SEMI-ANNUAL REPORT AS OF
JULY 31, 2000 (UNAUDITED)
SEI DAILY
INCOME TRUST
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Money Market Fund
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Government Fund
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Government II Fund
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Prime Obligation Fund
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Treasury Fund
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Treasury II Fund
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Short-Duration Government Fund
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Intermediate-Duration Government Fund
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GNMA Fund
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Corporate Daily Income Fund
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[Logo Omitted]
<PAGE>
TABLE OF CONTENTS
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STATEMENT OF NET ASSETS/SCHEDULE OF INVESTMENTS...................... 1
STATEMENT OF ASSETS AND LIABILITIES.................................. 17
STATEMENTS OF OPERATIONS............................................. 18
STATEMENTS OF CHANGES IN NET ASSETS.................................. 20
FINANCIAL HIGHLIGHTS................................................. 24
NOTES TO FINANCIAL STATEMENTS........................................ 27
<PAGE>
STATEMENT OF NET ASSETS
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SEI DAILY INCOME TRUST -- JULY 31, 2000 (UNAUDITED)
MONEY MARKET FUND
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FACE
DESCRIPTION AMOUNT (000) VALUE (000)
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COMMERCIAL PAPER -- 73.5%
AEROSPACE & DEFENSE -- 2.0%
United Technologies Corporation
6.500%, 08/17/00 $25,000 $24,928
----------
AUTO LEASE -- 2.4%
Aesop Funding Corporation
6.660%, 08/16/00 30,000 29,917
----------
AUTO LOANS -- 3.1%
Ford Motor Credit Company
6.520%, 09/25/00 15,000 14,851
6.510%, 10/05/00 25,000 24,706
----------
39,557
----------
BANKS -- 5.9%
Halifax PLC
6.530%, 10/10/00 30,000 29,619
Suntrust Banks Incorporated
6.510%, 08/25/00 25,000 24,891
Wells Fargo Company
6.600%, 08/17/00 20,000 19,941
----------
74,451
----------
CHEMICALS -- 1.6%
EI duPont de Nemours
6.540%, 08/24/00 20,000 19,916
----------
DRUGS -- 1.7%
Pfizer Incorporated
6.500%, 08/28/00 22,000 21,893
----------
FINANCIAL SERVICES -- 9.4%
General Motors Acceptance
Corporation
6.510%, 09/11/00 30,000 29,778
John Deere Capital Corporation
6.650%, 08/01/00 30,000 30,000
National Rural Utilities
6.500%, 09/20/00 25,000 24,774
Prudential Funding Corporation
6.510%, 09/18/00 35,000 34,696
----------
119,248
----------
FOOD, BEVERAGE & TOBACCO -- 6.3%
Archer Daniels Midland
6.540%, 08/07/00 11,000 10,988
Fortune Brands Incorporated
6.580%, 09/11/00 25,000 24,813
6.520%, 10/17/00 13,000 12,819
Kellogg Company
6.500%, 09/13/00 12,400 12,304
Sysco Corporation
6.580%, 09/22/00 20,000 19,810
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80,734
----------
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FACE
DESCRIPTION AMOUNT (000) VALUE (000)
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INSURANCE -- 3.7%
Mass Mutual Funding
6.520%, 09/07/00 $17,225 $ 17,110
Nationwide Life Insurance Company
6.500%, 09/19/00 30,000 29,735
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46,845
----------
INVESTMENT BANKER/BROKER DEALER -- 8.7%
Bear Stearns & Company
6.520%, 09/05/00 30,000 29,810
Goldman Sachs Group LP
6.560%, 08/17/00 25,000 24,927
JP Morgan & Company
6.800%, 02/23/01 5,500 5,500
Merrill Lynch & Company
6.500%, 09/11/00 25,000 24,815
Morgan Stanley Dean Witter
6.540%, 08/11/00 25,000 24,955
----------
110,007
----------
PETROLEUM & FUEL PRODUCTS -- 1.2%
Total Fina Elf
6.540%, 08/07/00 15,000 14,984
----------
RETAIL -- 1.8%
Albertson's
6.500%, 08/07/00 23,500 23,474
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SPECIAL PURPOSE ENTITY -- 23.8%
Apreco Incorporated
6.680%, 08/14/00 19,000 18,954
6.530%, 09/14/00 9,710 9,632
Bell Atlantic Financial Services
6.510%, 09/27/00 20,000 19,794
Corporate Asset Funding Company
6.550%, 08/04/00 25,000 24,986
Corporate Receivable Corporation
6.600%, 08/04/00 15,000 14,992
Delaware Funding Corporation
6.520%, 09/06/00 11,546 11,471
Edison Asset Securitization LLC
6.600%, 09/22/00 20,000 19,809
Enterprise Funding Corporation
6.560%, 08/14/00 20,000 19,953
Fleet Funding Corporation
6.520%, 08/17/00 25,000 24,927
Greyhawk Funding LLC
6.550%, 09/11/00 30,000 29,776
Kitty Hawk Funding Corporation
6.580%, 08/03/00 30,000 29,989
6.520%, 09/05/00 10,000 9,937
Park Avenue Receivable
6.520%, 08/18/00 15,000 14,954
Preferred Receivable Funding
6.520%, 09/11/00 30,000 29,777
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
1
<PAGE>
STATEMENT OF NET ASSETS
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SEI DAILY INCOME TRUST -- JULY 31, 2000 (UNAUDITED)
MONEY MARKET FUND (concluded)
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FACE
DESCRIPTION AMOUNT (000) VALUE (000)
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Variable Funding Capital
6.630%, 08/04/00 $25,000 $ 24,986
----------
303,937
----------
STEEL & STEEL WORKS -- 2.0%
Alcoa Incorporated
6.530%, 08/23/00 25,000 24,900
----------
Total Commercial Paper
(Cost $934,791) 934,791
----------
CORPORATE BONDS/MEDIUM TERM NOTES -- 2.5%
General Electric Capital Services
7.380%, 05/23/01 12,500 12,500
National City Bank (A)
6.808%, 09/18/00 10,000 10,001
SBC Communications (A)
6.684%, 08/15/00 10,000 10,000
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Total Corporate Bonds/Medium Term Notes
(Cost $32,501) 32,501
----------
CERTIFICATES OF DEPOSIT/BANK NOTES -- 7.1%
Bank of America
6.570%, 09/15/00 20,000 20,000
Bank of Austria (New York)
6.710%, 02/05/01 5,000 4,999
Barclays Bank
6.710%, 02/09/01 5,000 4,999
Citibank (New York)
7.410%, 05/30/01 15,000 15,000
Credit Agricole (New York)
6.840%, 03/28/01 10,000 9,998
Deutsche Bank Financial
6.750%, 02/22/01 5,000 4,999
Harris Bancorp
6.560%, 09/06/00 20,000 20,000
Svenska Handels (New York)
6.750%, 03/16/01 5,000 4,998
Toronto Dominion (New York)
6.700%, 02/05/01 5,000 4,999
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Total Certificates of Deposit/Bank Notes
(Cost $89,992) 89,992
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FACE
DESCRIPTION AMOUNT (000) VALUE (000)
-------------------------------------------------------------
INSURANCE FUNDING AGREEMENTS -- 3.7%
Allstate Corporation (A)
6.900%, 09/15/00 $15,000 $ 15,000
Metropolitan Life Insurance (A)
6.471%, 08/01/00 10,000 10,000
Monumental Life Insurance
Company (A)
6.480%, 08/01/00 7,000 7,000
6.860%, 09/15/00 15,000 15,000
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Total Insurance Funding Agreements
(Cost $47,000) 47,000
----------
TIME DEPOSITS -- 5.1%
Branch Banking and Trust
6.625%, 08/01/00 40,000 40,000
Huntington National Bank
6.656%, 08/01/00 25,000 25,000
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Total Time Deposits
(Cost $65,000) 65,000
----------
REPURCHASE AGREEMENTS -- 8.3%
Lehman Brothers, Incorporated (B)
6.600%, dated 07/31/00, matures
08/01/00, repurchase price
$24,304,455 (collateralized by
U.S. Government Obligation,
par value $25,615,000, 0.000%,
01/26/01; with total market
value $24,790,196) 24,300 24,300
UBS Warburg Dillion (B)
6.630%, dated 07/31/00, matures
08/01/00, repurchase price
$82,415,175 (collateralized by
U.S. Government Obligation,
par value $94,830,000, 5.500%,
09/01/14; with total market
value $84,049,397) 82,400 82,400
----------
Total Repurchase Agreements
(Cost $106,700) 106,700
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TOTAL INVESTMENTS -- 100.3%
(Cost $1,275,984) 1,275,984
----------
OTHER ASSETS AND LIABILITIES, NET -- (0.3%) (4,390)
----------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
2
<PAGE>
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DESCRIPTION VALUE (000)
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NET ASSETS:
Fund Shares of Class A (unlimited
authorization -- no par value) based
on 876,103,501 outstanding shares
of beneficial interest $ 876,096
Fund Shares of Class B (unlimited
authorization -- no par value) based
on 67,642,219 outstanding shares
of beneficial interest 67,642
Fund Shares of Class C (unlimited
authorization -- no par value) based
on 275,324,885 outstanding shares
of beneficial interest 275,325
Fund Shares of Sweep Class (unlimited
authorization -- no par value) based
on 52,541,572 outstanding shares
of beneficial interest 52,542
Undistributed net investment income 34
Accumulated net realized loss
on investments (45)
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TOTAL NET ASSETS -- 100.0% $1,271,594
==========
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 JULY 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
LP LIMITED PARTNERSHIP
MTN MEDIUM TERM NOTE
GOVERNMENT FUND
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FACE
DESCRIPTION AMOUNT (000) VALUE (000)
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U.S. GOVERNMENT AGENCY OBLIGATIONS -- 45.0%
FHLB
5.550%, 08/17/00 $ 2,000 $ 1,999
5.010%, 11/16/00 3,000 2,989
4.875%, 01/26/01 5,000 4,966
6.520%, 03/28/01 8,000 7,997
6.520%, 05/11/01 5,000 4,744
6.500%, 05/15/01 3,000 2,986
FHLB (A)
6.426%, 08/15/00 14,000 13,996
6.470%, 08/28/00 10,000 9,999
6.748%, 10/04/00 9,000 8,999
FHLMC
6.320%, 02/02/01 5,000 4,997
FHLMC (A)
6.525%, 09/20/00 5,000 4,998
FNMA
6.470%, 09/07/00 7,393 7,344
5.660%, 09/07/00 5,000 4,999
5.760%, 10/02/00 3,000 2,999
6.480%, 02/22/01 5,000 4,998
6.550%, 03/20/01 6,000 5,999
7.250%, 05/25/01 3,000 3,000
6.500%, 06/06/01 5,000 4,721
FNMA (A)
6.389%, 08/04/00 13,500 13,500
6.430%, 08/08/00 10,000 9,997
6.500%, 08/13/00 20,000 19,995
6.480%, 08/13/00 15,000 14,995
6.470%, 08/22/00 20,000 19,995
