UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-CSRS

CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT

INVESTMENT COMPANIES

Investment Company Act file number 811-03451

SEI Daily Income Trust

(Exact name of registrant as specified in charter)

SEI Investments

One Freedom Valley Drive

Oaks, PA 19456

(Address of principal executive offices) (Zip code)

c/o CT Corporation

101 Federal Street

Boston, MA 02110

(Name and address of agent for service)

Registrant’s telephone number, including area code: 1-800-342-5734

Date of fiscal year end: January 31, 2013

Date of reporting period: July 31, 2012

Item 1. Reports to Stockholders.

SEI Daily Income Trust

Semi-Annual Report as of July 31, 2012

Money Market Fund

Government Fund

Government II Fund

Prime Obligation Fund

Treasury Fund

Treasury II Fund

Ultra Short Duration Bond Fund

Short-Duration Government Fund

Intermediate-Duration Government Fund

GNMA Fund

TABLE OF CONTENTS

Schedule of Investments	1
Statements of Assets & Liabilities	34
Statements of Operations	36
Statements of Changes in Net Assets	38
Financial Highlights	42
Notes to Financial Statements	46
Disclosure of Fund Expenses	54
Board of Trustees Consideration in Approving the Advisory and Sub-Advisory Agreements	56

The Trust files its complete schedule of portfolio holdings with the Securities and Exchange Commission for the first and third quarters of each fiscal year on Form N-Q within sixty days after the end of the period. The Trust’s Forms N-Q are available on the Commission’s website at http://www.sec.gov, and may be reviewed and copied at the Commission’s Public Reference Room in Washington, DC. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330.

Since the Funds in SEI Daily Income Trust typically hold only fixed income securities, they generally are not expected to hold securities for which they may be required to vote proxies. Regardless, in light of the possibility of the possibility that a Fund could hold a security for which a proxy is voted, the Trust has adopted proxy voting policies. A description of the policies and procedures that the Trust uses to determine how to vote proxies relating to portfolio securities, as well as information relating to how a Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30, is available (i) without charge, upon request, by calling 1-800-DIAL-SEI; and (ii) on the Commission’s website at http://www.sec.gov.

SCHEDULE OF INVESTMENTS (Unaudited)

Money Market Fund

July 31, 2012

Description	Face Amount ($ Thousands)		Value ($ Thousands)
COMMERCIAL PAPER (B) (C) — 35.9%
ANZ National International
0.436%, 08/09/12	$	1,750	$	1,750
0.399%, 08/16/12		2,400		2,400
0.411%, 10/03/12		2,000		1,998
0.441%, 01/11/13		2,000		1,996
0.421%, 01/14/13		1,495		1,492
ASB Finance
0.346%, 08/01/12		1,295		1,295
0.481%, 09/27/12		470		470
BASF
0.180%, 08/02/12		1,660		1,660
BNZ International Funding
0.501%, 08/08/12		380		380
0.521%, 08/16/12		2,000		2,000
0.359%, 08/17/12		1,320		1,320
0.471%, 01/03/13		500		499
Coca-Cola
0.170%, 08/23/12		3,750		3,750
0.180%, 09/07/12		3,450		3,449
Commonwealth Bank of Australia
0.298%, 08/18/12		1,075		1,075
0.381%, 01/11/13 to 01/14/13		4,610		4,602
FCAR Owner Trust
0.471%, 08/01/08		1,000		1,000
0.280%, 10/01/12		3,582		3,580
0.451%, 10/01/12 to 01/02/13		5,763		5,756
General Electric Capital
0.190%, 09/26/12		4,200		4,199
Gotham Funding
0.280%, 10/23/12 to 10/24/12		5,000		4,997
Manhattan Asset Funding LLC
0.280%, 08/20/12		1,505		1,505
0.220%, 08/22/12		810		810
0.210%, 08/24/12		760		760
Market Street Funding LLC
0.230%, 08/07/12		2,200		2,200
0.210%, 08/14/12		1,405		1,405
0.260%, 10/05/12		3,235		3,233
MetLife Short-Term Funding LLC
0.200%, 08/06/12		1,220		1,220
0.241%, 09/05/12		970		970
0.240%, 10/15/12		5,310		5,307
National Australia Funding Delaware
0.330%, 01/14/13		971		969

Description	Face Amount ($ Thousands)		Value ($ Thousands)
Nestle Finance International
0.200%, 08/28/12	$	1,000	$	1,000
0.170%, 08/30/12		3,200		3,199
0.306%, 12/17/12		1,775		1,773
New York Life Capital
0.169%, 10/19/12		440		440
Novartis Securities Investment
0.175%, 08/13/12		1,565		1,565
0.170%, 09/04/12		1,960		1,960
Salisbury Receivables LLC
0.260%, 08/09/12		1,123		1,123
0.274%, 08/10/12		7,490		7,489
Total Capital Canada
0.200%, 08/09/12		1,000		1,000
Toyota Credit Canada
0.220%, 10/02/12		1,416		1,415
0.230%, 10/16/12		925		924
Toyota Financial Services de Puerto Rico
0.250%, 08/20/12		6,000		5,999
Westpac Securities
0.511%, 08/08/12		1,000		1,000
0.501%, 08/23/12 to 08/27/12		1,500		1,500
0.428%, 10/01/12		1,545		1,544
0.461%, 01/02/13		3,652		3,645
Working Capital Management
0.239%, 08/13/12		3,250		3,250
Total Commercial Paper (Cost $106,873) ($ Thousands)				106,873
CERTIFICATES OF DEPOSIT — 18.9%
Australia & New Zealand Banking Group
1.122%, 08/27/12 (A)		3,200		3,200
Bank of Nova Scotia
0.299%, 08/16/12 (A)		2,000		2,000
0.298%, 08/17/12 (A)		2,825		2,825
0.298%, 08/18/12 (A)		1,500		1,500
0.334%, 08/26/12 (A)		800		800
0.755%, 10/18/12 (A)		275		275
0.320%, 10/18/12		1,500		1,500
0.337%, 10/19/12 (A)		1,170		1,170
0.337%, 10/20/12 (A)		1,160		1,160
0.330%, 01/10/13		1,500		1,500
Bank of Tokyo-Mitsubishi UFJ NY
0.360%, 09/25/12		5,000		5,000
0.360%, 10/03/12		3,000		3,000
Credit Suisse NY
0.280%, 08/01/12		2,800		2,800
National Australia Bank
0.294%, 08/29/12 (A)		1,000		1,000
0.380%, 01/11/13		2,000		2,000
0.380%, 01/15/13		1,000		1,000
0.350%, 01/18/13		2,000		2,000

SEI Daily Income Trust / Semi-Annual Report / July 31, 2012 1

SCHEDULE OF INVESTMENTS (Unaudited)

Money Market Fund (Continued)

July 31, 2012

Description	Face Amount ($ Thousands)		Value ($ Thousands)
State Street Bank and Trust
0.250%, 09/17/12	$	1,000	$	1,000
0.190%, 10/11/12		3,395		3,395
Sumitomo Mitsui Banking
0.340%, 08/15/12		1,900		1,900
0.340%, 10/12/12		3,000		3,000
0.340%, 10/16/12		4,000		4,000
Svenska Handelsbanken
0.585%, 08/17/12		1,550		1,550
0.580%, 08/24/12		3,000		3,000
Toronto-Dominion Bank
0.346%, 08/03/12 (A)		815		815
0.317%, 08/20/12 (A)		2,920		2,920
0.300%, 01/22/13		1,730		1,730
Total Certificates of Deposit (Cost $56,040) ($ Thousands)				56,040
MUNICIPAL BONDS (A) — 6.2%
California — 1.6%
California State, Sub-Ser A, GO
0.170%, 08/01/12		1,050		1,050
Calleguas-Las Virgenes, Public Financing Authority, Ser A, RB
0.130%, 08/02/12		225		225
East Bay, Municipal Utility District, Ser A-2, RB
0.140%, 08/01/12		385		385
Southern California, Metropolitan Water District, Ser A-2, RB
0.140%, 08/02/12		1,675		1,675
Southern California, Metropolitan Water District, Ser B-4, RB
0.130%, 08/01/12		1,300		1,300
				4,635
Colorado — 0.1%
Colorado State, Housing & Finance Authority, Ser AA1, RB
0.180%, 08/01/12		395		395
Connecticut — 0.2%
Connecticut State, Housing & Finance Authority, Sub-Ser A-5, RB
0.157%, 08/02/12		660		660
Illinois — 0.5%
Illinois State, Toll Highway Authority, Ser Senior A-1A, RB
0.290%, 08/02/12		1,375		1,375
Iowa — 0.4%
Iowa State, Finance Authority, Ser C, RB
0.187%, 08/02/12		1,245		1,245

