ANNUAL REPORT AS OF
JANUARY 31, 1999
SEI DAILY
INCOME TRUST
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Money Market Fund
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Government Fund
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Government II Fund
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Prime Obligation Fund
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Treasury Fund
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Treasury II Fund
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Short-Duration Government Fund
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Intermediate-Duration Government Fund
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GNMA Fund
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Corporate Daily Income Fund
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[LOGO OMITTED] SEI INVESTMENTS
THE ART OF PEOPLE.
THE SCIENCE OF RESULTS.
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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.............................................. 10
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 ending January 1999 started and ended with confident and strong
spending by consumers, low unemployment, benign inflation and positive momentum
in the U.S. economy. However, the global crisis occurring in the summer was more
than just a quick interruption since the equity market collapsed and the
subsequent stampede to the safety and liquidity for Treasury securities sent
financial markets into a tailspin. The Federal Reserve responded by providing
much needed liquidity, easing the panic in the marketplace and confirming their
reputation as the leading central bank worldwide. They lowered rates three times
during the last quarter of 1998, ending the year at 4.75%.
With the three moves by the Federal Reserve, Wellington Management Company, LLP,
the adviser of the SEI Daily Income Trust, lengthened average weighted
maturities across the majority of the funds versus the last fiscal year.
For the money market investors, yields for the funds decreased over the previous
fiscal year, which was consistent with the marketplace. Growth in money market
funds for the 1998 year was the fastest rate in the 1990's. Total assets for all
money market funds increased to $1.4 trillion, as of January 1999.
Looking into the 1999 fiscal year, the strong economic growth evident at
year-end will keep the Federal Reserve on hold for the start of the new year.
The domestic economy should slow in coming months, as consumer spending, which
propelled growth last year, is likely to slow from its robust pace. Asia's
ongoing malaise, combined with Latin America's weakness, will continue to
depress an already struggling manufacturing sector. Falling import prices and a
proliferation of internet shopping will help keep inflation at low levels. 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, 1999
SEI DAILY INCOME TRUST MONEY MARKET FUNDS
MONEY MARKET PRIME OBLIGATION
GOVERNMENT TREASURY
GOVERNMENT II TREASURY II
SEI DAILY INCOME TRUST FIXED INCOME FUNDS
SHORT-DURATION GOVERNMENT GNMA
INTERMEDIATE-DURATION GOVERNMENT CORPORATE DAILY INCOME
WELLINGTON MANAGEMENT COMPANY IS THE INVESTMENT ADVISER OF THE SEI DAILY
INCOME TRUST MONEY MARKET AND FIXED INCOME FUNDS.
The year ended much the way it began, with confident and strong spending by
consumers, low unemployment, benign inflation and the U.S. economy with positive
momentum. However, the summer's global crisis was more than just a quick
interruption as the equity market collapse and stampede to the safety and
liquidity of Treasury securities sent financial markets into a tailspin. The
Federal Reserve responded to investors' fears gripping the markets by providing
much needed liquidity, and thus easing the panic in the marketplace and
confirming their reputation as the leading central bank worldwide. Following the
interest rate cut at the end of the third quarter, the Fed lowered short-term
interest rates two more times in the fourth quarter for a total reduction of 75
basis points, leaving the Fed Funds rate at 4.75%. In particular, the first of
this quarter's cuts was a surprise to the markets, coming between Fed meetings,
and was undoubtedly the principal catalyst for the broad market recovery.
However, there are still major obstacles ahead before all global economies are
on solid ground.
The money markets were not immune from the market upheaval. Even liquidity at
the short end of the yield curve became difficult. Spreads widened as brokerage
houses became less able, or willing, to provide the normal levels of liquidity
due to already mounting capital losses. Some firms had the added burden of
denying recurrent rumors of their own demise. Yields followed the Fed moves
down, yet asset flows into money market portfolios continued to be heavy,
topping out at a record $1.35 trillion for the year. Asset backed commercial
paper continued its rapid growth within the money market universe, and now
accounts for a third of the commercial paper outstanding. In addition, funding
agreements, while available for the last ten years, increased in popularity for
money market accounts as investors searched for additional yield.
The SEI Daily Income Trust Money Market Funds' strategic maturity management,
complimented by sector and security selection continued to preserve yield.
During the fiscal year, average weighted maturities were shifted to the longer
end of their respective ranges as the Federal Reserve assumed an easing mode and
lowered short-term interest rates. Significant relative value was identified in
the asset-backed commercial paper sector and positions were increased in those
accounts that permitted such investments. Agency discount notes were utilized in
place of commercial paper when spread relationships were as narrow, and this
allowed for increased liquidity to buy securities
3
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MONEY MARKET AND FIXED INCOME REVIEW
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SEI DAILY INCOME TRUST -- JANUARY 31, 1999
when rates increased. As market volatility increased during certain periods in
the year and spreads widened, the portfolios purchased floating rate issues. In
addition, discount notes were used as a tool to manage maturities within the
funds. Throughout the year, the portfolios took advantage of technical
inefficiencies in the market to lock in higher yields. Looking ahead, it is
expected that the strong economic growth evident at year-end will keep the
Federal Reserve on hold for the start of the 1999. It is expected that the
domestic economy will slow in coming months, as consumer spending, which
propelled growth last year, is likely to slow from its robust pace. Asia's
ongoing malaise, combined with Latin America's weakness, will continue to
depress an already struggling manufacturing sector. Falling import prices and a
proliferation of Internet shopping will help keep inflation at low levels.
4
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MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
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SEI DAILY INCOME TRUST -- JANUARY 31, 1999
SHORT-DURATION
GOVERNMENT FUND
WELLINGTON MANAGEMENT COMPANY, INVESTMENT ADVISER
OBJECTIVES. The Short-Duration Government Fund seeks to preserve principal
value and maintain a high degree of liquidity while providing current income.
The Fund 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 Fund is up to three years. The
Fund seeks to provide a higher level of sustainable income and total return than
money market investments, with limited principal fluctuations.
STRATEGY. The Fund'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 Fund 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 Fund, 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 1999, the Short-Duration Government
Fund, Class A, posted a 6.49% return compared to a 6.39% 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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6.49% 6.11% 5.86% 6.93% 6.71%
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COMPARISON OF CHANGE IN THE VALUE OF A $10,000 INVESTMENT IN THE SEI DAILY
INCOME TRUST SHORT-DURATION GOVERNMENT FUND, CLASS A, VERSUS THE MERRILL LYNCH
1-3 YEAR U.S. TREASURY INDEX
LINE GRAPH OMITTED -- PLOT POINTS AS FOLLOWS:
SDIT Short Dur. Gov't Bond, Merrill 1-3 Year
Class A U.S. Treasury Index
1/31/89 10,000 10,000
1/31/90 10,901 11,010
1/31/91 11,989 12,183
1/31/92 13,188 13,459
1/31/93 14,063 14,478
1/31/94 14,689 15,204
1/31/95 14,826 15,404
1/31/96 16,349 17,005
1/31/97 17,104 17,784
1/31/98 18,340 19,062
1/31/99 19,531 20,280
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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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6.28% 5.83% 5.58% 6.12%
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COMPARISON OF CHANGE IN THE VALUE OF A $10,000 INVESTMENT IN THE SEI DAILY
INCOME TRUST SHORT-DURATION GOVERNMENT FUND, CLASS B, VERSUS THE MERRILL LYNCH
1-3 YEAR U.S. TREASURY INDEX
LINE GRAPH OMITTED -- PLOT POINTS AS FOLLOWS:
SDIT Short Dur. Gov't Bond, Merrill 1-3 Year
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
1/31/99 16,213 17,003
1FOR THE PERIOD ENDED JANUARY 31, 1999. 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, 1999
During the falling interest rate environment experienced in the first and
second quarters, the Fund was positioned with a longer duration than its
benchmark, to take advantage of excess returns from yield declines. In the third
quarter, yield declines continued, but this time they were accompanied with
spread widening in non-Treasury sectors. Although equity markets suffered the
most, spread sectors in the fixed income market underperformed the safety and
liquidity of U.S. Treasuries. Exposure to these sectors hurt returns, however,
the longer duration posture offset these factors in the third quarter.
With spreads at near term highs despite economic fundamentals pointing to
a strong U.S. economy, the Fund took advantage of the spread widening by
increasing allocation to mortgage-backed securities. Duration was also trimmed
to enter the fourth quarter slightly shorter than that of the Index. The
repositioning paid off in the last few months of the year, as yields rose and
mortgage-backed issues outperformed Treasuries.
The outlook going forward is for a slowing economy as consumer spending,
which propelled growth last year, is likely to slow from its robust pace. Asia's
ongoing malaise combined with weakness in Latin America will continue to depress
an already struggling manufacturing sector. Falling import prices and a
proliferation of internet shipping should help keep inflation at low levels.
Even after recent narrowing in spreads, mortgages still remain attractive. The
Fund will look for an opportunity to extend duration when Treasury yields, rise,
reflecting the current strength in the domestic economy.
INTERMEDIATE-DURATION
GOVERNMENT FUND
WELLINGTON MANAGEMENT COMPANY, INVESTMENT ADVISER
OBJECTIVES. The Intermediate-Duration Government Fund (the "Fund") seeks
to preserve principal value and maintain a high degree of liquidity while
providing current income. The Fund 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 Fund is three
to five years. The Fund seeks to provide a higher level of sustainable income
and total return than money market investments, with limited fluctuations.
STRATEGY. The Fund'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 Fund
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, 1999, the
Intermediate-Duration Government Fund gained 7.46%, underperforming the Merrill
Lynch 3-5 Year Intermediate Treasury Index return of 8.03%. The Fund's barbelled
yield curve positioning was the primary detractor to relative performance as
Treasuries with maturities between
6
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INTERMEDIATE-DURATION GOVERNMENT(CONCLUDED)
3 and 5 years outpaced other maturity sectors. Investment outside this narrow
range hindered returns. Additionally, investment in sectors outside the Treasury
market hurt returns.
Depressed inflation and instability abroad pushed U.S. Treasury yields to
near term lows. Yield declines were fairly steady leading into the third quarter
as consumer confidence fell alongside key commodity prices. With the crisis in
Russia and global instability looming, the Treasury market benefited from
increased demand for security and liquidity in a global `flight to quality' as
investors shifted their capital from equity markets and riskier assets to the
relative safety of U.S. Treasuries. Even mortgage-backed securities felt the
pressure of spread widening as a any form of perceived risk fell out of favor in
the third quarter. Investment in agency notes and mortgage-backed securities
hampered returns, although security selection within the mortgage sector
mitigated this effect. Later in the year this trend was reversed, but not enough
to offset the effects of third quarter spread widening. Yields also rose in the
4th quarter of the year, however, the net effect left interest rates lower,
especially in the 3 to 5 year maturity range. Although the overall duration was
slightly longer than the Merrill 3-5 Year Intermediate Treasury Index, the
inherent barbell position dragged performance relative to the concentrated
duration positioning of the Index.
Going forward, allocations to mortgage-backed and agency sectors will
continue to be emphasized. Despite recent spread tightening, value in
non-Treasury sectors remains attractive. The Fund will maintain investment in
these sectors in the upcoming period.
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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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7.46% 6.44% 6.21% 7.93% 7.41%
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COMPARISON OF CHANGE IN THE VALUE OF A $10,000 INVESTMENT IN THE SEI DAILY
INCOME TRUST INTERMEDIATE-DURATION GOVERNMENT FUND, VERSUS THE
MERRILL LYNCH 3-5 YEAR U.S. TREASURY INDEX
LINE GRAPH OMITTED -- PLOT POINTS AS FOLLOWS:
SEI SDIT Intermediate Merrill 3-5 Year
Duration Gov't. Bond U.S. Treasury Index
1/31/89 10,000 10,000
1/31/90 10,994 11,108
1/31/91 12,210 12,425
1/31/92 13,607 13,995
1/31/93 14,898 15,557
1/31/94 15,857 16,761
1/31/95 15,512 16,417
1/31/96 17,776 18,906
1/31/97 18,276 19,462
1/31/98 19,948 21,270
1/31/99 21,978 22,978
1FOR THE PERIOD ENDED JANUARY 31, 1999. PAST PERFORMANCE IS NOT PREDICTIVE OF
FUTURE PERFORMANCE. CLASS A SHARES WERE OFFERED BEGINNING 2/17/87.
GNMA FUND
WELLINGTON MANAGEMENT COMPANY, INVESTMENT ADVISER
OBJECTIVES. The GNMA Fund (the "Fund") seeks to preserve principal value
and maintain a high degree of liquidity while providing current income. The Fund
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 Fund'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 Fund to changes in reinvestment risk associated with loan
prepayment. The Fund will therefore tend to purchase
7
<PAGE>
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
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SEI DAILY INCOME TRUST -- JANUARY 31, 1999
GNMA FUND (CONCLUDED)
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, 1999, the GNMA Fund
gained 6.76%, outperforming the Lehman GNMA Index return of 6.66% and the
Salomon 30 Year GNMA Index return of 6.68%. The Fund's longer duration posture
in a declining interest rate environment as well as emphasis on lower coupon and
prepayment protected structures contributed positively to performance.
The Treasury market performed strongly during the first half of the
period, as decreasing consumer confidence and low inflationary pressure coupled
with turmoil outside the U.S. pushed yields lower. During the third quarter, the
market experienced a global `flight to quality' as the safety and liquidity of
Treasuries drew investors from nearly every other sector. GNMA products were no
exception, however the riskiest sectors fared the worst. Corporate spreads to
Treasuries widened considerably during this time. The Federal Reserve furthered
the Treasury yield decline by lowering of the Federal Funds rate by 25 basis
points to 5.25%. The Fund's longer duration posture aided the Fund. As equity
markets and spread sectors recovered in the 4th quarter, the safe haven lure of
Treasuries subsided, pushing interest rates higher. Although the longer duration
of the Fund detracted from performance in the latter part of the year, the net
effect of declining rates for the year favored the longer duration position.
Prepayment fears were present throughout the year, preventing GNMA securities
from outperforming Treasuries. The Fund performed well relative to peers and the
Lehman GNMA Index also by overweighting lower coupon and prepayment protected
securities during the year.
Looking ahead, the Fund will likely remain fully invested in GNMA
securities. Relative value is still found in GNMA securities over U.S. Treasury
securities. Duration positioning will likely continue to remain longer in the
expectation of a slowing economy. Focus on lower coupon issues will be
emphasized less in the coming periods as prepayment concerns have already been
priced into the market.
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GNMA
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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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6.76% 6.98% 6.56% 8.62% 8.01%
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COMPARISON OF CHANGE IN THE VALUE OF A $10,000 INVESTMENT IN THE SEI DAILY
INCOME TRUST GNMA FUND, VERSUS THE SALOMON 30-YEAR GNMA INDEX
LINE GRAPH OMITTED -- PLOT POINTS AS FOLLOWS:
GNMA Bond Salomon
1/31/89 10,000 10,000
1/31/90 11,153 11,252
1/31/91 12,574 12,772
1/31/92 14,144 14,440
1/31/93 15,685 15,932
1/31/94 16,640 16,897
1/31/95 16,231 16,894
1/31/96 18,675 19,496
1/31/97 19,553 20,622
1/31/98 21,414 22,540
1/31/99 22,862 24,046
1FOR THE PERIOD ENDED JANUARY 31, 1999. PAST PERFORMANCE IS NOT PREDICTIVE OF
FUTURE PERFORMANCE. CLASS A SHARES WERE OFFERED BEGINNING 3/20/87.
