Semi-Annual Report as of
July 31, 1999 (Unaudited)
SEI DAILY
INCOME TRUST
- --------------------------------------------------------------------------------
Money Market Fund
- --------------------------------------------------------------------------------
Government Fund
- --------------------------------------------------------------------------------
Government II Fund
- --------------------------------------------------------------------------------
Prime Obligation Fund
- --------------------------------------------------------------------------------
Treasury Fund
- --------------------------------------------------------------------------------
Treasury II Fund
- --------------------------------------------------------------------------------
Short-Duration Government Fund
- --------------------------------------------------------------------------------
Intermediate-Duration Government Fund
- --------------------------------------------------------------------------------
GNMA Fund
- --------------------------------------------------------------------------------
Corporate Daily Income Fund
- --------------------------------------------------------------------------------
[LOGO OMITTED]
<PAGE>
TABLE OF CONTENTS
- --------------------------------------------------------------------------------
STATEMENT OF NET ASSETS.............................................. 1
STATEMENT OF OPERATIONS.............................................. 18
STATEMENT OF CHANGES IN NET ASSETS................................... 20
FINANCIAL HIGHLIGHTS................................................. 24
NOTES TO FINANCIAL STATEMENTS........................................ 28
<PAGE>
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
SEI Daily Income Trust -- July 31, 1999 (Unaudited)
MONEY MARKET FUND
- --------------------------------------------------------------------------------
FACE
DESCRIPTION AMOUNT (000) VALUE (000)
- -----------------------------------------------------------
COMMERCIAL PAPER -- 27.3%
BANKS -- 3.5%
Bank America
4.810%, 08/04/99 $25,000 $ 24,990
--------
FINANCIAL SERVICES -- 2.1%
Apreco Incorporated
5.150%, 09/15/99 15,100 15,003
--------
INDUSTRIAL AUTO-CARS -- 3.5%
Daimler Chrysler Corporation
4.810%, 09/08/99 25,000 24,873
--------
MORTGAGE BANKS -- 1.0%
Woolwich Building Society
5.120%, 09/27/99 7,100 7,043
--------
SPECIAL PURPOSE ENTITY -- 17.2%
Aesop Funding Corporation
5.120%, 08/18/99 29,000 28,930
Corporate Asset Funding Company
5.160%, 10/05/99 25,000 24,767
Delaware Funding Corporation
5.120%, 09/22/99 18,394 18,258
Falcon Asset Securitization
Corporation
5.150%, 11/01/99 9,345 9,222
Greyhawk Funding LLC
5.160%, 10/04/99 16,000 15,853
Unifunding Incorporated
5.110%, 09/16/99 15,000 14,902
Variable Funding Capital
5.160%, 10/14/99 10,000 9,894
--------
121,826
--------
Total Commercial Paper
(Cost $193,735) 193,735
--------
CERTIFICATES OF DEPOSIT/BANK NOTES -- 23.9%
BANKS -- 23.9%
Bank of Scotland
5.725%, 07/03/00 10,000 9,997
First National Bank Chicago
5.125%, 03/21/00 22,500 22,495
First National Bank of Maryland
4.970%, 01/28/00 20,000 19,997
Harris Bankcorp Incorporated
5.020%, 01/18/00 20,000 20,000
Key Bank
5.125%, 03/24/00 10,000 9,997
Key Bank (A)
5.080%, 08/01/99 15,000 14,999
- ------------------------------------------------------------
FACE
DESCRIPTION AMOUNT (000) VALUE (000)
- ------------------------------------------------------------
Societe Generale
5.020%, 01/14/00 $25,000 $ 24,997
Societe Generale New York
4.980%, 08/01/00 12,000 11,995
United States Bank of North
America (A)
5.124%, 08/09/99 15,000 15,000
Westpac Banking
5.030%, 02/07/00 20,000 19,997
--------
Total Certificates of Deposit/Bank Notes
(Cost $169,474) 169,474
--------
INSURANCE FUNDING AGREEMENTS -- 13.0%
AllState Corporation (A)
5.234%, 09/15/99 15,000 15,000
5.235%, 10/01/99 15,000 15,000
Metropolitan Life Insurance
Company (A)
5.069%, 08/02/99 30,000 30,000
People's Security Life Insurance (A)
5.100%, 09/01/99 7,000 7,000
5.410%, 10/01/99 15,000 15,000
Travelers Insurance (A)
5.129%, 09/01/99 10,000 10,000
--------
Total Insurance Funding Agreements
(Cost $92,000) 92,000
--------
CORPORATE BONDS/MEDIUM TERM NOTES -- 21.8%
FINANCIAL SERVICES -- 12.7%
American Express Centurion (A)
5.200%, 04/24/00 20,000 20,000
General Electric Capital Services
MTN (A)
5.260%, 10/13/99 10,000 10,000
General Electric Capital Services (A)
4.945%, 08/03/99 30,000 30,000
Goldman Sachs Group
5.410%, 01/07/00 15,000 15,000
SMM Trust 98-A (A)
5.100%, 09/15/99 15,000 15,000
--------
90,000
--------
GOVERNMENTAL REGIONAL -- 2.1%
Ontario Province (A)
5.000%, 08/17/99 15,000 15,005
--------
INSURANCE -- 2.8%
Unum Corporation MTN (A)
5.135%, 09/20/99 20,000 19,985
--------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
1
<PAGE>
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
SEI DAILY INCOME TRUST -- JULY 31, 1999 (UNAUDITED)
MONEY MARKET FUND (concluded)
- -------------------------------------------------------------
FACE
DESCRIPTION AMOUNT (000) VALUE (000)
- -------------------------------------------------------------
LEASING COMPANY -- 1.4%
Xerox Credit Corporation (A)
5.225%, 10/12/99 10,000 9,998
--------
TELEPHONES & TELECOMMUNICATION -- 2.8%
AT&T Corporation (A)
5.270%, 10/13/99 20,000 $ 19,992
--------
Total Corporate Bonds/Medium Term Notes
(Cost $154,980) 154,980
--------
TIME DEPOSITS -- 11.4%
Amsouth Bancorp
5.125%, 08/02/99 27,000 27,000
Marshall Atlanta
5.125%, 08/02/99 27,079 27,079
Suntrust Atlanta
5.125%, 08/02/99 27,000 27,000
--------
Total Time Deposits
(Cost $81,079) 81,079
--------
TOTAL INVESTMENTS -- 97.4%
(Cost $691,268) 691,268
--------
OTHER ASSETS AND LIABILITIES, NET -- 2.6% 18,765
--------
- -----------------------------------------------------------
DESCRIPTION VALUE (000)
- -----------------------------------------------------------
NET ASSETS:
Fund Shares of Class A (unlimited
authorization -- no par value)
based on 523,563,941 outstanding
shares of beneficial interest $523,557
Fund Shares of Class B (unlimited
authorization -- no par value)
based on 18,311,885 outstanding
shares of beneficial interest 18,312
Fund Shares of Class C (unlimited
authorization -- no par value)
based on 154,850,498 outstanding
shares of beneficial interest 154,850
Fund Shares of Sweep Class (unlimited
authorization -- no par value)
based on 13,346,150 outstanding
shares of beneficial interest 13,346
Accumulated net realized loss
on investments (32)
--------
TOTAL NET ASSETS -- 100.0% $710,033
========
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) VARIABLE RATE INSTRUMENT. THE RATE REFLECTED ON THE STATEMENT OF NET
ASSETS IS THE RATE IN EFFECT ON JULY 31, 1999. THE DATE SHOWN IS THE
EARLIER OF THE RESET DATE OR THE DEMAND DATE.
LLC LIMITED LIABILITY COMPANY
MTN MEDIUM TERM NOTE
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
2
<PAGE>
- --------------------------------------------------------------------------------
GOVERNMENT FUND
- ------------------------------------------------------------
FACE
DESCRIPTION AMOUNT (000) VALUE (000)
- ------------------------------------------------------------
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 46.9%
FFCB (A)
4.995%, 08/10/99 $ 3,385 $ 3,384
FHLB
5.560%, 08/04/99 25,000 25,000
4.900%, 01/14/00 3,385 3,385
4.835%, 01/28/00 4,288 4,287
4.895%, 02/04/00 8,351 8,350
4.900%, 02/11/00 2,257 2,256
5.035%, 02/25/00 4,514 4,514
FHLMC
5.000%, 08/06/99 30,000 29,979
5.544%, 08/13/99 2,257 2,257
5.250%, 07/05/00 20,000 19,011
FNMA
5.130%, 08/04/99 (A) 15,000 14,991
5.110%, 10/14/99 (A) 20,000 19,988
5.040%, 10/15/99 20,000 19,790
5.810%, 11/12/99 677 679
4.990%, 02/22/00 2,257 2,257
4.970%, 04/12/00 6,771 6,767
--------
Total U.S. Government Agency Obligations
(Cost $166,895) 166,895
--------
REPURCHASE AGREEMENTS -- 57.3%
Credit Suisse First Boston (B)
5.100%, dated 07/30/99, matures
08/02/99, repurchase price $79,028,572
(collateralized by FNMA's, ranging in
par value $2,006,693-$20,659,073,
6.000%- 7.500%, 04/01/13-07/01/29;
with total market
value $81,372,874) 78,995 78,995
Lehman Brothers, Inc. (B)
5.100%, dated 07/30/99, matures
08/02/99, repurchase price
$30,402,916 (collateralized
by various U.S. Government
Obligations ranging in par value
$9,901,071-$14,535,707,
5.500%-7.000%, 05/01/06-
03/01/27; with total
market value $30,995,607) 30,390 30,390
- -------------------------------------------------------------
FACE
DESCRIPTION AMOUNT (000) VALUE (000)
- -------------------------------------------------------------
JP Morgan & Company (B) 5.125%,
dated 07/30/99, matures 08/02/99,
with repurchase price $24,710,549
(collateralized by GNMA's, ranging
in par value $2,085,114-$13,143,154,
6.000%-6.500%, 12/15/28- 07/15/29;
with total market value
$25,194,001) $24,700 $ 24,700
Salomon Smith Barney (B)
5.125%, dated 07/30/99, matures
08/02/99, repurchase price
$70,029,896 (collateralized by
various Government Obligations,
ranging in par value $620,414-
$7,917,358, 5.500%-10.000%,
03/01/01- 07/01/29; with
total market value $71,495,132) 70,000 70,000
--------
Total Repurchase Agreements
(Cost $204,085) 204,085
--------
Total Investments -- 104.2%
(Cost $370,980) 370,980
--------
OTHER ASSETS AND LIABILITIES, NET -- (4.2%) (15,007)
--------
NET ASSETS:
Fund Shares of Class A (unlimited
authorization -- no par value) based
on 204,839,911 outstanding shares
of beneficial interest 204,840
Fund Shares of Class B (unlimited
authorization -- no par value) based
on 97,758,535 outstanding shares
of beneficial interest 97,759
Fund Shares of Class C (unlimited
authorization -- no par value) based
on 48,365,138 outstanding shares
of beneficial interest 48,365
Fund Shares of Sweep Class (unlimited
authorization -- no par value) based
on 5,030,005 outstanding shares
of beneficial interest 5,030
Undistributed net investment income 4
Accumulated net realized loss
on investments (25)
--------
TOTAL NET ASSETS -- 100.0% $355,973
========
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
3
<PAGE>
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
SEI Daily Income Trust -- July 31, 1999 (Unaudited)
GOVERNMENT FUND (concluded)
- --------------------------------------------------------------
DESCRIPTION VALUE (000)
- --------------------------------------------------------------
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE -- CLASS A $1.00
========
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE -- CLASS B $1.00
========
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE -- CLASS C $1.00
========
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE -- SWEEP CLASS $1.00
========
(A) VARIABLE RATE INSTRUMENT. THE RATE REFLECTED ON THE STATEMENT OF NET ASSETS
IS THE RATE IN EFFECT ON JULY 31, 1999. THE DATE SHOWN IS THE EARLIER OF THE
RESET DATE OR THE DEMAND DATE.
