15/08 1,175 1,231
7.000%, 09/16/19-08/15/23 2,181 2,212
6.000%, 04/15/09 318 316
--------
Total U.S. Government Mortgage-
Backed Obligations
(Cost $33,248) 33,693
--------
REPURCHASE AGREEMENT -- 2.9%
Paine Webber (A)
5.620%, dated 07/31/98, matures
08/03/98, repurchase price
$3,314,552 (collateralized by
U.S. Treasury Bill, par value
$3,490,000, 0.000%, 03/04/99;
with total market value
of $3,384,253) 3,313 3,313
--------
Total Repurchase Agreement
(Cost $3,313) 3,313
--------
TOTAL INVESTMENTS -- 98.7%
(Cost $112,736) 114,596
--------
OTHER ASSETS AND LIABILITIES -- 1.3%
Other Assets and Liabilities, Net 1,489
--------
NET ASSETS:
Portfolio Shares of Class A
(unlimited authorization --
no par value) based on
11,571,751 outstanding shares
of beneficial interest 120,162
Undistributed net investment income 86
Accumulated net realized loss
on investments (6,023)
Net unrealized appreciation
on investments 1,860
--------
TOTAL NET ASSETS -- 100.0% $116,085
========
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE -- CLASS A $10.03
========
(A) TRI-PARTY REPURCHASE AGREEMENT
FHLMC FEDERAL HOME LOAN MORTGAGE CORPORATION
FNMA FEDERAL NATIONAL MORTGAGE ASSOCIATION
GNMA GOVERNMENT NATIONAL MORTGAGE ASSOCIATION
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
11
<PAGE>
STATEMENT OF NET ASSETS
================================================================================
SEI DAILY INCOME TRUST -- JULY 31, 1998 (UNAUDITED)
GNMA PORTFOLIO
- --------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
U.S. GOVERNMENT MORTGAGE-BACKED OBLIGATIONS -- 98.7%
GNMA
12.500%, 12/15/06-07/15/15 $ 41 $ 48
12.000%, 04/15/14 2 2
11.500%, 02/15/13 51 58
10.500%, 03/15/18 44 48
10.000%, 09/15/15-07/15/20 365 398
9.500%, 06/15/09-12/15/20 6,000 6,455
9.000%, 05/15/16-05/15/22 4,776 5,101
8.500%, 08/15/08-12/15/19 1,648 1,741
8.000%, 12/15/21-11/15/23 6,566 6,817
7.500%, 02/15/17-10/15/25 12,114 12,472
7.000%, 01/15/23-04/15/28 18,501 18,789
6.500%, 09/15/10-07/15/28 20,663 20,624
6.000%, 08/15/26-06/01/28 8,957 8,732
--------
Total Total U.S. Government Mortgage-
Backed Obligations
(Cost $79,787) 81,285
--------
REPURCHASE AGREEMENT -- 3.7%
Paine Webber (A)
5.620%, dated 07/31/98,
matures 08/03/98, repurchase
price $3,056,431 (collateralized
by U.S. Treasury Note, par
value $3,055,000, 5.000%,
02/15/99; with total market
value of $3,118,211) 3,055 3,055
--------
Total Repurchase Agreement
(Cost $3,055) 3,055
--------
TOTAL INVESTMENTS-- 102.4%
(Cost $82,842) 84,340
--------
OTHER ASSETS AND LIABILITIES -- (2.4%)
Other Assets and Liabilities, Net (1,974)
--------
NET ASSETS:
Portfolio Shares of Class A
(unlimited authorization --
no par value) based on
8,366,138 outstanding
shares of beneficial interest 93,033
Undistributed net investment income 135
Accumulated net realized loss
on investments (12,300)
Net unrealized appreciation on investments 1,498
--------
TOTAL NET ASSETS -- 100.0% $82,366
========
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE -- CLASS A $9.85
========
(A) TRI-PARTY REPURCHASE AGREEMENT
GNMA GOVERNMENT NATIONAL MORTGAGE ASSOCIATION
CORPORATE DAILY
INCOME PORTFOLIO
- --------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
CORPORATE OBLIGATIONS -- 30.6%
BANKS -- 11.8%
Banc One (A)
5.823%, 03/23/01 $2,000 $ 2,002
Huntington National Bank
5.875%, 01/15/01 1,500 1,496
J.P. Morgan
5.750%, 03/10/99 2,000 2,000
NationsBank MTN (A)
5.858%, 06/23/99 2,000 2,000
Norwest (A)
5.738%, 02/24/99 1,600 1,601
-------
9,099
-------
FINANCIAL SERVICES -- 15.4%
Associates of North America
5.850%, 01/15/01 1,500 1,496
Caterpillar MTN (A)
5.400%, 04/01/99 1,000 995
Cit Group Holding MTN
5.850%, 02/05/01 1,500 1,493
Ford Credit Auto Trust 97-B A3
Floating Rate Note
6.050%, 04/15/01 1,750 1,754
Ford Credit Auto Trust 98-C A3
Floating Rate Note
5.730%, 11/15/00 1,750 1,750
Ford Motor Credit
Floating Rate Note
5.800%, 10/15/00 900 900
Ford Motor Credit (A)
5.390%, 02/15/99 1,500 1,496
General Motors Acceptance (A)
5.420%, 03/25/99 1,000 997
Sears Roebuck MTN (A)
5.492%, 03/10/99 1,000 997
-------
11,878
-------
GENERAL UTILITIES -- 2.1%
Baltimore Gas & Electric (A)
5.668%, 03/15/99 1,600 1,599
-------
LEASING & RENTING -- 1.3%
International Lease Finance (A)
5.888%, 07/15/99 1,000 1,000
-------
Total Corporate Obligations
(Cost $23,610) 23,576
-------
U.S. GOVERNMENT MORTGAGE-BACKED OBLIGATIONS -- 16.3%
FNMA
6.088%, 08/25/98 (A) 186 187
6.000%, 04/01/01 6,187 6,238
6.500%, 09/01/02 4,038 4,070
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
12
<PAGE>
================================================================================
- --------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
FNMA MTN
5.890%, 12/22/00 $2,000 $ 2,009
-------
Total U.S. Government Mortgage-
Backed Obligations
(Cost $12,418) 12,504
-------
ASSET BACKED SECURITIES -- 26.8%
AUTOMOTIVE -- 10.3%
Chase Manhattan 97-B
6.350%, 02/15/01 1,260 1,270
Daimler-Benz Auto Grantor
Trust 95-A A
5.850%, 05/15/02 1,045 1,046
Ford Credit Auto Lease
Trust 96-1 A2
5.800%, 05/15/99 1,017 1,017
Ford Credit Grantor Trust 95-B A
5.900%, 10/15/00 455 456
General Motors Acceptance 95-A1
7.150%, 03/15/00 125 126
General Motors Acceptance 97-A
6.500%, 04/15/02 1,074 1,082
Premier Auto Trust 93-4 A2
4.650%, 02/02/99 5 5
Premier Auto Trust 93-6 A2
4.650%, 11/02/99 52 52
Premier Auto Trust 96-4 A3
6.200%, 11/06/00 849 853
Premier Auto, Ser 1997-2 A3
6.130%, 09/06/00 1,500 1,517
Toyota Receivables 97-A (A)
6.450%, 04/15/02 508 513
--------
7,937
--------
CREDIT CARDS -- 3.2%
AT&T (A)
5.789%, 04/17/04 1,000 1,000
Standard Credit Card Master Trust,
Series 1993-3
5.500%, 02/07/00 1,500 1,499
--------
2,499
--------
EQUIPMENT FUNDING -- 1.3%
IBM Credit Receivables Lease
Asset Master Trust 93-1 A
4.550%, 11/15/00 984 981
--------
MORTGAGE RELATED -- 12.0%
Chase Auto Owner Trust 98-4 A3
5.700%, 09/07/01 1,000 997
Chase Auto Owner Trust 98-B A3
5.750%, 10/15/01 1,500 1,497
- --------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
Main Place Funding 95-2 (A)
5.858%, 10/25/00 $1,000 $ 1,001
Premier Auto Trust
5.820%, 12/08/00 1,750 1,750
Premier Auto Trust Series 1998-1
Class A3
5.630%, 08/06/01 1,500 1,497
Premier Auto Trust 1998-2 A3
5.770%, 01/06/02 1,000 999