SLMA
5.900%, 12/01/00 4,000 3,998
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Total U.S. Government Agency Obligations
(Cost $185,210) 185,210
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REPURCHASE AGREEMENTS -- 55.1%
ABN-Amro (B)
6.625%, dated 07/31/00, matures
08/01/00, repurchase price
$68,012,514 (collateralized by
various U.S. Government
Obligations, ranging in par
value $8,006,000 - $21,355,000,
0.000% - 6.750%, 09/11/00 -
08/27/09; with total market
value $69,360,369) 68,000 68,000
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
3
<PAGE>
STATEMENT OF NET ASSETS
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SEI DAILY INCOME TRUST -- JULY 31, 2000 (UNAUDITED)
GOVERNMENT FUND (concluded)
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FACE
DESCRIPTION AMOUNT (000) VALUE (000)
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Lehman Brothers, Incorporated (B)
6.600%, dated 07/31/00, matures
08/01/00, repurchase price
$48,992,980 (collateralized by
various U.S. Government
Obligations, ranging in par
value $14,689,158 - $15,039,960,
6.000% - 6.500%, 03/15/10 -
08/01/29; with total market
value $49,962,989) $48,984 $ 48,984
Paribas Corporation (B)
6.630%, dated 07/31/00, matures
08/01/00, repurchase price
$70,012,892 (collateralized by
various U.S. Government
Obligations, ranging in par
value $25,967,353 - $50,460,000,
4.750% - 6.000%, 12/14/01 -
01/01/29; with total market
value $71,400,000) 70,000 70,000
UBS Warburg Dillion (B)
6.630%, dated 07/31/00, matures
08/01/00, repurchase price
$15,302,818 (collateralized by
U.S. Government Obligation, par
value $17,610,000, 5.500%,
09/01/14; with total market
value $15,608,034) 15,300 15,300
UBS Warburg Dillion (B)
6.490%, dated 07/31/00, matures
08/01/00, repurchase price
$25,004,507 (collateralized by
various U.S. Government
Obligations, ranging in par
value $1,785,000 - $26,730,000,
5.500% - 6.000%, 09/01/14 -
03/01/29; with total market
value $25,500,355) 25,000 25,000
---------
Total Repurchase Agreements
(Cost $227,284) 227,284
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TOTAL INVESTMENTS -- 100.1%
(Cost $412,494) 412,494
---------
OTHER ASSETS AND LIABILITIES, NET -- (0.1%) (250)
---------
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DESCRIPTION VALUE (000)
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NET ASSETS:
Fund Shares of Class A (unlimited
authorization -- no par value) based
on 216,960,822 outstanding shares
of beneficial interest $216,961
Fund Shares of Class B (unlimited
authorization -- no par value) based
on 81,546,659 outstanding shares
of beneficial interest 81,547
Fund Shares of Class C (unlimited
authorization -- no par value) based
on 86,530,629 outstanding shares
of beneficial interest 86,530
Fund Shares of Sweep Class (unlimited
authorization -- no par value) based
on 27,226,532 outstanding shares of
beneficial interest 27,227
Undistributed net investment income 5
Accumulated net realized loss
on investments (26)
---------
TOTAL NET ASSETS -- 100.0% $412,244
=========
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 JULY 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
SLMA STUDENT LOAN MARKETING ASSOCIATION
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
4
<PAGE>
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GOVERNMENT II FUND
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FACE
DESCRIPTION AMOUNT (000) VALUE (000)
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U.S. GOVERNMENT AGENCY OBLIGATIONS -- 100.2%
FFCB
6.410%, 08/03/00 $ 7,000 $ 6,997
6.340%, 08/08/00 8,000 7,990
6.410%, 08/22/00 10,000 9,963
6.370%, 08/22/00 11,698 11,655
6.370%, 08/23/00 9,500 9,463
6.360%, 09/06/00 21,500 21,363
6.350%, 02/01/01 10,000 9,995
FFCB (A)
6.640%, 08/01/00 75,000 74,997
FHLB
6.550%, 08/01/00 22,095 22,095
6.500%, 08/02/00 25,000 24,995
6.400%, 08/09/00 9,192 9,179
6.390%, 08/09/00 25,000 24,964
6.380%, 08/09/00 560 559
6.420%, 08/11/00 15,000 14,973
6.410%, 08/11/00 61,100 60,991
5.470%, 08/11/00 10,000 9,985
5.570%, 08/14/00 11,780 11,780
6.440%, 08/18/00 23,098 23,028
6.450%, 09/05/00 38,028 37,790
6.440%, 09/06/00 23,000 22,852
6.435%, 09/06/00 80,000 79,485
6.400%, 09/06/00 10,207 10,142
5.875%, 09/07/00 20,000 19,999
6.500%, 09/13/00 23,000 22,821
6.450%, 09/13/00 20,000 19,846
6.465%, 09/15/00 18,750 18,598
6.465%, 09/20/00 25,000 24,776
6.485%, 09/27/00 30,000 29,692
6.480%, 03/20/01 30,000 29,979
6.520%, 03/28/01 35,000 34,986
6.500%, 05/15/01 9,000 8,959
6.875%, 06/21/01 10,000 9,995
FHLB (A)
6.480%, 08/21/00 75,000 74,997
6.748%, 10/04/00 26,000 25,997
SLMA
6.350%, 08/08/00 21,540 21,513
6.390%, 08/22/00 40,000 39,851
6.385%, 09/12/00 30,000 29,777
5.900%, 12/01/00 25,000 24,989
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Total U.S. Government Agency Obligations
(Cost $942,016) 942,016
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TOTAL INVESTMENTS -- 100.2%
(Cost $942,016) 942,016
----------
OTHER ASSETS AND LIABILITIES, NET -- (0.2%) (1,701)
----------
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DESCRIPTION VALUE (000)
-------------------------------------------------------------------------------
NET ASSETS:
Fund Shares of Class A (unlimited
authorization -- no par value) based
on 747,634,225 outstanding shares
of beneficial interest $747,642
Fund Shares of Class B (unlimited
authorization -- no par value) based
on 141,942,715 outstanding shares
of beneficial interest 141,942
Fund Shares of Class C (unlimited
authorization -- no par value) based
on 50,844,892 outstanding shares
of beneficial interest 50,844
Undistributed net investment income 23
Accumulated net realized loss
on investments (136)
----------
TOTAL NET ASSETS -- 100.0% $940,315
==========
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 JULY 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
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
5
<PAGE>
STATEMENT OF NET ASSETS
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SEI DAILY INCOME TRUST -- JULY 31, 2000 (UNAUDITED)
PRIME OBLIGATION FUND
-------------------------------------------------------------------------------
FACE
DESCRIPTION AMOUNT (000) VALUE (000)
-------------------------------------------------------------------------------
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 9.4%
FHLB
5.470%, 08/11/00 $ 10,000 $ 9,985
4.875%, 01/26/01 25,000 24,831
6.520%, 03/28/01 77,000 76,970
FHLMC (A)
6.420%, 08/20/00 100,000 99,952
FNMA
5.660%, 09/07/00 50,000 49,989
6.550%, 03/20/01 100,000 99,980
FNMA MTN
6.625%, 03/01/01 50,000 50,025
----------
Total U.S. Government Agency Obligations
(Cost $411,732) 411,732
----------
COMMERCIAL PAPER -- 58%
AUTO LEASE -- 2.9%
Aesop Funding Corporation
6.660%, 08/16/00 102,200 101,916
6.540%, 08/30/00 26,425 26,286
----------
128,202
----------
AUTO LOANS -- 3.2%
Ford Motor Credit Company
6.520%, 09/25/00 50,000 49,502
6.510%, 10/05/00 90,000 88,942
----------
138,444
----------
BANKS -- 4.2%
Suntrust Banks Incorporated
6.510%, 08/25/00 60,000 59,740
Wells Fargo Company
6.600%, 08/17/00 122,000 121,642
----------
181,382
COMPUTERS -- 1.2%
Hewlett-Packard Company
6.500%, 08/11/00 53,880 53,783
----------
FINANCIAL SERVICES -- 9.1%
General Motors Acceptance Corporation
6.550%, 08/08/00 125,000 124,841
6.510%, 09/11/00 25,000 24,815
John Deere Capital Corporation
6.550%, 08/03/00 75,000 74,973
National Rural Utilities
6.500%, 09/20/00 47,135 46,709
Prudential Funding Corporation
6.510%, 09/18/00 125,000 123,915
----------
395,253
----------
-------------------------------------------------------------------------------
FACE
DESCRIPTION AMOUNT (000) VALUE (000)
-------------------------------------------------------------------------------
FOOD, BEVERAGE & TOBACCO -- 0.9%
Sysco Corporation
6.580%, 09/22/00 $ 40,750 $ 40,363
----------
INVESTMENT BANKER/BROKER DEALER -- 11.4%
Bear Stearns & Company
6.570%, 08/08/00 50,000 49,936
6.520%, 09/05/00 75,000 74,524
Goldman Sachs Group LP
6.560%, 08/17/00 125,250 124,885
Merrill Lynch & Company
6.500%, 09/11/00 125,000 124,075
Morgan Stanley Dean Witter
6.540%, 08/11/00 126,000 125,771
----------
499,191
----------
SPECIAL PURPOSE ENTITY -- 21.8%
Bell Atlantic Financial Services
6.500%, 08/24/00 35,000 34,855
6.510%, 09/26/00 50,000 49,494
Clipper Receivables Corporation
6.550%, 09/08/00 52,000 51,640
Corporate Asset Funding Company
6.550%, 08/04/00 42,000 41,977
Corporate Receivable Corporation
6.600%, 08/04/00 42,250 42,227
Delaware Funding Corporation
6.520%, 09/08/00 19,300 19,167
Edison Asset Securitization LLC
6.630%, 08/09/00 74,307 74,197
6.600%, 09/22/00 28,767 28,493
Enterprise Funding Corporation
6.560%, 08/14/00 36,507 36,420
Falcon Asset Securitization Corporation
6.520%, 08/18/00 45,000 44,861
Fleet Funding Corporation
6.520%, 08/17/00 117,250 116,910
Greyhawk Funding LLC
6.550%, 09/11/00 135,525 134,514
Kitty Hawk Funding Corporation
6.520%, 09/01/00 75,000 74,579
6.520%, 09/05/00 36,020 35,792
Park Avenue Receivable
6.520%, 08/18/00 30,000 29,908
Preferred Receivable Funding
6.520%, 09/06/00 67,960 67,517
Variable Funding Capital
6.540%, 09/07/00 70,000 69,529
----------
952,080
----------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
6
<PAGE>
-------------------------------------------------------------------------------
-------------------------------------------------------------------------------
FACE
DESCRIPTION AMOUNT (000) VALUE (000)
-------------------------------------------------------------------------------
STEEL & STEEL WORKS -- 0.6%
Alcoa Incorporated
6.550%, 08/07/00 $24,835 $ 24,808
----------
TELEPHONE & TELECOMMUNICATIONS -- 2.7%
AT&T Corporation
6.550%, 08/23/00 72,100 71,811
Motorola Incorporated
6.500%, 09/29/00 45,000 44,521
----------
116,332
----------
Total Commercial Paper
(Cost $2,529,838) 2,529,838
----------