8
<PAGE>
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CORPORATE DAILY
INCOME FUND
WELLINGTON MANAGEMENT COMPANY, INVESTMENT ADVISER
OBJECTIVES. The Corporate Daily Income Fund (the "Fund") seeks to provide
higher current income than that typically offered by a money market fund while
maintaining a high degree of liquidity and minimal principal volatility. The
Fund 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 Fund will range between six and eighteen months.
STRATEGY. The Corporate Daily Income Fund seeks to provide a return in
excess of the Merrill Lynch One-Year Treasury Bill 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
Fund, 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 1999, the Corporate Daily Income Fund
returned 5.61% compared to its benchmark, the Merrill Lynch 1-Year Treasury Bill
Index return of 5.58%. Increased volatility in the market place lingered during
the year and the Fund's strategic duration management added to return. For the
most part, the Fund maintained a neutral duration posture. As the yield curve
steepened and rates increased, duration was opportunistically lengthened in
order to take advantage of higher yields. The use of "spread" product, or
corporate securities that offer excess yield to similar maturity Treasury
issues, to bolster return and increase yield also benefited the Fund for the
year. As part of the ongoing strategy, diligent credit analysis was employed to
avoid credit downgrades and preserve return. Seasonal technical factors
positively impacted performance for the Fund as well.
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CORPORATE DAILY INCOME
- --------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURN1
- --------------------------------------------------------------------------------
One Annualized Annualized Annualized
Year 3 Year 5 Year Inception
Return Return Return to Date
- --------------------------------------------------------------------------------
5.61% 5.70% 5.65% 6.09%
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COMPARISON OF CHANGE IN THE VALUE OF A $10,000 INVESTMENT IN THE SEI
DAILY INCOME TRUST CORPORATE DAILY INCOME FUND, VERSUS THE MERRILL
LYNCH 1-YEAR TREASURY INDEX
LINE GRAPH OMITTED -- PLOT POINTS AS FOLLOWS:
SEI SDIT Corporate Merrill Lynch
Daily Income Fund 1-year U.S. Treasury Index
9/30/93 10000 10000
1/31/94 10114 10113
1/31/95 10376 10426
1/31/96 11274 11211
1/31/97 11861 11811
1/31/98 12607 12532
1/31/99 13314 13232
1FOR THE PERIOD ENDED JANUARY 31, 1999. PAST PERFORMANCE IS NOT PREDICTIVE OF
FUTURE PERFORMANCE. CLASS A SHARES WERE OFFERED BEGINNING 9/28/93.
9
<PAGE>
STATEMENT OF NET ASSETS
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SEI DAILY INCOME TRUST -- JANUARY 31, 1999
MONEY MARKET FUND
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
SEI DAILY INCOME TRUST -- JANUARY 31, 1999
MONEY MARKET FUND
- ------------------------------------------------------------
FACE
DESCRIPTION AMOUNT (000) VALUE (000)
- ------------------------------------------------------------
COMMERCIAL PAPER -- 64.0%
BANKS -- 4.7%
Abbey National PLC
4.880%, 04/06/99 $25,000 $ 24,783
Generale Banque
4.880%, 04/07/99 40,000 39,648
----------
64,431
----------
BUSINESS MACHINES -- 2.6%
Xerox Capital PLC
4.810%, 03/05/99 35,000 34,850
----------
FOOD BEVERAGE AND TOBACCO -- 0.7%
Diageo PLC
4.830%, 02/23/99 10,000 9,971
----------
FINANCIAL SERVICES -- 55.3%
Aesop Funding Corporation
4.840%, 03/19/99 15,000 14,907
American Express Credit
Corporation
5.270%, 03/09/99 15,000 14,921
American General Finance
Corporation
4.870%, 04/14/99 40,000 39,610
Apreco Incorporated
4.940%, 02/25/99 25,000 24,918
4.870%, 03/15/99 15,000 14,915
Associates Corporation
of North America
5.010%, 02/12/99 15,000 14,977
Bank of America
5.040%, 03/11/99 10,000 9,947
Centric Capital Corporation
5.070%, 03/05/99 20,000 19,910
Chrysler Financial Corporation
5.050%, 02/19/99 25,000 24,937
CIT Group Holdings Incorporated
5.370%, 02/09/99 27,000 26,968
Clipper Receivables
4.890%, 03/09/99 21,500 21,395
Corporate Asset Funding
Corporation
4.870%, 02/26/99 35,000 34,882
Corporate Receivable Corporation
4.860%, 04/09/99 35,000 34,683
Enterprise Funding Corporation
4.870%, 02/25/99 40,000 39,870
5.170%, 03/10/99 10,000 9,947
Eureka Securities Incorporated
4.860%, 03/10/99 25,000 24,875
Falcon Asset Securitization
4.910%, 02/17/99 10,000 9,978
- ------------------------------------------------------------
FACE
DESCRIPTION AMOUNT (000) VALUE (000)
- ------------------------------------------------------------
Ford Motor Credit Corporation
5.030%, 04/20/99 $10,000 $ 9,891
General Electric Capital Corporation
5.430%, 02/22/99 25,000 24,921
4.890%, 06/14/99 15,000 14,729
General Electric Financial Assurance
Corporation
5.040%, 02/10/99 15,000 14,981
Greyhawk Funding
5.320%, 02/12/99 20,000 19,968
5.400%, 02/19/99 10,000 9,973
Island Finance of Puerto Rico
5.000%, 02/05/99 25,000 24,986
Kitty Hawk Funding Corporation
5.450%, 02/10/99 8,569 8,557
5.180%, 03/10/99 7,000 6,963
5.080%, 03/22/99 14,191 14,093
5.100%, 06/01/99 5,458 5,365
Mont Blanc Capital
4.900%, 02/17/99 21,500 21,453
5.350%, 02/26/99 4,000 3,985
4.930%, 03/15/99 15,000 14,914
4.850%, 03/19/99 16,365 16,264
Park Avenue Receivable
5.500%, 02/12/99 15,000 14,975
4.970%, 02/26/99 12,701 12,657
4.860%, 03/17/99 20,000 19,881
Preferred Receivables Funding
Corporation
4.850%, 03/08/99 12,000 11,943
Prudential Funding Corporation
5.310%, 02/01/99 15,000 15,000
Rose Funding Incorporated
5.490%, 02/26/99 13,641 13,589
Sears Roebuck Acceptance
Corporation
5.050%, 03/03/99 25,000 24,895
Statoil (Den Norske Stats ole)
5.250%, 02/17/99 6,000 5,986
Variable Funding Capital
Corporation
5.000%, 02/11/99 30,000 29,958
5.290%, 02/23/99 10,000 9,968
----------
751,535
----------
UTILITY -- 0.7%
National Rural Utility
5.050%, 03/12/99 10,000 9,945
----------
Total Commercial Paper
(Cost $870,732) 870,732
----------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
10
<PAGE>
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- ------------------------------------------------------------
FACE
DESCRIPTION AMOUNT (000) VALUE (000)
- ------------------------------------------------------------
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 2.1%
FHLMC
4.720%, 03/04/99 $ 4,225 $ 4,208
5.000%, 03/12/99 10,000 9,946
FNMA
4.900%, 04/07/99 14,000 13,876
----------
Total U.S. Government Agency Obligations
(Cost $28,030) 28,030
----------
CERTIFICATES OF DEPOSIT/BANK NOTES -- 22.2%
BANKS -- 22.2%
Bank of America
5.630%, 02/26/99 20,000 20,000
Barclays Bank of New York
5.530%, 02/23/99 16,000 15,999
Chase Manhattan
5.700%, 07/02/99 5,000 4,999
Credit Agricole New York
5.730%, 05/26/99 15,000 14,997
First National Bank Maryland
4.970%, 01/28/00 20,000 19,994
Fleet National Bank
4.870%, 06/15/99 40,000 40,000
Harris Bankcorp
5.150%, 02/22/99 10,000 10,000
5.020%, 01/18/00 20,000 20,000
J.P. Morgan & Company MTN (A)
4.944%, 02/08/99 8,000 7,992
Key Bank (A)
4.710%, 03/16/99 15,000 14,996
National Bank of Canada
5.800%, 05/12/99 12,000 11,998
PNC Bank North America
Pittsburgh
5.030%, 02/26/99 15,000 15,000
Regions Bank
4.980%, 06/15/99 10,000 10,000
Societe Generale of New York
5.680%, 03/22/99 11,750 11,749
5.020%, 01/14/00 25,000 24,993
Svenska Handelsbank New York
5.740%, 06/01/99 14,500 14,497
Swiss Bank Corporation
5.650%, 03/24/99 10,000 9,999
U.S. Bank of North
America (A)
4.975%, 02/08/99 15,000 14,998
- ------------------------------------------------------------
FACE
DESCRIPTION AMOUNT (000) VALUE (000)
- ------------------------------------------------------------
Wilmington Trust
5.750%, 07/12/99 $20,000 $ 20,000
----------
Total Certificates of Deposit/Bank Notes
(Cost $302,211) 302,211
----------
CORPORATE OBLIGATIONS -- 12.7%
FINANCIAL SERVICES -- 8.1%
American Express Centurion (A)
4.880%, 02/26/99 20,000 20,000
Comerica (A)
4.886%, 02/16/99 25,000 24,993
Goldman Sachs
5.138%, 04/07/99 15,000 15,000
Ontario Province (A)
5.402%, 02/17/99 15,000 15,005
PNC Bank (A)
4.957%, 02/01/99 10,000 9,997
SMM Trust 98-A (A)
5.320%, 03/16/99 15,000 15,000
Xerox Credit Corporation MTN (A)
4.953%, 04/12/99 10,000 9,994
----------
109,989
----------
INSURANCE -- 4.6%
Allstate Corporation(A)
5.309%, 03/15/99 15,000 15,000
5.294%, 03/31/99 15,000 15,000
People's Security Life Insurance
Company (A)
5.320%, 02/01/99 7,000 7,000
5.360%, 02/01/99 15,000 15,000
Travelers Insurance (A)
5.300%, 02/28/99 10,000 10,000
----------
62,000
----------
Total Corporate Obligations
(Cost $171,989) 171,989
----------
TOTAL INVESTMENTS -- 101.0%
(Cost $1,372,962) 1,372,962
----------
OTHER ASSETS AND LIABILITIES -- (1.0%)
Other Assets and Liabilities, Net (13,343)
----------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
11
<PAGE>
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
SEI DAILY INCOME TRUST -- JANUARY 31, 1999
MONEY MARKET FUND (concluded)
- ------------------------------------------------------------
DESCRIPTION VALUE (000)
- ------------------------------------------------------------
NET ASSETS:
Fund Shares of Class A
(unlimited authorization -- no par value)
based on 1,212,388,397 outstanding shares
of beneficial interest $1,212,381
Fund Shares of Class B
(unlimited authorization -- no par value)
based on 7,876,042 outstanding shares of
beneficial interest 7,876
Fund Shares of Class C
(unlimited authorization -- no par value)
based on 132,848,488 outstanding shares
of beneficial interest 132,849
Fund Shares of Sweep Class
(unlimited authorization -- no par value)
based on 6,669,014 outstanding shares of
beneficial interest 6,669
Distributions in excess of net investment income (124)
Accumulated net realized loss
on investments (32)
----------
TOTAL NET ASSETS-- 100.0% $1,359,619
==========
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE -- CLASS A $1.00
==========
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE -- CLASS B $1.00
==========
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE -- CLASS C $1.00
==========
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE -- SWEEP CLASS $1.00
==========
(A) FLOATING RATE INSTRUMENT. RATE REFLECTED ON THE STATEMENT OF NET ASSETS IS
THE RATE IN EFFECT ON JANUARY 31, 1999. THE DATE SHOWN IS THE EARLIER OF THE
RESET DATE OR THE DEMAND DATE. FHLMC FEDERAL HOME LOAN MORTGAGE CORPORATION
FNMA FEDERAL NATIONAL MORTGAGE ASSOCIATION MTN MEDIUM TERM NOTE PLC PUBLIC
LIMITED COMPANY
GOVERNMENT FUND
- ------------------------------------------------------------
FACE
DESCRIPTION AMOUNT (000) VALUE (000)
- ------------------------------------------------------------
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 95.2%
FHLB
5.318%, 02/25/99 $ 6,020 $ 5,999
4.680%, 02/26/99 1,250 1,246
5.570%, 03/09/99 11,440 11,440
4.710%, 03/19/99 10,736 10,671
5.560%, 03/25/99 10,000 9,999
4.880%, 05/03/99 (A) 50,000 49,975
5.665%, 05/07/99 4,000 4,000
4.855%, 06/17/99 13,500 13,499
4.900%, 01/14/00 15,000 14,999
4.835%, 01/28/00 (A) 19,000 18,988
FHLMC
5.355%, 02/12/99 75,000 74,882
4.800%, 02/18/99 (A) 75,000 74,972
5.085%, 02/25/99 50,125 49,955
5.050%, 02/26/99 50,000 49,825
5.176%, 02/26/99 86,000 85,701
5.370%, 02/26/99 24,000 23,997
4.840%, 03/02/99 15,000 14,942
5.000%, 03/12/99 60,000 59,675
5.605%, 03/12/99 10,000 10,000
5.238%, 03/19/99 44,000 43,717
4.970%, 03/30/99 22,235 22,060
4.730%, 03/31/99 30,500 30,268
4.880%, 04/13/99 7,292 7,222
4.720%, 04/15/99 50,000 49,521
5.490%, 04/30/99 20,000 19,991
4.830%, 05/12/99 5,300 5,229
4.800%, 05/25/99 5,626 5,541
FNMA
5.010%, 02/16/99 50,000 49,896
5.040%, 02/19/99 49,800 49,674
4.800%, 03/15/99 11,196 11,133
4.965%, 03/15/99 33,000 32,809
5.000%, 03/15/99 28,085 27,921
5.383%, 03/15/99 40,000 39,759
4.600%, 03/24/99 6,360 6,319
4.960%, 03/31/99 3,000 2,976
4.770%, 04/01/99 100,000 99,218
4.840%, 04/07/99 47,000 46,589
5.630%, 05/05/99 10,000 10,016
4.976%, 05/24/99 9,314 9,175
5.472%, 05/24/99 50,000 49,186
4.592%, 02/25/99 (A) 22,000 22,000
5.650%, 05/26/99 MTN 13,250 13,264
5.461%, 07/09/99 9,675 9,454
5.465%, 07/16/99 1,265 1,235
5.540%, 07/16/99 MTN 7,380 7,388
5.810%, 11/12/99 MTN 3,000 3,020
SLMA
5.400%, 02/10/99 37,700 37,700
----------
Total U.S. Government Agency Obligations
(Cost $1,297,046) 1,297,046
----------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
12
<PAGE>
- --------------------------------------------------------------------------------
GOVERNMENT FUND (concluded)
- ------------------------------------------------------------
FACE
DESCRIPTION AMOUNT (000) VALUE (000)
- ------------------------------------------------------------
REPURCHASE AGREEMENT -- 9.9%
- ------------------------------------------------------------
J.P. Morgan & Company (B) 4.830%,
dated 01/29/99, matures 02/01/99,
repurchase price $135,054,337
(collateralized by various
U.S. Government Obligations
ranging in par value
$1,958,644-$10,098,337, 6.00%,
01/29/01-12/28/01; with total
market value of $137,700,000) $135,000 $ 135,000
----------
Total Repurchase Agreement
(Cost $135,000) 135,000
----------
TOTAL INVESTMENTS -- 105.1%
(Cost $1,432,046) 1,432,046
----------
OTHER ASSETS AND LIABILITIES -- (5.1%)
Other Assets and Liabilities, Net (68,868)
----------
NET ASSETS:
Fund Shares of Class A (unlimited
authorization -- no par value) based
on 204,998,020 outstanding shares
of beneficial interest 204,998
Fund Shares of Class B
(unlimited authorization -- no par
value) based on 34,677,110
outstanding shares of beneficial interest 34,678
Fund Shares of Class C (unlimited
authorization -- no par value) based on
39,889,390 outstanding shares of
beneficial interest 39,890
Fund Shares of CNI Class (unlimited
authorization -- no par value) based on
1,080,409,283 outstanding shares
of beneficial interest 1,080,408
Fund Shares of Sweep Class (unlimited
authorization -- no par value) based on
3,248,086 outstanding shares of
beneficial interest 3,248
Undistributed net investment income 18
Accumulated net realized loss
on investments (62)
----------
TOTAL NET ASSETS -- 100.0% $1,363,178
==========
- ------------------------------------------------------------
DESCRIPTION VALUE
- ------------------------------------------------------------
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
==========
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE -- SWEEP CLASS $1.00
==========
(A) FLOATING RATE INSTRUMENT. THE RATE REFLECTED ON THE STATEMENT OF NET ASSETS
IS THE RATE IN EFFECT ON JANUARY 31, 1999. THE DATE SHOWN IS THE EARLIER OF
THE RESET DATE OR THE DEMAND DATE.