(B) TRI-PARTY REPURCHASE AGREEMENT
FFCB FEDERAL FARM CREDIT BANK
FHLB FEDERAL HOME LOAN BANK
FHLMC FEDERAL HOME LOAN MORTGAGE CORPORATION
FNMA FEDERAL NATIONAL MORTGAGE ASSOCIATION
GNMA GOVERNMENT NATIONAL MORTGAGE ASSOCIATION
Government II Fund
- -------------------------------------------------------------
FACE
DESCRIPTION AMOUNT (000) VALUE (000)
- -------------------------------------------------------------
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 99.8%
FFCB
4.930%, 08/11/99 $ 13,856 $ 13,837
4.950%, 08/24/99 15,000 14,953
4.875%, 09/01/99 31,500 31,490
FHLB
5.563%, 08/03/99 29,300 29,300
4.940%, 08/04/99 5,047 5,045
4.960%, 08/04/99 40,000 39,983
5.560%, 08/04/99 14,000 14,000
4.930%, 08/06/99 58,776 58,736
4.960%, 08/06/99 23,000 22,984
5.004%, 08/08/99 (A) 30,000 29,998
5.120%, 08/10/99 (A) 50,000 49,992
4.900%, 08/11/99 40,000 39,946
4.910%, 08/11/99 7,000 6,990
4.950%, 08/11/99 50,000 49,931
4.775%, 08/12/99 (A) 20,000 19,987
4.920%, 08/13/99 13,500 13,478
4.920%, 08/18/99 13,480 13,449
4.960%, 08/20/99 36,690 36,594
4.800%, 10/05/99 (A) 22,000 21,993
5.040%, 10/06/99 25,000 24,769
4.900%, 01/14/00 10,000 10,000
4.835%, 01/28/00 15,750 15,745
4.790%, 02/04/00 21,000 20,972
4.895%, 02/04/00 33,000 32,995
4.900%, 02/11/00 15,000 14,993
4.950%, 02/22/00 12,000 11,997
5.035%, 02/25/00 10,000 9,999
5.000%, 04/14/00 25,000 24,997
5.000%, 04/14/00 15,000 14,997
5.570%, 08/14/00 11,780 11,773
SLMA
4.870%, 08/02/99 (A) 30,000 30,000
4.970%, 08/02/99 220,000 219,970
--------
Total U.S. Government Agency Obligations
(Cost $955,893) 955,893
--------
Total Investments -- 99.8%
(Cost $955,893) 955,893
--------
OTHER ASSETS AND LIABILITIES, NET -- 0.2% 1,680
--------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
4
<PAGE>
- --------------------------------------------------------------------------------
- -----------------------------------------------------------
DESCRIPTION VALUE (000)
- -----------------------------------------------------------
NET ASSETS:
Fund Shares of Class A (unlimited
authorization -- no par value) based on
805,176,108 outstanding shares
of beneficial interest $805,182
Fund Shares of Class B (unlimited
authorization -- no par value) based on
105,827,399 outstanding shares
of beneficial interest 105,827
Fund Shares of Class C (unlimited
authorization -- no par value) based on
46,691,395 outstanding shares
of beneficial interest 46,692
Undistributed net investment income 23
Accumulated net realized loss
on investments (151)
--------
TOTAL NET ASSETS -- 100.0% $957,573
========
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) VARIABLE RATE INSTRUMENT. THE RATE REFLECTED ON THE STATEMENT OF NET
ASSETS IS THE RATE IN EFFECT ON JULY 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
PRIME OBLIGATION FUND
- ------------------------------------------------------------
FACE
DESCRIPTION AMOUNT (000) VALUE (000)
- ------------------------------------------------------------
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 1.8%
FHLMC
5.250%, 07/05/00 $ 41,550 $ 39,496
FNMA
5.460%, 06/21/00 50,000 49,960
--------
Total U.S. Government Agency Obligations
(Cost $89,456) 89,456
--------
COMMERCIAL PAPER -- 45.7%
AUTO LOANS -- 3.4%
Ford Motor Credit Corporation
5.100%, 08/30/99 100,000 99,589
General Motors Acceptance
Corporation
5.160%, 10/07/99 75,000 74,280
--------
173,869
--------
BANKS -- 1.2%
Suntrust Bank
5.100%, 08/02/99 60,000 59,991
--------
CHEMICALS -- 1.2%
Dow Chemical Company
5.120%, 08/02/99 61,375 61,366
-------
COMMUNICATIONS EQUIPMENT -- 0.7%
Motorola Incorporated
5.070%, 08/04/99 35,000 34,985
-------
DRUGS -- 2.5%
Johnson and Johnson
5.070%, 08/24/99 30,000 29,903
Pfizer Incorporated
5.070%, 08/18/99 51,500 51,377
Procter and Gamble Corporation
5.080%, 08/18/99 45,000 44,892
--------
126,172
--------
FINANCIAL SERVICES -- 7.6%
American General Finance
5.100%, 08/31/99 50,000 49,788
Associates Corporation of
North America
5.150%, 10/05/99 65,000 64,396
5.180%, 12/15/99 75,000 73,532
Cit Group Incorporated
5.120%, 10/12/99 100,000 98,976
General Electric Capital Services
4.810%, 09/10/99 25,000 24,866
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
5
<PAGE>
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
SEI DAILY INCOME TRUST -- JULY 31, 1999 (UNAUDITED)
PRIME OBLIGATION FUND (CONTINUED)
- ------------------------------------------------------------
FACE
DESCRIPTION AMOUNT (000) VALUE (000)
- ------------------------------------------------------------
Prudential Funding Corporation
5.090%, 08/30/99 $ 75,000 $ 74,692
--------
386,250
--------
FOOD, BEVERAGE & TOBACCO -- 1.4%
Sara Lee Corporation
5.100%, 08/06/99 70,000 69,950
--------
HOUSEHOLD PRODUCTS -- 1.7%
Hubbell Incorporated
5.130%, 08/02/99 52,100 52,093
PPG Industries Incorporated
5.200%, 08/02/99 33,000 32,995
--------
85,088
--------
INVESTMENT BANKER/BROKER -- 1.9%
Bear Stearns & Company
5.125%, 08/09/99 23,000 22,974
Goldman Sachs Group
5.140%, 10/18/99 50,000 49,443
JP Morgan & Company
5.120%, 09/30/99 25,000 24,787
--------
97,204
--------
INSURANCE -- 1.0%
New York Life Capital
5.060%, 09/13/99 50,000 49,698
-------
LEASING COMPANY -- 3.5%
Pitney Bowes Credit Corporation
5.150%, 08/02/99 128,000 127,982
Xerox Credit Corporation
5.100%, 09/28/99 50,000 49,589
--------
177,571
--------
RETAIL -- 0.6%
Albertson's Incorporated
5.100%, 08/04/99 30,000 29,987
--------
SPECIAL PURPOSE ENTITY -- 17.0%
Aesop Funding Corporation
5.160%, 09/02/99 95,670 95,231
5.130%, 09/16/99 38,100 37,850
Ciesco LP
5.150%, 08/24/99 49,000 48,839
Corporate Asset Funding Company
5.120%, 09/10/99 40,000 39,772
Corporate Receivable Corporation
5.130%, 08/20/99 40,000 39,892
5.150%, 10/15/99 25,000 24,732
Delaware Funding Corporation
5.100%, 08/26/99 45,000 44,841
5.120%, 09/20/99 50,000 49,644
5.120%, 09/27/99 17,351 17,210
- -------------------------------------------------------------
FACE
DESCRIPTION AMOUNT (000) VALUE (000)
- -------------------------------------------------------------
Fleet Funding Corporation
5.130%, 09/17/99 $ 10,998 $ 10,924
Greyhawk Funding LLC
5.160%, 10/04/99 40,000 39,633
Metlife Funding Incorporated
5.090%, 08/06/99 30,000 29,979
Park Avenue Receivable
5.140%, 08/23/99 70,000 69,780
5.110%, 08/26/99 53,923 53,732
Peacock Funding Corporation
5.090%, 08/02/99 23,061 23,058
Preferred Receivable Funding
5.110%, 08/26/99 25,000 24,911
5.120%, 09/13/99 100,000 99,388
5.130%, 09/13/99 32,780 32,579
Variable Funding Capital
5.120%, 08/10/99 50,000 49,936
5.130%, 09/16/99 9,450 9,388
5.140%, 09/30/99 23,088 22,890
--------
864,209
--------
TOOLS-HAND HELD -- 0.4%
Vermont American Corporation
5.060%, 08/25/99 23,588 23,508
--------
UTILITY -- 1.6%
National Rural Utilities
5.100%, 10/04/99 27,026 26,781
5.100%, 10/07/99 55,000 54,478
--------
81,259
--------
Total Commercial Paper
(Cost $2,321,107) 2,321,107
---------
CERTIFICATES OF DEPOSIT/BANK NOTES -- 22.4%
BANKS -- 21.4%
Branch Banking and Trust
5.156%, 08/02/99 100,000 100,000
Chase Manhattan Bank
5.685%, 08/03/99 65,000 65,000
4.930%, 10/05/99 50,000 50,000
Fifth Third Bancorp
5.120%, 09/21/99 100,000 100,000
First National Bank Chicago
5.125%, 03/21/00 52,500 52,489
First National Bank of Maryland
4.990%, 01/25/00 50,000 49,995
Harris Bankcorp Incorporated
5.020%, 01/18/00 25,000 25,000
5.000%, 02/04/00 17,500 17,500
Key Bank
5.063%, 08/02/99 61,144 61,144
Key Bank (A)
5.080%, 08/01/99 30,000 29,999
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
6
<PAGE>
- --------------------------------------------------------------------------------
- ------------------------------------------------------------
FACE
DESCRIPTION AMOUNT (000) VALUE (000)
- ------------------------------------------------------------
Key Bank
5.125%, 03/24/00 $ 39,000 $ 38,988
Marshall and Ilsley Bank
5.125%, 08/02/99 160,000 160,000
National City Bank
5.000%, 02/08/00 58,600 58,591
National City Bank (A)
5.371%, 08/08/99 10,000 10,017
NationsBank
4.980%, 01/07/00 75,000 74,994
4.980%, 01/07/00 25,000 24,998
PNC Bank
5.040%, 02/16/00 68,100 68,082
Suntrust Atlanta
5.125%, 08/02/99 100,000 100,000
----------
1,086,797
----------
FINANCIAL SERVICES -- 1.0%
American Express Centurion (A)
5.200%, 08/01/99 50,000 50,000
----------
Total Certificates of Deposit/Bank Notes
(Cost $1,136,797) 1,136,797
----------
INSURANCE FUNDING AGREEMENTS -- 5.8%
AllState Corporation(A)
5.114%, 08/01/99 15,000 15,000
5.234%, 09/15/99 62,000 62,000
5.235%, 10/01/99 35,000 35,000
Metropolitan Life Insurance
Company (A)
5.131%, 08/01/99 30,000 30,000
5.069%, 08/02/99 25,000 25,000
Peoples Security Life Insurance (A)
5.100%, 08/01/99 73,000 73,000
5.410%, 10/01/99 35,000 35,000
Travelers Insurance (A)
5.129%, 09/01/99 20,000 20,000
----------
Total Insurance Funding Agreements
(Cost $295,000) 295,000
----------
CORPORATE BONDS/MEDIUM TERM NOTES -- 13.3%
BANKS -- 2.6%
United States Bank of North America (A)
5.124%, 08/09/99 35,000 34,999
5.115%, 08/13/99 24,000 23,999
5.110%, 08/31/99 52,000 51,990
Wells Fargo
5.225%, 04/10/00 23,100 23,096
----------
134,084
----------
- -----------------------------------------------------------
FACE
DESCRIPTION AMOUNT (000) VALUE (000)
- -----------------------------------------------------------
FINANCIAL SERVICES -- 8.6%
Asset Backed Securities
Investors Trust 97-E (A)
4.990%, 08/15/99 $ 20,000 $ 20,000
Ciesco LP MTN (A)
5.154%, 08/04/99 50,000 50,000
Cit Group Incorporated MTN (A)
4.930%, 08/02/99 75,000 74,996
Corporate Asset (A)
5.310%, 10/14/99 45,000 45,000
General Electric Capital Services (A)
4.945%, 08/03/99 50,000 50,000
General Electric Capital Services
MTN (A)
5.260%, 10/13/99 40,000 40,000
Goldman Sachs Group (A)
5.410%, 10/07/99 50,000 50,000
International Lease Finance
7.410%, 09/01/99 10,000 10,014
SMM Trust 98-A (A)
5.100%, 09/15/99 100,000 100,000
----------
440,010
----------
LEASING COMPANY -- 1.7%
Xerox Credit Corporation MTN (A)
5.225%, 10/12/99 85,000 84,986
----------
UTILITY -- 0.4%
National Rural Utility (A)
5.178%, 09/25/99 20,000 19,993
----------
Total Corporate Bonds/Medium Term Notes
(Cost $679,073) 679,073
----------
REPURCHASE AGREEMENTS -- 11.0%
ABN/Amro (A) (B)
5.125%, dated 07/30/99, matures
08/02/99, repurchase price
$298,127,271 (collateralized
by various U.S. Government
Obligations, ranging in par
value $3,875,496- $8,000,800,
6.000%-7.000%, 07/01/09-
08/01/29; with total
market value $303,960,000) 298,000 298,000
JP Morgan & Company (B)
5.125%, dated 07/30/99, matures
08/02/99, repurchase price
$46,019,646 (collateralized
by GNMA's, ranging in par
value $7,097,382-$10,714,626,
6.000%-6.500%, 07/15/28-01/15/29;
with total market
value $46,920,001) 46,000 46,000
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
7
<PAGE>
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
SEI DAILY INCOME TRUST -- JULY 31, 1999 (UNAUDITED)
PRIME OBLIGATION FUND (CONCLUDED)
- --------------------------------------------------------------------------------
FACE
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
Salomon Smith Barney (A) (B)
5.125%, dated 07/30/99, matures
08/02/99, repurchase price
$215,091,823 (collateralized
by various U.S. Government
Obligations, ranging in par
value $1,146,510-$45,000,000,
5.500%-10.000%, 05/01/00-11/01/32;
with total value $239,945,718) $215,000 $ 215,000
----------
Total Repurchase Agreements
(Cost $559,000) 559,000
----------
Total Investments -- 100.0%
(Cost $5,080,433) 5,080,433
----------
OTHER ASSETS AND LIABILITIES, NET -- 0.0% 974
----------
NET ASSETS:
Fund Shares of Class A (unlimited
authorization -- no par value) based on
4,448,126,607 outstanding shares
of beneficial interest 4,448,131
Fund Shares of Class B (unlimited
authorization -- no par value) based on
246,103,222 outstanding shares
of beneficial interest 246,103
Fund Shares of Class C (unlimited
authorization -- no par value) based
on 379,246,221 outstanding shares
of beneficial interest 379,246
Fund Shares of Sweep Class (unlimited
authorization -- no par value) based
on 7,865,222 outstanding shares of
beneficial interest 7,865
Undistributed net investment income 92
Accumulated net realized loss
on investments (30)
----------
TOTAL NET ASSETS -- 100.0% $5,081,407
==========
- ----------------------------------------------------------
DESCRIPTION VALUE (000)
- ----------------------------------------------------------
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE -- CLASS A $1.00
========
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE -- CLASS B $1.00
========
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE -- CLASS C $1.00
========
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE -- SWEEP CLASS $1.00
========
(A) VARIABLE RATE INSTUMENT. THE RATE REFLECTED ON THE STATEMENT OF NET
ASSETS IS THE RATE IN EFFECT ON JULY 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
LLC LIMITED LIABILITY COMPANY
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
8
<PAGE>
- --------------------------------------------------------------------------------
TREASURY FUND
- ------------------------------------------------------------
FACE
DESCRIPTION AMOUNT (000) VALUE (000)
- ------------------------------------------------------------
U.S. TREASURY OBLIGATIONS -- 17.3%
U.S. Treasury Notes
5.875%, 11/15/99 $ 7,000 $ 7,022
5.625%, 11/30/99 14,000 14,039
5.625%, 12/31/99 15,000 15,053
5.875%, 02/15/00 23,000 23,137
5.875%, 02/15/00 7,000 7,040
5.875%, 02/15/00 5,000 5,027
5.875%, 02/15/00 5,000 5,029
6.875%, 03/31/00 13,000 13,159
-------
Total U.S. Treasury Obligations
(Cost $89,506) 89,506
-------
REPURCHASE AGREEMENTS -- 82.8%
ABN/Amro (A)
5.060%, dated 07/30/99, matures
08/02/99, repurchase price
$110,046,383 (collateralized
by various U.S. Treasury
Obligations, ranging in value
$911,000-$50,000,000,
5.500%-9.125%, 10/31/99-08/15/19;
with total market value
$113,200,730) 110,000 110,000
Barclay De Zoete Wedd (A)
5.070%, dated 07/30/99, matures
08/02/99, repurchase price
$73,130,885 (collateralized
by U.S. Treasury Note,
par value $74,547,000, 3.625%,
01/15/08; with total market
value $74,562,731) 73,100 73,100
Donaldson, Lufkin & Jenrette (A)
5.070%, dated 07/30/99, matures
08/02/99, repurchase price
$20,008,450 (collateralized
by various U.S. Government
Obligations, ranging in par
value $800,000-$6,883,000,
6.250%-12.000%,
01/27/00-11/15/14; with total
market value $20,728,743) 20,000 20,000
Greenwich Capital Markets (A)
5.070%, dated 07/30/99, matures
08/02/99, repurchase price
$54,623,069 (collateralized by U.S.
