ANNUAL REPORT AS OF
JANUARY 31, 2000
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
- -------------------------------------
[SEI INVESTMENTS LOGO OMITTED]
<PAGE>
TABLE OF CONTENTS
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LETTER TO SHAREHOLDERS............................................... 1
MONEY MARKET AND FIXED INCOME REVIEW................................. 2
MANAGEMENT'S DISCUSSION AND ANALYSIS
OF FUND PERFORMANCE
SHORT-DURATION GOVERNMENT...................................... 4
INTERMEDIATE-DURATION GOVERNMENT............................... 5
GNMA........................................................... 6
CORPORATE DAILY INCOME......................................... 8
STATEMENT OF NET ASSETS.............................................. 9
STATEMENT OF OPERATIONS.............................................. 26
STATEMENT OF CHANGES IN NET ASSETS................................... 28
FINANCIAL HIGHLIGHTS................................................. 32
NOTES TO FINANCIAL STATEMENTS........................................ 35
REPORT OF INDEPENDENT PUBLIC ACCOUNTANTS............................. 40
NOTICE TO SHAREHOLDERS............................................... 41
<PAGE>
LETTER TO SHAREHOLDERS
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TO OUR SHAREHOLDERS:
The fiscal year ended January 2000 was one of healthy growth, low inflation, and
a tightening fiscal policy. For most of 1999, the Federal Reserve remained
hawkish and increased the target fed funds rate from 4.75% to 5.50%. The Federal
Open Market Committee (FOMC) moves were based on the belief that excess demand
relative to supply leads to inflation. With the underlying principle of
the FOMC being long-run monetarism, more increases are anticipated.
Balancing liquidity with maturity management in a changing interest rate
environment, coupled with technical factors introduced by concerns over Y2K,
made 1999 a stimulating year for managing liquidity funds. With three moves by
the Federal Reserve, Wellington Management Company, LLP, the advisor of the SEI
Daily Income Trust, adjusted the average maturities accordingly to boost yield
and enhance return in the money market funds. For money market investors, yields
for the funds increased over the previous fiscal year. The SEI Daily Income
Trust ended the year ahead in assets and the number of shareholders increased by
29%. The asset and client growth is attributable to the funds meeting their
objectives of providing safety, liquidity, and yield to shareholders.
In the upcoming year, Wellington Management Company, LLP, will continue to seek
safe investment opportunities that provide the yields our shareholders expect.
We thank you for your continued confidence in the SEI Daily Income Trust, and we
look forward to serving your investment needs in the future.
Sincerely,
/s/signature omitted
Edward D. Loughlin
President
1
<PAGE>
MONEY MARKET AND FIXED INCOME REVIEW
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SEI DAILY INCOME TRUST -- JANUARY 31, 2000
SEI DAILY INCOME TRUST MONEY MARKET FUNDS
MONEY MARKET PRIME OBLIGATION
GOVERNMENT TREASURY
GOVERNMENT II TREASURY II
SEI DAILY INCOME TRUST FIXED INCOME FUNDS
SHORT-DURATION GOVERNMENT GNMA
INTERMEDIATE-DURATION GOVERNMENT CORPORATE DAILY INCOME
WELLINGTON MANAGEMENT COMPANY IS THE INVESTMENT ADVISER OF THE SEI DAILY INCOME
TRUST MONEY MARKET AND FIXED INCOME FUNDS.
Fiscal 1999 was a very good year for the trust as a whole. The SEI Daily Income
Trust ended the year ahead in assets and the number of shareholders also
increased by 29%. The asset and client growth is attributable to the Funds
meeting their objectives of providing safety, liquidity, and yield to its
shareholders.
The Fed Funds Target interest rate closed the year at 5.50%, which is 75 basis
points higher than where it started in 1999. The tightening moves came in 25
basis point increases at the June, August, and November meetings. The FOMC voted
to tighten short-term interest rates due to a sizzling domestic economy and a
recovering global picture. This was due to the threat of inflation caused by
strong demand and historically tight labor markets. The FOMC moves were based on
merely the threat of inflation due to the principle belief that excess aggregate
demand relative to supply leads to inflation. With the underlying principle of
the current FOMC members being long-run monetarism, more increases are
anticipated.
Balancing liquidity with maturity management in a changing interest rate
environment, coupled with technical factors introduced by concerns over the
possible negative impact of Y2K made 1999 a challenging year for managing
liquidity funds. Wellington Management Company LLP ("WMC") anticipated the three
Fed increases, and adjusted average weighted maturities accordingly in an effort
to boost yield and enhance return in the Funds. Value continued to be identified
in the asset-backed commercial paper sector and positions were increased in
those accounts that permitted such investments. Given the potential negative
implications that Y2K could have presented, commercial paper issuers increased
issuance early in the second half of 1999. This additional supply caused
commercial paper spreads to widen more so than at previous year-end periods.
Identifying this spread-widening anomaly, WMC increased its exposure to
commercial paper in the Prime Fund, and this
2
<PAGE>
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positively contributed to performance. Relative value was recognized in the
insurance sector through the purchase of funding agreements. These short-term
instruments, used by issuers to raise cash, generally offer a yield premium due
to the issuers' direct access to institutional investors and flexibility in
issuing. Agency discount notes were utilized in place of commercial paper when
spread relationships were viewed as narrow, and this allowed for increased
liquidity when relative value opportunities were offered by changing fundamental
and technical factors. In addition, discount notes were used as a tool to manage
maturities within the Funds.
The challenges ahead will lie in the path of the longest economic expansion in
the history of the United States. Will the wealth affect, brought on by the
stock market, continue to generate excess demand, or will demand subside as the
Fed increases short-term interest rates? As this drama unfolds Money Market and
Short Bond Funds continue to be attractive alternatives for institutional
clients' liquidity needs.
3
<PAGE>
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
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SEI DAILY INCOME TRUST -- JANUARY 31, 2000
SHORT-DURATION
GOVERNMENT FUND
WELLINGTON MANAGEMENT COMPANY, INVESTMENT ADVISER
OBJECTIVES. The Short-Duration Government Fund (the "Fund") seeks to
preserve principal value and maintain a high degree of liquidity while providing
current income. The Fund invests in those securities issued by the U.S.
Government and backed by its full faith and credit, and securities issued by the
U.S. Government agencies. The weighted average maturity of the Fund is up to
three years. The Fund seeks to provide a higher level of sustainable income and
total return than money market investments, with limited principal fluctuations.
STRATEGY. The Fund's weighted average maturity will be managed to take
advantage of anticipated changes in the direction of interest rates. The
distribution of maturities for individual securities will also be managed to
take advantage of expected changes in the shape of the yield curve. Maturities
will typically be laddered across the permitted maturity range to provide
reinvestment opportunities. In order to minimize risk, the Fund is generally not
invested in a bulleted structure, meaning individual securities are not
clustered around a specific maturity. Treasury and agency securities will form
the core of the Fund, and agency-backed mortgage securities will be utilized
when their yields are judged to be attractive relative to those of Treasuries
and agencies.
ANALYSIS. For the fiscal year ended January 31, 2000, the Short Duration
Government Fund posted a 2.22% return compared to a 2.62%
- ---------------------------------------------------------
SHORT-DURATION GOVERNMENT
- ---------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURN(1)
- ---------------------------------------------------------
Short-Duration Government, Class A
- ---------------------------------------------------------
One Annualized Annualized Annualized Annualized
Year 3 Year 5 Year 10 Year Inception
Return Return Return Return to Date
- ---------------------------------------------------------
2.22% 5.29% 6.13% 6.24% 6.36%
- ---------------------------------------------------------
COMPARISON OF CHANGE IN THE VALUE OF A $10,000 INVESTMENT
IN THE SEI DAILY INCOME TRUST SHORT-DURATION GOVERNMENT FUND,
CLASS A, VERSUS THE MERRILL LYNCH 1-3 YEAR U.S. TREASURY INDEX
[SHORT DURATION GOV'T LINE GRAPH OMITTED]
Class A plot points follows:
SDIT Short Dur. Gov't Bond, Class A Merrill 1-3 Year U.S. Treasury Index
1/31/90 10,000 10,000
1/31/91 10,998 11,065
1/31/92 12,098 12,225
1/31/93 12,901 13,150
1/31/94 13,475 13,809
1/31/95 13,601 13,991
1/31/96 14,997 15,445
1/31/97 15,690 16,152
1/31/98 16,825 17,313
1/31/99 17,916 18,420
1/31/00 18,314 18,902
- --------------------------------------------------------
Short-Duration Government, Class B
- --------------------------------------------------------
One Annualized Annualized Annualized
Year 3 Year 5 Year Inception
Return Return Return to Date
- ---------------------------------------------------------
1.90% 4.98% 5.83% 5.65%
- ---------------------------------------------------------
COMPARISON OF CHANGE IN THE VALUE OF A $10,000 INVESTMENT
IN THE SEI DAILY INCOME TRUST SHORT-DURATION GOVERNMENT FUND,
CLASS B, VERSUS THE MERRILL LYNCH 1-3 YEAR U.S. TREASURY INDEX
[SHORT DURATION GOV'T LINE GRAPH OMITTED]
Class B plot points follows:
SDIT Short Dur. Gov't Bond, Class B Merrill 1-3 Year U.S. Treasury Index
11/30/90 10,000 10,000
1/31/91 10,193 10,214
1/31/92 11,180 11,285
1/31/93 11,887 12,139
1/31/94 12,356 12,747
1/31/95 12,442 12,915
1/31/96 13,679 14,257
1/31/97 14,281 14,910
1/31/98 15,255 15,982
1/31/99 16,213 17,003
1/31/00 16,521 17,449
1 FOR THE PERIOD ENDED JANUARY 31, 2000. PAST PERFORMANCE IS NOT PREDICTIVE OF
FUTURE PERFORMANCE. CLASS A SHARES WERE OFFERED BEGINNING 2/17/87 AND CLASS B
SHARES WERE OFFERED BEGINNING 11/5/90.
4
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SHORT-DURATION GOVERNMENT (CONCLUDED)
return for its benchmark, the Merrill Lynch 1-3 Year Treasury Index.
During a year of rising yields, the Fund performed admirably due to its
duration posture and sector selection. The Federal Reserve raised rates three
times over the course of the year to prevent possible inflation. Their actions
and biases contributed to an overall market that posted negative returns through
December. The Fund began the year with neutral duration, lengthened towards the
end of the first quarter as yields moved up, then followed yields as they moved
down in April. As rate hike fears persisted throughout the remainder of the
year, management kept the Fund's duration from short to neutral. This position
was a positive as three rate hikes came between June and November. The Fund's
allocation to mortgages was a positive addition during the second half of the
year as spreads tightened towards year-end. As a result of their relative value
to Treasuries, management plans to maintain its overweight to mortgages.
The outlook going forward is for continued strong growth from the American
economy. The inverted yield curve points to market sentiment that the Federal
Reserve will be able to not only contain, but to prevent inflation. Expectations
of a vigilant Fed though have created rate hike expectations in the near term.
With continued volatility, the Fund looks to remain neutral to short duration.
Even after recent narrowing in spreads, mortgages still remain attractive.
INTERMEDIATE-DURATION GOVERNMENT FUND
WELLINGTON MANAGEMENT COMPANY, INVESTMENT ADVISER
OBJECTIVES. The Intermediate-Duration Government Fund (the "Fund") seeks
to preserve principal value and maintain a high degree of liquidity while
providing current income. The Fund invests in those securities issued by the
U.S. Government and backed by its full faith and credit and securities issued by
the U.S. Government agencies. The weighted average maturity of the Fund is three
to five years. The Fund seeks to provide a higher level of sustainable income
and total return than money market investments, with limited principal
fluctuations.
STRATEGY. The Fund's weighted average maturity will be managed to take
advantage of anticipated changes in the direction of interest rates. The
distribution of maturities for individual securities will also be managed to
take advantage of expected changes in the shape of the yield curve. The Fund
focuses on Treasury and agency securities, and agency mortgage-backed securities
will be utilized when their prospects for enhancing income and total return are
judged to be attractive.
ANALYSIS. For the fiscal year ended
January 31, 2000, the Intermediate Duration Government Fund posted a return of
- -0.77%, outperforming its index, the Merrill Lynch 3-5 Year Intermediate
Treasury Index, which posted a -1.07% return.
5
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MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
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SEI DAILY INCOME TRUST -- JANUARY 31, 2000
INTERMEDIATE-DURATION GOVERNMENT (CONCLUDED)
The Fund's duration posture, sector selection, and yield curve positioning
contributed to the outperformance of the Fund. Duration was a positive
characteristic for the Fund as rate hike expectations lead to increased
volatility in the fixed income market. The Fund maintained a shorter duration
posture throughout most of the year to the index. As the U.S. economy boomed,
inevitable inflation fears drove volatility in the market. The market's reliance
on the Federal Reserve to prevent inflation perpetuated rate hike fears. Shorter
duration posture benefited the Fund as three rate hikes took place after June.
In a relative value strategy, the purchase of mortgage-backed securities
throughout the year enhanced performance as spreads tightened towards year-end.
The mortgage market benefited from limited new supply and decreased refinancing
during the fourth quarter. Management's barbelled yield curve strategy helped
the Fund's performance as the yield curve flattened. After a steepening in the
yield curve during the first quarter, the market's expectation of a vigilant Fed
decreased inflation fears. Yields at the long end of the curve gradually moved
down throughout the year, ultimately leading to an inverted yield curve in late
January.
Going forward, allocations to mortgage-backed and agency sectors will
continue to be emphasized. Despite recent spread tightening, value in
non-Treasury sectors remains attractive. The Fund will maintain investment in
these sectors in the upcoming period. As rate hike fears continue into early
2000, the Fund will maintain a short to neutral duration posture.
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INTERMEDIATE-DURATION GOVERNMENT
- --------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURN(1)
- --------------------------------------------------------------------------------
One Annualized Annualized Annualized Annualized
Year 3 Year 5 Year 10 Year Inception
Return Return Return Return to Date
- --------------------------------------------------------------------------------
-0.77% 5.19% 6.52% 6.83% 6.75%
- --------------------------------------------------------------------------------
COMPARISON OF CHANGE IN THE VALUE OF A $10,000 INVESTMENT IN THE SEI DAILY
INCOME TRUST INTERMEDIATE-DURATION GOVERNMENT FUND, VERSUS THE
MERRILL LYNCH 3-5 YEAR U.S. TREASURY INDEX
[INTERMEDIATE DURATION LINE GRAPH OMITTED]
plot points follows:
SEI SDIT Intmdt. Duration Gov't. Merrill 3-5 Year U.S. Treasury Index
1/31/90 10,000 10,000
1/31/91 11,106 11,186
1/31/92 12,377 12,599
1/31/93 13,551 14,005
1/31/94 14,424 15,089
1/31/95 14,109 14,779
1/31/96 16,169 17,020
1/31/97 16,624 17,520
1/31/98 18,145 19,148
1/31/99 19,498 20,686
1/31/00 19,348 20,464
1 FOR THE PERIOD ENDED JANUARY 31, 2000. PAST PERFORMANCE IS NOT PREDICTIVE OF
FUTURE PERFORMANCE. CLASS A SHARES WERE OFFERED BEGINNING 2/17/87.
