ANNUAL REPORT AS OF
JANUARY 31, 1998
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 INVESMENTS LOGO OMITTED]
THE ART OF PEOPLE.
THE SCIENCE OF RESULTS.
<PAGE>
TABLE OF CONTENTS
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LETTER TO SHAREHOLDERS............................................... 2
MONEY MARKET AND FIXED INCOME REVIEW................................. 3
MANAGEMENT'S DISCUSSION AND ANALYSIS
OF FUND PERFORMANCE
SHORT-DURATION GOVERNMENT...................................... 5
INTERMEDIATE-DURATION GOVERNMENT............................... 6
GNMA........................................................... 7
CORPORATE DAILY INCOME......................................... 9
STATEMENT OF NET ASSETS.............................................. 11
STATEMENT OF OPERATIONS.............................................. 26
STATEMENT OF CHANGES IN NET ASSETS................................... 28
FINANCIAL HIGHLIGHTS................................................. 32
NOTES TO FINANCIAL STATEMENTS........................................ 36
REPORT OF INDEPENDENT PUBLIC ACCOUNTANTS............................. 40
NOTICE TO SHAREHOLDERS............................................... 41
<PAGE>
LETTER TO SHAREHOLDERS
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TO OUR SHAREHOLDERS:
The fiscal year ended January 31, 1998 was one of healthy growth, low inflation,
favorable fiscal policy and a strong dollar. For most of 1997, the Federal
Reserve maintained a bias to raise short term interest rates, but it made only
one increase in the Federal Funds rate from 5.25% to 5.50% in March.
With only one move by the Federal Reserve, Wellington Management Company, LLP,
the advisor of the SEI Daily Income Trust, shortened average weighted maturities
across the majority of the funds versus the last fiscal year.
For money market investors, yields for the funds increased over the previous
year. Not only did yields increase, but growth for the 1997 year was phenomenal
for money market funds. Total assets for all money market funds topped a
trillion dollars $(1.09), as of January 1998. The year showed a shift from bank
deposits and individual securities to mutual funds which allowed assets to grow
by $177 billion, a 19% jump.
Looking into the 1998 fiscal year, the Federal Reserve will begin the year with
a continuation of its "wait and see" approach as it monitors developments on
both domestic and international fronts. The U.S. economy is likely to slow from
its robust pace in 1997 as domestic forces cannot sustain its current pace. On
the global front, the inevitable slowdown in Asia will also dampen domestic
growth in a rebalancing of trade. As always, Wellington Management Company, LLP
will continue to seek safe investment opportunities that provide the competitive
yields our shareholders expect.
We thank you for your continued confidence in the SEI Daily Income Trust, and we
look forward to serving your investment needs in the future.
Sincerely
/s/Signature
Edward D. Loughlin
President
2
<PAGE>
MONEY MARKET AND FIXED INCOME REVIEW
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SEI DAILY INCOME TRUST -- JANUARY 31, 1998
SEIDAILY INCOME TRUST MONEY MARKET PORTFOLIOS
MONEY MARKET PRIME OBLIGATION
GOVERNMENT TREASURY
GOVERNMENT II TREASURY II
SEI DAILY INCOME TRUST FIXED INCOME PORTFOLIOS
SHORT-DURATION GOVERNMENT GNMA
INTERMEDIATE-DURATION GOVERNMENT CORPORATE DAILY INCOME
SEI DAILY INCOME TRUST MONEY MARKET AND FIXED INCOME PORTFOLIOS ARE
MANAGED BY WELLINGTON MANAGEMENT COMPANY
The U.S. bond market enjoyed a strong year for the period ending January 31,
1998 as yields on the 30-year Treasury bond declined approximately 1 full
percentage point, ending at 5.80%. The economy entered the period exhibiting
signs of economic growth, high employment levels, and building inflationary
concerns. In an effort to combat these inflationary expectations while balancing
growth, the Federal Reserve (the "Fed") tightened monetary policy 25 basis
points at its March meeting. With the new targeted level for federal funds at
5.50%, the fixed income markets responded by building expectations for another
increase. With the economy continuing on its growth course, the Federal
Government began realizing increased revenues. This translated into excess cash
which was applied to the reduction of the Treasury's short-term debt
outstanding. Despite the decreased supply, the U.S. markets continued to offer
global investors, and foreign central banks in particular, relatively high
rates. It was during this time that participants began to realize that sustained
low inflation and moderate economic growth was possible, and Treasury yields
began to decline. The theme of continued low inflation, relatively high real
interest rates, favorable fiscal policy, and strong, but not threatening
economic growth, continued into the summer months, pushing yields lower. In the
fourth quarter, the Asian market turmoil began and continued economic growth
began to be questioned. A flight to quality provided the catalyst for the U.S.
bond market to extend the rally in prices. Throughout this period, the short-end
of the yield curve remained relatively stable, causing the yield curve to
flatten. At one point, the spread between the 2 year and the 30-year fell to 28
basis points, the lowest level in 3 years. The rally continued as the new year
progressed, only to experience a mild back-up during the last half of January as
the Asian crisis began to settle down.
Focusing on the money market sector, yields on the one year Treasury bill traded
within an almost 100 basis point range over a period that experienced only one
action by the Fed. Similar to the bond market, rates moved higher during the
first quarter due to expectations that multiple actions by the Fed would be
required to control economic growth and inflation. As these expectations
diminished and shifted toward easing, bills rallied from their peak of 6.10% to
5.10% by mid-January of this year. Demand for such high quality products was
driven by the attractiveness of domestic rates to international participants, a
declining need by the U.S. Treasury to issue debt, and increasing demand for
money market products. This increase in demand was partially brought
3
<PAGE>
MONEY MARKET AND FIXED INCOME REVIEW
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SEI DAILY INCOME TRUST -- JANUARY 31, 1998
on by increasing profitability in the corporate sector as well as by improved
tax revenues in the municipal sector. As an example, IBC Financial Data reported
that assets of all money funds pierced the $1.0 trillion figure for the first
time in history during the third calendar quarter.
The SEI Daily Income Trust portfolios entered the fiscal year structured with a
more cautious approach, emphasizing a shorter average weighted maturity due to
the Fed's apparent bias toward raising rates. Such a structure was believed to
be more responsive to upward changes in short-term rates. When this bias toward
higher rates became less certain, the portfolios were extended in an effort to
take advantage of higher yields offered by issues with longer maturities. As the
Asian crisis developed, the money market sector was the beneficiary as cash
inflows resulted from investors looking for a safe haven. As the situation
continued to unfold, foreign central banks sold money market securities in order
to provide funds to support local currencies. Yields on treasury bills continued
to be viewed as relatively expensive, first due to the increased demand from
foreign central banks, then due to the decreased supply resulting from increased
revenues to the Treasury. As we look ahead, the impact from developments in Asia
will take time to be analyzed by U.S. market participants. In the meantime, the
Fed is expected to remain on "hold," maintaining its bias toward easier
policies.
4
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MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
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SEI DAILY INCOME TRUST -- JANUARY 31, 1998
SHORT-DURATION GOVERNMENT PORTFOLIO
WELLINGTON MANAGEMENT COMPANY
OBJECTIVES. The Short-Duration Government Portfolio seeks to preserve
principal value and maintain a high degree of liquidity while providing current
income. The Portfolio invests in those securities issued by the U.S. Government
and backed by its full faith and credit, and securities issued by the U.S.
Government agencies. The weighted average maturity of the Portfolio is up to
three years. The Portfolio seeks to provide a higher level of sustainable income
and total return than money market investments, with limited principal
fluctuations.
STRATEGY. The Portfolio's weighted average maturity will be managed to
take advantage of anticipated changes in the direction of interest rates. The
distribution of maturities for individual securities will also be managed to
take advantage of expected changes in the shape of the yield curve. Maturities
will typically be laddered across the permitted maturity range to provide
reinvestment opportunities. In order to minimize risk, the Portfolio is
generally not invested in a bulleted structure, meaning individual securities
are not clustered around a specific maturity. Treasury and agency securities
will form the core of the Portfolio, and agency-backed mortgage securities will
be utilized when their yields are judged to be attractive relative to those of
Treasuries and agencies.
ANALYSIS. For the fiscal year ended 1998, the Short-Duration Government
Portfolio Class A Shares posted a 7.23% return compared to a 7.19% return for
its benchmark, the Merrill Lynch 1-3 Year Treasury Index.
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SHORT-DURATION GOVERNMENT
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AVERAGE ANNUAL TOTAL RETURN1
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Short-Duration Government, Class A
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One Annualized Annualized Annualized Annualized
Year 3 Year 5 Year 10 Year Inception
Return Return Return Return to Date
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7.23% 7.35% 5.45% 6.80% 6.73%
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COMPARISON OF CHANGE IN THE VALUE OF A $10,000 INVESTMENT IN THE SEI DAILY
INCOME TRUST SHORT-DURATION GOVERNMENT PORTFOLIO, CLASS A, VERSUS THE
MERRILL LYNCH 1-3 YEAR U.S. TREASURY INDEX
[LINE GRAPH OMITTED}
PLOT POINTS ARE AS FOLLOWS:
SEI DAILY INCOME TRUST
SHORT DURATION MERRILL 1-3 YEAR
GOV'T BOND, CLASS A U.S. TREASURY INDEX
2/28/87 $10,000 $10,000
1/31/88 $10,588 $10,606
1/31/89 $11,139 $11,175
1/31/90 $12,142 $12,304
1/31/91 $13,354 $13,614
1/31/92 $14,689 $15,041
1/31/93 $15,665 $16,179
1/31/94 $16,362 $16,990
1/31/95 $16,514 $17,214
1/31/96 $18,210 $19,003
1/31/97 $19,051 $19,873
1/31/98 $20,429 $21,302
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Short-Duration Government, Class B
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One Annualized Annualized Annualized
Year 3 Year 5 Year Inception
Return Return Return to Date
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6.82% 7.03% 5.12% 6.09%
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COMPARISON OF CHANGE IN THE VALUE OF A $10,000 INVESTMENT IN THE SEI DAILY
INCOME TRUST SHORT-DURATION GOVERNMENT PORTFOLIO, CLASS B, VERSUS THE
MERRILL LYNCH 1-3 YEAR U.S. TREASURY INDEX
[LINE GRAPH OMITTED}
PLOT POINTS ARE AS FOLLOWS:
SEI DAILY INCOME TRUST
SHORT DURATION MERRILL 1-3 YEAR
GOV'T BOND, CLASS B U.S. TREASURY INDEX
11/30/90 $10,000 $10,000
1/31/91 $10,193 $10,214
1/31/92 $11,180 $11,285
1/31/93 $11,887 $12,139
1/31/94 $12,356 $12,747
1/31/95 $12,442 $12,915
1/31/96 $13,679 $14,257
1/31/97 $14,281 $14,910
1/31/98 $15,255 $15,982
1FOR THE PERIOD ENDED JANUARY 31, 1998. PAST PERFORMANCE IS NOT PREDICTIVE OF
FUTURE PERFORMANCE. CLASS A SHARES WERE OFFERED BEGINNING 2/17/87 AND CLASS B
SHARES WERE OFFERED BEGINNING 11/5/90.
5
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MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
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SEI DAILY INCOME TRUST -- JANUARY 31, 1998
SHORT-DURATION GOVERNMENT (CONCLUDED)
During the rising interest rate environment experience in the first
quarter, the shorter duration posture was the largest contributor to
performance. Further, a defensive scenario emphasizing callable structures
typically found in government agencies and mortgage-backed products enhanced
returns slightly.
As the outlook for continued growth and a prolonged period of low
inflation became accepted by the marketplace and interest rates declined, the
importance of the Portfolio's duration posture increased. During this shift in
sentiment, the value of mortgage-backed product structure increased and was a
contributor to performance throughout the year. Likewise, exposure to callable
agencies were reduced in favor of 5-year Treasury issues. This was primarily due
to expectations that callable issues could be retired early, and therefore would
not perform as well as non-callable issues.
As the decline in interest rates continued into the winter months,
securities with call characteristics continued to be reduced in favor of issues
without such features. Flight-to-quality buying benefited performance of issues
without call structures. Furthermore, callable bonds are likely to see their
durations shorten further as rates move lower. Looking ahead, government
agencies are planning to increase issuance, which should cause a widening of
spreads.
INTERMEDIATE-DURATION GOVERNMENT PORTFOLIO
WELLINGTON MANAGEMENT COMPANY
OBJECTIVES. The Intermediate-Duration Government Portfolio seeks to
preserve principal value and maintain a high degree of liquidity while providing
current income. The Portfolio invests in those securities issued by the U.S.
Government and backed by its full faith and credit and securities issued by the
U.S. Government agencies. The weighted average maturity of the Portfolio is
three to five years. The Portfolio seeks to provide a higher level of
sustainable income and total return than money market investments, with limited
principal fluctuations.
STRATEGY. The Portfolio's weighted average maturity will be managed to
take advantage of anticipated changes in the direction of interest rates. The
distribution of maturities for individual securities will also be managed to
take advantage of expected changes in the shape of the yield curve. The
Portfolio focuses on Treasury and agency securities, and agency mortgage-backed
securities will be utilized when their prospects for enhancing income and total
return are judged to be attractive.
ANALYSIS. For the fiscal year ended January 31, 1998, the
Intermediate-Duration Government Portfolio gained 9.15%, underperforming the
Merrill Lynch 3-5 Year U.S. Treasury Index return of 9.29%. The Portfolio's
exposure to non-Treasury issues was the largest detractor from performance
during the period. The slightly longer duration posture was the primary driver
of relative performance.
6
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INTERMEDIATE-DURATION GOVERNMENT (CONCLUDED)
Strength in the domestic economy and perceived price pressures prevailed
during the early months of the Portfolio's fiscal year, which lead the Federal
Reserve to increase interest rates at its March meeting. With the increase in
rates early in the fiscal year, the securities that contributed the most to
performance were high quality agency and well structured mortgage-backed issues.
After this tightening, a longer term strategy of extending the duration posture
was deemed appropriate, especially as real interest rates approached the 4-5%
area. This was based on the assumption that additional tightenings in monetary
policy were possible, albeit limited.
As the interest rate environment changed from one of tightening to a
neutral policy, the structure of high quality, mortgage paper became more
important, and these additions to the portfolio contributed positively to
performance. Exposure to the mortgage market in this manner served to increase
yield, while only marginally increasing call risk. As interest rates continued
to decline, prepayment risk increased, thus those issues that recently traded at
a discount, began trading closer to par. Looking ahead, exposure to the Treasury
sector is likely to increase given the relative richness of the mortgage sector.
The concerns over the Asian economies appear to be warranted, as the
impact will likely result in slowing economic growth and subdued inflationary
expectations. The backdrop remains constructive given an improved federal
deficit position.
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INTERMEDIATE-DURATION GOVERNMENT
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AVERAGE ANNUAL TOTAL RETURN1
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One Annualized Annualized Annualized Annualized
Year 3 Year 5 Year 10 Year Inception
Return Return Return Return to Date
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9.15% 8.75% 6.01% 7.60% 7.40%
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COMPARISON OF CHANGE IN THE VALUE OF A $10,000 INVESTMENT IN THE SEI DAILY
INCOME TRUST INTERMEDIATE-DURATION GOVERNMENT PORTFOLIO, VERSUS THE
MERRILL LYNCH 3-5 YEAR U.S. TREASURY INDEX
[LINE GRAPH OMITTED]
PLOT POINTS ARE AS FOLLOWS:
SEI DAILY INCOME
TRUST INTERMEDIATE MERRILL 3-5 YEAR
DURATION GOV'T. BOND U.S. TREASURY INDEX
2/28/97 $10,000 $10,000
1/31/88 $10,496 $10,512
1/31/89 $10,938 $10,943
1/31/90 $12,026 $12,155
1/31/91 $13,356 $13,597
1/31/92 $14,884 $15,314
1/31/93 $16,296 $17,023
1/31/94 $17,346 $18,341
1/31/95 $16,967 $17,965
1/31/96 $19,445 $20,688
1/31/97 $19,991 $21,297
1/31/98 $21,820 $23,313
1FOR THE PERIOD ENDED JANUARY 31, 1998. PAST PERFORMANCE IS NOT PREDICTIVE OF
FUTURE PERFORMANCE. CLASS A SHARES WERE OFFERED BEGINNING 2/17/87.
GNMA PORTFOLIO
WELLINGTON MANAGEMENT COMPANY
OBJECTIVES. The GNMA Portfolio seeks to preserve principal value and
maintain a high degree of liquidity while providing current income. The
Portfolio invests primarily in mortgage-backed securities issued by the
Government National Mortgage Association and backed by the full faith and
credit of the U.S. Government.
STRATEGY. The Portfolio's investment strategy emphasizes the distribution
of security coupon rates, the weighted average coupon rate, and the selection
of appropriate underlying mortgage types. The selection of coupon rates affects
the sensitivity of the Portfolio to changes in the reinvestment risk associated
with loan prepayment. The Portfolio will
7
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MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
================================================================================
SEI DAILY INCOME TRUST -- JANUARY 31, 1998
GNMA PORTFOLIO (CONTINUED)
therefore tend to purchase somewhat lower coupons when interest rates are
expected to fall, and somewhat higher coupons when interest rates are expected
to be stable or rising.