Treasury Bonds, ranging in par
value $15,770,000-$26,928,000,
9.375%-12.000%, 02/15/06-08/15/13;
with total market
value $55,697,638) 54,600 54,600
- -------------------------------------------------------------
FACE
DESCRIPTION AMOUNT (000) VALUE (000)
- -------------------------------------------------------------
Lehman Brothers, Inc. (A)
5.060%, dated 07/30/99, matures
08/02/99, repurchase price
$5,282,226 (collateralized by
U.S. Treasury Bond, par value
$4,545,000, 10.750%, 05/15/03; with
total market value $5,384,466) $ 5,280 $ 5,280
Paribas Corporation (A)
5.070%, dated 07/30/99, matures
08/02/99, repurchase price
$90,038,025 (collateralized
by U.S. Treasury Bonds, ranging
in par value $5,993,000-
$18,730,000, 7.250%-12.750%,
11/15/10-08/15/22; with total
market value $91,800,944) 90,000 90,000
Warburg Dillion (A)
5.070%, dated 07/30/99, matures
08/02/99, repurchase price
$75,031,688 (collateralized
by U.S. Treasury Bond, par
value $64,040,000, 11.625%,
11/15/02; with total market
value $76,504,634) 75,000 75,000
--------
Total Repurchase Agreements
(Cost $427,980) 427,980
--------
Total Investments -- 100.1%
(Cost $517,486) 517,486
--------
OTHER ASSETS AND LIABILITIES, NET -- (0.1%) (553)
--------
NET ASSETS:
Fund Shares of Class A (unlimited
authorization -- no par value) based on
206,597,043 outstanding shares
of beneficial interest 206,597
Fund Shares of Class B(unlimited
authorization -- no par value) based
on 103,228,614 outstanding shares
of beneficial interest 103,229
Fund Shares of Class C (unlimited
authorization -- no par value) based on
116,851,518 outstanding shares
of beneficial interest 116,851
Fund Shares of Sweep Class (unlimited
authorization -- no par value) based on
90,239,357 outstanding shares
of beneficial interest 90,239
Undistributed net investment income 25
Accumulated net realized loss
on investments (8)
---------
TOTAL NET ASSETS -- 100.0% $516,933
=========
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
9
<PAGE>
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
SEI DAILY INCOME TRUST -- JULY 31, 1999 (UNAUDITED)
TREASURY FUND (CONCLUDED)
- ----------------------------------------------------------------
MARKET
DESCRIPTION VALUE (000)
- ----------------------------------------------------------------
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE -- CLASS A $1.00
========
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE -- CLASS B $1.00
========
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE -- CLASS C $1.00
========
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE -- SWEEP CLASS $1.00
========
(A) TRI-PARTY REPURCHASE AGREEMENT
TREASURY II FUND
- -------------------------------------------------------------
FACE
DESCRIPTION AMOUNT (000) VALUE (000)
- -------------------------------------------------------------
U.S. TREASURY OBLIGATIONS -- 98.0%
U.S. Treasury Bills
4.450%, 08/19/99 $10,000 $ 9,978
4.520%, 09/09/99 6,485 6,453
4.500%, 09/16/99 2,597 2,582
4.505%, 09/16/99 5,865 5,831
4.550%, 09/16/99 10,000 9,942
4.470%, 09/23/99 3,752 3,727
4.535%, 10/07/99 20,515 20,342
4.560%, 10/14/99 21,770 21,566
4.470%, 10/21/99 1,484 1,469
4.490%, 10/21/99 6,000 5,939
U.S. Treasury Notes
5.677%, 08/02/99 50,000 50,002
5.677%, 08/02/99 50,000 50,002
5.766%, 08/02/99 48,870 48,871
5.777%, 08/02/99 21,175 21,176
5.781%, 08/02/99 10,606 10,606
5.788%, 08/02/99 39,094 39,095
5.788%, 08/02/99 8,784 8,784
5.789%, 08/02/99 4,423 4,423
5.791%, 08/02/99 10,760 10,760
6.725%, 08/02/99 8,335 8,336
6.747%, 08/02/99 5,632 5,632
6.785%, 08/02/99 10,000 10,001
5.817%, 08/16/99 3,655 3,656
5.952%, 08/16/99 100,000 100,052
7.618%, 08/16/99 20,168 20,191
7.983%, 08/16/99 3,104 3,108
7.983%, 08/16/99 4,750 4,756
5.750%, 09/30/99 9,068 9,082
5.750%, 09/30/99 36,500 36,556
7.125%, 09/30/99 55,000 55,202
5.520%, 11/01/99 8,309 8,322
5.875%, 02/15/00 21,000 21,122
--------
Total U.S. Treasury Obligations
(Cost $617,564) 617,564
--------
Total Investments -- 98.0%
(Cost $617,564) 617,564
--------
OTHER ASSETS AND LIABILITIES, NET -- 2.0% 12,430
--------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
10
<PAGE>
- --------------------------------------------------------------------------------
- ------------------------------------------------------------
MARKET
DESCRIPTION VALUE (000)
- ------------------------------------------------------------
NET ASSETS:
Fund Shares of Class A (unlimited
authorization -- no par value) based
on 521,364,886 outstanding shares
of beneficial interest $ 521,364
Fund Shares of Class B (unlimited
authorization -- no par value) based
on 83,478,375 outstanding shares
of beneficial interest 83,478
Fund Shares of Class C (unlimited
authorization -- no par value) based
on 25,196,419 outstanding shares
of beneficial interest 25,196
Undistributed net investment income 210
Accumulated net realized loss
on investments (254)
---------
TOTAL NET ASSETS -- 100.0% $629,994
=========
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE -- CLASS A $1.00
=========
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE -- CLASS B $1.00
=========
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE -- CLASS C $1.00
=========
SHORT-DURATION
GOVERNMENT FUND
- -------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- -------------------------------------------------------------
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 17.0%
FHLB
5.125%, 04/17/01 $10,000 $ 9,864
FNMA MTN
6.240%, 09/07/00 5,000 5,035
FNMA
5.380%, 01/16/01 5,000 4,965
-------
Total U.S. Government Agency Obligations
(Cost $20,002) 19,864
-------
U.S. TREASURY OBLIGATION -- 42.3%
U.S. Treasury Note
4.625%, 12/31/00 50,000 49,385
-------
Total U.S. Treasury Obligation
(Cost $49,773) 49,385
-------
U.S. GOVERNMENT MORTGAGE-BACKED
BONDS -- 29.7%
FHLMC
6.500%, 11/01/99 1,544 1,541
6.000%, 12/15/06 5,000 4,989
6.500%, 10/01/07 1,216 1,207
6.000%, 10/15/07 4,000 3,983
6.000%, 11/01/13 1,182 1,132
6.000%, 11/01/13 1,431 1,371
6.000%, 11/01/13 880 843
6.000%, 11/01/13 1,515 1,450
6.000%, 11/01/13 623 596
6.000%, 11/01/13 1,601 1,533
6.000%, 11/01/13 592 567
6.000%, 11/01/13 1,589 1,522
6.000%, 01/15/14 7,000 6,938
FNMA
6.500%, 04/01/00 1,744 1,737
6.500%, 09/01/02 3,673 3,620
6.000%, 11/25/03 741 736
GNMA
7.500%, 01/15/11 30 31
7.500%, 02/15/11 48 49
7.500%, 02/15/11 784 800
-------
Total U.S. Government Mortgage-Backed Bonds
(Cost $35,294) 34,645
-------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
11
<PAGE>
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
SEI DAILY INCOME TRUST -- JULY 31, 1999 (UNAUDITED)
SHORT-DURATION
GOVERNMENT FUND (concluded)
- ----------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- ----------------------------------------------------------------
REPURCHASE AGREEMENT -- 10.9%
Lehman Brothers, Inc.