Description	Face Amount ($ Thousands)		Value ($ Thousands)
Iowa State, Finance Authority, Ser G, RB
0.190%, 08/02/12	$	55	$	55
				1,300
Massachusetts — 0.1%
Simmons College, RB
0.200%, 08/02/12		235		235
Michigan — 0.4%
Kent, Hospital Finance Authority, Ser C, RB
0.120%, 08/01/12		1,165		1,165
Missouri — 0.1%
St. Louis, Industrial Development Authority, Ser B, RB
0.170%, 08/01/12		260		260
New Hampshire — 0.1%
New Hampshire State, Health & Education Facilities Authority, Ser C, RB
0.180%, 08/01/12		190		190
New Mexico — 0.1%
New Mexico State, Finance Authority, Sub-Ser D, RB
0.177%, 08/02/12		300		300
New York — 0.2%
City of New York, Sub-Ser D-3, GO
0.130%, 08/01/12		485		485
Texas — 2.0%
JPMorgan Chase Putters, Ser 3945, RB
0.180%, 08/01/12		515		515
JPMorgan Chase Putters, Ser 3953, RB
0.180%, 08/01/12		2,085		2,085
Texas State, GO
0.210%, 08/01/12		340		340
0.210%, 08/07/12		95		95
0.200%, 08/07/12		375		375
Texas State, Ser A, GO
0.200%, 08/07/12		485		485
Texas State, Ser A-2, GO
0.167%, 08/01/12		1,000		1,000
Texas State, Ser B, GO
0.210%, 08/02/12		375		375
Texas State, Ser B2, GO
0.207%, 08/01/12		100		100
Texas State, Ser I, GO
0.207%, 08/01/12		195		195
University of Texas System, Ser B, RB
0.100%, 08/02/12		540		540
				6,105

2 SEI Daily Income Trust / Semi-Annual Report / July 31, 2012

Description	Face Amount ($ Thousands)		Value ($ Thousands)
Washington — 0.1%
Washington State, Health Care Facilities Authority, Ser C, RB
0.150%, 08/01/12	$	460	$	460
Wisconsin — 0.3%
Wisconsin State, Health & Educational Facilities Authority, RB
0.150%, 08/01/12		800		800
Wisconsin State, Health & Educational Facilities Authority, Ser B, RB
0.160%, 08/01/12		170		170
				970
Total Municipal Bonds (Cost $18,535) ($ Thousands)				18,535
U.S. GOVERNMENT AGENCY OBLIGATIONS — 5.2%
FFCB (A)
0.266%, 08/10/12		1,000		1,000
FHLB
0.240%, 08/01/12 (A)		2,800		2,800
0.230%, 08/01/12 (A)		975		974
1.875%, 06/21/13		2,830		2,871
FHLMC (A)
0.440%, 08/01/12		2,780		2,779
FNMA (A)
0.380%, 08/01/12		895		895
0.370%, 08/01/12		500		500
0.277%, 08/20/12		1,000		1,000
0.227%, 10/20/12		1,480		1,479
FNMA, Ser 1 (A)
0.400%, 08/01/12		1,000		1,000
Total U.S. Government Agency Obligations (Cost $15,298) ($ Thousands)				15,298
TIME DEPOSIT — 1.9%
U.S. Bank N.A.
0.200%, 08/01/12		5,750		5,750
Total Time Deposit (Cost $5,750) ($ Thousands)				5,750
U.S. TREASURY OBLIGATIONS — 1.8%
U.S. Treasury Notes
1.375%, 09/15/12 to 01/15/13		3,490		3,505
3.875%, 10/31/12		750		757
0.500%, 11/30/12		550		551
1.125%, 12/15/12		625		627
Total U.S. Treasury Obligations (Cost $5,440) ($ Thousands)				5,440

Description	Face Amount ($ Thousands)		Value ($ Thousands)
CORPORATE OBLIGATIONS — 0.4%
Commonwealth Bank of Australia
2.750%, 10/15/12 (D)	$	430	$	432
General Electric Capital MTN
2.800%, 01/08/13		129		130
Metropolitan Life Global Funding I
2.875%, 09/17/12 (D)		484		486
Total Corporate Obligations (Cost $1,048) ($ Thousands)				1,048
REPURCHASE AGREEMENTS (E) — 29.7%
Citibank 0.180%, dated 07/31/12, to be repurchased on 08/01/12, repurchase price $16,000,080 (collateralized by various FHLMC/FNMA/GNMA obligations, ranging in par value $531,707-$18,048,000, 3.500%-6.000%, 06/20/36-01/01/42, with total market value $16,320,082)		16,000		16,000
Goldman Sachs 0.170%, dated 07/31/12, to be repurchased on 08/01/12, repurchase price $2,327,011 (collateralized by FNMA, par value $2,626,441, 3.214%, 09/01/41, with total market value $2,373,551)		2,327		2,327
JPMorgan Chase 0.260%, dated 07/31/12, to be repurchased on 08/07/12, repurchase price $1,725,087 (collateralized by Ford Motor Credit, par value $1,435,000, 12.000%, 05/15/15, with total market value $1,815,581) (F)		1,725		1,725
JPMorgan Chase 0.300%, dated 07/31/12, to be repurchased on 08/01/12, repurchase price $5,175,043 (collateralized by Ford Motor Credit, par value $4,295,000, 12.000%, 05/15/15, with total market value $5,434,091)		5,175		5,175
JPMorgan Chase 0.190%, dated 07/31/12, to be repurchased on 08/01/12, repurchase price $16,000,084 (collateralized by various FNMA obligations, ranging in par value $1,210,000-$3,008,951, 4.000%-5.500%, 11/01/25-07/01/42, with total market value $16,323,524)		16,000		16,000

SEI Daily Income Trust / Semi-Annual Report / July 31, 2012 3

SCHEDULE OF INVESTMENTS (Unaudited)

Money Market Fund (Concluded)

July 31, 2012

Description	Face Amount ($ Thousands)		Value ($ Thousands)
Mizuho Securities 0.280%, dated 07/31/12, to be repurchased on 08/01/12, repurchase price $8,090,063 (collateralized by U.S. Treasury Notes, par value $7,899,900, 3.125%, 08/31/13, with total market value $8,251,884)	$	8,090	$	8,090
RBC Capital 0.230%, dated 07/26/12, to be repurchased on 08/02/12, repurchase price $2,778,124 (collateralized by Liberty Funding, par value $2,864,052, 0.260%, 10/26/12, with total market value $2,861,637)		2,778		2,778
RBC Capital 0.170%, dated 07/31/12, to be repurchased on 08/01/12, repurchase price $16,000,076 (collateralized by FNMA, par value $15,436,234, 3.500%, 05/01/42, with total market value $16,320,078)		16,000		16,000
Wells Fargo 0.250%, dated 07/31/12, to be repurchased on 08/01/12, repurchase price $4,290,030 (collateralized by various corporate obligations*‡, ranging in par value $699,505-$2,897,663, 5.800%-6.817%, 08/15/18-03/01/21, with total market value $4,504,532)		4,290		4,290
Wells Fargo 0.190%, dated 07/31/12, to be repurchased on 08/01/12, repurchase price $16,000,084 (collateralized by FNMA, par value $15,938,484, 4.333%, 11/01/38, with total market value $16,320,087)		16,000		16,000
Total Repurchase Agreements (Cost $88,385) ($ Thousands)				88,385
Total Investments — 100.0% (Cost $297,369) ($ Thousands)			$	297,369

* A summary of the corporate obligations used to collateralize repurchase agreements entered into by the Fund at July 31, 2012, is as follows:

Counterparty	Corporate Obligation		Rate			Maturity Date		Par Amount ($ Thousands)
Wells Fargo		Kinder Morgan		5.800	%		03/01/21	$	700
		Metlife Capital		6.817			08/15/18		2,898

Percentages are based on Net Assets of $297,365 ($ Thousands).