ANALYSIS. For the fiscal year ending January 31, 1998, the GNMA Portfolio
gained 9.52%, outperforming the Lipper GNMA Average return of 9.28% and the
Salomon 30-Year GNMA Index return of 9.30%. The Portfolio's emphasis on discount
coupon structures and modestly longer duration posture was positive,
particularly during the final four months of the fiscal year. In addition,
remaining fully invested in the mortgage market and avoiding Treasury securities
boosted performance relative to the peer group universe.
The broad bond market experienced declines early in the period, as
expectations of a near-term Fed rate increase were substantiated as the Federal
Reserve raised its targeted federal funds rate by 25 basis points at the March
meeting. After a "hiccup" in early April in reaction to the rate hike, the
market began an ascent which lasted, with mild interruptions, throughout the
remainder of the fiscal year. News of a moderating economy and the nonexistence
of inflationary pressures fueled the markets. In addition, towards the end of
the period, the U.S. investment-grade bond market was a major benefactor of
worldwide capital market volatility, as the demand for Treasury securities
surged in a global flight-to-quality surrounding the crisis in Southeast Asia.
In fact, 30-year bonds reached the lowest yield level ever since the Treasury
began issuing that maturity in 1977. Overall, long-term bonds yields declined
dramatically during the fiscal year, dropping from 6.79% to 5.81%. In contrast,
yields on securities with less than one year to maturity were largely unchanged
throughout the period as the Fed kept the short-end of the curve anchored.
During the above market scenario, mortgage-backed securities ("MBS")
provided the best market sector performance on a duration-adjusted basis. The
10-year Treasury yield, which is used as a base for most mortgage calculations,
declined to 5.51%. As this rate continued to fall, refinancing fears reemerged
in the MBSmarket. Throughout most of the 99 basis point decline in 10-year
yields during the fiscal year, the mortgage market had apparently ignored the
associated rise in prepayments. Mortgage investors remained complacent as a
result of the lower-than-expected prepayment streams which had been experienced
over the past few years. However, as the end of the period approached,
prepayment fears began to escalate as mortgage investors considered the
potential risk of the largest wave of mortgage refinancings since 1993. Discount
securities, which actually benefit from rising prepayments, began to outperform
in conjunction with the escalation of these fears.
Going forward, the Portfolio will likely remain fully invested in
GNMA mortgage securities. Mortgages are still viewed as offering attractive
relative value. Given expectations of a continued downward trend in bond yields,
the Fund will also maintain the current longer duration posture and emphasis on
discount coupon issues.
8
<PAGE>
GNMA (CONCLUDED)
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GNMA
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AVERAGE ANNUAL TOTAL RETURN1
- --------------------------------------------------------------------------------
One Annualized Annualized Annualized Annualized
Year 3 Year 5 Year 10 Year Inception
Return Return Return Return to Date
- --------------------------------------------------------------------------------
9.52% 9.68% 6.43% 8.57% 8.13%
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COMPARISON OF CHANGE IN THE VALUE OF A $10,000 INVESTMENT IN THE SEI DAILY
INCOME TRUST GNMA PORTFOLIO, VERSUS THE SALOMON 30 YEAR GNMA INDEX
[LINE GRAPH OMITTED]
SEI DAILY INCOME TRUST SALOMON
GNMA PORTFOLIO 30-YEAR GNMA INDEX
3/31/87 $10,000 $10,000
1/31/88 $10,402 $10,537
1/31/89 $11,043 $11,225
1/31/90 $12,317 $12,630
1/31/91 $13,886 $14,336
1/31/92 $15,620 $16,208
1/31/93 $17,321 $17,883
1/31/94 $18,376 $18,966
1/31/95 $17,924 $18,963
1/31/96 $20,624 $21,883
1/31/97 $21,593 $23,148
1/31/98 $23,649 $25,300
1FOR THE PERIOD ENDED JANUARY 31, 1998. PAST PERFORMANCE IS NOT PREDICTIVE OF
FUTURE PERFORMANCE. CLASS A SHARES WERE OFFERED BEGINNING 3/20/87.
CORPORATE DAILY INCOME PORTFOLIO
WELLINGTON MANAGEMENT COMPANY
OBJECTIVES. The Corporate Daily Income Portfolio seeks to provide higher
current income than that typically offered by a money market portfolio while
maintaining a high degree of liquidity and minimal principal volatility. The
Portfolio invests in U.S. Treasury and agency obligations, short average life
mortgage-backed issues, and short-term investment grade corporate securities.
The duration of the Portfolio will range between six and eighteen months.
STRATEGY. The Corporate Daily Income Portfolio seeks to provide a return
in excess of the Merrill Lynch 1-Year Treasury Index and to manage risk through
the adviser's use of sector strategies, security selection and duration
management. In determining the average maturity and duration position of the
Portfolio, the adviser considers the shape of the yield curve, the extent of a
yield change, and the period of time over which rates are likely to rise, fall
or remain stable. Investment in short average life mortgage-backed issues and
short-term investment grade securities is emphasized when relative spreads are
attractive and incremental yields serve to enhance total return.
ANALYSIS. For the fiscal year ended 1998, the Corporate Daily Income
Portfolio Class A shares returned 6.29% compared to its benchmark, the Merrill
Lynch 1-Year Treasury Index return of 6.11%.
As the Portfolio's fiscal year began, market participants were looking for
the Fed to restrict monetary policy so that sub-3% growth was attainable. Under
this scenario, the Portfolio was positioned defensively, emphasizing a shorter
average maturity which entailed the use of floating rate securities. At this
point, tactical extension was viewed as a viable option only to the extent that
the investor might be compensated for the possibility of additional tightenings
by the Fed. Products offering an excess spread to similar maturity Treasury
issues were the primary contributors to performance.
When expectations for the direction of interest rates became neutral, the
long end of the yield curve began to rally. Therefore both the Portfolio's
longer structure and the use of spread product contributed positively to
performance. Holdings of discounted mortgage-backed product also provided
positive performance relative to other mortgage
9
<PAGE>
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
================================================================================
SEI DAILY INCOME TRUST -- JANUARY 31, 1998
CORPORATE DAILY INCOME (CONCLUDED)
securities. This was due to the expectation that higher coupon issues would be
more subject to prepayment risk, thus decreasing their relative value.
As the summer months progressed, the issuance of asset-backed securities
increased, making this sector more attractive. The Portfolio identified several
bank instruments that offered value, and therefore exposures to Treasuries and
agency paper were reduced.
Uncertainty in the Asian markets resulted in a flight-to-quality rally
that strongly favored Treasuries. Once again, the longer duration posture of the
portfolio proved beneficial. Long-term, the manager is positive on the market,
and is expected to focus on spread product over the coming months.
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CORPORATE DAILY INCOME
================================================================================
AVERAGE ANNUAL TOTAL RETURN1
- --------------------------------------------------------------------------------
One Annualized Annualized
Year 3 Year Inception
Return Return to Date
- --------------------------------------------------------------------------------
6.29% 6.71% 5.48%
- --------------------------------------------------------------------------------
COMPARISON OF CHANGE IN THE VALUE OF A $10,000 INVESTMENT IN THE SEI DAILY
INCOME TRUST CORPORATE DAILY INCOME PORTFOLIO,VERSUS THE MERRILL LYNCH 1-YEAR
TREASURY INDEX
[LINE GRAPH OMITTED]
SEI DAILY INCOME
TRUST CORPORATE MERRILL LYNCH 1-YEAR
DAILY INCOME FUND U.S. TREASURY INDEX
9/30/93 $10,000 $10,000
1/31/94 $10,114 $10,113
1/31/95 $10,376 $10,426
1/31/96 $11,274 $11,211
1/31/97 $11,861 $11,811
1/31/98 $12,607 $12,532
1FOR THE PERIOD ENDED JANUARY 31, 1998. PAST PERFORMANCE IS NOT PREDICTIVE OF
FUTURE PERFORMANCE. CLASS A SHARES WERE OFFERED BEGINNING 9/28/93.
10
<PAGE>
STATEMENT OF NET ASSETS
================================================================================
SEI DAILY INCOME TRUST -- JANUARY 31, 1998
MONEY MARKET PORTFOLIO
- --------------------------------------------------------------------------------
FACE
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
COMMERCIAL PAPER -- 57.7%
BANKS -- 1.2%
Bank of Montreal
5.600%, 02/05/98 $10,000 $ 10,000
--------
FINANCIAL SERVICES -- 54.7%
Aesop Funding Corporation
5.480%, 03/06/98 19,406 19,309
American Express Credit
Corporation
5.570%, 03/31/98 25,000 24,776
American General Finance
Corporation
5.690%, 02/12/98 10,000 9,983
BCI Funding Corporation
5.750%, 03/04/98 12,000 11,941
Centric Capital Corporation
5.500%, 03/11/98 10,000 9,942
5.500%, 03/27/98 15,000 14,876
Corporate Receivable Corporation
5.500%, 03/13/98 25,000 24,847
Delaware Funding Corporation
5.500%, 03/09/98 35,005 34,812
Enterprise Funding
Corporation
5.500%, 03/12/98 25,025 24,876
5.460%, 04/07/98 10,000 9,901
Eureka Securities Incorporated
5.720%, 02/27/98 2,000 1,992
5.500%, 04/08/98 23,400 23,164
Ford Credit Europe PLC
5.680%, 02/26/98 10,000 9,961
General Motors Acceptance
Corporation
5.570%, 03/20/98 13,000 12,905
5.595%, 04/15/98 8,000 7,909
Greenwich Funding Corporation
5.820%, 02/23/98 18,775 18,708
GTE Funding Incorporated
6.000%, 02/13/98 15,000 14,970
International Nederlanden (U.S.)
Funding Corporation
5.700%, 03/20/98 14,000 13,896
Kitty Hawk Funding Corporation
5.650%, 08/17/98 15,000 14,536
NationsBank Corporation
5.440%, 07/07/98 20,000 19,529
New Center Asset Trust
5.680%, 03/31/98 12,000 11,893
New York Life Capital Corporation
5.680%, 02/27/98 10,000 9,959
Prudential Funding Corporation
5.700%, 03/16/98 8,000 7,946
Ranger Funding Corporation
5.730%, 02/18/98 5,000 4,987
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FACE
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
Rose Funding Incorporated
5.750%, 03/03/98 $13,660 $ 13,595
5.683%, 03/11/98 15,000 14,912
Sears Roebuck Acceptance
Corporation
5.500%, 02/25/98 30,000 29,890
Svenska Handelsbank Incorporated
5.750%, 03/09/98 15,000 14,914
Unifunding Incorporated
5.570%, 03/03/98 15,000 14,930
--------
445,859
--------
PHARMACEUTICALS PREPARATIONS -- 1.8%
Glaxo Welcome PLC
5.730%, 03/16/98 15,000 14,897
--------
Total Commercial Paper
(Cost $470,756) 470,756
--------
U.S. GOVERNMENT AGENCY OBLIGATION -- 1.9%
SLMA (A)
5.399%, 09/28/98 15,000 15,000
--------
Total U.S. Government Agency Obligation
(Cost $15,000) 15,000
--------
FLOATING RATE INSTRUMENTS -- 17.5%
ABS Investment Trust 1997-C (A)
5.981%, 06/15/98 15,000 15,000
Bank of America (A)
5.650%, 04/16/98 17,000 16,999
Bankers Trust (A)
5.710%, 04/14/98 5,000 5,000
CIT Group Holdings (A)
5.600%, 03/23/98 15,000 14,989
Key Bank of New York (A)
5.750%, 04/01/98 20,000 20,000
Peoples Security Life Insurance
Company (A)
5.880%, 02/08/98 7,000 7,000
5.990%, 04/01/98 15,000 15,000
PNC Bank (A)
5.600%, 03/23/98 25,000 24,989
Travelers Group (A)
5.956%, 05/31/98 4,000 4,000
Triangle Funding LTD
5.594%, 04/15/98 (A) 20,000 20,000
--------
Total Floating Rate Instruments
(Cost $142,977) 142,977
--------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
11
<PAGE>
STATEMENT OF NET ASSETS
================================================================================
SEI DAILY INCOME TRUST -- JANUARY 31, 1998
MONEY MARKET PORTFOLIO (concluded)
- --------------------------------------------------------------------------------
FACE
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
CERTIFICATES OF DEPOSIT/BANK NOTES -- 19.9%
Bank National Paris
5.920%, 10/15/98 $10,800 $ 10,793
Bank of America
5.730%, 05/12/98 10,000 9,999
Bank of Nova Scotia
5.830%, 10/02/98 9,000 8,990
Bank of Tokyo-Mitsubishi
6.300%, 02/09/98 17,000 17,000
Bankers Trust
6.000%, 12/10/98 10,000 10,000
Chase Manhattan
5.750%, 02/11/98 5,000 5,000
5.710%, 03/05/98 15,000 15,000
Comerica Bank
5.970%, 10/27/98 10,000 9,997
Morgan Guaranty
5.965%, 06/22/98 15,000 14,998
Regions Bank
5.820%, 04/17/98 5,000 5,000
Societe General of North America
5.910%, 09/04/98 5,000 4,999
Swiss Bank Corporation
5.690%, 01/07/99 20,000 19,989
Wilmington Trust
5.850%, 05/29/98 10,000 10,000
5.610%, 07/10/98 20,000 20,000
--------
Total Certificates of Deposit/Bank Notes
(Cost $161,765) 161,765
--------
MUNICIPAL BOND -- 0.2%
DeKalb County, Georgia (RB) (A)
5.650%, 02/04/98 1,900 1,900
--------
Total Municipal Bond
(Cost $1,900) 1,900
--------
REPURCHASE AGREEMENT -- 2.1%
Lehman Brothers (B)
5.650%, dated 01/30/98, matures
02/02/98, repurchase price
$17,208,098 (collateralized by
various U.S. Government
obligations ranging in par value
$935,000-$51,032,000, 0.00%-10.50%,
10/28/02-11/18/25; with total
market value of $17,542,269) 17,200 17,200
--------
Total Repurchase Agreement
(Cost $17,200) 17,200
--------
- --------------------------------------------------------------------------------
DESCRIPTION VALUE (000)
- --------------------------------------------------------------------------------
TOTAL INVESTMENTS -- 99.3%
(Cost $809,598) $809,598
--------
OTHER ASSETS AND LIABILITIES -- 0.7%
Other Assets and Liabilities, Net 5,742
--------
NET ASSETS:
Portfolio Shares of Class A (unlimited
authorization -- no par value) based
on 721,072,676 outstanding shares of
beneficial interest 721,073
Portfolio Shares of Class B (unlimited
authorization -- no par value) based
on 7,383,233 outstanding shares of
beneficial interest 7,383
Portfolio Shares of Class C (unlimited
authorization -- no par value) based
on 86,924,572 outstanding shares of
beneficial interest 86,925
Undistributed net investment income 5
Accumulated net realized loss
on investments (46)
--------
TOTAL NET ASSETS -- 100.0% $815,340
========
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE -- CLASS A $1.00
========
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE -- CLASS B $1.00
========
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE -- CLASS C $1.00
========
(A) FLOATING RATE INSTRUMENT. RATE REFLECTED ON THE STATEMENT OF NET ASSETS
IS THE RATE IN EFFECT ON JANUARY 31, 1998. THE DATE SHOWN IS THE
LONGER OF THE RESET DATE OR THE DEMAND DATE.