Rental Car Finance Corporation
Auto Trust 97-1 A1
6.250%, 06/25/03 1,500 1,505
-------
9,246
-------
Total Asset Backed Securities
(Cost $20,623) 20,663
-------
CERTIFICATES OF DEPOSIT/BANK NOTES -- 21.4%
Aesop Funding
6.220%, 10/20/01 1,000 1,008
Bank of America
5.630%, 02/26/99 1,500 1,500
Bank of New York
5.570%, 03/17/99 2,000 1,999
Bankers Trust
5.840%, 04/30/99 2,000 2,001
Chase Manhattan Bank
5.740%, 05/10/99 2,000 1,999
Comerica Bank
5.970%, 10/27/98 2,000 2,000
First National Bank of Chicago
5.740%, 05/07/99 2,000 2,000
Regions Bank
5.770%, 05/21/99 2,000 2,000
Wilmington Trust
5.900%, 04/30/99 2,000 2,002
-------
Total Certificates of Deposit/Bank Notes
(Cost $16,492) 16,509
-------
REPURCHASE AGREEMENT -- 4.5%
Paine Webber (B)
5.620%, dated 07/31/98,
matures 08/03/98,
repurchase price $3,443,612
(collateralized by U.S. Treasury
Note, par value $3,250,000,
8.500%, 02/15/00; with total
market value of $3,519,742) 3,442 3,442
-------
Total Repurchase Agreement
(Cost $3,442) 3,442
-------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
13
<PAGE>
STATEMENT OF NET ASSETS
================================================================================
SEI DAILY INCOME TRUST -- JULY 31, 1998 (UNAUDITED)
CORPORATE DAILY
INCOME PORTFOLIO (concluded)
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION VALUE (000)
- --------------------------------------------------------------------------------
TOTAL INVESTMENTS -- 99.6%
(Cost $76,585) $76,694
-------
OTHER ASSETS AND LIABILITIES -- 0.4%
Other Assets and Liabilities, Net 276
-------
NET ASSETS:
Portfolio Shares of Class A
(unlimited authorization -- no
par value) based on 38,590,651
outstanding shares of beneficial
interest 76,854
Overdistributed net investment income (3)
Accumulated net realized gain
on investments 10
Net unrealized appreciation on investments 109
-------
TOTAL NET ASSETS -- 100.0% $76,970
=======
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, 1998. THE DATE SHOWN IS THE
LONGER OF THE RESET DATE OR THE DEMAND DATE.
(B) TRI-PARTY REPURCHASE AGREEMENT
FNMA FEDERAL NATIONAL MORTGAGE ASSOCIATION
MTN MEDIUM TERM NOTE
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
14
<PAGE>
[THIS PAGE INTENTIONALLY LEFT BLANK]
15
<PAGE>
STATEMENT OF OPERATIONS (000)
================================================================================
SEI DAILY INCOME TRUST--FOR THE PERIOD ENDED JULY 31, 1998 (UNAUDITED)
<TABLE>
<CAPTION>
--------- ----------- -------------
MONEY
MARKET GOVERNMENT GOVERNMENT II
PORTFOLIO PORTFOLIO PORTFOLIO
--------- ----------- -------------
<S> <C> <C> <C>
Interest Income $24,189 $33,353 $24,966
------- ------- -------
EXPENSES:
Management fees 1,404 1,423 853
Less: Management fees waived (830) (539) (199)
Investment advisory fees 100 139 105
Less: Investment advisory fees waived (67) (107) (75)
Shareholder servicing fees (1) 1,197 3,920 1,186
Less: Shareholder servicing fees waived (926) (666) (1,022)
Custodian/wire agent fees 34 79 77
Trustee fees 5 8 7
Registration fees 97 150 97
Other 23 33 33
------- ------- -------
Total expenses 1,037 4,440 1,062
------- ------- -------
NET INVESTMENT INCOME 23,152 28,913 23,904
------- ------- -------
NET REALIZED AND UNREALIZED GAIN
(LOSS) ON INVESTMENTS:
Net realized gain (loss) from security
transactions (16) 2 9
------- ------- -------
Net change in unrealized depreciation
of investments -- -- --
------- ------- -------
NET INCREASE IN NET ASSETS FROM OPERATIONS $23,136 $28,915 $23,913
======= ======= =======
</TABLE>
<TABLE>
<CAPTION>
----------- ----------- ------------
PRIME
OBLIGATION TREASURY TREASURY II
PORTFOLIO PORTFOLIO PORTFOLIO
----------- ----------- ------------
<S> <C> <C> <C>
Interest Income $106,715 $ 11,931 $ 20,925
-------- -------- --------
EXPENSES:
Management fees 3,576 515 956
Less: Management fees waived (771) (225) (155)
Investment advisory fees 441 50 93
Less: Investment advisory fees waived (311) (40) (61)
Shareholder servicing fees (1) 5,028 825 1,031
Less: Shareholder servicing fees waived (4,172) (265) (887)
Custodian/wire agent fees 220 16 50
Trustee fees 28 3 6
Registration fees 458 78 68
Other 128 32 39
-------- -------- --------
Total expenses 4,625 989 1,140
-------- -------- --------
NET INVESTMENT INCOME 102,090 10,942 19,785
-------- -------- --------
NET REALIZED AND UNREALIZED GAIN
(LOSS) ON INVESTMENTS:
Net realized gain (loss) from security
transactions 15 -- 76
-------- -------- --------
Net change in unrealized depreciation
of investments -- -- --
-------- -------- --------
NET INCREASE IN NET ASSETS FROM OPERATIONS $102,105 $10,942 $19,861
======== ======== ========
</TABLE>
<TABLE>
<CAPTION>
----------- -------------- ----------- -----------
SHORT- INTERMEDIATE- CORPORATE
DURATION DURATION DAILY
GOVERNMENT GOVERNMENT GNMA INCOME
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
----------- -------------- ----------- -----------
<S> <C> <C> <C> <C>
Interest Income $2,494 $3,558 $2,791 $2,140
------ ------ ------ ------
EXPENSES:
Management fees 146 200 128 127
Less: Management fees waived (18) (9) -- (46)
Investment advisory fees 42 57 40 36
Less: Investment advisory fees waived (9) (9) (1) (17)
Shareholder servicing fees (1) 105 143 100 91
Less: Shareholder servicing fees waived (105) (139) (54) (91)
Custodian/wire agent fees 6 13 4 4
Trustee fees 1 1 1 1
Registration fees 7 6 6 8
Other 14 23 14 14
------ ------ ------ ------
Total expenses 189 286 238 127
------ ------ ------ ------
NET INVESTMENT INCOME 2,305 3,272 2,553 2,013
------ ------ ------ ------
NET REALIZED AND UNREALIZED GAIN
(LOSS) ON INVESTMENTS:
Net realized gain (loss) from security
transactions (37) 51 52 (6)
------ ------ ------ ------
Net change in unrealized depreciation
of investments (276) (580) (241) (144)
------ ------ ------ ------
NET INCREASE IN NET ASSETS FROM OPERATIONS $1,992 $2,743 $2,364 $1,863
====== ====== ====== ======
<FN>
(1) INCLUDES CLASS SPECIFIC DISTRIBUTION AND SHAREHOLDER
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>
STATEMENT OF CHANGES IN NET ASSETS (000)
================================================================================
SEI DAILY INCOME TRUST--FOR THE PERIOD ENDED JULY 31, 1998 (UNAUDITED) AND FOR