‡ Securities are FDIC guaranteed.

(A) Floating Rate Instrument. The rate reflected on the Schedule of Investments is the rate in effect on July 31, 2012. The demand and interest rate reset features give this security a shorter effective maturity date.

(B) The rate reported is the effective yield at time of purchase.

(C) Securities are held in connection with a letter of credit issued by a major bank.

(D) Securities sold within terms of a private placement memorandum, exempt from registration under Section 144A of the Securities Act of 1933, as amended, and may be sold only to dealers in that program or other “accredited investors.” These securities have been determined to be liquid under guidelines established by the Board of Trustees.

(E) Tri-Party Repurchase Agreement.

(F) Securities considered illiquid. The total value of such securities as of July 31, 2012 was $1,725 ($ Thousands) and represented 0.6% of Net Assets.

FDIC — Federal Deposit Insurance Corporation

FFCB — Federal Farm Credit Bank

FHLB — Federal Home Loan Bank

FHLMC — Federal Home Loan Mortgage Corporation

FNMA — Federal National Mortgage Association

GNMA — Government National Mortgage Association

GO — General Obligation

LLC — Limited Liability Company

MTN — Medium Term Note

NY — New York

RB — Revenue Bond

Ser — Series

As of July 31, 2012, all of the Fund’s investments are Level 2 in accordance with ASC-820.

As of July 31, 2012, there were no transfers between Level 1 and Level 2 assets and liabilities. As of July 31, 2012, there were no Level 3 securities.

For more information on valuation inputs, see Note 2 — Significant Accounting Policies in Notes to Financial Statements.

The accompanying notes are an integral part of the financial statements.

4 SEI Daily Income Trust / Semi-Annual Report / July 31, 2012

SCHEDULE OF INVESTMENTS (Unaudited)

Government Fund

July 31, 2012

Description	Face Amount ($ Thousands)		Value ($ Thousands)
U.S. TREASURY OBLIGATIONS — 25.7%
U.S. Treasury Notes
1.375%, 09/15/12 to 02/15/13	$	156,845	$	157,469
0.375%, 09/30/12		10,000		10,004
3.875%, 10/31/12		10,000		10,092
4.000%, 11/15/12		19,000		19,212
3.375%, 11/30/12		18,000		18,189
0.500%, 11/30/12		59,000		59,063
1.125%, 12/15/12		21,000		21,074
0.625%, 01/31/13		12,740		12,769
3.875%, 02/15/13		8,800		8,975
1.750%, 04/15/13		11,000		11,121
Total U.S. Treasury Obligations (Cost $327,968) ($ Thousands)				327,968
U.S. GOVERNMENT AGENCY OBLIGATIONS — 22.1%
FFCB
0.345%, 08/01/12 (A)		1,496		1,496
0.340%, 08/01/12 (A)		6,000		6,000
0.300%, 08/01/12 (A)		1,160		1,160
0.280%, 08/01/12 (A)		8,000		8,000
0.240%, 08/01/12 (A)		8,500		8,499
0.266%, 08/05/12 to 08/10/12 (A)		6,830		6,830
0.416%, 08/07/12 (A)		3,000		3,000
0.269%, 08/12/12 to 08/13/12 (A)		1,195		1,195
0.259%, 08/13/12 (A)		8,848		8,849
0.277%, 08/20/12 (A)		1,000		1,000
0.217%, 08/24/12 (A)		125		125
0.174%, 08/26/12 (A)		3,000		3,000
0.434%, 08/27/12 (A)		125		125
0.184%, 08/27/12 (A)		12,000		11,998
0.195%, 08/29/12 (A)		2,115		2,115
0.140%, 01/28/13		4,420		4,419
FFCB, Ser 1 (A)
0.378%, 09/22/12		2,000		2,000
0.396%, 10/25/12		1,470		1,470
FFCB, Ser 2 (A)
0.245%, 08/28/12		200		200
FHLB
0.380%, 08/01/12 (A)		1,000		1,000
0.310%, 08/01/12 (A)		100		100
0.240%, 08/01/12 (A)		7,000		6,998
0.230%, 08/01/12 (A)		11,925		11,919
0.194%, 08/26/12 (A)		12,500		12,499
0.200%, 11/19/12 to 11/29/12		7,600		7,601
1.625%, 11/21/12		325		326
0.190%, 01/14/13		2,905		2,905
1.500%, 01/16/13		5,000		5,030
0.170%, 01/18/13		12,015		12,013

Description	Face Amount ($ Thousands)		Value ($ Thousands)
0.125%, 04/30/13	$	14,210	$	14,200
FHLB, Ser 1
0.220%, 08/01/12 (A)		1,350		1,349
0.196%, 08/25/12 (A)		2,000		2,000
0.170%, 01/23/13		10,605		10,603
FHLMC
0.440%, 08/01/12 (A)		2,001		2,005
0.280%, 08/01/12 (A)		723		723
0.196%, 08/03/12 (A)		2,500		2,499
0.195%, 08/04/12 (A)		12,000		11,997
0.206%, 08/10/12 (A)		4,790		4,790
0.207%, 08/21/12 (A)		4,255		4,254
4.500%, 01/15/13		15,807		16,115
FHLMC DN (B)
0.175%, 10/03/12		825		825
0.190%, 01/14/13		10,825		10,815
FHLMC MTN (A)
0.185%, 08/02/12		8,000		7,999
FNMA
0.380%, 08/01/12 (A)		5,000		4,999
0.370%, 08/01/12 (A)		1,700		1,700
0.216%, 08/08/12 (A)		19,543		19,536
0.376%, 08/17/12 (A)		78		78
0.277%, 08/20/12 (A)		4,000		4,000
0.275%, 08/28/12 (A)		70		70
0.227%, 10/20/12 (A)		7,830		7,827
3.625%, 02/12/13		1,313		1,337
FNMA DN (B)
0.155%, 01/04/13		11,435		11,427
FNMA, Ser 1
0.400%, 08/01/12 (A)		5,850		5,850
0.340%, 08/01/12 (A)		435		435
4.750%, 11/19/12		2,708		2,745
Total U.S. Government Agency Obligations (Cost $282,050) ($ Thousands)				282,050
REPURCHASE AGREEMENTS (C) — 52.1%
Barclays Capital 0.170%, dated 07/31/12, to be repurchased on 08/01/12, repurchase price $22,573,107 (collateralized by various U.S. Treasury Notes, ranging in par value $4,334,500-$17,333,900, 2.500%-4.250%, 08/15/13-04/30/15, with total market value $23,024,493)		22,573		22,573
Credit Suisse 0.180%, dated 05/21/12, to be repurchased on 08/20/12, repurchase price $12,005,640 (collateralized by various FFCB/FHLB/FHLMC/RFCO obligations, ranging in par value $15,000-$17,811,500, 0.000%-8.625%, 12/21/12-04/15/30, with total market value $12,240,010)		12,000		12,000

SEI Daily Income Trust / Semi-Annual Report / July 31, 2012 5

SCHEDULE OF INVESTMENTS (Unaudited)

Government Fund (Concluded)