(B) TRI-PARTY REPURCHASE AGREEMENT
FHLB -- FEDERAL HOME LOAN BANK
FHLMC -- FEDERAL HOME LOAN MORTGAGE CORPORATION
FNMA -- FEDERAL NATIONAL MORTGAGE ASSOCIATION
MTN -- MEDIUM TERM NOTE
SLMA -- STUDENT LOAN MARKETING ASSOCIATION
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
13
<PAGE>
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
SEI DAILY INCOME TRUST -- JANUARY 31, 1999
GOVERNMENT II FUND
- ------------------------------------------------------------
FACE
DESCRIPTION AMOUNT (000) VALUE (000)
- ------------------------------------------------------------
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 99.9%
FFCB
4.989%, 02/01/99 (A) $50,000 $ 49,991
4.720%, 05/04/99 50,000 49,397
FHLB
5.435%, 02/02/99 20,000 20,000
4.760%, 02/05/99 21,800 21,788
6.056%, 02/05/99 17,500 17,501
4.855%, 02/08/99 (A) 30,000 29,991
4.770%, 02/10/99 36,722 36,678
4.950%, 02/10/99 (A) 50,000 49,977
4.700%, 02/12/99 2,845 2,841
4.680%, 02/17/99 4,900 4,890
4.810%, 02/17/99 10,884 10,861
5.318%, 02/17/99 15,590 15,554
4.951%, 02/19/99 4,500 4,489
5.387%, 02/19/99 11,163 11,134
5.313%, 02/24/99 14,688 14,640
5.381%, 02/24/99 50,000 49,835
4.720%, 02/26/99 16,575 16,521
4.730%, 02/26/99 25,000 24,918
5.130%, 02/26/99 20,000 19,931
5.142%, 02/26/99 20,000 19,930
5.163%, 02/26/99 3,000 2,989
5.570%, 03/09/99 25,000 24,999
4.950%, 03/12/99 6,400 6,366
5.075%, 03/12/99 25,000 24,866
4.960%, 03/17/99 78,500 78,024
5.082%, 03/19/99 50,000 49,684
4.760%, 03/24/99 15,930 15,823
5.088%, 03/24/99 100,000 99,298
5.232%, 03/24/99 3,000 2,979
5.560%, 03/25/99 7,000 6,999
4.760%, 03/26/99 15,975 15,863
4.750%, 04/01/99 50,000 49,611
5.540%, 04/07/99 2,700 2,700
5.055%, 04/28/99 4,799 4,743
5.723%, 05/05/99 10,000 10,000
5.695%, 05/06/99 10,000 9,999
5.470%, 05/19/99 20,000 19,689
4.997%, 05/26/99 14,922 14,695
4.973%, 05/28/99 22,288 21,944
6.150%, 06/16/99 5,000 5,022
4.900%, 01/14/00 10,000 9,999
4.835%, 01/28/00 15,750 15,740
SLMA
4.622%, 02/02/99 (A) 44,450 44,450
4.607%, 02/08/99 (A) 30,000 30,000
5.400%, 02/10/99 20,000 20,000
----------
Total U.S. Government Agency Obligations
(Cost $1,057,349) 1,057,349
----------
- ------------------------------------------------------------
FACE
DESCRIPTION AMOUNT (000) VALUE (000)
- ------------------------------------------------------------
U.S. TREASURY OBLIGATION -- 0.0%
U.S. Treasury Bill
4.561%, 03/25/99 $270 $ 268
----------
Total U.S. Treasury Obligation
(Cost $268) 268
----------
TOTAL INVESTMENTS -- 99.9%
(Cost $1,057,617) 1,057,617
----------
OTHER ASSETS AND LIABILITIES -- 0.1%
Other Assets and Liabilities, Net 1,329
----------
NET ASSETS:
Fund Shares of Class A
(unlimited authorization -- no
par value) based on
943,548,823 outstanding shares
of beneficial interest 943,556
Fund Shares of Class B (unlimited
authorization -- no par value) based on
64,831,742 outstanding shares of
beneficial interest 64,831
Fund Shares of Class C (unlimited
authorization -- no par value) based on
50,705,582 outstanding shares of
beneficial interest 50,706
Undistributed net investment income 37
Accumulated net realized loss
on investments (184)
----------
TOTAL NET ASSETS-- 100.0% $1,058,946
==========
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, 1999. THE DATE SHOWN IS THE EARLIER OF
THE RESET DATE OR THE DEMAND DATE.
FFCB -- FEDERAL FARM CREDIT BANK
FHLB -- FEDERAL HOME LOAN BANK
SLMA -- STUDENT LOAN MARKETING ASSOCIATION
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
14
<PAGE>
- --------------------------------------------------------------------------------
PRIME OBLIGATION FUND
- --------------------------------------------------------------------------------
FACE
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
COMMERCIAL PAPER -- 54.2%
AIRCRAFT -- 0.4%
United Technologies
5.150%, 02/26/99 $ 20,750 $ 20,676
----------
BANKS -- 2.4%
Wells Fargo
5.130%, 03/12/99 50,000 49,722
5.050%, 03/25/99 50,000 49,635
5.100%, 03/31/99 20,000 19,836
----------
119,193
-----------
DRUGS -- 1.3%
Johnson & Johnson
5.000%, 02/26/99 43,500 43,349
4.890%, 04/05/99 25,000 24,786
----------
68,135
----------
FINANCIAL SERVICES -- 46.7%
Aesop Funding Corporation
5.320%, 02/25/99 47,300 47,132
4.850%, 03/19/99 3,230 3,210
4.850%, 03/26/99 67,000 66,522
American General Finance
Corporation
5.070%, 02/19/99 50,000 49,873
Associates Corporation
of North America
5.010%, 02/12/99 75,000 74,885
Centric Capital Corporation
5.200%, 03/16/99 10,000 9,938
5.200%, 03/19/99 15,000 14,900
5.200%, 03/22/99 17,000 16,880
5.120%, 03/29/99 9,000 8,928
4.870%, 03/31/99 14,817 14,701
5.070%, 04/27/99 9,166 9,056
Chrysler Financial Corporation
5.050%, 02/19/99 35,000 34,912
Ciesco LP
4.840%, 03/18/99 50,000 49,697
CIT Group Holdings Incorporated
5.370%, 02/08/99 37,000 36,961
Clipper Receivables
4.850%, 03/15/99 15,000 14,915
Corporate Asset Funding
Corporation
4.900%, 02/12/99 25,000 24,963
5.250%, 02/17/99 75,000 74,825
5.360%, 02/19/99 41,250 41,139
Corporate Receivable Corporation
5.375%, 02/02/99 100,000 99,985
5.370%, 02/25/99 40,000 39,857
5.150%, 03/10/99 10,000 9,947
4.810%, 04/23/99 4,000 3,957
- ------------------------------------------------------------
FACE
DESCRIPTION AMOUNT (000) VALUE (000)
- ------------------------------------------------------------
Delaware Funding Corporation
4.900%, 02/25/99 $ 55,381 $ 55,200
4.880%, 03/12/99 10,248 10,194
4.840%, 03/26/99 19,990 19,848
Enterprise Funding Corporation
5.210%, 02/22/99 22,794 22,725
5.250%, 02/26/99 24,000 23,912
5.170%, 03/10/99 50,000 49,734
4.850%, 03/22/99 66,191 65,754
Falcon Asset Securitization
5.250%, 02/11/99 50,000 49,927
5.400%, 02/16/99 42,100 42,005
5.420%, 02/16/99 49,800 49,688
4.910%, 02/19/99 44,305 44,196
FCAR Owner Trust
4.820%, 04/15/99 50,000 49,511
Fleet Funding Corporation
4.830%, 02/26/99 44,298 44,149
4.850%, 02/26/99 34,613 34,496
Ford Motor Credit Corporation
5.070%, 02/19/99 75,000 74,810
5.010%, 04/20/99 25,000 24,729
General Electric Capital
Corporation
5.030%, 02/05/99 40,000 39,978
5.040%, 02/10/99 85,000 84,893
5.040%, 02/22/99 35,000 34,897
4.890%, 06/14/99 75,000 73,645
Island Finance of Puerto Rico
5.180%, 02/05/99 10,000 9,994
5.180%, 03/02/99 20,000 19,917
Kitty Hawk Funding Corporation
4.900%, 02/12/99 34,170 34,119
5.495%, 02/26/99 25,000 24,905
5.500%, 02/26/99 41,000 40,843
5.180%, 03/10/99 64,500 64,157
Park Avenue Receivable
4.930%, 02/16/99 4,008 4,000
5.400%, 02/19/99 15,780 15,737
4.850%, 02/22/99 14,720 14,678
4.880%, 02/22/99 41,725 41,606
5.300%, 02/22/99 15,174 15,127
4.890%, 02/24/99 51,227 51,067
4.830%, 03/18/99 16,266 16,168
4.920%, 04/12/99 8,262 8,183
Peacock Funding Corporation
5.170%, 03/12/99 30,115 29,946
5.170%, 03/15/99 18,070 17,961
Preferred Receivables Funding
Corporation
5.400%, 02/11/99 71,000 70,893
4.850%, 03/16/99 63,095 62,729
Riverwoods Funding Corporation
4.810%, 04/30/99 64,000 63,248
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
15
<PAGE>
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
SEI DAILY INCOME TRUST -- JANUARY 31, 1999
PRIME OBLIGATION FUND (concluded)
- -------------------------------------------------------------
FACE
DESCRIPTION AMOUNT (000) VALUE (000)
- -------------------------------------------------------------
Variable Funding Capital
Corporation
5.380%, 02/05/99 $40,000 $ 39,976
5.360%, 02/19/99 20,529 20,474
5.290%, 02/23/99 60,000 59,806
----------
2,367,008
----------
INDUSTRIAL -- 2.9%
Rockwell International
Corporation
5.250%, 02/23/99 150,000 149,519
----------
PRINTING & PUBLISHING -- 0.3%
Scripps Ew
4.830%, 04/13/99 15,000 14,857
----------
UTILITY -- 0.2%
National Rural Utility
4.850%, 04/23/99 10,000 9,891
----------
Total Commercial Paper
(Cost $2,749,279) 2,749,279
----------
CERTIFICATES OF DEPOSIT/BANK NOTES -- 22.3%
BANKS -- 18.7%
Bank of New York
5.570%, 03/17/99 73,600 73,589
Chase Manhattan
5.750%, 08/03/99 90,000 89,972
First Chicago NBD Corporation
5.740%, 05/07/99 30,500 30,495
First National Bank of Maryland
4.990%, 01/25/00 50,000 49,991
Huntington National Bank
5.740%, 05/05/99 25,000 24,997
Fleet National Bank
4.870%, 06/15/99 150,000 150,000
Harris Bankcorp
5.150%, 02/22/99 50,000 50,000
5.020%, 01/18/00 25,000 25,000
5.000%, 02/04/00 17,500 17,500
Key Bank
4.710%, 03/16/99 (A) 30,000 29,993
NationsBank Corporation
4.980%, 01/07/00 75,000 74,987
4.980%, 01/07/00 25,000 24,995
PNC Bank North America
Pittsburgh
5.030%, 02/26/99 60,000 60,000
4.980%, 03/31/99 25,000 25,000
Regions Bank
5.800%, 05/21/99 43,500 43,496
4.980%, 06/15/99 37,000 37,000
U.S. Bank of North America
5.565%, 10/08/99 35,000 34,995
- -------------------------------------------------------------
FACE
DESCRIPTION AMOUNT (000) VALUE (000)
- -------------------------------------------------------------
Wilmington Trust
5.900%, 04/30/99 $ 34,500 $ 34,500
5.850%, 05/17/99 50,000 50,000
5.750%, 07/12/99 20,000 20,000
----------
946,510
----------
FINANCIAL SERVICES -- 3.6%
National City Corporation
4.750%, 02/01/99 30,000 30,000
Suntrust of Atlanta
4.750%, 02/01/99 150,000 150,000
----------
180,000
----------
Total Certificates of Deposit/Bank Notes
(Cost $1,126,510) 1,126,510
----------
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 5.1%
FHLMC
5.040%, 02/18/99 13,700 13,667
5.030%, 02/23/99 5,648 5,631
5.000%, 03/12/99 45,000 44,756
5.100%, 03/22/99 24,200 24,032
FNMA
5.050%, 02/16/99 46,345 46,247
4.592%, 02/25/99 (A) 90,000 90,000
SLMA (A)
4.622%, 02/08/99 17,000 17,000
4.612%, 02/22/99 16,000 16,000
----------
Total U.S. Government Agency Obligations
(Cost $257,333) 257,333
----------
CORPORATE OBLIGATIONS -- 15.9%
BANKS -- 3.2%
First National Bank of Chicago
4.980%, 07/06/99 85,000 85,011
U.S. Bankcorp
5.662%, 09/13/99 24,000 23,994
U.S. Bank of North America (A)
4.869%, 02/28/99 52,000 51,990
----------
160,995
----------
FINANCIAL SERVICES -- 6.1%
ABS Investment Trust 97 (A)
5.000%, 02/15/99 20,000 20,000
CIT Group Holdings
Incorporated MTN (A)
5.180%, 02/02/99 75,000 74,989
J.P. Morgan & Company
5.750%, 03/10/99 20,000 20,000
Goldman Sachs (A)
5.138%, 04/07/99 50,000 50,000
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
16
<PAGE>
- --------------------------------------------------------------------------------
- ------------------------------------------------------------
FACE
DESCRIPTION AMOUNT (000) VALUE (000)
- ------------------------------------------------------------
International Lease Finance MTN
7.410%, 09/01/99 $10,000 $ 10,095
SMM Trust 98-I (A)
4.939%, 02/26/99 35,000 35,000
SMM Trust 98-A (A)
5.320%, 03/16/99 100,000 100,000
----------
310,084
----------
INDUSTRIAL -- 1.9%
GMAC MTN
4.766%, 04/06/99 12,000 11,987
Xerox Credit Corporation MTN (A)
4.953%, 04/12/99 85,000 84,951
----------
96,938
----------
INSURANCE -- 4.7%
Allstate Corporation (A)
5.652%, 02/01/99 15,000 15,000
5.309%, 03/15/99 62,000 62,000
5.294%, 04/01/99 35,000 35,000
Peoples Security Life Insurance (A)
5.320%, 02/01/99 73,000 73,000
5.360%, 04/01/99 35,000 35,000
Travelers Insurance Company (A)
5.300%, 04/01/99 20,000 20,000
----------
240,000
----------
Total Corporate Obligations
(Cost $808,017) 808,017
----------
REPURCHASE AGREEMENTS -- 3.2%
Lehman Brothers, Inc. (B)
4.810%, dated 01/29/99, matures
02/01/99, repurchase price
$62,224,932 (collateralized by
various U.S. Government
obligations ranging in par value
$105,000-$52,650,000,
8.000%- 10.000%,
12/01/06-02/01/27; with total market
value 63,444,000) 62,200 62,200
J.P. Morgan & Company (B)
4.800%, dated 01/29/99, matures
02/01/99, repurchase price
$100,040,000 (collateralized by
various U.S. Government obligations
ranging in par value
$37,484,000-$64,775,000, zero coupon,
02/01/99-03/15/99; with total
market value $102,000,171) 100,000 100,000
----------
Total Repurchase Agreements
(Cost $162,200) 162,200
----------
TOTAL INVESTMENTS -- 100.7%
(Cost $5,103,339) 5,103,339
----------
- ------------------------------------------------------------
DESCRIPTION VALUE (000)
- ------------------------------------------------------------
OTHER ASSETS AND LIABILITIES-- (0.7%)
Other Assets and Liabilities, Net $ (33,776)
----------
NET ASSETS:
Fund Shares of Class A (unlimited
authorization -- no par value) based on
4,482,863,044 outstanding shares
of beneficial interest 4,482,865
Fund Shares of Class B (unlimited
authorization -- no par value) based on
229,378,805 outstanding shares
of beneficial interest 229,378
Fund Shares of Class C (unlimited
authorization -- no par value) based on
351,882,624 outstanding shares of
beneficial interest 351,882
Fund Shares of Sweep Class (unlimited
authorization -- no par value) based on
5,644,568 outstanding shares of
beneficial interest 5,645
Distributions in excess of net investment income (54)
Accumulated net realized loss
on investments (153)
----------
TOTAL NET ASSETS -- 100.0% $5,069,563
==========
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE -- CLASS A $1.00
==========
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE -- CLASS B $1.00
==========
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE -- CLASS C $1.00
==========
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE -- SWEEP CLASS $1.00
==========
(A) FLOATING RATE INSTRUMENT. THE RATE REFLECTED ON THE STATEMENT OF NET ASSETS
IS THE RATE IN EFFECT ON JANUARY 31, 1999. THE DATE SHOWN IS THE EARLIER OF
THE RESET DATE OR THE DEMAND DATE.