(B) TRI-PARTY REPURCHASE AGREEMENT
RB REVENUE BOND
SLMA STUDENT LOAN MARKETING ASSOCIATION
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
12
<PAGE>
================================================================================
GOVERNMENT PORTFOLIO
- --------------------------------------------------------------------------------
FACE
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 50.1%
FFCB
5.700%, 11/03/98 $25,000 $ 24,987
FHLB
5.738%, 03/06/98 30,000 29,846
5.820%, 06/16/98 10,000 9,998
5.700%, 09/10/98 15,000 14,987
7.640%, 09/21/98 5,000 5,054
5.700%, 10/23/98 15,000 14,989
5.810%, 11/04/98 20,060 20,052
5.800%, 12/18/98 5,000 5,000
5.835%, 12/18/98 30,000 29,985
FHLB (A)
5.422%, 02/24/98 40,000 39,996
5.560%, 03/22/98 60,000 59,979
FHLMC
5.731%, 02/13/98 25,000 24,953
5.950%, 06/19/98 50,000 50,027
FNMA
5.779%, 03/12/98 10,000 9,939
5.756%, 03/13/98 15,000 14,907
5.777%, 03/13/98 50,000 49,688
5.780%, 03/13/98 50,000 49,688
5.840%, 06/18/98 10,000 9,998
FNMA (A)
5.389%, 02/03/99 22,000 22,000
5.454%, 02/03/98 5,000 5,000
5.821%, 02/13/98 50,000 49,999
SLMA
5.820%, 09/16/98 13,000 12,996
--------
Total U.S. Government Agency Obligations
(Cost $554,068) 554,068
--------
U.S. TREASURY OBLIGATION -- 1.1%
U.S. Treasury Note
6.125%, 03/31/98 12,000 12,007
--------
Total U.S. Treasury Obligation
(Cost $12,007) 12,007
--------
REPURCHASE AGREEMENTS -- 48.5%
C. S. First Boston Corporation (B)
5.650%, dated 01/30/98,
matures 02/02/98, repurchase
price $45,021,188 (collateralized
by various U.S. Government
obligations ranging in par value
$300,000-$34,093,662, 7.00%,
12/01/27; with total market
value of $45,936,442) 45,000 45,000
- --------------------------------------------------------------------------------
FACE
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
Greenwich Capital (B)
5.640%, dated 01/30/98,
matures 02/02/98, repurchase
price $40,018,800 (collateralized
by various U.S. Government
obligations ranging in par
$4,143,637-$6,105,000, 6.00%-10.50%,
07/15/09-01/15/28; with total
market value of $40,802,195) $ 40,000 $ 40,000
J.P. Morgan & Co. (B)
5.650%, dated 01/30/98, matures
02/02/98, repurchase price
$200,094,167 (collateralized
by various U.S. Government
obligations ranging in par
value $968,899-$93,376,883,
7.00%-8.50%, 10/15/24- 12/01/27;
with total market
value of $204,000,000) 200,000 200,000
Lehman Brothers (B)
5.650%, dated 01/30/98,
matures 02/02/98, repurchase
price $41,719,634 (collateralized
by various U.S. Government
obligations ranging in par
$10,195,000-$15,980,000,
5.28%-6.59%, 03/01/99-10/07/09;
with total market value
of $42,528,823) 41,700 41,700
Union Bank of Switzerland (B)
5.650%, dated 01/30/98,
matures 02/02/98, repurchase
price $210,098,874 (collateralized
by various U.S. Government
obligations ranging in par
$47,040-$211,180,000,
6.00%-10.00%, 09/01/03-
11/01/27; with total market
value of $214,200,174) 210,000 210,000
----------
Total Repurchase Agreements
(Cost $536,700) 536,700
----------
TOTAL INVESTMENTS -- 99.7%
(Cost $1,102,775) 1,102,775
----------
OTHER ASSETS AND LIABILITIES -- 0.3%
Other Assets and Liabilities, Net 2,794
----------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
13
<PAGE>
STATEMENT OF NET ASSETS
================================================================================
SEI DAILY INCOME TRUST -- JANUARY 31, 1998
GOVERNMENT PORTFOLIO (concluded)
- --------------------------------------------------------------------------------
DESCRIPTION VALUE (000)
- --------------------------------------------------------------------------------
NET ASSETS:
Portfolio Shares of Class A (unlimited
authorization -- no par value) based
on 142,936,674 outstanding shares of
beneficial interest $ 142,936
Portfolio Shares of Class B (unlimited
authorization -- no par value) based
on 29,107,808 outstanding shares of
beneficial interest 29,108
Portfolio Shares of Class C (unlimited
authorization -- no par value) based
on 25,340,839 outstanding shares of
beneficial interest 25,341
Portfolio Shares of CNI Class (unlimited
authorization -- no par value) based
on 908,336,036 outstanding shares of
beneficial interest 908,336
Undistributed net investment income 3
Accumulated net realized loss
on investments (155)
----------
TOTAL NET ASSETS -- 100.0% $1,105,569
==========
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 -- CNI CLASS $1.00
==========
(A) FLOATING RATE INSTRUMENT. THE RATE REFLECTED ON THE STATEMENT OF NET
ASSETS IS THE RATE IN EFFECT ON JANUARY 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
- --------------------------------------------------------------------------------
FACE
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 98.6%
FFCB
5.630%, 02/02/98 $ 15,156 $ 15,154
5.542%, 02/06/98 1,135 1,134
5.673%, 02/20/98 11,000 10,968
5.476%, 04/15/98 4,500 4,451
5.700%, 11/03/98 25,000 24,987
FFCB (A)
5.570%, 02/13/98 25,000 25,000
5.550%, 02/21/98 30,000 29,995
FHLB
5.599%, 02/02/98 2,400 2,400
5.630%, 02/02/98 50,000 49,992
5.390%, 02/04/98 9,720 9,716
5.436%, 02/06/98 47,035 47,000
5.640%, 02/13/98 13,000 12,976
5.467%, 02/18/98 130,610 130,278
5.472%, 02/18/98 20,000 19,949
5.675%, 02/18/98 18,577 18,529
5.520%, 02/20/98 24,075 24,005
5.696%, 02/23/98 30,026 29,924
5.707%, 02/27/98 10,000 9,961
5.732%, 03/06/98 23,000 22,882
5.738%, 03/06/98 30,000 29,847
5.759%, 03/13/98 19,200 19,081
5.464%, 03/18/98 62,090 61,676
5.474%, 03/18/98 50,000 49,666
5.820%, 06/16/98 15,000 14,996
5.720%, 06/23/98 30,000 29,993
5.783%, 09/04/98 15,000 14,506
5.700%, 09/10/98 10,000 9,991
5.800%, 09/18/98 4,010 4,010
5.810%, 11/04/98 10,000 9,996
5.800%, 12/18/98 19,010 19,008
5.835%, 12/18/98 10,000 9,995
FHLB (A)
5.560%, 12/22/98 40,000 39,986
SLMA
5.640%, 02/02/98 10,715 10,713
5.820%, 09/16/98 10,000 9,997
SLMA (A)
5.429%, 02/02/98 30,000 30,000
5.419%, 02/08/98 44,450 44,451
5.399%, 02/10/98 20,000 20,000
--------
Total U.S. Government Agency Obligations
(Cost $917,213) 917,213
--------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
14
<PAGE>
- --------------------------------------------------------------------------------
FACE
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
U.S. TREASURY OBLIGATION -- 1.4%
U.S. Treasury Note
6.125%, 03/31/98 $13,000 $ 13,008
--------
Total U.S. Treasury Obligation
(Cost $13,008) 13,008
--------
TOTAL INVESTMENTS -- 100.0%
(Cost $930,221) 930,221
--------
OTHER ASSETS AND LIABILITIES -- 0.0%
Other Assets and Liabilities, Net 329
--------
NET ASSETS:
Portfolio Shares of Class A (unlimited
authorization -- no par value) based
on 863,689,888 outstanding shares of
beneficial interest 863,689
Portfolio Shares of Class B (unlimited
authorization -- no par value) based
on 31,851,516 outstanding shares of
beneficial interest 31,851
Portfolio Shares of Class C (unlimited
authorization -- no par value) based
on 35,272,814 outstanding shares of
beneficial interest 35,273
Undistributed net investment income 22
Accumulated net realized loss
on investments (285)
--------
TOTAL NET ASSETS -- 100.0% $930,550
========
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE -- CLASS A $1.00
========
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE -- CLASS B $1.00
========
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE -- CLASS C $1.00
========
(A) FLOATING RATE INSTRUMENT. THE RATE REFLECTED ON THE STATEMENT OF NET
ASSETS IS THE RATE IN EFFECT ON JANUARY 31, 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
- --------------------------------------------------------------------------------
FACE
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
COMMERCIAL PAPER -- 52.9%
BANKS -- 3.2%
Bank of New York Corporation
5.500%, 03/09/98 $50,000 $ 49,725
NationsBank Corporation
5.700%, 03/13/98 27,300 27,127
5.710%, 03/13/98 40,000 39,746
--------
116,598
--------
FINANCIAL SERVICES -- 45.7%
Associates Corporation
of North America
5.580%, 02/24/98 36,000 35,872
5.510%, 02/27/98 50,000 49,801
Beneficial Corporation
5.580%, 02/24/98 35,000 34,875
5.720%, 03/03/98 25,000 24,881
Centric Capital Corporation
5.600%, 02/06/98 25,000 24,981
5.500%, 03/11/98 11,000 10,936
5.730%, 04/08/98 12,000 11,874
Ciesco LP
5.730%, 02/25/98 8,400 8,368
5.450%, 03/17/98 25,000 24,833
5.430%, 04/13/98 20,000 19,786
Columbia University
5.700%, 02/25/98 10,000 9,962
Corporate Asset Funding
Corporation
5.700%, 03/10/98 75,000 74,561
5.480%, 03/25/98 25,000 24,802
Delaware Funding Corporation
5.770%, 02/12/98 25,000 24,956
5.770%, 02/17/98 35,523 35,432
5.450%, 03/12/98 20,795 20,672
Enterprise Funding Corporation
5.800%, 02/06/98 6,261 6,256
5.580%, 02/09/98 12,123 12,108
5.480%, 02/13/98 22,404 22,363
5.560%, 02/27/98 90,000 89,639
FCAR Owner Trust
5.710%, 03/06/98 40,000 39,791
5.450%, 03/20/98 28,000 27,801
5.480%, 04/13/98 25,000 24,730
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
15
<PAGE>
STATEMENT OF NET ASSETS
================================================================================
SEI DAILY INCOME TRUST -- JANUARY 31, 1998
PRIME OBLIGATION PORTFOLIO (continued)
- --------------------------------------------------------------------------------
FACE
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
General Electric Capital
Corporation
5.590%, 02/11/98 $ 45,000 $ 44,930
5.520%, 02/27/98 25,000 24,900
5.380%, 08/17/98 40,000 38,822
Island Finance Puerto Rico
5.740%, 02/23/98 13,200 13,154
5.750%, 02/27/98 20,000 19,917
5.680%, 03/30/98 25,000 24,775
5.420%, 04/16/98 10,700 10,579
5.430%, 05/06/98 32,300 31,842
Kitty Hawk Funding Corporation
5.520%, 02/05/98 35,000 34,978
5.750%, 03/16/98 26,844 26,660
5.650%, 08/17/98 33,989 32,938
Merrill Lynch and Company
Incorporated
5.550%, 02/25/98 100,000 99,630
National Rural Utility
5.680%, 03/13/98 8,980 8,923
5.680%, 03/27/98 14,165 14,044
New Center Asset Trust
5.780%, 03/13/98 75,000 74,518
5.780%, 03/16/98 25,000 24,827
New York Life Capital Corporation
5.680%, 02/27/98 20,000 19,918
Norwest Financial Incorporated
5.590%, 02/25/98 95,000 94,646
Peacock Funding Corporation
5.570%, 02/25/98 11,096 11,055
5.530%, 02/27/98 20,888 20,804
5.630%, 03/18/98 10,168 10,096
5.580%, 03/25/98 11,560 11,467
Preferred Receivables Funding
5.800%, 02/17/98 35,825 35,733
5.800%, 02/18/98 26,090 26,018
Private Export Funding
Corporation
5.680%, 03/12/98 24,865 24,712
Ranger Funding Corporation
5.730%, 03/13/98 20,000 19,873
5.570%, 03/31/98 21,659 21,465
5.590%, 04/03/98 20,000 19,811
5.450%, 04/15/98 23,701 23,439
Riverwoods Funding Corporation
5.500%, 02/11/98 90,000 89,863
5.480%, 03/06/98 50,000 49,749
----------
1,663,366
----------
- --------------------------------------------------------------------------------
FACE
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
FOOD, BEVERAGE & TOBACCO -- 2.8%
Archer Daniels Midland Company
5.690%, 02/26/98 $ 16,700 $ 16,634
5.710%, 03/06/98 26,000 25,864
Campbell Soup Company
5.550%, 03/04/98 6,000 5,971
Kellogg Company
5.700%, 02/25/98 30,400 30,284
5.700%, 02/26/98 25,000 24,901
----------
103,654
----------
INSURANCE -- 0.4%
Sunamerica Life Insurance
Company
5.500%, 03/31/98 12,549 12,438
----------
PAPER & PAPER PRODUCTS -- 0.8%
Minnesota Mining &
Manufacturing
5.690%, 03/19/98 29,700 29,484
----------
Total Commercial Paper
(Cost $1,925,540) 1,925,540
----------
CERTIFICATES OF DEPOSIT/BANK NOTES -- 20.8%
Bank of America
5.730%, 05/12/98 30,000 29,998
BankBoston
5.690%, 07/06/98 30,500 30,500
Bankers Trust
6.010%, 12/10/98 50,000 50,004
Bankers' Trust NY (A)
5.640%, 03/11/98 45,000 44,978
Chase Manhattan
5.750%, 02/11/98 50,000 50,000
Comerica
5.970%, 10/27/98 62,500 62,482
Fifth Third Bancorp
5.800%, 02/13/98 40,000 40,004
5.500%, 04/15/98 50,000 50,000
First Chicago NBD Corporation
5.870%, 08/28/98 85,000 84,968
Harris Bankcorp
5.550%, 02/25/98 100,000 100,000
Morgan Guaranty
5.965%, 06/22/98 50,000 49,993
Key Bank
5.900%, 09/17/98 15,000 14,993
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
16
<PAGE>
- --------------------------------------------------------------------------------
FACE
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
NationsBank
5.570%, 04/06/98 $ 30,000 $ 30,000
Suntrust Atlanta
5.470%, 04/14/98 100,000 99,996
Wilmington Trust
5.610%, 07/10/98 20,000 20,000
----------
Total Certificates of Deposit/Bank Notes
(Cost $757,916) 757,916
----------
FLOATING RATE INSTRUMENTS -- 12.2%
BANKS -- 4.6%
Bank of America FSB (A)
5.650%, 04/16/98 65,000 64,994
Key Bank (A)
5.690%, 12/15/98 100,000 99,992
----------
164,986
----------
FINANCIAL SERVICES -- 2.6%
ABS Investment Trust 97 (A)
5.981%, 02/15/98 35,000 35,000
5.981%, 02/17/98 20,000 20,000
SMM Trust 97-L (A)
6.000%, 05/29/98 40,000 40,000
----------
95,000
----------
INSURANCE -- 5.0%
Allstate Corporation (A)
6.065%, 02/01/98 15,000 15,000
Peoples Security Life Insurance (A)
5.990%, 04/01/98 35,000 35,000
5.880%, 08/01/98 73,000 73,000
Travelers Insurance Company (A)
5.956%, 05/31/98 20,000 20,000
5.956%, 04/01/98 40,000 40,000
----------
183,000
----------
Total Floating Rate Instruments
(Cost $442,986) 442,986
----------
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 6.6%
FNMA
5.747%, 03/30/98 30,005 29,739
FNMA (A)
5.389%, 02/25/98 100,000 100,000
- --------------------------------------------------------------------------------
FACE
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
SLMA (A)
5.399%, 02/03/98 $ 47,600 $ 47,600
5.409%, 02/03/99 16,000 16,001
5.419%, 02/03/99 47,000 47,002
----------
Total U.S. Government Agency Obligations
(Cost $240,342) 240,342
----------
CORPORATE OBLIGATIONS -- 7.3%
Associates Corporation
of North America
8.800%, 08/01/98 19,000 19,253
CIT Group Holdings
Incorporated (A)
5.590%, 09/30/98 100,000 99,943
Florida Power and Light
Company
5.700%, 03/05/98 5,000 5,000
General Electric Company
7.875%, 09/15/98 30,000 30,344
PNC Bank NA Funding
Corporation (A)
5.600%, 09/23/98 102,600 102,555
Travelers Group Incorporated
5.750%, 04/15/98 10,000 9,999
----------
Total Corporate Obligations
(Cost $267,094) 267,094
----------
REPURCHASE AGREEMENT -- 0.1%
Lehman Brothers (B)
5.650%, dated 01/30/98, matures
02/02/98, repurchase price
$5,902,778 (collateralized by
various U.S. Government obligations
ranging in par value
$800,000-$9,100,000, 6.65%-10.00%,
10/28/02- 09/15/09; with total
market value $6,019,685) 5,900 5,900
----------
Total Repurchase Agreement
(Cost $5,900) 5,900
----------
TOTAL INVESTMENTS -- 99.9%
(Cost $3,639,778) 3,639,778
----------
OTHER ASSETS AND LIABILITIES -- 0.1%
Other Assets and Liabilities, Net 2,264
----------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
17
<PAGE>
STATEMENT OF NET ASSETS
================================================================================
SEI DAILY INCOME TRUST -- JANUARY 31, 1998
PRIME OBLIGATION PORTFOLIO (concluded)
- --------------------------------------------------------------------------------
FACE
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
NET ASSETS:
Portfolio Shares of Class A (unlimited
authorization -- no par value) based
on 3,247,762,105 outstanding shares
of beneficial interest $3,247,763
Portfolio Shares of Class B (unlimited
authorization -- no par value) based
on 186,584,379 outstanding shares
of beneficial interest 186,584