CORPORATE BONDS/MEDIUM TERM NOTES -- 11.9%
BANKS -- 4.6%
Chase Manhattan MTN (A)
7.069%, 08/22/00 10,000 10,007
Key Bank
6.500%, 01/29/01 50,000 49,986
Key Bank (A)
6.620%, 08/06/00 50,000 49,992
National City Bank (A)
6.808%, 09/18/00 90,000 90,013
----------
199,998
----------
FINANCIAL SERVICES -- 1.8%
General Electric Capital Services
7.380%, 05/23/01 52,350 52,350
General Electric Capital
Services MTN
6.120%, 08/15/00 25,000 25,001
----------
77,351
----------
INVESTMENT BANKER/BROKER DEALER -- 1.3%
Goldman Sachs Group LP
6.600%, 12/21/00 30,000 30,000
JP Morgan & Company MTN
6.800%, 02/23/01 25,000 25,000
----------
55,000
----------
SPECIAL PURPOSE ENTITY -- 2.3%
SMM Trust 99-A (A)
6.780%, 09/13/00 100,000 100,000
----------
TELEPHONE & TELECOMMUNICATIONS -- 1.9%
SBC Communications (A)
6.684%, 08/15/00 82,500 82,500
----------
Total Corporate Bonds/Medium Term Notes
(Cost $514,849) 514,849
----------
-------------------------------------------------------------------------------
FACE
DESCRIPTION AMOUNT (000) VALUE (000)
-------------------------------------------------------------------------------
CERTIFICATES OF DEPOSIT/BANK NOTES -- 9.6%
American Express Centurion Bank
6.540%, 08/16/00 $75,000 $ 75,000
Bank of America
6.570%, 09/15/00 50,000 50,000
Citibank (New York)
7.410%, 05/30/01 50,000 50,000
First Union National Bank
6.740%, 02/15/01 38,200 38,200
First Union National Bank (A)
6.830%, 08/29/00 40,000 40,000
First USA Bank
6.050%, 09/18/00 50,000 49,997
Harris Bankcorp
6.560%, 09/06/00 21,250 21,250
Key Bank (A)
6.893%, 08/31/00 30,000 30,000
6.823%, 09/07/00 20,000 19,999
NationsBank (A)
6.901%, 09/06/00 19,000 19,009
U.S. Bank
5.920%, 10/02/00 25,000 24,997
----------
Total Certificates of Deposit/Bank Notes
(Cost $418,452) 418,452
----------
INSURANCE FUNDING AGREEMENTS -- 7.2%
Allstate Corporation (A)
6.750%, 08/01/00 15,000 15,000
6.900%, 09/15/00 62,000 62,000
6.844%, 10/01/00 35,000 35,000
Metropolitan Life Insurance (A)
6.471%, 08/01/00 75,000 75,000
Monumental Life Insurance
Company (A)
6.480%, 08/01/00 73,000 73,000
6.860%, 10/01/00 35,000 35,000
Travelers Insurance (A)
6.923%, 08/31/00 20,000 20,000
----------
Total Insurance Funding Agreements
(Cost $315,000) 315,000
----------
TIME DEPOSITS -- 3.1%
Huntington National Bank
6.656%, 08/01/00 75,000 75,000
Suntrust Atlanta
6.688%, 08/01/00 61,763 61,763
----------
Total Time Deposits
(Cost $136,763) 136,763
----------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
7
<PAGE>
STATEMENT OF NET ASSETS
-------------------------------------------------------------------------------
SEI DAILY INCOME TRUST -- JULY 31, 2000 (UNAUDITED)
PRIME OBLIGATION FUND (concluded)
-------------------------------------------------------------------------------
FACE
DESCRIPTION AMOUNT (000) VALUE (000)
-------------------------------------------------------------------------------
REPURCHASE AGREEMENTS -- 0.9%
Lehman Brothers, Incorporated (B)
6.600%, dated 07/31/00, matures
08/01/00, repurchase price
$30,005,500 (collateralized by
various U.S. Government Obligations,
ranging in par value $2,110,000 -
$17,671,072, 6.500% - 9.000%,
09/01/05 - 06/01/29; with total
market value $30,599,817) $30,000 $ 30,000
UBS Warburg Dillion (B)
6.630%, dated 07/31/00, matures
08/01/00, repurchase price
$10,601,952 (collateralized by
U.S. Government Obligation,
par value $12,200,000, 5.500%,
09/01/14; with total
market value $10,813,062) 10,600 10,600
----------
Total Repurchase Agreements
(Cost $40,600) 40,600
----------
TOTAL INVESTMENTS -- 100.0%
(Cost $4,367,234) 4,367,234
----------
OTHER ASSETS AND LIABILITIES, NET -- 0.0% (691)
----------
-------------------------------------------------------------------------------
DESCRIPTION VALUE (000)
-------------------------------------------------------------------------------
NET ASSETS:
Fund Shares of Class A (unlimited
authorization -- no par value) based
on 3,281,733,529 outstanding shares
of beneficial interest $3,281,734
Fund Shares of Class B (unlimited
authorization -- no par value) based
on 411,381,999 outstanding shares
of beneficial interest 411,382
Fund Shares of Class C (unlimited
authorization -- no par value) based
on 612,497,733 outstanding shares
of beneficial interest 612,498
Fund Shares of Class H (unlimited
authorization -- no par value) based
on 12,905 outstanding shares of
beneficial interest 13
Fund Shares of Sweep Class (unlimited
authorization -- no par value) based
on 60,933,361 outstanding shares
of beneficial interest 60,933
Undistributed net investment income 49
Accumulated net realized loss
on investments (66)
----------
TOTAL NET ASSETS -- 100.0% $4,366,543
==========
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 -- CLASS H $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 JULY 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.
8
<PAGE>
-------------------------------------------------------------------------------
TREASURY FUND
-------------------------------------------------------------------------------
FACE
DESCRIPTION AMOUNT (000) VALUE (000)
-------------------------------------------------------------------------------
U.S. TREASURY OBLIGATIONS -- 14.4%
U.S. Treasury Notes
4.000%, 10/31/00 $ 12,000 $ 11,953
5.750%, 11/15/00 10,000 10,000
5.625%, 11/30/00 10,000 9,988
4.625%, 11/30/00 18,000 17,923
5.625%, 02/28/01 10,000 9,958
5.000%, 02/28/01 33,000 32,753
4.875%, 03/31/01 15,000 14,843
----------
Total U.S. Treasury Obligations
(Cost $107,418) 107,418
----------
REPURCHASE AGREEMENTS -- 85.9%
Barclay De Zoete Wedd (A)
6.560%, dated 07/31/00, matures
08/01/00, repurchase price
$155,028,244 (collateralized by
various U.S. Treasury Obligations,
ranging in par value $48,256,000 -
$93,919,000, 6.375% - 7.125%,
03/31/01 - 02/15/23; with total
market value $158,100,117) 155,000 155,000
Lehman Brothers, Incorporated (B)
6.540%, dated 07/31/00, matures
08/01/00, repurchase price
$67,012,172 (collateralized by
various U.S. Treasury STRIPS,
ranging in par value $2,515,000 -
$50,000,000, 08/15/03 - 05/15/13;
with total market value
$69,018,824) 67,000 67,000
Paribas Corporation (A)
6.560%, dated 07/31/00, matures
08/01/00, repurchase price
$128,823,470 (collateralized by
U.S. Treasury Notes, par value
$127,692,000, 3.625%, 04/15/28;
with total market value
$131,376,719) 128,800 128,800
Salomon Smith Barney (A)
6.550%, dated 07/31/00, matures
08/01/00, repurchase price
$130,023,653 (collateralized by
U.S. Treasury Obligations,
ranging in par value $1,575,000 -
$26,615,000, 5.500% - 8.125%,
08/15/00 - 02/15/29; with total
market value $132,678,366) 130,000 130,000
-------------------------------------------------------------------------------
FACE
DESCRIPTION AMOUNT (000) VALUE (000)
-------------------------------------------------------------------------------
UBS Warburg Dillion (A)
6.560%, dated 07/31/00, matures
08/01/00, repurchase price
$156,928,591 (collateralized by
U.S. Treasury Notes, par value
$134,790,000, 11.875%, 11/15/03;
with total market value
$160,042,526) $156,900 $156,900
----------
Total Repurchase Agreements
(Cost $637,700) 637,700
----------
TOTAL INVESTMENTS -- 100.3%
(Cost $745,118) 745,118
----------
OTHER ASSETS AND LIABILITIES, NET -- (0.3%) (2,523)
----------
NET ASSETS:
Fund Shares of Class A (unlimited
authorization -- no par value) based
on 257,998,240 outstanding shares
of beneficial interest 257,998
Fund Shares of Class B (unlimited
authorization -- no par value) based
on 276,933,356 outstanding shares
of beneficial interest 276,933
Fund Shares of Class C (unlimited
authorization -- no par value) based
on 114,883,336 outstanding shares
of beneficial interest 114,883
Fund Shares of Sweep Class (unlimited
authorization -- no par value) based
on 92,783,885 outstanding shares
of beneficial interest 92,785
Undistributed net investment income 7
Accumulated net realized loss
on investments (11)
----------
TOTAL NET ASSETS -- 100.0% $742,595
==========
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
(B) TERM REPURCHASE AGREEMENT
STRIPS SEPARATE TRADING OF REGISTERED INTEREST AND PRINCIPAL OF SECURITIES
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
9
<PAGE>
STATEMENT OF NET ASSETS
-------------------------------------------------------------------------------
SEI DAILY INCOME TRUST -- JULY 31, 2000 (UNAUDITED)
TREASURY II FUND
-------------------------------------------------------------------------------
FACE
DESCRIPTION AMOUNT (000) VALUE (000)
-------------------------------------------------------------------------------
U.S. TREASURY OBLIGATIONS -- 102.0%
U.S. Treasury Bills
6.000%, 08/10/00 $ 5,620 $ 5,612
6.030%, 08/17/00 39,630 39,524
5.940%, 08/17/00 19,000 18,950
5.930%, 08/17/00 30,000 29,921
5.770%, 08/17/00 3,400 3,391
5.980%, 08/31/00 50,000 49,750
5.965%, 08/31/00 25,000 24,876
5.600%, 08/31/00 6,700 6,669
6.010%, 09/07/00 45,000 44,722
5.990%, 09/07/00 33,450 33,244
5.985%, 09/07/00 3,190 3,170
5.722%, 09/07/00 29,400 29,227
5.620%, 09/14/00 5,460 5,422
5.930%, 09/28/00 3,510 3,476
5.760%, 09/28/00 15,000 14,861
5.940%, 10/05/00 10,000 9,893
5.900%, 10/05/00 3,090 3,057
5.880%, 10/05/00 1,340 1,326
5.850%, 10/05/00 34,650 34,284
6.000%, 10/12/00 3,150 3,112
5.965%, 10/12/00 3,720 3,676
6.005%, 10/19/00 15,000 14,802
6.015%, 10/26/00 50,000 49,282
U.S. Treasury Notes
6.125%, 09/30/00 49,450 49,445
4.000%, 10/31/00 40,000 39,779
----------
Total U.S. Treasury Obligations
(Cost $521,471) 521,471
----------
TOTAL INVESTMENTS -- 102.0%
(Cost $521,471) 521,471
----------
OTHER ASSETS AND LIABILITIES, NET -- (2.0%) (10,033)
----------
-------------------------------------------------------------------------------
DESCRIPTION VALUE (000)
-------------------------------------------------------------------------------
NET ASSETS:
Fund Shares of Class A (unlimited
authorization -- no par value) based
on 362,187,435 outstanding shares