GNMA FUND
WELLINGTON MANAGEMENT COMPANY, INVESTMENT ADVISER
OBJECTIVES. The GNMA Fund (the "Fund") seeks to preserve principal value
and maintain a high degree of liquidity while providing current income. The Fund
invests primarily in mortgage-backed securities issued by the Government
National Mortgage Association and backed by the full faith and credit of the
U.S. Government.
STRATEGY. The Fund's investment strategy emphasizes the distribution of
security coupon rates, the weighted average coupon rate, and the selection of
appropriate underlying mortgage types. The selection of coupon rates
6
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GNMA FUND (CONCLUDED)
affects the sensitivity of the Fund to changes in reinvestment risk associated
with loan prepayment. The Fund will therefore tend to purchase somewhat lower
coupons when interest rates are expected to fall, and somewhat higher coupons
when interest rates are expected to be stable or rising.
ANALYSIS. For the fiscal year ending January 31, 2000, the GNMA Fund
posted a return of -1.18%, underperforming, the Lehman GNMA Index, which posted
a 0.29% return and the Salomon 30-year GNMA Index return of 0.51%.
The Fund's duration posture, security selection (discount vs. premium),
and yield curve positioning contributed significantly to its underperformance.
Throughout most of the year, the fund maintained a portfolio duration that was
greater than its benchmark index. During the first quarter, in addition to its
longer than benchmark duration, the Fund chose to purchase discount rather than
current or premium coupon mortgages. As rates began to rise, higher coupon
securities outperform the lower coupons due to expectations for lower
prepayments. Lower prepayments will increase the return on current and premium
coupon mortgages. The second quarter continued the volatility of the first,
albeit with some unexpected consequences. The Fund attempted to lower its
portfolio duration but was hampered in its efforts by falling prepayment rates,
which extended portfolio duration. Duration extended even though there was a
concerted effort to shorten portfolio duration. The continued use of discount
coupon mortgages detracted from overall portfolio performance. The Fund began
to move into premium coupon mortgages as the quarter progressed. The Fund
performed well during the 3rd Quarter. A narrowing of spreads in the GNMA sector
benefited the portfolio. Also, the Fund embraced a more conservative portfolio
strategy and purchased mortgage securities with shorter durations than in the
previous quarter. Slowing prepayments continued to place The Fund in the
unwanted
- -----------------------------------------------------------
GNMA
- -----------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURN(1)
- -----------------------------------------------------------
One Annualized Annualized Annualized Annualized
Year 3 Year 5 Year 10 Year Inception
Return Return Return Return to Date
- -----------------------------------------------------------
-1.18% 4.94% 6.84% 7.32% 7.27%
- -----------------------------------------------------------
COMPARISON OF CHANGE IN THE VALUE OF A $10,000 INVESTMENT IN THE SEI DAILY
INCOME TRUST GNMA FUND, VERSUS THE SALOMON 30-YEAR GNMA INDEX
[GNMA LINE GRAPH OMITTED]
plot points follows:
GNMA Bond Salomon
1/31/90 10,000 10,000
1/31/91 11,274 11,351
1/31/92 12,682 12,833
1/31/93 14,063 14,159
1/31/94 14,920 15,017
1/31/95 14,553 15,014
1/31/96 16,744 17,326
1/31/97 17,531 18,328
1/31/98 19,200 20,032
1/31/99 20,498 21,370
1/31/00 20,256 21,479
1 FOR THE PERIOD ENDED JANUARY 31, 2000. PAST PERFORMANCE IS NOT PREDICTIVE OF
FUTURE PERFORMANCE. CLASS A SHARES WERE OFFERED BEGINNING 3/20/87.
position of having a portfolio duration longer than its benchmark index.
However, this was mitigated somewhat by its barbell yield curve strategy which
added to Fund performance.
Due to relative value expectations, the Fund plans to remain fully
invested in GNMA securities rather than increasing treasury exposure.
7
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MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
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SEI DAILY INCOME TRUST -- JANUARY 31, 2000
CORPORATE DAILY INCOME FUND
WELLINGTON MANAGEMENT COMPANY, INVESTMENT ADVISER
OBJECTIVES. The Corporate Daily Income Fund (the 'Fund") seeks to provide
higher current income than that typically offered by a money market Fund while
maintaining a high degree of liquidity and minimal principal volatility. The
Fund invests in U.S. Treasury and agency obligations, short average life
mortgage-backed issues, and short-term investment grade corporate securities.
The duration of the Fund will range between six and eighteen months.
STRATEGY. The Corporate Daily Income Fund seeks to provide a return in
excess of the Merrill Lynch One-Year Treasury Bill Index and to manage risk
through the adviser's use of sector strategies, security selection and duration
management. In determining the average maturity and duration position of the
Fund, the adviser considers the shape of the yield curve, the extent of a yield
change, and the period of time over which rates are likely to rise, fall or
remain stable. Investment in short average life mortgage-backed issues and
short-term investment grade securities is emphasized when relative spreads are
attractive and incremental yields serve to enhance total return.
ANALYSIS. For the year ended January 31, 2000, the Corporate Daily Income
Fund outperformed its benchmark, the Merrill Lynch 1-Year Treasury Index, by 20
basis points returning 4.13% gross of fees. In the wake of a rising interest
rate environment, the Fund's shorter relative duration posture boosted return.
In addition, an overweight to spread product such as corporate, mortgage-backed,
and asset-backed securities positively contributed to return. The Fund has
out-performed its benchmark on both a one-year basis and on a rolling 3- and
5-year basis for the period ended 1/31/00.
- ----------------------------------------------------------------
CORPORATE DAILY INCOME
- ----------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURN(1)
- ----------------------------------------------------------------
One Annualized Annualized Annualized
Year 3 Year 5 Year Inception
Return Return Return to Date
- ----------------------------------------------------------------
3.77% 5.22% 5.89% 5.23%
- ----------------------------------------------------------------
COMPARISON OF CHANGE IN THE VALUE OF A $10,000 INVESTMENT IN THE SEI
DAILY INCOME TRUST CORPORATE DAILY INCOME FUND, VERSUS THE MERRILL
LYNCH 1-YEAR TREASURY INDEX
[CORPORATE DAILY INCOME LINE GRAPH OMITTED]
PLOT POINTS FOLLOWS:
SEI SDIT CORPORATE DAILY INCOME FUND MERRILL LYNCH 1-YEAR U.S. TREASURY INDEX
9/30/93 10,000 10,000
1/31/94 10,114 10,113
1/31/95 10,376 10,426
1/31/96 11,274 11,211
1/31/97 11,861 11,811
1/31/98 12,607 12,532
1/31/99 13,314 13,232
1/31/00 13,816 13,752
1 FOR THE PERIOD ENDED JANUARY 31, 2000. PAST PERFORMANCE IS NOT PREDICTIVE
OF FUTURE PERFORMANCE. CLASS A SHARES WERE OFFERED BEGINNING 9/28/93.
8
<PAGE>
STATEMENT OF NET ASSETS
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SEI DAILY INCOME TRUST -- JANUARY 31, 2000
MONEY MARKET FUND
- --------------------------------------------------------------------------------
FACE
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
COMMERCIAL PAPER -- 37.1%
AUTO LEASE -- 2.0%
Aesop Funding Corporation
6.080%, 03/06/00 $10,000 $ 9,943
-------
BANK -- 3.9%
Bank of Austria
5.640%, 02/04/00 20,000 19,991
-------
DRUGS -- 3.4%
SmithKline Beecham
5.880%, 02/01/00 17,000 17,000
-------
FINANCIAL SERVICES -- 6.9%
AIG Funding
5.500%, 02/03/00 10,000 9,997
Morgan Stanley Dean Witter
5.710%, 03/21/00 15,000 14,883
Sears Roebuck Acceptance
6.150%, 03/01/00 10,000 9,950
-------
34,830
-------
OIL EXPLORATION & PRODUCTION -- 1.2%
Petrofina Delaware
5.570%, 02/03/00 6,000 5,998
-------
POWER SUPPLY EQUIPMENT -- 1.1%
Hubbell Incorporated
5.880%, 02/01/00 5,221 5,221
-------
SPECIAL PURPOSE ENTITY -- 18.6%
Apreco Incorporated
5.900%, 02/01/00 10,000 10,000
5.910%, 02/03/00 10,000 9,997
Centric Capital Corporation
5.900%, 02/28/00 10,000 9,956
Clipper Receivables Corporation
5.700%, 02/03/00 14,440 14,435
Delaware Funding Corporation
5.930%, 02/08/00 10,000 9,988
Edison Asset Securitization LLC
5.900%, 02/25/00 10,000 9,961
Greyhawk Funding LLC
6.100%, 02/11/00 10,000 9,983
Kitty Hawk Funding Corporation
5.700%, 02/18/00 10,000 9,973
Mont Blanc Capital Corporation
6.070%, 02/04/00 6,610 6,607
Variable Funding Capital
5.650%, 02/04/00 3,000 2,999
-------
93,899
-------
Total Commercial Paper
(Cost $186,882) 186,882
-------
- --------------------------------------------------------------------------------
FACE
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
CERTIFICATES OF DEPOSIT/BANK NOTES -- 14.8%
Bank of Scotland
5.725%, 07/03/00 $10,000 $ 9,999
First National Bank Chicago
5.125%, 03/21/00 22,500 22,499
Key Bank
5.125%, 03/24/00 10,000 9,999
Societe Generale New York
4.980%, 02/01/00 12,000 12,000
Westpac Banking
5.030%, 02/07/00 20,000 20,000
-------
Total Certificates of Deposit/Bank Notes
(Cost $74,497) 74,497
-------
INSURANCE FUNDING AGREEMENTS -- 9.3%
AllState Corporation (A)
6.211%, 03/15/00 15,000 15,000
Metropolitan Life Insurance
Company
6.285%, 02/01/00 10,000 10,000
Peoples Security Life Insurance
Company (A)
6.310%, 02/01/00 7,000 7,000
6.080%, 04/01/00 15,000 15,000
-------
Total Insurance Funding Agreements
(Cost $47,000) 47,000
-------
CORPORATE BONDS -- 21.8%
COMMERCIAL BANK -- 2.0%
National City Bank (A)
6.170%, 03/20/00 10,000 10,007
-------
FINANCIAL SERVICES -- 11.9%
American Express Centurion (A)
5.700%, 02/01/00 20,000 20,000
General Electric Capital MTN (A)
6.111%, 02/03/00 30,000 30,000
5.980%, 04/13/00 10,000 10,000
-------
60,000
-------
INSURANCE -- 3.9%
Unum Corporation MTN (A)
6.120%, 03/20/00 20,000 19,994
-------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
9
<PAGE>
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
SEI DAILY INCOME TRUST -- JANUARY 31, 2000
MONEY MARKET FUND (concluded)
- --------------------------------------------------------------------------------
FACE
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
TELEPHONES & TELECOMMUNICATION -- 4.0%
AT&T Corporation (A)
5.990%, 04/13/00 $20,000 $ 19,996
--------
Total Corporate Bonds
(Cost $109,997) 109,997
--------
TIME DEPOSITS -- 7.1%
Branch Banking and Trust
5.938%, 02/01/00 18,000 18,000
Marshall and Ilsley Bank
5.938%, 02/01/00 18,000 18,000
--------
Total Time Deposits
(Cost $36,000) 36,000
--------
REPURCHASE AGREEMENTS -- 11.7%
ABN-Amro (B)
5.800%, dated 01/31/00,
matures 02/01/00, repurchase
price $30,004,833 (collateralized
by various U.S. Government
Obligations, ranging in par
value $571,404 - $1,500,000,
6.000% - 7.500%, 01/01/20 -
01/01/30; with market value
$30,600,000) 30,000 30,000
Lehman Brothers, Incorporated (B)
5.800%, dated 01/31/00, matures
02/01/00, repurchase price
$29,004,672 (collateralized
by various U.S.Government
Obligations, ranging in par
value $15,000 - $10,530,000,
4.722% - 8.000%, 02/23/00 -
04/28/28; with market
value $29,576,317) 29,000 29,000
--------
Total Repurchase Agreements
(Cost $59,000) 59,000
--------
TOTAL INVESTMENTS -- 101.8%
(Cost $513,376) 513,376
--------
OTHER ASSETS AND LIABILITIES, NET -- (1.8)%
(9,207)
--------
- --------------------------------------------------------------------------------
DESCRIPTION VALUE (000)
- --------------------------------------------------------------------------------
NET ASSETS:
Fund Shares of Class A (unlimited
authorization -- no par value)
based on 264,457,839 outstanding
shares of beneficial interest $264,449
Fund Shares of Class B (unlimited
authorization -- no par value)
based on 33,839,621 outstanding
shares of beneficial interest 33,840
Fund Shares of Class C (unlimited
authorization -- no par value)
based on 179,584,712 outstanding
shares of beneficial interest 179,585
Fund Shares of Sweep Class (unlimited
authorization -- no par value)
based on 26,342,596 outstanding
shares of beneficial interest 26,343
Distribution in excess of net
investment income (12)
Accumulated net realized loss
on investments (36)
--------
TOTAL NET ASSETS -- 100.0% $504,169
========
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE -- CLASS A $1.00
========
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE -- CLASS B $1.00
========
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE -- CLASS C $1.00
========
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE -- SWEEP CLASS $1.00
========
(A) FLOATING INSTRUMENT. THE RATE REFLECTED ON THE STATEMENT OF NET ASSETS IS
THE RATE IN EFFECT ON JANUARY 31, 2000. THE DATE SHOWN IS THE EARLIER OF
THE RESET DATE OR THE DEMAND DATE.