Portfolio Shares of Class C (unlimited
authorization -- no par value) based
on 207,910,189 outstanding shares of
beneficial interest 207,910
Undistributed net investment income 14
Accumulated net realized loss
on investments (229)
----------
TOTAL NET ASSETS -- 100.0% $3,642,042
==========
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE -- CLASS A $1.00
==========
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE -- CLASS B $1.00
==========
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE -- CLASS C $1.00
==========
(A) FLOATING RATE INSTRUMENT. RATE REFLECTED ON THE STATEMENT OF NET ASSETS
IS THE RATE IN EFFECT ON JANUARY 31, 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
TREASURY PORTFOLIO
U.S. TREASURY OBLIGATIONS -- 12.5%
U.S. Treasury Notes
5.125%, 02/28/98 $2,000 $ 1,999
5.125%, 03/31/98 5,000 4,996
6.125%, 03/31/98 4,000 4,002
5.875%, 04/30/98 2,000 2,000
6.125%, 08/31/98 6,500 6,513
6.000%, 09/30/98 7,000 7,010
5.875%, 10/31/98 9,000 9,012
5.125%, 12/31/98 6,000 5,969
5.750%, 12/31/98 6,000 6,001
---------
Total U.S. Treasury Obligations
(Cost $47,502) 47,502
---------
- --------------------------------------------------------------------------------
FACE
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
REPURCHASE AGREEMENTS -- 87.6%
C. S. First Boston Corporation (A)
5.60%, dated 01/30/98,
matures 02/02/98, repurchase
price $50,023,333 (collateralized
by U.S. Treasury obligation par
value $31,164,000, 13.25%,
05/15/14; with total market
value of $51,157,816) $50,000 $ 50,000
Greenwich Capital (A)
5.60%, dated 01/30/98,
matures 02/02/98, repurchase
price $31,014,467 (collateralized
by U.S. Treasury obligation par
value $27,110,000, 8.75%,
11/15/08; with total market
value of $31,623,821) 31,000 31,000
J.P. Morgan & Company (A)
5.56%, dated 01/30/98,
matures 02/02/98, repurchase
price $10,683,948 (collateralized
by U.S. Treasury obligation par
value $10,614,000, 6.00%,
10/15/99; with total market
value of $10,914,030) 10,679 10,679
J.P. Morgan & Company (A)
5.58%, dated 01/30/98,
matures 02/02/98, repurchase
price $60,027,900 (collateralized
by U.S. Treasury obligation par
value $59,740,000, 5.87%,
11/30/01; with total market
value of $61,200,910) 60,000 60,000
Paribus Corporation (A)
5.58%, dated 01/30/98,
matures 02/02/98, repurchase
price $30,013,950 (collateralized
by various U.S. Treasury
obligations par value
$2,000,000-$7,665,000,
5.62%-13.25%, 05/15/05-
05/15/14; with total market
value of $30,911,050) 30,000 30,000
Salomon, Smith Barney Inc. (A)
5.60%, dated 01/30/98,
matures 02/02/98, repurchase
price $55,025,667 (collateralized
by U.S. Treasury obligation par
value $55,599,000, 5.62%,
12/31/99; with total market
value of $56,118,940) 55,000 55,000
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
18
<PAGE>
- --------------------------------------------------------------------------------
FACE
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
Swiss Bank (A)
5.60%, dated 01/30/98,
matures 02/02/98, repurchase
price $50,023,333 (collateralized
by various U.S. Treasury
obligations ranging in par
value $11,000,000-$15,272,000,
6.25%-14.00%, 11/15/11-
08/15/23; with total market
value of $51,527,776) $ 50,000 $ 50,000
Union Bank of Switzerland (A)
5.60%, dated 01/30/98,
matures 02/02/98, repurchase
price $45,021,000 (collateralized
by various U.S. Treasury
obligations ranging in par value
$162,000-$4,800,000, 5.75%-9.87%,
10/15/98-11/15/24; with total
market value of $45,905,024) 45,000 45,000
--------
Total Repurchase Agreements
(Cost $331,679) 331,679
--------
TOTAL INVESTMENTS -- 100.1%
(Cost $379,181) 379,181
--------
OTHER ASSETS AND LIABILITIES -- (0.1%)
Other Assets and Liabilities, Net (468)
--------
NET ASSETS:
Portfolio Shares of Class A (unlimited
authorization -- no par value) based
on 187,799,807 outstanding shares of
beneficial interest 187,800
Portfolio Shares of Class B (unlimited
authorization -- no par value) based
on 68,098,540 outstanding shares of
beneficial interest 68,099
Portfolio Shares of Class C (unlimited
authorization -- no par value) based
on 53,761,107 outstanding shares of
beneficial interest 53,761
Portfolio Shares of Sweep Class (unlimited
authorization -- no par value) based
on 69,069,048 outstanding shares of
beneficial interest 69,069
Distributions in excess of net
investment income (6)
Accumulated net realized loss
on investments (10)
--------
TOTAL NET ASSETS -- 100.0% $378,713
========
- --------------------------------------------------------------------------------
FACE
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE -- CLASS A $1.00
========
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE -- CLASS B $1.00
========
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE -- CLASS C $1.00
========
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE -- SWEEP CLASS $1.00
========
(A) TRI-PARTY REPURCHASE AGREEMENT
TREASURY II PORTFOLIO
U.S. TREASURY OBLIGATIONS -- 98.6%
U.S. Treasury Bills
5.020%, 02/05/98 $ 8,120 $ 8,116
5.100%, 02/05/98 47,120 47,093
4.880%, 02/12/98 1,465 1,463
5.042%, 03/05/98 3,830 3,813
5.165%, 04/02/98 9,680 9,597
5.200%, 04/02/98 100,000 99,133
U.S. Treasury Bond
4.605%, 02/02/98 125,000 124,997
U.S. Treasury Notes
7.250%, 02/15/98 75,000 75,046
8.125%, 02/15/98 80,000 80,076
6.125%, 03/31/98 200,000 200,245
5.125%, 04/30/98 50,000 49,952
5.875%, 04/30/98 118,015 118,123
--------
Total U.S. Treasury Obligations
(Cost $817,654) 817,654
--------
TOTAL INVESTMENTS -- 98.6%
(Cost $817,654) 817,654
--------
OTHER ASSETS AND LIABILITIES -- 1.4%
Other Assets and Liabilities, Net 11,822
--------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
19
<PAGE>
STATEMENT OF NET ASSETS
================================================================================
SEI DAILY INCOME TRUST -- JANUARY 31, 1998
TREASURY II PORTFOLIO (concluded)
- --------------------------------------------------------------------------------
FACE
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
NET ASSETS:
Portfolio Shares of Class A (unlimited
authorization -- no par value) based
on 748,350,962 outstanding shares of
beneficial interest $748,351
Portfolio Shares of Class B (unlimited
authorization -- no par value) based
on 69,589,089 outstanding shares of
beneficial interest 69,589
Portfolio Shares of Class C (unlimited
authorization -- no par value) based
on 11,846,768 outstanding shares of
beneficial interest 11,847
Undistributed net investment income 210
Accumulated net realized loss
on investments (521)
--------
TOTAL NET ASSETS-- 100.0% $829,476
========
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE-- CLASS A $1.00
========
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE-- CLASS B $1.00
========
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE-- CLASS C $1.00
========
SHORT-DURATION GOVERNMENT PORTFOLIO
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 18.5%
FHLB
5.830%, 12/24/99 $ 5,000 $ 5,015
FHLMC
7.000%, 05/29/01 5,000 5,023
FNMA
5.380%, 01/16/01 5,000 4,971
--------
Total U.S. Government Agency Obligations
(Cost $14,993) 15,009
--------
U.S. TREASURY OBLIGATION -- 18.8%
U.S. Treasury Note
6.250%, 06/30/02 15,000 15,257
--------
Total U.S. Treasury Obligation
(Cost $15,161) 15,257
--------
- --------------------------------------------------------------------------------
FACE
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
U.S. GOVERNMENT MORTGAGE-BACKED BONDS -- 44.0%
FHLB
6.900%, 04/28/00 $10,000 $10,033
FHLMC
6.500%, 11/01/99 3,943 4,035
6.500%, 10/01/07 2,292 2,383
FNMA
6.500%, 04/01/00 3,811 3,893
6.500%, 09/01/02 7,574 7,655
6.000%, 11/25/03 956 959
FNMA MTN
6.240%, 09/07/00 5,000 5,086
GNMA
7.500%, 01/15/11 44 46
7.500%, 02/15/11 1,517 1,572
--------
Total U.S. Government Mortgage-Backed Bonds
(Cost $35,219) 35,662
--------
REPURCHASE AGREEMENT -- 17.8%
Paine Webber
5.58%, dated 01/30/98,
matures 02/02/98, repurchase
price $14,396,691 (collateralized
by U.S. Treasury Note, par value
$14,210,000, 5.87%, matures
01/31/99; market value
$14,685,116) 14,390 14,390
--------
Total Repurchase Agreement
(Cost $14,390) 14,390
--------
TOTAL INVESTMENTS -- 99.1%
(Cost $79,763) 80,318
--------
OTHER ASSETS AND LIABILITIES -- 0.9%
Other Assets and Liabilities, Net 709
--------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
20
<PAGE>
- --------------------------------------------------------------------------------
FACE
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
NET ASSETS:
Portfolio Shares of Class A (unlimited
authorization -- no par value) based
on 8,054,499 outstanding shares of
beneficial interest $81,531
Portfolio Shares of Class B (unlimited
authorization -- no par value) based
on 1,331 outstanding shares of
beneficial interest 13
Undistributed net investment income 12
Accumulated net realized loss
on investments (1,084)
Net unrealized appreciation
on investments 555
-------
TOTAL NET ASSETS-- 100.0% $81,027
-------
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE -- CLASS A $10.06
=======
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE -- CLASS B $10.04
=======
FHLB FEDERAL HOME LOAN BANK
FHLMC FEDERAL HOME LOAN MORTGAGE CORPORATION
FNMA FEDERAL NATIONAL MORTGAGE ASSOCIATION
GNMA GOVERNMENT NATIONAL MORTGAGE ASSOCIATION
MTN MEDIUM TERM NOTE
INTERMEDIATE-DURATION GOVERNMENT PORTFOLIO
U.S. TREASURY OBLIGATIONS -- 46.3%
U.S. Treasury Bonds
11.125%, 08/15/03 $5,000 $ 6,337
11.875%, 11/15/03 7,500 9,853
11.625%, 11/15/04 3,800 5,095
12.000%, 08/15/13 7,000 10,445
U.S. Treasury Notes
6.625%, 07/31/01 11,000 11,417
10.750%, 02/15/03 9,000 11,066
-------
Total U.S. Treasury Obligations
(Cost $52,728) 54,213
-------
- --------------------------------------------------------------------------------
FACE
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 20.3%
Agency For International Development
6.750%, 08/15/04 $4,000 $ 4,175
FHLMC
7.974%, 04/20/05 655 657
7.350%, 05/16/05 750 773
Private Export Funding
7.900%, 03/31/00 5,450 5,702
5.500%, 03/15/01 1,000 995
8.400%, 07/31/01 1,600 1,736
6.900%, 01/31/03 2,875 3,026
8.750%, 06/30/03 5,670 6,464
7.010%, 04/30/04 285 301
-------
Total U.S. Government Agency Obligations
(Cost $23,473) 23,829
-------
U.S. GOVERNMENT MORTGAGE-BACKED OBLIGATIONS -- 27.2%
FHLMC
6.250%, 07/01/03 282 284
5.750%, 05/15/05 1,000 997
5.650%, 07/15/05 1,500 1,494
5.750%, 01/15/06 639 638
8.000%, 01/15/06 500 520
6.000%, 10/15/06 830 826
6.000%, 08/15/07 400 402
8.250%, 12/01/07 182 192
5.500%, 04/15/08 1,000 989
6.500%, 07/01/08 237 239
5.500%, 08/01/08 98 96
5.500%, 09/01/08 168 164
6.500%, 09/01/08 280 282
6.500%, 01/01/09 110 112
8.250%, 01/01/09 437 458
8.250%, 12/01/09 258 271
6.500%, 09/01/10 5,737 5,781
7.500%, 04/15/15 500 510
7.700%, 07/15/18 358 362
7.000%, 02/25/19 500 505
6.000%, 06/15/19 866 868
6.500%, 06/25/19 2,100 2,127
6.500%, 09/15/21 754 746
7.000%, 05/01/24 1,185 1,204
FNMA
6.000%, 11/25/03 195 195
6.000%, 09/25/05 500 500
6.500%, 02/25/07 400 408
7.500%, 03/01/07 265 273
8.000%, 05/01/08 326 339
8.000%, 06/01/08 314 326
7.500%, 06/01/09 129 133
9.500%, 05/01/18 377 405
7.385%, 03/25/21 1,905 1,976
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
21
<PAGE>
STATEMENT OF NET ASSETS
================================================================================
SEI DAILY INCOME TRUST -- JANUARY 31, 1998
INTERMEDIATE-DURATION
GOVERNMENT PORTFOLIO (concluded)
- --------------------------------------------------------------------------------
FACE
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
GNMA
8.250%, 05/15/06 $ 179 $ 189
8.250%, 06/15/06 130 137
8.250%, 04/15/08 142 149
8.250%, 05/15/08 313 329
8.250%, 06/15/08 395 415
8.250%, 07/15/08 155 162
8.500%, 05/20/16 358 374
8.500%, 09/20/16 17 18
8.500%, 11/20/16 766 803
8.500%, 04/20/17 15 16
8.500%, 05/20/17 428 448
8.750%, 05/20/17 540 569
8.750%, 06/20/17 130 137
8.500%, 07/20/17 257 269
8.750%, 07/20/17 178 188
8.500%, 08/20/17 183 192
8.750%, 10/20/17 24 26
8.750%, 11/20/17 129 137
8.500%, 01/20/18 115 121
8.500%, 02/20/18 170 178
7.000%, 09/16/19 649 659
7.000%, 08/15/23 1,686 1,711
--------
Total U.S. Government Mortgage-
Backed Obligations
(Cost $31,250) 31,849
--------
REPURCHASE AGREEMENT -- 4.8%
Paine Webber
5.58%, dated 01/30/98, matures
02/02/98, repurchase price
$5,635,619 (collateralized by
U.S. Treasury Note, par value
$5,630,000, 5.12%, matures
02/28/98; market
value $5,747,635) 5,633 5,633
--------
Total Repurchase Agreement
(Cost $5,633) 5,633
--------
TOTAL INVESTMENTS -- 98.6%
(Cost $113,084) 115,524
--------
OTHER ASSETS AND LIABILITIES -- 1.4%
Other Assets and Liabilities, Net 1,583
--------
- --------------------------------------------------------------------------------
FACE
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
NET ASSETS:
Portfolio Shares of Class A (unlimited
authorization -- no par value) based on
11,627,887 outstanding shares of
beneficial interest $120,658
Undistributed net investment income 83
Accumulated net realized loss
on investments (6,074)
Net unrealized appreciation
on investments 2,440
--------
TOTAL NET ASSETS -- 100.0% $117,107
========
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE -- CLASS A $10.07
========
FHLMC FEDERAL HOME LOAN MORTGAGE CORPORATION
FNMA FEDERAL NATIONAL MORTGAGE ASSOCIATION
GNMA GOVERNMENT NATIONAL MORTGAGE ASSOCIATION
GNMA PORTFOLIO
U.S. GOVERNMENT MORTGAGE-BACKED OBLIGATIONS -- 98.2%
GNMA
12.500%, 12/15/06-07/15/15 $ 43 $ 50
12.000%, 01/15/13-04/15/14 8 9
11.500%, 04/15/10-02/15/13 56 64
10.500%, 03/15/18 44 49
10.000%, 02/15/13-07/15/20 2,483 2,712
9.500%, 06/15/09-12/15/20 6,839 7,399
9.000%, 05/15/16-05/15/22 5,630 6,040
8.500%, 08/15/08-01/15/18 1,958 2,061
8.000%, 12/15/21-11/15/23 7,658 7,958
7.500%, 02/15/17-10/15/25 13,349 13,751
7.000%, 05/15/23-09/15/23 17,721 17,986
6.500%, 09/15/10-05/15/24 17,393 17,355
6.000%, 08/15/26-12/15/27 987 964
--------
Total U.S. Government Mortgage-Backed Obligations
(Cost $74,659) 76,398
--------
REPURCHASE AGREEMENT -- 2.0%
Paine Webber
5.58%, dated 01/30/98,
matures 02/02/98, repurchase
price $1,572,731 (collateralized
by U.S. Treasury Note, par
value $1,530,000, 6.50%,
matures 05/31/02; market
value $1,609,534) 1,572 1,572
--------
Total Repurchase Agreement
(Cost $1,572) 1,572
--------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
22
<PAGE>
- --------------------------------------------------------------------------------
FACE
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
TOTAL INVESTMENTS -- 100.2%
(Cost $76,231) $77,970
-------
OTHER ASSETS AND LIABILITIES -- (0.2%)
Other Assets and Liabilities, Net (178)
-------
NET ASSETS:
Portfolio Shares of Class A (unlimited
authorization -- no par value) based
on 7,882,478 outstanding shares
of beneficial interest 88,273
Undistributed net investment income 132
Accumulated net realized loss
on investments (12,352)
Net unrealized appreciation
on investments 1,739
-------
TOTAL NET ASSETS -- 100.0% $77,792
=======
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE -- CLASS A $9.87
=======
GNMA GOVERNMENT NATIONAL MORTGAGE ASSOCIATION
CORPORATE DAILY INCOME
PORTFOLIO
CORPORATE OBLIGATIONS -- 26.1%
BANKS -- 13.8%
Banc One Corp. (A)
6.041%, 03/23/01 $2,000 $ 2,002
Bank of New York Corp.