THE YEAR ENDED JANUARY 31, 1998
<TABLE>
<CAPTION>
-----------------------
MONEY MARKET
PORTFOLIO
-----------------------
2/1/98 2/1/97
to 7/31/98 to 1/31/98
-----------------------
OPERATIONS:
<S> <C> <C>
Net investment income $ 23,152 $ 34,507
$ 43,267
Net realized gain (loss) from security transactions (16) (31)
-------- ---------
Net increase in net assets from operations 23,136 34,476
-------- ---------
DIVIDENDS DISTRIBUTED FROM:
Net investment income:
Class A (20,393) (31,852)
Class B (144) (154)
Class C (2,627) (2,496)
CNI Class* -- --
Sweep Class -- --
--------- ----------
Total dividends distributed (23,164) (34,502)
--------- ----------
CAPITAL SHARE TRANSACTIONS (ALL AT $1.00 PER SHARE):
Class A:
Proceeds from shares issued 6,598,049 9,670,017
Reinvestment of cash distributions 12,646 21,678
Cost of shares repurchased (6,826,451) (9,339,689)
--------- ----------
Increase (decrease) in net assets from Class A transactions (215,756) 352,006
--------- ----------
Class B:
Proceeds from shares issued 13,650 20,450
Reinvestment of cash distributions 135 149
Cost of shares repurchased (19,196) (13,985)
--------- ----------
Increase (decrease) in net assets from Class B transactions (5,411) 6,614
--------- ----------
Class C:
Proceeds from shares issued 299,446 266,102
Reinvestment of cash distributions 82 291
Cost of shares repurchased (267,531) (209,997)
--------- ----------
Increase in net assets from Class C transactions 31,997 56,396
--------- ----------
CNI Class*:
Proceeds from shares issued -- --
Reinvestment of cash distributions -- --
Cost of shares repurchased -- --
--------- ----------
Increase in net assets from CNI Class transactions -- --
--------- ---------
Sweep Class:
Proceeds from shares issued 771 --
Reinvestment of cash distributions -- --
Cost of shares repurchased (314) --
--------- ---------
Increase in net assets from Sweep Class transactions 457 --
--------- ----------
INCREASE (DECREASE) IN NET ASSETS DERIVED FROM CAPITAL
SHARE TRANSACTIONS (188,713) 415,016
--------- ----------
Net increase (decrease) in net assets (188,741) 414,990
--------- ----------
NET ASSETS:
Beginning of Period 815,340 400,350
--------- ----------
End of Period $ 626,599 $ 815,340
========= ==========
<FN>
*FORMERLY CLASS G
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
<PAGE>
<TABLE>
<CAPTION>
========================================================================================================================
--------------------- ---------------------- ----------------------- --------------------- ---------------------
GOVERNMENT GOVERNMENT II PRIME OBLIGATION TREASURY TREASURY II
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
--------------------- ---------------------- ----------------------- --------------------- ---------------------
2/1/98 2/1/97 2/1/98 2/1/97 2/1/98 2/1/97 2/1/98 2/1/97 2/1/98 2/1/97
to 7/31/98 to 1/31/98 to 7/31/98 to 1/31/98 to 7/31/98 to 1/31/98 to 7/31/98 to 1/31/98 to 7/31/98 to 1/31/98
--------------------- ---------------------- ----------------------- --------------------- ---------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
$ 28,913 $ 47,870 $ 23,904 $ 47,365 $ 102,090 $ 178,335 $ 10,942 $ 9,940 $ 19,785 $ 43,267
2 (7) 9 (35) 15 (88) -- (9) 76 (353)
- ---------- ---------- ---------- ---------- ---------- ----------- -------- -------- ---------- ---------
28,915 47,863 23,913 47,330 102,105 178,247 10,942 9,431 19,861 42,914
- ---------- ---------- ---------- ---------- ---------- ----------- -------- -------- ---------- ---------
(4,209) (7,425) (21,900) (45,738) (91,330) (165,176) (5,670) (5,276) (17,760) (40,342)
(826) (1,551) (947) (962) (5,401) (8,725) (1,876) (1,195) (1,761) (2,590)
(1,365) (893) (1,047) (664) (5,402) (4,445) (1,719) (1,768) (279) (332)
(22,482) (38,003) -- -- -- -- -- -- -- --
(8) -- -- -- -- -- (1,663) (1,214) -- --
- ---------- ---------- ---------- ---------- ---------- ----------- -------- -------- ---------- ---------
(28,890) (47,872) (23,894) (47,364) (102,133) (178,346) (10,928) (9,453) (19,800) (43,264)
- ---------- ---------- ---------- ---------- ---------- ----------- -------- -------- ---------- ---------
534,205 1,237,002 3,156,072 5,919,701 16,417,065 32,126,995 651,266 823,758 2,476,111 4,053,466
2,190 4,258 2,984 3,860 25,288 59,509 1,485 1,252 2,571 7,332
(515,542) (1,214,703) (3,173,024) (5,822,115) (16,595,381) (31,565,211) (672,256) (705,129) (2,487,095)(4,093,131)
- ---------- ---------- ---------- ---------- ----------- ----------- -------- -------- ---------- ---------
20,853 26,557 (13,968) 101,446 (153,028) 621,293 (19,505) 119,881 (8,413) (32,333)
- ---------- ---------- ---------- ---------- ----------- ----------- -------- -------- ---------- ---------
153,962 396,652 137,170 135,965 1,346,977 2,218,238 187,972 215,467 182,197 238,316
376 2,291 195 263 404 503 30 -- 871 176
(144,432) (422,984) (124,337) (120,700) (1,183,880) (2,178,430) (177,898) (147,368) (162,820) (223,046)
- ---------- ---------- ---------- ---------- ----------- ----------- -------- -------- ---------- ---------
9,906 (24,041) 13,028 15,528 163,501 40,311 10,104 68,099 20,248 15,446
- ---------- ---------- ---------- ---------- ----------- ----------- -------- -------- ---------- ---------
493,161 310,448 76,543 160,703 643,062 718,315 241,714 230,513 65,038 98,675
11 30 -- -- 11 59 -- -- 4 78
(447,190) (285,137) (64,431) (131,790) (590,913) (514,796) (208,988) (201,655) (6 3,438) (91,434)
- ---------- ---------- ---------- ---------- ----------- ----------- -------- -------- ---------- ---------
45,982 25,341 12,112 28,913 52,160 203,578 32,726 28,858 1,604 7,319
- ---------- ---------- ---------- ---------- ----------- ----------- -------- -------- ---------- ---------
2,186,145 2,355,149 -- -- -- -- -- -- -- --
13,497 25,953 -- -- -- -- -- -- -- --
(2,087,566) (2,090,084) -- -- -- -- -- -- -- --
- ---------- ---------- ---------- ---------- ----------- ----------- -------- -------- ---------- ---------
112,076 291,018 -- -- -- -- -- -- -- --
- ---------- ---------- ---------- ---------- ----------- ----------- -------- -------- ---------- ---------
5,844 -- -- -- 646 -- 124,071 194,085 -- --