(B) TRI-PARTY REPURCHASE AGREEMENT
LLC LIMITED LIABILITY COMPANY
MTN MEDIUM TERM NOTE
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
10
<PAGE>
- --------------------------------------------------------------------------------
GOVERNMENT FUND
- --------------------------------------------------------------------------------
FACE
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 67.2%
FFCB (A)
5.601%, 02/10/00 $ 3,385 $ 3,385
FHLB
4.895%, 02/04/00 8,351 8,351
4.900%, 02/11/00 2,257 2,257
5.035%, 02/25/00 4,514 4,514
5.550%, 08/17/00 2,000 1,993
5.010%, 11/16/00 3,000 2,969
4.875%, 01/26/01 5,000 4,932
FHLB (A)
5.581%, 02/15/00 14,000 13,988
5.671%, 02/28/00 10,000 9,997
5.841%, 04/04/00 9,000 8,996
FHLMC
5.510%, 02/04/00 4,900 4,898
5.520%, 02/07/00 6,154 6,148
5.550%, 02/09/00 10,000 9,988
5.120%, 05/12/00 5,000 4,986
5.250%, 07/05/00 20,000 19,548
6.320%, 02/02/01 5,000 4,993
FHLMC (A)
5.890%, 03/20/00 5,000 4,994
FNMA
5.591%, 02/08/00 10,000 9,992
4.990%, 02/22/00 2,257 2,257
4.970%, 04/12/00 6,771 6,770
5.660%, 09/07/00 5,000 4,994
5.760%, 10/02/00 3,000 2,997
FNMA (A)
5.979%, 02/04/00 15,000 14,995
5.930%, 02/13/00 20,000 19,987
5.870%, 02/13/00 15,000 14,987
5.650%, 02/22/00 20,000 19,987
5.839%, 04/14/00 20,000 19,994
SLMA
5.900%, 12/01/00 4,000 3,996
--------
Total U.S. Government Agency Obligations
(Cost $237,893) 237,893
--------
- --------------------------------------------------------------------------------
FACE
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
REPURCHASE AGREEMENTS -- 34.1%
ABN-Amro (B)
5.800%, dated 01/31/00,
matures 02/01/00, repurchase
price $75,012,083 (collateralized
by various U.S. Government
Obligations, ranging in par
value $3,414,198 - $20,200,000,
6.000% - 8.000%, 06/01/14 -
01/01/30; with market value
$76,500,000) $75,000 $ 75,000
Lehman Brothers, Incorporated (B)
5.800%, dated 01/31/00, matures
02/01/00, repurchase price
$45,607,347 (collateralized by
various U.S. Government
Obligations, ranging in par
value $1,524,081 - $3,546,634,
5.000% - 12.000%, 11/01/02 -
11/01/29; with market value
$46,509,229) 45,600 45,600
--------
Total Repurchase Agreements
(Cost $120,600) 120,600
--------
TOTAL INVESTMENTS -- 101.3%
(Cost $358,493) 358,493
--------
OTHER ASSETS AND LIABILITIES, NET -- (1.3%)
(4,521)
--------
NET ASSETS:
Fund Shares of Class A (unlimited
authorization -- no par value)
based on 206,491,536 outstanding
shares of beneficial interest 206,492
Fund Shares of Class B (unlimited
authorization -- no par value)
based on 64,616,866 outstanding
shares of beneficial interest 64,617
Fund Shares of Class C (unlimited
authorization -- no par value)
based on 60,336,246 outstanding
shares of beneficial interest 60,336
Fund Shares of Sweep Class (unlimited
authorization -- no par value)
based on 22,546,939 outstanding
shares of beneficial interest 22,547
Undistributed net investment income 5
Accumulated net realized loss
on investments (25)
--------
TOTAL NET ASSETS -- 100.0% $353,972
========
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
11
<PAGE>
STATEMENT OF NET ASSETS
SEI DAILY INCOME TRUST -- JANUARY 31, 2000
- --------------------------------------------------------------------------------
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) FLOATING INSTRUMENT. THE RATE REFLECTED ON THE STATEMENT OF NET ASSETS
IS THE RATE IN EFFECT ON JANUARY 31, 2000. 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
SLMA STUDENT LOAN MARKETING ASSOCIATION
GOVERNMENT II FUND
- --------------------------------------------------------------------------------
FACE
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 101.0%
FFCB
5.720%, 02/01/00 $40,000 $ 40,000
5.560%, 02/15/00 11,686 11,661
5.670%, 03/08/00 20,000 19,887
6.350%, 02/01/01 10,000 9,990
FFCB (A)
5.658%, 02/01/00 75,000 74,983
FHLB
5.510%, 02/02/00 25,000 24,996
5.500%, 02/04/00 25,000 24,988
5.450%, 02/04/00 19,502 19,493
4.895%, 02/04/00 33,000 33,000
4.790%, 02/04/00 21,000 21,000
5.475%, 02/09/00 30,000 29,963
5.480%, 02/09/00 35,000 34,957
5.730%, 02/11/00 25,170 25,130
5.750%, 02/11/00 5,000 4,992
4.900%, 02/11/00 15,000 15,000
4.950%, 02/22/00 12,000 12,000
5.700%, 02/23/00 10,135 10,100
5.730%, 02/23/00 5,920 5,899
5.820%, 02/23/00 24,078 23,992
5.035%, 02/25/00 10,000 10,000
5.520%, 03/01/00 25,000 24,889
5.650%, 03/03/00 37,270 37,089
5.730%, 03/03/00 5,490 5,463
5.490%, 03/08/00 3,135 3,118
5.620%, 03/08/00 15,000 14,916
5.490%, 03/15/00 4,050 4,023
5.600%, 03/22/00 4,000 3,969
5.600%, 03/24/00 20,000 19,838
5.660%, 03/24/00 21,800 21,622
5.690%, 03/29/00 20,000 19,820
5.580%, 04/07/00 35,000 34,642
5.720%, 04/14/00 8,700 8,599
5.000%, 04/14/00 25,000 24,999
5.000%, 04/14/00 15,000 14,999
5.720%, 04/24/00 30,499 30,097
5.470%, 08/11/00 10,000 9,708
5.570%, 08/14/00 11,780 11,776
5.875%, 09/07/00 20,000 19,996
FHLB (A)
5.839%, 02/12/00 20,000 19,995
5.669%, 02/21/00 75,000 74,986
5.841%, 04/04/00 26,000 25,988
5.550%, 04/05/00 22,000 21,998
SLMA
5.900%, 12/01/00 25,000 24,973
--------
Total U.S. Government Agency Obligations
(Cost $929,534) 929,534
--------
TOTAL INVESTMENTS -- 101.0%
(Cost $929,534) 929,534
--------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
12
<PAGE>
- --------------------------------------------------------------------------------
DESCRIPTION VALUE (000)
- --------------------------------------------------------------------------------
OTHER ASSETS AND LIABILITIES, NET -- (1.0%) $ (9,104)
--------
NET ASSETS:
Fund Shares of Class A (unlimited
authorization -- no par value)
based on 793,752,927 outstanding
shares of beneficial interest 793,760
Fund Shares of Class B (unlimited
authorization -- no par value)
based on 82,760,666 outstanding
shares of beneficial interest 82,760
Fund Shares of Class C (unlimited
authorization -- no par value)
based on 44,011,613 outstanding
shares of beneficial interest 44,012
Undistributed net investment income 33
Accumulated net realized loss
on investments (135)
--------
TOTAL NET ASSETS-- 100.0% $920,430
========
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE -- CLASS A $1.00
========
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE -- CLASS B $1.00
========
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE -- CLASS C $1.00
========
(A) FLOATING INSTRUMENT. THE RATE REFLECTED ON THE STATEMENT OF NET ASSETS IS
THE RATE IN EFFECT ON JANUARY 31, 2000. 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 -- 4.3%
FHLB
5.470%, 08/11/00 $ 10,000 $ 9,708
4.875%, 01/26/01 25,000 24,657
FHLMC
5.250%, 07/05/00 41,550 40,611
FHLMC (A)
5.598%, 02/20/00 100,000 99,890
FNMA
5.460%, 06/21/00 50,000 49,983
5.660%, 09/07/00 50,000 49,937
--------
Total U.S. Government Agency Obligations
(Cost $274,786) 274,786
--------
COMMERCIAL PAPER -- 57.4%
AUTO LEASE -- 2.6%
Aesop Funding Corporation
5.970%, 02/25/00 49,500 49,303
5.980%, 02/28/00 40,000 39,821
6.000%, 02/28/00 42,000 41,811
6.080%, 03/06/00 35,000 34,799
--------
165,734
--------
BANKS -- 5.1%
Bank of America
5.840%, 04/24/00 50,000 49,327
5.850%, 04/25/00 50,000 49,317
5.890%, 05/02/00 70,000 68,958
Wells Fargo
5.940%, 02/11/00 30,000 29,950
5.810%, 02/24/00 40,000 39,852
5.705%, 02/28/00 50,000 49,786
5.870%, 03/15/00 40,000 39,720
--------
326,910
--------
FINANCIAL SERVICES -- 3.8%
Associates Corporation of
North America
6.020%, 02/07/00 40,000 39,960
General Electric Capital Services
5.740%, 02/24/00 20,000 19,927
5.830%, 03/21/00 25,000 24,802
6.050%, 03/30/00 40,000 39,610
Metlife Funding
5.900%, 02/04/00 15,935 15,927
Prudential Funding Corporation
5.720%, 03/23/00 100,000 99,190
--------
239,416
--------
FOOD, BEVERAGE & TOBACCO -- 0.3%
Dean Foods Company
5.930%, 02/14/00 8,000 7,983
5.850%, 04/19/00 11,876 11,725
--------
19,708
--------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
13
<PAGE>
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
SEI DAILY INCOME TRUST -- JANUARY 31, 2000
PRIME OBLIGATION FUND (continued)
- --------------------------------------------------------------------------------
FACE
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
INVESTMENT BANKER/BROKER -- 13.5%
Bear Stearns & Company
5.970%, 02/17/00 $100,000 $ 99,735
5.750%, 03/06/00 34,000 33,815
5.850%, 04/18/00 70,000 69,124
Goldman Sachs Group LP
5.650%, 02/02/00 125,000 124,980
5.750%, 03/21/00 50,000 49,609
5.850%, 04/25/00 30,000 29,590
Merrill Lynch & Company
6.020%, 02/10/00 50,000 49,925
JP Morgan & Company
5.820%, 02/22/00 25,000 24,915
5.920%, 03/10/00 25,000 24,844
5.750%, 03/15/00 50,000 49,657
5.870%, 04/17/00 25,000 24,690
Morgan Stanley Dean Witter
5.750%, 03/20/00 128,000 127,019
5.710%, 03/21/00 75,000 74,417
Salomon Smith Barney
6.000%, 02/14/00 75,000 74,837
--------
857,157
--------
PRINTING & PUBLISHING -- 0.4%
Scripps Ew
5.830%, 04/25/00 25,000 24,660
--------
RETAIL -- 1.3%
Albertson's Incorporated (A)
5.761%, 02/14/00 81,940 81,870
--------
SPECIAL PURPOSE ENTITY -- 28.4%
Centric Capital Corporation
5.700%, 02/01/00 53,000 53,000
5.870%, 04/17/00 25,500 25,184
Clipper Receivables Corporation
5.650%, 02/03/00 21,744 21,737
6.000%, 02/08/00 30,550 30,514
5.870%, 04/05/00 50,000 49,478
Corporate Asset Funding Company
5.870%, 02/09/00 20,000 19,974
5.850%, 04/20/00 50,000 49,358
Corporate Receivable Corporation
5.850%, 04/19/00 30,000 29,620
Corporate Receivable Corporation (A)
5.861%, 02/16/00 146,000 145,999
Delaware Funding Corporation
5.870%, 02/16/00 120,559 120,264
5.780%, 02/24/00 32,878 32,757
5.770%, 03/23/00 29,093 28,855
- --------------------------------------------------------------------------------
FACE
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
Edison Asset Securitization LLC
5.900%, 02/07/00 $ 26,000 $ 25,974
5.900%, 02/25/00 55,000 54,784
5.840%, 03/09/00 65,000 64,610
Enterprise Funding Corporation
6.050%, 02/04/00 13,266 13,259
5.890%, 02/11/00 49,677 49,596
Falcon Asset Securitization Corporation
5.900%, 02/15/00 28,500 28,435
Fleet Funding Corporation
6.020%, 02/04/00 50,877 50,851
6.020%, 02/08/00 46,000 45,946
5.800%, 02/17/00 25,000 24,936
5.770%, 03/14/00 50,000 49,663
Greyhawk Funding LLC
6.100%, 02/07/00 55,000 54,944
5.880%, 02/11/00 18,668 18,638
5.950%, 02/24/00 60,000 59,772
5.880%, 02/25/00 60,000 59,765
5.860%, 04/25/00 25,000 24,658
Kitty Hawk Funding Corporation
5.700%, 02/18/00 41,020 40,910
5.750%, 03/21/00 24,500 24,308
5.750%, 03/21/00 45,000 44,648
5.850%, 04/25/00 20,000 19,727
5.850%, 04/26/00 60,000 59,171
Park Avenue Receivable (A)
6.611%, 01/24/00 35,000 35,000
Preferred Receivable Funding
5.900%, 02/04/00 45,000 44,978
5.840%, 02/08/00 35,000 34,960
5.940%, 02/10/00 45,000 44,933
Riverwoods Funding Corporation
5.980%, 02/04/00 20,000 19,990
6.050%, 02/10/00 50,000 49,924
Windmill Funding Corporation
5.750%, 03/20/00 25,000 24,808
6.020%, 03/21/00 50,000 49,590
5.770%, 03/28/00 50,000 49,551
5.860%, 04/18/00 25,000 24,687
----------
1,799,756
----------
STEEL & STEEL WORKS -- 0.4%
Alcoa Incorporated
5.900%, 02/04/00 25,000 24,988
----------
UTILITY -- 1.6%
National Rural Utilities
5.800%, 02/25/00 100,000 99,613
----------
Total Commercial Paper
(Cost $3,639,812) 3,639,812
----------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
14
<PAGE>
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
FACE
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
CERTIFICATES OF DEPOSIT/BANK NOTES -- 14.8%
BANKS -- 12.1%
American Express Centurion Bank
6.080%, 02/04/00 $ 56,000 $ 56,001
Bank One
5.910%, 02/09/00 40,000 40,000
Fifth Third Bancorp
5.670%, 02/22/00 56,000 56,000
First National Bank Chicago
5.125%, 03/21/00 52,500 52,498
First Tennessee Bank
5.650%, 02/07/00 48,000 48,000
First Union National Bank (A)
6.140%, 02/17/00 40,000 40,001
First USA Bank
6.050%, 09/18/00 50,000 49,985
Fleet National Bank
6.070%, 02/23/00 40,000 40,000
Harris Bankcorp
5.000%, 02/04/00 17,500 17,500
Key Bank
5.125%, 03/24/00 39,000 38,997
Key Bank (A)
6.154%, 03/07/00 20,000 19,994
6.220%, 03/16/00 30,000 30,000
National City
5.000%, 02/08/00 58,600 58,600
National City Bank (A)
5.979%, 02/08/00 10,000 10,007
NationsBank (A)
6.171%, 03/06/00 19,000 19,021
PNC Bank
5.040%, 02/16/00 68,100 68,099
Regions Bank
6.020%, 02/28/00 100,000 100,001
U.S. Bank
5.920%, 10/02/00 25,000 24,987
--------
769,691
--------
FINANCIAL SERVICES -- 2.7%
American Express Central Bank
5.680%, 02/24/00 60,000 60,000
American Express Centurion (A)
5.700%, 02/01/00 50,000 50,000
First Tennessee Bank
5.800%, 03/28/00 60,000 60,000
--------
170,000
--------
Total Certificates of Deposit/Bank Notes
(Cost $939,691) 939,691
--------
- --------------------------------------------------------------------------------
FACE
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
CORPORATE BONDS/MEDIUM TERM NOTES -- 10.9%
BANKS -- 5.4%
Chase Manhattan MTN (A)
6.351%, 02/22/00 $ 10,000 $ 10,019
Fifth Third Bancorp
5.710%, 02/28/00 25,000 25,000
Fleet Boston MTN (A)
6.110%, 04/28/00 75,000 75,030
Key Bank
6.500%, 01/29/01 50,000 49,972
Key Bank (A)
5.800%, 02/07/00 50,000 49,977
National City Bank (A)
6.170%, 03/20/00 90,000 90,065
National Rural (A)
6.141%, 03/25/00 20,000 19,997
Wells Fargo
5.225%, 04/10/00 23,100 23,099
--------
343,159
--------
FINANCIAL SERVICES -- 1.8%
General Electric Capital MTN (A)
5.980%, 04/13/00 40,000 40,000
General Electric Capital MTN
6.120%, 08/15/00 25,000 25,009
General Electric Capital (A)
6.111%, 02/03/00 50,000 50,000
--------
115,009
--------
INVESTMENT BANKER/BROKER -- 0.5%
Goldman Sachs Group LP
6.600%, 12/21/00 30,000 30,000
--------
LEASING COMPANY -- 0.1%
Xerox Credit Corporation MTN (A)
6.044%, 02/08/00 4,500 4,499
--------
SPECIAL PURPOSE ENTITY -- 3.1%
Ciesco LP MTN (A)
5.798%, 02/04/00 50,000 50,000
Corporate Asset (A)
6.039%, 04/07/00 45,000 45,000
SMM Trust 99-A (A)
6.350%, 04/13/00 100,000 100,000
--------
195,000
--------
Total Corporate Bonds/Medium Term Notes
(Cost $687,667) 687,667
--------
INSURANCE FUNDING AGREEMENTS -- 4.6%
All State Corporation(A)
6.211%, 03/15/00 62,000 62,000
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
15
<PAGE>
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
SEI DAILY INCOME TRUST -- JANUARY 31, 2000
PRIME OBLIGATION FUND (concluded)
- --------------------------------------------------------------------------------
FACE
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
AllState Corporation (A)
6.561%, 02/01/00 $ 15,000 $ 15,000
6.213%, 04/01/00 35,000 35,000
Metropolitan Life Insurance
Company (A)
6.285%, 02/01/00 55,000 55,000
Peoples Security Life Insurance (A)
6.310%, 02/01/00 73,000 73,000
6.080%, 04/01/00 35,000 35,000
Travelers Insurance (A)
6.166%, 03/01/00 20,000 20,000
--------
Total Insurance Funding Agreements
(Cost $295,000) 295,000
--------
TIME DEPOSIT -- 3.9%
Chase Manhattan Delaware
5.844%, 02/01/00 100,000 100,000
Suntrust Atlanta
5.875%, 02/01/00 150,000 150,000
--------
Total Time Deposit
(Cost $250,000) 250,000
--------
REPURCHASE AGREEMENTS -- 4.0%
Lehman Brothers, Incorporated (B)
5.800%, dated 01/31/00, matures
02/01/00, repurchase price $1,100,177
(collateralized by various
U.S. Government Obligations,
ranging in par value $1,000,129 -
$3,345,385, 8.000% - 9.000%,
10/01/12 - 07/01/24; with
market value $1,122,018) 1,100 1,100
Warburg Dillion (B)
5.810%, dated 01/31/00,
matures 02/01/00, repurchase
price $190,030,664
(collateralized by various
U.S. Government Obligations,
ranging in par value $4,765,000 -
$49,710,000, 4.625% - 6.750%,
10/15/01 - 03/15/09; with
market value $193,803,863) 190,000 190,000
Goldman Sachs Group (B)
5.58%, dated 01/31/00, matures
02/01/00, repurchase price
$65,010,075 (collateralized by
various U.S. Government
Obligations, ranging in par
value $1,000,075 - $27,133,000,
5.500% - 7.500%, 05/01/03 -
01/01/30; with market
value $66,300,000) 65,000 65,000
--------
Total Repurchase Agreements
(Cost $256,100) 256,100
--------
- --------------------------------------------------------------------------------
DESCRIPTION VALUE (000)
- --------------------------------------------------------------------------------
TOTAL INVESTMENTS -- 99.9%
(Cost $6,343,056) $6,343,056
----------
OTHER ASSETS AND LIABILITIES, NET -- 0.1%
7,013
----------
NET ASSETS:
Fund Shares of Class A (unlimited
authorization -- no par value)
based on 5,486,603,774 outstanding
shares of beneficial interest 5,486,605
Fund Shares of Class B (unlimited
authorization -- no par value)
based on 347,223,355 outstanding
shares of beneficial interest 347,223
Fund Shares of Class C (unlimited
authorization -- no par value)
based on 501,779,033 outstanding
shares of beneficial interest 501,778
Fund Shares of Sweep Class (unlimited
authorization -- no par value)
based on 14,422,423 outstanding
shares of beneficial interest 14,423
Undistributed net investment income 40
----------
TOTAL NET ASSETS -- 100.0% $6,350,069
==========
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE -- CLASS A $1.00
==========
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE -- CLASS B $1.00
==========
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE -- CLASS C $1.00
==========
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE -- SWEEP CLASS $1.00
==========
(A) FLOATING INSTRUMENT. THE RATE REFLECTED ON THE STATEMENT OF NET ASSETS IS
THE RATE IN EFFECT ON JANUARY 31, 2000. THE DATE SHOWN IS THE EARLIER OF
THE RESET DATE OR THE DEMAND DATE.