5.070%, dated 07/30/99, matures
08/02/99, repurchase price
$12,717,371 (collateralize
by U.S. Treasury Strips,
par value $32,430,000,
11/15/13; with total
market value of $13,036,860) $ 12,712 $ 12,712
--------
Total Repurchase Agreement
(Cost $12,712) 12,712
--------
Total Investments -- 99.9%
(Cost $117,781) 116,606
--------
OTHER ASSETS AND LIABILITIES, NET -- 0.1% 177
--------
NET ASSETS:
Fund Shares of Class A (unlimited
authorization -- no par value)
based on
11,703,249 outstanding shares
of beneficial interest 118,381
Fund Shares of Class B (unlimited
authorization -- no par value)
based on 1,374 outstanding
shares of beneficial interest 13
Undistributed net investment income 21
Accumulated net realized loss
on investments (457)
Net unrealized depreciation on investments (1,175)
--------
TOTAL NET ASSETS -- 100.0% $116,783
========
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE -- CLASS A $9.98
========
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE -- CLASS B $9.97
========
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
STRIPS SEPARATE TRADING OF REGISTERED INTEREST AND PRINCIPAL OF SECURITIES
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
SEI Daily Income Trust -- July 31, 1999 (Unaudited)
INTERMEDIATE-DURATION
GOVERNMENT FUND
- --------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
U.S. TREASURY OBLIGATIONS -- 49.4%
U.S. Treasury Bonds
11.125%, 08/15/03 $ 1,350 $ 1,595
11.875%, 11/15/03 12,000 14,630
12.000%, 08/15/13 10,900 15,161
U.S. Treasury Notes
5.500%, 07/31/01 5,000 4,987
6.625%, 07/31/01 6,600 6,720
10.750%, 02/15/03 15,750 18,128
3.625%, 01/15/08 2,030 1,968
--------
Total U.S. Treasury Obligations
(Cost $63,763) 63,189
--------
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 17.3%
Agency For International Development
6.750%, 08/15/04 4,000 4,053
Private Export Funding
7.900%, 03/31/00 5,450 5,518
5.500%, 03/15/01 1,000 992
8.400%, 07/31/01 1,600 1,670
6.900%, 01/31/03 2,875 2,932
8.750%, 06/30/03 5,670 6,159
7.010%, 04/30/04 785 810
--------
Total U.S. Government Agency Obligations
(Cost $22,178) 22,134
--------
U.S. GOVERNMENT MORTGAGE-BACKED BONDS -- 31.1%
FHLMC
6.250%, 07/01/03 155 150
5.750%, 05/15/05 268 267
7.350%, 05/16/05 750 756
5.650%, 07/15/05 550 549
5.750%, 01/15/06 363 364
8.000%, 01/15/06 337 346
6.000%, 10/15/06 830 826
6.000%, 08/15/07 400 399
8.250%, 12/01/07 116 121
5.500%, 04/15/08 1,000 980
5.500%, 08/01/08 75 71
5.500%, 09/01/08 128 120
8.250%, 01/01/09 329 342
8.250%, 12/01/09 170 177
6.500%, 09/01/10 3,634 3,552
5.500%, 06/01/13 465 436
5.500%, 06/01/13 301 282
5.500%, 07/01/13 449 421
5.500%, 10/01/13 215 201
6.000%, 12/01/13 1,430 1,370
7.000%, 02/25/19 392 393
6.500%, 06/25/19 2,100 2,103
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
12
<PAGE>
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
6.500%, 09/15/21 $ 414 $ 408
6.300%, 03/15/23 2,000 1,965
FNMA
6.000%, 11/25/03 151 150
5.625%, 05/14/04 10,000 9,672
6.000%, 09/25/05 217 217
6.390%, 01/01/06 39 38
7.280%, 10/01/06 24 25
6.500%, 02/25/07 400 402
7.040%, 03/01/07 39 39
7.500%, 03/01/07 162 162
6.907%, 06/01/07 1,335 1,339
7.024%, 06/01/07 19 19
6.812%, 10/01/07 54 54
6.270%, 11/01/07 326 312
6.300%, 01/01/08 94 90
6.340%, 01/01/08 88 85
6.430%, 01/01/08 94 91
8.000%, 05/01/08 223 228
6.295%, 06/01/08 59 57
8.000%, 06/01/08 215 220
6.180%, 07/01/08 109 103
5.500%, 12/01/08 257 240
5.500%, 04/01/09 160 149
5.500%, 06/01/09 25 23
7.500%, 06/01/09 84 84
5.500%, 11/01/09 272 254
6.000%, 02/01/13 140 134
6.000%, 07/01/13 236 226
6.000%, 07/01/13 1,456 1,392
7.385%, 03/25/21 1,598 1,636
GNMA
8.250%, 04/15/06 7 8
8.250%, 05/15/06 46 47
8.250%, 05/15/06 75 78
8.250%, 06/15/06 86 89
8.250%, 04/15/08 104 107
8.250%, 05/15/08 105 109
8.250%, 05/15/08 68 70
8.250%, 06/15/08 63 65
8.250%, 06/15/08 123 127
8.250%, 06/15/08 87 89
8.250%, 07/15/08 104 108
6.000%, 04/15/09 282 270
8.500%, 05/20/16 188 195
8.500%, 09/20/16 7 7
8.500%, 11/20/16 409 423
8.500%, 11/20/16 36 37
8.500%, 04/20/17 9 9
8.500%, 05/20/17 234 242
8.750%, 05/20/17 204 212
8.750%, 06/20/17 66 68
8.500%, 07/20/17 143 148
8.750%, 07/20/17 12 12
- --------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------
8.750%, 07/20/17 $ 74 $ 77
8.500%, 08/20/17 93 96
8.750%, 10/20/17 8 8
8.750%, 11/20/17 72 75
8.500%, 01/20/18 63 65
8.500%, 02/20/18 87 90
9.500%, 05/01/18 357 381
7.000%, 09/16/19 345 346
7.000%, 08/15/23 1,291 1,258
7.000%, 04/15/26 856 834
--------
Total U.S. Government Mortgage-
Backed Bonds
(Cost $40,536) 39,790
--------
REPURCHASE AGREEMENT -- 4.5%
Lehman Brothers Inc.
5.070%, dated 07/30/99, matures
08/02/99, repurchase price
$5,773,438 (collateralized by
U.S. Treasury Strips, par value
$11,660,000, 05/15/13; with total
market value of $4,851,726) 5,771 5,771
--------
Total Repurchase Agreement
(Cost $5,771) 5,771
--------
Total Investments -- 102.3%
(Cost $132,248) 130,884
--------
OTHER ASSETS AND LIABILITIES, NET -- (2.3%) (2,870)
--------
NET ASSETS:
Fund Shares of Class A (unlimited
authorization -- no par value) based on
13,012,565 outstanding shares of
beneficial interest 134,909
Undistributed net investment income 86
Accumulated net realized loss
on investments (5,617)
Net unrealized depreciation on investments (1,364)
--------
TOTAL NET ASSETS -- 100.0% $128,014
========
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE -- CLASS A $9.84
========
FHLMC FEDERAL HOME LOAN MORTGAGE CORPORATION
FNMA FEDERAL NATIONAL MORTGAGE ASSOCIATION
GNMA GOVERNMENT NATIONAL MORTGAGE ASSOCIATION
STRIPS SEPARATE TRADING OF REGISTERED INTEREST AND PRINCIPAL OF SECURITIES
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
13
<PAGE>
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
SEI DAILY INCOME TRUST -- JULY 31, 1999 (UNAUDITED)
GNMA FUND
- --------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
GNMA -- 97.4%
GNMA
12.500%, 12/15/06-07/15/15 $ 25 $ 29
12.000%, 04/15/14 1 1
11.500%, 04/15/10-02/15/13 22 25
10.500%, 03/15/18 43 47
10.000%, 09/15/15-07/15/20 237 260
9.500%, 06/15/09-11/15/20 4,330 4,640
9.000%, 05/15/16-05/15/22 3,090 3,268
8.500%, 08/15/08-12/15/19 1,041 1,086
8.000%, 12/15/21-11/15/23 4,258 4,352
7.500%, 02/15/17-06/15/29 17,683 17,661
7.000%, 01/15/23-06/15/29 25,820 25,160
6.500%, 09/15/10-03/15/29 30,445 28,935
6.000%, 08/15/26-01/15/29 19,008 17,508
--------
Total GNMA
(Cost $106,314) 102,972
--------
REPURCHASE AGREEMENT -- 2.6%
Lehman Brothers, Inc.
5.070%, dated 07/30/99, matures
08/02/99, repurchase price
$2,793,180 (collateralized
by U.S. Treasury Strips,
par value $6,890,000, 05/15/13;
with total market
value of $2,866,929) 2,792 2,792
--------
Total Repurchase Agreement
(Cost $2,792) 2,792
--------
Total Investments -- 100.0%
(Cost $109,106) 105,764
--------
OTHER ASSETS AND LIABILITIES, NET -- 0.0% (31)
--------
- --------------------------------------------------------------
MARKET
DESCRIPTION VALUE (000)
- --------------------------------------------------------------
NET ASSETS:
Fund Shares of Class A (unlimited
authorization -- no par value) based
on 11,224,298 outstanding shares
of beneficial interest $121,275
Undistributed net investment income 120
Accumulated net realized loss
on investments (12,320)
Net unrealized depreciation on investments (3,342)
--------
TOTAL NET ASSETS -- 100.0% $105,733
========
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE -- CLASS A $9.42
========
GNMA GOVERNMENT NATIONAL MORTGAGE ASSOCIATION
STRIPS SEPARATE TRADING OF REGISTERED INTEREST AND PRINCIPAL OF SECURITIES
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
14
<PAGE>
- --------------------------------------------------------------------------------
CORPORATE DAILY
INCOME FUND
- --------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------
U.S. TREASURY OBLIGATION -- 7.0%
U.S. Treasury Note
4.625%, 12/31/00 $ 8,000 $ 7,902
--------
Total U.S. Treasury Obligation
(Cost $7,946) 7,902
--------
U.S. GOVERNMENT MORTGAGE-BACKED OBLIGATIONS -- 14.5%
FHLMC
7.000%, 10/15/03 433 437
FNMA
5.460%, 06/21/00 5,000 4,999
6.000%, 04/01/01 4,247 4,168
6.500%, 09/01/02 2,313 2,279
GNMA
6.500%, 07/20/02 4,470 4,469
-------
Total U.S. Government Mortgage-Backed Obligations
(Cost $16,524) 16,352
-------
CORPORATE OBLIGATIONS -- 32.9%
BANKS -- 6.0%
Banc One (A)
5.353%, 03/23/01 2,000 2,002
Huntington National Bank
5.875%, 01/15/01 1,500 1,492
Wachovia Corporation
5.435%, 10/09/01 1,750 1,750
Wells Fargo
5.225%, 04/10/00 1,500 1,499
-------
6,743
-------
CHEMICALS -- 0.9%
Monsanto Corporation
5.375%, 12/01/01 1,000 977
-------
FINANCIAL SERVICES -- 17.6%
American General Finance
5.730%, 11/26/01 1,000 985
Associates Corporation of
North America
5.850%, 01/15/01 1,500 1,489
Associates Corporation of
North America (A)
5.120%, 05/17/02 1,000 1,000
Chrysler Financial Corporation LLC
4.910%, 10/10/00 1,000 991
Cit Group Holding MTN
5.850%, 02/05/01 1,500 1,489
Conoco Incorporated
5.900%, 04/15/04 1,000 964
Corporate Asset Funding Corporation
5.310%, 04/07/00 2,000 2,000
- -----------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- -----------------------------------------------------------
Ford Motor Credit Company (A)
5.570%, 07/16/02 $ 2,000 $ 2,000
General Electric Capital Services
5.772%, 08/27/01 1,750 1,732
General Electric Capital Services (A)
4.945%, 05/03/00 1,250 1,250
General Motors Acceptance
Corporation (A)
5.530%, 12/17/01 2,000 2,009
Heller Financial MTN
6.500%, 07/22/02 2,000 1,983
Norwest Financial
5.500%, 03/19/01 1,000 989
United States West Capital Funding
Incorporated
6.125%, 07/15/02 1,000 983
-------
19,864
-------
INSURANCE -- 1.8%
Unum Corporation MTN (A)
5.135%, 06/19/00 2,000 2,000
-------
PETROLEUM REFINING -- 1.8%
Texaco Capital Corporation MTN (A)
4.845%, 05/04/00 2,100 2,098
-------
PHOTOGRAPHIC EQUIPMENT & SUPPLIES -- 1.3%
Xerox Corporation MTN (A)
5.635%, 07/14/00 1,500 1,494
-------
RETAIL -- 1.8%
Albertson's Incorporated (A)
5.161%, 07/14/00 2,000 1,995
-------
TELEPHONES & TELECOMMUNICATION -- 1.7%
AT&T Corporation
5.625%, 03/15/04 1,000 959
AT&T Corporation (A)
5.270%, 07/13/00 1,000 1,000
-------
1,959
-------
Total Corporate Obligations
(Cost $37,356) 37,130
-------
ASSET BACKED SECURITIES -- 27.4%
AUTOMOTIVE -- 19.1%
Aesop Funding 97-1 A-1
6.220%, 10/20/01 1,000 999
ARG Funding Corporation 99-1A A2
5.880%, 05/20/03 1,250 1,232
Capital Auto Receivables Asset
Trust 99-1 A2
5.580%, 06/10/02 1,000 988
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
15
<PAGE>
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
SEI DAILY INCOME TRUST -- JULY 31, 1999 (UNAUDITED)
CORPORATE DAILY
INCOME FUND (concluded)
- --------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
Carco Auto Loan Master
Trust 99-1 A1
5.650%, 03/15/01 $ 1,500 $ 1,490
Chase Auto Owner Trust 98-4 A3
5.700%, 09/17/01 1,000 991
Chase Auto Owner Trust 98-B A3
5.750%, 10/15/01 1,500 1,497
Chase Manhattan 97-B
6.350%, 02/15/01 674 677
Ford Credit Auto Owner
Trust 98-C A3
5.730%, 11/15/00 938 938
Ford Credit Auto Owner Trust
99-A A4
5.310%, 11/15/01 1,250 1,239
Ford Credit Auto Owner
Trust 99-B A4
5.800%, 06/15/02 1,300 1,294
Ford Credit Auto Trust 97-B A3
6.050%, 04/15/01 1,124 1,125
Ford Credit Auto Trust 98-B A2
5.800%, 10/15/00 310 312
General Motors Acceptance 97-A A
6.500%, 04/15/02 486 490
Premier Auto, Ser 1997-2 A3
6.130%, 09/06/00 599 602
Premier Auto Trust 98-3 A2
5.820%, 12/08/00 934 936
Premier Auto Trust Series 98-1 A3
5.630%, 08/06/01 1,500 1,488
Premier Auto Trust 1998-2 A3
5.770%, 01/06/02 1,000 991
Premier Auto Trust 98-4 A3
5.690%, 06/08/02 1,500 1,491
Rental Car Finance Corporation
Auto Trust 97-1 A1
6.250%, 06/25/03 1,500 1,492
Toyota Receivables 97-A (A)
6.450%, 04/15/02 241 242
World Omni Automobile Lease
Securitization Trust 98-A A3 (A)
5.630%, 12/15/04 1,000 1,001
-------
21,515
-------
CREDIT CARDS -- 2.7%
AT&T 97 1-A (A)
5.090%, 04/19/04 1,000 999
Fleet Credit Card Master
Trust II 99-A A
5.290%, 03/15/02 2,000 2,000
-------
2,999
=======
- ------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- ------------------------------------------------------------
EQUIPMENT FUNDING -- 1.0%
Newcourt Equipment Trust
Securities 98-2 A2
5.290%, 10/15/00 $ 1,090 $ 1,089
-------
MORTGAGE RELATED -- 4.6%
Bank of Boston Commercial Loan
Master LLC
5.280%, 11/16/03 1,000 1,000
Main Place Funding 95-2 (A)
5.458%, 10/25/00 1,000 1,001
Main Place Funding 99-1 (A)
5.169%, 05/25/02 1,250 1,243
Peco Energy Transition Trust 99-A A1
5.480%, 03/01/03 2,000 1,986
-------
5,230
-------
Total Asset Backed Securities
(Cost $30,944) 30,833
-------
CERTIFICATES OF DEPOSIT/BANK NOTES -- 6.4%
First Union National Bank
5.020%, 10/27/99 2,000 1,998
Harris Bankcorp Incorporated
5.020%, 01/18/00 1,250 1,247
Key Bank
5.638%, 10/26/01 1,500 1,500
National City Bank
5.000%, 02/08/00 1,000 999
PNC Bank
5.040%, 02/16/00 1,500 1,498
-------
Total Certificates of Deposit/Bank Notes
(Cost $7,250) 7,242
-------
REPURCHASE AGREEMENT -- 11.6%
Lehman Brother, Inc.