July 31, 2012

Description	Face Amount ($ Thousands)		Value ($ Thousands)
Goldman Sachs 0.180%, dated 07/31/12, to be repurchased on 08/01/12, repurchase price $29,485,147 (collateralized by GMAC, par value $30,115,419, 1.750%, 10/30/12, with total market value $30,369,702)	$	29,485	$	29,485
Goldman Sachs 0.160%, dated 07/31/12, to be repurchased on 08/01/12, repurchase price $212,728,945 (collateralized by various FHLB/FHLMC/FNMA obligations, ranging in par value $10,540,639-$27,527,000, 0.000%-5.250%, 09/17/12-06/06/22, with total market value $216,984,321)		212,728		212,728
JPMorgan Chase 0.180%, dated 07/31/12, to be repurchased on 08/01/12, repurchase price $200,001,000 (collateralized by RFCO‡, ranging in par value $38,000-$89,212,000, 0.000%-9.375%, 04/15/16-04/15/30, with total market value $204,003,866)		200,000		200,000
RBC Capital 0.170%, dated 07/13/12, to be repurchased on 10/11/12, repurchase price $30,012,750 (collateralized by various FAMC/FCSB/FHLB/FHLMC/FICO/FNMA obligations, ranging in par value $5,000-$2,000,000, 0.000%-7.250%, 08/09/12-12/26/31, with total market value $30,613,026) (D)		30,000		30,000
UBS 0.200%, dated 07/31/12, to be repurchased on 08/01/12, repurchase price $7,370,041 (collateralized by Citigroup Funding‡, par value $7,523,493, 1.875%, 10/22/12, with total market value $7,591,101)		7,370		7,370
UBS 0.180%, dated 07/31/12, to be repurchased on 08/01/12, repurchase price $150,000,750 (collateralized by various FHLB/FNMA/REFC obligations, ranging in par value $24,728,000-$80,252,000, 0.000%-5.250%, 08/01/12-04/15/17, with total market value $153,000,220)		150,000		150,000
Total Repurchase Agreements (Cost $664,156) ($ Thousands)				664,156
Total Investments — 99.9% (Cost $1,274,174) ($ Thousands)			$	1,274,174

Percentages are based on Net Assets of $1,275,392 ($ Thousands).

‡ Securities are FDIC guaranteed.

(A) Floating Rate Instrument. The rate reflected on the Schedule of Investments is the rate in effect on July 31, 2012. The demand and interest rate reset features give this security a shorter effective maturity date.

(B) The rate reported is the effective yield at time of purchase.

(C) Tri-Party Repurchase Agreement.

(D) Security considered illiquid. The total value of such securities as of July 31, 2012 was $30,000 ($ Thousands) and represented 2.4% of Net Assets

DN — Discount Note

FAMC — Franklin American Mortgage Company

FCSB — Federal Farm Credit Banks Consolidated Systemwide Bonds

FDIC — Federal Deposit Insurance Corporation

FFCB — Federal Farm Credit Bank

FHLB — Federal Home Loan Bank

FHLMC — Federal Home Loan Mortgage Corporation

FICO — Financing Corporation

FNMA — Federal National Mortgage Association

MTN — Medium Term Note

REFC — Rural Electrification Financing Corporation

RFCO — Resolution Funding Corporation

Ser — Series

As of July 31, 2012, all of the Fund’s investments are Level 2 in accordance with ASC-820.

As of July 31, 2012, there were no transfers between Level 1 and Level 2 assets and liabilities. As of July 31, 2012, there were no Level 3 securities.

For more information on valuation inputs, see Note 2 — Significant Accounting Policies in Notes to Financial Statements.

The accompanying notes are an integral part of the financial statements.

6 SEI Daily Income Trust / Semi-Annual Report / July 31, 2012

SCHEDULE OF INVESTMENTS (Unaudited)

Government II Fund

July 31, 2012

Description	Face Amount ($ Thousands)		Value ($ Thousands)
U.S. GOVERNMENT AGENCY OBLIGATIONS — 61.7%
FFCB
0.345%, 08/01/12 (B)	$	3,754	$	3,755
0.340%, 08/01/12 (B)		20,500		20,500
0.300%, 08/01/12 (B)		3,240		3,240
0.280%, 08/01/12 (B)		11,000		11,000
0.240%, 08/01/12 (B)		8,000		7,999
0.215%, 08/01/12 (B)		7,000		6,999
0.266%, 08/05/12 to 08/10/12 (B)		15,040		15,039
0.416%, 08/07/12 (B)		13,000		12,999
0.269%, 08/12/12 to 08/13/12 (B)		9,436		9,437
0.259%, 08/13/12 (B)		775		775
0.237%, 08/19/12 (B)		1,100		1,100
0.277%, 08/20/12 (B)		2,505		2,505
0.600%, 08/22/12		925		925
0.217%, 08/24/12 (B)		180		180
0.174%, 08/26/12 (B)		5,000		5,000
0.434%, 08/27/12 (B)		150		150
0.244%, 08/27/12 (B)		2,000		2,000
0.184%, 08/27/12 (B)		14,000		13,998
0.235%, 08/28/12 (B)		13,000		13,000
0.195%, 08/29/12 (B)		7,170		7,169
2.500%, 01/14/13		840		849
0.140%, 01/28/13		1,880		1,879
FFCB DN (A)
0.010%, 08/01/12		9,165		9,165
FFCB, Ser 1 (B)
0.174%, 08/27/12		14,000		14,000
0.357%, 08/28/12		11,345		11,347
0.378%, 09/22/12		5,000		5,000
0.396%, 10/25/12		1,848		1,848
FFCB, Ser 2 (B)
0.245%, 08/28/12		300		300
FHLB
0.310%, 08/01/12 (B)		4,700		4,700
0.240%, 08/01/12 (B)		4,500		4,499
0.230%, 08/01/12 (B)		11,390		11,384
0.199%, 08/13/12 (B)		7,000		7,000
1.750%, 08/22/12		1,925		1,927
0.197%, 08/23/12 (B)		2,750		2,750
0.194%, 08/26/12 (B)		9,000		8,999
0.174%, 08/27/12 (B)		2,350		2,350
0.200%, 11/19/12 to 11/29/12		9,000		9,002
1.625%, 11/21/12		375		377
0.210%, 01/04/13		435		435
0.190%, 01/14/13 to 02/22/13		4,755		4,755
1.500%, 01/16/13		1,860		1,871
0.125%, 01/17/13 to 04/30/13		13,670		13,661
0.170%, 01/23/13		855		855

Description	Face Amount ($ Thousands)		Value ($ Thousands)
0.180%, 02/15/13	$	1,465	$	1,465
3.375%, 02/27/13		7,230		7,361
0.220%, 06/04/13		4,500		4,500
FHLB DN (A)
0.023%, 08/01/12		127,668		127,668
0.100%, 08/08/12		44,461		44,460
0.104%, 08/10/12		34,610		34,609
0.075%, 08/14/12 to 08/17/12		74,768		74,766
0.090%, 08/16/12		920		920
0.097%, 08/22/12		31,335		31,333
0.115%, 08/29/12		80,741		80,734
0.125%, 09/26/12		4,520		4,519
0.130%, 10/03/12		30,365		30,358
0.153%, 12/05/12		2,590		2,589
0.150%, 12/07/12 to 01/07/13		10,670		10,664
0.171%, 01/02/13		15,430		15,419
0.170%, 01/16/13		11,760		11,751
FHLB, Ser 1
0.220%, 08/01/12 (B)		1,305		1,304
0.196%, 08/25/12 (B)		3,700		3,700
0.170%, 01/23/13		10,105		10,103
Tennessee Valley Authority DN (A)
0.090%, 08/09/12		8,800		8,800
0.100%, 08/16/12		13,724		13,723
0.110%, 08/23/12		113,905		113,897
Total U.S. Government Agency Obligations (Cost $891,366) ($ Thousands)				891,366
U.S. TREASURY OBLIGATIONS — 38.2%
U.S. Treasury Bills (A)
0.040%, 08/02/12		297,692		297,692
0.030%, 08/16/12		11,915		11,915
U.S. Treasury Notes
1.750%, 08/15/12 to 04/15/13		24,085		24,246
4.125%, 08/31/12		15,000		15,049
1.375%, 09/15/12 to 02/15/13		95,355		95,803
0.375%, 09/30/12 to 10/31/12		12,200		12,206
3.875%, 10/31/12		17,750		17,915
4.000%, 11/15/12		15,500		15,673
3.375%, 11/30/12		14,000		14,147
0.500%, 11/30/12		22,500		22,524
1.125%, 12/15/12		12,000		12,042
0.625%, 01/31/13		3,000		3,007
3.875%, 02/15/13		8,580		8,750
Total U.S. Treasury Obligations (Cost $550,969) ($ Thousands)				550,969
Total Investments — 99.9% (Cost $1,442,335) ($ Thousands)			$	1,442,335

Percentages are based on Net Assets of $1,443,699 ($ Thousands).

(A) The rate reported is the effective yield at time of purchase.

(B) Floating Rate Instrument. The rate reflected on the Schedule of Investments is the rate in effect on July 31, 2012. The demand and interest rate reset features give this security a shorter effective maturity date.