of beneficial interest $362,186
Fund Shares of Class B (unlimited
authorization -- no par value) based
on 71,438,377 outstanding shares
of beneficial interest 71,438
Fund Shares of Class C (unlimited
authorization -- no par value) based
on 77,821,963 outstanding shares
of beneficial interest 77,822
Undistributed net investment income 208
Accumulated net realized loss
on investments (216)
----------
TOTAL NET ASSETS -- 100.0% $511,438
==========
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE -- CLASS A $1.00
==========
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE -- CLASS B $1.00
==========
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE -- CLASS C $1.00
==========
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
10
<PAGE>
-------------------------------------------------------------------------------
SHORT-DURATION
GOVERNMENT FUND
-------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000 VALUE (000)
-------------------------------------------------------------------------------
U.S. TREASURY OBLIGATIONS -- 24.3%
U.S. Treasury Notes
6.500%, 03/31/02 $15,000 $15,019
5.500%, 07/31/01 5,000 4,955
----------
Total U.S. Treasury Obligations
(Cost $19,924) 19,974
----------
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 30.0%
FHLB
6.750%, 05/01/02 10,000 9,976
FHLMC
5.500%, 05/15/02 10,000 9,769
FNMA
7.100%, 10/18/04 5,000 4,938
----------
Total U.S. Government Agency Obligations
(Cost $24,683) 24,683
----------
U.S. GOVERNMENT MORTGAGE-BACKED OBLIGATIONS -- 37.4%
FHLMC -- 8.2%
6.500%, 10/01/07 692 681
6.000%, 11/01/13 6,383 6,056
----------
6,737
----------
FHLMC REMIC -- 28.3%
Ser 1034, Cl F
8.500%, 01/15/06 3,140 3,192
Ser 1617, Cl PN
9.000%, 02/15/20 5,000 5,096
Ser 1679, Cl C
6.000%, 10/15/07 4,000 3,945
Ser 1993-188, Cl LA
6.000%, 11/25/03 586 576
Ser 2037, Cl PB
6.000%, 12/15/06 3,603 3,564
Ser 2075, Cl QC
6.000%, 01/15/14 7,000 6,898
----------
23,271
----------
GNMA -- 0.9%
7.500%, 01/15/11 25 25
7.500%, 02/15/11 701 703
----------
728
----------
Total U.S. Government Mortgage-Backed
Obligations
(Cost $31,479) 30,736
----------
-------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
-------------------------------------------------------------------------------
REPURCHASE AGREEMENT -- 7.8%
PaineWebber
6.550%, dated 07/31/00, matures
08/01/00, repurchase price
$6,401,164 (collateralized by
U.S. Treasury Bonds, par value
$6,230,000, 6.250%, 08/15/23;
with total market
value $6,544,954) $6,400 $ 6,400
----------
Total Repurchase Agreement
(Cost $6,400) 6,400
----------
TOTAL INVESTMENTS -- 99.5%
(Cost $82,486) 81,793
----------
OTHER ASSETS AND LIABILITIES, NET -- 0.5% 443
----------
NET ASSETS:
Fund Shares of Class A (unlimited
authorization -- no par value) based
on 8,269,063 outstanding shares
of beneficial interest 84,365
Fund Shares of Class B (unlimited
authorization -- no par value) based
on 997 outstanding shares of
beneficial interest 10
Undistributed net investment income 10
Accumulated net realized loss
on investments (1,456)
Net unrealized depreciation on investments (693)
----------
TOTAL NET ASSETS -- 100.0% $82,236
==========
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE -- CLASS A $9.94
==========
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE -- CLASS B $9.94
==========
CL CLASS
FHLB FEDERAL HOME LOAN BANK
FHLMC FEDERAL HOME LOAN MORTGAGE CORPORATION
FNMA FEDERAL NATIONAL MORTGAGE ASSOCIATION
GNMA GOVERNMENT NATIONAL MORTGAGE ASSOCIATION
REMIC REAL ESTATE MORTGAGE INVESTMENT CONDUIT
SER SERIES
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
11
<PAGE>
SCHEDULE OF INVESTMENTS/STATEMENT OF NET ASSETS
-------------------------------------------------------------------------------
SEI DAILY INCOME TRUST -- JULY 31, 2000 (UNAUDITED)
INTERMEDIATE-DURATION
GOVERNMENT FUND
-------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
-------------------------------------------------------------------------------
U.S. TREASURY OBLIGATIONS -- 44.4%
U.S. Treasury Bonds
12.000%, 08/15/13 $13,000 $17,542
U.S. Treasury Notes
11.875%, 11/15/03 10,000 11,619
10.750%, 02/15/03 10,000 11,009
----------
Total U.S. Treasury Obligations
(Cost $41,055) 40,170
----------
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 22.4%
Aid-Israel Agency For International Development
6.750%, 08/15/04 4,000 3,980
FNMA
7.125%, 02/15/05 5,000 5,025
Private Export Funding
8.750%, 06/30/03 5,670 5,932
8.400%, 07/31/01 1,600 1,624
7.010%, 04/30/04 785 786
6.900%, 01/31/03 2,875 2,875
----------
Total U.S. Government Agency Obligations
(Cost $20,483) 20,222
----------
U.S. GOVERNMENT MORTGAGE-BACKED OBLIGATIONS -- 28.0%
FHLMC -- 10.2%
8.250%, 12/01/07 - 12/01/09 465 475
7.350%, 05/16/05 750 741
7.000%, 02/25/19 176 175
6.500%, 09/01/10 - 10/01/14 5,488 5,303
6.250%, 07/01/03 81 78
6.000%, 12/01/13 1,260 1,195
5.500%, 08/01/08 - 10/01/13 1,337 1,243
----------
9,210
----------
FHLMC REMIC -- 3.1%
Ser 1033, Cl G
8.000%, 01/15/06 237 239
Ser 1506, Cl PG
6.000%, 10/15/06 792 784
Ser 1601, Cl PE
5.750%, 01/15/06 131 131
Ser 1647, Cl PG
6.000%, 08/15/07 400 394
Ser 165, Cl K
6.500%, 09/15/21 295 283
Ser 1758, Cl E
5.500%, 04/15/08 1,000 968
----------
2,799
----------
-------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
-------------------------------------------------------------------------------
FNMA -- 7.0%
8.000%, 05/01/08 - 06/01/08 $ 352 $ 352
7.500%, 03/01/07 - 06/01/09 198 196
7.385%, 03/25/21 1,554 1,559
7.280%, 10/01/06 24 24
7.040%, 03/01/07 39 38
7.024%, 06/01/07 19 18
6.907%, 06/01/07 1,284 1,260
6.812%, 10/01/07 53 52
6.430%, 01/01/08 92 88
6.390%, 01/01/06 38 37
6.340%, 01/01/08 86 82
6.300%, 01/01/08 93 88
6.295%, 06/01/08 59 56
6.270%, 11/01/07 322 305
6.180%, 07/01/08 108 101
6.000%, 02/01/13 - 07/01/13 1,621 1,535
5.500%, 12/01/08 - 11/01/09 616 571
----------
6,362
----------
FNMA REMIC -- 0.6%
Ser 1993-107, Cl C
6.000%, 09/25/05 17 17
Ser 1993-135, Cl PE
6.500%, 02/25/07 397 395
Ser 1993-188, Cl LA
6.000%, 11/25/03 120 117
----------
529
----------
GNMA -- 7.1%
9.500%, 05/01/18 263 272
8.750%, 05/20/17 - 11/20/17 345 350
8.500%, 05/20/16 - 02/20/18 897 910
8.250%, 04/15/06 - 07/15/08 620 630
7.000%, 10/15/14 - 09/16/19 4,035 3,993
6.000%, 04/15/09 237 226
----------
6,381
----------
Total U.S. Government Mortgage-Backed Obligations
(Cost $25,925) 25,281
----------
REPURCHASE AGREEMENT -- 0.5%
PaineWebber
6.550%, dated 07/31/00, matures
08/01/00, repurchase price
484,088 (collateralized by
U.S. Treasury Notes, par value
$480,000, 6.250%, 02/15/07; with
total market value $495,714) 484 484
----------
Total Repurchase Agreement
(Cost $484) 484
----------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
12
<PAGE>
-------------------------------------------------------------------------------
-------------------------------------------------------------------------------
MARKET
DESCRIPTION VALUE (000)
-------------------------------------------------------------------------------
TOTAL INVESTMENTS -- 95.3%
(Cost $87,947) $86,157
----------
OTHER ASSETS AND LIABILITIES, NET -- 4.7% 4,249
----------
TOTAL NET ASSETS -- 100.0% $90,406
==========
CL CLASS
FHLMC FEDERAL HOME LOAN MORTGAGE CORPORATION
FNMA FEDERAL NATIONAL MORTGAGE ASSOCIATION
GNMA GOVERNMENT NATIONAL MORTGAGE ASSOCIATION
REMIC REAL ESTATE MORTGAGE INVESTMENT CONDUIT
SER SERIES
GNMA FUND
-------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
-------------------------------------------------------------------------------
GNMA -- 99.4%
12.500%, 12/15/06 - 07/15/15 $ 20 $ 24
12.000%, 04/15/14 1 1
11.500%, 04/15/10 - 02/15/13 16 17
10.500%, 03/15/18 43 46
10.000%, 09/15/15 - 07/15/20 192 203
9.500%, 06/15/09 - 11/15/20 3,244 3,358
9.000%, 05/15/16 - 05/15/22 2,281 2,350
8.500%, 08/15/08 - 07/15/30 3,310 3,384
8.000%, 12/15/21 - 07/01/30 5,589 5,619
7.500%, 02/15/17 - 06/15/29 13,821 13,703
7.000%, 05/15/23 - 12/15/28 14,677 14,267
6.500%, 08/15/01 - 11/15/28 16,243 15,443
6.000%, 12/15/23 - 08/01/30 17,283 15,923
----------
Total GNMA
(Cost $76,192) 74,338
----------
REPURCHASE AGREEMENT -- 1.5%
PaineWebber
6.550%, dated 07/31/00,
matures 08/01/00, repurchase price
$1,158,211 (collateralized by
U.S. Treasury Bonds, par value
$855,000, 9.875%, 11/15/15; with
total market value $1,186,280) 1,158 1,158
----------
Total Repurchase Agreement
(Cost $1,158) 1,158
----------
TOTAL INVESTMENTS -- 100.9%
(Cost $77,350) 75,496
----------
OTHER ASSETS AND LIABILITIES, NET -- (0.9%) (694)
----------
NET ASSETS:
Fund Shares of Class A (unlimited
authorization -- no par value) based
on 7,956,692 outstanding shares
of beneficial interest 90,931
Undistributed net investment income 140
Accumulated net realized loss on investments (14,415)
Net unrealized depreciation on investments (1,854)
----------
TOTAL NET ASSETS -- 100.0% $74,802
==========
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE -- CLASS A $9.40
==========
GNMA GOVERNMENT NATIONAL MORTGAGE ASSOCIATION
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
13
<PAGE>
STATEMENT OF NET ASSETS
-------------------------------------------------------------------------------
SEI DAILY INCOME TRUST -- JULY 31, 2000 (UNAUDITED)
CORPORATE DAILY
INCOME FUND
-------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
-------------------------------------------------------------------------------
U.S. GOVERNMENT MORTGAGE-BACKED OBLIGATIONS -- 19.1%
FHLB
6.750%, 05/01/02 $7,000 $ 6,983
FHLMC
7.000%, 03/01/07 1,230 1,212
FHLMC REMIC, Ser 1418, Cl H
7.000%, 10/15/03 341 340
FNMA
7.000%, 01/01/04 2,080 2,049
6.500%, 09/01/02 1,817 1,790
6.000%, 04/01/01 2,950 2,853
GNMA REMIC, Ser 1998-22, Cl VC
6.500%, 07/20/02 3,056 3,032
----------
Total U.S. Government Mortgage-Backed Obligations
(Cost $18,452) 18,259
----------
CORPORATE OBLIGATIONS -- 42.0%
BANKS -- 6.3%
Huntington National Bank
5.875%, 01/15/01 1,500 1,491