5.070%, dated 07/30/99, matures
08/02/99, repurchase price
$13,039,507 (collateralized
by U.S. Treasury Strips, par
value $26,325,000, 05/15/10;
with total market value
of $13,396,793) 13,034 13,034
-------
Total Repurchase Agreement
(Cost $13,034) 13,034
-------
Total Investments -- 99.8%
(Cost $113,054) 112,493
-------
OTHER ASSETS AND LIABILITIES, NET -- 0.2% 244
-------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
16
<PAGE>
- --------------------------------------------------------------------------------
- ------------------------------------------------------------
MARKET
DESCRIPTION VALUE (000)
- ------------------------------------------------------------
NET ASSETS:
Fund Shares of Class A (unlimited
authorization -- no par value)
based on 56,853,910 outstanding
shares of beneficial interest $113,294
Undistributed net investment income 14
Accumulated net realized loss
on investments (10)
Net unrealized depreciation on investments (561)
--------
TOTAL NET ASSETS -- 100.0% $112,737
========
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE -- CLASS A $1.98
========
(A) FLOATING RATE INSTRUMENT. THE RATE REFLECTED ON THE STATEMENT OF NET ASSETS
IS THE RATE IN EFFECT ON JULY 31, 1999.
FHLMC FEDERAL HOME LOAN MORTGAGE CORPORATION
FNMA FEDERAL NATIONAL MORTGAGE ASSOCIATION
GNMA GOVERNMENT NATIONAL MORTGAGE ASSOCIATION
LLC LIMITED LIABILITY COMPANY
MTN MEDIUM TERM NOTE
STRIPS SEPARATE TRADING OF REGISTERED INTEREST AND PRINCIPAL OF SECURITIES
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
17
<PAGE>
<TABLE>
<CAPTION>
STATEMENT OF OPERATIONS (000)
- ------------------------------------------------------------------------------------------------------------------------------------
SEI DAILY INCOME TRUST--FOR THE PERIOD ENDED JULY 31, 1999 (UNAUDITED)
----------- ----------- -------------
MONEY
MARKET GOVERNMENT GOVERNMENT II
FUND FUND FUND
----------- ----------- -------------
Interest Income $30,294 $31,157 $24,533
------- ------- -------
EXPENSES:
<S> <C> <C> <C>
Management fees 1,983 1,522 951
Less: Management fees waived (1,195) (521) (180)
Investment advisory fees 137 175 114
Less: Investment advisory fees waived (55) (88) (47)
Shareholder servicing fees (1) 1,709 4,001 1,339
Less: Shareholder servicing fees (1,297) (756) (1,081)
Custodian/wire agent fees 84 85 67
Trustee fees 4 5 4
Registration fees 69 33 50
Other 52 58 42
------- ------- -------
Total expenses 1,491 4,514 1,259
------- ------- -------
NET INVESTMENT INCOME 28,803 26,643 23,274
------- ------- -------
NET REALIZED AND UNREALIZED GAIN (LOSS)
ON INVESTMENTS:
Net realized gain (loss)from security
transactions -- 37 33
------- ------- -------
Net change in unrealized depreciation
of investments -- -- --
------- ------- -------
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS $28,803 $26,680 $23,307
======= ======= =======
<FN>
(1)INCLUDES CLASS SPECIFIC DISTRIBUTION AND SHAREHOLDER SERVICING FEES.
AMOUNTS DESIGNATED AS "--" ARE EITHER $0 OR HAVE BEEN ROUNDED TO $0.
</FN>
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
18
- ------------ ----------- ----------- -----------
SHORT-
PRIME DURATION
OBLIGATION TREASURY TREASURY II GOVERNMENT
FUND FUND FUND FUND
- ----------- ---------- ----------- -----------
$118,475 $13,153 $13,595 $ 2,924
-------- ------- ------- -------
4,452 652 717 186
(738) (253) (73) (16)
535 62 68 53
(222) (25) (29) (8)
6,370 1,051 798 133
(5,085) (324) (595) (133)
251 59 29 9
17 2 2 2
190 26 6 2
201 22 27 12
-------- ------- ------- -------
5,971 1,272 950 240
-------- ------- ------- -------
112,504 11,881 12,645 2,684
-------- ------- ------- -------
123 (2) 4 153
-------- ------- ------- -------
-- -- -- (2,108)
-------- ------- ------- -------
$112,627 $11,879 $12,649 $ 729
======== ======= ======= =======
-------------- ----------- -----------
INTERMEDIATE- CORPORATE
DURATION DAILY
GOVERNMENT GNMA INCOME
FUND FUND FUND
------------- ----------- ----------
$ 3,744 $ 3,474 $2,663
------- ------- ------
221 167 170
-- -- (54)
63 52 49
-- -- (16)
158 130 122
(150) (60) (122)
14 13 6
2 2 2
2 7 6
6 1 7
------- ------- ------
316 312 170
------- ------- ------
3,428 3,162 2,493
------- ------- ------
11 (5) (57)
------- ------- ------
(5,135) (5,326) (923)
------- ------- ------
$(1,696) $(2,169) $1,513
======= ======= ======
<PAGE>
STATEMENT OF CHANGES IN NET ASSETS (000)
- --------------------------------------------------------------------------------
SEI Daily Income Trust--for the period ended July 31, 1999 (Unaudited) and for
the year ended January 31
<TABLE>
<CAPTION>
---------------------
MONEY MARKET
FUND
---------------------
2/1/99 2/1/98
to to
7/31/99 1/31/99
----------------------
OPERATIONS:
<S> <C> <C>
Net investment income $ 28,803 $ 50,152
Net realized gain (loss) from security transactions -- 6
----------- -----------
Net increase in net assets from operations 28,803 50,158
DIVIDENDS DISTRIBUTED FROM:
Net investment income:
Class A (25,100) (44,080)
Class B (210) (210)
Class C (3,191) (5,954)
CNI Class* -- --
Sweep Class (178) (37)
----------- -----------
Total dividends distributed (28,679) (50,281)
----------- -----------
CAPITAL SHARE TRANSACTIONS (ALL AT $1.00 PER SHARE): Class A:
Proceeds from shares issued 7,414,597 15,609,293
Reinvestment of cash distributions 16,096 32,041
Cost of shares redeemed (8,119,517) (15,150,018)
----------- ------------
Increase (decrease) in net assets from Class A transactions (688,824) 491,316
----------- ------------
Class B:
Proceeds from shares issued 52,705 32,514
Reinvestment of cash distributions 28 138
Cost of shares redeemed (42,297) (32,159)
----------- ------------
Increase (decrease) in net assets from Class B transactions 10,436 493
----------- ------------
Class C:
Proceeds from shares issued 362,861 629,568
Reinvestment of cash distributions 24 148
Cost of shares redeemed (340,884) (583,792)
----------- ------------
Increase (decrease) in net assets from Class C transactions 22,001 45,924
----------- ------------
CNI Class*:
Proceeds from shares issued -- --
Reinvestment of cash distributions -- --
Cost of shares redeemed -- --
----------- ------------
Increase (decrease) in net assets from CNI Class transactions -- --
----------- ------------
Sweep Class:
Proceeds from shares issued 38,954 15,589
Reinvestment of cash distributions -- --
Cost of shares redeemed (32,277) (8,920)
----------- ------------
Increase in net assets from Sweep Class transactions 6,677 6,669
----------- ------------
INCREASE (DECREASE) IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (649,710) 544,402
----------- ------------
Net increase (decrease) in net assets (649,586) 544,279
----------- ------------
NET ASSETS:
Beginning of Period 1,359,619 815,340
----------- ------------
End of Period $ 710,033 $ 1,359,619
=========== ============
</TABLE>
*GOVERNMENT CNI CLASS SHARES WERE FULLY LIQUIDATED ON JUNE 21, 1999.