(B) TRI-PARTY REPURCHASE AGREEMENT
FHLB FEDERAL HOME LOAN BANK
FHLMC FEDERAL HOME LOAN MORTGAGE CORPORATION
FNMA FEDERAL NATIONAL MORTGAGE ASSOCIATION
LLC LIMITED LIABILITY COMPANY
LP LIMITED PARTNERSHIP
MTN MEDIUM TERM NOTE
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
16
<PAGE>
- --------------------------------------------------------------------------------
TREASURY FUND
- --------------------------------------------------------------------------------
FACE
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
U.S. TREASURY OBLIGATIONS -- 22.9%
U.S. Treasury Bill
5.192%, 03/09/00 $12,000 $ 11,938
U.S. Treasury Notes
4.000%, 10/31/00 12,000 11,860
5.750%, 11/15/00 10,000 9,999
5.989%, 11/30/00 10,000 9,971
4.625%, 11/30/00 8,000 7,909
5.908%, 11/30/00 10,000 9,898
4.736%, 02/15/00 23,000 23,010
4.879%, 02/15/00 7,000 7,003
5.875%, 02/15/00 5,000 5,002
4.833%, 02/15/00 5,000 5,002
4.952%, 03/31/00 13,000 13,039
6.270%, 02/28/01 12,000 11,837
--------
Total U.S. Treasury Obligations
(Cost $126,468) 126,468
--------
REPURCHASE AGREEMENTS -- 77.1%
ABN-Amro (A)
5.800%, dated 01/31/00, matures
02/01/00, repurchase price
$65,010,346 (collateralized
by various U.S. Government
Obligations, ranging in par
value $2,767,000 - $50,904,000,
5.250% - 6.875%, 10/31/02 -
02/15/29; with market value
$66,300,990) 65,000 65,000
Barclay De Zoete Wedd (A)
5.700%, dated 1/31/00,
matures 2/01/00, repurchase
price $82,813,110 (collateralized
by U.S. Treasury Note,
par value $84,386,000, 6.125%,
07/31/00; with total market value
$84,456,209) 82,800 82,800
Goldman Sachs Group (A)
5.600%, dated 01/31/00, matures
02/01/00, repurchase price
$72,211,231 (collateralized
by U.S. Treasury Note, par
value $74,034,000, 5.750%,
06/30/01; with market value
$73,644,854) 72,200 72,200
- --------------------------------------------------------------------------------
FACE
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
Lehman Brothers, Incorporated
5.730%, dated 01/31/00, matures
02/01/00, repurchase price
$29,004,616 (collateralized
by various U.S.Treasury STRIPS,
ranging in par value $790,000
- $50,000,000, 06/30/00 -
08/15/15; with market value
$29,433,227 $29,000 $ 29,000
Morgan Stanley (A)
5.700%, dated 01/31/00, matures
02/01/00, repurchase price
$80,012,667 (collateralized by
U.S.Treasury Note, par value
$79,455,000 8.875%, 05/15/00;
with total market value of
$81,635,725) 80,000 80,000
Paribas Corporation (A)
5.730%, dated 01/31/00, matures
02/01/00, repurchase price $53,008,436
(collateralized by U.S. Treasury
Notes, ranging in par value
$13,445,000 - $39,329,000,
5.500%-8.000%, 05/15/01 -
02/28/03; with total
market value $54,060,831) 53,000 53,000
Warburg Dillion (A)
5.720%, dated 01/31/00, matures
02/01/00, repurchase price $45,007,150
(collateralized by U.S.Government
Obligation, par value $54,070,000,
5.250%, 11/15/28; with market
value $45,900,878) 45,000 45,000
----------
Total Repurchase Agreements
(Cost $427,000) 427,000
----------
TOTAL INVESTMENTS -- 100.0%
(Cost $553,468) 553,468
----------
OTHER ASSETS AND LIABILITIES, NET -- 0.0% 112
----------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
17
<PAGE>
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
SEI DAILY INCOME TRUST -- JANUARY 31, 2000
TREASURY FUND (concluded)
- --------------------------------------------------------------------------------
DESCRIPTION VALUE (000)
- --------------------------------------------------------------------------------
NET ASSETS:
Fund Shares of Class A (unlimited
authorization -- no par value)
based on 196,275,323 outstanding
shares of beneficial interest $196,275
Fund Shares of Class B (unlimited
authorization -- no par value)
based on 159,045,523 outstanding
shares of beneficial interest 159,046
Fund Shares of Class C (unlimited
authorization -- no par value)
based on 115,463,740 outstanding
shares of beneficial interest 115,463
Fund Shares of Sweep Class (unlimited
authorization -- no par value)
based on 82,775,362 outstanding
shares of beneficial interest 82,776
Undistributed net investment income 29
Accumulated net realized loss
on investments (9)
--------
TOTAL NET ASSETS -- 100.0% $553,580
========
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
STRIPS SEPARATE TRADING OF REGISTERED INTEREST AND PRINCIPAL OF
SECURITIES
TREASURY II FUND
- ------------------------------------------------------------
FACE
DESCRIPTION AMOUNT (000) VALUE (000)
- ------------------------------------------------------------
U.S. TREASURY OBLIGATIONS -- 98.9%
U.S. Treasury Bills
5.230%, 03/09/00 $30,000 $ 29,839
5.070%, 03/09/00 20,811 20,703
5.290%, 03/16/00 4,294 4,266
5.375%, 03/23/00 3,041 3,018
5.290%, 03/23/00 6,957 6,905
5.285%, 03/23/00 13,000 12,903
5.280%, 03/23/00 15,275 15,161
5.240%, 03/30/00 6,202 6,150
5.235%, 04/06/00 22,384 22,172
5.300%, 04/20/00 403 398
5.290%, 04/20/00 4,027 3,980
5.470%, 04/27/00 2,114 2,086
U.S. Treasury Notes
4.764%, 02/15/00 21,000 21,009
5.500%, 02/29/00 1,068 1,068
5.500%, 02/29/00 50,000 50,010
6.875%, 03/31/00 50,000 50,114
5.500%, 03/31/00 50,000 50,006
5.500%, 03/31/00 45,000 44,998
5.500%, 03/31/00 65,000 64,995
5.500%, 03/31/00 2,501 2,500
5.625%, 04/30/00 25,000 24,994
5.682%, 04/30/00 26,448 26,511
6.375%, 05/15/00 20,000 20,033
--------
Total U.S. Treasury Obligations
(Cost $483,819) 483,819
--------
TOTAL INVESTMENTS -- 98.9%
(Cost $483,819) 483,819
--------
OTHER ASSETS AND LIABILITIES, NET -- 1.1% 5,520
--------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
18
<PAGE>
- --------------------------------------------------------------------------------
DESCRIPTION VALUE (000)
- --------------------------------------------------------------------------------
NET ASSETS:
Fund Shares of Class A (unlimited
authorization -- no par value)
based on 379,238,996 outstanding
shares of beneficial interest $379,237
Fund Shares of Class B (unlimited
authorization -- no par value)
based on 75,712,911 outstanding
shares of beneficial interest 75,713
Fund Shares of Class C (unlimited
authorization -- no par value)
based on 34,414,565 outstanding
shares of beneficial interest 34,415
Undistributed net investment income 209
Accumulated net realized loss
on investments (235)
--------
TOTAL NET ASSETS -- 100.0% $489,339
========
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 -- 25.3%
FHLB
5.125%, 04/17/01 $10,000 $ 9,814
FNMA
5.380%, 01/16/01 5,000 4,946
FNMA MTN
6.240%, 09/07/00 5,000 4,991
7.100%, 10/18/04 5,000 4,919
-------
Total U.S. Government Agency Obligations
(Cost $25,038) 24,670
-------
U.S. TREASURY OBLIGATIONS -- 25.2%
U.S. Treasury Notes
4.625%, 12/31/00 20,000 19,696
5.500%, 07/31/01 5,000 4,924
-------
Total U.S. Treasury Obligations
(Cost $24,929) 24,620
-------
U.S. GOVERNMENT MORTGAGE-BACKED BONDS -- 40.1%
FHLMC
8.500%, 01/15/06 3,732 3,808
6.000%, 12/15/06 4,465 4,416
6.500%, 10/01/07 941 912
6.000%, 10/15/07 4,000 3,915
6.000%, 11/01/13 1,144 1,069
6.000%, 11/01/13 1,305 1,219
6.000%, 11/01/13 844 789
6.000%, 11/01/13 1,460 1,364
6.000%, 11/01/13 546 510
6.000%, 11/01/13 1,560 1,457
6.000%, 11/01/13 567 529
6.000%, 11/01/13 1,477 1,380
6.000%, 01/15/14 7,000 6,836
9.000%, 02/15/20 5,000 5,132
FNMA
6.500%, 04/01/00 1,145 1,120
6.500%, 09/01/02 3,310 3,203
6.000%, 11/25/03 REMIC 665 649
GNMA
7.500%, 01/15/11 28 28
7.500%, 02/15/11 42 41
7.500%, 02/15/11 711 709
-------
Total U.S. Government Mortgage-Backed Bonds
(Cost $40,331) 39,086
-------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
19
<PAGE>
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
SEI DAILY INCOME TRUST -- JANUARY 31, 2000
SHORT-DURATION
GOVERNMENT FUND (concluded)
- --------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
REPURCHASE AGREEMENTS -- 9.3%
Paine Webber
5.700%, dated 01/31/00, matures
02/01/00, repurchase price
$9,041,431 (collateralized
by U.S. Treasury Note, par
value $9,470,000, 5.500%,
05/31/03; with total market
value $9,255,191) $9,040 $ 9,040
---------
Total Repurchase Agreements
(Cost $9,040) 9,040
---------
TOTAL INVESTMENTS -- 99.9%
(Cost $99,338) 97,416
---------
OTHER ASSETS AND LIABILITIES, NET -- 0.1% 143
---------
NET ASSETS:
Fund Shares of Class A (unlimited
authorization -- no par value)
based on 9,879,863 outstanding
shares of beneficial interest 100,322
Fund Shares of Class B (unlimited
authorization -- no par value)
based on 1,407 outstanding
shares of beneficial interest 14
Undistributed net investment income 11
Accumulated net realized loss
on investments (866)
Net unrealized depreciation on investments (1,922)
---------
TOTAL NET ASSETS -- 100.0% $97,559
=========
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE -- CLASS A $9.87
=========
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE -- CLASS B $9.86
=========
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
REMIC REAL ESTATE MORTGAGE INVESTMENT CONDUIT
INTERMEDIATE-DURATION GOVERNMENT FUND
- --------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
U.S. TREASURY OBLIGATIONS -- 41.6%
U.S. Treasury Bond
11.875%, 11/15/03 $12,000 $ 14,009
12.000%, 08/15/13 17,000 22,538
U.S. Treasury Note
10.750%, 02/15/03 10,000 11,073
--------
Total U.S. Treasury Obligations
(Cost $49,583) 47,620
--------
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 14.1%
Agency For International Development
6.750%, 08/15/04 4,000 3,911
Private Export Funding
5.500%, 03/15/01 1,000 986
8.400%, 07/31/01 1,600 1,634
6.900%, 01/31/03 2,875 2,861
8.750%, 06/30/03 5,670 5,961
7.010%, 04/30/04 785 777
--------
Total U.S. Government Agency Obligations
(Cost $16,571) 16,130
-------
U.S. GOVERNMENT MORTGAGE-BACKED BONDS -- 38.3%
FHLMC
6.250%, 07/01/03 117 111
5.750%, 05/15/05 REMIC 49 49
7.350%, 05/16/05 750 729
5.650%, 07/15/05 REMIC 213 212
8.000%, 01/15/06 CMO 280 283
5.750%, 01/15/06 REMIC 244 242
6.000%, 10/15/06 830 819
6.000%, 08/15/07 400 392
8.250%, 12/01/07 104 106
5.500%, 04/15/08 1,000 958
5.500%, 08/01/08 67 61
5.500%, 09/01/08 117 107
8.250%, 01/01/09 258 263
8.250%, 12/01/09 150 153
6.500%, 09/01/10 3,352 3,201
5.500%, 06/01/13 429 392
5.500%, 06/01/13 280 256
5.500%, 07/01/13 418 381
5.500%, 10/01/13 172 157
6.000%, 12/01/13 1,314 1,228
6.500%, 05/01/14 117 112
6.500%, 06/01/14 95 91
6.500%, 07/01/14 61 58
6.500%, 08/01/14 174 166
6.500%, 09/01/14 75 72
6.500%, 09/01/14 159 151
6.500%, 10/01/14 2,671 2,551
6.500%, 10/01/14 580 554
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
20
<PAGE>
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
7.000%, 02/25/19 $ 282 $ 281
6.500%, 06/25/19 2,100 2,082
6.500%, 09/15/21 338 322
6.300%, 03/15/23 2,000 1,911
FNMA
6.000%, 11/25/03 REMIC 136 132
5.625%, 05/14/04 10,000 9,434
6.000%, 09/25/05 REMIC 113 113
6.390%, 01/01/06 38 36
7.280%, 10/01/06 24 24
6.500%, 02/25/07 CMO-REMIC 400 397
7.500%, 03/01/07 147 144
7.040%, 03/01/07 39 38
7.024%, 06/01/07 19 18
6.907%, 06/01/07 1,291 1,253
6.812%, 10/01/07 54 52
6.270%, 11/01/07 324 302
6.430%, 01/01/08 93 87
6.340%, 01/01/08 87 82
6.300%, 01/01/08 93 87
8.000%, 05/01/08 198 197
8.000%, 06/01/08 192 191
6.295%, 06/01/08 59 55
6.180%, 07/01/08 108 100
5.500%, 12/01/08 237 216
5.500%, 04/01/09 152 139
7.500%, 06/01/09 76 74
5.500%, 06/01/09 23 21
5.500%, 11/01/09 243 221
6.000%, 02/01/13 132 123
6.000%, 07/01/13 223 208
6.000%, 07/01/13 1,395 1,302
7.385%, 03/25/21 1,576 1,544
GNMA
8.250%, 04/15/06 4 4
8.250%, 05/15/06 42 42
8.250%, 05/15/06 62 62
8.250%, 06/15/06 79 80
8.250%, 04/15/08 45 46
8.250%, 05/15/08 98 99
8.250%, 05/15/08 65 65
8.250%, 06/15/08 61 61
8.250%, 06/15/08 112 113
8.250%, 06/15/08 83 83
8.250%, 07/15/08 90 91
6.000%, 04/15/09 264 246
7.000%, 10/15/14 988 963
7.000%, 10/15/14 988 964
7.000%, 10/15/14 989 965
7.000%, 10/15/14 987 963