5.940%, 06/30/98 2,000 2,002
Citicorp MTN (A)
5.906%, 05/11/98 2,000 2,001
NationsBank MTN (A)
6.076%, 06/23/99 2,000 2,000
Norwest (A)
5.956%, 02/24/99 1,600 1,592
-------
9,597
-------
FINANCIAL SERVICES -- 8.6%
Associates of North America
5.850%, 01/15/01 1,500 1,502
Caterpillar MTN (A)
5.550%, 04/01/99 1,000 995
Ford Motor Credit Corp. (A)
5.510%, 02/15/99 1,500 1,496
General Motors Acceptance Corp. (A)
5.590%, 03/25/99 1,000 995
Sears Roebuck MTN (A)
5.470%, 03/10/99 1,000 996
-------
5,984
-------
- --------------------------------------------------------------------------------
FACE
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
LEASING & RENTING -- 1.4%
International Lease Finance (A)
5.958%, 07/15/99 $1,000 $ 1,000
-------
GENERAL UTILITIES -- 2.3%
Baltimore Gas & Electric (A)
5.886%, 03/15/99 1,600 1,599
-------
Total Corporate Obligations
(Cost $18,200) 18,180
-------
U.S. GOVERNMENT MORTGAGE-BACKED
OBLIGATIONS -- 31.5%
FHLB
6.900%, 04/28/00 5,000 5,016
FNMA
6.000%, 04/01/01 7,453 7,533
6.500%, 09/01/02 4,769 4,820
FNMA MTN
5.890%, 12/22/00 4,000 4,039
FNMA (A)
6.025%, 07/25/98 503 504
-------
Total U.S. Government
Mortgage-Backed Obligations
(Cost $21,756) 21,912
-------
ASSET BACKED SECURITIES -- 28.3%
AIRCRAFT -- 1.5%
Airplanes Pass Through
Trust 1-A2 (A)
6.301%, 03/15/09 1,000 1,007
-------
AUTOMOTIVE -- 18.4%
Chase Manhattan 97-B
6.350%, 02/15/01 1,260 1,275
Daimler-Benz Auto Grantor
Trust 95-A A
5.850%, 05/15/02 1,674 1,674
Ford Credit Auto Lease
Trust 96-1 A2
5.800%, 05/15/99 1,438 1,439
Ford Credit Grantor
Trust 95-B A
5.900%, 10/15/00 675 677
General Motors Acceptance 95-A1
7.150%, 03/15/00 217 219
General Motors Acceptance 97-A
6.500%, 04/15/02 1,504 1,517
Navistar Financial Trust 96-A B2
5.930%, 11/20/99 250 251
Premier Auto Trust 93-4 A2
4.650%, 02/02/99 20 21
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
23
<PAGE>
STATEMENT OF NET ASSETS
================================================================================
SEI DAILY INCOME TRUST -- JANUARY 31, 1998
CORPORATE DAILY INCOME PORFOLIO (concluded)
- --------------------------------------------------------------------------------
FACE
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
Premier Auto Trust 95-4
5.900%, 07/06/99 $ 853 $ 865
Premier Auto Trust 93-6 A2
4.650%, 11/02/99 123 122
Premier Auto, Ser 1997-2 A3
6.130%, 09/06/00 1,500 1,519
Premier Auto Trust 96-4 A3
6.200%, 11/06/00 1,000 1,005
Rental Car Finance
Corporation 97-1 A1
6.250%, 09/25/02 1,500 1,508
Toyota Receivables 97-A (A)
6.450%, 04/15/02 689 696
-------
12,788
-------
CREDIT CARDS -- 3.6%
AT&T (A)
5.965%, 04/17/04 1,000 1,000
Standard Credit Card Master Trust,
Series 1993-3
5.500%, 02/07/00 1,500 1,497
-------
2,497
-------
EQUIPMENT FUNDING -- 3.4%
Capital Equipment Receivables
Trust 96-1 A2
5.950%, 07/15/98 410 411
IBM Credit Receivables Lease Asset
Master Trust 93-1 A
4.550%, 11/15/00 1,945 1,938
-------
2,349
-------
MORTGAGE RELATED -- 1.4%
Main Place Funding 95-2 (A)
5.791%, 10/25/00 1,000 1,001
-------
Total Asset Backed Securities
(Cost $19,549) 19,642
-------
CERTIFICATES OF DEPOSIT/BANK NOTES -- 12.2%
Aesop Funding 1997-1 A1
6.220%, 10/20/01 1,000 1,011
Bankers Trust
6.010%, 12/10/98 2,000 2,007
Comerica Bank
5.970%, 10/27/98 2,000 2,003
Huntington National Bank
5.875%, 01/15/01 1,500 1,500
Morgan Guaranty New York
5.930%, 08/31/98 2,000 2,002
-------
Total Certificates of Deposit
(Cost $8,499) 8,523
-------
- --------------------------------------------------------------------------------
FACE
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
REPURCHASE AGREEMENT -- 4.5%
Paine Webber
5.58%, dated 01/30/98,
matures 02/02/98,
repurchase price $3,136,458
(collateralized by U.S. Treasury
Note, par value $2,605,000,
7.50%, matures 11/15/24;
market value $3,206,901) $3,135 $ 3,135
-------
Total Repurchase Agreement
(Cost $3,135) 3,135
-------
TOTAL INVESTMENTS -- 102.6%
(Cost $71,139) 71,392
-------
OTHER ASSETS AND LIABILITIES -- (2.6%)
Other Assets and Liabilities, Net (1,821)
-------
NET ASSETS:
Portfolio Shares of Class A (unlimited
authorization -- no par value) based
on 34,809,685 outstanding shares of
beneficial interest 69,305
Distribution in excess of net investment income (3)
Accumulated net realized gain
on investments 16
Net unrealized appreciation
on investments 253
-------
TOTAL NET ASSETS-- 100.0% $69,571
=======
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE-- CLASS A $2.00
=======
(A) FLOATING RATE INSTRUMENT. THE RATE REFLECTED ON THE STATEMENT OF NET
ASSETS IS THE RATE IN EFFECT ON JANUARY 31, 1998. THE DATE SHOWN IS THE
LONGER OF THE RESET DATE OR THE DEMAND DATE.
FHLB FEDERAL HOME LOAN BANK
FNMA FEDERAL NATIONAL MORTGAGE ASSOCIATION
MTN MEDIUM TERM NOTE
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
24
<PAGE>
[THIS PAGE INTENTIONALLY LEFT BLANK]
25
<PAGE>
<TABLE>
<CAPTION>
STATEMENT OF OPERATIONS (000)
====================================================================================================================================
SEI DAILY INCOME TRUST -- FOR THE YEAR ENDED JANUARY 31, 1998
--------- ---------- -------------
MONEY
MARKET GOVERNMENT GOVERNMENT II
PORTFOLIO PORTFOLIO PORTFOLIO
--------- ---------- -------------
<S> <C> <C> <C>
Interest Income $35,939 $55,227 $49,278
------- ------- -------
EXPENSES:
Management fees 2,084 2,367 1,694
Less: Management fees waived (1,309) (886) (406)
Investment advisory fees 151 237 215
Less: Investment advisory fees waived (115) (180) (154)
Shareholder servicing fees (1) 1,705 6,526 2,274
Less: Shareholder servicing fees waived (1,447) (1,143) (2,148)
Custodian/wire agent fees 112 106 106
Trustee fees 4 7 6
Registration fees 204 256 262
Other 43 67 64
------- ------- -------
Total expenses 1,432 7,357 1,913
------- ------- -------
NET INVESTMENT INCOME 34,507 47,870 47,365
------- ------- -------
NET REALIZED AND UNREALIZED GAIN
(LOSS) ON INVESTMENTS:
Net realized gain (loss) from security
transactions (31) (7) (35)
------- ------- -------
Net change in unrealized appreciation
of investments -- -- --
------- ------- -------
NET INCREASE IN NET ASSETS FROM OPERATIONS $34,476 $47,863 $47,330
======= ======= =======
</TABLE>
<TABLE>
<CAPTION>
---------- --------- ----------- ----------
SHORT-
PRIME DURATION
OBLIGATION TREASURY TREASURY II GOVERNMENT
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
---------- --------- ----------- ----------
<S> <C> <C> <C> <C>
Interest Income $185,858 $10,244 $45,606 $4,995
-------- ------- ------- ------
EXPENSES:
Management fees 6,244 440 2,054 275
Less: Management fees waived (1,357) (214) (367) (30)
Investment advisory fees 790 44 206 79
Less: Investment advisory fees waived (557) (36) (137) (15)
Shareholder servicing fees (1) 8,522 690 2,185 196
Less: Shareholder servicing fees waived (7,571) (251) (1,986) (196)
Custodian/wire agent fees 298 50 91 12
Trustee fees 23 1 6 --
Registration fees 930 27 222 23
Other 201 53 65 8
-------- ------- ------- ------
Total expenses 7,523 804 2,339 352
-------- ------- ------- ------
NET INVESTMENT INCOME 178,335 9,440 43,267 4,643
-------- ------- ------- ------
NET REALIZED AND UNREALIZED GAIN
(LOSS) ON INVESTMENTS:
Net realized gain (loss) from security
transactions (88) (9) (353) 440
-------- ------- ------- ------
Net change in unrealized appreciation
of investments -- -- -- 361
-------- ------- ------- ------
NET INCREASE IN NET ASSETS FROM OPERATIONS $178,247 $ 9,431 $42,914 $5,444
======== ======= ======= ======
</TABLE>
<TABLE>
<CAPTION>
------------- --------- ---------
INTERMEDIATE- CORPORATE
DURATION DAILY
OVERNMENT GNMA INCOME
PORTFOLIO PORTFOLIO PORTFOLIO
------------- --------- ---------
<S> <C> <C> <C>
Interest Income $ 7,321 $6,235 $3,482
------- ------ ------
EXPENSES:
Management fees 404 275 204
Less: Management fees waived (14) (1) (68)
Investment advisory fees 115 86 58
Less: Investment advisory fees waived (11) (1) (25)
Shareholder servicing fees (1) 288 215 146
Less: Shareholder servicing fees waived (274) (132) (146)
Custodian/wire agent fees 16 34 9
Trustee fees 1 1 1
Registration fees 40 32 16
Other 13 8 11
------- ------ ------
Total expenses 578 517 206
------- ------ ------
NET INVESTMENT INCOME 6,743 5,718 3,276
------- ------ ------
NET REALIZED AND UNREALIZED GAIN
(LOSS) ON INVESTMENTS:
Net realized gain (loss) from security
transactions (326) (238) 16
------- ------ ------
Net change in unrealized appreciation
of investments 3,610 2,151 306
------- ------ ------
NET INCREASE IN NET ASSETS FROM OPERATIONS $10,027 $7,631 $3,598
======= ====== ======
<FN>
(1)INCLUDES CLASS SPECIFIC DISTRIBUTION AND SHAREHOLDER SERVICING FEES. AMOUNTS
DESIGNATED AS "--" ARE EITHER $0 OR HAVE BEEN ROUNDED TO $0.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
</FN>
</TABLE>
26 & 27
<PAGE>
<TABLE>
<CAPTION>
STATEMENT OF CHANGES IN NET ASSETS (000)
====================================================================================================================================
SEI DAILY INCOME TRUST -- FOR THE YEARS ENDED JANUARY 31
----------------------- ---------------------
MONEY MARKET GOVERNMENT
PORTFOLIO PORTFOLIO
----------------------- ---------------------
1998 1997 1998 1997
----------------------- ---------------------
OPERATIONS:
<S> <C> <C> <C> <C>
Net investment income $ 34,507 $ 8,249 $ 47,870 $ 36,890
Net realized loss from security transactions (31) (6) (7) (148)
---------- ---------- ---------- ----------
Net increase in net assets from operations 34,476 8,243 47,863 36,742
---------- ---------- ---------- ----------
DIVIDENDS DISTRIBUTED FROM:
Net investment income:
Class A (31,852) (7,294) (7,425) (4,797)
Class B (154) (161) (1,551) (1,539)
Class C (2,496) (794) (893) --
CNI Class* -- -- (38,003) (30,559)
Sweep Class -- -- -- --
---------- ---------- ---------- ----------
Total dividends distributed (34,502) (8,249) (47,872) (36,895)
---------- ---------- ---------- ----------
CAPITAL SHARE TRANSACTIONS (ALL AT $1.00 PER SHARE):
Class A:
Proceeds from shares issued 9,670,017 1,998,879 1,237,002 730,378
Reinvestment of cash distributions 21,678 1,817 4,258 1,615
Cost of shares repurchased (9,339,689) (1,727,529) (1,214,703) (664,375)
---------- ---------- ---------- ----------
Increase (decrease) in net assets from Class A transactions 352,006 273,167 26,557 67,618
---------- ---------- ---------- ----------
Class B:
Proceeds from shares issued 20,450 7,740 396,652 528,207
Reinvestment of cash distributions 149 37 2,291 --
Cost of shares repurchased (13,985) (13,624) (422,984) (490,054)
---------- ---------- ---------- ----------
Increase (decrease) in net assets from Class B transactions 6,614 (5,847) (24,041) 38,153
---------- ---------- ---------- ----------
Class C:
Proceeds from shares issued 266,102 54,043 310,448 --
Reinvestment of cash distributions 291 325 30 --
Cost of shares repurchased (209,997) (26,299) (285,137) --
---------- ---------- ---------- ----------
Increase in net assets from Class C transactions 56,396 28,069 25,341 --
---------- ---------- ---------- ----------
CNI Class*:
Proceeds from shares issued -- -- 2,355,149 1,761,763
Reinvestment of cash distributions -- -- 25,953 23,714
Cost of shares repurchased -- -- (2,090,084)(1,711,087)
---------- ---------- ---------- ----------
Increase in net assets from CNI Class transactions -- -- 291,018 74,390
---------- ---------- ---------- ----------
Sweep Class:
Proceeds from shares issued -- -- -- --
Reinvestment of cash distributions -- -- -- --
Cost of shares repurchased -- -- -- --
---------- ---------- ---------- ----------
Increase in net assets from Sweep Class transactions -- -- -- --
---------- ---------- ---------- ----------
INCREASE (DECREASE) IN NET ASSETS DERIVED FROM CAPITAL SHARE TRANSACTIONS 415,016 295,389 318,875 180,161
---------- ---------- ---------- ----------
Net increase (decrease) in net assets 414,990 295,383 318,866 180,008
---------- ---------- ---------- ----------
NET ASSETS:
Beginning of Period 400,350 104,967 786,703 606,695
---------- ---------- ---------- ----------