-- -- -- -- -- -- -- -- -- --
(3,789) -- -- -- (558) -- (123,832) (125,016) -- --
- ---------- ---------- ---------- ---------- ----------- ----------- -------- -------- ---------- ---------
2,055 -- -- -- 88 -- 239 69,069 -- --
- ---------- ---------- ---------- ---------- ----------- ----------- -------- -------- ---------- ---------
190,872 318,875 11,172 145,887 62,721 865,182 23,564 285,907 13,439 (9,568)
- ---------- ---------- ---------- ---------- ----------- ----------- -------- -------- ---------- ---------
190,897 318,866 11,191 145,853 62,693 865,083 23,578 285,885 13,500 (9,918)
- ---------- ---------- ---------- ---------- ----------- ----------- -------- -------- ---------- ---------
1,105,569 786,703 930,550 784,697 3,642,042 2,776,959 378,713 92,828 829,476 839,394
- ---------- ---------- ---------- ---------- ----------- ----------- -------- -------- ---------- ---------
$1,296,466 $1,105,569 $ 941,741 $ 930,550 $ 3,704,735 $ 3,642,042 $402,291 $378,713 $ 842,976 $ 829,476
- ---------- ---------- ---------- ---------- ----------- ----------- -------- -------- ---------- ---------
</TABLE>
19
<PAGE>
<TABLE>
<CAPTION>
STATEMENT OF CHANGES IN NET ASSETS (000)
================================================================================
SEI DAILY INCOME TRUST--FOR THE PERIOD ENDED JULY 31, 1998 (UNAUDITED) AND FOR
THE YEAR ENDED JANUARY 31, 1998
--------------------
SHORT-DURATION
GOVERNMENT
PORTFOLIO
--------------------
2/1/98 2/1/97
7/31/98 1/31/98
--------------------
OPERATIONS:
<S> <C> <C>
Net investment income $ 2,305 $ 4,643
Net realized gain (loss) from security transactions (37) 440
Net change in unrealized appreciation (depreciation) of investments (276) 361
-------- --------
Net increase in net assets from operations 1,992 5,444
-------- --------
DIVIDENDS DISTRIBUTED FROM:
Net investment income:
Class A (2,296) (4,635)
Class B -- (1)
-------- --------
Total dividends distributed (2,296) (4,636)
-------- --------
CAPITAL SHARE TRANSACTIONS:
Class A:
Proceeds from shares issued 30,901 56,566
Reinvestment of cash distributions 892 2,063
Cost of shares repurchased (24,465) (51,968)
-------- --------
Increase (decrease) in net assets from Class A transactions 7,328 6,661
-------- --------
Class B:
Proceeds from shares issued -- --
Reinvestment of cash distributions -- --
Cost of shares repurchased -- --
-------- --------
Decrease in net assets from Class B transactions -- --
-------- --------
INCREASE (DECREASE) IN NET ASSETS DERIVED FROM CAPITAL SHARE TRANSACTIONS 7,328 6,661
-------- --------
Net increase (decrease) in net assets 7,024 7,469
-------- --------
NET ASSETS:
Beginning of Period 81,027 73,558
-------- --------
End of Period $ 88,051 $ 81,027
======== ========
CAPITAL SHARE TRANSACTIONS:
Class A:
Shares issued 3,081 5,674
Shares issued in lieu of cash distributions 89 207
Shares repurchased (2,439) (5,215)
-------- --------
Total Class A transactions 731 666
-------- --------
Class B:
Shares issued -- --
Shares issued in lieu of cash distributions -- --
Shares repurchased -- --
-------- --------
Total Class B transactions -- --
-------- --------
Increase (Decrease) in capital shares 731 666
======== ========
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
20
<PAGE>
<TABLE>
<CAPTION>
--------------------- --------------------- ---------------------
INTERMEDIATE- CORPORATE
DURATION DAILY
GOVERNMENT GNMA INCOME
PORTFOLIO PORTFOLIO PORTFOLIO
--------------------- --------------------- ---------------------
2/1/98 2/1/97 2/1/98 2/1/97 2/1/98 2/1/97
7/31/98 1/31/98 7/31/98 1/31/98 7/31/98 1/31/98
--------------------- --------------------- ---------------------
<S> <C> <C> <C> <C> <C> <C>
$ 3,272 $ 6,743 $ 2,553 $ 5,718 $ 2,013 $ 3,276
51 (326) 52 (238) (6) 16
(580) 3,610 (241) 2,151 (144) 306
-------- -------- -------- -------- -------- --------
2,743 10,027 2,364 7,631 1,863 3,598
-------- -------- -------- -------- -------- --------
(3,269) (6,746) (2,550) (5,727) (2,013) (3,276)
-- -- -- -- -- --
-------- -------- -------- -------- -------- --------
(3,269) (6,746) (2,550) (5,727) (2,013) (3,276)
-------- -------- -------- -------- -------- --------
22,996 40,850 16,907 19,575 25,477 48,243
878 1,826 658 1,754 1,089 2,003
(24,370) (62,525) (12,805) (47,328) (19,017) (36,780)
-------- -------- -------- -------- -------- --------
(496) (19,849) 4,760 (25,999) 7,549 13,466
-------- -------- -------- -------- -------- --------
-- -- -- -- -- --
-- -- -- -- -- --
-- -- -- -- -- --
-------- -------- -------- -------- -------- --------
-- -- -- -- -- --
-------- -------- -------- -------- -------- --------
(496) (19,849) 4,760 (25,999) 7,549 13,466
-------- -------- -------- -------- -------- --------
(1,022) (16,568) 4,574 (24,095) 7,399 13,788
-------- -------- -------- -------- -------- --------
117,107 133,675 77,792 101,887 69,571 55,783
-------- -------- -------- -------- -------- --------
$116,085 $117,107 $ 82,366 $ 77,792 $ 76,970 $ 69,571
======== ======== ======== ======== ======== ========
2,295 4,131 1,717 2,021 12,763 24,250
87 185 67 181 547 1,008
(2,438) (6,358) (1,300) (4,898) (9,529) (18,508)
-------- -------- -------- -------- -------- --------
(56) (2,042) 484 (2,696) 3,781 6,750
-------- -------- -------- -------- -------- --------
-- -- -- -- -- --
-- -- -- -- -- --
-- -- -- -- -- --
-------- -------- -------- -------- -------- --------
-- -- -- -- -- --
-------- -------- -------- -------- -------- --------
(56) (2,042) 484 (2,696) 3,781 6,750
======== ======== ======== ======== ======== ========
</TABLE>
21
<PAGE>
<TABLE>
<CAPTION>
FINANCIAL HIGHLIGHTS
===========================================================================================================================
SEI DAILY INCOME TRUST--FOR THE PERIOD ENDED JULY 31, 1998 (UNAUDITED) AND THE YEARS ENDED JANUARY 31
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
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>
1998* $1.00 $0.03 $ -- $(0.03) $ -- $1.00 5.52%* $ 505,257 0.18%*
1998 1.00 0.06 -- (0.06) -- 1.00 5.65 721,035 0.18
1997 1.00 0.05 -- (0.05) -- 1.00 5.44 369,052 0.16
1996 1.00 0.06 -- -- -- 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
1998* $1.00 $0.03 $ -- $(0.03) $ -- $1.00 5.22%* $ 1,972 0.48%*