*AMOUNTS DESIGNATED AS "--" ARE EITHER $0 OR HAVE BEEN ROUNDED TO $0.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
20
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------------------------------
-------------------- ----------------------- ---------------------- --------------------- -----------------------
GOVERNMENT GOVERNMENT II PRIME OBLIGATION TREASURY TREASURY II
FUND FUND FUND FUND FUND
- --------------------- ----------------------- ---------------------- --------------------- -----------------------
2/1/99 2/1/98 2/1/99 2/1/98 2/1/99 2/1/98 2/1/99 2/1/98 2/1/99 2/1/98
to to to to to to to to to to
7/31/99 1/31/99 7/31/99 1/31/99 7/31/99 1/31/99 7/31/99 1/31/99 7/31/99 1/31/99
- --------------------- ---------------------- ---------------------- ---------------------- -----------------------
$ 26,643 $ 63,471 $ 23,274 $ 47,749 $ 112,504 $ 211,888 $ 11,881 $ 22,207 $ 12,645 $ 34,689
37 93 33 109 123 76 (2) 4 4 263
- ---------- ---------- ---------- --------- ---------- --------- ---------- --------- ---------- -----------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
26,680 63,564 23,307 47,858 112,627 211,964 11,879 22,211 12,649 34,952
(5,491) (9,376) (20,355) (43,307) (98,674) (188,119) (6,014) (11,134) (10,232) (29,617)
(1,138) (1,930) (1,785) (2,244) (6,109) (11,254) (2,023) (3,877) (2,010) (4,448)
(1,042) (3,697) (1,148) (2,183) (7,424) (12,549) (2,082) (3,921) (400) (627)
(18,890) (48,389) -- -- -- -- -- -- -- --
(96) (64) -- -- (151) (34) (1,739) (3,267) -- --
- ---------- ---------- ---------- --------- ---------- --------- ---------- --------- ---------- -----------
(26,657) (63,456) (23,288) (47,734) (112,358) (211,956) (11,858) (22,199) (12,642) (34,692)
- ---------- ---------- ---------- --------- ---------- --------- ---------- --------- ---------- -----------
738,503 1,176,639 2,369,284 5,668,481 21,827,006 38,341,442 1,027,271 1,467,740 1,332,280 3,950,551
2,644 5,388 3,917 7,774 21,211 58,423 1,723 4,229 2,799 5,374
(741,305)(1,119,965) (2,511,575)(5,596,396) (21,882,951)(37,164,764) (1,092,083)(1,390,083) (1,265,529) (4,252,462)
- ---------- ---------- ---------- --------- ---------- --------- ---------- --------- ---------- -----------
(158) 62,062 (138,374) 79,859 (34,734) 1,235,101 (63,089) 81,886 69,550 (296,537)
- ---------- ---------- ---------- --------- ---------- --------- ---------- --------- ---------- -----------
189,256 314,201 218,788 294,750 1,475,370 2,585,992 205,244 392,282 131,607 465,292
19 406 292 512 516 1,039 28 29 748 2,516
(126,194) (309,037) (178,084) (262,282) (1,459,161) (2,544,237) (198,126) (364,327) (186,417) (399,857)
- ---------- ---------- ---------- --------- ---------- --------- ---------- --------- ---------- -----------
63,081 5,570 40,996 32,980 16,725 42,794 7,146 27,984 (54,062) 67,951
- ---------- ---------- ---------- --------- ---------- --------- ---------- --------- ---------- -----------
283,768 994,924 105,630 154,260 662,497 1,318,675 325,949 504,608 105,207 143,516
-- 12 9 5 52 68 -- -- -- 4
(275,293) (980,387) (109,653) (138,832) (635,185) (1,174,770) (312,737) (454,730) (99,384) (135,994)
- ---------- ---------- ---------- --------- ---------- --------- ---------- --------- ---------- -----------
8,475 14,549 (4,014) 15,433 27,364 143,973 13,212 49,878 5,823 7,526
- ---------- ---------- ---------- --------- ---------- --------- ---------- --------- ---------- -----------
1,012,115 3,406,554 -- -- -- -- -- -- -- --
11,806 36,054 -- -- -- -- -- -- -- --
(2,104,329)(3,270,536) -- -- -- -- -- -- -- --
- ----------- --------- ---------- --------- ---------- --------- ---------- --------- ---------- -----------
(1,080,408) 172,072 -- -- -- -- -- -- -- --
- ---------- ---------- ---------- --------- ---------- --------- ---------- --------- ---------- -----------
45,968 43,353 -- -- 38,050 10,789 173,995 262,848 -- --
-- -- -- -- 45 13 -- 1 -- --
(44,186) (40,105) -- -- (35,875) (5,157) (156,117) (259,557) -- --
--------- ---------- ---------- --------- ---------- --------- ---------- --------- ---------- -----------
1,782 3,248 -- -- 2,220 5,645 17,878 3,292 -- --
--------- ---------- ---------- --------- ---------- --------- ---------- --------- ---------- -----------
(1,007,228) 257,501 (101,392) 128,272 11,575 1,427,513 (24,853) 163,040 21,311 (221,060)
- ---------- ---------- ---------- --------- ---------- --------- ---------- --------- ---------- -----------
(1,007,205) 257,609 (101,373) 128,396 11,844 1,427,521 (24,832) 163,052 21,318 (220,800)
- ---------- ---------- ---------- --------- ---------- --------- ---------- --------- ---------- -----------
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
- ---------- ---------- ---------- --------- ----------- ---------- ---------- --------- ---------- -----------
$ 355,973 $1,363,178 $ 957,573 $1,058,946 $ 5,081,407 $ 5,069,563 $ 516,933 $ 541,765 $ 629,994 $ 608,676
========== ========== ========== ========== =========== =========== ========== ========= ========== ============
</TABLE>
21
<PAGE>
<TABLE>
<CAPTION>
STATEMENT OF CHANGES IN NET ASSETS (000)
- --------------------------------------------------------------------------------
SEI DAILY INCOME TRUST--FOR THE PERIOD ENDED JULY 31, 1999 (UNAUDITED) AND FOR
THE YEAR ENDED JANUARY 31, 1999
------------------
SHORT-DURATION
GOVERNMENT
FUND
-------------------
2/1/99 2/1/98
to to
7/31/99 1/31/99
-------------------
OPERATIONS:
<S> <C> <C>
Net investment income $ 2,684 $ 4,843
Net realized gain (loss) from security transactions 153 474
Net change in unrealized appreciation (depreciation) of investments (2,108) 378
-------- -------
Net increase (decrease) in net assets from operations 729 5,695
-------- -------
DIVIDENDS DISTRIBUTED FROM:
Net investment income:
Class A (2,684) (4,833)
Class B -- (1)
-------- -------
Total dividends distributed (2,684) (4,834)
-------- -------
CAPITAL SHARE TRANSACTIONS:
Class A:
Proceeds from shares issued 73,619 75,964
Reinvestment of cash distributions 1,125 2,384
Cost of shares redeemed (55,067) (61,175)
-------- -------
Increase in net assets from Class A transactions 19,677 17,173
-------- -------
Class B:
Proceeds from shares issued -- --
Reinvestment of cash distributions -- --
Cost of shares redeemed -- --
-------- -------
Decrease in net assets from Class B transactions -- --
-------- -------
INCREASE IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS 19,677 17,173
-------- -------
Net increase in net assets 17,722 18,034
-------- -------
NET ASSETS:
Beginning of Period 99,061 81,027
-------- -------
End of Period $116,783 $99,061
======== =======
CAPITAL SHARES ISSUED AND REDEEMED:
Class A:
Shares issued 7,319 7,514
Shares issued in lieu of cash distributions 112 236
Shares redeemed (5,475) (6,057)
-------- -------
Total Class A transactions 1,956 1,693
-------- -------
Class B:
Shares issued -- --
Shares issued in lieu of cash distributions -- --
Shares redeemed -- --
-------- -------
Total Class B transactions -- --
-------- -------
Increase in capital shares 1,956 1,693
======== =======
AMOUNTS DESIGNATED AS "--" ARE EITHER $0 OR HAVE BEEN ROUNDED TO $0.
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
22
<PAGE>
- --------------------------------------------------------------------------------
- ------------------------ ----------------------- -----------------------
INTERMEDIATE- CORPORATE
DURATION DAILY
GOVERNMENT GNMA INCOME
FUND FUND FUND
- ------------------------ ------------------------ -----------------------
2/1/99 2/1/98 2/1/99 2/1/98 2/1/99 2/1/98
to to to to to to
7/31/99 1/31/99 7/31/99 1/31/99 7/31/99 1/31/99
- ------------------------ ------------------------ -----------------------
$ 3,428 $ 6,594 $ 3,162 $ 5,353 $ 2,493 $ 4,252
11 446 (5) 37 (57) 50
(5,135) 1,331 (5,326) 245 (923) 109
--------- -------- ------- -------- -------- --------
(1,696) 8,371 (2,169) 5,635 1,513 4,411
--------- -------- ------- -------- -------- --------
(3,430) (6,589) (3,183) (5,345) (2,428) (4,319)
-- -- -- -- -- --
--------- -------- ------- -------- -------- --------
(3,430) (6,589) (3,183) (5,345) (2,428) (4,319)
--------- -------- ------- -------- -------- --------
39,553 67,844 30,895 57,954 51,164 68,896
1,223 2,341 1,104 1,828 1,411 2,998
(32,293) (64,417) (21,713) (37,065) (28,966) (51,514)
--------- -------- ------- -------- -------- --------
8,483 5,768 10,286 22,717 23,609 20,380
--------- -------- ------- -------- -------- --------
-- -- -- -- -- --
-- -- -- -- -- --
-- -- -- -- -- --
--------- -------- ------- -------- -------- --------
-- -- -- -- -- --
--------- -------- ------- -------- -------- --------
8,483 5,768 10,286 22,717 23,609 20,380
--------- -------- ------- -------- -------- --------
3,357 7,550 4,934 23,007 22,694 20,472
--------- -------- ------- -------- -------- --------
124,657 117,107 100,799 77,792 90,043 69,571
--------- -------- -------- -------- -------- --------
$ 128,014 $124,657 $105,733 $100,799 $112,737 $ 90,043
========= ======== ======== ======== ======== ========
3,946 6,668 3,176 5,860 25,666 34,453
123 231 114 185 708 1,501
(3,229) (6,354) (2,241) (3,752) (14,530) (25,754)
--------- -------- ------- -------- -------- --------
840 545 1,049 2,293 11,844 10,200
--------- -------- ------- -------- -------- --------
-- -- -- -- -- --
-- -- -- -- -- --
-- -- -- -- -- --
--------- -------- ------- -------- -------- --------
-- -- -- -- -- --
--------- -------- ------- -------- -------- --------
840 545 1,049 2,293 11,844 10,200
========= ======== ======= ======== ======== ========
23
<PAGE>
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
SEI Daily Income Trust -- for the period ended July 31, 1999 (Unaudited) and for
the years ended January 31,
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
<TABLE>
<CAPTION>