8.500%, 05/20/16 185 188
8.500%, 09/20/16 6 6
8.500%, 11/20/16 347 351
8.500%, 11/20/16 35 35
8.500%, 04/20/17 8 8
8.750%, 05/20/17 202 206
- --------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
8.500%, 05/20/17 $ 216 $ 218
8.750%, 06/20/17 65 66
8.750%, 07/20/17 9 10
8.750%, 07/20/17 52 53
8.500%, 07/20/17 126 128
8.500%, 08/20/17 83 84
8.750%, 10/20/17 8 8
8.750%, 11/20/17 71 73
8.500%, 01/20/18 39 40
8.500%, 02/20/18 78 79
9.500%, 05/01/18 309 324
7.000%, 09/16/19 279 275
7.000%, 08/15/23 1,187 1,129
7.000%, 04/15/26 785 747
--------
Total U.S. Government Mortgage-Backed Bonds
(Cost $45,729) 43,916
--------
REPURCHASE AGREEMENTS -- 4.7%
Paine Webber
5.700%, dated 01/31/00, matures
02/01/00, repurchase price
$5,397,855 (collateralized by
U.S. Treasury Note, par value
$3,805,000, 12.500%,
08/15/14; with total market
value $5,520,456) 5,397 5,397
--------
Total Repurchase Agreements
(Cost $5,397) 5,397
--------
TOTAL INVESTMENTS -- 98.7%
(Cost $117,280) 113,063
--------
OTHER ASSETS AND LIABILITIES, NET -- 1.3%
1,475
--------
NET ASSETS:
Fund Shares of Class A (unlimited
authorization -- no par value)
based on 11,908,542 outstanding
shares of beneficial interest 124,384
Undistributed net investment income 83
Accumulated net realized loss
on investments (5,712)
Net unrealized depreciation on investments (4,217)
--------
TOTAL NET ASSETS -- 100.0% $114,538
========
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE -- CLASS A $9.62
========
CMO COLLATERALIZED MORTGAGE OBLIGATIONS
FHLMC FEDERAL HOME LOAN MORTGAGE CORPORATION
FNMA FEDERAL NATIONAL MORTGAGE ASSOCIATION
GNMA GOVERNMENT NATIONAL MORTGAGE ASSOCIATION
REMIC REAL ESTATE MORTGAGE INVESTMENT CONDUIT
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
21
<PAGE>
STATEMENT OF NET ASSETS
- -----------------------------------------------------------
SEI DAILY INCOME TRUST -- JANUARY 31, 2000
GNMA FUND
- -----------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- -----------------------------------------------------------
GNMA -- 99.8%
GNMA
12.500%, 12/15/06 - 07/15/15 $ 25 $ 28
12.000%, 04/15/14 1 1
11.500%, 04/15/10 - 02/15/13 22 24
10.500%, 03/15/18 43 47
10.000%, 09/15/15 - 07/15/20 215 233
9.500%, 06/15/09 - 11/15/20 3,661 3,861
9.000%, 05/15/16 - 05/15/22 2,559 2,658
8.500%, 08/15/08 - 01/15/18 894 915
8.000%, 12/15/21 - 11/15/23 3,900 3,889
7.500%, 02/15/17 - 11/15 /29 18,397 17,931
7.000%, 05/15/23 - 04/15/28 15,121 14,384
6.500%, 08/15/01 - 11/15/28 25,204 23,313
6.000%, 08/15/26 - 01/15/29 18,549 16,581
---------
Total GNMA
(Cost $88,718) 83,865
---------
REPURCHASE AGREEMENT -- 0.3%
Paine Webber
5.700%, dated 01/31/00, matures
02/01/00, repurchase price $233,037
(collateralized by U.S. Treasury
Note, par value $210,000, 10.750%,
02/15/03; with total market
value $243,336) 233 233
---------
TOTAL REPURCHASE AGREEMENT
(Cost $233) 233
---------
TOTAL INVESTMENTS -- 100.1%
(Cost $88,951) 84,098
---------
OTHER ASSETS AND LIABILITIES, NET -- (0.1%)
(92)
---------
- ----------------------------------------------------------
MARKET
DESCRIPTION VALUE (000)
- ----------------------------------------------------------
NET ASSETS:
Fund Shares of Class A (unlimited
authorization -- no par value)
based on 9,135,041 outstanding
shares of beneficial interest $101,829
Undistributed net investment income 108
Accumulated net realized loss
on investments (13,078)
Net unrealized depreciation
on investments (4,853)
--------
TOTAL NET ASSETS -- 100.0% $84,006
========
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE -- CLASS A $9.20
========
GNMA GOVERNMENT NATIONAL MORTGAGE ASSOCIATION
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
22
<PAGE>
- -----------------------------------------------------------
CORPORATE DAILY
INCOME FUND
- -----------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- -----------------------------------------------------------
U.S. GOVERNMENT MORTGAGE-BACKED OBLIGATIONS -- 14.6%
FFCB
6.000%, 10/01/01 $1,450 $ 1,431
FHLMC
7.000%, 10/15/03 388 385
FNMA
5.460%, 06/21/00 3,350 3,337
6.000%, 04/01/01 3,610 3,467
6.500%, 09/01/02 2,084 2,016
7.000%, 01/01/04 2,263 2,227
GNMA
6.500%, 07/20/02 3,775 3,750
-------
Total U.S. Government Mortgage-Backed Obligations
(Cost $16,966) 16,613
-------
CORPORATE OBLIGATIONS -- 41.9%
AIRCRAFT -- 1.1%
Textron
6.750%, 09/15/02 1,235 1,206
-------
BANKS -- 7.7%
Banc One (A)
6.316%, 03/25/00 2,000 2,001
Huntington National Bank
5.875%, 01/15/01 1,500 1,481
United States Bancorp MTN (A)
6.278%, 05/03/00 2,000 2,000
Wachovia Corporation (A)
6.155%, 04/10/00 1,750 1,751
Wells Fargo
5.225%, 04/10/00 1,500 1,497
-------
8,730
-------
CHEMICALS -- 0.9%
Monsanto Corporation
5.375%, 12/01/01 1,000 968
-------
COMPUTERS & SERVICES -- 1.7%
IBM MTN
5.950%, 08/17/00 2,000 1,995
-------
FINANCIAL SERVICES -- 20.3%
American General Finance
5.730%, 11/26/01 1,000 973
Associates Corporation of
North America
5.850%, 01/15/01 1,500 1,487
Associates Corporation of
North America (A)
6.190%, 02/17/00 1,000 999
Chrysler Financial Corporation LLC
4.910%, 10/10/00 1,000 988
- -----------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- -----------------------------------------------------------
Cit Group Holding MTN
5.850%, 02/05/01 $1,500 $ 1,487
Conoco
5.900%, 04/15/04 1,000 941
Corporate Asset Funding
Corporation (A)
6.039%, 04/07/00 2,000 2,000
Ford Motor Credit Company (A)
6.300%, 04/16/00 2,000 2,004
General Electric Capital
Corporation (A)
6.111%, 02/03/00 1,250 1,250
General Electric Capital Corporation
5.772%, 08/27/01 1,750 1,717
General Motors Acceptance
Corporation (A)
6.515%, 03/17/00 2,000 2,008
Goldman Sachs Group Lp
6.600%, 12/21/00 1,500 1,496
Heller Financial MTN
6.500%, 07/22/02 2,000 1,950
Norwest Financial
5.500%, 03/19/01 1,000 983
United States West Capital Funding
Incorporated
6.125%, 07/15/02 1,000 969
Wal-Mart Stores
6.150%, 08/10/01 2,000 1,975
--------
23,227
--------
INSURANCE -- 1.7%
Unum Corporation MTN (A)
6.120%, 03/20/00 2,000 2,000
--------
LEASING & RENTING -- 0.9
International Lease Financial
Corporation
6.000%, 06/15/03 1,025 979
--------
PETROLEUM REFINING -- 1.8%
Texaco Capital Corporation MTN (A)
6.011%, 02/03/00 2,100 2,100
--------
PHOTOGRAPHIC EQUIPMENT & SUPPLIES -- 1.3%
Xerox Corporation MTN
5.635%, 07/14/00 1,500 1,493
--------
PRINTING & PUBLISHING -- 1.1%
Times Mirror
6.650%, 10/15/01 1,250 1,234
--------
RETAIL -- 1.7%
Albertson's Incorporated (A)
5.761%, 02/14/00 2,000 1,990
--------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
23
<PAGE>
STATEMENT OF NET ASSETS
- -------------------------------------------------------------------------------
SEI DAILY INCOME TRUST -- JANUARY 31, 2000
CORPORATE DAILY
INCOME FUND (concluded)
- -------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- -------------------------------------------------------------------------------
TELEPHONES & TELECOMMUNICATION -- 1.7%
AT&T Corporation
5.625%, 03/15/04 $1,000 $ 938
AT&T Corporation (A)
5.990%, 04/13/00 1,000 1,000
-------
1,938
-------
Total Corporate Obligations
(Cost $48,334) 47,860
-------
ASSET BACKED SECURITIES -- 32.5%
AUTOMOTIVE -- 18.7%
Aesop Funding 97-1 A-1
6.220%, 10/20/01 1,700 1,696
ANRC Auto Owner Trust 1999-A A2
6.540%, 11/15/02 1,025 1,024
ARG Funding Corporation 99-1A A2
5.880%, 05/20/03 1,250 1,207
Capital Auto Receivables Asset
Trust 99-1 A2
5.600%, 06/10/02 1,000 986
Capital Auto Receivables Asset
Trust 99-1 A3
6.250%, 03/15/03 1,000 991
Carco Auto Loan Master
Trust 99-1 A1
5.650%, 03/15/01 1,500 1,461
Chase Auto Owner Trust 98-4 A3
5.700%, 09/17/01 482 480
Chase Auto Owner Trust 98-B A3
5.750%, 10/15/01 865 846
Chase Manhattan Auto Owner
Trust 1998-C A4
5.850%, 05/15/03 1,200 1,162
Chase Manhattan 97-B
6.350%, 02/15/01 105 105
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 1,269
Ford Credit Auto Trust 97-B A3
6.050%, 04/15/01 435 434
Ford Credit Auto Owner
Trust 99 C A4
6.080%, 09/16/02 750 741
General Motors Acceptance 97-A A
6.500%, 04/15/02 274 274
- -------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- -------------------------------------------------------------------------------
Nissan Auto Receivables Owner
Trust Series 00-A A3
7.010%, 09/15/03 $1,015 $ 1,012
Premier Auto Trust 1998-2 A3
5.770%, 01/06/02 928 902
Premier Auto Trust 98-3 A2
5.820%, 12/08/00 219 217
Premier Auto Trust 98-4 A3
5.690%, 06/08/02 1,500 1,485
Premier Auto Trust Series 98-1 A3
5.630%, 08/06/01 1,154 1,149
Rental Car Finance Corporation
Auto Trust 97-1 A1
6.250%, 06/25/03 1,500 1,485
Toyota Receivables 97-A
6.450%, 04/15/02 149 148
World Omni Automobile Lease
Securitization Trust 98-A A3 (A)
6.230%, 02/15/00 1,000 1,001
-------
21,314
-------
CREDIT CARDS -- 4.1%
AT&T 97 1-A (A)
6.160%, 02/17/00 1,000 999
Fleet Credit Card Master
Trust II 99-A A (A)
5.890%, 02/15/00 2,000 1,951
Fleet Credit Card Master
Trust II 00-A A (A)
6.047%, 03/15/00 1,750 1,750
-------
4,700
-------
MORTGAGE RELATED -- 9.7%
Advanta Mortgage Trust
Loan 1999-4 A (A)
6.190%, 02/25/00 1,241 1,240
Bank of Boston Commercial
Loan Master LLC (A)
6.350%, 02/16/00 1,000 1,000
Comm 2000-Fl1 Class A (A)
6.220%, 03/16/00 1,250 1,250
Main Place Funding 95-2 (A)
6.210%, 04/25/00 1,000 1,001
Main Place Funding 99-1 (A)
6.221%, 02/25/00 1,250 1,247
NationsBank Commercial Loan
Master Trust 97-1 A (A)
6.250%, 03/20/00 2,500 2,493
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
24
<PAGE>
- -------------------------------------------------------------------------------
FACE
DESCRIPTION AMOUNT (000) VALUE (000)
- -------------------------------------------------------------------------------
Peco Energy Transition
Trust 99-A A1
5.480%, 03/01/03 $1,652 $ 1,637
Sasco Corporate Floater Rate
Commercial Mortgage 99-C3 A (A)
6.210%, 02/20/00 1,187 1,186
--------
11,054
--------
Total Asset Backed Securities
(Cost $37,414) 37,068
--------
CERTIFICATES OF DEPOSIT/BANK NOTES -- 3.5%
Key Bank (A)
6.390%, 04/26/00 1,500 1,505
National City
5.000%, 02/08/00 1,000 1,000
PNC Bank
5.040%, 02/16/00 1,500 1,499
--------
Total Certificates of Deposit/Bank Notes
(Cost $4,000) 4,004
--------
COMMERCIAL PAPER -- 9.7%
Aesop Funding Corporation
6.080%, 03/07/00 1,000 994
American Home Products
5.730%, 02/23/00 2,000 1,993
Greyhawk Funding LLC
5.800%, 03/17/00 3,500 3,474
Harvard University
5.570%, 02/04/00 1,654 1,653
National Rural Utilities
5.750%, 03/13/00 3,000 2,980
--------
Total Commercial Paper
(Cost $11,095) 11,094
--------
REPURCHASE AGREEMENTS -- 3.5%
Paine Webber
5.700%, dated 01/31/00, matures
02/01/00, repurchase price
$3,989,632 (collateralized by
U.S. Treasury Note, par value
$3,290,000, 8.500%, 02/15/20;
with total market
value $4,084,651) 3,989 3,989
--------
Total Repurchase Agreements
(Cost $3,989) 3,989
--------
TOTAL INVESTMENTS-- 105.7%
(Cost $121,798) 120,628
--------
OTHER ASSETS AND LIABILITIES, NET -- (5.7%) (6,510)
--------
- -------------------------------------------------------------------------------
MARKET
DESCRIPTION VALUE (000)
- -------------------------------------------------------------------------------
NET ASSETS:
Fund Shares of Class A (unlimited
authorization -- no par value)
based on 57,918,431 outstanding
shares of beneficial interest $115,408
Distribution in excess of net
investment income (12)
Accumulated net realized loss
on investments (108)
Net unrealized depreciation on investments (1,170)
--------
TOTAL NET ASSETS-- 100.0% $114,118
========
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE -- CLASS A $1.97
========
(A) FLOATING INSTRUMENT. THE RATE REFLECTED ON THE STATEMENT OF NET ASSETS IS
THE RATE IN EFFECT ON JANUARY 31, 2000. THE DATE SHOWN IS THE EARLIER OF
THE RESET DATE OR THE DEMAND DATE.