1998(1) 1.00 0.03 -- (0.03) -- 1.00 5.29 7,383 0.48
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
1998* $1.00 $0.02 $ -- $(0.02) $ -- $1.00 5.02%* $ 118,913 0.68%*
1998 1.00 0.05 -- (0.05) -- 1.00 5.12 86,922 0.68
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
SWEEP CLASS
1998*(3) $1.00 $0.002 $ -- $(0.002) $ -- $1.00 5.18%* $ 457 0.93%*
- --------------------
GOVERNMENT PORTFOLIO
- --------------------
CLASS A
1998* $1.00 $0.03 $ -- $(0.03) $ -- $1.00 5.44%* $ 163,788 0.20%*
1997 1.00 0.05 -- (0.05) -- 1.00 5.33 116,373 0.20
1996(4) 1.00 0.01 -- (0.01) -- 1.00 1.48+ 48,762 0.20
1994(5) 1.00 0.01 -- (0.01) -- 1.00 3.22 -- 0.20
1993(6) 1.00 0.03 -- (0.03) -- 1.00 3.19 20,022 0.20
CLASS B
1998* $1.00 $0.03 $ -- $(0.03) $ -- $1.00 5.12%* $ 39,009 0.50%*
1998 1.00 0.05 -- (0.05) -- 1.00 5.21 29,102 0.50
1997 1.00 0.05 -- (0.05) -- 1.00 5.02 53,144 0.50
1996(7) 1.00 0.02 -- (0.02) -- 1.00 2.39+ 14,997 0.50
CLASS C
1998* $1.00 $0.02 $ -- $(0.02) $ -- $1.00 4.92%* $ 71,326 0.70%*
1998(8) 1.00 0.03 -- (0.03) -- 1.00 5.01 25,341 0.70
CNI CLASS
1998* $1.00 $0.02 $ -- $(0.02) $ -- $1.00 4.78%* $1,020,288 0.85%*
1998 1.00 0.05 -- (0.05) -- 1.00 4.84 908,197 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(9) 1.00 0.03 -- (0.03) -- 1.00 3.41+ 310,835 0.70
SWEEP CLASS
1998*(10)$1.00 $0.01 $ -- $(0.01) $ -- $1.00 4.86%* $ 2,055 0.95%*
</TABLE>
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
1998* 5.50%* 0.64%* 5.04%*
1998 5.51 0.66 5.03
1997 5.33 0.63 4.86
1996 2.95 0.44 2.86
1993 3.56 0.39 3.52
CLASS B
1998* 5.20%* 0.69%* 4.99%*
1998(1) 5.26 0.72 5.02
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
1998* 5.00%* 0.89%* 4.79%*
1998 5.02 0.92 4.78
1997 4.84 0.92 4.58
1996(2) 5.17 0.96 4.91
SWEEP CLASS
1998*(3) 4.74%* 1.14%* 4.53%*
- --------------------
GOVERNMENT PORTFOLIO
- --------------------
CLASS A
1998* 5.42%* 0.56%* 5.06%*
1997 5.22 0.55 4.87
1996(4) 5.55 0.33 5.42
1994(5) 3.04 0.37 2.87
1993(6) 3.41 0.38 3.23
CLASS B
1998* 5.12%* 0.61%* 5.01%*
1998 5.06 0.61 4.95
1997 4.91 0.62 4.79
1996(7) 5.27 0.63 5.14
CLASS C
1998* 4.92%* 0.81%* 4.81%*
1998(8) 4.94 0.81 4.83
CNI CLASS
1998* 4.77%* 1.06%* 4.56%*
1998 4.75 1.06 4.54
1997 4.59 1.03 4.38
1996 5.23 0.84 5.09
1995(9) 4.32 0.89 4.13
SWEEP CLASS
1997(10) 4.69* 1.06%* 4.58%*
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
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
============================================================================================================================
- ------------------------
GOVERNMENT II PORTFOLIO
- ------------------------
CLASS A
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
1998* $1.00 $0.03 $ -- $(0.03) $ -- $1.00 5.36%* $ 849,477 0.20%*
1998 1.00 0.05 -- 0.05) -- 1.00 5.45 863,427 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
1998* $1.00 $0.03 $ -- $(0.03) $ -- $1.00 5.06%* $ 44,879 0.50%*
1998 1.00 0.05 -- (0.05) -- 1.00 5.14 31,851 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
1998* $1.00 $0.02 $ -- $(0.02) $ -- $1.00 4.86%* $ 47,385 0.70%*
1998 1.00 0.05 -- (0.05) -- 1.00 4.93 35,272 0.70
1997(11) 1.00 0.01 -- (0.01) -- 1.00 4.71 6,359 0.70
- --------------------------
PRIME OBLIGATION PORTFOLIO
- --------------------------
CLASS A
1998* $1.00 $0.03 $ -- $(0.03) $ -- $1.00 5.50%* $3,094,510 0.20%*
1998 1.00 0.05 -- (0.05) -- 1.00 5.59 3,247,562 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
CLASS B
1998* $1.00 $0.03 $ -- $(0.03) $ -- $1.00 5.18%* $ 350,071 0.50%*
1998 1.00 0.05 -- (0.05) -- 1.00 5.27 186,572 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
1998* $1.00 $0.02 $ -- $(0.02) $ -- $1.00 4.98%* $ 260,066 0.70%*
1998 1.00 0.05 -- (0.05) -- 1.00 5.06 207,908 0.70
1997(12) 1.00 0.04 -- (0.04) -- 1.00 4.85 4,332 0.70
1995(13) 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(14) 1.00 0.03 -- (0.03) -- 1.00 3.13 85,325 0.70
SWEEP CLASS
1998*(15)$1.00 $0.01 $ -- $(0.01) $ -- $1.00 4.89%* $ 88 0.95%*
</TABLE>
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)
===========================================================================
- ------------------------
GOVERNMENT II PORTFOLIO
- ------------------------
CLASS A
1998* 5.36%* 0.51%* 5.05%*
1998 5.32 0.51 5.01
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
1998* 5.06%* 0.56%* 5.00%*
1998 5.02 0.56 4.96
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
1998* 4.86%* 0.76%* 4.80%*
1998 4.82 0.76 4.76
1997(11) 4.69 0.75 4.64
- --------------------------
PRIME OBLIGATION PORTFOLIO
- --------------------------
CLASS A
1998* 5.47%* 0.51%* 5.16%*
1998 5.46 0.51 5.15
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
CLASS B
1998* 5.17%* 0.56%* 5.11%*
1998 5.16 0.56 5.10
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
1998* 4.97%* 0.76%* 4.91%*
1998 5.02 0.76 4.96
1997(12) 4.79 0.74 4.75
1995(13) 2.79 0.77 2.72
1994 2.57 0.78 2.48
1993(14) 3.05 0.83 2.92
SWEEP CLASS
1998*(15) 4.77%* 1.01%* 4.71%*
+ RETURNS ARE FOR THE PERIOD INDICATED AND HAVE NOT BEEN ANNUALIZED.
* ALL RATIOS FOR THE SEMI-ANNUAL PERIOD ENDED JULY 31, 1998 (UNAUDITED) HAVE
BEEN ANNUALIZED.
1 MONEY MARKET CLASS B SHARES WERE FULLY LIQUIDATED MARCH 12, 1997 AND
RE-OFFERED BEGINNING AUGUST 12, 1997. ALL RATIOS AND TOTAL RETURN 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 MONEY MARKET SWEEP CLASS SHARES WERE OFFERED BEGINNING JULY 15, 1998. ALL
RATIOS AND TOTAL RETURN FOR THAT PERIOD HAVE BEEN ANNUALIZED.
4 GOVERNMENT CLASS A SHARES WERE RE-OFFERED BEGINNING OCTOBER 27, 1995. ALL
RATIOS FOR THAT PERIOD HAVE BEEN ANNUALIZED.
5 GOVERNMENT CLASS A SHARES WERE FULLY LIQUIDATED JUNE 2, 1993. ALL RATIOS AND
TOTAL RETURN FOR THAT PERIOD HAVE BEEN ANNUALIZED.
6 GOVERNMENT CLASS A SHARES WERE OFFERED BEGINNING MARCH 8, 1992. ALL RATIOS
AND TOTAL RETURN FOR THAT PERIOD HAVE BEEN ANNUALIZED.
7 GOVERNMENT CLASS B SHARES WERE OFFERED BEGINNING AUGUST 22, 1995. ALL RATIOS
FOR THAT PERIOD HAVE BEEN ANNUALIZED.
8 GOVERNMENT CLASS C SHARES WERE OFFERED BEGINNING JULY 1, 1997. ALL RATIOS AND
TOTAL RETURN FOR THAT PERIOD HAVE BEEN ANNUALIZED.
9 GOVERNMENT CNI CLASS (FORMERLY CLASS G & C) SHARES WERE OFFERED BEGINNING
APRIL 7, 1994. ALL RATIOS FOR THAT PERIOD HAVE BEEN ANNUALIZED.