(B) TRI-PARTY REPURCHASE AGREEMENT
FHLMC -- FEDERAL HOME LOAN MORTGAGE CORPORATION
FNMA -- FEDERAL NATIONAL MORTGAGE ASSOCIATION
MTN -- MEDIUM TERM NOTE
SLMA -- STUDENT LOAN MARKETING ASSOCIATION
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
17
<PAGE>
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
SEI DAILY INCOME TRUST -- JANUARY 31, 1999
TREASURY FUND
- ------------------------------------------------------------
FACE
DESCRIPTION AMOUNT (000) VALUE (000)
- ------------------------------------------------------------
U.S. TREASURY OBLIGATIONS -- 21.2%
U.S. Treasury Notes
5.875%, 03/31/99 $11,000 $ 11,007
6.250%, 03/31/99 36,000 36,041
6.375%, 04/30/99 17,000 17,032
6.000%, 06/30/99 7,000 7,014
5.875%, 11/15/99 7,000 7,060
7.875%, 11/15/99 7,000 7,167
5.625%, 11/30/99 14,000 14,097
5.625%, 12/31/99 15,000 15,117
--------
Total U.S. Treasury Obligations
(Cost $114,535) 114,535
--------
REPURCHASE AGREEMENTS -- 78.8%
Barclay Capital, Inc. (A)
4.730%, dated 01/29/99, matures
02/01/99, repurchase price
$85,933,859 (collateralized by
various U.S. Treasury Obligations
ranging in par value $14,861,000-
$69,699,000, 5.875%-7.50%,
10/31/99-11/15/99; with total
market value of $87,618,198) 85,900 85,900
CS First Boston Inc. (A)
4.730%, dated 01/29/99, matures
02/01/99, repurchase price
$65,025,621 (collateralized by
U.S. Treasury Obligation, par
value $58,950,000, 6.50%,
10/15/06; with total market
value of $66,476,655) 65,000 65,000
Goldman Sachs & Company (A)
4.710%, dated 01/29/99, matures
02/01/99, repurchase price $38,415,072
(collateralized by U.S. Treasury Note,
par value $32,184,000, 6.625%,
02/15/27; with total market value
of $39,168,492) 38,400 38,400
- ------------------------------------------------------------
FACE
DESCRIPTION AMOUNT (000) VALUE (000)
- ------------------------------------------------------------
Greenwich Capital Markets, Inc. (A)
4.730%, dated 01/29/99, matures
02/01/99 , repurchase price
$70,027,592 (collateralized by
various U.S. Treasury Obligations,
ranging in par value $10,135,000-
$26,825,000, 6.5%-9.87%,
04/30/00-11/15/15; with total
market value of $71,400,523) $70,000 $ 70,000
J.P. Morgan & Company (A)
4.720%, dated 01/29/99, matures
02/01/99, repurchase price $65,025,567
(collateralized by U.S. Treasury
Note, par value $40,526,000, 10.625%,
08/15/15; with total market value
of $66,301,619) 65,000 65,000
Morgan Stanley Dean Witter (A)
4.700%, dated 01/29/99, matures
02/01/99, repurchase price $2,801,097
(collateralized by Treasury Note,
par value $2,074,000 10.75%, 08/15/05;
with total market value of
$2,863,487) 2,800 2,800
Paribas Corporation 4.720%, dated
01/29/99, matures 02/01/99, repurchase
price $25,009,833 (collateralized by
Treasury Note, par value $23,644,000,
5.875%, 11/15/05; with total
market value of $25,535,438) 25,000 25,000
Paribas Corporation (A)
4.750%, dated 01/29/99, matures
02/01/99, repurchase price $75,029,688
(collateralized by various Treasury
Obligations, ranging in par value
$33,033,000- $33,900,000, 5.25%-8.875%,
01/31/01-08/15/17; with total
market value of $80,920,926) 75,000 75,000
----------
Total Repurchase Agreements
(Cost $427,100) 427,100
----------
TOTAL INVESTMENTS -- 100.0%
(Cost $541,635) 541,635
----------
OTHER ASSETS AND LIABILITIES -- 0.0%
Other Assets and Liabilities, Net 130
----------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
18
<PAGE>
- --------------------------------------------------------------------------------
TREASURY FUND (concluded)
- ------------------------------------------------------------
DESCRIPTION VALUE (000)
- ------------------------------------------------------------
NET ASSETS:
Fund Shares of Class A (unlimited
authorization -- no par value)
based on 269,685,975 outstanding
shares of beneficial interest $ 269,686
Fund Shares of Class B (unlimited
authorization -- no par value) based on
96,082,777 outstanding shares
of beneficial interest 96,083
Fund Shares of Class C (unlimited
authorization -- no par value) based on
103,639,156 outstanding shares
of beneficial interest 103,639
Fund Shares of Sweep Class (unlimited
authorization -- no par value) based on
72,360,830 outstanding shares
of beneficial interest 72,361
Undistributed net investment income 2
Accumulated net realized loss
on investments (6)
----------
TOTAL NET ASSETS-- 100.0% $ 541,765
==========
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 FUND
- ------------------------------------------------------------
FACE
DESCRIPTION AMOUNT (000) VALUE (000)
- ------------------------------------------------------------
U.S. TREASURY OBLIGATIONS -- 100.3%
U.S. Treasury Bills
4.350%, 02/04/99 $ 8,400 $ 8,397
4.375%, 02/04/99 20,670 20,663
4.509%, 02/11/99 115 115
4.440%, 02/25/99 78,355 78,123
4.340%, 03/04/99 12,250 12,204
4.370%, 03/04/99 4,855 4,837
4.385%, 03/04/99 1,760 1,753
4.400%, 03/04/99 100,000 99,621
4.730%, 03/04/99 37,240 37,088
4.450%, 03/25/99 25,400 25,237
4.465%, 03/25/99 100,000 99,355
4.480%, 04/01/99 100,000 99,266
4.265%, 04/22/99 50,000 49,526
4.290%, 04/22/99 50,000 49,523
4.305%, 04/29/99 25,000 24,740
----------
Total U.S. Treasury Obligations
(Cost $610,448) 610,448
----------
TOTAL INVESTMENTS -- 100.3%
(Cost $610,448) 610,448
----------
OTHER ASSETS AND LIABILITIES -- (0.3%)
Other Assets and Liabilities, Net (1,772)
----------
NET ASSETS:
Fund Shares of Class A (unlimited
authorization -- no par value) based on
451,814,470 outstanding shares
of beneficial interest 451,814
Fund Shares of Class B (unlimited
authorization -- no par value) based on
137,539,926 outstanding shares
of beneficial interest 137,540
Fund Shares of Class C (unlimited
authorization -- no par value) based on
19,372,919 outstanding shares of
beneficial interest 19,373
Undistributed net investment income 207
Accumulated net realized loss
on investments (258)
----------
TOTAL NET ASSETS -- 100.0% $ 608,676
==========
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE -- CLASS A $1.00
==========
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE -- CLASS B $1.00
==========
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE -- CLASS C $1.00
==========
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
19
<PAGE>
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
SEI DAILY INCOME TRUST -- JANUARY 31, 1999
SHORT-DURATION
GOVERNMENT FUND
- ------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- ------------------------------------------------------------
U.S. GOVERNMENT AGENCY
OBLIGATIONS -- 25.7%
FHLB
5.830%, 12/24/99 $ 5,000 $ 5,042
FHLMC
5.750%, 07/15/03 10,000 10,296
FNMA
5.380%, 01/16/01 5,000 5,041
FNMA MTN
6.240%, 09/07/00 5,000 5,103
----------
Total U.S. Government Agency Obligations
(Cost $25,109) 25,482
----------
U.S. TREASURY OBLIGATION -- 20.4%
U.S. Treasury Note
5.500%, 03/31/00 20,000 20,184
----------
Total U.S. Treasury Obligation
(Cost $20,009) 20,184
----------
U.S. GOVERNMENT MORTGAGE-BACKED
OBLIGATIONS -- 39.5%
FHLMC
6.500%, 11/01/99 2,285 2,343
6.000%, 12/15/06 5,000 5,040
6.500%, 10/01/07 1,556 1,638
6.000%, 10/15/07 4,000 4,044
6.000%, 11/01/13 9,919 9,972
6.000%, 01/15/14 7,000 7,049
FNMA
6.500%, 04/01/00 2,370 2,426
6.500%, 09/01/02 4,631 4,691
6.000%, 11/25/03 815 819
GNMA
7.500%, 01/15/11 35 37
7.500%, 02/15/11 59 61
7.500%, 02/15/11 1,007 1,041
----------
Total U.S. Government Mortgage-
Backed Obligations
(Cost $38,779) 39,161
----------
REPURCHASE AGREEMENT -- 13.8%
PaineWebber
4.710%, dated 01/29/99, matures
02/01/99, repurchase price
$13,655,358 (collateralized by
U.S. Treasury Note, par value
$13,075,000, 6.50%, 05/31/02; with
total market value of
$13,940,927) 13,650 13,650
----------
Total Repurchase Agreement
(Cost $13,650) 13,650
----------
- ------------------------------------------------------------
MARKET
DESCRIPTION VALUE (000)
- ------------------------------------------------------------
TOTAL INVESTMENTS -- 99.4%
(Cost $97,547) $ 98,477
----------
OTHER ASSETS AND LIABILITIES -- 0.6%
Other Assets and Liabilities, Net 584
----------
NET ASSETS:
Fund Shares of Class A (unlimited
authorization -- no par value) based
on 9,747,714 outstanding shares of
beneficial interest 98,704
Fund Shares of Class B (unlimited
authorization -- no par value) based
on 1,341 outstanding shares of
beneficial interest 13
Undistributed net investment income 21
Accumulated net realized loss
on investments (610)
Net unrealized appreciation on investments 933
----------
TOTAL NET ASSETS-- 100.0% $ 99,061
==========
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE -- CLASS A $10.16
==========
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE -- CLASS B $10.15
==========
FHLB -- FEDERAL HOME LOAN BANK
FHLMC -- FEDERAL HOME LOAN MORTGAGE CORPORATION
FNMA -- FEDERAL NATIONAL MORTGAGE ASSOCIATION
GNMA -- GOVERNMENT NATIONAL MORTGAGE ASSOCIATION
MTN -- MEDIUM TERM NOTE
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
20
<PAGE>
- --------------------------------------------------------------------------------
INTERMEDIATE-DURATION
GOVERNMENT FUND
- ------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- ------------------------------------------------------------
U.S. TREASURY OBLIGATIONS -- 49.7%
U.S. Treasury Bonds
11.125%, 08/15/03 $ 1,350 $ 1,699
11.875%, 11/15/03 12,000 15,617
3.625%, 01/15/08 2,030 2,006
12.000%, 08/15/13 10,900 16,593
U.S. Treasury Notes
6.625%, 07/31/01 6,600 6,904
10.750%, 02/15/03 15,750 19,194
----------
Total U.S. Treasury Obligations
(Cost $59,594) 62,013
----------
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 18.5%
Agency For International
Development
6.750%, 08/15/04 4,000 4,309
Private Export Funding
7.900%, 03/31/00 5,450 5,627
5.500%, 03/15/01 1,000 1,010
8.400%, 07/31/01 1,600 1,724
6.900%, 01/31/03 2,875 3,069
8.750%, 06/30/03 5,670 6,492
7.010%, 04/30/04 785 857
----------
Total U.S. Government Agency Obligations
(Cost $22,314) 23,088
----------
U.S. GOVERNMENT MORTGAGE-
BACKED OBLIGATIONS -- 27.9%
FHLMC
6.250%, 07/01/03 201 205
5.750%, 05/15/05 610 610
7.350%, 05/16/05 750 770
5.650%, 07/15/05 973 972
5.750%, 01/15/06 486 488
8.000%, 01/15/06 432 445
6.000%, 10/15/06 830 831
6.000%, 08/15/07 400 403
8.250%, 12/01/07 137 145
5.500%, 04/15/08 1,000 1,011
5.500%, 08/01/08 82 82
5.500%, 09/01/08 140 139
8.250%, 01/01/09 346 366
8.250%, 12/01/09 198 209
6.500%, 09/01/10 4,293 4,368
5.500%, 06/01/13 805 796
5.500%, 07/01/13 462 457
5.500%, 10/01/13 220 217
6.000%, 12/01/13 1,494 1,503
7.500%, 04/15/15 500 501
7.000%, 02/25/19 500 506
6.500%, 06/25/19 2,100 2,123
- ------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- ------------------------------------------------------------
6.500%, 09/15/21 $ 509 $ 507
6.300%, 03/15/23 2,000 2,039
FNMA
6.000%, 11/25/03 166 167
6.000%, 09/25/05 317 318
6.500%, 02/25/07 400 408
7.500%, 03/01/07 214 221
6.907%, 06/01/07 1,341 1,435
6.300%, 01/01/08 94 98
6.340%, 01/01/08 88 93
6.430%, 01/01/08 94 98
8.000%, 05/01/08 255 265
6.295%, 06/01/08 59 62