End of Period $ 815,340 $ 400,350 $1,105,569 $ 786,703
========== ========== ========== ==========
</TABLE>
<TABLE>
<CAPTION>
----------------------- -------------------------
GOVERNMENT II PRIME OBLIGATION
PORTFOLIO PORTFOLIO
----------------------- -------------------------
1998 1997 1998 1997
----------------------- -------------------------
OPERATIONS:
<S> <C> <C> <C> <C>
Net investment income $ 47,365 $ 40,571 $ 178,335 $ 147,275
Net realized loss from security transactions (35) (83) (88) (96)
---------- ---------- ----------- -----------
Net increase in net assets from operations 47,330 40,488 178,247 147,179
---------- ---------- ----------- -----------
DIVIDENDS DISTRIBUTED FROM:
Net investment income:
Class A (45,738) (39,711) (165,176) (138,844)
Class B (962) (804) (8,725) (8,391)
Class C (664) (56) (4,445) (38)
CNI Class* -- -- -- --
Sweep Class -- -- -- --
---------- ---------- ----------- -----------
Total dividends distributed (47,364) (40,571) (178,346) (147,273)
---------- ---------- ----------- -----------
CAPITAL SHARE TRANSACTIONS (ALL AT $1.00 PER SHARE):
Class A:
Proceeds from shares issued 5,919,701 4,473,934 32,126,995 24,807,352
Reinvestment of cash distributions 3,860 632 59,509 40,591
Cost of shares repurchased (5,822,115) (4,522,836) (31,565,211) (24,663,157)
---------- ---------- ----------- -----------
Increase (decrease) in net assets from Class A transactions 101,446 (48,270) 621,293 184,786
---------- ---------- ----------- -----------
Class B:
Proceeds from shares issued 135,965 92,880 2,218,238 2,059,805
Reinvestment of cash distributions 263 236 503 128
Cost of shares repurchased (120,700) (96,469) (2,178,430) (2,088,439)
---------- ---------- ----------- -----------
Increase (decrease) in net assets from Class B transactions 15,528 (3,353) 40,311 (28,506)
---------- ---------- ----------- -----------
Class C:
Proceeds from shares issued 160,703 18,066 718,315 29,017
Reinvestment of cash distributions -- -- 59 --
Cost of shares repurchased (131,790) (11,706) (514,796) (24,685)
---------- ---------- ----------- -----------
Increase in net assets from Class C transactions 28,913 6,360 203,578 4,332
---------- ---------- ----------- -----------
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 -- -- -- --
Reinvestment of cash distributions -- -- -- --
Cost of shares repurchased -- -- -- --
---------- ---------- ----------- -----------
Increase in net assets from Sweep Class transactions -- -- -- --
---------- ---------- ----------- -----------
INCREASE (DECREASE) IN NET ASSETS DERIVED FROM CAPITAL SHARE TRANSACTIONS 145,887 (45,263) 865,182 160,612
---------- ---------- ----------- -----------
Net increase (decrease) in net assets 145,853 (45,346) 865,083 160,518
---------- ---------- ----------- -----------
NET ASSETS:
Beginning of Period 784,697 830,043 2,776,959 2,616,441
---------- ---------- ----------- -----------
End of Period $ 930,550 $ 784,697 $ 3,642,042 $ 2,776,959
========== ========== =========== ===========
</TABLE>
<TABLE>
<CAPTION>
-------------------- -----------------------
TREASURY TREASURY II
PORTFOLIO PORTFOLIO
-------------------- -----------------------
1998 1997 1998 1997
-------------------- -----------------------
OPERATIONS:
<S> <C> <C> <C> <C>
Net investment income $ 9,940 $ 4,335 $ 43,267 $ 26,940
Net realized loss from security transactions (9) (1) (353) (141)
-------- -------- ---------- ----------
Net increase in net assets from operations 9,431 4,334 42,914 26,799
-------- -------- ---------- ----------
DIVIDENDS DISTRIBUTED FROM:
Net investment income:
Class A (5,276) (3,621) (40,342) (25,532)
Class B (1,195) -- (2,590) (1,223)
Class C (1,768) (714) (332) (185)
CNI Class* -- -- -- --
Sweep Class (1,214) -- -- --
-------- -------- ---------- ----------
Total dividends distributed (9,453) (4,335) (43,264) (26,940)
-------- -------- ---------- ----------
CAPITAL SHARE TRANSACTIONS (ALL AT $1.00 PER SHARE):
Class A:
Proceeds from shares issued 823,758 296,378 4,053,466 4,047,676
Reinvestment of cash distributions 1,252 246 7,332 7,548
Cost of shares repurchased (705,129) (283,519) (4,093,131) (3,692,624)
-------- -------- ---------- ----------
Increase (decrease) in net assets from Class A transactions 119,881 13,105 (32,333) 362,600
-------- -------- ---------- ----------
Class B:
Proceeds from shares issued 215,467 -- 238,316 195,613
Reinvestment of cash distributions -- -- 176 4
Cost of shares repurchased (147,368) -- (223,046) (167,907)
-------- -------- ---------- ----------
Increase (decrease) in net assets from Class B transactions 68,099 -- 15,446 27,710
-------- -------- ---------- ----------
Class C:
Proceeds from shares issued 230,513 84,434 98,675 52,451
Reinvestment of cash distributions -- -- 78 128
Cost of shares repurchased (201,655) (74,221) (91,434) (51,986)
-------- -------- ---------- ----------
Increase in net assets from Class C transactions 28,858 10,213 7,319 593
-------- -------- ---------- ----------
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 194,085 -- -- --
Reinvestment of cash distributions -- -- -- --
Cost of shares repurchased (125,016) -- -- --
-------- -------- ---------- ----------
Increase in net assets from Sweep Class transactions 69,069 -- -- --
-------- -------- ---------- ----------
INCREASE (DECREASE) IN NET ASSETS DERIVED FROM CAPITAL SHARE TRANSACTIONS 285,907 23,318 (9,568) 390,903
-------- -------- ---------- ----------
Net increase (decrease) in net assets 285,885 23,317 (9,918) 390,762
-------- -------- ---------- ----------
NET ASSETS:
Beginning of Period 92,828 69,511 839,394 448,632
-------- -------- ---------- ----------
End of Period $378,713 $ 92,828 $ 829,476 $ 839,394
======== ======== ========== ==========
<FN>
*FORMERLY CLASS G
AMOUNTS DESIGNATED AS "--" ARE EITHER $0 OR HAVE BEEN ROUNDED TO $0.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
</FN>
</TABLE>
28 & 29
<PAGE>
<TABLE>
<CAPTION>
STATEMENT OF CHANGES IN NET ASSETS (000)
====================================================================================================================================
SEI DAILY INCOME TRUST -- FOR THE YEARS ENDED JANUARY 31
------------------ --------------------
INTERMEDIATE-
SHORT-DURATION DURATION
GOVERNMENT GOVERNMENT
PORTFOLIO PORTFOLIO
------------------ --------------------
1998 1997 1998 1997
------------------ --------------------
OPERATIONS:
<S> <C> <C> <C> <C>
Net investment income $ 4,643 $ 4,068 $ 6,743 $ 8,284
Net realized gain (loss) from security transactions 440 60 (326) 1,192
Net change in unrealized appreciation (depreciation) of investments 361 (944) 3,610 (5,738)
------- ------- -------- --------
Net increase in net assets from operations 5,444 3,184 10,027 3,738
------- ------- -------- --------
DIVIDENDS DISTRIBUTED FROM:
Net investment income:
Class A (4,635) (4,209) (6,746) (8,283)
Class B (1) (1) -- --
Class D -- -- -- (1)
Net realized gains:
Class A -- -- -- --
Class B -- -- -- --
Class D -- -- -- --
------- ------- -------- --------
Total dividends distributed (4,636) (4,210) (6,746) (8,284)
------- ------- -------- --------
CAPITAL SHARE TRANSACTIONS:
Class A:
Proceeds from shares issued 56,566 51,283 40,850 52,840
Reinvestment of cash distributions 2,063 1,604 1,826 1,505
Cost of shares repurchased (51,968) (51,748) (62,525) (81,096)
------- ------- -------- --------
Increase (decrease) in net assets from Class A transactions 6,661 1,139 (19,849) (26,751)
------- ------- -------- --------
Class B:
Proceeds from shares issued -- -- -- --
Reinvestment of cash distributions -- -- -- --
Cost of shares repurchased -- (25) -- --
------- ------- -------- --------
Decrease in net assets from Class B transactions -- (25) -- --
------- ------- -------- --------
Class D:
Proceeds from shares issued -- -- -- --
Reinvestment of cash distributions -- -- -- --
Cost of shares repurchased -- (11) -- (66)
------- ------- -------- --------
Decrease in net assets from Class D transactions -- (11) -- (66)
------- ------- -------- --------
INCREASE (DECREASE) IN NET ASSETS DERIVED FROM CAPITAL SHARE TRANSACTIONS 6,661 1,103 (19,849) (26,817)
------- ------- -------- --------
Net increase (decrease) in net assets 7,469 77 (16,568) (31,363)
------- ------- -------- --------
NET ASSETS:
Beginning of Period 73,558 73,481 133,675 165,038
------- ------- -------- --------
End of Period $81,027 $73,558 $117,107 $133,675
======= ======= ======== ========
CAPITAL SHARE TRANSACTIONS:
Class A:
Shares issued 5,674 5,168 4,131 5,428
Shares issued in lieu of cash distributions 207 162 185 155
Shares repurchased (5,215) (5,220) (6,358) (8,317)
------- ------- -------- --------
Total Class A transactions 666 110 (2,042) (2,734)
------- ------- -------- --------
Class B:
Shares issued -- -- -- --
Shares issued in lieu of cash distributions -- -- -- --
Shares repurchased -- (3) -- --
------- ------- -------- --------
Total Class B transactions -- (3) -- --
------- ------- -------- --------
Class D:
Shares issued -- -- -- --
Shares issued in lieu of cash distributions -- -- -- --
Shares repurchased -- (1) -- (6)
------- ------- -------- --------
Total Class D transactions -- (1) -- (6)
------- ------- -------- --------
Increase (Decrease) in capital shares 666 106 (2,042) (2,740)
======= ======= ======== ========
</TABLE>
<TABLE>
<CAPTION>
-------------------- --------------------
CORPORATE
DAILY
GNMA INCOME
PORTFOLIO PORTFOLIO
-------------------- --------------------
1998 1997 1998 1997
-------------------- --------------------
OPERATIONS:
<S> <C> <C> <C> <C>
Net investment income $ 5,718 $ 8,337 $ 3,276 $ 2,734
Net realized gain (loss) from security transactions (238) (414) 16 57
Net change in unrealized appreciation (depreciation) of investments 2,151 (2,894) 306 (334)
-------- -------- -------- --------
Net increase in net assets from operations 7,631 5,029 3,598 2,457
-------- -------- -------- --------
DIVIDENDS DISTRIBUTED FROM:
Net investment income:
Class A (5,727) (8,333) (3,276) (2,734)
Class B -- -- -- --
Class D -- (4) -- --
Net realized gains:
Class A -- -- -- (56)
Class B -- -- -- --
Class D -- -- -- --
-------- -------- -------- --------
Total dividends distributed (5,727) (8,337) (3,276) (2,790)
-------- -------- -------- --------
CAPITAL SHARE TRANSACTIONS:
Class A:
Proceeds from shares issued 19,575 27,248 48,243 32,404
Reinvestment of cash distributions 1,754 1,950 2,003 1,781
Cost of shares repurchased (47,328) (60,395) (36,780) (26,608)
-------- -------- -------- --------
Increase (decrease) in net assets from Class A transactions (25,999) (31,197) 13,466 7,577
-------- -------- -------- --------
Class B:
Proceeds from shares issued -- -- -- --
Reinvestment of cash distributions -- -- -- --
Cost of shares repurchased -- (14) -- --
-------- -------- -------- --------
Decrease in net assets from Class B transactions -- (14) -- --
-------- -------- -------- --------
Class D:
Proceeds from shares issued -- -- -- --
Reinvestment of cash distributions -- 3 -- --
Cost of shares repurchased -- (164) -- --
-------- -------- -------- --------
Decrease in net assets from Class D transactions -- (161) -- --
-------- -------- -------- --------
INCREASE (DECREASE) IN NET ASSETS DERIVED FROM CAPITAL SHARE TRANSACTIONS (25,999) (31,372) 13,466 7,577
-------- -------- -------- --------
Net increase (decrease) in net assets (24,095) (34,680) 13,788 7,244
-------- -------- -------- --------
NET ASSETS:
Beginning of Period 101,887 136,567 55,783 48,539
-------- -------- -------- --------
End of Period $ 77,792 $101,887 $ 69,571 $ 55,783
======== ======== ======== ========
CAPITAL SHARE TRANSACTIONS:
Class A:
Shares issued 2,021 2,840 24,250 16,320
Shares issued in lieu of cash distributions 181 205 1,008 897
Shares repurchased (4,898) (6,326) (18,508) (13,400)
-------- -------- -------- --------
Total Class A transactions (2,696) (3,281) 6,750 3,817
-------- -------- -------- --------
Class B:
Shares issued -- -- -- --
Shares issued in lieu of cash distributions -- -- -- --
Shares repurchased -- (2) -- --
-------- -------- -------- --------