NET ASSET NET REALIZED AND DISTRIBUTIONS DISTRIBUTIONS RATIO OF
VALUE NET UNREALIZED FROM NET FROM NET ASSET NET ASSETS EXPENSES
BEGINNING INVESTMENT GAINS (LOSSES) INVESTMENT REALIZED CAPITAL VALUE END TOTAL END OF TO AVERAGE
OF PERIOD INCOME ON SECURITIES INCOME GAINS OF PERIOD RETURN PERIOD (000) NET ASSETS
============================================================================================================================
- ----------------------
MONEY MARKET PORTFOLIO
- ----------------------
CLASS A
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
1999* $1.00 $0.02 $ -- $(0.02) $ -- $1.00 2.42%+ $ 523,542 0.18%
1999 1.00 0.05 -- (0.05) -- 1.00 5.50 1,212,244 0.18
1998 1.00 0.06 -- (0.06) -- 1.00 5.65 721,035 0.18
1997 1.00 0.05 -- (0.05) -- 1.00 5.44 369,052 0.16
1996 1.00 0.06 -- (0.06) -- 1.00 5.98 95,891 0.20
1995 1.00 0.04 -- (0.04) -- 1.00 4.55 213,988 0.21
CLASS B
1999* $1.00 $0.02 $ -- $(0.02) $ -- $1.00 2.27%+ $ 18,312 0.48%
1999 1.00 0.05 -- (0.05) -- 1.00 5.18 7,875 0.48
1998(1) 1.00 0.03 -- (0.03) -- 1.00 5.29 7,383 0.48
1997 1.00 0.05 -- (0.05) -- 1.00 5.13 770 0.50
1996 1.00 0.06 -- (0.06) -- 1.00 5.67 6,616 0.50
1995 1.00 0.04 -- (0.04) -- 1.00 4.24 6,314 0.51
CLASS C
1999* $1.00 $0.02 $ -- $(0.02) $ -- $1.00 2.17%+ $ 154,833 0.68%
1999 1.00 0.05 -- (0.05) -- 1.00 4.97 132,831 0.68
1998 1.00 0.05 -- (0.05) -- 1.00 5.12 86,922 0.68
1997 1.00 0.05 -- (0.05) -- 1.00 4.92 30,528 0.66
1996(2) 1.00 0.04 -- (0.04) -- 1.00 3.79+ 2,460 0.70
SWEEP CLASS
1999* $1.00 $0.02 $ -- $(0.02) $ -- $1.00 2.04%+$ 13,346 0.93%
1999(3) 1.00 0.02 -- (0.02) -- 1.00 4.56 6,669 0.93
- ---------------
GOVERNMENT FUND
- ---------------
CLASS A
1999* $1.00 $0.02 $ -- $(0.02) $ -- $1.00 2.37%+ $ 204,826 0.20%
1999 1.00 0.05 -- (0.05) -- 1.00 5.39 204,988 0.20
1998 1.00 0.05 -- (0.05) -- 1.00 5.52 142,929 0.20
1997 1.00 0.05 -- (0.05) -- 1.00 5.33 116,373 0.20
1996(4) 1.00 0.01 -- (0.01) -- 1.00 1.48+ 48,762 0.20
1994(5) 1.00 0.01 (0.01) -- 1.00 3.22 -- 0.20
CLASS B
1999* $1.00 $0.02 $ -- $(0.02) $ -- $1.00 2.22%+ $ 97,759 0.50%
1999 1.00 0.05 -- (0.05) -- 1.00 5.08 34,676 0.50
1998 1.00 0.05 -- (0.05) -- 1.00 5.21 29,102 0.50
1997 1.00 0.05 -- (0.05) -- 1.00 5.02 53,144 0.50
1996(6) 1.00 0.02 (0.02) -- 1.00 2.39+ 14,997 0.50
CLASS C
1999* $1.00 $0.02 $ -- $(0.02) $ -- $1.00 2.00%+ $ 48,358 0.70%
1999 1.00 0.05 -- (0.05) -- 1.00 4.87 39,881 0.70
1998(7) 1.00 0.03 -- (0.03) -- 1.00 5.01 25,341 0.70
CNI CLASS
1999*(9) $1.00 $0.02 $ -- $(0.02) $ -- $1.00 1.57%+ $ -- 0.85%
1999 1.00 0.05 -- (0.05) -- 1.00 4.71 1,080,385 0.85
1998 1.00 0.05 -- (0.05) -- 1.00 4.84 908,197 0.85
1997 1.00 0.05 -- (0.05) -- 1.00 4.69 617,186 0.82
1996 1.00 0.05 -- (0.05) -- 1.00 5.39 542,936 0.70
1995(8) 1.00 0.03 -- (0.03) -- 1.00 3.41+ 310,835 0.70
SWEEP CLASS
1999* $1.00 $0.02 $ -- $(0.02) $ -- $1.00 2.12%+ $ 5,030 0.95%
1999(10) 1.00 0.03 -- (0.03) -- 1.00 4.49% 3,248 0.95
- ------------------
GOVERNMENT II FUND
- ------------------
CLASS A
1999* $1.00 $0.02 $ -- $(0.02) $ -- $1.00 2.36%+ $ 805,040 0.20%
1999 1.00 0.05 -- (0.05) -- 1.00 5.33 943,396 0.20
1998 1.00 0.05 -- (0.05) -- 1.00 5.45 863,427 0.20
1997 1.00 0.05 -- (0.05) -- 1.00 5.29 762,015 0.20
1996 1.00 0.06 -- (0.06) -- 1.00 5.83 810,365 0.20
1995 1.00 0.04 -- (0.04) -- 1.00 4.39 786,405 0.20
CLASS B
1999* $1.00 $0.02 $ -- $(0.02) $ -- $1.00 2.20%+ $ 105,835 0.50%
1999 1.00 0.05 -- (0.05) -- 1.00 5.01 64,838 0.50
1998 1.00 0.05 -- (0.05) -- 1.00 5.14 31,851 0.50
1997 1.00 0.05 -- (0.05) -- 1.00 4.98 16,323 0.50
1996 1.00 0.05 -- (0.05) -- 1.00 5.52 19,678 0.50
1995 1.00 0.04 (0.04) -- 1.00 4.08 15,201 0.50
CLASS C
1999* $1.00 $0.02 $ -- $(0.02) $ -- $1.00 2.10%+ $ 46,698 0.70%
1999 1.00 0.05 -- (0.05) -- 1.00 4.81 50,712 0.70
1998 1.00 0.05 -- (0.05) -- 1.00 4.93 35,272 0.70
1997(11) 1.00 0.01 -- (0.01) -- 1.00 4.71 6,359 0.70
</TABLE>
RATIO OF
NET
RATIO OF RATIO OF INVESTMENT
NET EXPENSES INCOME
INVESTMENT TO AVERAGE TO AVERAGE
INCOME NET ASSETS NET ASSETS
TO AVERAGE (EXCLUDING (EXCLUDING
NET ASSETS WAIVERS) WAIVERS)
===========================================================================
4.86% 0.64% 4.40%
5.32 0.64 4.86
5.51 0.66 5.03
5.33 0.63 4.86
5.88 0.45 5.63
4.49 0.45 4.25
4.57% 0.69% 4.36%
5.08 0.69 4.87
5.26 0.72 5.02
4.96 0.76 4.70
5.53 0.75 5.28
4.49 0.75 4.25
4.36% 0.89% 4.15%
4.84 0.89 4.63
5.02 0.92 4.78
4.84 0.92 4.58
5.17 0.96 4.91
4.12% 1.14% 3.91%
4.36 1.14 4.15
4.74% 0.54% 4.40%
5.22 0.55 4.87
5.40 0.56 5.04
5.22 0.55 4.87
5.55 0.33 5.42
3.04 0.37 2.87
4.44% 0.59% 4.35%
4.92 0.60 4.82
5.06 0.61 4.95
4.91 0.62 4.79
5.27 0.63 5.14
4.23% 0.79% 4.14%
4.70 0.80 4.60
4.94 0.81 4.83
4.05% 1.04% 3.86%
4.59 1.05 4.39
4.75 1.06 4.54
4.59 1.03 4.38
5.23 0.84 5.09
4.32 0.89 4.13
3.98% 1.04% 3.89%
4.37 1.05 4.27
4.70% 0.50% 4.40%
5.20 0.50 4.90
5.32 0.51 5.01
5.17 0.45 4.92
5.69 0.29 5.60
4.33 0.30 4.23
4.40% 0.55% 4.35%
4.86 0.55 4.81
5.02 0.56 4.96
4.87 0.56 4.81
5.41 0.59 5.32
4.33 0.60 4.23
4.20% 0.75% 4.15%
4.70 0.75 4.65
4.82 0.76 4.76
4.69 0.75 4.64
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
24
<PAGE>
<TABLE>
<CAPTION>
NET ASSET NET REALIZED AND DISTRIBUTIONS DISTRIBUTIONS RATIO OF
VALUE NET UNREALIZED FROM NET FROM NET ASSET NET ASSETS EXPENSES
BEGINNING INVESTMENT GAINS (LOSSES) INVESTMENT REALIZED CAPITAL VALUE END TOTAL END OF TO AVERAGE
OF PERIOD INCOME ON SECURITIES INCOME GAINS OF PERIOD RETURN PERIOD (000) NET ASSETS
============================================================================================================================
- ---------------------
PRIME OBLIGATION FUND
- ---------------------
CLASS A
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
1999* $1.00 $0.02 $ -- $(0.02) $ -- $1.00 2.43%+ $4,448,177 0.20%
1999 1.00 0.05 -- (0.05) -- 1.00 5.48 4,482,676 0.20
1998 1.00 0.05 -- (0.05) -- 1.00 5.59 3,247,562 0.20
1997 1.00 0.05 -- (0.05) -- 1.00 5.38 2,626,360 0.20
1996 1.00 0.06 -- (0.06) -- 1.00 5.96 2,441,662 0.20
1995 1.00 0.04 -- (0.04) -- 1.00 4.46 2,778,326 0.20
CLASS B
1999* $1.00 $0.02 $ -- $(0.02) $ -- $1.00 2.28%+ $ 246,100 0.50%
1999 1.00 0.05 -- (0.05) -- 1.00 5.16 229,361 0.50
1998 1.00 0.05 -- (0.05) -- 1.00 5.27 186,572 0.50
1997 1.00 0.05 -- (0.05) -- 1.00 5.07 146,267 0.50
1996 1.00 0.06 -- (0.06) -- 1.00 5.65 174,779 0.50
1995 1.00 0.04 -- (0.04) -- 1.00 4.15 21,852 0.50
CLASS C
1999* $1.00 $0.02 $ -- $(0.02) $ -- $1.00 2.17%+ $ 379,264 0.70%
1999 1.00 0.05 -- (0.05) -- 1.00 4.96 351,881 0.70
1998 1.00 0.05 -- (0.05) -- 1.00 5.06 207,908 0.70
1997(12) 1.00 0.04 -- (0.04) -- 1.00 4.85 4,332 0.70
1995(13) 1.00 0.03 -- (0.03) -- 1.00 2.55+ -- 0.70
1994 1.00 0.03 -- (0.03) -- 1.00 2.59 20,602 0.70
SWEEP CLASS
1999* $1.00 $0.02 $ -- $(0.02) $ -- $1.00 2.05%+ $ 7,866 0.95%
1999(14) 1.00 0.03 -- (0.03) -- 1.00 4.61 5,645 0.95
- -------------
TREASURY FUND
- -------------
CLASS A
1999* $1.00 $0.02 $ -- $(0.02) $ -- $1.00 2.32%+ $ 206,601 0.20%
1999 1.00 0.05 -- (0.05) -- 1.00 5.28 269,680 0.20
1998 1.00 0.05 -- (0.05) -- 1.00 5.49 187,790 0.20
1997 1.00 0.05 -- (0.05) -- 1.00 5.32 67,924 0.20
1996 1.00 0.06 -- (0.06) -- 1.00 5.89 54,820 0.20
1995 1.00 0.04 -- (0.04) -- 1.00 4.29 39,129 0.20
CLASS B
1999* $1.00 $0.02 $ -- $(0.02) $ -- $1.00 2.17%+ $ 103,224 0.50%
1999 1.00 0.05 -- (0.05) -- 1.00 4.97 96,074 0.50
1998(15) 1.00 0.03 -- (0.03) -- 1.00 5.18 68,089 0.50
CLASS C
1999* $1.00 $0.02 $ -- $(0.02) $ -- $1.00 2.07%+ $ 116,858 0.70%
1999 1.00 0.05 -- (0.05) -- 1.00 4.76 103,643 0.70
1998 1.00 0.05 -- (0.05) -- 1.00 4.96 53,768 0.70
1997 1.00 0.05 -- (0.05) -- 1.00 4.80 24,904 0.70
1996(16) 1.00 0.03 -- (0.03) -- 1.00 2.68+ 14,691 0.70
SWEEP CLASS
1999* $1.00 $0.02 $ -- $(0.02) $ -- $1.00 1.94%+ $ 90,250 0.95%
1999 1.00 0.04 -- (0.04) -- 1.00 4.50 72,368 0.95
1998(17) 1.00 0.02 -- (0.02) -- 1.00 4.74 69,066 0.95
</TABLE>
RATIO OF
NET
RATIO OF RATIO OF INVESTMENT
NET EXPENSES INCOME
INVESTMENT TO AVERAGE TO AVERAGE
INCOME NET ASSETS NET ASSETS
TO AVERAGE (EXCLUDING (EXCLUDING
NET ASSETS WAIVERS) WAIVERS)
===========================================================================
4.86% 0.49% 4.57%
5.32 0.50 5.02
5.46 0.51 5.15
5.26 0.45 5.01
5.82 0.29 5.73
4.41 0.30 4.31
4.55% 0.54% 4.51%
5.04 0.55 4.99
5.16 0.56 5.10
4.95 0.56 4.89
5.38 0.58 5.30
4.55 0.60 4.45
4.35% 0.74% 4.31%
4.82 0.75 4.77
5.02 0.76 4.96
4.79 0.74 4.75
2.79 0.77 2.72
2.57 0.78 2.48
4.10% 0.99% 4.06%
4.35 1.00 4.30
4.64% 0.55% 4.29%
5.14 0.57 4.77
5.36 0.59 4.97
5.19 0.60 4.79
5.72 0.36 5.56
4.17 0.34 4.03
4.34% 0.60% 4.24%
4.86 0.62 4.74
5.13 0.64 4.99
4.14% 0.80% 4.04%
4.62 0.82 4.50
4.86 0.84 4.72
4.70 0.90 4.50
5.12 0.87 4.95
3.89% 1.05% 3.79%
4.40 1.07 4.28
4.71 1.08 4.58
* ALL RATIOS FOR THE SEMI-ANNUAL PERIOD ENDED JULY 31, 1999 (UNAUDITED) HAVE
BEEN ANNUALIZED.
+ 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 CNI CLASS SHARES WERE FULLY LIQUIDATED JUNE 21, 1999. ALL RATIOS
FOR THAT PERIOD HAVE BEEN ANNUALIZED.
10 GOVERNMENT SWEEP CLASS SHARES WERE OFFERED BEGINNING JUNE 4, 1998. ALL
RATIOS AND TOTAL RETURN FOR THAT PERIOD HAVE BEEN ANNUALIZED.
11 GOVERNMENT II CLASS C SHARES WERE OFFERED BEGINNING NOVEMBER 27, 1996. ALL
RATIOS AND TOTAL RETURN FOR THAT PERIOD HAVE BEEN ANNUALIZED.
12 PRIME OBLIGATION CLASS C SHARES WERE RE-OFFERED BEGINNING APRIL 30, 1996.
ALL RATIOS AND TOTAL RETURN FOR THE PERIOD HAVE BEEN ANNUALIZED.
13 PRIME OBLIGATION CLASS C SHARES WERE FULLY LIQUIDATED OCTOBER 27, 1994.
ALL RATIOS FOR THAT PERIOD HAVE BEEN ANNUALIZED.
14 PRIME OBLIGATION SWEEP CLASS SHARES WERE OFFERED BEGINNING MAY 18, 1998.
ALL RATIOS AND TOTAL RETURN FOR THAT PERIOD HAVE BEEN ANNUALIZED.
15 TREASURY CLASS B SHARES WERE OFFERED BEGINNING AUGUST 4, 1997.
ALL RATIOS AND TOTAL RETURN FOR THAT PERIOD HAVE BEEN ANNUALIZED.
16 TREASURY CLASS C SHARES WERE OFFERED BEGINNING JULY 27, 1995. ALL RATIOS
FOR THAT PERIOD HAVE BEEN ANNUALIZED.