FFCB FEDERAL FARM CREDIT BANK
FHLMC FEDERAL HOME LOAN MORTGAGE CORPORATION
FNMA FEDERAL NATIONAL MORTGAGE ASSOCIATION
GNMA GOVERNMENT NATIONAL MORTGAGE ASSOCIATION
LLC LIMITED LIABILITY COMPANY
LP LIMITED PARTNERSHIP
MTN MEDIUM TERM NOTE
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
25
<PAGE>
STATEMENT OF OPERATIONS (000)
- --------------------------------------------------------------------------------
SEI DAILY INCOME TRUST--FOR THE YEAR ENDED JANUARY 31, 2000
<TABLE>
<CAPTION>
---------------- ---------------- ----------------
MONEY
MARKET GOVERNMENT GOVERNMENT II
FUND FUND FUND
-------------- ------------- ------------
<S> <C> <C> <C>
Interest Income $47,212 $40,783 $49,911
------- ------- -------
EXPENSES:
Management fees 3,005 1,945 1,848
Less: Management fees waived (1,901) (670) (314)
Investment advisory fees 210 191 225
Less: Investment advisory fees waived (97) (90) (103)
Shareholder servicing fees (1) 2,769 4,555 2,600
Less: Shareholder servicing fees waived (1,785) (1,028) (2,090)
Custodian/wire agent fees 130 78 115
Trustee fees 7 6 7
Registration fees 179 64 73
Other 103 97 95
------- ------- -------
Total expenses 2,620 5,148 2,456
------- ------- -------
NET INVESTMENT INCOME 44,592 35,635 47,455
------- ------- -------
NET REALIZED AND UNREALIZED GAIN (LOSS)
ON INVESTMENTS:
Net realized gain (loss)from security
transactions (4) 37 49
------- ------- -------
Net change in unrealized depreciation
of investments -- -- --
------- ------- -------
NET INCREASE (DECREASE) IN NET
ASSETS FROM OPERATIONS $44,588 $35,672 $47,504
======= ======= =======
</TABLE>
(1)INCLUDES CLASS SPECIFIC DISTRIBUTION AND SHAREHOLDER SERVICING FEES.
AMOUNTS DESIGNATED AS "--" ARE EITHER $0 OR HAVE BEEN ROUNDED TO $0.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
26
<PAGE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
-------------- -------------- ------------- ----------- -------------- ---------- -------------
SHORT- INTERMEDIATE- CORPORATE
PRIME DURATION DURATION DAILY
OBLIGATION TREASURY TREASURY II GOVERNMENT GOVERNMENT GNMA INCOME
FUND FUND FUND FUND FUND FUND FUND
-------------- -------------- ------------- ----------- -------------- ---------- -------------
<S> <C> <C> <C> <C> <C> <C> <C>
$270,571 $25,973 $27,630 $ 6,194 $7,757 $ 6,985 $5,997
-------- ------- ------- ------- ------ ------- ------
9,590 1,243 1,396 392 455 328 373
(1,637) (496) (157) (25) -- -- (106)
1,167 120 134 112 130 103 107
(536) (55) (62) (19) -- -- (42)
13,825 2,076 1,576 280 325 256 267
(10,878) (529) (1,116) (280) (304) (115) (267)
540 126 66 15 22 16 16
46 6 7 1 1 1 1
431 45 19 5 5 12 8
494 48 51 23 16 14 16
-------- ------- ------- ------- ------ ------- -------
13,042 2,584 1,914 504 650 615 373
-------- ------- ------- ------- ------ ------- -------
257,529 23,389 25,716 5,690 7,107 6,370 5,624
-------- ------- ------- ------- ------ ------- -------
180 (3) 23 (256) (84) (763) (155)
-------- ------- ------- ------- ------ ------- -------
-- -- -- (2,855) (7,988) (6,837) (1,532)
-------- ------- ------- ------- ------ ------- -------
$257,709 $23,386 $25,739 $ 2,579 $ (965) $(1,230) $3,937
======== ======= ======= ======= ====== ======= =======
</TABLE>
The accompanying noes are an integral part of the financial statements.
27
<PAGE>
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------------------------------------------
SEI DAILY INCOME TRUST--FOR THE YEARS ENDED JANUARY 31
----------------------- -------------------------
MONEY MARKET GOVERNMENT
FUND FUND
----------------------- ------------------------
2000 1999 2000 1999
----------------------- -------------------------
OPERATIONS:
<S> <C> <C> <C> <C>
Net investment income $ 44,592 $ 50,152 $ 35,635 $ 63,471
Net realized gain (loss) from security transactions (4) 6 37 93
------------- ----------- ----------- -----------
Net increase in net assets from operations 44,588 50,158 35,672 63,564
DIVIDENDS DISTRIBUTED FROM:
Net investment income:
Class A (35,389) (44,080) (11,236) (9,376)
Class B (854) (210) (2,750) (1,930)
Class C (7,607) (5,954) (2,452) (3,697)
CNI Class* -- -- (18,890) (48,389)
Sweep Class (630) (37) (320) (64)
------------- ----------- ----------- -----------
Total dividends distributed (44,480) (50,281) (35,648) (63,456)
------------- ----------- ----------- -----------
CAPITAL SHARE TRANSACTIONS (ALL AT $1.00 PER SHARE):
Class A:
Proceeds from shares issued 9,940,077 15,609,293 1,417,542 1,176,639
Reinvestment of cash distributions 21,792 32,041 5,391 5,388
Cost of shares redeemed (10,909,801) (15,150,018) (1,421,439) (1,119,965)
------------ ----------- ----------- -----------
Increase (decrease) in net assets from Class A transactions (947,932) 491,316 1,494 62,062
------------ ----------- ----------- -----------
Class B:
Proceeds from shares issued 210,048 32,514 399,923 314,201
Reinvestment of cash distributions 101 138 36 406
Cost of shares redeemed (184,185) (32,159) (370,020) (309,037)
------------ ----------- ----------- -----------
Increase (decrease) in net assets from Class B transactions 25,964 493 29,939 5,570
------------ ----------- ----------- -----------
Class C:
Proceeds from shares issued 812,183 629,568 449,358 994,924
Reinvestment of cash distributions 24 148 -- 12
Cost of shares redeemed (765,471) (583,792) (428,912) (980,387)
------------ ----------- ----------- -----------
Increase (decrease) in net assets from Class C transactions 46,736 45,924 20,446 14,549
------------ ----------- ----------- -----------
CNI Class*:
Proceeds from shares issued -- -- 1,012,114 3,406,554
Reinvestment of cash distributions -- -- 11,807 36,054
Cost of shares redeemed -- -- (2,104,329) (3,270,536)
------------ ----------- ----------- -----------
Increase (decrease) in net assets from CNI Class
transactions -- -- (1,080,408) 172,072
------------ ----------- ----------- -----------
Sweep Class:
Proceeds from shares issued 116,180 15,589 115,386 43,353
Reinvestment of cash distributions -- -- -- --
Cost of shares redeemed (96,506) (8,920) (96,087) (40,105)
------------ ----------- ----------- -----------
Increase in net assets from Sweep Class transactions 19,674 6,669 19,299 3,248
------------ ----------- ----------- -----------
INCREASE (DECREASE) IN NET ASSETS FROM CAPITAL SHARE
TRANSACTIONS (855,558) 544,402 (1,009,230) 257,501
------------ ----------- ----------- -----------
Net increase (decrease) in net assets (855,450) 544,279 (1,009,206) 257,609
------------ ----------- ----------- -----------
NET ASSETS:
Beginning of Period 1,359,619 815,340 1,363,178 1,105,569
------------ ----------- ----------- -----------
End of Period $ 504,169 $ 1,359,619 $ 353,972 $ 1,363,178
============ =========== =========== ============
*GOVERNMENT CNI CLASS SHARES WERE FULLY LIQUIDATED ON JUNE 21, 1999.
AMOUNTS DESIGNATED AS "--" ARE EITHER $0 OR HAVE BEEN ROUNDED TO $0.