SEI Daily Income Trust / Semi-Annual Report / July 31, 2012 7

SCHEDULE OF INVESTMENTS (Unaudited)

Government II Fund (Concluded)

July 31, 2012

DN — Discount Note

FFCB — Federal Farm Credit Bank

FHLB — Federal Home Loan Bank

Ser — Series

As of July 31, 2012, all of the Fund’s investments are Level 2 in accordance with ASC-820.

As of July 31, 2012, there were no transfers between Level 1 and Level 2 assets and liabilities. As of July 31, 2012, there were no Level 3 securities.

For more information on valuation inputs, see Note 2 — Significant Accounting Policies in Notes to Financial Statements.

The accompanying notes are an integral part of the financial statements.

8 SEI Daily Income Trust / Semi-Annual Report / July 31, 2012

SCHEDULE OF INVESTMENTS (Unaudited)

Prime Obligation Fund

July 31, 2012

Description	Face Amount ($ Thousands)		Value ($ Thousands)
COMMERCIAL PAPER (B) (C) — 41.0%
ANZ National International
0.436%, 08/09/12	$	50,000	$	50,000
0.399%, 08/16/12		30,000		30,000
0.411%, 10/03/12		26,000		25,981
0.441%, 01/11/13		47,000		46,906
0.381%, 01/18/13		8,000		7,986
ASB Finance
0.481%, 09/27/12		6,900		6,895
BASF
0.180%, 08/02/12		21,545		21,545
BNZ International Funding
0.501%, 08/08/12		15,190		15,188
0.470%, 01/03/13		29,955		29,894
Coca-Cola
0.190%, 09/10/12		20,000		19,996
0.230%, 10/17/12		40,000		39,980
0.210%, 10/19/12		20,000		19,991
Commonwealth Bank of Australia
0.298%, 08/18/12		15,300		15,300
0.310%, 10/26/12		17,525		17,512
0.381%, 01/11/13 to 01/14/13		57,435		57,334
FCAR Owner Trust
0.471%, 08/01/08		18,000		18,000
0.501%, 09/04/12		3,000		2,999
0.300%, 09/12/12		1,125		1,125
0.451%, 10/01/12		40,000		39,969
0.280%, 10/01/12		44,786		44,765
0.451%, 01/02/13		34,272		34,206
General Electric Capital
0.190%, 09/26/12		90,000		89,973
Gotham Funding
0.280%, 10/22/12 to 10/23/12		67,880		67,836
Manhattan Asset Funding LLC
0.220%, 08/14/12		5,408		5,408
0.280%, 08/20/12		19,620		19,617
Market Street Funding LLC
0.260%, 09/19/12		23,900		23,892
0.260%, 10/05/12		43,805		43,784
0.230%, 10/19/12		22,032		22,021
MetLife Short-Term Funding LLC
0.250%, 08/13/12		2,000		2,000
0.240%, 09/05/12		31,969		31,961
0.240%, 10/15/12 to 10/23/12		91,014		90,968
0.260%, 10/29/12 to 11/02/12		52,250		52,216

Description	Face Amount ($ Thousands)		Value ($ Thousands)
Nestle Finance International
0.200%, 08/28/12	$	20,000	$	19,997
0.306%, 12/17/12		23,490		23,462
New York Life Capital
0.170%, 10/19/12		5,560		5,558
Novartis Securities Investment
0.175%, 08/13/12		17,410		17,409
0.170%, 09/04/12		25,390		25,386
Old Line Funding LLC
0.180%, 09/18/12		15,525		15,521
Sheffield Receivables
0.280%, 08/02/12		24,005		24,005
Siemens Capital LLC
0.160%, 08/23/12		42,000		41,996
Total Capital Canada
0.197%, 08/09/12		77,345		77,342
Toyota Credit Canada
0.220%, 10/02/12		19,142		19,135
0.230%, 10/16/12		11,625		11,619
0.220%, 10/22/12		12,000		11,994
Toyota Motor Credit
0.200%, 08/20/12		46,202		46,197
0.200%, 08/21/12		36,000		35,996
Variable Funding Capital LLC
0.200%, 10/15/12		57,655		57,631
Wal-Mart Stores
0.150%, 08/06/12		19,000		19,000
Westpac Securities
0.438%, 09/06/12		20,698		20,689
0.431%, 10/01/12		13,795		13,785
0.461%, 01/02/13		45,301		45,212
Working Capital Management
0.230%, 08/02/12 to 08/14/12		57,195		57,193
0.239%, 08/13/12		40,905		40,902
Total Commercial Paper (Cost $1,625,277) ($ Thousands)				1,625,277
CERTIFICATES OF DEPOSIT — 19.0%
Bank of Montreal
0.170%, 09/18/12		23,500		23,500
Bank of Nova Scotia
0.299%, 08/16/12 (A)		41,000		41,000
0.298%, 08/17/12 (A)		40,620		40,620
0.298%, 08/18/12 (A)		22,650		22,650
0.334%, 08/26/12 (A)		10,000		10,000
0.750%, 10/15/12		1,390		1,391
0.755%, 10/18/12 (A)		3,995		3,998
0.320%, 10/18/12		22,650		22,650
0.330%, 01/10/13		20,185		20,185
Bank of Tokyo-Mitsubishi UFJ NY
0.360%, 09/25/12		60,000		60,000
0.360%, 10/23/12		14,000		14,000
Credit Suisse NY
0.280%, 08/01/12		44,000		44,000

SEI Daily Income Trust / Semi-Annual Report / July 31, 2012 9

SCHEDULE OF INVESTMENTS (Unaudited)

Prime Obligation Fund (Continued)

July 31, 2012

Description	Face Amount ($ Thousands)		Value ($ Thousands)
National Australia Bank
0.294%, 08/29/12 (A)	$	15,000	$	15,000
0.380%, 01/11/13		12,000		12,000
0.380%, 01/15/13		20,000		20,000
0.350%, 01/18/13		20,000		20,000
0.365%, 01/25/13		16,000		16,001
State Street Bank and Trust
0.250%, 09/17/12		50,600		50,600
0.190%, 10/11/12		42,735		42,735
Sumitomo Mitsui Banking
0.340%, 10/12/12		41,000		41,000
0.340%, 10/16/12		60,000		60,000
0.340%, 10/24/12		23,000		23,000
Svenska Handelsbanken
0.585%, 08/17/12		33,450		33,450
0.580%, 08/24/12		46,000		46,000
Toronto-Dominion Bank
0.346%, 08/03/12 (A)		9,240		9,242
0.317%, 08/20/12 (A)		37,870		37,870
0.300%, 01/22/13		23,740		23,740
Total Certificates of Deposit (Cost $754,632) ($ Thousands)				754,632
MUNICIPAL BONDS (A) — 5.8%
California — 1.0%
California State, Sub-Ser A, GO
0.170%, 08/01/12		15,910		15,910
Calleguas-Las Virgenes, Public Financing Authority, Ser A, RB
0.130%, 08/02/12		3,385		3,385
East Bay, Municipal Utility District, Ser A-2, RB
0.140%, 08/01/12		5,700		5,700
Southern California, Metropolitan Water District, Ser B-4, RB
0.130%, 08/01/12		13,900		13,900
				38,895
Colorado — 0.4%
Colorado State, Housing & Finance Authority, Ser A1, RB
0.240%, 08/01/12		100		100
0.190%, 08/01/12		900		900
0.180%, 08/01/12		1,735		1,735
0.180%, 08/01/12		2,975		2,975
Colorado State, Housing & Finance Authority, Ser AA1, RB
0.180%, 08/01/12		3,665		3,665
Colorado State, Housing & Finance Authority, Ser B1, RB
0.210%, 08/01/12		3,425		3,425