US Bancorp (A)
6.621%, 02/03/03 2,000 1,998
Wachovia Corporation (A)
6.865%, 10/09/01 1,750 1,752
Wells Fargo Company
7.200%, 05/01/03 758 757
----------
5,998
----------
CHEMICALS -- 1.0%
Monsanto Corporation
5.375%, 12/01/01 1,000 981
----------
DIVERSIFIED MANUFACTURING -- 1.3%
Textron
6.750%, 09/15/02 1,235 1,221
----------
ELECTRICAL SERVICES -- 4.0%
MidAmerican Energy
7.375%, 08/01/02 1,000 1,000
Public Service Company
6.000%, 04/15/03 1,250 1,214
Virginia Electric and Power (A)
6.911%, 03/22/02 1,600 1,598
----------
3,812
----------
FINANCIAL SERVICES -- 20.6%
American General Finance
5.730%, 11/26/01 1,000 978
Associates Corporation of
North America (A)
6.880%, 05/17/02 1,000 999
Caterpillar Financial Services
Corporation MTN
7.590%, 12/10/03 1,250 1,251
-------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
-------------------------------------------------------------------------------
Cit Group Holding MTN
5.850%, 02/05/01 $1,500 $ 1,491
FleetBoston Financial Corporation (A)
6.980%, 03/27/03 1,500 1,497
Ford Motor Credit Company (A)
6.994%, 07/16/02 2,000 2,001
General Electric Capital Corporation
5.770%, 08/27/01 1,750 1,726
General Motors Acceptance
Corporation (A)
7.153%, 12/17/01 2,000 2,006
Heller Financial Incorporated
6.500%, 07/22/02 2,000 1,965
John Deere Capital Corporation
6.750%, 02/09/01 1,500 1,494
National Rural Utilities
7.375%, 02/10/03 1,750 1,759
Norwest Financial
5.500%, 03/19/01 1,000 989
USAA Capital Corporation
7.410%, 06/30/03 1,500 1,500
----------
19,656
----------
LEASING & RENTING -- 1.0%
International Lease Financial Corporation
6.000%, 06/15/03 1,025 985
----------
PRINTING & PUBLISHING -- 1.3%
Times Mirror
6.650%, 10/15/01 1,250 1,242
----------
RETAIL -- 2.1%
Wal-Mart Stores
6.150%, 08/10/01 2,000 1,983
----------
SPECIAL PURPOSE ENTITY -- 2.1%
Bell Atlantic Financial Services (A)
6.703%, 03/21/02 2,000 1,999
----------
STEEL & STEEL WORKS -- 0.3%
Alcoa Incorporated
7.250%, 08/01/05 315 316
----------
TELEPHONE & TELECOMMUNICATIONS -- 2.0%
AT&T Corporation
5.625%, 03/15/04 1,000 944
United States West Capital Funding
Incorporated
6.125%, 07/15/02 1,000 981
----------
1,925
----------
Total Corporate Obligations
(Cost $40,362) 40,118
----------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
14
<PAGE>
-------------------------------------------------------------------------------
-------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
-------------------------------------------------------------------------------
ASSET-BACKED SECURITIES -- 36.4%
AUTOMOTIVE -- 18.5%
Aesop Funding II LLC,
Ser 1997-1, Cl A1
6.220%, 10/20/01 $ 850 $ 849
ANRC Auto Owner Trust,
Ser 1999-A, Cl A2
6.540%, 11/15/02 732 731
ARG Funding Corporation,
Ser 1999-1A, Cl A2
5.880%, 05/20/03 1,250 1,228
Capital Auto Receivables Asset
Trust, Ser 1999-1, Cl A2
5.580%, 06/10/02 1,000 994
Capital Auto Receivables Asset
Trust, Ser 1999-2, Cl A3
6.250%, 03/15/03 1,000 992
Carco Auto Loan Master Trust,
Ser 1999-1, Cl A1
5.650%, 03/15/01 1,500 1,486
Chase Manhattan Auto Owner Trust,
Ser 1998-A, Cl A3
5.700%, 09/17/01 100 100
Chase Manhattan Auto Owner Trust,
Ser 1998-B, Cl A3
5.750%, 10/15/01 265 265
Chase Manhattan Auto Owner Trust,
Ser 1998-C, Cl A4
5.850%, 05/15/03 1,200 1,181
Ford Credit Auto Owner Trust,
Ser 1999-A, Cl A4
5.310%, 11/15/01 1,092 1,088
Ford Credit Auto Owner Trust,
Ser 1999-B, Cl A4
5.800%, 06/15/02 1,300 1,288
Ford Credit Auto Owner Trust,
Ser 1999-C, Cl A4
6.080%, 09/16/02 1,000 991
Nissan Auto Receivables Owner Trust,
Ser 2000-A, Cl A3
7.010%, 09/15/03 1,015 1,014
ONYX Acceptance Auto Trust,
Ser 2000-C, Cl A4
7.260%, 05/15/07 1,000 1,002
Premier Auto Trust, Ser 1998-1, Cl A3
5.630%, 08/06/01 299 299
Premier Auto Trust, Ser 1998-2, Cl A3
5.770%, 01/06/02 401 400
Premier Auto Trust, Ser 1998-4, Cl A3
5.690%, 06/08/02 1,328 1,321
Rental Car Finance Corporation
Auto Trust, Ser 1997-1, Cl A1
6.250%, 06/25/03 1,500 1,493
-------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
-------------------------------------------------------------------------------
World Omni Automobile Lease
Securitization Trust, Ser 1998-A,
Cl A3 (A)
7.080%, 12/15/04 $1,000 $ 1,000
----------
17,722
----------
CREDIT CARDS -- 5.0%
AT&T Universal Card Master Trust,
Ser 1997-1, Cl A (A)
6.850%, 04/19/04 1,000 1,001
Fleet Credit Card Master Trust II,
Ser 1999-A, Cl A (A)
6.740%, 03/15/02 2,000 2,002
Fleet Credit Card Master Trust II,
Ser 2000-A, Cl A (A)
6.760%, 07/15/05 1,750 1,752
----------
4,755
----------
MORTGAGE RELATED -- 12.9%
Advanta Mortgage Trust Loan,
Ser 1999-4, Cl A (A)
6.990%, 11/25/29 1,177 1,177
Bank of Boston Commercial Loan
Master LLC, Ser 1998-1A, Cl A1 (A)
7.010%, 11/16/03 1,000 1,001
Comm, Ser 2000-Fl1, Cl A (A)
6.930%, 12/16/09 1,151 1,151
Fremont Home Loan Owner Trust,
Ser 1999-1 (A)
6.920%, 03/25/30 628 629
Main Place Funding, Ser 95-2 (A)
6.888%, 10/25/00 1,000 997
Main Place Funding, Ser 99-1 (A)
6.940%, 05/25/02 1,250 1,247
NationsBank Commercial Loan
Master Trust, Ser 1997-1, Cl A (A)
6.885%, 09/20/02 2,500 2,499
Peco Energy Transition Trust,
Ser 1999-A, Cl A1
5.480%, 03/01/03 1,130 1,121
Sasco Corporate Floater Rate
Commercial Mortgage,
Ser 1999-C3, Cl A (A)
7.030%, 11/20/01 1,021 1,023
SLM Student Loan Trust,
Ser 2000-01, Cl A1L
6.810%, 01/25/05 1,500 1,499
----------
12,344
----------
Total Asset-Backed Securities
(Cost $34,924) 34,821
----------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
15
<PAGE>
STATEMENT OF NET ASSETS
-------------------------------------------------------------------------------
SEI DAILY INCOME TRUST -- JULY 31, 2000 (UNAUDITED)
CORPORATE DAILY
INCOME FUND (concluded)
-------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
-------------------------------------------------------------------------------
CERTIFICATES OF DEPOSIT/BANK NOTES -- 1.6%
Key Bank (A)
7.064%, 10/26/01 $1,500 $ 1,504
----------
Total Certificates of Deposit/Bank Notes
(Cost $1,500) 1,504
----------
REPURCHASE AGREEMENT -- 0.6%
PaineWebber
6.550%, dated 07/31/00, matures
08/01/00, repurchase price
$548,100 (collateralized by
U.S. Treasury Notes, par value
$550,000, 6.500%, 03/31/02;
with total market value $562,776) 548 548
----------
Total Repurchase Agreement
(Cost $548) 548
----------
TOTAL INVESTMENTS -- 99.7%
(Cost $95,786) 95,250
----------
OTHER ASSETS AND LIABILITIES, NET -- 0.3% 254
----------
NET ASSETS:
Fund Shares of Class A (unlimited
authorization -- no par value) based
on 48,182,755 outstanding shares
of beneficial interest 96,254
Distribution in excess of net investment
income (9)
Accumulated net realized loss
on investments (205)
Net unrealized depreciation on investments (536)
----------
TOTAL NET ASSETS -- 100.0% $95,504
==========
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE -- CLASS A $1.98
==========
[FN]
(A) FLOATING INSTRUMENT. THE RATE REFLECTED ON THE STATEMENT OF NET ASSETS
IS THE RATE IN EFFECT ON JULY 31, 2000. THE DATE SHOWN IS THE EARLIER
OF THE RESET DATE OR THE DEMAND DATE.
CL CLASS
FHLB FEDERAL HOME LOAN BANK
FHLMC FEDERAL HOME LOAN MORTGAGE CORPORATION
FNMA FEDERAL NATIONAL MORTGAGE ASSOCIATION
GNMA GOVERNMENT NATIONAL MORTGAGE ASSOCIATION
LLC LIMITED LIABILITY COMPANY
MTN MEDIUM TERM NOTE
REMIC REAL ESTATE MORTGAGE INVESTMENT CONDUIT
SER SERIES
</FN>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
16
<PAGE>
<TABLE>
<CAPTION>
STATEMENT OF ASSETS AND LIABILITIES (000)
---------------------------------------------------------------------------------------------------------------------------
SEI DAILY INCOME TRUST -- FOR THE PERIOD ENDED JULY 31, 2000 (UNAUDITED)
------------------------------
INTERMEDIATE-DURATION
GOVERNMENT
FUND
------------------------------
ASSETS:
<S> <C>
Investments at value (Cost $87,947) $86,157
Cash --
Investment securities sold 3,006
Accrued Income 1,787
-------
Total assets 90,950
-------
LIABILITIES:
Dividend Income Payable 443
Accrued expenses 101
-------
Total liabilities 544
-------
Net assets $90,406
=======
NET ASSETS:
Fund Shares of Class A (unlimited authorization -- no par value)
based on 9,245,271 outstanding shares of beneficial interest 98,596
Undistributed net investment income 84
Accumulated net realized loss on investments (6,484)
Net unrealized depreciation on investments (1,790)
-------
TOTAL NET ASSETS: $90,406
=======
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE -- CLASS A $9.78
=======
</TABLE>
AMOUNTS DESIGNATED AS "--" ARE EITHER $0 OR HAVE BEEN ROUNDED TO $0.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
17
<PAGE>
<TABLE>
<CAPTION>
STATEMENT OF OPERATIONS (000)
---------------------------------------------------------------------------------------------------------------------------
SEI DAILY INCOME TRUST -- FOR THE PERIOD ENDED JULY 31, 2000 (UNAUDITED)
--------- ----------- --------------
MONEY
MARKET GOVERNMENT GOVERNMENT II
FUND FUND FUND
--------- ----------- --------------
Interest Income $26,398 $11,929 $29,143
------- ------- -------
EXPENSES:
<S> <C> <C> <C>
Management fees 1,356 461 900
Less: Management fees waived (833) (149) (138)
Investment advisory fees 96 45 111
Less: Investment advisory fees waived (45) (21) (52)
Shareholder servicing fees (1) 1,413 651 1,275
Less: Shareholder servicing fees waived (643) (268) (990)
Custodian/wire agent fees 117 20 50
Trustee fees 3 1 3
Registration fees 11 9 33
Other 35 18 41
------- ------- -------
Total expenses 1,510 767 1,233
------- ------- -------
NET INVESTMENT INCOME 24,888 11,162 27,910
------- ------- -------
NET REALIZED AND UNREALIZED GAIN (LOSS)
ON INVESTMENTS:
Net realized gain (loss)from security
transactions (9) (1) (1)
------- ------- -------
Net change in unrealized appreciation
of investments -- -- --
------- ------- -------
NET INCREASE IN NET ASSETS FROM OPERATIONS $24,879 $11,161 $27,909
======= ======= =======
</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.