17 TREASURY SWEEP CLASS SHARES WERE OFFERED BEGINNING AUGUST 1, 1997. ALL
RATIOS AND TOTAL RETURN FOR THAT PERIOD HAVE BEEN ANNUALIZED.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
25
<PAGE>
FINANCIAL HIGHLIGHTS (concluded)
- --------------------------------------------------------------------------------
SEI DAILY INCOME TRUST -- FOR THE PERIOD ENDED JULY 31, 1999 (UNAUDITED) AND FOR
THE YEARS ENDED JANUARY 31,
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
<TABLE>
<CAPTION>
NET ASSET NET REALIZED AND DISTRIBUTIONS DISTRIBUTIONS RATIO OF
VALUE NET UNREALIZED FROM NET FROM NET ASSET NET ASSETS EXPENSES
BEGINNING INVESTMENT GAINS (LOSSES) INVESTMENT REALIZED CAPITAL VALUE END TOTAL END OF TO AVERAGE
OF PERIOD INCOME ON SECURITIES INCOME GAINS OF PERIOD RETURN PERIOD (000) NET ASSETS
============================================================================================================================
- ----------------
TREASURY II FUND
- ----------------
CLASS A
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
1999* $ 1.00 $0.02 $ -- $(0.02) $ -- $ 1.00 2.15%+ $ 521,292 0.25%
1999 1.00 0.05 -- (0.05) -- 1.00 4.86 451,738 0.25
1998 1.00 0.05 -- (0.05) -- 1.00 5.20 748,061 0.25
1997 1.00 0.05 -- (0.05) -- 1.00 5.07 780,718 0.25
1996 1.00 0.05 -- (0.05) -- 1.00 5.58 418,250 0.25
1995 1.00 0.04 -- (0.04) -- 1.00 4.17 397,682 0.25
CLASS B
1999* $ 1.00 $0.02 $ -- $(0.02) $ -- $ 1.00 2.00%+ $ 83,517 0.55%
1999 1.00 0.04 -- (0.04) -- 1.00 4.55 137,577 0.55
1998 1.00 0.05 -- (0.05) -- 1.00 4.88 69,572 0.55
1997 1.00 0.05 -- (0.05) -- 1.00 4.76 54,148 0.55
1996 1.00 0.05 -- (0.05) -- 1.00 5.27 26,447 0.55
1995 1.00 0.04 -- (0.04) -- 1.00 3.86 44,680 0.55
CLASS C
1999* $ 1.00 $0.02 $ -- $(0.02) $ -- $ 1.00 1.90%+ $ 25,185 0.75%
1999 1.00 0.04 -- (0.04) -- 1.00 4.34 19,361 0.75
1998 1.00 0.05 -- (0.05) -- 1.00 4.67 11,843 0.75
1997 1.00 0.04 -- (0.04) -- 1.00 4.55 4,528 0.75
1996(1) 1.00 0.04 -- (0.04) -- 1.00 3.64+ 3,935 0.75
- ------------------------------
SHORT-DURATION GOVERNMENT FUND
- ------------------------------
CLASS A
1999* $10.16 $0.25 $(0.18) $(0.25) $ -- $ 9.98 0.72%+ $ 116,769 0.45%
1999 10.06 0.54 0.10 (0.54) -- 10.16 6.49 99,047 0.45
1998 9.95 0.59 0.11 (0.59) -- 10.06 7.23 81,014 0.45
1997 10.09 0.57 (0.12) (0.59) -- 9.95 4.62 73,545 0.45
1996 9.73 0.61 0.36 (0.61) -- 10.09 10.27 73,431 0.45
1995 10.06 0.40 (0.32) (0.40) (0.01) 9.73 0.93 99,458 0.45
CLASS B
1999* $10.15 $0.24 $(0.18) $(0.24) $ -- $ 9.97 0.55%+ $ 14 0.75%
1999 10.04 0.51 0.11 (0.51) -- 10.15 6.28 14 0.75
1998 9.94 0.56 0.10 (0.56) -- 10.04 6.82 13 0.75
1997 10.07 0.55 (0.12) (0.56) -- 9.94 4.40 13 0.75
1996 9.71 0.58 0.36 (0.58) -- 10.07 9.94 39 0.75
1995 10.04 0.38 (0.32) (0.38) (0.01) 9.71 0.70 131 0.75
CLASS D
1997(2)$10.09 $0.23 $(0.19) $(0.23) $ -- $ 9.90 0.35%+ $ -- 0.85%
1996(3) 9.83 0.54 0.26 (0.54) -- 10.09 8.31+ 11 0.85
- -------------------------------------
INTERMEDIATE-DURATION GOVERNMENT FUND
- -------------------------------------
CLASS A
1999* $10.24 $0.27 $(0.40) $(0.27) $ -- $ 9.84 (1.29)%+ $ 128,014 0.50%
1999 10.07 0.56 0.17 (0.56) -- 10.24 7.46 124,657 0.50
1998 9.78 0.58 0.29 (0.58) -- 10.07 9.15 117,107 0.50
1997 10.06 0.55 (0.28) (0.55) -- 9.78 2.81 133,675 0.49
1996 9.33 0.60 0.73 (0.60) -- 10.06 14.60 164,978 0.45
1995 10.13 0.50 (0.73) (0.50) (0.07) 9.33 (2.19) 243,671 0.45
CLASS B
1996(4)$ 9.33 $0.50 $ 0.65 $(0.50) $ -- $ 9.98 12.26%+ $ -- 0.75%
1995(5) 9.64 0.31 (0.24) (0.31) (0.07) 9.33 0.61+ 93 0.75
CLASS D
1997(6)$10.05 $0.20 $(0.40) $(0.20) $ -- $ 9.65 (1.93)%+ $ -- 0.87%
1996 9.32 0.56 0.73 (0.56) -- 10.05 14.15 60 0.85
1995 10.13 0.47 (0.74) (0.47) (0.07) 9.32 (2.61) 99 0.84
1994(7) 10.44 0.17 (0.10) (0.17) (0.21) 10.13 1.52 107 0.75
</TABLE>
RATIO OF
NET
RATIO OF RATIO OF INVESTMENT
NET EXPENSES INCOME
INVESTMENT TO AVERAGE TO AVERAGE
INCOME NET ASSETS NET ASSETS PORTFOLIO
TO AVERAGE (EXCLUDING (EXCLUDING TURNOVER
NET ASSETS WAIVERS) WAIVERS) RATE
===========================================================================
4.30% 0.53% 4.02% --
4.81 0.55 4.51 --
5.08 0.56 4.77 --
4.96 0.52 4.69 --
5.44 0.34 5.35 --
4.11 0.35 4.01 --
4.00% 0.58% 3.97% --
4.36 0.60 4.31 --
4.78 0.61 4.72 --
4.65 0.63 4.57 --
5.18 0.64 5.09 --
3.71 0.65 3.61 --
3.80% 0.78% 3.77% --
4.21 0.80 4.16 --
4.58 0.81 4.52 --
4.45 0.82 4.38 --
4.85 0.84 4.76 --
5.04% 0.74% 4.76% 56%
5.31 0.72 5.04 90
5.91 0.76 5.60 166
5.72 0.70 5.47 145
6.13 0.53 6.05 184
4.12 0.52 4.05 45
4.75% 0.75% 4.75% 56%
5.02 0.77 5.00 90
5.61 0.81 5.55 166
5.49 0.82 5.42 145
5.85 0.83 5.77 184
3.92 0.82 3.85 45
5.54% 0.94% 5.45% 87%
5.86 0.93 5.78 184
5.42% 0.74% 5.18% 8%
5.54 0.76 5.28 21
5.85 0.76 5.59 57
5.59 0.69 5.39 94
6.12 0.53 6.04 115
5.20 0.52 5.13 61
5.82% 0.83% 5.74% 115%
5.07 0.83 4.99 61
5.19% 0.93% 5.13% 45%
5.73 0.93 5.65 115
4.80 0.92 4.72 61
4.94 0.83 4.86 56
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
26
<PAGE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
NET ASSET NET REALIZED AND DISTRIBUTIONS DISTRIBUTIONS RATIO OF
VALUE NET UNREALIZED FROM NET FROM NET ASSET NET ASSETS EXPENSES
BEGINNING INVESTMENT GAINS (LOSSES) INVESTMENT REALIZED CAPITAL VALUE END TOTAL END OF TO AVERAGE
OF PERIOD INCOME ON SECURITIES INCOME GAINS OF PERIOD RETURN PERIOD (000) NET ASSETS
============================================================================================================================
- ---------
GNMA FUND
- ---------
CLASS A
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
1999* $ 9.91 $0.29 $(0.49) $(0.29) $ -- $ 9.42 (2.01)%+ $105,733 0.60%
1999 9.87 0.61 0.04 (0.61) -- 9.91 6.76 100,799 0.60
1998 9.63 0.64 0.24 (0.64) -- 9.87 9.52 77,792 0.60
1997 9.84 0.65 (0.21) (0.65) -- 9.63 4.70 101,887 0.57
1996 9.17 0.67 0.67 (0.67) -- 9.84 15.06 136,394 0.49
1995 10.07 0.64 (0.90) (0.64) -- 9.17 (2.46) 182,225 0.47
CLASS B
1997(8) $ 9.84 $0.28 $(0.46) $(0.28) $ -- $ 9.38 (1.88)+ $ -- 0.78%
1996 9.17 0.64 0.67 (0.64) -- 9.84 14.72 15 0.79
1995(9) 9.16 0.35 0.01 (0.35) -- 9.17 4.00+ 14 0.79
CLASS D**
1997(10)$ 9.83 $0.25 $(0.38) $(0.25) $ -- $ 9.45 (1.32)+$ -- 0.89%
1996 9.16 0.63 0.67 (0.63) -- 9.83 14.61 158 0.89
1995 10.09 0.61 (0.93) (0.61) -- 9.16 (3.04) 169 0.86
- ---------------------------
CORPORATE DAILY INCOME FUND
- ---------------------------
CLASS A
1999* $ 2.00 $0.05 $(0.02) $(0.05) $ -- $ 1.98 1.48%+ $112,737 0.35%
1999 2.00 0.11 -- (0.11) -- 2.00 5.61 90,043 0.35
1998 1.99 0.11 0.01 (0.11) -- 2.00 6.29 69,571 0.35
1997 2.00 0.11 (0.01) (0.11) -- 1.99 5.21 55,783 0.36
1996 1.96 0.12 0.05 (0.12) (0.01) 2.00 8.65 48,539 0.35
1995 2.00 0.09 (0.04) (0.09) -- 1.96 2.59 50,495 0.35
</TABLE>
RATIO OF
NET
RATIO OF RATIO OF INVESTMENT
NET EXPENSES INCOME
INVESTMENT TO AVERAGE TO AVERAGE
INCOME NET ASSETS NET ASSETS PORTFOLIO
TO AVERAGE (EXCLUDING (EXCLUDING TURNOVER
NET ASSETS WAIVERS) WAIVERS) RATE
=================================================================
---------
GNMA FUND
---------
CLASS A
1999* 6.07% 0.72% 5.96% 14%
1999 6.14 0.72 6.02 27
1998 6.65 0.75 6.50 4
1997 6.76 0.68 6.65 12
1996 7.04 0.51 7.02 20
1995 6.89 0.50 6.86 85
CLASS B
1997(8) 6.54% 0.80% 6.52% 7%
1996 6.71 0.81 6.69 20
1995(9) 6.80 0.82 6.77 85
CLASS D**
1997(10) 6.46% 0.91% 6.44% 6%
1996 6.62 0.91 6.60 20
1995 6.54 0.89 6.51 85
---------------------------
CORPORATE DAILY INCOME FUND
---------------------------
CLASS A
1999* 5.13% 0.74% 4.74% 33%
1999 5.38 0.76 4.97 48
1998 5.61 0.76 5.20 108
1997 5.49 0.73 5.12 141
1996 5.97 0.55 5.77 295
1995 4.60 0.55 4.40 147
+ RETURNS ARE FOR THE PERIOD INDICATED AND HAVE NOT BEEN ANNUALIZED.
* ALL RATIOS FOR THE SEMI-ANNUAL PERIOD ENDED JULY 31, 1999 (UNAUDITED) HAVE
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.
27
<PAGE>
NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
SEI DAILY INCOME TRUST-- JULY 31, 1999 (UNAUDITED)
1. ORGANIZATION
SEI Daily Income Trust (the "Trust") was organized as a Massachusetts business
trust under a Declara-tion of Trust dated March 15, 1982.
The Trust is registered under the Investment Company Act of 1940, as
amended, as a diversified, open-end investment company with ten operational
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.
28
<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 PRIME
MARKET GOV'T 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
29
<PAGE>
NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
SEI DAILY INCOME TRUST -- JULY 31, 1999 (UNAUDITED)
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
Funds. Such fees are allocated daily on the basis of the relative net assets of
each Money Market Fund in the Trust. Effective January 1, 1999, the Adviser has
voluntarily agreed to partially waive its 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 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.
30
<PAGE>
- --------------------------------------------------------------------------------
5. INVESTMENT TRANSACTIONS
The cost of security purchases and the proceeds from the sale of securities,
other than temporary investments in short-term securities for the period ended
July 31, 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 $74,835 $20,529 $24,309 $ 8,384
Other -- -- -- 17,045
SALES
U.S. Government $53,846 $ 9,147 $13,768 $ 1,595
Other -- -- -- 18,482
At July 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 July 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 $ 26 $ 680 $ 623 $ 24
Aggregate gross
unrealized loss (1,201) (2,044) (3,965) (585)
--------- ------- ------- -----
Net unrealized loss $(1,175) $(1,364) $(3,342) $(561)
========= ======= ======= =====
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 July 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 six-month period
ended July 31, 1999, no borrowings were made from this line of credit.
31
<PAGE>
NOTES
<PAGE>
- ----------------------
SEI Daily Income Trust
- ----------------------
SEMI-ANNUAL REPORT
- ----------------------
JULY 31, 1999
Robert A. Nesher
CHAIRMAN
TRUSTEES
William M. Doran
F. Wendell Gooch
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
Lynda Striegel
VICE PRESIDENT, ASSISTANT SECRETARY
James Foggo
VICE PRESIDENT, ASSISTANT SECRETARY
Cynthia M. Parrish
VICE PRESIDENT, ASSISTANT SECRETARY
Kevin P. Robins
VICE PRESIDENT, ASSISTANT SECRETARY
Lydia Gavalis
VICE PRESIDENT, ASSISTANT SECRETARY
Richard W. Grant
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 SEMI-ANNUAL REPORT AND THE FINANCIAL STATEMENTS CONTAINED HEREIN ARE
SUBMITTED FOR THE GENERAL INFORMATION OF THE SHAREHOLDERS OF THE TRUST AND MUST
BE PRECEDED OR ACCOMPANIED BY A CURRENT PROSPECTUS. SHARES OF THE SEI DAILY
INCOME TRUST'S 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]
Investments
Distribution
Co.
Oaks, PA 19456-1100
800-DIAL-SEI/800-342-5734
SEI-F-037-09
<PAGE>