8.000%, 06/01/08 245 255
6.180%, 07/01/08 109 113
5.500%, 12/01/08 280 277
5.500%, 04/01/09 180 178
5.500%, 06/01/09 27 27
7.500%, 06/01/09 95 99
5.500%, 11/01/09 295 292
6.000%, 02/01/13 149 150
6.000%, 07/01/13 1783 1,790
9.500%, 05/01/18 364 389
7.385%, 03/25/21 1,757 1,796
GNMA
8.250%, 05/15/06 140 147
8.250%, 06/15/06 108 114
8.250%, 04/15/08 115 121
8.250%, 05/15/08 208 220
8.250%, 06/15/08 321 337
8.250%, 07/15/08 108 114
6.000%, 04/15/09 306 309
8.500%, 05/20/16 191 201
8.500%, 09/20/16 11 12
8.500%, 11/20/16 535 565
8.500%, 04/20/17 11 12
8.500%, 05/20/17 288 303
8.750%, 05/20/17 281 296
8.750%, 06/20/17 89 94
8.500%, 07/20/17 158 167
8.750%, 07/20/17 124 131
8.500%, 08/20/17 126 133
8.750%, 10/20/17 14 15
8.750%, 11/20/17 106 112
8.500%, 01/20/18 75 79
8.500%, 02/20/18 121 127
7.000%, 09/16/19 448 455
7.000%, 08/15/23 1,437 1,474
7.000%, 04/15/26 941 965
----------
Total U.S. Government Mortgage-
Backed Obligations
(Cost $34,149) 34,727
----------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
21
<PAGE>
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
SEI DAILY INCOME TRUST -- JANUARY 31, 1999
INTERMEDIATE-DURATION
GOVERNMENT FUND (concluded)
- ------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- ------------------------------------------------------------
REPURCHASE AGREEMENT -- 2.1%
PaineWebber
4.710%, dated 01/29/99,
matures 02/01/99, repurchase
price $2,559,004 (collateralized
by U.S. Treasury Note, par
value $1,785,000, 8.875%,
02/15/19; with total
market value of $2,623,629) $2,558 $ 2,558
--------
Total Repurchase Agreement
(Cost $2,558) 2,558
--------
TOTAL INVESTMENTS -- 98.2%
(Cost $118,615) 122,386
--------
OTHER ASSETS AND LIABILITIES -- 1.8%
Other Assets and Liabilities, Net 2,271
--------
NET ASSETS:
Fund Shares of Class A (unlimited
authorization -- no par value) based on
12,172,458 outstanding shares of
beneficial interest 126,426
Undistributed net investment income 88
Accumulated net realized loss
on investments (5,628)
Net unrealized appreciation
on investments 3,771
----------
TOTAL NET ASSETS -- 100.0% $124,657
==========
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE -- CLASS A $10.24
==========
FHLMC -- FEDERAL HOME LOAN MORTGAGE CORPORATION
FNMA -- FEDERAL NATIONAL MORTGAGE ASSOCIATION
GNMA -- GOVERNMENT NATIONAL MORTGAGE ASSOCIATION
GNMA FUND
- --------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
U.S. GOVERNMENT MORTGAGE-BACKED
OBLIGATIONS -- 97.1%
GNMA
12.500%, 12/15/06-07/15/15 $ 25 $ 30
12.000%, 04/15/14 1 2
11.500%, 02/15/13 37 42
10.500%, 03/15/18 43 48
10.000%, 09/15/15-07/15/20 300 327
9.500%, 06/15/09-12/15/20 5,033 5,409
9.000%, 05/15/16-05/15/22 3,755 4,005
8.500%, 08/15/08-12/15/19 1,293 1,374
8.000%, 12/15/21-11/15/23 5,399 5,624
7.500%, 02/15/17-10/15/25 11,966 12,368
7.000%, 05/15/23-11/15/28 18,772 19,241
6.500%, 09/15/10-11/15/28 29,591 29,949
6.000%, 08/15/26-03/15/26 19,566 19,421
--------
Total U.S. Government Mortgage-Backed
Obligations
(Cost $95,856) 97,840
--------
REPURCHASE AGREEMENT -- 2.7%
PaineWebber
4.710%, dated 01/29/99, matures
02/01/99, repurchase price $2,745,077
(collateralized by U.S. Treasury Note,
par value $2,745,000, 5.875%,
11/15/99; with total market
value of $2,804,180) 2,744 2,744
--------
Total Repurchase Agreement
(Cost $2,744) 2,744
--------
TOTAL INVESTMENTS -- 99.8%
(Cost $98,600) 100,584
--------
OTHER ASSETS AND LIABILITIES -- 0.2%
Other Assets and Liabilities, Net 215
--------
NET ASSETS:
Fund Shares of Class A (unlimited
authorization -- no par value) based on
10,175,551 outstanding shares of
beneficial interest 110,989
Undistributed net investment income 141
Accumulated net realized loss
on investments (12,315)
Net unrealized appreciation
on investments 1,984
--------
TOTAL NET ASSETS -- 100.0% $100,799
========
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE -- CLASS A $9.91
========
GNMA GOVERNMENT NATIONAL MORTGAGE ASSOCIATION
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
22
<PAGE>
- --------------------------------------------------------------------------------
CORPORATE DAILY INCOME
FUND
- ------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- ------------------------------------------------------------
CORPORATE OBLIGATIONS -- 30.7%
BANKS -- 12.1%
Banc One Corporation (A)
5.385%, 03/25/01 $2,000 $ 2,002
Huntington National Bank
5.875%, 01/15/01 1,500 1,517
J.P. Morgan & Company
5.750%, 03/10/99 2,000 2,001
NationsBank MTN (A)
5.390%, 06/23/99 2,000 2,000
Norwest (A)
5.270%, 02/24/99 1,600 1,600
Wachovia Corporation (A)
5.183%, 10/09/01 1,750 1,750
-------
10,870
-------
CHEMICALS -- 1.1%
Monsanto Corporation
5.375%, 12/01/01 1,000 994
-------
FINANCIAL SERVICES -- 14.6%
American General Finance
5.730%, 11/26/01 1,000 1,007
Associates of North America
5.850%, 01/15/01 1,500 1,515
Caterpillar Financial Services
Corporation MTN (A)
4.310%, 04/01/99 1,000 995
Chrysler Financial Corporation LLC
4.910%, 10/10/00 1,000 993
Cit Group Holding Incorporated MTN
5.850%, 02/05/01 1,500 1,513
Ford Motor Credit Corporation (A)
4.200%, 02/15/99 1,500 1,500
General Electric Capital Corporation
5.772%, 08/27/01 1,750 1,776
General Motors Acceptance
Corporation (A)
4.630%, 03/25/99 1,000 1,000
GTE Funding
5.160%, 02/18/99 800 798
Sears Roebuck MTN (A)
4.433%, 03/10/99 1,000 1,000
United States West Capital
Funding Incorporated
6.125%, 07/15/02 1,000 1,021
-------
13,118
-------
GENERAL UTILITIES -- 1.8%
Baltimore Gas & Electric (A)
5.200%, 03/15/99 1,600 1,599
-------
- -----------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- -----------------------------------------------------------
LEASING & RENTING -- 1.1%
International Lease Finance (A)
5.230%, 07/15/99 $1,000 $ 1,000
-------
Total Corporate Obligations
(Cost $27,505) 27,581
-------
U.S. GOVERNMENT MORTGAGE-BACKED
OBLIGATIONS -- 15.0%
FNMA
6.000%, 04/01/01 5,230 5,327
6.500%, 09/01/02 2,916 2,953
GNMA
6.500%, 07/20/02 5,143 5,202
-------
Total U.S. Government Mortgage-
Backed Obligations
(Cost $13,372) 13,482
-------
ASSET BACKED SECURITIES -- 28.1%
AUTOMOTIVE -- 23.2%
Aesop Funding 97-1 A-1
6.220%, 10/20/01 1,000 1,015
Chase Auto Owner Trust 98-B A3
5.750%, 10/15/01 1,500 1,521
Chase Auto Owner Trust 98-4 A3
5.700%, 09/07/01 1,000 1,008
Chase Manhattan 97-B
6.350%, 02/15/01 1,260 1,273
Ford Credit Auto Owner
Trust 98-C A3
5.730%, 11/15/00 1,750 1,754
Ford Credit Auto Owner
Trust 99-A A4
5.300%, 11/15/01 1,250 1,251
Ford Credit Auto Trust 97-B A3
6.050%, 04/15/01 1,750 1,761
Ford Credit Grantor Trust 95-B A
5.900%, 10/15/00 272 274
Ford Motor Credit 98-B A2 (A)
5.800%, 10/15/00 797 801
General Motors Acceptance 97-A
6.500%, 04/15/02 738 748
Premier Auto Trust 98-3 A2
5.820%, 12/08/00 1,645 1,658
Premier Auto Trust 98-4 A3
5.690%, 06/08/02 1,500 1,513
Premier Auto Trust 98-1 A3
5.630%, 08/06/01 1,500 1,513
Premier Auto Trust 98-2 A3
5.770%, 01/06/02 1,000 1,008
Premier Auto Trust 96-4 A3
6.200%, 11/06/00 373 376
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
23
<PAGE>
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
SEI DAILY INCOME TRUST -- JANUARY 31, 1999
CORPORATE DAILY INCOME
FUND (concluded)
- ------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- ------------------------------------------------------------
Premier Auto, Ser 1997-2 A3
6.130%, 09/06/00 $1,500 $ 1,516
Rental Car Finance Corporation
Auto Trust 97-1 A1
6.250%, 06/25/03 1,500 1,507
Toyota Receivables 97-A (A)
6.450%, 04/15/02 361 364
-------
20,861
-------
CREDIT CARDS -- 1.1%
AT&T 97 1-A (A)
5.492%, 04/17/04 1,000 1,000
-------
EQUIPMENT FUNDING -- 1.6%
IBM Credit Receivables Lease
Asset Master Trust 93-1 A
4.550%, 11/15/00 388 388
Newcourt Equipment Trust 98-2 A2
5.380%, 10/15/00 1,090 1,088
-------
1,476
-------
MORTGAGE RELATED -- 2.2%
Bank of Boston Commercial
Loan Master LLC 98-1A
5.530%, 11/16/03 1,000 1,000
Main Place Funding 95-2 (A)
5.141%, 10/25/00 1,000 1,001
-------
2,001
-------
Total Asset Backed Securities
(Cost $25,181) 25,338
-------
CERTIFICATES OF DEPOSIT/BANK NOTES -- 15.8%
Bank of America
5.630%, 02/26/99 1,500 1,500
Bank of New York
5.570%, 03/17/99 2,000 2,001
Chase Manhattan
5.740%, 05/10/99 2,000 2,004
First National Bank of Chicago
5.740%, 05/07/99 2,000 2,003
Harris Bankcorp
5.020%, 01/18/00 1,250 1,251
Key Bank of North America (A)
5.318%, 10/26/01 1,500 1,500
Regions Bank
5.770%, 05/21/99 2,000 2,004
Wilmington Trust
5.900%, 04/30/99 2,000 2,004
-------
Total Certificates of Deposit/Bank Notes
(Cost $14,248) 14,267
-------
- ------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- ------------------------------------------------------------
REPURCHASE AGREEMENT -- 9.5%
PaineWebber
4.710%, dated 01/29/99, matures
02/01/99, repurchase price $8,582,367
(collateralized by U.S. Treasury Note,
par value $6,665,000, 7.625%,
11/15/22; with total market value
of $8,868,847) $8,579 $ 8,579
-------
Total Repurchase Agreement
(Cost $8,579) 8,579
-------
TOTAL INVESTMENTS -- 99.1%
(Cost $88,885) 89,247
-------
OTHER ASSETS AND LIABILITIES -- 0.9%
Other Assets and Liabilities, Net 796
-------
NET ASSETS:
Fund Shares of Class A
(unlimited authorization -- no
par value) based on
45,009,587 outstanding shares of
beneficial interest 89,685
Distributions in excess of net
investment income (51)
Accumulated net realized gain
on investments 47
Net unrealized appreciation
on investments 362
-------
TOTAL NET ASSETS -- 100.0% $90,043
=======
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, 1999.
FNMA -- FEDERAL NATIONAL MORTGAGE ASSOCIATION
GNMA -- GOVERNMENT NATIONAL MORTGAGE ASSOCIATION
LLC -- LIMITED LIABILITY COMPANY
MTN -- MEDIUM TERM NOTE
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
24
<PAGE>
[THIS PAGE INTENTIONALLY LEFT BLANK]
<PAGE>
STATEMENT OF OPERATIONS (000)
- --------------------------------------------------------------------------------
SEI DAILY INCOME TRUST -- FOR THE YEAR ENDED JANUARY 31, 1999
------- ---------- -------------
MONEY
MARKET GOVERNMENT GOVERNMENT II
FUND FUND FUND
------- ---------- -------------
Interest Income $52,496 $73,559 $49,971
------- ------- -------
EXPENSES:
Management fees 3,151 3,248 1,758
Less: Management fees waived (1,868) (1,132) (353)
Investment advisory fees 222 315 215
Less: Investment advisory fees waived (153) (236) (150)
Distribution fees (1) 2,701 8,884 2,452
Less: Distribution fees waived (2,068) (1,503) (2,081)
Custodian/transfer agent fees 64 143 158
Trustee fees 9 14 11
Registration fees 227 260 142
Other 59 95 70
------- ------- -------
Total expenses 2,344 10,088 2,222
------- ------- -------
NET INVESTMENT INCOME 50,152 63,471 47,749
------- ------- -------
NET REALIZED AND UNREALIZED GAIN
ON INVESTMENTS:
Net realized gain from security
transactions 6 93 109
------- ------- -------
Net change in unrealized appreciation
of investments -- -- --
------- ------- -------
NET INCREASE IN NET ASSETS FROM OPERATIONS $50,158 $63,564 $47,858
======= ======= =======
(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.