18
<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
------------ ----------- ------------ ----------- -------------- ------------- -----------
$154,922 $20,345 $14,861 $2,679 $3,054 $ 2,758 $3,042
-------- ------- ------- ------ ------ ------- ------
<S> <C> <C> <C> <C> <C> <C>
4,678 797 623 151 171 123 169
(773) (300) (79) (9) -- -- (43)
576 78 60 43 49 38 48
(268) (36) (28) (9) -- -- (21)
7,030 1,257 731 108 122 96 121
(4,987) (260) (487) (108) (115) (43) (121)
261 84 27 5 6 4 5
15 2 2 -- -- -- --
227 12 19 6 4 5 3
209 27 25 7 8 7 8
-------- ------- ------- ------ ------ ------- ------
6,968 1,661 893 194 245 230 169
-------- ------- ------- ------ ------ ------- ------
147,954 18,684 13,968 2,485 2,809 2,528 2,873
-------- ------- ------- ------ ------ ------- ------
(66) (2) 19 (590) (772) (1,337) (97)
-------- ------- ------- ------ ------ ------- ------
-- -- -- 1,229 2,427 2,999 634
-------- ------- ------- ------ ------ ------- ------
$147,888 $18,682 $13,987 $3,124 $4,464 $ 4,190 $3,410
======== ======= ======= ====== ====== ======= ======
</TABLE>
19
<PAGE>
<TABLE>
<CAPTION>
STATEMENTS OF CHANGES IN NET ASSETS (000)
------------------------------------------------------------------------------------------------------------------------
SEI DAILY INCOME TRUST -- FOR THE PERIOD ENDED JULY 31, 2000 (UNAUDITED) AND FOR THE YEAR ENDED JANUARY 31, 2000
------------------------- ------------------------
MONEY MARKET GOVERNMENT
FUND FUND
------------------------- ------------------------
2/1/00 2/1/99 2/1/00 2/1/99
to to to to
7/31/00 1/31/00 7/31/00 1/31/00
------------------------- ------------------------
OPERATIONS:
<S> <C> <C> <C> <C>
Net investment income $ 24,888 $ 44,592 $ 11,162 $ 35,635
Net realized gain (loss) from security transactions (9) (4) (1) 37
----------- ------------ --------- -----------
Net increase in net assets from operations 24,879 44,588 11,161 35,672
----------- ------------ --------- -----------
DIVIDENDS DISTRIBUTED FROM:
Net investment income:
Class A (16,086) (35,389) (6,405) (11,236)
Class B (1,359) (854) (2,156) (2,750)
Class C (6,438) (7,607) (1,940) (2,452)
Class H -- -- -- --
CNI Class* -- -- -- (18,890)
Sweep Class (959) (630) (661) (320)
----------- ------------ --------- -----------
Total dividends distributed (24,842) (44,480) (11,162) (35,648)
----------- ------------ --------- -----------
CAPITAL SHARE TRANSACTIONS (ALL AT $1.00 PER SHARE):
Class A:
Proceeds from shares issued 4,928,671 9,940,077 667,365 1,417,542
Reinvestment of cash distributions 5,842 21,792 1,998 5,391
Cost of shares redeemed (4,322,866) (10,909,801) (658,894) (1,421,439)
----------- ------------ --------- -----------
Increase (decrease) in net assets from Class A transactions 611,647 (947,932) 10,469 1,494
----------- ------------ --------- -----------
Class B:
Proceeds from shares issued 224,082 210,048 254,790 399,923
Reinvestment of cash distributions 126 101 -- 36
Cost of shares redeemed (190,406) (184,185) (237,860) (370,020)
----------- ------------ --------- -----------
Increase (decrease) in net assets from Class B transactions 33,802 25,964 16,930 29,939
----------- ------------ --------- -----------
Class C:
Proceeds from shares issued 641,800 812,183 189,524 449,358
Reinvestment of cash distributions -- 24 -- --
Cost of shares redeemed (546,060) (765,471) (163,330) (428,912)
----------- ------------ --------- -----------
Increase (decrease) in net assets from Class C transactions 95,740 46,736 26,194 20,446
----------- ------------ --------- -----------
Class H:
Proceeds from shares issued -- -- -- --
Reinvestment of cash distributions -- -- -- --
Cost of shares redeemed -- -- -- --
----------- ------------ --------- -----------
Increase in net assets from Class H transactions -- -- -- --
----------- ------------ --------- -----------
CNI Class*:
Proceeds from shares issued -- -- -- 1,012,114
Reinvestment of cash distributions -- -- -- 11,807
Cost of shares redeemed -- -- -- (2,104,329)
----------- ------------ --------- -----------
Decrease in net assets from CNI Class transactions -- -- -- (1,080,408)
----------- ------------ --------- -----------
Sweep Class:
Proceeds from shares issued 108,601 116,180 83,813 115,386
Reinvestment of cash distributions -- -- -- --
Cost of shares redeemed (82,402) (96,506) (79,133) (96,087)
----------- ------------ --------- -----------
Increase in net assets from Sweep Class transactions 26,199 19,674 4,680 19,299
----------- ------------ --------- -----------
INCREASE (DECREASE) IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS 767,388 (855,558) 58,273 (1,009,230)
----------- ------------ --------- -----------
Net increase (decrease) in net assets 767,425 (855,450) 58,272 (1,009,206)
----------- ------------ --------- -----------
NET ASSETS:
Beginning of Period 504,169 1,359,619 353,972 1,363,178
----------- ------------ --------- -----------
End of Period $ 1,271,594 $ 504,169 $ 412,244 $ 353,972
=========== ============ ========= ===========
</TABLE>
[FN]
*GOVERNMENT CNI CLASS SHARES WERE FULLY LIQUIDATED ON JUNE 21, 1999.
AMOUNTS DESIGNATED AS "--" ARE EITHER $0 OR HAVE BEEN ROUNDED TO $0.
</FN>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
20
<PAGE>
<TABLE>
<CAPTION>
---------------------------------------------------------------------------------------------------------------------
------------------------ -------------------------- ---------------------- ------------------------
GOVERNMENT II PRIME OBLIGATION TREASURY TREASURY II
FUND FUND FUND FUND
------------------------ -------------------------- ---------------------- ------------------------
2/1/00 2/1/99 2/1/00 2/1/99 2/1/00 2/1/99 2/1/00 2/1/99
to to to to to to to to
7/31/00 1/31/00 7/31/00 1/31/00 7/31/00 1/31/00 7/31/00 1/31/00
------------------------ -------------------------- ---------------------- ------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
$ 27,910 $ 47,455 $ 147,954 $ 257,529 $ 18,684 $ 23,389 $ 13,968 $ 25,716
(1) 49 (66) 180 (2) (3) 19 23
---------- ---------- ----------- ----------- -------- ---------- --------- ----------
27,909 47,504 147,888 257,709 18,682 23,386 13,987 25,739
---------- ---------- ----------- ----------- -------- ---------- --------- ----------
(23,479) (41,205) (121,000) (224,391) (6,135) (10,090) (10,642) (20,040)
(3,103) (4,083) (10,443) (13,713) (7,202) (4,855) (2,102) (4,572)
(1,338) (2,171) (15,720) (18,902) (3,125) (4,688) (1,225) (1,102)
-- -- -- -- -- -- -- --
-- -- -- -- -- -- -- --
-- -- (782) (456) (2,244) (3,729) -- --
---------- ---------- ----------- ----------- -------- ---------- --------- ----------
(27,920) (47,459) (147,945) (257,462) (18,706) (23,362) (13,969) (25,714)
---------- ---------- ----------- ----------- -------- ---------- --------- ----------
1,729,767 4,256,009 23,444,987 50,981,608 969,529 2,066,676 954,617 2,559,713
3,261 7,562 38,594 78,021 1,065 3,387 3,900 7,347
(1,779,146) (4,413,367) (25,688,452) (50,055,889) (908,871) (2,143,474) (975,568) (2,639,637)
---------- ---------- ----------- ----------- -------- ---------- -------- ----------
(46,118) (149,796) (2,204,871) 1,003,740 61,723 (73,411) (17,051) (72,577)
---------- ---------- ----------- ----------- -------- ---------- --------- ----------
350,989 443,329 1,634,158 3,095,987 653,179 501,735 333,266 390,073
418 641 862 1,262 425 168 440 2,207
(292,225) (426,041) (1,570,861) (2,979,404) (535,717) (438,940) (337,981) (454,107)
---------- ---------- ----------- ----------- -------- ---------- --------- ----------
59,182 17,929 64,159 117,845 117,887 62,963 (4,275) (61,827)
---------- ---------- ----------- ----------- -------- ---------- --------- ----------
149,780 249,411 1,276,830 1,791,413 390,773 717,339 229,973 239,173
8 15 80 167 -- -- -- --
(142,956) (256,120) (1,166,190) (1,641,684) (391,353) (705,515) (186,566) (224,131)
----------- ---------- ----------- ----------- -------- ---------- --------- ----------
6,832 (6,694) 110,720 149,896 (580) 11,824 43,407 15,042
---------- ---------- ----------- ----------- -------- ---------- --------- ----------
-- -- 15 -- -- -- -- --
-- -- -- -- -- -- -- --
-- -- (2) -- -- -- -- --
---------- ---------- ----------- ----------- -------- ---------- --------- ----------
-- -- 13 -- -- -- -- --
---------- ---------- ----------- ----------- -------- ---------- --------- ----------
-- -- -- -- -- -- -- --
-- -- -- -- -- -- -- --
-- -- -- -- -- -- -- --
---------- ---------- ----------- ----------- -------- ---------- --------- ----------
-- -- -- -- -- -- -- --
---------- ---------- ----------- ----------- -------- ---------- --------- ----------
-- -- 168,803 115,836 201,927 346,077 -- --
-- -- -- 45 -- -- -- --
-- -- (122,293) (107,103) (191,918) (335,662) -- --
---------- ---------- ----------- ----------- -------- ---------- --------- ----------
-- -- 46,510 8,778 10,009 10,415 -- --
---------- ---------- ----------- ----------- -------- ---------- --------- ----------
19,896 (138,561) (1,983,469) 1,280,259 189,039 11,791 22,081 (119,362)
---------- ---------- ----------- ----------- -------- ---------- --------- ----------
19,885 (138,516) (1,983,526) 1,280,506 189,015 11,815 22,099 (119,337)
---------- ---------- ----------- ----------- -------- ---------- --------- ----------
920,430 1,058,946 6,350,069 5,069,563 553,580 541,765 489,339 608,676
---------- ---------- ----------- ----------- -------- ---------- --------- ----------
$ 940,315 $ 920,430 $ 4,366,543 $ 6,350,069 $742,595 $ 553,580 $ 511,438 $ 489,339
========== ========== =========== =========== ======== ========== ========= ==========
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
21
<PAGE>
<TABLE>
<CAPTION>
STATEMENTS OF CHANGES IN NET ASSETS (000)
---------------------------------------------------------------------------------------------------------------------
SEI DAILY INCOME TRUST--FOR THE PERIOD ENDED JULY 31, 2000 (UNAUDITED) AND FOR THE YEAR ENDED JANUARY 31, 2000
--------------------
SHORT-DURATION
GOVERNMENT
FUND
--------------------
2/1/00 2/1/99
to to
7/31/00 1/31/00
--------------------
<S> <C> <C>
OPERATIONS:
Net investment income $ 2,485 $ 5,690
Net realized loss from security transactions (590) (256)
Net change in unrealized appreciation (depreciation) of investments 1,229 (2,855)
--------- ---------
Net increase (decrease) in net assets from operations 3,124 2,579
--------- ---------
DIVIDENDS DISTRIBUTED FROM:
Net investment income:
Class A (2,485) (5,699)
Class B (1) (1)
--------- ---------
Total dividends distributed (2,486) (5,700)
--------- ---------
CAPITAL SHARE TRANSACTIONS:
Class A:
Proceeds from shares issued 83,554 148,129
Reinvestment of cash distributions 920 2,975
Cost of shares redeemed (100,431) (149,486)
--------- ---------
Increase (decrease) in net assets from Class A transactions (15,957) 1,618
--------- ---------
Class B:
Proceeds from shares issued -- 1
Reinvestment of cash distributions -- --
Cost of shares redeemed (4) --
--------- ---------
Increase (decrease) in net assets from Class B transactions (4) 1
--------- ---------
INCREASE (DECREASE) IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (15,961) 1,619
--------- ---------
Net increase (decrease) in net assets (15,323) (1,502)
--------- ---------
NET ASSETS:
Beginning of Period 97,559 99,061
--------- ---------
End of Period $ 82,236 $ 97,559
========= =========
CAPITAL SHARES ISSUED AND REDEEMED:
Class A:
Shares issued 8,439 14,817
Shares issued in lieu of cash distributions 93 298
Shares redeemed (10,143) (14,983)
--------- ---------
Total Class A transactions (1,611) 132
--------- ---------
Class B:
Shares issued -- --
Shares issued in lieu of cash distributions -- --
Shares redeemed -- --
--------- ---------
Total Class B transactions -- --
--------- ---------
Increase (decrease) in capital shares (1,611) 132
--------- ---------
</TABLE>
[FN]
AMOUNTS DESIGNATED AS "--" ARE EITHER $0 OR HAVE BEEN ROUNDED TO $0.