10 GOVERNMENT SWEEP CLASS SHARES WERE OFFERED BEGINNING JUNE 4, 1998. ALL RATIOS
AND TOTAL RETURN FOR THAT PERIOD HAVE BEEN ANNUALIZED.
11 GOVERNMENT II CLASS C SHARES WERE OFFERED BEGINNING NOVEMBER 27, 1996. ALL
RATIOS AND TOTAL RETURN FOR THAT PERIOD HAVE BEEN ANNUALIZED.
12 PRIME OBLIGATION CLASS C SHARES WERE RE-OFFERED BEGINNING APRIL 30, 1996. ALL
RATIOS AND TOTAL RETURN FOR THE PERIOD HAVE BEEN ANNUALIZED.
13 PRIME OBLIGATION CLASS C SHARES WERE FULLY LIQUIDATED OCTOBER 27, 1994. ALL
RATIOS FOR THAT PERIOD HAVE BEEN ANNUALIZED.
14 PRIME OBLIGATION CLASS C SHARES WERE OFFERED BEGINNING MARCH 25, 1992. ALL
RATIOS AND TOTAL RETURN FOR THAT PERIOD HAVE BEEN ANNUALIZED.
15 PRIME OBLIGATION SWEEP CLASS SHARES WERE OFFERED BEGINNING MAY 18, 1998. ALL
RATIOS AND TOTAL RETURN FOR THAT PERIOD HAVE BEEN ANNUALIZED.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
23
<PAGE>
<TABLE>
<CAPTION>
FINANCIAL HIGHLIGHTS
===========================================================================================================================
SEI DAILY INCOME TRUST--FOR THE PERIOD ENDED JULY 31, 1998 (UNAUDITED) AND THE YEARS ENDED JANUARY 31
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
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
============================================================================================================================
- ------------------
TREASURY PORTFOLIO
- ------------------
CLASS A
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
1998* $1.00 $0.03 $ -- $(0.03) $-- $1.00 5.36%* $168,292 0.20%*
1998 1.00 0.05 -- (0.05) -- 1.00 5.49 187,790 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(1) 1.00 0.01 -- (0.01) -- 1.00 2.91 44,624 0.20
CLASS B
1998* $1.00 $0.03 $ -- $(0.03) $-- $1.00 5.06%* $ 78,196 0.50%*
1998(2) 1.00 0.03 -- (0.03) -- 1.00 5.18 68,089 0.50
CLASS C
1998* $1.00 $0.02 $ -- $(0.02) $-- $1.00 4.86%* $ 86,495 0.70%*
1998 1.00 0.05 -- (0.05) -- 1.00 4.96 53,768 0.70
1997 1.00 0.05 -- (0.05) -- 1.00 4.80 24,904 0.70
1996(3) 1.00 0.03 -- (0.03) -- 1.00 2.68+ 14,691 0.70
SWEEP CLASS
1998* $1.00 $0.02 $ -- $(0.02) $-- $1.00 4.60%* $ 69,308 0.95%*
1998(4) 1.00 0.02 -- (0.02) -- 1.00 4.74 69,066 0.95
- ---------------------
TREASURY II PORTFOLIO
- ---------------------
CLASS A
1998* $1.00 $0.02 $ -- $(0.02) $-- $1.00 5.00%* $739,699 0.25%*
1998 1.00 0.05 -- (0.05) -- 1.00 5.20 748,061 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
1998* $1.00 $0.02 $ -- $(0.02) $-- $1.00 4.70%* $ 89,827 0.55%*
1998 1.00 0.05 -- (0.05) -- 1.00 4.88 69,572 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
1998* $1.00 $0.02 $ -- $(0.02) $-- $1.00 4.50%* $ 13,450 0.75%*
1998 1.00 0.05 -- (0.05) -- 1.00 4.67 11,843 0.75
1997 1.00 0.04 -- (0.04) -- 1.00 4.55 4,528 0.75
1996(5) 1.00 0.04 -- (0.04) -- 1.00 3.64+ 3,935 0.75
</TABLE>
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)
===========================================================================
- ------------------
TREASURY PORTFOLIO
- ------------------
CLASS A
1998* 5.36%* 0.57%* 4.99%*
1998 5.36 0.59 4.97
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 B
1998* 5.06%* 0.62%* 4.94%*
1998(2) 5.13 0.64 4.99
CLASS C
1998* 4.86%* 0.82%* 4.74%*
1998 4.86 0.84 4.72
1997 4.70 0.90 4.50
1996(3) 5.12 0.87 4.95
SWEEP CLASS
1998* 4.61%* 1.07%* 4.49%*
1998(4) 4.71 1.08 4.58
- ---------------------
TREASURY II PORTFOLIO
- ---------------------
CLASS A
1998* 5.00%* 0.55%* 4.70%*
1998 5.08 0.56 4.77
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
1998* 4.69%* 0.60%* 4.64%*
1998 4.78 0.61 4.72
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
1998* 4.50%* 0.80%* 4.45%*
1998 4.58 0.81 4.52
1997 4.45 0.82 4.38
1996(5) 4.85 0.84 4.76
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
24
<PAGE>
<TABLE>
<CAPTION>
==============================================================================================================================
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
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>
1998* $10.06 $0.27 $(0.04) $(0.27) $ -- $10.02 2.35% $ 88,038 0.45%*
1998 9.95 0.59 0.11 (0.59) -- 10.06 7.23 81,014 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
1998* $10.04 $0.26 $(0.03) $(0.26) $ -- $10.01 2.30% $ 13 0.75%*
1998 9.94 0.56 0.10 (0.56) -- 10.04 6.82 13 0.75
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(6) $10.09 $0.23 $(0.19) $(0.23) $ -- $ 9.90 0.35%+ $ -- 0.85%
1996(7) 9.83 0.54 0.26 (0.54) -- 10.09 8.31+ 11 0.85
- ------------------------------------------
INTERMEDIATE-DURATION GOVERNMENT PORTFOLIO
- ------------------------------------------
CLASS A
1998* $10.07 $0.28 $(0.04) $(0.28) $ -- $10.03 2.46% $116,085 0.50%*
1998 9.78 0.58 0.29 (0.58) -- 10.07 9.15 117,107 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(8) $ 9.33 $0.50 $ 0.65 $(0.50) $ -- $ 9.98 12.26%+ $ -- 0.75%
1995(9) 9.64 0.31 (0.24) (0.31) (0.07) 9.33 0.61+ 93 0.75
CLASS D**
1997(10) $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(11) 10.44 0.17 (0.10) (0.17) (0.21) 10.13 1.52 107 0.75
</TABLE>
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
1998* 5.51%* 0.77%* 5.19%* 50%
1998 5.91 0.76 5.60 166
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
1998* 5.22%* 0.82%* 5.15%* 50%
1998 5.61 0.81 5.55 166
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(6) 5.54% 0.94% 5.45% 87%
1996(7) 5.86 0.93 5.78 184
- ------------------------------------------
INTERMEDIATE-DURATION GOVERNMENT PORTFOLIO
- ------------------------------------------
CLASS A
1998* 5.72%* 0.78%* 5.44%* 9%
1998 5.85 0.76 5.59 57
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(8) 5.82% 0.83% 5.74% 115%
1995(9) 5.07 0.83 4.99 61
CLASS D**
1997(10) 5.19% 0.93% 5.13% 45%
1996 5.73 0.93 5.65 115
1995 4.80 0.92 4.72 61
1994(11) 4.94 0.83 4.86 56
+ RETURNS ARE FOR THE PERIOD INDICATED AND HAVE NOT BEEN ANNUALIZED.
* ALL RATIOS FOR THE SEMI-ANNUAL PERIOD ENDED JULY 31, 1998 (UNAUDITED) HAVE
BEEN ANNUALIZED.
** TOTAL RETURN DOES NOT REFLECT THE SALES CHARGE ON THE CLASS D
(FORMERLY PRO VANTAGE) SHARES.