Description	Face Amount ($ Thousands)		Value ($ Thousands)
Colorado State, Housing & Finance Authority, Ser C1, RB
0.180%, 08/01/12	$	1,000	$	1,000
Colorado State, Housing & Finance Authority, Ser CL1, RB
0.190%, 08/01/12		300		300
				14,100
Connecticut — 0.1%
Connecticut State, Housing & Finance Authority, Sub-Ser A-5, RB
0.157%, 08/02/12		4,265		4,265
Illinois — 0.5%
Illinois State, Toll Highway Authority, Ser Senior A-1A, RB
0.290%, 08/02/12		20,370		20,370
Iowa — 0.2%
Iowa State, Finance Authority, Ser B, RB
0.200%, 08/02/12		900		900
Iowa State, Finance Authority, Ser C, RB
0.187%, 08/02/12		8,005		8,005
Iowa State, Finance Authority, Ser G, RB
0.190%, 08/02/12		280		280
Iowa State, Finance Authority, Ser M, RB
0.190%, 08/02/12		700		700
				9,885
Massachusetts — 0.1%
Simmons College, RB
0.200%, 08/02/12		2,905		2,905
Michigan — 0.4%
Kent, Hospital Finance Authority, Ser C, RB
0.120%, 08/01/12		17,365		17,365
Minnesota — 0.0%
Minnesota State, Housing Finance Agency, Ser T, RB
0.210%, 08/02/12		195		195
Missouri — 0.1%
St. Louis, Industrial Development Authority, Ser B, RB
0.170%, 08/01/12		3,940		3,940
New Hampshire — 0.1%
New Hampshire State, Health & Education Facilities Authority, Ser C, RB
0.180%, 08/01/12		2,945		2,945

10 SEI Daily Income Trust / Semi-Annual Report / July 31, 2012

Description	Face Amount ($ Thousands)		Value ($ Thousands)
New Mexico — 0.1%
New Mexico State, Finance Authority, Sub-Ser D, RB
0.177%, 08/02/12	$	3,600	$	3,600
New York — 0.1%
City of New York, Sub-Ser D-3, GO
0.130%, 08/01/12		5,765		5,765
Texas — 2.2%
JPMorgan Chase Putters, Ser 3945, RB
0.180%, 08/01/12		8,020		8,020
JPMorgan Chase Putters, Ser 3953, RB
0.180%, 08/01/12		31,310		31,310
Texas State, GO
0.210%, 08/01/12		5,045		5,045
0.210%, 08/07/12		3,880		3,880
0.200%, 08/07/12		3,300		3,300
0.200%, 08/07/12		4,125		4,125
Texas State, Ser A, GO
0.200%, 08/07/12		3,830		3,830
Texas State, Ser A-2, GO
0.167%, 08/01/12		400		400
Texas State, Ser B, GO
0.210%, 08/02/12		5,710		5,710
Texas State, Ser B2, GO
0.207%, 08/01/12		1,000		1,000
Texas State, Ser C, GO
0.210%, 08/01/12		9,250		9,250
Texas State, Ser I, GO
0.207%, 08/01/12		2,395		2,395
University of Texas System, Ser B, RB
0.100%, 08/02/12		8,225		8,225
				86,490
Washington — 0.2%
Washington State, Health Care Facilities Authority, Ser C, RB
0.150%, 08/01/12		6,990		6,990
Wisconsin — 0.3%
Wisconsin State, Health & Educational Facilities Authority, RB
0.150%, 08/01/12		8,300		8,300
Wisconsin State, Health & Educational Facilities Authority, Ser B, RB
0.160%, 08/01/12		2,595		2,595
Wisconsin State, Housing & Economic Development Authority, Ser B, RB
0.207%, 08/02/12		990		990
				11,885
Total Municipal Bonds (Cost $229,595) ($ Thousands)				229,595

Description	Face Amount ($ Thousands)		Value ($ Thousands)
U.S. GOVERNMENT AGENCY OBLIGATIONS — 4.4%
FFCB (A)
0.266%, 08/10/12	$	10,000	$	9,999
FHLB
0.240%, 08/01/12 (A)		17,505		17,500
0.230%, 08/01/12 (A)		14,705		14,698
1.875%, 06/21/13		35,655		36,170
FHLMC (A)
0.440%, 08/01/12		28,310		28,303
FNMA (A)
0.380%, 08/01/12		11,000		10,997
0.370%, 08/01/12		7,000		6,999
0.277%, 08/20/12		8,000		7,999
0.227%, 10/20/12		18,235		18,228
FNMA, Ser 1 (A)
0.400%, 08/01/12		22,900		22,898
Total U.S. Government Agency Obligations (Cost $173,791) ($ Thousands)				173,791
U.S. TREASURY OBLIGATIONS — 1.9%
U.S. Treasury Notes
1.375%, 09/15/12 to 01/15/13		45,150		45,345
3.875%, 10/31/12		10,600		10,698
0.500%, 11/30/12		7,800		7,808
1.125%, 12/15/12		9,550		9,584
Total U.S. Treasury Obligations (Cost $73,435) ($ Thousands)				73,435
TIME DEPOSIT — 1.7%
U.S. Bank N.A.
0.200%, 08/01/12		69,405		69,405
Total Time Deposit (Cost $69,405) ($ Thousands)				69,405
CORPORATE OBLIGATIONS — 0.3%
Commonwealth Bank of Australia
2.750%, 10/15/12 (D)		6,580		6,612
General Electric Capital MTN
3.500%, 08/13/12		2,280		2,283
2.800%, 01/08/13		1,598		1,614
Total Corporate Obligations (Cost $10,509) ($ Thousands)				10,509
REPURCHASE AGREEMENTS (E) — 25.7%
Goldman Sachs 0.170%, dated 07/31/12, to be repurchased on 08/01/12, repurchase price $66,673,315 (collateralized by various FHLMC/FNMA obligations, ranging in par value $29,214,438-$43,019,621, 3.500%-5.000%, 04/01/27-04/01/41, with total market value $68,006,782)		66,673		66,673

SEI Daily Income Trust / Semi-Annual Report / July 31, 2012 11

SCHEDULE OF INVESTMENTS (Unaudited)

Prime Obligation Fund (Continued)

July 31, 2012

Description	Face Amount ($ Thousands)		Value ($ Thousands)
JPMorgan Chase 0.260%, dated 07/31/12, to be repurchased on 08/07/12, repurchase price 20,821,053 (collateralized by various corporate obligations*‡, ranging in par value $384,000-$11,023,000, 6.500%-12.000%, 05/15/15-04/01/20, with total market value $21,864,738) (F)	$	20,820	$	20,820
JPMorgan Chase 0.300%, dated 07/31/12, to be repurchased on 08/01/12, repurchase price 62,465,521 (collateralized by various corporate obligations*‡, ranging in par value $20,000-$10,010,000, 3.631%-9.375%, 08/01/12-03/15/22, with total market value $65,593,100)		62,465		62,465
RBC Capital 0.230%, dated 07/26/12, to be repurchased on 08/02/12, repurchase price $36,487,632 (collateralized by various corporate obligations*‡, ranging in par value $1,678,551-$36,085,125, 0.000%, 10/05/12-10/29/12, with total market value $37,582,326)		36,486		36,486
RBC Capital 0.170%, dated 07/31/12, to be repurchased on 08/01/12, repurchase price $203,000,959 (collateralized by various FHLMC/FNMA obligations, ranging in par value $27,998,497-$121,207,900, 1.890%-3.662%, 02/01/17-03/01/42, with total market value $207,060,978)		203,000		203,000
UBS 0.170%, dated 07/31/12, to be repurchased on 08/01/12, repurchase price $94,403,446 (collateralized by various U.S. Treasury obligations, ranging in par value $8,359,000-$83,553,200, 0.500%-1.500%, 04/15/15-03/31/19, with total market value $96,291,162)		94,403		94,403
UBS 0.190%, dated 07/31/12, to be repurchased on 08/01/12, repurchase price $203,001,071 (collateralized by various FNMA obligations, ranging in par value $30,451,270-$54,000,000, 2.500%-4.000%, 10/01/26-07/01/42, with total market value $207,060,000)		203,000		203,000
Wells Fargo 0.250%, dated 07/31/12, to be repurchased on 08/01/12, repurchase price $51,800,360 (collateralized by various corporate obligations*‡, ranging in par value $316,212-$9,127,000, 1.250%-7.250%, 10/15/13-09/23/21, with total market value $54,390,379)		51,800		51,800