26
<PAGE>
- --------------------------------------------------------------------------------
<TABLE>
STATEMENT OF OPERATIONS (000)
SEI DAILY INCOME TRUST -- FOR THE YEAR ENDED JANUARY 31, 1999
<S> <C> <C> <C> <C> <C> <C> <C>
---------- ---------- ----------- ---------- ------------- ------ ---------
SHORT- INTERMEDIATE- CORPORATE
PRIME DURATION DURATION DAILY
OBLIGATION TREASURY TREASURY II GOVERNMENT GOVERNMENT GNMA INCOME
FUND FUND FUND FUND FUND FUND FUND
---------- ---------- ----------- ---------- ------------- ------ -------
Interest Income $221,913 $24,341 $36,904 $5,254 $7,190 $5,877 $4,529
-------- ------- ------- ------ ------ ------ ------
EXPENSES:
Management fees 7,634 1,094 1,758 319 417 279 277
Less: Management fees waived (1,364) (456) (246) (32) (8) -- (94)
Investment advisory fees 934 106 171 91 119 87 79
Less: Investment advisory fees waived (641) (83) (110) (19) (9) (1) (35)
Distribution fees (1) 10,811 1,764 1,918 228 298 218 198
Less: Distribution fees waived (8,833) (542) (1,539) (228) (296) (106) (198)
Custodian/transfer agent fees 369 64 95 14 29 16 10
Trustee fees 45 4 9 1 1 1 1
Registration fees 783 141 100 20 16 11 21
Other 287 42 59 17 29 19 18
-------- ------- ------- ------ ------ ------ ------
Total expenses 10,025 2,134 2,215 411 596 524 277
-------- ------- ------- ------ ------ ------ ------
NET INVESTMENT INCOME 211,888 22,207 34,689 4,843 6,594 5,353 4,252
-------- ------- ------- ------ ------ ------ ------
NET REALIZED AND UNREALIZED GAIN
ON INVESTMENTS:
Net realized gain from security
transactions 76 4 263 474 446 37 50
-------- ------- ------- ------ ------ ------ ------
Net change in unrealized appreciation
of investments -- -- -- 378 1,331 245 109
-------- ------- ------- ------ ------ ------ ------
NET INCREASE IN NET ASSETS FROM OPERATIONS $211,964 $22,211 $34,952 $5,695 $8,371 $5,635 $4,411
-------- ------- ------- ------ ------ ------ ------
</TABLE>
27
<PAGE>
STATEMENT OF CHANGES IN NET ASSETS (000)
- --------------------------------------------------------------------------------
SEI DAILY INCOME TRUST -- FOR THE YEARS ENDED JANUARY 31
<TABLE>
------------------------
MONEY MARKET
FUND
------------------------
<S> <C> <C>
1999 1998
------------------------
OPERATIONS:
Net investment income $ 50,152 $ 34,507
Net realized gain (loss) from security transactions 6 (31)
---------- ----------
Net increase in net assets from operations 50,158 34,476
---------- ----------
DIVIDENDS DISTRIBUTED FROM:
Net investment income:
Class A (44,080) (31,852)
Class B (210) (154)
Class C (5,954) (2,496)
CNI Class* -- --
Sweep Class (37) --
---------- ----------
Total dividends distributed (50,281) (34,502)
---------- ----------
CAPITAL SHARE TRANSACTIONS (ALL AT $1.00 PER SHARE): Class A:
Proceeds from shares issued 15,609,293 9,670,017
Reinvestment of cash distributions 32,041 21,678
Cost of shares redeemed (15,150,018) (9,339,689)
---------- ----------
Increase (decrease) in net assets from Class A transactions 491,316 352,006
---------- ----------
Class B:
Proceeds from shares issued 32,514 20,450
Reinvestment of cash distributions 138 149
Cost of shares redeemed (32,159) (13,985)
---------- ----------
Increase (decrease) in net assets from Class B transactions 493 6,614
---------- ----------
Class C:
Proceeds from shares issued 629,568 266,102
Reinvestment of cash distributions 148 291
Cost of shares redeemed (583,792) (209,997)
---------- ----------
Increase in net assets from Class C transactions 45,924 56,396
---------- ----------
CNI Class*:
Proceeds from shares issued -- --
Reinvestment of cash distributions -- --
Cost of shares redeemed -- --
---------- ----------
Increase in net assets from CNI Class transactions -- --
---------- ----------
Sweep Class:
Proceeds from shares issued 15,589 --
Reinvestment of cash distributions -- --
Cost of shares redeemed (8,920) --
---------- ----------
Increase in net assets from Sweep Class transactions 6,669 --
---------- ----------
INCREASE (DECREASE) IN NET ASSETS DERIVED FROM CAPITAL SHARE TRANSACTIONS 544,402 415,016
---------- ----------
Net increase (decrease) in net assets 544,279 414,990
---------- ----------
NET ASSETS:
Beginning of Period 815,340 400,350
---------- ----------
End of Period $1,359,619 $ 815,340
========== ==========
</TABLE>
*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.
28
<PAGE>
STATEMENT OF CHANGES IN NET ASSETS (000)
- --------------------------------------------------------------------------------
<TABLE>
SEI DAILY INCOME TRUST -- FOR THE YEARS ENDED JANUARY 31
---------------------- ---------------------- ------------------------ ---------------------- ---------------------
GOVERNMENT GOVERNMENT II PRIME OBLIGATION TREASURY TREASURY II
FUND FUND FUND FUND FUND
---------------------- ---------------------- ------------------------ ---------------------- ----------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
1999 1998 1999 1998 1999 1998 1999 1998 1999 1998
---------------------- ---------------------- ------------------------ ---------------------- ----------------------
$ 63,471 $ 47,870 $ 47,749 $ 47,365 $ 211,888 $ 178,335 $ 22,207 $ 9,440 $ 34,689 $ 43,267
93 (7) 109 (35) 76 (88) 4 (9) 263 (353)
---------- ---------- ---------- ---------- ----------- ----------- ---------- --------- ----------- ----------
63,564 47,863 47,858 47,330 211,964 178,247 22,211 9,431 34,952 42,914
---------- ---------- ---------- ---------- ----------- ----------- ---------- --------- ----------- ----------
(9,376) (7,425) (43,307) (45,738) (188,119) (165,176) (11,134) (5,276) (29,617) (40,342)
(1,930) (1,551) (2,244) (962) (11,254) (8,725) (3,877) (1,195) (4,448) (2,590)
(3,697) (893) (2,183) (664) (12,549) (4,445) (3,921) (1,768) (627) (332)
(48,389) (38,003) -- -- -- -- -- -- -- --
(64) -- -- -- (34) -- (3,267) (1,214) -- --
---------- ---------- ---------- ---------- ----------- ----------- ---------- --------- ----------- ----------
(63,456) (47,872) (47,734) (47,364) (211,956) (178,346) (22,199) (9,453) (34,692) (43,264)
---------- ---------- ---------- ---------- ----------- ----------- ---------- --------- ----------- ----------
1,176,639 1,237,002 5,668,481 5,919,701 38,341,442 32,126,995 1,467,740 823,758 3,950,551 4,053,466
5,388 4,258 7,774 3,860 58,423 59,509 4,229 1,252 5,374 7,332
(1,119,965) (1,214,703) (5,596,396) (5,822,115) (37,164,764) (31,565,211) (1,390,083) (705,129) (4,252,462) (4,093,131)
---------- ---------- ---------- ---------- ----------- ----------- ---------- --------- ----------- ----------
62,062 26,557 79,859 101,446 1,235,101 621,293 81,886 119,881 (296,537) (32,333)
---------- ---------- ---------- ---------- ----------- ----------- ---------- --------- ----------- ----------
314,201 396,652 294,750 135,965 2,585,992 2,218,238 392,282 215,467 465,292 238,316
406 2,291 512 263 1,039 503 29 -- 2,516 176
(309,037) (422,984) (262,282) (120,700) (2,544,237) (2,178,430) (364,327) (147,368) (399,857) (223,046)
---------- ---------- ---------- ---------- ----------- ----------- ---------- --------- ----------- ----------
5,570 (24,041) 32,980 15,528 42,794 40,311 27,984 68,099 67,951 15,446
---------- ---------- ---------- ---------- ----------- ----------- ---------- --------- ----------- ----------
994,924 310,448 154,260 160,703 1,318,675 718,315 504,608 230,513 143,516 98,675
12 30 5 -- 68 59 -- -- 4 78
(980,387) (285,137) (138,832) (131,790) (1,174,770) (514,796) (454,730) (201,655) (135,994) (91,434)
---------- ---------- ---------- ---------- ----------- ----------- ---------- --------- ----------- ----------
14,549 25,341 15,433 28,913 143,973 203,578 49,878 28,858 7,526 7,319
---------- ---------- ---------- ---------- ----------- ----------- ---------- --------- ----------- ----------
3,406,554 2,355,149 -- -- -- -- -- -- -- --
36,054 25,953 -- -- -- -- -- -- -- --
(3,270,536) (2,090,084) -- -- -- -- -- -- -- --
---------- ---------- ---------- ---------- ----------- ----------- ---------- --------- ----------- ----------
172,072 291,018 -- -- -- -- -- -- -- --
---------- ---------- ---------- ---------- ----------- ----------- ---------- --------- ----------- ----------
43,353 -- -- -- 10,789 -- 262,848 194,085 -- --
-- -- -- -- 13 -- 1 -- -- --
(40,105) -- -- -- (5,157) -- (259,557) (125,016) -- --
---------- ---------- ---------- ---------- ----------- ----------- ---------- --------- ----------- ----------
3,248 -- -- -- 5,645 -- 3,292 69,069 -- --
---------- ---------- ---------- ---------- ----------- ----------- ---------- --------- ----------- ----------
257,501 318,875 128,272 145,887 1,427,513 865,182 163,040 285,907 (221,060) (9,568)
---------- ---------- ---------- ---------- ----------- ----------- ---------- --------- ----------- ----------
257,609 318,866 128,396 145,853 1,427,521 865,083 163,052 285,885 (220,800) (9,918)
---------- ---------- ---------- ---------- ----------- ----------- ---------- --------- ----------- ----------
1,105,569 786,703 930,550 784,697 3,642,042 2,776,959 378,713 92,828 829,476 839,394
---------- ---------- ---------- ---------- ----------- ----------- ---------- --------- ----------- ----------
$1,363,178 $1,105,569 $1,058,946 $ 930,550 $ 5,069,563 $ 3,642,042 $ 541,765 $ 378,713 $ 608,676 $ 829,476
========== ========== ========== ========== =========== =========== ========== ========= =========== ==========
</TABLE>
29
<PAGE>
STATEMENT OF CHANGES IN NET ASSETS (000)
- --------------------------------------------------------------------------------
SEI DAILY INCOME TRUST -- FOR THE YEARS ENDED JANUARY 31
<TABLE>
----------------------
SHORT-DURATION
GOVERNMENT
FUND
----------------------
<S> <C> <C>
1999 1998
----------------------
OPERATIONS:
Net investment income $ 4,843 $ 4,643
Net realized gain (loss) from security transactions 474 440
Net change in unrealized appreciation of investments 378 361
-------- --------
Net increase in net assets from operations 5,695 5,444
-------- --------
DIVIDENDS DISTRIBUTED FROM:
Net investment income:
Class A (4,833) (4,635)
Class B (1) (1)
-------- --------
Total dividends distributed (4,834) (4,636)
-------- --------
CAPITAL SHARE TRANSACTIONS:
Class A:
Proceeds from shares issued 75,964 56,566
Reinvestment of cash distributions 2,384 2,063
Cost of shares redeemed (61,175) (51,968)
-------- --------
Increase (decrease) in net assets from Class A transactions 17,173 6,661
-------- --------
Class B:
Proceeds from shares issued -- --
Reinvestment of cash distributions -- --
Cost of shares redeemed -- --
-------- --------
Decrease in net assets from Class B transactions -- --
-------- --------
INCREASE (DECREASE) IN NET ASSETS DERIVED FROM CAPITAL SHARE TRANSACTIONS 17,173 6,661
-------- --------
Net increase (decrease) in net assets 18,034 7,469
-------- --------
NET ASSETS:
Beginning of Period 81,027 73,558
-------- --------
End of Period $ 99,061 $ 81,027
======== ========
CAPITAL SHARES ISSUED AND REDEEMED:
Class A:
Shares issued 7,514 5,674
Shares issued in lieu of cash distributions 236 207
Shares redeemed (6,057) (5,215)
-------- --------
Total Class A transactions 1,693 666
-------- --------
Class B:
Shares issued -- --
Shares issued in lieu of cash distributions -- --
Shares redeemed -- --
-------- --------
Total Class B transactions -- --
-------- --------
Increase (Decrease) in capital shares 1,693 666
======== ========
</TABLE>
AMOUNTS DESIGNATED AS "--" ARE EITHER $0 OR HAVE BEEN ROUNDED TO $0.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
30
<PAGE>
<TABLE>
- ---------------------- ---------------------- ----------------------
INTERMEDIATE- CORPORATE
DURATION DAILY
GOVERNMENT GNMA INCOME
FUND FUND FUND
- ---------------------- ---------------------- ----------------------
<S> <C> <C> <C> <C> <C>
1999 1998 1999 1998 1999 1998
- ---------------------- ----------------------- ----------------------
$ 6,594 $ 6,743 $ 5,353 $ 5,718 $ 4,252 $ 3,276
446 (326) 37 (238) 50 16
1,331 3,610 245 2,151 109 306
-------- -------- -------- -------- --------- -------
8,371 10,027 5,635 7,631 4,411 3,598
-------- -------- -------- -------- --------- -------
(6,589) (6,746) (5,345) (5,727) (4,319) (3,276)
-- -- -- -- -- --
-------- -------- -------- -------- --------- -------
(6,589) (6,746) (5,345) (5,727) (4,319) (3,276)
-------- -------- -------- -------- --------- -------
67,844 40,850 57,954 19,575 68,896 48,243
2,341 1,826 1,828 1,754 2,998 2,003