1 TREASURY CLASS A SHARES WERE OFFERED BEGINNING SEPTEMBER 30, 1992. ALL RATIOS
AND TOTAL RETURN FOR THAT PERIOD HAVE BEEN ANNUALIZED.
2 TREASURY CLASS B SHARES WERE OFFERED BEGINNING AUGUST 4, 1997. ALL RATIOS AND
TOTAL RETURN FOR THAT PERIOD HAVE BEEN ANNUALIZED.
3 TREASURY CLASS C SHARES WERE OFFERED BEGINNING JULY 27, 1995. ALL RATIOS FOR
THAT PERIOD HAVE BEEN ANNUALIZED.
4 TREASURY SWEEP CLASS SHARES WERE OFFERED
BEGINNING AUGUST 1, 1997. ALL RATIOS AND TOTAL RETURN FOR THAT PERIOD HAVE
BEEN ANNUALIZED.
5 TREASURY II CLASS C SHARES WERE OFFERED BEGINNING MAY 8, 1995. ALL RATIOS FOR
THAT PERIOD HAVE BEEN ANNUALIZED.
6 SHORT-DURATION GOVERNMENT CLASS D SHARES
WERE FULLY LIQUIDATED JUNE 28, 1996. ALL RATIOS FOR THAT PERIOD HAVE BEEN
ANNUALIZED.
7 SHORT-DURATION GOVERNMENT CLASS D SHARES WERE OFFERED BEGINNING FEBRUARY 28,
1995. ALL RATIOS FOR THAT PERIOD HAVE BEEN ANNUALIZED.
8 INTERMEDIATE-DURATION GOVERNMENT CLASS B SHARES WERE FULLY LIQUIDATED
DECEMBER 22, 1995. ALL RATIOS FOR THAT PERIOD HAVE BEEN ANNUALIZED.
9 INTERMEDIATE-DURATION GOVERNMENT CLASS B SHARES WERE OFFERED BEGINNING
JUNE 8, 1994. ALL RATIOS FOR THAT PERIOD HAVE BEEN ANNUALIZED.
10 INTERMEDIATE-DURATION GOVERNMENT CLASS D SHARES WERE FULLY LIQUIDATED
JUNE 28, 1996. ALL RATIOS FOR THAT PERIOD HAVE BEEN ANNUALIZED.
11 INTERMEDIATE-DURATION GOVERNMENT CLASS D SHARES WERE OFFERED BEGINNING
SEPTEMBER 26, 1993. ALL RATIOS AND TOTAL RETURN FOR THAT PERIOD HAVE BEEN
ANNUALIZED.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
25
<PAGE>
<TABLE>
<CAPTION>
FINANCIAL HIGHLIGHTS
===========================================================================================================================
SEI DAILY INCOME TRUST--FOR THE PERIOD ENDED JULY 31, 1998 (UNAUDITED) AND THE
YEARS ENDED JANUARY 31
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
- --------------
CLASS A
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
1998* $ 9.87 $0.31 $(0.02) $(0.31) $ -- $ 9.85 3.01% $ 82,366 0.60%*
1998 9.63 0.64 0.24 (0.64) -- 9.87 9.52 77,792 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
CLASS B
1997(1) $ 9.84 $0.28 $(0.46) $(0.28) $ -- $ 9.38 (1.88)%+ $ -- 0.78%
1996 9.17 0.64 0.67 (0.64) -- 9.84 14.72 15 0.79
1995(2) 9.16 0.35 0.01 (0.35) -- 9.17 4.00+ 14 0.79
CLASS D**
1997(3) $ 9.83 $0.25 $(0.38) $(0.25) $ -- $ 9.45 (1.32)%+ $ -- 0.89%
1996 9.16 0.63 0.67 (0.63) -- 9.83 14.61 158 0.89
1995 10.09 0.61 (0.93) (0.61) -- 9.16 (3.04) 169 0.86
1994(4) 10.22 0.19 (0.04) (0.19) (0.09) 10.09 4.24 133 0.75
- --------------------------------
CORPORATE DAILY INCOME PORTFOLIO
- --------------------------------
CLASS A
1998* $ 2.00 $0.05 $ -- $(0.05) $ -- $ 2.00 2.27% $ 76,970 0.35%*
1998 1.99 0.11 0.01 (0.11) -- 2.00 6.29 69,571 0.35
1997 2.00 0.11 (0.01) (0.11) -- 1.99 5.21 55,783 0.36
1996 1.96 0.12 0.05 (0.12) (0.01) 2.00 8.65 48,539 0.35
1995 2.00 0.09 (0.04) (0.09) -- 1.96 2.59 50,495 0.35
1994(5) 2.00 0.02 -- (0.02) -- 2.00 3.45 43,655 0.35
</TABLE>
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
- --------------
CLASS A
1998* 6.41%* 0.74%* 6.27%* 12%*
1998 6.65 0.75 6.50 4
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
CLASS B
1997(1) 6.54% 0.80% 6.52% 7%
1996 6.71 0.81 6.69 20
1995(2) 6.80 0.82 6.77 85
CLASS D**
1997(3) 6.46% 0.91% 6.44% 6%
1996 6.62 0.91 6.60 20
1995 6.54 0.89 6.51 85
1994(4) 6.06 0.80 6.01 70
- --------------------------------
CORPORATE DAILY INCOME PORTFOLIO
- --------------------------------
CLASS A
1998* 5.55%* 0.77%* 5.13%* 27%*
1998 5.61 0.76 5.20 108
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(5) 3.45 0.63 3.18 34
+ RETURNS ARE FOR THE PERIOD INDICATED AND HAVE NOT BEEN ANNUALIZED.
* ALL RATIOS FOR THE SEMI-ANNUAL PERIOD ENDED JULY 31, 1998 (UNAUDITED) HAVE
BEEN ANNUALIZED.
** TOTAL RETURN DOES NOT REFLECT THE SALES CHARGE ON THE CLASS D
(FORMERLY PRO VANTAGE) SHARES.
1 GNMA CLASS B SHARES WERE FULLY LIQUIDATED JULY 10, 1996. ALL RATIOS FOR THAT
PERIOD HAVE BEEN ANNUALIZED.
2 GNMA CLASS B SHARES WERE OFFERED BEGINNING JULY 12, 1994. ALL RATIOS AND
TOTAL RETURN FOR THAT PERIOD HAVE BEEN ANNUALIZED.
3 GNMA CLASS D SHARES FULLY LIQUIDATED JUNE 28, 1996. ALL RATIOS FOR THAT
PERIOD HAVE BEEN ANNUALIZED.
4 GNMA CLASS D SHARES WERE OFFERED BEGINNING SEPTEMBER 30, 1993. ALL RATIOS
AND TOTAL RETURN FOR THAT PERIOD HAVE BEEN ANNUALIZED.
5 CORPORATE DAILY INCOME CLASS A SHARES WERE OFFERED BEGINNING
SEPTEMBER 28, 1993. ALL RATIOS AND TOTAL RETURN FOR THAT PERIOD HAVE
BEEN ANNUALIZED.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
26
<PAGE>
NOTES TO FINANCIAL STATEMENTS
================================================================================
SEI DAILY INCOME TRUST -- JULY 31, 1998 (UNAUDITED)
1. ORGANIZATION
SEI Daily Income Trust (the "Trust") was organized as a Massachusetts business
trust under a Declara-tion 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.
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.
RECLASSIFICATION OF COMPONENTS OF NET ASSETS--The timing and
characterization of certain income and capital gains distributions are
determined annually in accordance with federal tax regulations which may differ
from generally accepted accounting principles. As a result, net investment
income (loss) and net realized gain (loss) on investment transactions for the
reporting period may differ significantly from distributions during such period.