Description	Face Amount ($ Thousands)		Value ($ Thousands)
Wells Fargo 0.190%, dated 07/31/12, to be repurchased on 08/01/12, repurchase price $283,001,494 (collateralized by various FHLMC/FNMA/GNMA obligations, ranging in par value $12,343,629-$86,770,770, 2.177%-5.204%, 05/15/27-06/01/42, with total market value $288,661,524)	$	283,000	$	283,000
Total Repurchase Agreements (Cost $1,021,647) ($ Thousands)				1,021,647
Total Investments — 99.8% (Cost $3,958,291) ($ Thousands)			$	3,958,291

* A summary of the corporate obligations used to collateralize repurchase agreements entered into by the Fund at July 31, 2012, is as follows:

Counterparty	Corporate Obligation	Rate			Maturity Date		Par Amount ($ Thousands)
JPMorgan Chase	El Paso Pipeline		6.500	%		04/01/20	$	384
	Ford Motor Credit		12.000			05/15/15		6,260
	Tennesse Gas Pipeline		7.500			04/01/17		11,023
JPMorgan Chase	American Tower		5.900			11/01/21		105
	Discover Credit		7.000			04/15/20		99
	CC Holdings		7.750			05/01/17		435
	CenturyTel		7.875			08/15/12		420
	CenturyTel		5.800			03/15/22		8,585
	CenturyTel		6.150			09/15/19		2,479
	El Paso Natural Gas		5.950			04/15/17		5,406
	El Paso Pipeline		6.500			04/01/20		10,010
	El Paso Pipeline		5.000			10/01/21		254
	Expedia		5.950			08/15/20		12
	Ford Holdings		9.375			03/01/20		60
	Ford Motor Credit		6.520			03/10/13		100
	Ford Motor Credit		7.000			08/15/12		20
	Ford Motor Credit		8.000			12/15/16		100
	Ford Motor Credit		7.500			08/01/12		880
	Ford Motor Credit		7.000			04/15/15		2,819
	Ford Motor Credit		3.875			01/15/15		3,675
	Ford Motor Credit		4.207			04/15/16		2,379
	Ford Motor Credit		3.984			06/15/16		1,450
	Ford Motor Credit		8.125			01/15/20		8,727
	Ford Motor Credit		8.700			10/01/14		1,300
	Ford Motor Credit		5.750			02/01/21		1,000
	International Lease Finance		6.750			09/01/16		670
	NuStar Logistics		4.800			09/01/20		931
	Pernod Ricard		4.450			01/15/22		1,352
	Pernod Ricard		5.750			04/07/21		1,861
	QVC Network		7.500			10/01/19		801
	Qwest Communications		7.125			04/01/18		650
	SLM		5.125			08/27/12		250
	SLM		3.631			01/27/14		500
	SLM		6.250			01/25/16		630
RBC Capital	Caisse Centrale		0.000			10/29/12		36,085
	Hannover Funding		0.000			10/05/12		1,679
Wells Fargo	Bank of New York		3.550			09/23/21		9,127
	Capital One		4.750			07/15/21		8,686
	Cardinal Health		4.625			12/15/20		316
	Florida Power		5.650			06/15/18		8,040
	IBM Corp		1.250			05/12/14		5,119
	IBM Corp		6.500			10/15/13		8,674
	Petro Energy		7.250			08/15/18		8,469

12 SEI Daily Income Trust / Semi-Annual Report / July 31, 2012

Percentages are based on Net Assets of $3,968,269 ($ Thousands).

‡ Securities are FDIC guaranteed.

(A) Floating Rate Instrument. The rate reflected on the Schedule of Investments is the rate in effect on July 31, 2012. The demand and interest rate reset features give this security a shorter effective maturity date.

(B) The rate reported is the effective yield at time of purchase.

(C) Securities are held in connection with a letter of credit issued by major bank.

(D) Securities sold within terms of a private placement memorandum, exempt from registration under Section 144A of the Securities Act of 1933, as amended, and may be sold only to dealers in that program or other “accredited investors.” These securities have been determined to be liquid under guidelines established by the Board of Trustees.

(E) Tri-Party Repurchase Agreement.

(F) Securities considered illiquid. The total value of such securities as of July 31, 2012 was $20,820 ($ Thousands) and represented 0.5% of Net Assets.

FDIC — Federal Deposit Insurance Corporation

FFCB — Federal Farm Credit Bank

FHLB — Federal Home Loan Bank

FHLMC — Federal Home Loan Mortgage Corporation

FNMA — Federal National Mortgage Association

GNMA — Government National Mortgage Association

GO — General Obligation

LLC — Limited Liability Company

MTN — Medium Term Note

NY — New York

RB — Revenue Bond

Ser — Series

As of July 31, 2012, all of the Fund’s investments are Level 2 in accordance with ASC-820.

As of July 31, 2012, there were no transfers between Level 1 and Level 2 assets and liabilities. As of July 31, 2012, there were no Level 3 securities.

For more information on valuation inputs, see Note 2 — Significant Accounting Policies in Notes to Financial Statements.

The accompanying notes are an integral part of the financial statements.

SEI Daily Income Trust / Semi-Annual Report / July 31, 2012 13

SCHEDULE OF INVESTMENTS (Unaudited)

Treasury Fund

July 31, 2012

Description	Face Amount ($ Thousands)		Value ($ Thousands)
U.S. TREASURY OBLIGATIONS — 35.1%
U.S. Treasury Bills (A)
0.143%, 01/03/13	$	930	$	929
0.145%, 01/10/13		1,860		1,859
U.S. Treasury Notes
1.750%, 08/15/12 to 04/15/13		4,360		4,382
4.125%, 08/31/12		5,000		5,016
1.375%, 09/15/12 to 02/15/13		44,008		44,201
0.375%, 09/30/12 to 10/31/12		4,400		4,402
3.875%, 10/31/12		5,300		5,349
4.000%, 11/15/12		9,000		9,100
3.375%, 11/30/12		6,200		6,265
0.500%, 11/30/12		10,700		10,712
1.125%, 12/15/12		6,500		6,523
2.875%, 01/31/13		8,305		8,417
0.625%, 01/31/13		6,840		6,855
3.875%, 02/15/13		2,960		3,019
3.125%, 04/30/13		1,630		1,666
0.625%, 04/30/13		2,700		2,709
Total U.S. Treasury Obligations (Cost $121,404) ($ Thousands)				121,404
REPURCHASE AGREEMENTS (B) — 64.8%
Barclays Capital 0.170%, dated 05/21/12, to be repurchased on 08/20/12, repurchase price $4,001,719 (collateralized by various U.S. Treasury Notes, ranging in par value $3,200-$1,609,800, 0.125%-7.625%, 01/15/14-02/15/41, with total market value $4,080,044) (C)		4,000		4,000
Barclays Capital 0.170%, dated 07/31/12, to be repurchased on 08/01/12, repurchase price $50,000,236 (collateralized by U.S. Treasury Bonds, par value $51,002,100, 0.000%, 08/23/12, with total market value $51,000,060)		50,000		50,000
Citibank 0.160%, dated 07/31/12, to be repurchased on 08/01/12, repurchase price $25,000,111 (collateralized by U.S. Treasury Notes, par value $24,118,200, 2.000%, 02/15/22, with total market value $25,500,193)		25,000		25,000

Description	Face Amount ($ Thousands)		Value ($ Thousands)
Credit Suisse 0.150%, dated 07/31/12, to be repurchased on 08/01/12, repurchase price $25,000,104 (collateralized by U.S. Treasury Notes, par value $25,520,000, 0.250%, 05/15/15, with total market value $25,501,449)	$	25,000	$	25,000
Goldman Sachs 0.100%, dated 07/31/12, to be repurchased on 08/01/12, repurchase price $25,000,069 (collateralized by U.S. Treasury Notes, par value $23,347,200, 0.125%, 04/15/16, with total market value $25,500,147)		25,000		25,000
JPMorgan Chase 0.170%, dated 07/31/12, to be repurchased on 08/01/12, repurchase price $25,000,118 (collateralized by U.S. Treasury Notes, par value $24,640,000, 1.375%, 02/28/19, with total market value $25,502,810)		25,000		25,000
RBC Capital 0.130%, dated 07/31/12, to be repurchased on 08/01/12, repurchase price $25,000,090 (collateralized by various U.S. Treasury Notes, ranging in par value $5,981,100-$19,193,600, 0.000%-2.125%, 09/20/12-05/31/15, with total market value $25,500,188)		25,000		25,000
UBS 0.170%, dated 07/31/12, to be repurchased on 08/01/12, repurchase price $44,805,212 (collateralized by various U.S. Treasury Notes, ranging in par value $14,312,800-$17,968,500, 1.250%-2.375%, 07/15/20-01/15/25, with total market value $45,701,152)		44,805		44,805
Total Repurchase Agreements (Cost $223,805) ($ Thousands)				223,805
Total Investments — 99.9% (Cost $345,209) ($ Thousands)			$	345,209

Percentages are based on Net Assets of $345,669 ($ Thousands).