(64,417) (62,525) (37,065) (47,328) (51,514) (36,780)
-------- -------- -------- -------- --------- -------
5,768 (19,849) 22,717 (25,999) 20,380 13,466
-------- -------- -------- -------- --------- -------
-- -- -- -- -- --
-- -- -- -- -- --
-- -- -- -- -- --
-------- -------- -------- -------- --------- -------
-- -- -- -- -- --
-------- -------- -------- -------- --------- -------
5,768 (19,849) 22,717 (25,999) 20,380 13,466
-------- -------- -------- -------- --------- -------
7,550 (16,568) 23,007 (24,095) 20,472 13,788
-------- -------- -------- -------- --------- -------
17,107 133,675 77,792 101,887 69,571 55,783
-------- -------- -------- -------- --------- -------
$124,657 $117,107 $100,799 $ 77,792 $ 90,043 $69,571
======== ======== ======== ======== ========= =======
6,668 4,131 5,860 2,021 34,453 24,250
231 185 185 181 1,501 1,008
(6,354) (6,358) (3,752) (4,898) (25,754) (18,508)
-------- -------- -------- -------- --------- -------
545 (2,042) 2,293 (2,696) 10,200 6,750
-------- -------- -------- -------- --------- -------
-- -- -- -- -- --
-- -- -- -- -- --
-- -- -- -- -- --
-------- -------- -------- -------- --------- -------
-- -- -- -- -- --
-------- -------- -------- -------- --------- -------
545 (2,042) 2,293 (2,696) 10,200 6,750
======== ======== ======== ======== ========= =======
</TABLE>
31
<PAGE>
FINANCIAL HIGHLIGHTS
<TABLE>
- -------------------------------------------------------------------------------------------------------------------
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 FUND
- -----------------
CLASS A
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
1999 $1.00 $0.05 $ -- $(0.05) $ -- $1.00 5.50% $1,212,244 0.18% 5.32%
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
CLASS B
1999 $1.00 $0.05 $ -- $(0.05) $ -- $1.00 5.18% $ 7,875 0.48% 5.08%
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
CLASS C
1999 $1.00 $0.05 $ -- $(0.05) $ -- $1.00 4.97% $ 132,831 0.68% 4.84%
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
SWEEP CLASS
1999(3) $1.00 $0.02 $ -- $(0.02) $ -- $1.00 4.56% $ 6,669 0.93% 4.36%
- ---------------
GOVERNMENT FUND
- ---------------
CLASS A
1999 $1.00 $0.05 $ -- $(0.05) $ -- $1.00 5.39% $ 204,988 0.20% 5.22%
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(4) 1.00 0.01 -- (0.01) -- 1.00 1.48+ 48,762 0.20 5.55
1994(5) 1.00 0.01 -- (0.01) -- 1.00 3.22 -- 0.20 3.04
CLASS B
1999 $1.00 $0.05 $ -- $(0.05) $ -- $1.00 5.08% $ 34,676 0.50% 4.92%
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
1999 $1.00 $0.05 $ -- $(0.05) $ -- $1.00 4.87% $ 39,881 0.70% 4.70%
1998(7) 1.00 $0.03 -- (0.03) -- 1.00 5.01 25,341 0.70 4.94
CNI CLASS
1999 $1.00 $0.05 $ -- $(0.05) $ -- $1.00 4.71% $1,080,385 0.85% 4.59%
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
SWEEP CLASS
1999(3) $1.00 $0.03 $ -- $(0.03) $ -- $1.00 4.49% $ 3,248 0.95% 4.37%
- ------------------
GOVERNMENT II FUND
- ------------------
CLASS A
1999 $1.00 $0.05 $ -- $(0.05) $ -- $1.00 5.33% $ 943,396 0.20% 5.20%
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
CLASS B
1999 $1.00 $0.05 $ -- $(0.05) $ -- $1.00 5.01% $ 64,838 0.50% 4.86%
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
CLASS C
1999 $1.00 $0.05 $ -- $(0.05) $ -- $1.00 4.81% $ 50,712 0.70% 4.70%
1998 1.00 0.05 -- (0.05) -- 1.00 4.93% 35,272 0.70 4.82
1997(10) 1.00 0.01 -- (0.01) -- 1.00 4.71 6,359 0.70 4.69
</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 FUND
- -----------------
CLASS A
<S> <C> <C>
1999 0.64% 4.86%
1998 0.66 5.03
1997 0.63 4.86
1996 0.45 5.63
1995 0.45 4.25
CLASS B
1999 0.69% 4.87%
1998(1) 0.72 5.02
1997 0.76 4.70
1996 0.75 5.28
1995 0.75 4.25
CLASS C
1999 0.89% 4.63%
1998 0.92 4.78
1997 0.92 4.58
1996(2) 0.96 4.91
SWEEP CLASS
1999 1.14% 4.15%
- ---------------
GOVERNMENT FUND
- ---------------
CLASS A
1999 0.55% 4.87%
1998 0.56 5.04
1997 0.55 4.87
1996(4) 0.33 5.42
1994(5) 0.37 2.87
CLASS B
1999 0.60% 4.82%
1998 0.61 4.95
1997 0.62 4.79
1996(6) 0.63 5.14
CLASS C
1999 0.80% 4.60%
1998(7) 0.81 4.83
CNI CLASS
1999 1.05% 4.39%
1998 1.06 4.54
1997 1.03 4.38
1996 0.84 5.09
1995(8) 0.89 4.13
SWEEP CLASS
1999(9) 1.05 4.27
- ------------------
GOVERNMENT II FUND
- ------------------
CLASS A
1999 0.50% 4.90%
1998 0.51 5.01
1997 0.45 4.92
1996 0.29 5.60
1995 0.30 4.23
CLASS B
1999 0.55% 4.81%
1998 0.56 4.96
1997 0.56 4.81
1996 0.59 5.32
1995 0.60 4.23
CLASS C
1999 0.75% 4.65%
1998 0.76 4.76
1997(9) 0.75 4.64
</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 FUND
- ---------------------
CLASS A
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
1999 $1.00 $0.05 $ -- $(0.05) $ -- $1.00 5.48% $4,482,676 0.20% 5.32%
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
CLASS B
1999 $1.00 $0.05 $ -- $(0.05) $ -- $1.00 5.16% $ 229,361 0.50% 5.04%
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
CLASS C
1999 $1.00 $0.05 $ -- $(0.05) $ -- $1.00 4.96% $ 351,881 0.70% 4.82%
1998 1.00 0.05 -- (0.05) -- 1.00 5.06 207,908 0.70 5.02
1997(11) 1.00 0.04 -- (0.04) -- 1.00 4.85 4,332 0.70 4.79
1995(12) 1.00 0.03 -- (0.03) -- 1.00 2.55+ -- 0.70 2.79
1994 1.00 0.03 -- (0.02) -- 1.00 2.59 20,602 0.70 2.57
SWEEP CLASS
1999(13)$1.00 $0.03 $ -- $(0.03) $ -- $1.00 4.61% $ 5,645 0.95% 4.35%
- -------------
TREASURY FUND
- -------------
CLASS A
1999 $1.00 $0.05 $ -- $(0.05) $ -- $1.00 5.28% $269,680 0.20% 5.14%
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
CLASS B
1999 $1.00 $0.05 $ -- $(0.05) $ -- $1.00 4.97% $ 96,074 0.50% 4.86
1998(14) 1.00 0.03 -- (0.03) -- 1.00 5.18 68,089 0.50 5.13
CLASS C
1999 $1.00 $0.05 $ -- $(0.05) $ -- $1.00 4.76% $103,643 0.70% 4.62%
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(15) 1.00 0.03 -- (0.03) -- 1.00 2.68+ 14,691 0.70 5.12
SWEEP CLASS
1999 $1.00 $0.04 $ -- $(0.04) $ -- $1.00 4.50% $ 72,368 0.95% 4.40%
1998(16) 1.00 0.02 -- (0.02) -- 1.00 4.74 69,066 0.95 4.71
</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 FUND
- ---------------------
CLASS A
<S> <C> <C>
1999 0.50% 5.02%
1998 0.51 5.15
1997 0.45 5.01
1996 0.29 5.73
1995 0.30 4.31
CLASS B
1999 0.55% 4.99%
1998 0.56 5.10
1997 0.56 4.89
1996 0.58 5.30
1995 0.60 4.45
CLASS C
1999 0.75% 4.77%
1998 0.76 4.96
1997(11) 0.74 4.75
1995(12) 0.77 2.72
1994 0.78 2.48
- -------------
TREASURY FUND
- -------------
CLASS A
1999 0.57% 4.77%
1998 0.59 4.97
1997 0.60 4.79
1996 0.36 5.56
1995 0.34 4.03
CLASS B
1999 0.62% 4.74%
1998(14) 0.64 4.99
CLASS C
1999 0.82% 4.50%
1998 0.84 4.72
1997 0.90 4.50
1996(14) 0.87 4.95
SWEEP CLASS
1999 1.07% 4.28%
1998(17) 1.08 4.58
<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 MONEY MARKET SWEEP CLASS SHARES WERE OFFERED BEGINNING JULY 15, 1998. ALL
RATIOS AND TOTAL RETURN FOR THAT PERIOD HAVE BEEN ANNUALIZED.
4 GOVERNMENT CLASS A SHARES WERE RE-OFFERED BEGINNING OCTOBER 27, 1995. ALL
RATIOS FOR THAT PERIOD HAVE BEEN ANNUALIZED.
5 GOVERNMENT CLASS A SHARES WERE FULLY LIQUIDATED JUNE 2, 1993. ALL RATIOS AND
TOTAL RETURN FOR THAT PERIOD HAVE BEEN ANNUALIZED.
6 GOVERNMENT CLASS 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 SWEEP CLASS SHARES WERE OFFERED BEGINNING JUNE 4, 1998. ALL RATIOS
AND TOTAL RETURN FOR THAT PERIOD HAVE BEEN ANNUALIZED.
10 GOVERNMENT II CLASS C SHARES WERE OFFERED BEGINNING NOVEMBER 27, 1996.
ALL RATIOS AND TOTAL RETURN FOR THAT PERIOD HAVE BEEN ANNUALIZED.
11 PRIME OBLIGATION CLASS C SHARES WERE RE-OFFERED BEGINNING APRIL 30, 1996.
ALL RATIOS AND TOTAL RETURN FOR THE PERIOD HAVE BEEN ANNUALIZED.
12 PRIME OBLIGATION CLASS C SHARES WERE FULLY LIQUIDATED OCTOBER 27, 1994.
ALL RATIOS FOR THAT PERIOD HAVE BEEN ANNUALIZED.
13 PRIME OBLIGATION SWEEP CLASS SHARES WERE OFFERED BEGINNING MAY 18, 1998.
ALL RATIOS AND TOTAL RETURN FOR THAT PERIOD HAVE BEEN ANNUALIZED.
14 TREASURY CLASS B SHARES WERE OFFERED BEGINNING AUGUST 4, 1997.
ALL RATIOS AND TOTAL RETURN FOR THAT PERIOD HAVE BEEN ANNUALIZED.
15 TREASURY CLASS C SHARES WERE OFFERED BEGINNING JULY 27, 1995.
ALL RATIOS FOR THAT PERIOD HAVE BEEN ANNUALIZED.
16 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 INTERNAL PART OF THE FINANCIAL STATEMENTS.
33
<PAGE>
</FN>
</TABLE>
<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
- ------------------------------------------------------------------------------------------------------------------------------------
- ----------------
TREASURY II FUND
- ----------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
CLASS A
1999 $1.00 $0.05 $ -- $(0.05) $ -- $ 1.00 4.86% $451,738 0.25% 4.81%
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
CLASS B
1999 $1.00 $0.04 $ -- $(0.04) $ -- $ 1.00 4.55% $137,577 0.55% 4.36%
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
CLASS C
1999 $1.00 $0.04 $ -- $(0.04) $ -- $ 1.00 4.34% $ 19,361 0.75% 4.21%
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(1) 1.00 0.04 -- (0.04) -- 1.00 3.64+ 3,935 0.75 4.85
- ------------------------------
SHORT-DURATION GOVERNMENT FUND
- ------------------------------
CLASS A
1999 $10.06 $0.54 $ -- $(0.54) $ -- $10.16 6.49% $ 99,047 0.45% 5.31%
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
CLASS B
1999 $10.04 $0.51 $0.11 $(0.51) $ -- $10.15 6.28% $ 14 0.75% 5.02%
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
CLASS D
1997(2)$10.09 $0.23 $(0.19) $(0.23) $ -- $ 9.90 0.35%+ $ -- 0.85% 5.54%
1996(3) 9.83 0.54 0.26 (0.54) -- 10.09 8.31+ 11 0.85 5.86
- -------------------------------------
INTERMEDIATE-DURATION GOVERNMENT FUND
- -------------------------------------
CLASS A
1999 $10.07 $0.56 $0.17 $(0.56) $ -- $10.24 7.46% $124,657 0.50% 5.54%
1998 9.78 0.58 0.29 (0.58) -- 10.07 9.15 117,107 0.50 5.85
1997 10.06 0.55 (0.28) (0.55) -- 9.78 2.81 133,675 0.49 5.59
1996 9.33 0.60 0.73 (0.60) -- 10.06 14.60 164,978 0.45 6.12
1995 10.13 0.50 (0.73) (0.50) (0.07) 9.33 (2.19) 243,671 0.45 5.20
CLASS B
1996(4)$ 9.33 $0.50 $0.65 $(0.50) $ -- $ 9.98 12.26%+ $ -- 0.75% 5.82%
1995(5) 9.64 0.31 (0.24) (0.31) (0.07) 9.33 0.61+ 93 0.75 5.07
CLASS D
1997(6)$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(7) 10.44 0.17 (0.10) (0.17) (0.21) 10.13 1.52 107 0.75 4.94
</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
- ------------------------------------------
- ----------------
TREASURY II FUND
- ----------------
CLASS A
<S> <C> <C> <C>
1999 0.55% 4.51% --
1998 0.56% 4.77 --
1997 0.52 4.69 --
1996 0.34 5.35 --
1995 0.35 4.01 --
CLASS B
1999 0.60% 4.31% --
1998 0.61% 4.72 --
1997 0.63 4.57 --
1996 0.64 5.09 --
1995 0.65 3.61 --
CLASS C
1999 0.80% 4.16% --
1998 0.81% 4.52 --
1997 0.82 4.38 --
1996(1) 0.84 4.76 --
- ------------------------------
SHORT-DURATION GOVERNMENT FUND
- ------------------------------
CLASS A
1999 0.72% 5.04% 90%
1998 0.76 5.60 166
1997 0.70 5.47 145
1996 0.53 6.05 184
1995 0.52 4.05 45
CLASS B
1999 0.77% 5.00% 90%
1998 0.81 5.55 166
1997 0.82 5.42 145
1996 0.83 5.77 184
1995 0.82 3.85 45
CLASS D*
1997(2) 0.94% 5.45% 87%
1996(3) 0.93 5.78 184
- -------------------------------------
INTERMEDIATE-DURATION GOVERNMENT FUND
- -------------------------------------
CLASS A
1999 0.76% 5.28% 21%
1998 0.76 5.59 57
1997 0.69 5.39 94
1996 0.53 6.04 115
1995 0.52 5.13 61
CLASS B
1996(3) 0.83% 5.74% 115%
1995(4) 0.83 4.99 61
CLASS D*
1997(6) 0.93% 5.13% 45%
1996 0.93 5.65 115
1995 0.92 4.72 61
1994(7) 0.83 4.86 56
</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 FUND
- ---------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
CLASS A
1999 $ 9.87 $0.61 $0.04 $(0.61) $ -- $ 9.91 6.76% $100,799 0.60% 6.14%
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
CLASS B
1997(8) $ 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(9) 9.16 0.35 0.01 (0.35) -- 9.17 4.00+ 14 0.79 6.80
CLASS D*
1997(10)$ 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
- --------------------------------
CORPORATE DAILY INCOME FUND
- --------------------------------
CLASS A
1999 $ 2.00 $0.11 $ -- $(0.11) $ -- $ 2.00 5.61% $90,043 0.35% 5.38%
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
</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 FUND
- ---------
CLASS A
<S> <C> <C> <C>
1999 0.72% 6.02% 27%
1998 0.75 6.50 4
1997 0.68 6.65 12
1996 0.51 7.02 20
1995 0.50 6.86 85
CLASS B
1997(8) 0.80% 6.52% 7%
1996 0.81 6.69 20
1995(9) 0.82 6.77 85
CLASS D*
1997(10) 0.91% 6.44% 6%
1996 0.91 6.60 20
1995 0.89 6.51 85
- ---------------------------
CORPORATE DAILY INCOME FUND
- ---------------------------
CLASS A
1999 0.76% 4.97% 48%
1998 0.76 5.20 108
1997 0.73 5.12 141
1996 0.55 5.77 295
1995 0.55 4.40 147
<FN>
+ RETURNS ARE FOR THE PERIOD INDICATED AND HAVE NOT BEEN ANNUALIZED.