These book/tax differences may be temporary or permanent in nature. To the
extent these differences are permanent, they are charged or credited to
paid-in-capital or accumulated net realized gain, as appropriate, in the period
that the differences arise. Accordingly, the following permanent differences,
have been reclassified to/from the following accounts:
UNDISTRIBUTED
ACCUMULATED NET INVESTMENT
PAID-IN-CAPITAL REALIZED GAIN INCOME
PORTFOLIOS (000) (000) (000)
---------- --------------- ------------- -------------
Government II $-- $(21) $ 21
Prime Obligation -- (23) 23
Treasury II -- 10 (10)
Short Duration
Government (20) -- 20
Intermediate Duration
Government (71) (14) 85
GNMA (47) -- 47
Corporate Daily Income -- 3 (3)
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.
27
<PAGE>
NOTES TO FINANCIAL STATEMENTS
================================================================================
SEI DAILY INCOME TRUST -- JULY 31, 1998 (UNAUDITED)
Purchase discounts and premiums on securities held in the "Fixed Income
Portfolios" are accreted and amortized over the life of each security and
recorded as interest income, using the effective interest method.
REPURCHASE AGREEMENTS--Securities pledged as collateral for repurchase
agreements are held by each Portfolio's custodian bank until maturity of the
repurchase agreements. Provisions of the agreements and procedures adopted by
the Adviser ensure that the market value of the collateral, including accrued
interest thereon, is sufficient in the event of default by the counterparty. The
Portfolios also invest in tri-party repurchase agreements. Securities held as
collateral for tri-party repurchase agreements are maintained by the broker's
custodian bank in a segregated account until maturity of the repurchase
agreement. Provisions of the agreements ensure that the market value of the
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 require the use of
estimates. Actual results could differ from those estimates.
3. TRANSACTIONS WITH AFFILIATES
SEI Investments Mutual Fund Services (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 Portfolios, and .32% of the GNMA Portfolio. However, the Manager
has agreed to waive its annual fee in an amount which limits total annual
expenses (including the annual management fee) of the following Portfolios 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 .20% .20% .20% .20% .20% .25%
Class B .50% .50% .50% .50% .50% .55%
Class C .70% .70% .70% .70% .70% .75%
CNI Class -- .85% -- -- -- --
Sweep Class .95% .95% .95% .95% .95% 1.00%
SHORT- INTERMEDIATE CORPORATE
DURATION DURATION DAILY
GOV'T GOV'T GNMA INCOME
-------- ------------ ------ --------
Class A .45% .50% .60% .35%
Class B .75% -- -- --
In the event that the total annual expenses of a Portfolio, after reflecting a
waiver of all fees by the Manager and Adviser, exceed the specified limitation,
the Manager has agreed to bear such excess. 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.
SEI Investments Distribution Co. ("the Distributor"), a wholly-owned
subsidiary of SEI Investments and a registered broker-dealer, acts as the
distributor of the shares of the Trust under the Distribution Agreements. The
Trust has adopted
28
<PAGE>
================================================================================
plans under which firms, including the Distributor, that provide
shareholder and administrative services may receive compensation thereof. The
Class A, Class B, Class C, CNI Class and Sweep Classes each have shareholder
servicing plans (the "Shareholder Servicing Plans") which 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 Treasury Portfolio Sweep Class and the Government Portfolio CNI Class
shares have adopted distribution plans ("the Plans") pursuant to Rule 12b-1
under the 1940 Act, in addition to the shareholder servicing plan. The Plans
provide for payments to the Distributor at an annual rate of .50% of a
Portfolio's average daily net assets attributable to CNI Class and Sweep Class
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 CNI Class and Sweep Class
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. First Union 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.
29
<PAGE>
NOTES TO FINANCIAL STATEMENTS (continued)
================================================================================
SEI DAILY INCOME TRUST -- JULY 31, 1998 (UNAUDITED)
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, 1998, 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 $55,153 $12,231 $14,246 $ 176
Other -- -- -- 12,835
SALES
U.S. Government $36,542 $ 9,578 $ 9,117 $ 9,684
Other -- -- -- 7,693
At July 31, 1998, 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, the aggregate gross unrealized loss on
securities and the net unrealized gain/(loss) at July 31, 1998 for each Fixed
Income Portfolio is as follows:
SHORT- INTERMEDIATE- CORPORATE
DURATION DURATION DAILY
GOVERNMENT GOVERNMENT GNMA INCOME
(000) (000) (000) (000)
---------- ----------- ------- -------
Aggregate gross
unrealized gain $ 336 $1,970 $1,748 $157
Aggregate gross
unrealized loss (57) (110) (250) (48)
------ -------- ------ -----
Net unrealized gain $ 279 $1,860 $1,498 $109
====== ======== ====== =====
6. CAPITAL LOSS CARRYFORWARDS
At January 31, 1998, the following portfolios have capital loss carryforwards:
EXPIRATION
AMOUNT DATE
------- ----------
Money Market $ 355 1/31/03
401 1/31/05
35,590 1/31/06
Government 120,329 1/31/05
34,595 1/31/06
Government II 32,234 1/31/01
58,412 1/31/02
84,628 1/31/03
74,842 1/31/05
38,015 1/31/06
Prime Obligation 45,241 1/31/03
57,624 1/31/05
81,872 1/31/06
Treasury 1,178 1/31/05
9,145 1/31/06
Treasury II 141,311 1/31/05
192,331 1/31/06
Short-Duration Government 1,083,210 1/31/04
Intermediate-Duration Government 2,100,933 1/31/03
3,199,945 1/31/04
698,427 1/31/06
GNMA 5,227,577 1/31/03
6,472,568 1/31/04
414,209 1/31/05
237,677 1/31/06
During the fiscal year ended January 31, 1998, the Short-Duration
Government Portfolio utilized capital loss carryforwards of $372,065.
Subsequent to October 31, 1997, 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, 1999.
POST OCTOBER 31, 1997 LOSSES
----------------------------
Money Market $ 1,454
Government II 4,934
Prime Obligation 44,236
Treasury II 187,605
Corporate Daily Income 2,839
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 110% of such
borrowings and may not exceed 10% of the Portfolio's total assets. No borrowings
were outstanding at July 31, 1998.
30
<PAGE>
NOTES
<PAGE>
NOTES
<PAGE>
======================
SEI DAILY INCOME TRUST
======================
SEMI-ANNUAL REPORT
======================
JULY 31, 1998
Robert A. Nesher
CHAIRMAN
TRUSTEES
William M. Doran
F. Wendell Gooch
Frank E. Morris
James M. Storey
George J. Sullivan, Jr.
OFFICERS
Edward D. Loughlin
PRESIDENT AND CHIEF EXECUTIVE OFFICER
Mark Nagle
CONTROLLER, CHIEF FINANCIAL OFFICER
Todd Cipperman
VICE PRESIDENT, ASSISTANT SECRETARY
Kathy Heilig
VICE PRESIDENT, ASSISTANT SECRETARY
Joseph M. O'Donnell
VICE PRESIDENT, ASSISTANT SECRETARY
Sandra K. Orlow
VICE PRESIDENT, ASSISTANT SECRETARY
Cynthia M. Parrish
VICE PRESIDENT, ASSISTANT SECRETARY
Kevin P. Robins
VICE PRESIDENT, ASSISTANT SECRETARY
Kathryn L. Stanton
VICE PRESIDENT, ASSISTANT SECRETARY
Richard W. Grant
SECRETARY
John H. Grady, Jr.
ASSISTANT SECRETARY
INVESTMENT ADVISER
Wellington Management Company, LLP
MANAGER AND SHAREHOLDER SERVICING AGENT
SEI Investments Mutual Funds Services
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 DAILY
INCOME TRUST'S PORTFOLIOS 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 DAILY INCOME TRUST, 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
INVESTMENTS
DISTRIBUTION
CO.
Oaks, PA 19456-1100
800-DIAL-SEI/800-342-5734
SEI-F-037-08