Total Class B transactions -- (2) -- --
-------- -------- -------- --------
Class D:
Shares issued -- -- -- --
Shares issued in lieu of cash distributions -- -- -- --
Shares repurchased -- (16) -- --
-------- -------- -------- --------
Total Class D transactions -- (16) -- --
-------- -------- -------- --------
Increase (Decrease) in capital shares (2,696) (3,299) 6,750 3,817
======== ======== ======== ========
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
30 & 31
<PAGE>
<TABLE>
<CAPTION>
FINANCIAL HIGHLIGHTS
====================================================================================================================================
SEI DAILY INCOME TRUST -- FOR THE YEARS ENDED JANUARY 31
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
RATIO OF
NET
NET ASSET NET REALIZED AND DISTRIBUTIONS DISTRIBUTIONS RATIO OF INVESTMENT
VALUE NET UNREALIZED FROM NET FROM NET ASSET NET ASSETS EXPENSES INCOME
BEGINNING INVESTMENT GAINS (LOSSES) INVESTMENT REALIZED CAPITAL VALUE END TOTAL END OF TO AVERAGE TO AVERAGE
OF PERIOD INCOME ON SECURITIES INCOME GAINS OF PERIOD RETURN PERIOD (000) NET ASSETS NET ASSETS
- ------------------------------------------------------------------------------------------------------------------------------------
- ----------------------
MONEY MARKET PORTFOLIO
- ----------------------
CLASS A
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
1998 $1.00 $0.06 $ -- $(0.06) $ -- $1.00 5.65% $ 721,035 0.18% 5.51%
1997 1.00 0.05 -- (0.05) -- 1.00 5.44 369,052 0.16 5.33
1996 1.00 0.06 -- (0.06) -- 1.00 5.98 95,891 0.20 5.88
1995 1.00 0.04 -- (0.04) -- 1.00 4.55 213,988 0.21 4.49
1994 1.00 0.03 -- (0.03) -- 1.00 2.98 203,803 0.35 2.95
1993 1.00 0.04 -- (0.04) -- 1.00 3.60 264,450 0.35 3.56
CLASS B
1998(1) $1.00 $0.03 $ -- $(0.03) $ -- $1.00 5.29% $ 7,383 0.48% 5.26%
1997 1.00 0.05 -- (0.05) -- 1.00 5.13 770 0.50 4.96
1996 1.00 0.06 -- (0.06) -- 1.00 5.67 6,616 0.50 5.53
1995 1.00 0.04 -- (0.04) -- 1.00 4.24 6,314 0.51 4.49
1994 1.00 0.03 -- (0.03) -- 1.00 2.68 2,334 0.65 2.65
1993 1.00 0.04 -- (0.04) -- 1.00 3.29 309 0.65 3.47
CLASS C
1998 $1.00 $0.05 $ -- $(0.05) $ -- $1.00 5.12% $ 86,922 0.68% 5.02%
1997 1.00 0.05 -- (0.05) -- 1.00 4.92 30,528 0.66 4.84
1996(2) 1.00 0.04 -- (0.04) -- 1.00 3.79+ 2,460 0.70 5.17
- --------------------
GOVERNMENT PORTFOLIO
- --------------------
CLASS A
1998 $1.00 $0.05 $ -- $(0.05) $ -- $1.00 5.52% $ 142,929 0.20% 5.40%
1997 1.00 0.05 -- (0.05) -- 1.00 5.33 116,373 0.20 5.22
1996(3) 1.00 0.01 -- (0.01) -- 1.00 1.48+ 48,762 0.20 5.55
1994(4) 1.00 0.01 -- (0.01) -- 1.00 3.22 -- 0.20 3.04
1993(5) 1.00 0.03 -- (0.03) -- 1.00 3.19 20,022 0.20 3.41
CLASS B
1998 $1.00 $0.05 $ -- $(0.05) $ -- $1.00 5.21% $ 29,102 0.50% 5.06%
1997 1.00 0.05 -- (0.05) -- 1.00 5.02 53,144 0.50 4.91
1996(6) 1.00 0.02 -- (0.02) -- 1.00 2.39+ 14,997 0.50 5.27
CLASS C
1998(7) $1.00 $0.03 $ -- $(0.03) $ -- $1.00 5.01% $ 25,341 0.70% 4.94%
CNI CLASS
1998 $1.00 $0.05 $ -- $(0.05) $ -- $1.00 4.84% $ 908,197 0.85% 4.75%
1997 1.00 0.05 -- (0.05) -- 1.00 4.69 617,186 0.82 4.59
1996 1.00 0.05 -- (0.05) -- 1.00 5.39 542,936 0.70 5.23
1995(8) 1.00 0.03 -- (0.03) -- 1.00 3.41+ 310,835 0.70 4.32
- -----------------------
GOVERNMENT II PORTFOLIO
- -----------------------
CLASS A
1998 $1.00 $0.05 $ -- $(0.05) $ -- $1.00 5.45% $ 863,427 0.20% 5.32%
1997 1.00 0.05 -- (0.05) -- 1.00 5.29 762,015 0.20 5.17
1996 1.00 0.06 -- (0.06) -- 1.00 5.83 810,365 0.20 5.69
1995 1.00 0.04 -- (0.04) -- 1.00 4.39 786,405 0.20 4.33
1994 1.00 0.03 -- (0.03) -- 1.00 3.02 738,040 0.20 2.98
1993 1.00 0.04 -- (0.04) -- 1.00 3.57 664,540 0.20 3.48
CLASS B
1998 $1.00 $0.05 $ -- $(0.05) $ -- $1.00 5.14% $ 31,851 0.50% 5.02%
1997 1.00 0.05 -- (0.05) -- 1.00 4.98 16,323 0.50 4.87
1996 1.00 0.05 -- (0.05) -- 1.00 5.52 19,678 0.50 5.41
1995 1.00 0.04 -- (0.04) -- 1.00 4.08 15,201 0.50 4.33
1994 1.00 0.03 -- (0.03) -- 1.00 2.71 21,462 0.50 2.68
1993 1.00 0.03 -- (0.03) -- 1.00 3.26 338 0.50 3.35
CLASS C
1998 $1.00 $0.05 $ -- $(0.05) $ -- $1.00 4.93% $ 35,272 0.70% 4.82%
1997(9) 1.00 0.01 -- (0.01) -- 1.00 4.71 6,359 0.70 4.69
- --------------------------
PRIME OBLIGATION PORTFOLIO
- --------------------------
CLASS A
1998 $1.00 $0.05 $ -- $(0.05) $ -- $1.00 5.59% $3,247,562 0.20% 5.46%
1997 1.00 0.05 -- (0.05) -- 1.00 5.38 2,626,360 0.20 5.26
1996 1.00 0.06 -- (0.06) -- 1.00 5.96 2,441,662 0.20 5.82
1995 1.00 0.04 -- (0.04) -- 1.00 4.46 2,778,326 0.20 4.41
1994 1.00 0.03 -- (0.03) -- 1.00 3.10 2,541,126 0.20 3.07
1993 1.00 0.04 -- (0.04) -- 1.00 3.72 2,564,340 0.20 3.62
</TABLE>
<TABLE>
<CAPTION>
RATIO OF
NET
RATIO OF INVESTMENT
EXPENSES INCOME
TO AVERAGE TO AVERAGE
NET ASSETS NET ASSETS
(EXCLUDING (EXCLUDING
WAIVERS) WAIVERS)
- ----------------------------------
- ----------------------
MONEY MARKET PORTFOLIO
- ----------------------
CLASS A
<S> <C> <C>
1998 0.66% 5.03%
1997 0.63 4.86
1996 0.45 5.63
1995 0.45 4.25
1994 0.44 2.86
1993 0.39 3.52
CLASS B
1998(1) 0.72% 5.02%
1997 0.76 4.70
1996 0.75 5.28
1995 0.75 4.25
1994 0.74 2.56
1993 0.69 3.43
CLASS C
1998 0.92% 4.78%
1997 0.92 4.58
1996(2) 0.96 4.91
- --------------------
GOVERNMENT PORTFOLIO
- --------------------
CLASS A
1998 0.56% 5.04%
1997 0.55 4.87
1996(3) 0.33 5.42
1994(4) 0.37 2.87
1993(5) 0.38 3.23
CLASS B
1998 0.61% 4.95%
1997 0.62 4.79
1996(6) 0.63 5.14
CLASS C
1998(7) 0.81% 4.83%
CNI CLASS
1998 1.06% 4.54%
1997 1.03 4.38
1996 0.84 5.09
1995(8) 0.89 4.13
- -----------------------
GOVERNMENT II PORTFOLIO
- -----------------------
CLASS A
1998 0.51% 5.01%
1997 0.45 4.92
1996 0.29 5.60
1995 0.30 4.23
1994 0.29 2.89
1993 0.29 3.39
CLASS B
1998 0.56% 4.96%
1997 0.56 4.81
1996 0.59 5.32
1995 0.60 4.23
1994 0.60 2.58
1993 0.59 3.26
CLASS C
1998 0.76% 4.76%
1997(9) 0.75 4.64
- --------------------------
PRIME OBLIGATION PORTFOLIO
- --------------------------
CLASS A
1998 0.51% 5.15%
1997 0.45 5.01
1996 0.29 5.73
1995 0.30 4.31
1994 0.28 2.98
1993 0.30 3.52
</TABLE>
32
<PAGE>
<TABLE>
<CAPTION>
RATIO OF
NET
NET ASSET NET REALIZED AND DISTRIBUTIONS DISTRIBUTIONS RATIO OF INVESTMENTE
VALUE NET UNREALIZED FROM NET FROM NET ASSET NET ASSETS EXPENSES INCOME
BEGINNING INVESTMENT GAINS (LOSSES) INVESTMENT REALIZED CAPITAL VALUE END TOTAL END OF TO AVERAGE TO AVERAGE
OF PERIOD INCOME ON SECURITIES INCOME GAINS OF PERIOD RETURN PERIOD (000) NET ASSETS NET ASSETS
- ------------------------------------------------------------------------------------------------------------------------------------
- --------------------------------------
PRIME OBLIGATION PORTFOLIO (CONCLUDED)
- --------------------------------------
CLASS B
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
1998 $1.00 $0.05 $ -- $(0.05) $ -- $1.00 5.27% $186,572 0.50% 5.16%
1997 1.00 0.05 -- (0.05) -- 1.00 5.07 146,267 0.50 4.95
1996 1.00 0.06 -- (0.06) -- 1.00 5.65 174,779 0.50 5.38
1995 1.00 0.04 -- (0.04) -- 1.00 4.15 21,852 0.50 4.55
1994 1.00 0.03 -- (0.03) -- 1.00 2.79 6,312 0.50 2.77
1993 1.00 0.04 -- (0.04) -- 1.00 3.41 4,699 0.47 3.63
CLASS C
1998 $1.00 $0.05 $ -- $(0.05) $ -- $1.00 5.06% $207,908 0.70% 5.02%
1997(10) 1.00 0.04 -- (0.04) -- 1.00 4.85 4,332 0.70 4.79
1995(11) 1.00 0.03 -- (0.03) -- 1.00 2.55+ -- 0.70 2.79
1994 1.00 0.03 -- (0.03) -- 1.00 2.59 20,602 0.70 2.57
1993(12) 1.00 0.03 -- (0.03) -- 1.00 3.13 85,325 0.70 3.05
- ------------------
TREASURY PORTFOLIO
- ------------------
CLASS A
1998 $1.00 $0.05 $ -- $(0.05) $ -- $1.00 5.49% $187,790 0.20% 5.36%
1997 1.00 0.05 -- (0.05) -- 1.00 5.32 67,924 0.20 5.19
1996 1.00 0.06 -- (0.06) -- 1.00 5.89 54,820 0.20 5.72
1995 1.00 0.04 -- (0.04) -- 1.00 4.29 39,129 0.20 4.17
1994 1.00 0.03 -- (0.03) -- 1.00 3.00 46,296 0.20 2.96
1993(13) 1.00 0.01 -- (0.01) -- 1.00 2.91 44,624 0.20 2.89
CLASS B
1998(16)$1.00 $0.03 $ -- $(0.03) $ -- $1.00 5.18% $ 68,089 0.50% 5.13%
CLASS C
1998 $1.00 $0.05 $ -- $(0.05) $ -- $1.00 4.96% $ 53,768 0.70% 4.86%
1997 1.00 0.05 -- (0.05) -- 1.00 4.80 24,904 0.70 4.70
1996(14) 1.00 0.03 -- (0.03) -- 1.00 2.68+ 14,691 0.70 5.12
SWEEP CLASS
1998(17)$1.00 $0.02 $ -- $(0.02) $ -- $1.00 4.74% $ 69,066 0.95% 4.71%
- ---------------------
TREASURY II PORTFOLIO
- ---------------------
CLASS A
1998 $1.00 $0.05 $ -- $(0.05) $ -- $1.00 5.20% $748,061 0.25% 5.08%
1997 1.00 0.05 -- (0.05) -- 1.00 5.07 780,718 0.25 4.96
1996 1.00 0.05 -- (0.05) -- 1.00 5.58 418,250 0.25 5.44
1995 1.00 0.04 -- (0.04) -- 1.00 4.17 397,682 0.25 4.11
1994 1.00 0.03 -- (0.03) -- 1.00 2.88 364,334 0.25 2.84
1993 1.00 0.03 -- (0.03) -- 1.00 3.46 352,435 0.25 3.40
CLASS B
1998 $1.00 $0.05 $ -- $(0.05) $ -- $1.00 4.88% $ 69,572 0.55% 4.78%
1997 1.00 0.05 -- (0.05) -- 1.00 4.76 54,148 0.55 4.65
1996 1.00 0.05 -- (0.05) -- 1.00 5.27 26,447 0.55 5.18
1995 1.00 0.04 -- (0.04) -- 1.00 3.86 44,680 0.55 3.71
1994 1.00 0.03 -- (0.03) -- 1.00 2.57 22,448 0.55 2.54
1993 1.00 0.03 -- (0.03) -- 1.00 3.15 6,038 0.55 3.42
CLASS C
1998 $1.00 $0.05 $ -- $(0.05) $ -- $1.00 4.67% $ 11,843 0.75% 4.58%
1997 1.00 0.04 -- (0.04) -- 1.00 4.55 4,528 0.75 4.45
1996(15) 1.00 0.04 -- (0.04) -- 1.00 3.64+ 3,935 0.75 4.85
</TABLE>
<TABLE>
<CAPTION>
RATIO OF
NET
RATIO OF INVESTMENT
EXPENSES INCOME
TO AVERAGE TO AVERAGE
NET ASSETS NET ASSETS
(EXCLUDING (EXCLUDING
WAIVERS) WAIVERS)
- ---------------------------------------
- --------------------------------------
PRIME OBLIGATION PORTFOLIO (CONCLUDED)
- --------------------------------------
CLASS B
<S> <C> <C>
1998 0.56% 5.10%
1997 0.56 4.89
1996 0.58 5.30
1995 0.60 4.45
1994 0.58 2.68
1993 0.53 3.57
CLASS C
1998 0.76% 4.96%
1997(10) 0.74 4.75
1995(11) 0.77 2.72
1994 0.78 2.48
1993(12) 0.83 2.92
- -----------
TREASURY PORTFOLIO
- ------------------
CLASS A
1998 0.59% 4.97%
1997 0.60 4.79
1996 0.36 5.56
1995 0.34 4.03
1994 0.33 2.82
1993(13) 0.42 2.67
CLASS B
1998(16) 0.64% 4.99%
CLASS C
1998 0.84% 4.72%
1997 0.90 4.50
1996(14) 0.87 4.95
SWEEP CLASS
1998(17) 1.08% 4.58%
- ---------------------
TREASURY II PORTFOLIO
- ---------------------
CLASS A
1998 0.56% 4.77%
1997 0.52 4.69
1996 0.34 5.35
1995 0.35 4.01
1994 0.34 2.76
1993 0.34 3.31
CLASS B
1998 0.61% 4.72%
1997 0.63 4.57
1996 0.64 5.09
1995 0.65 3.61
1994 0.64 2.46
1993 0.64 3.33
CLASS C
1998 0.81% 4.52%
1997 0.82 4.38
1996(15) 0.84 4.76
<FN>
+ RETURNS ARE FOR THE PERIOD INDICATED AND HAVE NOT 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 GOVERNMENT CLASS A SHARES WERE RE-OFFERED BEGINNING OCTOBER 27, 1995. ALL RATIOS FOR THAT PERIOD HAVE BEEN ANNUALIZED.
4 GOVERNMENT CLASS A SHARES WERE FULLY LIQUIDATED JUNE 2, 1993. ALL RATIOS AND TOTAL RETURN FOR THAT PERIOD HAVE BEEN ANNUALIZED.
5 GOVERNMENT CLASS A SHARES WERE OFFERED BEGINNING MARCH 8, 1992. ALL RATIOS AND TOTAL RETURN FOR THAT PERIOD HAVE BEEN ANNUALIZED.
6 GOVERNMENT CLASS B SHARES WERE OFFERED BEGINNING AUGUST 22, 1995. ALL RATIOS FOR THAT PERIOD HAVE BEEN ANNUALIZED.
7 GOVERNMENT CLASS C SHARES WERE OFFERED BEGINNING JULY 1, 1997. ALL RATIOS AND TOTAL RETURN FOR THAT PERIOD HAVE BEEN ANNUALIZED.
8 GOVERNMENT CNI CLASS (FORMERLY CLASS G & C) SHARES WERE OFFERED BEGINNING APRIL 7, 1994. ALL RATIOS FOR THAT PERIOD HAVE BEEN
ANNUALIZED.
9 GOVERNMENT II CLASS C SHARES WERE OFFERED BEGINNING NOVEMBER 27, 1996. ALL RATIOS AND TOTAL RETURN FOR THAT PERIOD HAVE BEEN
ANNUALIZED.
10 PRIME OBLIGATION CLASS C SHARES WERE RE-OFFERED BEGINNING APRIL 30, 1996. ALL RATIOS AND TOTAL RETURN FOR THE PERIOD HAVE BEEN
ANNUALIZED.
11 PRIME OBLIGATION CLASS C SHARES WERE FULLY LIQUIDATED OCTOBER 27, 1994. ALL RATIOS FOR THAT PERIOD HAVE BEEN ANNUALIZED.
12 PRIME OBLIGATION CLASS C SHARES WERE OFFERED BEGINNING MARCH 25, 1992. ALL RATIOS AND TOTAL RETURN FOR THAT PERIOD HAVE BEEN
ANNUALIZED.
13 TREASURY CLASS A SHARES WERE OFFERED BEGINNING SEPTEMBER 30, 1992. ALL RATIOS AND TOTAL RETURN FOR THAT PERIOD HAVE BEEN
ANNUALIZED.
14 TREASURY CLASS C SHARES WERE OFFERED BEGINNING JULY 27, 1995. ALL RATIOS FOR THAT PERIOD HAVE BEEN ANNUALIZED.
15 TREASURY II CLASS C SHARES WERE OFFERED BEGINNING MAY 8, 1995. ALL RATIOS FOR THAT PERIOD HAVE BEEN ANNUALIZED.
16 TREASURY CLASS B SHARES WERE OFFERED BEGINNING AUGUST 4, 1997. ALL RATIOS AND TOTAL RETURN FOR THAT PERIOD HAVE BEEN ANNUALIZED.