* TOTAL RETURN DOES NOT REFLECT THE SALES CHARGE ON THE CLASS D (FORMERLY PRO VANTAGE) SHARES.
1 TREASURY II CLASS C SHARES WERE OFFERED BEGINNING MAY 8, 1995. ALL RATIOS FOR THAT PERIOD HAVE BEEN
ANNUALIZED.
2 SHORT-DURATION GOVERNMENT CLASS D SHARES WERE FULLY LIQUIDATED JUNE 28, 1996.
ALL RATIOS FOR THAT PERIOD HAVE BEEN ANNUALIZED.
3 SHORT-DURATION GOVERNMENT CLASS D SHARES WERE OFFERED BEGINNING FEBRUARY 28,
1995. ALL RATIOS FOR THAT PERIOD HAVE BEEN ANNUALIZED.
4 INTERMEDIATE-DURATION GOVERNMENT CLASS B SHARES WERE FULLY LIQUIDATED
DECEMBER 22, 1995. ALL RATIOS FOR THAT PERIOD HAVE BEEN ANNUALIZED.
5 INTERMEDIATE-DURATION GOVERNMENT CLASS B SHARES WERE OFFERED BEGINNING JUNE
8, 1994. ALL RATIOS FOR THAT PERIOD HAVE BEEN ANNUALIZED.
6 INTERMEDIATE-DURATION GOVERNMENT CLASS D SHARES WERE FULLY LIQUIDATED JUNE
28, 1996. ALL RATIOS FOR THAT PERIOD HAVE BEEN ANNUALIZED.
7 INTERMEDIATE-DURATION GOVERNMENT CLASS D SHARES WERE OFFERED BEGINNING
SEPTEMBER 26, 1993. ALL RATIOS AND TOTAL RETURN FOR THAT PERIOD HAVE
BEEN ANNUALIZED.
8 GNMA CLASS B SHARES WERE FULLY LIQUIDATED JULY 10, 1996. ALL RATIOS FOR THAT
PERIOD HAVE BEEN ANNUALIZED. 9 GNMA CLASS B SHARES WERE OFFERED BEGINNING JULY
12, 1994. ALL RATIOS AND TOTAL RETURN FOR THAT PERIOD HAVE
BEEN ANNUALIZED.
10 GNMA CLASS D SHARES FULLY LIQUIDATED JUNE 28, 1996. ALL RATIOS FOR THAT
PERIOD HAVE BEEN ANNUALIZED.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
35
<PAGE>
</FN>
</TABLE>
35
NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
SEI DAILY INCOME TRUST-- JANUARY 31, 1999
1. ORGANIZATION
SEI Daily Income Trust (the "Trust") was organized as a Massachusetts business
trust under a Declara-tion of Trust dated March 15, 1982.
The Trust is registered under the Investment Company Act of 1940, as
amended, as a diversified, open-end investment company with ten operational
Funds: the Money Market Fund, the Government Fund, the Government II Fund, the
Prime Obligation Fund, the Treasury Fund, the Treasury II Fund (collectively the
"Money Market Funds"), the Short-Duration Government Fund (formerly the
Short-Term Government Fund), the Intermediate-Duration Government Fund (formerly
the Intermediate-Term Government Fund), the GNMA Fund, and the Corporate Daily
Income Fund (collectively the "Fixed Income Funds"). The Funds' prospectus
provides a description of each Fund's investment objectives, policies and
strategies. The assets of each fund are segregated, and a shareholder's interest
is limited to the Fund in which shares are held.
2. SIGNIFICANT ACCOUNTING POLICIES
The following is a summary of significant accounting policies followed by the
Funds.
SECURITY VALUATION--Investment securities of the Money Market Funds 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 Funds 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 Fund's intention to continue to qualify as
a regulated investment company and distribute all of its taxable income and net
capital gains. Accordingly, no provision for Federal income taxes is required.
RECLASSIFICATION OF COMPONENTS OF NET ASSETS--The timing and
characterization of certain income and capital gains distributions are
determined annually in accordance with federal tax regulations which may differ
from generally accepted accounting principles. As a result, net investment
income (loss) and net realized gain (loss) on investment transactions for the
reporting period may differ significantly from distributions during such period.
These book/tax differences may be temporary or permanent in nature. To the
extent these differences are permanent, they are charged or credited to
paid-in-capital or accumulated net realized gain, as appropriate, in the period
that the differences arise. Accordingly, the following permanent differences,
have been reclassified to/from the following accounts during the fiscal year
ended January 31, 1999:
UNDISTRIBUTED
ACCUMULATED NET INVESTMENT
PAID-IN-CAPITAL REALIZED GAIN INCOME
FUNDS (000) (000) (000)
-------- -------------- -------------- --------------
Money Market $ (8) $ 8 $--
Government II 8 (8) --
Corporate Daily Income -- (19) 19
NET ASSET VALUE PER SHARE--The net asset value per share is calculated on
each business day separately for each class of each Fund. In general, it is
computed by dividing the assets of each Fund, less its liabilities, by the
number of outstanding shares of the Fund.
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
Funds 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 Fund'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
Funds 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 Fund may be delayed or limited.
EXPENSES--Expenses that are directly related to one of the Funds are
charged directly to that Fund. Other operating expenses of the Trust are
prorated to the Funds 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 Fund 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
Fund are distributed to its shareholders at least annually.
USE OF ESTIMATES--The financial statements
have been prepared in accordance with generally accepted accounting principles
which require the use of estimates. Actual results could differ from those
estimates.
3. TRANSACTIONS WITH AFFILIATES
SEI Investments Fund Management (the "Manager") provides management,
administrative and shareholder services to the Funds for an annual fee of .33%
of the average daily net assets of the Money Market Fund, .19% each of the
average daily net assets of the Government II and Prime Obligation Funds, .24%
each of the average daily net assets of the Government, Treasury and Treasury II
Funds, .35% each of the average daily net assets of the Short-Duration
Government, Intermediate-Duration Government and Corporate Daily Income Funds,
and .32% of the GNMA Fund. However, the Manager has voluntarily agreed to waive
its annual fee in an amount which limits total annual expenses (including the
annual management fee) of the following Funds to the following amounts
(expressed as a percentage of each Fund's daily net assets):
MONEY GOV'T PRIME
MARKET GOV'T II OBLIGATION TREASURY TREASURY II
------ ----- ----- ---------- --------- -----------
Class A .18% .20% .20% .20% .20% .25%
Class B .48% .50% .50% .50% .50% .55%
Class C .68% .70% .70% .70% .70% .75%
CNI Class -- .85% -- -- -- --
Sweep Class .93% .95% -- .95% .95% --
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 Fund, after reflecting a
waiver of all fees by the Manager and Adviser, exceed the specified limitation,
the Manager has agreed to bear such excess. The Manager has the right, at its
sole discretion, to terminate these voluntary waivers at any time.
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,
that provide shareholder and administrative services may receive compensation
thereof. The Class
37
<PAGE>
NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
SEI DAILY INCOME TRUST-- JANUARY 31, 1999
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 Funds, Short-Duration Government Fund and Corporate Daily Income Fund,
these fees have been waived in full 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 Money Market, Government, Prime Obligation and Treasury Sweep Classes
and the Government Fund 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 Fund'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 Funds. 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 a proportion agreed upon with
the manager.
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 Funds.
Monthly fees are equal to .10% of the Funds' 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
partially waive its fee in a proportion agreed upon with the manager. Pursuant
to an Investment Advisory Agreement dated August 4, 1993, Wellington Management
Company serves as Investment Adviser for the Corporate Daily Income Fund.
Monthly fees are equal to .10% of the Funds' 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 partially waive its fee in a
proportion agreed upon with the manager.
Bank of New York serves as custodian of the Money Market and Treasury Funds
under an agreement dated August 1, 1995. First Union serves as custodian of the
Government, Government II, Prime Obligation, Treasury II and the Fixed Income
Funds
38
<PAGE>
- --------------------------------------------------------------------------------
under an agreement dated August 30, 1985. The custodians play no role in
determining the investment policies of the Funds or which securities are to be
purchased or sold in the Funds.
5. INVESTMENT TRANSACTIONS
The cost of security purchases and the proceeds from the sale of securities,
other than temporary investments in short-term securities for the period ended
January 31, 1999, were as follows for the "Fixed Income Funds":
INTER-
SHORT- MEDIATE-
DURATION DURATION CORPORATE
GOVERN- GOVERN- DAILY
MENT MENT GNMA INCOME
(000) (000) (000) (000)
-------- -------- -------- ---------
PURCHASES
U.S. Government $87,437 $33,229 $43,780 $ 701
Other -- -- -- 28,814
SALES
U.S. Government $69,350 $24,027 $22,464 $14,341
Other -- -- -- 11,633
At January 31, 1999, 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.
Based on cost for federal income tax purposes, the aggregate gross unrealized
gain on securities, the aggregate gross unrealized loss on securities and the
net unrealized gain/(loss) at January 31, 1999 for each Fixed Income Fund is as
follows:
SHORT- INTERMEDIATE- CORPORATE
DURATION DURATION DAILY
GOVERNMENT GOVERNMENT GNMA INCOME
(000) (000) (000) (000)
---------- ------------ ------ ---------
Aggregate gross
unrealized gain $ 949 $3,892 $2,076 $401
Aggregate gross
unrealized loss (16) (121) (92) (39)
----- ------ ------ ----
Net unrealized gain $ 933 $3,771 $1,984 $362
===== ====== ====== ====
<PAGE>
6. CAPITAL LOSS CARRYFORWARDS At January 31, 1999, the following funds have
capital loss carryforwards:
EXPIRATION
AMOUNT DATE
------- -------
Money Market $ 31,704 1/31/06
Government 27,370 1/31/05
34,595 1/31/06
Government II 71,654 1/31/03
74,842 1/31/05
38,015 1/31/06
Prime Obligation 56,550 1/31/05
81,872 1/31/06
Treasury 6,160 1/31/06
Treasury II 66,262 1/31/05
192,331 1/31/06
Short-Duration Government 609,656 1/31/04
Intermediate-Duration Government 1,655,081 1/31/03
3,199,945 1/31/04
698,427 1/31/06
GNMA 5,175,951 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, 1999, the following funds have
utilized capital loss carryforwards:
CAPITAL LOSS CARRYFORWARD
UTILIZED
------------------------
Money Market $ 4,642
Government 92,959
Government II 103,620
Prime Obligation 46,315
Treasury 4,163
Treasury II 75,049
Short Duration Government 473,554
Intermediate-Duration Government 445,852
GNMA 51,626
Subsequent to October 31, 1998, the Funds 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, 1998 LOSSES
----------------------------
Prime Obligation $14,576
GNMA 14,961
7. LINE OF CREDIT
The Funds have a bank line of credit. Borrowings under the line of credit are
secured by investment securities of the Funds equal to 110% of such borrowings
and may not exceed 10% of the Funds' total assets. During the fiscal year ended
January 31, 1999, no borrowings were made from this line of credit.
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 SEI Daily Income Trust (the "Trust") as of January
31, 1999, 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, 1999, 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 SEI Daily Income Trust (the "Trust") as of
January 31, 1999, 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, Pennsylvania
March 12, 1999
40
<PAGE>
NOTICE TO SHAREHOLDERS
- --------------------------------------------------------------------------------
JANUARY 31, 1999 (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, 1999, each fund is designating
long-term capital gains, and exempt income with regard to distributions paid
during the year as follows:
<TABLE>
(A) (B) (C)
LONG TERM MID TERM ORDINARY (D) (F)
CAPITAL GAINS CAPITAL GAINS INCOME TOTAL (E) TAX
DISTRIBUTIONS DISTRIBUTIONS DISTRIBUTIONS DISTRIBUTIONS QUALIFYING EXEMPT
FUND (TAX BASIS) (TAX BASIS) (TAX BASIS) (TAX BASIS) DIVIDENDS (1) INTEREST
---- ------------ ------------ ------------ ------------ ------------ --------
<S> <C> <C> <C> <C> <C> <C>
Money Market 0% 0% 100% 100% 0% 0%
Government 0% 0% 100% 100% 0% 0%
Government II 0% 0% 100% 100% 0% 0%
Prime Obligation 0% 0% 100% 100% 0% 0%
Treasury 0% 0% 100% 100% 0% 0%
Treasury II 0% 0% 100% 100% 0% 0%
Short-Duration
Government 0% 0% 100% 100% 0% 0%
Intermediate-Duration
Government 0% 0% 100% 100% 0% 0%
GNMA 0% 0% 100% 100% 0% 0%
Corporate Daily Income 0% 0% 100% 100% 0% 0%
Items (A), (B) and (C) are based on a percentage of the funds' total distributions.
* Items (E) and (F) are based on a percentage of ordinary income distribution of the fund.
(1) Qualifying dividends represent dividends which qualify for the corporate dividends received deduction.
</TABLE>
Please consult your tax adviser for proper treatment of this information.
41
<PAGE>
NOTES
<PAGE>
NOTES
<PAGE>
<PAGE>
NOTES
<PAGE>
- ----------------------
SEI Daily Income Trust
- ----------------------
ANNUAL REPORT
- ----------------------
JANUARY 31, 1999
Robert A. Nesher
CHAIRMAN
TRUSTEES
William M. Doran
F. Wendell Gooch
Frank E. Morris
James M. Storey
George J. Sullivan, Jr.
OFFICERS
Edward D. Loughlin
PRESIDENT AND CHIEF EXECUTIVE OFFICER
Mark Nagle
CONTROLLER, CHIEF FINANCIAL OFFICER
Todd Cipperman
VICE PRESIDENT, ASSISTANT SECRETARY
Kathy Heilig
VICE PRESIDENT, ASSISTANT SECRETARY
Joseph M. O'Donnell
VICE PRESIDENT, ASSISTANT SECRETARY
Cynthia M. Parrish
VICE PRESIDENT, ASSISTANT SECRETARY
Kevin P. Robins
VICE PRESIDENT, ASSISTANT SECRETARY
Kathryn L. Stanton
VICE PRESIDENT, ASSISTANT SECRETARY
Richard W. Grant
SECRETARY
John H. Grady, Jr.
ASSISTANT SECRETARY
INVESTMENT ADVISER
Wellington Management Company, LLP
MANAGER AND SHAREHOLDER SERVICING AGENT
SEI Investments 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 FUNDS ARE NOT DEPOSITS OR OBLIGATIONS OF, OR GUARANTEED OR ENDORSED BY,
ANY BANK. THE SHARES ARE NOT FEDERALLY INSURED BY THE FEDERAL DEPOSIT INSURANCE
CORPORATION (FDIC), THE FEDERAL RESERVE BOARD, OR ANY OTHER GOVERNMENT AGENCY.
INVESTMENT IN THE SHARES INVOLVES RISK, INCLUDING THE POSSIBLE LOSS OF
PRINCIPAL. SEI INVESTMENTS DISTRIBUTION CO., THE DISTRIBUTOR OF THE SEI 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>
[logo omitted]
SEI
INVESTMENTS
DISTRIBUTION
CO.
Oaks, PA 19456-1100
800-DIAL-SEI/800-342-5734
SEI-F-022-09
<PAGE>