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
28
<PAGE>
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------------------------------------------------
--------------------------- ------------------------ ------------------------ --------------------------
GOVERNMENT II PRIME OBLIGATION TREASURY TREASURY II
FUND FUND FUND FUND
---------------------------- ------------------------ ------------------------ -------------------------
2000 1999 2000 1999 2000 1999 2000 1999
---------------------------- ------------------------ ------------------------ -------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
$ 47,455 $ 47,749 $ 257,529 $ 211,888 $ 23,389 $ 22,207 $ 25,716 $ 4,689
49 109 180 76 (3) 4 23 263
---------- ----------- ------------ ------------- ---------- ----------- ---------- -----------
47,504 47,858 257,709 211,964 23,386 22,211 25,739 34,952
(41,205) (43,307) (224,391) (188,119) (10,090) (11,134) (20,040) (29,617)
(4,083) (2,244) (13,713) (11,254) (4,855) (3,877) (4,572) (4,448)
(2,171) (2,183) (18,902) (12,549) (4,688) (3,921) (1,102) (627)
-- -- -- -- -- -- -- --
-- -- (456) (34) (3,729) (3,267) -- --
---------- ----------- ------------ ------------- ---------- ----------- ---------- -----------
(47,459) (47,734) (257,462) (211,956) (23,362) (22,199) (25,714) (34,692)
---------- ----------- ------------ ------------- ---------- ----------- ---------- -----------
4,256,009 5,668,481 50,981,608 38,341,442 2,066,676 1,467,740 2,559,713 3,950,551
7,562 7,774 78,021 58,423 3,387 4,229 7,347 5,374
(4,413,367) (5,596,396) (50,055,889) (37,164,764) (2,143,474) (1,390,083) (2,639,637) (4,252,462)
---------- ----------- ------------ ------------- ---------- ----------- ---------- -----------
(149,796) 79,859 1,003,740 1,235,101 (73,411) 81,886 (72,577) (296,537)
---------- ----------- ------------ ------------- ---------- ----------- ---------- -----------
443,329 294,750 3,095,987 2,585,992 501,735 392,282 390,073 465,292
641 512 1,262 1,039 168 29 2,207 2,516
(426,041) (262,282) (2,979,404) (2,544,237) (438,940) (364,327) (454,107) (399,857)
---------- ----------- ------------ ------------- ---------- ----------- ---------- -----------
17,929 32,980 117,845 42,794 62,963 27,984 (61,827) 67,951
---------- ----------- ------------ ------------- ---------- ----------- ---------- -----------
249,411 154,260 1,791,413 1,318,675 717,339 504,608 239,173 143,516
15 5 167 68 -- -- -- 4
(256,120) (138,832) (1,641,684) (1,174,770) (705,515) (454,730) (224,131) (135,994)
---------- ----------- ------------ ------------- ---------- ----------- ---------- -----------
(6,694) 15,433 149,896 143,973 11,824 49,878 15,042 7,526
---------- ----------- ------------ ------------- ---------- ----------- ---------- -----------
-- -- -- -- -- -- -- --
-- -- -- -- -- -- -- --
-- -- -- -- -- -- -- --
---------- ----------- ------------ ------------- ---------- ----------- ---------- -----------
-- -- -- -- -- -- -- --
---------- ----------- ------------ ------------- ---------- ----------- ---------- -----------
-- -- 115,836 10,789 346,077 262,848 -- --
-- -- 45 13 -- 1 -- --
-- -- (107,103) (5,157) (335,662) (259,557) -- --
---------- ----------- ------------ ------------- ---------- ----------- ---------- ------------
-- -- 8,778 5,645 10,415 3,292 -- --
---------- ----------- ------------ ------------- ---------- ----------- ---------- -----------
(138,561) 128,272 1,280,259 1,427,513 11,791 163,040 (119,362) (221,060)
---------- ----------- ------------ ------------- ---------- ----------- ---------- -----------
(138,516) 128,396 1,280,506 1,427,521 11,815 163,052 (119,337) (220,800)
---------- ----------- ------------ ------------- ---------- ----------- ---------- -----------
1,058,946 930,550 5,069,563 3,642,042 541,765 378,713 608,676 829,476
---------- ----------- ------------ ------------- ---------- ----------- ---------- -----------
$ 920,430 $ 1,058,946 $ 6,350,069 $ 5,069,563 $ 553,580 $ 541,765 $ 489,339 $ 608,676
========== =========== ============ ============= ========== =========== =========== ===========
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
29
<PAGE>
STATEMENT OF CHANGES IN NET ASSETS (000)
- -------------------------------------------------------------------------------
SEI DAILY INCOME TRUST--FOR THE YEARS ENDED JANUARY 31
--------------------
SHORT-DURATION
GOVERNMENT
FUND
-------------------
2000 1999
-------------------
OPERATIONS:
Net investment income $ 5,690 $ 4,843
Net realized gain (loss) from security transactions (256) 474
Net change in unrealized appreciation
(depreciation) of investments (2,855) 378
------- -------
Net increase (decrease) in net assets from operations 2,579 5,695
------- -------
DIVIDENDS DISTRIBUTED FROM:
Net investment income:
Class A (5,699) (4,833)
Class B (1) (1)
------- -------
Total dividends distributed (5,700) (4,834)
------- -------
CAPITAL SHARE TRANSACTIONS:
Class A:
Proceeds from shares issued 148,129 75,964
Reinvestment of cash distributions 2,975 2,384
Cost of shares redeemed 149,486) (61,175)
------- -------
Increase (decrease) in net assets from Class A
transactions 1,618 17,173
------- -------
Class B:
Proceeds from shares issued 1 --
Reinvestment of cash distributions -- --
Cost of shares redeemed -- --
------- -------
Increase in net assets from Class B transactions 1 --
------- -------
INCREASE (DECREASE) IN NET ASSETS FROM CAPITAL SHARE
TRANSACTIONS 1,619 17,173
------- -------
Net increase (decrease) in net assets (1,502) 18,034
------- -------
NET ASSETS:
Beginning of Period 99,061 81,027
------- -------
End of Period $97,559 $99,061
======= =======
CAPITAL SHARES ISSUED AND REDEEMED:
Class A:
Shares issued 14,817 7,514
Shares issued in lieu of cash distributions 298 236
Shares redeemed (14,983) (6,057)
------- -------
Total Class A transactions 132 1,693
------- -------
Class B:
Shares issued -- --
Shares issued in lieu of cash distributions -- --
Shares redeemed -- --
------- -------
Total Class B transactions -- --
------- -------
Increase (decrease) in capital shares 132 1,693
======= =======
AMOUNTS DESIGNATED AS "--" ARE EITHER $0 OR HAVE BEEN ROUNDED TO $0.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
30
<PAGE>
- ------------------------------------------------------------------------
--------------------- -------------------- ---------------------
INTERMEDIATE- CORPORATE
DURATION DAILY
GOVERNMENT GNMA INCOME
FUND FUND FUND
--------------------- -------------------- ---------------------
2000 1999 2000 1999 2000 1999
--------------------- -------------------- ---------------------
$ 7,107 $ 6,594 $ 6,370 $ 5,353 $ 5,624 $ 4,252
(84) 446 (763) 37 (155) 50
(7,988) 1,331 (6,837) 245 (1,532) 109
-------- -------- -------- -------- -------- --------
(965) 8,371 (1,230) 5,635 3,937 4,411
-------- -------- -------- -------- -------- --------
(7,112) (6,589) (6,403) (5,345) (5,585) (4,319)
-- -- -- -- -- --
-------- -------- -------- -------- -------- --------
(7,112) (6,589) (6,403) (5,345) (5,585) (4,319)
-------- -------- -------- -------- -------- --------
72,433 67,844 45,457 57,954 129,749 68,896
3,024 2,341 2,636 1,828 4,016 2,998
(77,499) (64,417) (57,253) (37,065) (108,042) (51,514)
-------- -------- -------- -------- -------- --------
(2,042) 5,768 (9,160) 22,717 25,723 20,380
-------- -------- -------- -------- -------- --------
-- -- -- -- -- --
-- -- -- -- -- --
-- -- -- -- -- --
-------- -------- -------- -------- -------- --------
-- -- -- -- -- --
-------- -------- -------- -------- -------- --------
(2,042) 5,768 (9,160) 22,717 25,723 20,380
-------- -------- -------- -------- -------- --------
(10,119) 7,550 (16,793) 23,007 24,075 20,472
-------- -------- -------- -------- -------- --------
124,657 117,107 100,799 77,792 90,043 69,571
-------- -------- -------- -------- -------- --------
$114,538 $124,657 $ 84,006 $100,799 $114,118 $ 90,043
======== ======== ======== ======== ======== ========
7,307 6,668 4,723 5,860 65,437 34,453
307 231 277 185 2,025 1,501
(7,878) (6,354) (6,040) (3,752) (54,553) (25,754)
-------- -------- -------- -------- -------- --------
(264) 545 (1,040) 2,293 12,909 10,200
-------- -------- -------- -------- -------- --------
-- -- -- -- -- --
-- -- -- -- -- --
-- -- -- -- -- --
-------- -------- -------- -------- -------- --------
-- -- -- -- -- --
-------- -------- -------- -------- -------- --------
(264) 545 (1,040) 2,293 12,909 10,200
======== ======== ======== ======== ======== ========
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
31
<PAGE>
<TABLE>
<CAPTION>
FINANCIAL HIGHLIGHTS
- ---------------------------------------------------------------------------------------------------------------------------
SEI DAILY INCOME TRUST--FOR THE YEARS ENDED JANUARY 31
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
NET ASSET NET REALIZED AND DISTRIBUTIONS DISTRIBUTIONS RATIO OF
VALUE NET UNREALIZED FROM NET FROM NET ASSET NET ASSETS EXPENSES
BEGINNING INVESTMENT GAINS (LOSSES) INVESTMENT REALIZED CAPITAL VALUE END TOTAL END OF TO AVERAGE
OF PERIOD INCOME ON SECURITIES INCOME GAINS OF PERIOD RETURN PERIOD (000) NET ASSETS
- ----------------------------------------------------------------------------------------------------------------------------
- ------------------
MONEY MARKET FUND
- ------------------
CLASS A
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
2000 $1.00 $0.05 $ -- $(0.05) $-- $1.00 5.19% $ 264,423 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
CLASS B
2000 $1.00 $0.05 $ -- $(0.05) $-- $1.00 4.87% $ 33,839 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
CLASS C
2000 $1.00 $0.05 $ -- $(0.05) $-- $1.00 4.66% $ 179,565 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
2000 $1.00 $0.04 $ -- $(0.04) $-- $1.00 4.40% $ 26,342 0.93%
1999(3) 1.00 0.02 -- (0.02) -- 1.00 4.56 6,669 0.93
- ----------------
GOVERNMENT FUND
- ----------------
CLASS A
2000 $1.00 $0.05 $ -- $(0.05) $-- $1.00 5.12% $ 206,481 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
CLASS B
2000 $1.00 $0.05 $ -- $(0.05) $-- $1.00 4.81% $ 64,616 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(5) 1.00 0.02 (0.02) -- 1.00 2.39+ 14,997 0.50
CLASS C
2000 $1.00 $0.05 $ -- $(0.05) $-- $1.00 4.60% $ 60,328 0.70%
1999 1.00 0.05 -- (0.05) -- 1.00 4.87 39,881 0.70
1998(6) 1.00 0.03 -- (0.03) -- 1.00 5.01 25,341 0.70
CNI CLASS
2000(7) $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
SWEEP CLASS
2000 $1.00 $0.04 $ -- $(0.04) $-- $1.00 4.34% $ 22,547 0.95%
1999(8) 1.00 0.03 -- (0.03) -- 1.00 4.49 3,248 0.95
- -------------------
GOVERNMENT II FUND
- -------------------
CLASS A
2000 $1.00 $0.05 $ -- $(0.05) $-- $1.00 5.05% $ 793,640 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
CLASS B
2000 $1.00 $0.05 $ -- $(0.05) $-- $1.00 4.74% $ 82,771 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
CLASS C
2000 $1.00 $0.04 $ -- $(0.04) $-- $1.00 4.53% $ 44,019 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(9) 1.00 0.01 -- (0.01) -- 1.00 4.71 6,359 0.70
- ---------------------------------------------------------------------------------------------------------------------------
RATIO OF
NET
RATIO OF RATIO OF INVESTMENT
NET EXPENSES INCOME
INVESTMENT TO AVERAGE TO AVERAGE
INCOME NET ASSETS NET ASSETS
TO AVERAGE (EXCLUDING (EXCLUDING
NET ASSETS WAIVERS) WAIVERS)
- --------------------------------------------------------------------------------
- ------------------
MONEY MARKET FUND
- ------------------
CLASS A
<S> <C> <C> <C>
2000 4.97% 0.65% 4.50%
1999 5.32 0.64 4.86
1998 5.51 0.66 5.03
1997 5.33 0.63 4.86
1996 5.88 0.45 5.63
CLASS B
2000 4.91% 0.71% 4.68%
1999 5.08 0.69 4.87
1998(1) 5.26 0.72 5.02
1997 4.96 0.76 4.70
1996 5.53 0.75 5.28
CLASS C
2000 4.61% 0.91% 4.38%
1999 4.84 0.89 4.63
1998 5.02 0.92 4.78
1997 4.84 0.92 4.58
1996(2) 5.17 0.96 4.91
SWEEP CLASS
2000 4.44% 1.16% 4.21%
1999(3) 4.36 1.14 4.15
- ---------------
GOVERNMENT FUND
- ---------------
CLASS A
2000 5.00% 0.55% 4.65%
1999 5.22 0.55 4.87
1998 5.40 0.56 5.04
1997 5.22 0.55 4.87
1996(4) 5.55 0.33 5.42
CLASS B
2000 4.74% 0.60% 4.64%
1999 4.92 0.60 4.82
1998 5.06 0.61 4.95
1997 4.91 0.62 4.79
1996(5) 5.27 0.63 5.14
CLASS C
2000 4.53% 0.80% 4.43%
1999 4.70 0.80 4.60
1998(6) 4.94 0.81 4.83
CNI CLASS
2000(7) 4.05% 1.05% 3.85%
1999 4.59 1.05 4.39
1998 4.75 1.06 4.54
1997 4.59 1.03 4.38
1996 5.23 0.84 5.09
SWEEP CLASS
2000 4.42% 1.05% 4.32%
1999(8) 4.37 1.05 4.27
- ------------------
GOVERNMENT II FUND
- ------------------
CLASS A
2000 4.93% 0.49% 4.64%
1999 5.20 0.50 4.90
1998 5.32 0.51 5.01
1997 5.17 0.45 4.92
1996 5.69 0.29 5.60
CLASS B
2000 4.65% 0.54% 4.61%
1999 4.86 0.55 4.81
1998 5.02 0.56 4.96
1997 4.87 0.56 4.81
1996 5.41 0.59 5.32
CLASS C
2000 4.40% 0.74% 4.36%
1999 4.70 0.75 4.65
1998 4.82 0.76 4.76
1997(9) 4.69 0.75 4.64
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
32
</TABLE>
<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>
2000 $1.00 $0.05 $ -- $(0.05) $-- $1.00 5.25% $5,486,642 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
CLASS B
2000 $1.00 $0.05 $ -- $(0.05) $-- $1.00 4.93% $ 347,215 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
CLASS C
2000 $1.00 $0.05 $ -- $(0.05) $-- $1.00 4.72% $ 501,789 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(10) 1.00 0.04 -- (0.04) -- 1.00 4.85 4,332 0.70
1995(11) 1.00 0.03 -- (0.03) -- 1.00 2.55+ -- 0.70
SWEEP CLASS
2000 $1.00 $0.04 $ -- $(0.04) $-- $1.00 4.46% $ 14,423 0.95%
1999(12) 1.00 0.03 -- (0.03) -- 1.00 4.61 5,645 0.95
- --------------
TREASURY FUND
- --------------
CLASS A
2000 $1.00 $0.05 $ -- $(0.05) $-- $1.00 4.93% $ 196,282 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
CLASS B
2000 $1.00 $0.05 $ -- $(0.05) $-- $1.00 4.62% $ 159,042 0.50%
1999 1.00 0.05 -- (0.05) -- 1.00 4.97 96,074 0.50
1998(13) 1.00 0.03 -- (0.03) -- 1.00 5.18 68,089 0.50
CLASS C
2000 $1.00 $0.04 $ -- $(0.04) $-- $1.00 4.41% $ 115,471 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(14) 1.00 0.03 -- (0.03) -- 1.00 2.68+ 14,691 0.70
SWEEP CLASS
2000 $1.00 $0.04 $ -- $(0.04) $-- $1.00 4.15% $ 82,785 0.95%
1999 1.00 0.04 -- (0.04) -- 1.00 4.50 72,368 0.95
1998(15) 1.00 0.02 -- (0.02) -- 1.00 4.74 69,066 0.95
RATIO OF
NET
RATIO OF RATIO OF INVESTMENT
NET EXPENSES INCOME
INVESTMENT TO AVERAGE TO AVERAGE
INCOME NET ASSETS NET ASSETS
TO AVERAGE (EXCLUDING (EXCLUDING
NET ASSETS WAIVERS) WAIVERS)
- --------------------------------------------------------------------------------
- ---------------------
PRIME OBLIGATION FUND
- ---------------------
CLASS A
2000 5.16% 0.49% 4.87%
1999 5.32 0.50 5.02
1998 5.46 0.51 5.15
1997 5.26 0.45 5.01
1996 5.82 0.29 5.73
CLASS B
2000 4.84% 0.54% 4.80%
1999 5.04 0.55 4.99
1998 5.16 0.56 5.10
1997 4.95 0.56 4.89
1996 5.38 0.58 5.30
CLASS C
2000 4.68% 0.74% 4.64%
1999 4.82 0.75 4.77
1998 5.02 0.76 4.96
1997(10) 4.79 0.74 4.75
1995(11) 2.79 0.77 2.72
SWEEP CLASS
2000 4.49% 0.99% 4.45%
1999(12) 4.35 1.00 4.30
- --------------
TREASURY FUND
- --------------
CLASS A
2000 4.77% 0.56% 4.41%
1999 5.14 0.57 4.77
1998 5.36 0.59 4.97
1997 5.19 0.60 4.79
1996 5.72 0.36 5.56
CLASS B
2000 4.55% 0.61% 4.44%
1999 4.86 0.62 4.74
1998(13) 5.13 0.64 4.99
CLASS C
2000 4.34% 0.81% 4.23%
1999 4.62 0.82 4.50
1998 4.86 0.84 4.72
1997 4.70 0.90 4.50
1996(14) 5.12 0.87 4.95
SWEEP CLASS
2000 4.08% 1.06% 3.97%
1999 4.40 1.07 4.28
1998(15) 4.71 1.08 4.58
<FN>
+ RETURNS ARE FOR THE PERIOD INDICATED AND HAVE NOT BEEN ANNUALIZED.
1 MONEY MARKET CLASS B SHARES WERE FULLY LIQUIDATED MARCH 12, 1997 AND
RE-OFFERED BEGINNING AUGUST 12, 1997. ALL RATIOS AND TOTAL RETURN FOR
THAT PERIOD HAVE BEEN ANNUALIZED.
2 MONEY MARKET CLASS C SHARES WERE OFFERED BEGINNING MAY 17, 1995. ALL RATIOS
FOR THAT PERIOD HAVE BEEN ANNUALIZED.
3 MONEY MARKET SWEEP CLASS SHARES WERE OFFERED BEGINNING JULY 15, 1998. ALL
RATIOS AND TOTAL RETURN FOR THAT PERIOD HAVE BEEN ANNUALIZED.