17 TREASURY SWEEP CLASS SHARES WERE OFFERED BEGINNING AUGUST 1, 1997. ALL RATIOS AND TOTAL RETURN FOR THAT PERIOD HAVE BEEN
ANNUALIZED.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
</FN>
</TABLE>
33
<PAGE>
<TABLE>
<CAPTION>
FINANCIAL HIGHLIGHTS (concluded)
====================================================================================================================================
SEI DAILY INCOME TRUST -- FOR THE YEARS ENDED JANUARY 31
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
RATIO OF
NET
NET ASSET NET REALIZED AND DISTRIBUTIONS DISTRIBUTIONS RATIO OF INVESTMENT
VALUE NET UNREALIZED FROM NET FROM NET ASSET NET ASSETS EXPENSES INCOME
BEGINNING INVESTMENT GAINS (LOSSES) INVESTMENT REALIZED CAPITAL VALUE END TOTAL END OF TO AVERAGE TO AVERAGE
OF PERIOD INCOME ON SECURITIES INCOME GAINS OF PERIOD RETURN PERIOD (000) NET ASSETS NET ASSETS
- ------------------------------------------------------------------------------------------------------------------------------------
- -----------------------------------
SHORT-DURATION GOVERNMENT PORTFOLIO
- -----------------------------------
CLASS A
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
1998 $ 9.95 $0.59 $0.11 $(0.59) $ -- $10.06 7.23% $ 81,014 0.45% 5.91%
1997 10.09 0.57 (0.12) (0.59) -- 9.95 4.62 73,545 0.45 5.72
1996 9.73 0.61 0.36 (0.61) -- 10.09 10.27 73,431 0.45 6.13
1995 10.06 0.40 (0.32) (0.40) (0.01) 9.73 0.93 99,458 0.45 4.12
1994 10.13 0.40 0.04 (0.40) (0.11) 10.06 4.41 128,063 0.45 3.98
1993 10.09 0.52 0.14 (0.52) (0.10) 10.13 6.66 100,153 0.45 5.04
CLASS B
1998 $ 9.94 $0.56 $0.10 $(0.56) $ -- $10.04 6.82% $ 13 0.75% 5.61%
1997 10.07 0.55 (0.12) (0.56) -- 9.94 4.40 13 0.75 5.49
1996 9.71 0.58 0.36 (0.58) -- 10.07 9.94 39 0.75 5.85
1995 10.04 0.38 (0.32) (0.38) (0.01) 9.71 0.70 131 0.75 3.92
1994 10.13 0.37 0.02 (0.37) (0.11) 10.04 3.93 37 0.75 3.67
1993 10.09 0.48 0.14 (0.48) (0.10) 10.13 6.34 135 0.75 4.74
CLASS D*
1997(1)$10.09 $0.23 $(0.19) $(0.23) $ -- $ 9.90 0.35%+ $ -- 0.85% 5.54%
1996(2) 9.83 0.54 0.26 (0.54) -- 10.09 8.31+ 11 0.85 5.86
- ------------------------------------------
INTERMEDIATE-DURATION GOVERNMENT PORTFOLIO
- ------------------------------------------
CLASS A
1998 $ 9.78 $0.58 $0.29 $(0.58) $ -- $10.07 9.15% $117,107 0.50% 5.85%
1997 10.06 0.55 (0.28) (0.55) -- 9.78 2.81 133,675 0.49 5.59
1996 9.33 0.60 0.73 (0.60) -- 10.06 14.60 164,978 0.45 6.12
1995 10.13 0.50 (0.73) (0.50) (0.07) 9.33 (2.19) 243,671 0.45 5.20
1994 10.23 0.54 0.11 (0.54) (0.21) 10.13 6.44 336,814 0.45 5.24
1993 10.06 0.62 0.28 (0.62) (0.11) 10.23 9.51 259,488 0.45 6.16
CLASS B
1996(3)$ 9.33 $0.50 $0.65 $(0.50) $ -- $ 9.98 12.26%+ $ -- 0.75% 5.82%
1995(4) 9.64 0.31 (0.24) (0.31) (0.07) 9.33 0.61+ 93 0.75 5.07
CLASS D*
1997(5)$10.05 $0.20 $(0.40) $(0.20) $ -- $ 9.65 (1.93)%+ $ -- 0.87% 5.19%
1996 9.32 0.56 0.73 (0.56) -- 10.05 14.15 60 0.85 5.73
1995 10.13 0.47 (0.74) (0.47) (0.07) 9.32 (2.61) 99 0.84 4.80
1994(6) 10.44 0.17 (0.10) (0.17) (0.21) 10.13 1.52 107 0.75 4.94
- --------------
GNMA PORTFOLIO
- --------------
CLASS A
1998 $ 9.63 $0.64 $0.24 $(0.64) $ -- $ 9.87 9.52% $ 77,792 0.60% 6.65%
1997 9.84 0.65 (0.21) (0.65) -- 9.63 4.70 101,887 0.57 6.76
1996 9.17 0.67 0.67 (0.67) -- 9.84 15.06 136,394 0.49 7.04
1995 10.07 0.64 (0.90) (0.64) -- 9.17 (2.46) 182,225 0.47 6.89
1994 10.22 0.66 (0.06) (0.66) (0.09) 10.07 6.09 262,162 0.45 6.38
1993 9.99 0.75 0.27 (0.75) (0.04) 10.22 10.92 193,204 0.45 7.49
</TABLE>
<TABLE>
<CAPTION>
RATIO OF
NET
RATIO OF INVESTMENT
EXPENSES INCOME
TO AVERAGE TO AVERAGE
NET ASSETS NET ASSETS PORTFOLIO
(EXCLUDING (EXCLUDING TURNOVER
WAIVERS) WAIVERS) RATE
- ------------------------------------------
- -----------------------------------
SHORT-DURATION GOVERNMENT PORTFOLIO
- -----------------------------------
CLASS A
<S> <C> <C> <C>
1998 0.76% 5.60% 166%
1997 0.70 5.47 145
1996 0.53 6.05 184
1995 0.52 4.05 45
1994 0.52 3.91 105
1993 0.55 4.94 80
CLASS B
1998 0.81% 5.55% 166%
1997 0.82 5.42 145
1996 0.83 5.77 184
1995 0.82 3.85 45
1994 0.82 3.60 105
1993 0.85 4.64 80
CLASS D*
1997(1) 0.94% 5.45% 87%
1996(2) 0.93 5.78 184
- ------------------------------------------
INTERMEDIATE-DURATION GOVERNMENT PORTFOLIO
- ------------------------------------------
CLASS A
1998 0.76% 5.59% 57%
1997 0.69 5.39 94
1996 0.53 6.04 115
1995 0.52 5.13 61
1994 0.53 5.16 56
1993 0.53 6.08 52
CLASS B
1996(3) 0.83% 5.74% 115%
1995(4) 0.83 4.99 61
CLASS D*
1997(5) 0.93% 5.13% 45%
1996 0.93 5.65 115
1995 0.92 4.72 61
1994(6) 0.83 4.86 56
- --------------
GNMA PORTFOLIO
- --------------
CLASS A
1998 0.75% 6.50% 4%
1997 0.68 6.65 12
1996 0.51 7.02 20
1995 0.50 6.86 85
1994 0.50 6.32 70
1993 0.52 7.42 23
</TABLE>
34
<PAGE>
<TABLE>
<CAPTION>
RATIO OF
NET
NET ASSET NET REALIZED AND DISTRIBUTIONS DISTRIBUTIONS RATIO OF INVESTMENT
VALUE NET UNREALIZED FROM NET FROM NET ASSET NET ASSETS EXPENSES INCOME
BEGINNING INVESTMENT GAINS (LOSSES) INVESTMENT REALIZED CAPITAL VALUE END TOTAL END OF TO AVERAGE TO AVERAGE
OF PERIOD INCOME ON SECURITIES INCOME GAINS OF PERIOD RETURN PERIOD (000) NET ASSETS NET ASSETS
- ------------------------------------------------------------------------------------------------------------------------------------
- --------------------------
GNMA PORTFOLIO (CONCLUDED)
- --------------------------
CLASS B
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
1997(7) $ 9.84 $0.28 $(0.46) $(0.28) $ -- $ 9.38 (1.88)%+ $ -- 0.78% 6.54%
1996 9.17 0.64 0.67 (0.64) -- 9.84 14.72 15 0.79 6.71
1995(8) 9.16 0.35 0.01 (0.35) -- 9.17 4.00+ 14 0.79 6.80
CLASS D*
1997(9) $ 9.83 $0.25 $(0.38) $(0.25) $ -- $ 9.45 (1.32)%+ $ -- 0.89% 6.46%
1996 9.16 0.63 0.67 (0.63) -- 9.83 14.61 158 0.89 6.62
1995 10.09 0.61 (0.93) (0.61) -- 9.16 (3.04) 169 0.86 6.54
1994(10) 10.22 0.19 (0.04) (0.19) (0.09) 10.09 4.24 133 0.75 6.06
- --------------------------------
CORPORATE DAILY INCOME PORTFOLIO
- --------------------------------
CLASS A
1998 $ 1.99 $0.11 $ 0.01 $(0.11) $ -- $ 2.00 6.29% $69,571 0.35% 5.61%
1997 2.00 0.11 (0.01) (0.11) -- 1.99 5.21 55,783 0.36 5.49
1996 1.96 0.12 0.05 (0.12) (0.01) 2.00 8.65 48,539 0.35 5.97
1995 2.00 0.09 (0.04) (0.09) -- 1.96 2.59 50,495 0.35 4.60
1994(11) 2.00 0.02 -- (0.02) -- 2.00 3.45 43,655 0.35 3.45
</TABLE>
<TABLE>
<CAPTION>
RATIO OF
NET
RATIO OF INVESTMENT
EXPENSES INCOME
TO AVERAGE TO AVERAGE
NET ASSETS NET ASSETS PORTFOLIO
(EXCLUDING (EXCLUDING TURNOVER
WAIVERS) WAIVERS) RATE
- --------------------------------------------
- --------------------------
GNMA PORTFOLIO (CONCLUDED)
- --------------------------
CLASS B
<S> <C> <C> <C>
1997(7) 0.80% 6.52% 7%
1996 0.81 6.69 20
1995(8) 0.82 6.77 85
CLASS D*
1997(9) 0.91% 6.44% 6%
1996 0.91 6.60 20
1995 0.89 6.51 85
1994(10) 0.80 6.01 70
- --------------------------------
CORPORATE DAILY INCOME PORTFOLIO
- --------------------------------
CLASS A
1998 0.76% 5.20% 108%
1997 0.73 5.12 141
1996 0.55 5.77 295
1995 0.55 4.40 147
1994(11) 0.63 3.18 34
<FN>
* TOTAL RETURN DOES NOT REFLECT THE SALES CHARGE ON THE CLASS D (FORMERLY PROVANTAGE) SHARES.
+ RETURNS ARE FOR THE PERIOD INDICATED AND HAVE NOT BEEN ANNUALIZED.
1 SHORT-DURATION GOVERNMENT CLASS D SHARES WERE FULLY LIQUIDATED JUNE 28, 1996. ALL RATIOS FOR THAT PERIOD HAVE BEEN ANNUALIZED.
2 SHORT-DURATION GOVERNMENT CLASS D SHARES WERE OFFERED BEGINNING FEBRUARY 28, 1995. ALL RATIOS FOR THAT PERIOD HAVE
BEEN ANNUALIZED.
3 INTERMEDIATE-DURATION GOVERNMENT CLASS B SHARES WERE FULLY LIQUIDATED DECEMBER 22, 1995. ALL RATIOS FOR THAT PERIOD HAVE
BEEN ANNUALIZED.
4 INTERMEDIATE-DURATION GOVERNMENT CLASS B SHARES WERE OFFERED BEGINNING JUNE 8, 1994. ALL RATIOS FOR THAT PERIOD HAVE BEEN
ANNUALIZED.
5 INTERMEDIATE-DURATION GOVERNMENT CLASS D SHARES WERE FULLY LIQUIDATED JUNE 28, 1996. ALL RATIOS FOR THAT PERIOD HAVE BEEN
ANNUALIZED.
6 INTERMEDIATE-DURATION GOVERNMENT CLASS D SHARES WERE OFFERED BEGINNING SEPTEMBER 26, 1993. ALL RATIOS AND TOTAL RETURN FOR THAT
PERIOD HAVE BEEN ANNUALIZED.
7 GNMA CLASS B SHARES WERE FULLY LIQUIDATED JULY 10, 1996. ALL RATIOS FOR THAT PERIOD HAVE BEEN ANNUALIZED.
8 GNMA CLASS B SHARES WERE OFFERED BEGINNING JULY 12, 1994. ALL RATIOS AND TOTAL RETURN FOR THAT PERIOD HAVE BEEN ANNUALIZED.
9 GNMA CLASS D SHARES FULLY LIQUIDATED JUNE 28, 1996. ALL RATIOS FOR THAT PERIOD HAVE BEEN ANNUALIZED.
10 GNMA CLASS D SHARES WERE OFFERED BEGINNING SEPTEMBER 30, 1993. ALL RATIOS AND TOTAL RETURN FOR THAT PERIOD HAVE BEEN ANNUALIZED.
11 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.
</FN>
</TABLE>
35
<PAGE>
NOTES TO FINANCIAL STATEMENTS
================================================================================
SEI DAILY INCOME TRUST -- JANUARY 31, 1998
1. ORGANIZATION
SEI Daily Income Trust (the "Trust") was organized as a Massachusetts business
trust under a Declaration of Trust dated March 15, 1982.
The Trust is registered under the Investment Company Act of 1940, as
amended, as a diversified, open-end investment company with ten operational
Portfolios: the Money Market Portfolio, the Government Portfolio, the Government
II Portfolio, the Prime Obligation Portfolio, the Treasury Portfolio, the
Treasury II Portfolio (collectively the "Money Market Portfolios"), the
Short-Duration Government Portfolio (formerly the Short-Term Government
Portfolio), the Intermediate-Duration Government Portfolio (formerly the
Intermediate-Term Government Portfolio), the GNMA Portfolio, and the Corporate
Daily Income Portfolio (collectively the "Fixed Income Portfolios"). The
Portfolios' prospectus provides a description of each Portfolio's investment
objectives, policies and strategies. The assets of each portfolio are
segregated, and a shareholder's interest is limited to the Portfolio in which
shares are held.
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 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.
36
<PAGE>
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 Fund Management (the "Manager") provides management, administrative and
shareholder services to the Portfolios for an annual fee of .33% of the average
daily net assets of the Money Market Portfolio, .19% each of the average daily
net assets of the Government II and Prime Obligation Portfolios, .24% each of
the average daily net assets of the Government, Treasury and Treasury II
Portfolios, .35% each of the average daily net assets of the Short-Duration
Government, Intermediate-Duration Government and Corporate Daily Income
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 plans under which firms, including the Distributor,
37
<PAGE>
NOTES TO FINANCIAL STATEMENTS (continued)
================================================================================
SEI DAILY INCOME TRUST-- JANUARY 31, 1998
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. CoreStates Bank, N.A. serves
as custodian of the Government, Government II, Prime Obligation, Treasury II and
the Fixed Income Portfolios under an agreement dated August 30, 1985. The
custodians play no role in determining the investment policies of the Portfolios
or which securities are to be purchased or sold in the Portfolios.
38
<PAGE>
5. INVESTMENT TRANSACTIONS
The cost of security purchases and the proceeds from the sale of securities,
other than temporary investments in short-term securities for the year ended
January 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 $105,117 $63,638 $ 3,440 $21,020
Other -- -- -- 25,571
SALES
U.S. Government $110,470 $86,304 $24,645 $22,823
Other -- -- -- 6,190
At January 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 January 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 $ 593 $2,466 $2,016 $292
Aggregate gross
unrealized loss (38) (26) (277) (39)
----- ------ ------ ----
Net unrealized gain $ 555 $2,440 $1,739 $253
===== ====== ====== ====
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 January 31, 1998.
39
<PAGE>
REPORT OF INDEPENDENT PUBLIC ACCOUNTANTS
================================================================================
TO THE SHAREHOLDERS AND BOARD OF TRUSTEES OF SEI DAILY INCOME TRUST:
We have audited the accompanying statements of net assets of the Money Market,
Government, Government II, Prime Obligation, Treasury, Treasury II,
Short-Duration Government, Intermediate-Duration Government, GNMA, and Corporate
Daily Income Portfolios of the SEI Daily Income Trust (the "Trust") as of
January 31, 1998, and the related statements of operations, changes in net
assets and financial highlights for the periods presented. These financial
statements and financial highlights are the responsibility of the Trust's
management. Our responsibility is to express an opinion on these financial
statements and financial highlights based on our audits.
We conducted our audits in accordance with generally accepted auditing
standards. Those standards require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements and financial
highlights are free of material misstatement. An audit includes examining, on a
test basis, evidence supporting the amounts and disclosures in the financial
statements. Our procedures included confirmation of securities owned as of
January 31, 1998, by correspondence with the custodians and the application of
alternative auditing procedures with respect to unsettled securities
transactions. An audit also includes assessing the accounting principles used
and significant estimates made by management, as well as evaluating the overall
financial statement presentation. We believe that our audits provide a
reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to
above present fairly, in all material respects, the financial position of the
Money Market, Government, Government II, Prime Obligation, Treasury, Treasury
II, Short-Duration Government, Intermediate-Duration Government, GNMA, and
Corporate Daily Income Portfolios of the SEI Daily Income Trust as of January
31, 1998, the results of their operations, changes in their net assets, and
financial highlights for the periods presented, in conformity with generally
accepted accounting principles.
ARTHUR ANDERSEN LLP
Philadelphia, PA
March 6, 1998
40
<PAGE>
<TABLE>
<CAPTION>
NOTICE TO SHAREHOLDERS
====================================================================================================================================
JANUARY 31, 1998 (UNAUDITED)
FOR TAXPAYERS FILING ON A CALENDAR YEAR BASIS, THIS NOTICE IS FOR INFORMATIONAL
PURPOSES ONLY.
To the Shareholders of the SEI Daily Income Trust:
For the fiscal year ended January 31, 1998, each portfolio is designating long-term capital gains, and exempt income with
regard to distributions paid during the year as follows:
(A) (B)
LONG TERM ORDINARY (C) (E)
CAPITAL GAINS INCOME TOTAL (D) TAX
DISTRIBUTIONS DISTRIBUTIONS DISTRIBUTIONS QUALIFYING EXEMPT
PORTFOLIO (TAX BASIS) (TAX BASIS) (TAX BASIS) DIVIDENDS (1) INTEREST
-------------- ------------- ------------- ------------- ------------- --------
<S> <C> <C> <C> <C> <C>
Money Market 0% 100% 100% 0% 0%
Government 0% 100% 100% 0% 0%
Government II 0% 100% 100% 0% 0%
Prime Obligation 0% 100% 100% 0% 0%
Treasury 0% 100% 100% 0% 0%
Treasury II 0% 100% 100% 0% 0%
Short-Duration Government 0% 100% 100% 0% 0%
Intermediate-Duration Government 0% 100% 100% 0% 0%
GNMA 0% 100% 100% 0% 0%
Corporate Daily Income 0% 100% 100% 0% 0%
<FN>
** Items (A) and (B) are based on a percentage of the portfolios' total distributions.
** Items (D) and (E) are based on a percentage of ordinary income distribution of the portfolio.
(1) Qualifying dividends represent dividends which qualify for the corporate dividends received deduction.
Please consult your tax adviser for proper treatment of this information.
</FN>
</TABLE>
41
<PAGE>
NOTES
<PAGE>
NOTES
<PAGE>
NOTES
<PAGE>
======================
SEI DAILY INCOME TRUST
======================
ANNUAL REPORT
======================
JANUARY 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
Todd B. Cipperman
VICE PRESIDENT, ASSISTANT SECRETARY
Kathryn L. Stanton
VICE PRESIDENT, ASSISTANT SECRETARY
Mark E. Nagle
CONTROLLER, CHIEF FINANCIAL OFFICER
Sandra K. Orlow
VICE PRESIDENT, ASSISTANT SECRETARY
Kevin P. Robins
VICE PRESIDENT, ASSISTANT SECRETARY
Richard W. Grant
SECRETARY
INVESTMENT ADVISER
Wellington Management Company LLP
MANAGER AND SHAREHOLDER SERVICING AGENT
SEI Fund Management
DISTRIBUTOR
SEI Investments Distribution Co.
LEGAL COUNSEL
Morgan, Lewis & Bockius LLP
INDEPENDENT PUBLIC ACCOUNTANTS
Arthur Andersen LLP
THIS 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 (LOGO OMITTED)
INVESTMENTS
DISTRIBUTION
CO.
Oaks, PA 19456-1100
800-DIAL-SEI/800-342-5734
SEI-F-022-08