</FN>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
22
<PAGE>
<TABLE>
<CAPTION>
-----------------------------------------------------------------------------------------------------------------------------------
--------------------- --------------------- ----------------------
INTERMEDIATE- CORPORATE
DURATION DAILY
GOVERNMENT GNMA INCOME
FUND FUND FUND
--------------------- --------------------- ----------------------
<S> <C> <C> <C> <C> <C> <C>
2/1/00 2/1/99 2/1/00 2/1/99 2/1/00 2/1/99
to to to to to to
7/31/00 1/31/00 7/31/00 1/31/00 7/31/00 1/31/00
--------------------- --------------------- ----------------------
$ 2,809 $ 7,107 $ 2,528 $ 6,370 $ 2,873 $ 5,624
(772) (84) (1,337) (763) (97) (155)
2,427 (7,988) 2,999 (6,837) 634 (1,532)
-------- -------- -------- -------- -------- ---------
4,464 (965) 4,190 (1,230) 3,410 3,937
-------- -------- -------- -------- -------- ---------
(2,808) (7,112) (2,496) (6,403) (2,870) (5,585)
-- -- -- -- -- --
-------- -------- -------- -------- -------- ---------
(2,808) (7,112) (2,496) (6,403) (2,870) (5,585)
-------- -------- -------- -------- -------- ---------
4,917 72,433 8,446 45,457 72,182 129,749
639 3,024 660 2,636 1,683 4,016
(31,344) (77,499) (20,004) (57,253) (93,019) (108,042)
-------- -------- -------- -------- -------- ---------
(25,788) (2,042) (10,898) (9,160) (19,154) 25,723
-------- -------- -------- -------- -------- --------
-- -- -- -- -- --
-- -- -- -- -- --
-- -- -- -- -- --
-------- -------- -------- -------- -------- ---------
-- -- -- -- -- --
-------- -------- -------- -------- -------- ---------
(25,788) (2,042) (10,898) (9,160) (19,154) 25,723
-------- -------- -------- -------- -------- ---------
(24,132) (10,119) (9,204) (16,793) (18,614) 24,075
-------- -------- -------- -------- -------- ---------
114,538 124,657 84,006 100,799 114,118 90,043
-------- -------- -------- -------- -------- ---------
$ 90,406 $114,538 $ 74,802 $ 84,006 $ 95,504 $ 114,118
======== ======== ======== ======== ======== =========
507 7,307 905 4,723 36,549 65,437
66 307 71 277 853 2,025
(3,236) (7,878) (2,154) (6,040) (47,137) (54,553)
-------- -------- -------- -------- -------- ---------
(2,663) (264) (1,178) (1,040) (9,735) 12,909
-------- -------- -------- -------- -------- ---------
-- -- -- -- -- --
-- -- -- -- -- --
-- -- -- -- -- --
-------- -------- -------- -------- -------- ---------
-- -- -- -- -- --
-------- -------- -------- -------- -------- ---------
(2,663) (264) (1,178) (1,040) (9,735) 12,909
======== ======== ======== ======== ======== =========
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
23
<PAGE>
<TABLE>
<CAPTION>
FINANCIAL HIGHLIGHTS
-----------------------------------------------------------------------------------------------------------------------------------
SEI DAILY INCOME TRUST--FOR THE PERIOD ENDED JULY 31, 2000 (UNAUDITED) AND 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 AVERAG
OF PERIOD INCOME ON SECURITIES INCOME GAINS OF PERIOD RETURN PERIOD (000) NET ASSES
===================================================================================================================================
-----------------
MONEY MARKET FUND
-----------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
CLASS A
2000* $1.00 $0.03 $ -- $(0.03) $-- $1.00 3.09% $ 876,100 0.18%
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 $0.03 $ -- $(0.03) $-- $1.00 2.94% $ 67,643 0.48%
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 $0.03 $ -- $(0.03) $-- $1.00 2.84% $ 275,310 0.68%
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 $0.03 $ -- $(0.03) $-- $1.00 2.71% $ 52,541 0.93%
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 $0.03 $ -- $(0.03) $-- $1.00 3.02% $ 216,949 0.20%
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 $0.03 $ -- $(0.03) $-- $1.00 2.87% $ 81,545 0.50%
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 $0.03 $ -- $(0.03) $-- $1.00 2.76% $ 86,523 0.70%
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 $0.03 $ -- $(0.03) $-- $1.00 2.64% $ 27,227 0.95%
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 $0.03 $ -- $(0.03) $-- $1.00 2.99% $ 747,507 0.20%
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 $0.03 $ -- $(0.03) $-- $1.00 2.84% $ 141,955 0.50%
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
</TABLE>
RATIO OF
NET
RATIO OF RATIO OF INVESTMENT
NET EXPENSES INCOME
INVESTMENT TO AVERAGE TO AVERAGE
INCOME NET ASSETS NET ASSETS
TO AVERAGE (EXCLUDING (EXCLUDING
NET ASSETS WAIVERS) WAIVERS)
=====================================================
-----------------
MONEY MARKET FUND
-----------------
CLASS A
2000* 6.26% 0.64% 5.80%
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* 5.86% 0.69% 5.65%
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* 5.66% 0.89% 5.45%
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* 5.42% 1.14% 5.21%
2000 4.44 1.16 4.21
1999(3) 4.36 1.14 4.15
---------------
GOVERNMENT FUND
---------------
CLASS A
2000* 5.98% 0.54% 5.64%
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* 5.71% 0.59% 5.62%
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* 5.51% 0.79% 5.42%
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* 5.23% 1.04% 5.14%
2000 4.42 1.05 4.32
1999(8) 4.37 1.05 4.27
------------------
GOVERNMENT II FUND
------------------
CLASS A
2000* 5.93% 0.49% 5.64%
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* 5.69% 0.54% 5.65%
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
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
24
<PAGE>
<TABLE>
<CAPTION>
-----------------------------------------------------------------------------------------------------------------------------------
NET ASSET NET REALIZED AND DISTRIBUTIONS DISTRIBUTIONS RATIO OF
VALUE NET UNREALIZED FROM NET FROM NET ASSET NET ASSETS EXPENSES
BEGINNING INVESTMENT GAINS (LOSSES) INVESTMENT REALIZED CAPITAL VALUE END TOTAL END OF TO AVERAGE
OF PERIOD INCOME ON SECURITIES INCOME GAINS OF PERIOD RETURN PERIOD (000) NET ASSETS
===================================================================================================================================
------------------------------
GOVERNMENT II FUND (CONTINUED)
------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
CLASS C
2000* $1.00 $0.03 $ -- $(0.03) $-- $1.00 2.74% $ 50,853 0.70%
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
---------------------
PRIME OBLIGATION FUND
---------------------
CLASS A
2000* $1.00 $0.03 $ -- $(0.03) $-- $1.00 3.08% $3,281,719 0.20%
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 $0.03 $ -- $(0.03) $-- $1.00 2.92% $ 411,372 0.50%
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 $0.03 $ -- $(0.03) $-- $1.00 2.82% $ 612,506 0.70%
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
CLASS H
2000*(12)$1.00 $0.01 $ -- $(0.01) $-- $1.00 0.87% $ 13 0.63%
SWEEP CLASS
2000* $1.00 $0.03 $ -- $(0.03) $-- $1.00 2.70% $ 60,933 0.95%
2000 1.00 0.04 -- (0.04) -- 1.00 4.46 14,423 0.95
1999(13) 1.00 0.03 -- (0.03) -- 1.00 4.61 5,645 0.95
-------------
TREASURY FUND
-------------
CLASS A
2000* $1.00 $0.03 $ -- $(0.03) $-- $1.00 2.98% $ 257,998 0.20%
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 $0.03 $ -- $(0.03) $-- $1.00 2.82% $ 276,920 0.50%
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(14) 1.00 0.03 -- (0.03) -- 1.00 5.18 68,089 0.50
CLASS C
2000* $1.00 $0.03 $ -- $(0.03) $-- $1.00 2.72% $ 114,886 0.70%
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(15) 1.00 0.03 -- (0.03) -- 1.00 2.68+ 14,691 0.70
SWEEP CLASS
2000* $1.00 $0.03 $ -- $(0.03) $-- $1.00 2.59% $ 92,791 0.95%
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(16) 1.00 0.02 -- (0.02) -- 1.00 4.74 69,066 0.95
</TABLE>
RATIO OF
NET
RATIO OF RATIO OF INVESTMENT
NET EXPENSES INCOME
INVESTMENT TO AVERAGE TO AVERAGE
INCOME NET ASSETS NET ASSETS
TO AVERAGE (EXCLUDING (EXCLUDING
NET ASSETS WAIVERS) WAIVERS)
=====================================================
------------------------------
GOVERNMENT II FUND (CONTINUED)
------------------------------
CLASS C
2000* 5.46% 0.74% 5.42%
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
---------------------
PRIME OBLIGATION FUND
---------------------
CLASS A
2000* 6.07% 0.49% 5.78%
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* 5.82% 0.54% 5.78%
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* 5.61% 0.74% 5.57%
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
CLASS H
2000*(12) 6.01% 0.67% 5.97%
SWEEP CLASS
2000* 5.44% 0.99% 5.40%
2000 4.49 0.99 4.45
1999(13) 4.35 1.00 4.30
-------------
TREASURY FUND
-------------
CLASS A
2000* 5.90% 0.55% 5.55%
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* 5.64% 0.60% 5.54%
2000 4.55 0.61 4.44
1999 4.86 0.62 4.74
1998(14) 5.13 0.64 4.99
CLASS C
2000* 5.38% 0.80% 5.28%
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(15) 5.12 0.87 4.95
SWEEP CLASS
2000* 5.14% 1.05% 5.04%
2000 4.08 1.06 3.97
1999 4.40 1.07 4.28
1998(16) 4.71 1.08 4.58
* ALL RATIOS FOR THE SEMI-ANNUAL PERIOD ENDED JULY 31, 2000 (UNAUDITED) HAVE
BEEN ANNUALIZED. + RETURNS ARE FOR THE PERIOD INDICATED AND HAVE NOT BEEN
ANNUALIZED.