4 GOVERNMENT CLASS A SHARES WERE RE-OFFERED BEGINNING OCTOBER 27, 1995. ALL
RATIOS FOR THAT PERIOD HAVE BEEN ANNUALIZED.
5 GOVERNMENT CLASS B SHARES WERE OFFERED BEGINNING AUGUST 22, 1995. ALL
RATIOS FOR THAT PERIOD HAVE BEEN ANNUALIZED.
6 GOVERNMENT CLASS C SHARES WERE OFFERED BEGINNING JULY 1, 1997. ALL RATIOS
AND TOTAL RETURN FOR THAT PERIOD HAVE BEEN ANNUALIZED.
7 GOVERNMENT CNI CLASS SHARES WERE FULLY LIQUIDATED JUNE 21, 1999. ALL
RATIOS FOR THAT PERIOD HAVE BEEN ANNUALIZED.
8 GOVERNMENT SWEEP CLASS SHARES WERE OFFERED BEGINNING JUNE 4, 1998. ALL
RATIOS AND TOTAL RETURN FOR THAT PERIOD HAVE BEEN ANNUALIZED.
9 GOVERNMENT II CLASS C SHARES WERE OFFERED BEGINNING NOVEMBER 27, 1996. ALL
RATIOS AND TOTAL RETURN FOR THAT PERIOD HAVE BEEN ANNUALIZED.
10 PRIME OBLIGATION CLASS C SHARES WERE RE-OFFERED BEGINNING APRIL 30, 1996.
ALL RATIOS AND TOTAL RETURN FOR THE PERIOD HAVE BEEN ANNUALIZED.
11 PRIME OBLIGATION CLASS C SHARES WERE FULLY LIQUIDATED OCTOBER 27, 1994. ALL
RATIOS FOR THAT PERIOD HAVE BEEN ANNUALIZED.
12 PRIME OBLIGATION SWEEP CLASS SHARES WERE OFFERED BEGINNING MAY 18, 1998.
ALL RATIOS AND TOTAL RETURN FOR THAT PERIOD HAVE BEEN ANNUALIZED.
13 TREASURY CLASS B SHARES WERE OFFERED BEGINNING AUGUST 4, 1997. ALL RATIOS AND
TOTAL RETURN FOR THAT PERIOD HAVE BEEN ANNUALIZED.
14 TREASURY CLASS C SHARES WERE OFFERED BEGINNING JULY 27, 1995. ALL
RATIOS FOR THAT PERIOD HAVE BEEN ANNUALIZED.
15 TREASURY SWEEP CLASS SHARES WERE OFFERED BEGINNING AUGUST 1,
1997. ALL RATIOS AND TOTAL RETURN FOR THAT PERIOD HAVE BEEN ANNUALIZED.
</FN>
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
33
<PAGE>
<TABLE>
<CAPTION>
FINANCIAL HIGHLIGHTS (concluded)
- ---------------------------------------------------------------------------------------------------------------------------
SEI DAILY INCOME TRUST--FOR THE YEARS ENDED JANUARY 31
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
NET ASSET NET REALIZED AND DISTRIBUTIONS DISTRIBUTIONS RATIO OF
VALUE NET UNREALIZED FROM NET FROM NET ASSET NET ASSETS EXPENSES
BEGINNING INVESTMENT GAINS (LOSSES) INVESTMENT REALIZED CAPITAL VALUE END TOTAL END OF TO AVERAGE
OF PERIOD INCOME ON SECURITIES INCOME GAINS OF PERIOD RETURN PERIOD (000) NET ASSETS
- ---------------------------------------------------------------------------------------------------------------------------
- ----------------
TREASURY II FUND
- ----------------
CLASS A
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
2000 $ 1.00 $0.05 $ -- $(0.05) $ -- $ 1.00 4.60% $379,179 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
CLASS B
2000 $ 1.00 $0.04 $ -- $(0.04) $ -- $ 1.00 4.30% $ 75,755 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
CLASS C
2000 $ 1.00 $0.04 $ -- $(0.04) $ -- $ 1.00 4.08% $ 34,405 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
2000 $10.16 $0.51 $(0.29) $(0.51) $ -- $ 9.87 2.22% $ 97,545 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
CLASS B
2000 $10.15 $0.48 $(0.29) $(0.48) $ -- $ 9.86 1.90% $ 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
- --------------------------------------
INTERMEDIATE-DURATION GOVERNMENT FUND
- --------------------------------------
CLASS A
2000 $10.24 $0.54 $(0.62) $(0.54) $ -- $ 9.62 (0.77)% $114,538 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
- ----------
GNMA FUND
- ----------
CLASS A
2000 $ 9.91 $0.60 $(0.71) $(0.60) $ -- $ 9.20 (1.18)% $ 84,006 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
- ----------------------------
CORPORATE DAILY INCOME FUND
- ----------------------------
CLASS A
2000 $ 2.00 $0.10 $(0.03) $(0.10) $ -- $ 1.97 3.77% $114,118 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
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
- ----------------------------------------------------------------------
- -----------------
TREASURY II FUND
- -----------------
CLASS A
<S> <C> <C> <C> <C>
2000 4.49% 0.54% 4.20% --
1999 4.81 0.55 4.51 --
1998 5.08 0.56 4.77 --
1997 4.96 0.52 4.69 --
1996 5.44 0.34 5.35 --
CLASS B
2000 4.23% 0.59% 4.19% --
1999 4.36 0.60 4.31 --
1998 4.78 0.61 4.72 --
1997 4.65 0.63 4.57 --
1996 5.18 0.64 5.09 --
CLASS C
2000 4.06% 0.79% 4.02% --
1999 4.21 0.80 4.16 --
1998 4.58 0.81 4.52 --
1997 4.45 0.82 4.38 --
1996(1) 4.85 0.84 4.76 --
- -------------------------------
SHORT-DURATION GOVERNMENT FUND
- -------------------------------
CLASS A
2000 5.08% 0.74% 4.79% 102%
1999 5.31 0.72 5.04 90
1998 5.91 0.76 5.60 166
1997 5.72 0.70 5.47 145
1996 6.13 0.53 6.05 184
CLASS B
2000 4.79% 0.79% 4.75% 102%
1999 5.02 0.77 5.00 90
1998 5.61 0.81 5.55 166
1997 5.49 0.82 5.42 145
1996 5.85 0.83 5.77 184
- --------------------------------------
INTERMEDIATE-DURATION GOVERNMENT FUND
- --------------------------------------
CLASS A
2000 5.47% 0.73% 5.24% 31%
1999 5.54 0.76 5.28 21
1998 5.85 0.76 5.59 57
1997 5.59 0.69 5.39 94
1996 6.12 0.53 6.04 115
- ----------
GNMA FUND
- ----------
CLASS A
2000 6.21% 0.71% 6.10% 29%
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
- ----------------------------
CORPORATE DAILY INCOME FUND
- ----------------------------
CLASS A
2000 5.27% 0.74% 4.88% 71%
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
<FN>
1 TREASURY II CLASS C SHARES WERE OFFERED BEGINNING MAY 8, 1995. ALL RATIOS FOR THAT PERIOD HAVE BEEN ANNUALIZED.
</FN>
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
34
<PAGE>
NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
SEI DAILY INCOME TRUST-- JANUARY 31, 2000
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, of which there were none on January 31,
2000, 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 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, 2000:
UNDISTRIBUTED
ACCUMULATED NET INVESTMENT
PAID-IN-CAPITAL REALIZED GAIN INCOME
FUNDS (000) (000) (000)
------ --------------- -------------- ---------------
Prime Obligation $-- $(27) $27
Corporate Daily Income 1 (1) --
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.
35
<PAGE>
NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
SEI DAILY INCOME TRUST -- JANUARY 31, 2000
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
36
<PAGE>
- --------------------------------------------------------------------------------
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 each 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.
37
<PAGE>
NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
SEI DAILY INCOME TRUST -- JANUARY 31, 2000
5. INVESTMENT TRANSACTIONS
The cost of security purchases and the proceeds from the sale of securities,
other than temporary investments in short-term securities for the year ended
January 31, 2000, 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 $102,603 $36,852 $28,954 $12,794
Other -- -- -- 25,664
SALES
U.S. Government $96,007 $38,935 $35,204 $13,348
Other -- -- -- 26,980
At January 31, 2000, the total cost of securities and the net realized
gains or losses on securities sold for federal income tax purposes was not
materially different from amounts reported for financial reporting purposes.
Based on cost for federal income tax purposes, the aggregate gross unrealized
gain on securities, the aggregate gross unrealized loss on securities and the
net unrealized gain/(loss) at January 31, 2000 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 $ -- $ 33 $ 212 $ 14
Aggregate gross
unrealized loss (1,922) (4,250) (5,065) (1,184)
-------- -------- ------- -------
Net unrealized loss $(1,922) $(4,217) $(4,853) $(1,170)
======= ======= ======= =======
6. CAPITAL LOSS CARRYFORWARDS
At January 31, 2000, the following funds have Capital loss carryforwards:
EXPIRATION
AMOUNT DATE
-------- -------
Money Market $ 31,704 01/31/2006
4,480 01/31/2008
Government 24,439 01/31/2006
Government II 21,701 01/31/2003
74,842 01/31/2005
38,015 01/31/2006
Treasury 6,160 01/31/2006
1,976 01/31/2008
Treasury II 43,414 01/31/2005
192,331 01/31/2006
Short-Duration Government 548,703 01/31/2004
Intermediate-Duration
Government 1,651,925 01/31/2003
3,199,945 01/31/2004
698,427 01/31/2006
GNMA 5,175,951 01/31/2003
6,472,568 01/31/2004
414,209 01/31/2005
237,677 01/31/2006
108,755 01/31/2008
Corporate Daily 60,424 01/31/2008
During the fiscal year ended January 31, 2000, the following funds have
utilized capital loss carryforwards:
AMOUNT
----------------
Government $ 37,526
Government II 49,953
Prime Obligation 138,422
Treasury II 22,848
Short-Duration Government 60,953
Intermediate-Duration Government 3,156
Subsequent to October 31, 1999, the Funds recognized net capital losses for
tax purposes that have been deferred and can be used to offset future capital
gains at January 31, 2000.
POST OCTOBER 31, 1999 LOSSES
----------------------------
Government $ 647
Government II 825
Treasury 612
Treasury II 148
Short-Duration Government 316,655
Intermediate-Duration Government 124,131
GNMA 669,312
Corporate Daily Income 93,886
38
<PAGE>
NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
SEI DAILY INCOME TRUST -- JANUARY 31, 2000
7. LINE OF CREDIT
The Fixed Income 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 year
ended January 31, 2000, no borrowings were made from this line of credit.
8. IN-KIND REDEMPTION
On June 21, 1999, CNI Class Shareholder liquidated its full position of
1,216,198,940 shares in the Government Fund CNI Class and received a portion of
its redemption through the transfer of securities (In-Kind) for a value of
$1,207,977,763 with the remainder in cash of $8,221,177.
39
<PAGE>
REPORT OF INDEPENDENT PUBLIC ACCOUNTANTS
- --------------------------------------------------------------------------------
TO THE SHAREHOLDERS AND BOARD OF TRUSTEES OF SEI DAILY INCOME TRUST:
We have audited the accompanying statements of net assets of the Money Market,
Government, Government II, Prime Obligation, Treasury, Treasury II,
Short-Duration Government, Intermediate-Duration Government, GNMA, and Corporate
Daily Income Funds of SEI Daily Income Trust (the "Trust") as of January 31,
2000, and the related statements of operations, statements of changes in net
assets, and financial highlights for the periods presented. These financial
statements and financial highlights are the responsibility of the Trust's
management. Our responsibility is to express an opinion on these financial
statements and financial highlights based on our audits.
We conducted our audits in accordance with auditing standards generally accepted
in the United States. Those standards require that we plan and perform the audit
to obtain reasonable assurance about whether the financial statements and
financial highlights are free of material misstatement. An audit includes
examining, on a test basis, evidence supporting the amounts and disclosures in
the financial statements and financial highlights. Our procedures included
confirmation of securities owned as of January 31, 2000, by correspondence with
the custodian and the application of alternative auditing procedures with
respect to unsettled transactions. An audit also includes assessing the
accounting principles used and significant estimates made by management, as well
as evaluating the overall financial statement presentation. We believe that our
audits provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to
above present fairly, in all material respects, the financial position of the
Money Market, Government, Government II, Prime Obligation, Treasury, Treasury
II, Short-Duration Government, Intermediate-Duration Government, GNMA, and
Corporate Daily Income Funds of SEI Daily Income Trust as of January 31, 2000,
the results of their operations, changes in their net assets, and financial
highlights for the periods presented, in conformity with accounting principles
generally accepted in the United States.
ARTHUR ANDERSEN LLP
Philadelphia, Pennsylvania
March 10, 2000
40
<PAGE>
NOTICE TO SHAREHOLDERS
- --------------------------------------------------------------------------------
JANUARY 31, 2000 (UNAUDITED)
FOR TAXPAYERS FILING ON A CALENDAR YEAR BASIS, THIS NOTICE IS FOR INFORMATIONAL
PURPOSES ONLY.
To the Shareholders of the SEI Daily Income Trust:
For the fiscal year ended January 31, 2000, each fund is designating
long-term capital gains, and exempt income with regard to distributions paid
during the year as follows:
<TABLE>
<CAPTION>
(A) (B) (C)
LONG TERM MID TERM ORDINARY (D) (F)
CAPITAL GAINS CAPITAL GAINS INCOME TOTAL (E) TAX
DISTRIBUTIONS DISTRIBUTIONS DISTRIBUTIONS DISTRIBUTIONS QUALIFYING EXEMPT
FUND (TAX BASIS) (TAX BASIS) (TAX BASIS) (TAX BASIS) DIVIDENDS (1) INTEREST
---- ---------------- --------------- ------------- -------------- -------------- -------------
<S> <C> <C> <C> <C> <C> <C>
Money Market 0% 0% 100% 100% 0% 0%
Government 0% 0% 100% 100% 0% 0%
Government II 0% 0% 100% 100% 0% 0%
Prime Obligation 0% 0% 100% 100% 0% 0%
Treasury 0% 0% 100% 100% 0% 0%
Treasury II 0% 0% 100% 100% 0% 0%
Short-Duration
Government 0% 0% 100% 100% 0% 0%
Intermediate-Duration
Government 0% 0% 100% 100% 0% 0%
GNMA 0% 0% 100% 100% 0% 0%
Corporate Daily Income 0% 0% 100% 100% 0% 0%
<FN>
Items (A), (B) and (C) are based on a percentage of the funds' total
distributions.
* Items (E) and (F) are based on a percentage of ordinary income
distribution of the fund.
(1)Qualifying dividends represent dividends which qualify for the corporate
dividends received deduction.
</FN>
</TABLE>
Please consult your tax adviser for proper treatment of this information.
41
<PAGE>
NOTES
<PAGE>
NOTES
<PAGE>
NOTES
<PAGE>
- ------------------------
SEI Daily Income Trust
- ------------------------
ANNUAL REPORT
- ------------------------
JANUARY 31, 2000
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 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>
[SEI LOGO OMITTED]
INVESTMENTS
DISTRIBUTION
CO.
Oaks, PA 19456-1100
800-DIAL-SEI/800-342-5734
SEI-F-022-10