1 MONEY MARKET CLASS B SHARES WERE FULLY LIQUIDATED MARCH 12, 1997 AND
RE-OFFERED BEGINNING AUGUST 12, 1997. ALL RATIOS AND TOTAL RETURN FOR THAT
PERIOD HAVE BEEN ANNUALIZED.
2 MONEY MARKET CLASS C SHARES WERE OFFERED BEGINNING MAY 17, 1995. ALL RATIOS
FOR THAT PERIOD HAVE BEEN ANNUALIZED.
3 MONEY MARKET SWEEP CLASS SHARES WERE OFFERED BEGINNING JULY 15, 1998. ALL
RATIOS AND TOTAL RETURN FOR THAT PERIOD HAVE BEEN ANNUALIZED.
4 GOVERNMENT CLASS A SHARES WERE RE-OFFERED BEGINNING OCTOBER 27, 1995. ALL
RATIOS FOR THAT PERIOD HAVE BEEN ANNUALIZED.
5 GOVERNMENT CLASS 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 CLASS H SHARES WERE OFFERED BEGINNING JUNE 8, 2000. ALL
RATIOS FOR THAT PERIOD HAVE BEEN ANNUALIZED.
13 PRIME OBLIGATION SWEEP CLASS SHARES WERE OFFERED BEGINNING MAY 18, 1998. ALL
RATIOS AND TOTAL RETURN FOR THAT PERIOD HAVE BEEN ANNUALIZED.
14 TREASURY CLASS B SHARES WERE OFFERED BEGINNING AUGUST 4, 1997. ALL RATIOS
AND TOTAL RETURN FOR THAT PERIOD HAVE BEEN ANNUALIZED.
15 TREASURY CLASS C SHARES WERE OFFERED BEGINNING JULY 27, 1995. ALL RATIOS FOR
THAT PERIOD HAVE BEEN ANNUALIZED.
16 TREASURY SWEEP CLASS SHARES WERE OFFERED BEGINNING AUGUST 1, 1997. ALL
RATIOS AND TOTAL RETURN FOR THAT PERIOD HAVE BEEN ANNUALIZED.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
25
<PAGE>
<TABLE>
<CAPTION>
FINANCIAL HIGHLIGHTS
-----------------------------------------------------------------------------------------------------------------------------------
SEI DAILY INCOME TRUST--FOR THE PERIOD ENDED JULY 31, 2000 (UNAUDITED) AND 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
----------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
CLASS A
2000* $ 1.00 $0.03 $ -- (0.03) $ -- $ 1.00 2.75% $362,142 0.25%
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 $0.03 $ -- (0.03) $ -- $ 1.00 2.60% $ 71,484 0.55%
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 $0.02 $ -- (0.02) $ -- $ 1.00 2.50% $ 77,812 0.75%
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* $ 9.87 $0.28 $ 0.07 $(0.28) $ -- $ 9.94 3.64% $ 82,226 0.45%
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* $ 9.86 $0.27 $ 0.08 $(0.27) $ -- $ 9.94 3.59% $ 10 0.75%
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* $ 9.62 $0.28 $ 0.16 $(0.28) $ -- $ 9.78 4.60% $ 90,406 0.50%
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* $ 9.20 $0.30 $ 0.20 $(0.30) $ -- $ 9.40 5.53% $ 74,802 0.60%
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* $ 1.97 $0.06 $ 0.01 $(0.06) $ -- $ 1.98 3.52% $ 95,504 0.35%
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
</TABLE>
RATIO OF
NET
RATIO OF RATIO OF INVESTMENT
NET EXPENSES INCOME
INVESTMENT TO AVERAGE TO AVERAGE
INCOME NET ASSETS NET ASSETS PORTFOLIO
TO AVERAGE (EXCLUDING (EXCLUDING TURNOVER
NET ASSETS WAIVERS) WAIVERS) RATE
=====================================================================
----------------
TREASURY II FUND
----------------
CLASS A
2000* 5.46% 0.54% 5.17% --%
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* 5.16% 0.59% 5.12% --%
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* 4.99% 0.79% 4.95% --%
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* 5.74% 0.74% 5.45% 62%
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* 5.42% 0.79% 5.38% 62%
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* 5.73% 0.73% 5.49% 11%
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* 6.59% 0.71% 6.48% 23%
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* 5.92% 0.73% 5.54% 31%
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>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
26
<PAGE>
NOTES TO FINANCIAL STATEMENTS
------------------------------------------------------------------------------
SEI DAILY INCOME TRUST -- JULY 31, 2000 (UNAUDITED)
1. ORGANIZATION
SEI Daily Income Trust (the "Trust") was organized as a Massachusetts business
trust under a Declaration of Trust dated March 15, 1982.
The Trust is registered under the Investment Company Act of 1940, as
amended, as a diversified, open-end investment company with ten operational
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 not readily available are valued at the most recent
quoted bid price. Unlisted securities, of which there were none on July 31,
2000, for which market quotations are not 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 characteriza-
tion 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.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
27
<PAGE>
NOTES TO FINANCIAL STATEMENTS
-------------------------------------------------------------------------------
SEI DAILY INCOME TRUST -- JULY 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%
Class H -- -- -- .63% -- --
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
28
<PAGE>
-------------------------------------------------------------------------------
A, Class B, Class C, Class H 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, Class C and Class H
shares have adopted administrative service plans that provide for administra-
tive service fees payable to the Distributor of up to .05%, .25% and .18%,
respectively, of the average daily net assets attributable to that class.
The Money Market, Government, Prime Obligation and Treasury Sweep Classes
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 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 there-
fore be higher or lower than its actual expenses. These payments may be used to
compensate 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.
5. INVESTMENT TRANSACTIONS
The cost of security purchases and the proceeds from the sale of securities,
other than temporary
29
<PAGE>
NOTES TO FINANCIAL STATEMENTS
-------------------------------------------------------------------------------
SEI DAILY INCOME TRUST -- JULY 31, 2000
investments in short-term securities for the period ended July 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 $ 34,531 $ 9,873 $17,513 $ 8,176
Other -- -- -- 9,018
SALES
U.S. Government $ 48,181 $32,634 $28,671 $ 2,409
Other -- -- -- 12,660
At July 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 July 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 $ 189 $ 103 $ 341 $ 59
Aggregate gross
unrealized loss (882) (1,893) (2,195) (595)
------ ------- ------- ------
Net unrealized loss $ (693) $(1,790) $(1,854) $ (536)
====== ======= ======= ======
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 year period 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
30
<PAGE>
-------------------------------------------------------------------------------
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
six-month period ended July 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.
31
<PAGE>
NOTES
<PAGE>
----------------------
SEI DAILY INCOME TRUST
----------------------
SEMI-ANNUAL REPORT
----------------------
JULY 31, 2000
Robert A. Nesher
CHAIRMAN
TRUSTEES
William M. Doran
F. Wendell Gooch
James M. Storey
George J. Sullivan, Jr.
Rosemarie B. Greco
OFFICERS
Edward D. Loughlin
PRESIDENT AND CHIEF EXECUTIVE OFFICER
Mark Nagle
CONTROLLER, CHIEF FINANCIAL OFFICER
Todd Cipperman
VICE PRESIDENT, ASSISTANT SECRETARY
Timothy D. Barto
VICE PRESIDENT, ASSISTANT SECRETARY
Christine McCullough
VICE PRESIDENT, ASSISTANT SECRETARY
James Foggo
VICE PRESIDENT, ASSISTANT SECRETARY
Cynthia M. Parrish
VICE PRESIDENT, ASSISTANT SECRETARY
Kevin P. Robins
VICE PRESIDENT, ASSISTANT SECRETARY
Lydia Gavalis
VICE PRESIDENT, ASSISTANT SECRETARY
Richard W. Grant
SECRETARY
INVESTMENT ADVISER
Wellington Management Company, LLP
MANAGER AND SHAREHOLDER SERVICING AGENT
SEI Investments Fund Management
DISTRIBUTOR
SEI Investments Distribution Co.
LEGAL COUNSEL
Morgan, Lewis & Bockius LLP
INDEPENDENT PUBLIC ACCOUNTANTS
Arthur Andersen LLP
THIS SEMI-ANNUAL REPORT AND THE FINANCIAL STATEMENTS CONTAINED HEREIN ARE
SUBMITTED FOR THE GENERAL INFORMATION OF THE SHAREHOLDERS OF THE TRUST AND MUST
BE PRECEDED OR ACCOMPANIED BY A CURRENT PROSPECTUS. SHARES OF THE SEI DAILY
INCOME TRUST'S FUNDS ARE NOT DEPOSITS OR OBLIGATIONS OF, OR GUARANTEED OR
ENDORSED BY, ANY BANK. THE SHARES ARE NOT FEDERALLY INSURED BY THE FEDERAL
DEPOSIT INSURANCE CORPORATION (FDIC), THE FEDERAL RESERVE BOARD, OR ANY OTHER
GOVERNMENT AGENCY. INVESTMENT IN THE SHARES INVOLVES RISK, INCLUDING THE
POSSIBLE LOSS OF PRINCIPAL. SEI INVESTMENTS DISTRIBUTION CO., THE DISTRIBUTOR
OF THE SEI DAILY INCOME TRUST, IS NOT AFFILIATED WITH ANY BANK.
FOR MORE INFORMATION CALL 1[bullet]800[bullet]DIAL[bullet]SEI/1[bullet]800
[bullet]342[bullet]5734
<PAGE>
Logo Omitted]
INVESTMENTS
DISTRIBUTION
CO.
Oaks, PA 19456-1100
800-DIAL-SEI/800-342-5734
SEI-F-037-(7/00)
<PAGE>