(A) The rate reported is the effective yield at time of purchase.

(B) Tri-Party Repurchase Agreement.

(C) Security considered illiquid. The total value of such securities as of July 31, 2012 was $4,000 ($ Thousands) and represented 1.2% of Net Assets.

As of July 31, 2012, all of the Fund’s investments are Level 2 in accordance with ASC-820.

As of July 31, 2012, there were no transfers between Level 1 and Level 2 assets and liabilities. As of July 31, 2012, there were no Level 3 securities.

For more information on valuation inputs, see Note 2 — Significant Accounting Policies in Notes to Financial Statements.

The accompanying notes are an integral part of the financial statements.

14 SEI Daily Income Trust / Semi-Annual Report / July 31, 2012

SCHEDULE OF INVESTMENTS (Unaudited)

Treasury II Fund

July 31, 2012

Description	Face Amount ($ Thousands)		Value ($ Thousands)
U.S. TREASURY OBLIGATIONS — 103.1%
U.S. Treasury Bills (A)
0.043%, 08/02/12	$	248,598	$	248,598
0.070%, 08/09/12		15,000		15,000
0.055%, 08/16/12		70,000		69,998
0.077%, 08/23/12 to 10/04/12		75,000		74,996
0.132%, 08/30/12		25,000		24,998
0.140%, 01/03/13 to 01/17/13		35,233		35,212
0.145%, 01/10/13		3,895		3,892
U.S. Treasury Notes
1.750%, 08/15/12 to 04/15/13		84,695		84,818
4.125%, 08/31/12		47,000		47,155
1.375%, 09/15/12 to 02/15/13		64,310		64,603
0.375%, 09/30/12 to 10/31/12		6,700		6,703
3.875%, 10/31/12		6,100		6,157
4.000%, 11/15/12		14,500		14,662
3.375%, 11/30/12		8,700		8,792
0.500%, 11/30/12		21,500		21,523
1.125%, 12/15/12		9,500		9,533
2.875%, 01/31/13		11,000		11,148
0.625%, 01/31/13		5,000		5,011
3.875%, 02/15/13		5,215		5,318
3.125%, 04/30/13		3,370		3,443
Total U.S. Treasury Obligations (Cost $761,560) ($ Thousands)				761,560
Total Investments — 103.1% (Cost $761,560) ($ Thousands)			$	761,560

Percentages are based on Net Assets of $738,559 ($ Thousands).

(A) The rate reported is the effective yield at time of purchase.

As of July 31, 2012, all of the Fund’s investments are Level 2 in accordance with ASC-820.

As of July 31, 2012, there were no transfers between Level 1 and Level 2 assets and liabilities. As of July 31, 2012, there were no Level 3 securities.

For more information on valuation inputs, see Note 2 — Significant Accounting Policies in Notes to Financial Statements.

The accompanying notes are an integral part of the financial statements.

SEI Daily Income Trust / Semi-Annual Report / July 31, 2012 15

SCHEDULE OF INVESTMENTS (Unaudited)

Ultra Short Duration Bond Fund

July 31, 2012

Description	Face Amount ($ Thousands)		Value ($ Thousands)
CORPORATE OBLIGATIONS — 41.4%
Banks — 10.1%
ANZ National International
2.375%, 12/21/12 (A)	$	342	$	344
Banco Santander Chile
2.875%, 11/13/12 (A)		130		130
Bank of America MTN
1.867%, 10/30/12 (B)		850		850
Bank of Montreal
2.125%, 06/28/13		504		512
1.300%, 10/31/14 (A)		830		845
Bank of Montreal MTN
0.917%, 10/29/12 (B)		500		501
Bank of New York Mellon
0.717%, 10/30/12 (B)		200		200
Bank of New York Mellon MTN
1.200%, 02/20/15		312		316
Bank of Nova Scotia
1.850%, 01/12/15		1,000		1,025
Bank of Tokyo-Mitsubishi
2.600%, 01/22/13 (A)		776		781
Barclays Bank PLC
1.496%, 10/13/12 (B)		390		389
BB&T
1.147%, 10/28/12 (B)		525		528
BB&T MTN
3.375%, 09/25/13		629		648
BNP Paribas MTN
2.125%, 12/21/12		546		549
BPCE
2.375%, 10/04/13 (A)		504		496
Canadian Imperial Bank of Commerce
1.450%, 09/13/13		703		711
0.900%, 09/19/14 (A)		550		555
Credit Suisse NY
1.415%, 10/16/12 (B)		660		661
Danske Bank MTN
1.505%, 04/14/14 (A) (B)		1,050		1,027
Deutsche Bank
2.375%, 01/11/13		315		317
Fifth Third Bank
0.576%, 05/17/13 (B)		270		269
HSBC Bank PLC
1.255%, 10/19/12 (A) (B)		923		925

Description	Face Amount ($ Thousands)		Value ($ Thousands)
ING Bank
2.650%, 01/14/13 (A)	$	525	$	528
2.000%, 10/18/13 (A)		629		629
National Australia Bank
1.569%, 08/07/12 (B)		755		755
Nordea Bank
1.750%, 10/04/13 (A)		629		631
Royal Bank of Canada MTN
0.755%, 10/19/12 (B)		1,000		1,002
Royal Bank of Scotland PLC
3.400%, 08/23/13		839		853
Societe Generale
2.200%, 09/14/13 (A)		525		526
Standard Chartered PLC
1.417%, 08/12/12 (A) (B)		1,000		999
State Street
0.818%, 09/07/12 (B)		715		717
Swedbank Hypotek
0.911%, 09/28/12 (A) (B)		700		699
Toronto-Dominion Bank
0.875%, 09/12/14 (A)		580		584
0.755%, 10/14/12 (B)		620		622
US Bank
0.735%, 10/16/12 (B)		300		299
Wells Fargo
1.500%, 07/01/15		500		505
1.381%, 06/26/15 (B)		670		672
				22,600
Consumer Products — 1.9%
Best Buy
6.750%, 07/15/13		420		437
DIRECTV Holdings LLC
3.500%, 03/01/16		232		247
Hasbro
6.125%, 05/15/14		500		540
Johnson Controls
0.876%, 02/04/14 (B)		860		863
Penske Truck Leasing LP
2.500%, 07/11/14 (A)		70		70
President and Fellows of Harvard College
3.700%, 04/01/13		556		569
Staples
9.750%, 01/15/14		530		590
Time Warner Cable
6.200%, 07/01/13		620		650
Viacom
1.250%, 02/27/15		247		249
				4,215
Energy — 1.2%
BP Capital Markets PLC
5.250%, 11/07/13		525		557
1.068%, 03/11/14 (B)		1,000		1,006

16 SEI Daily Income Trust / Semi-Annual Report / July 31, 2012

Description	Face Amount ($ Thousands)		Value ($ Thousands)
Schlumberger Investment
1.018%, 09/12/14 (A) (B)	$	575	$	579
Schlumberger Norge
1.250%, 08/01/17 (A)		145		145
Valero Energy
4.750%, 06/15/13		420		434
				2,721
Financial Services — 9.9%
American Express Credit
1.318%, 09/24/12 (B)		750		755
American Express Credit MTN
1.568%, 09/12/12 (B)		615		625
American Honda Finance
1.850%, 09/19/14 (A)		1,300		1,328
0.916%, 08/08/12 (A) (B)		450		451
Caisse Centrale Desjardins du Quebec
1.700%, 09/16/13 (A)		660		668
Caterpillar Financial Services MTN
1.100%, 05/29/15		500		507
0.816%, 08/09/12 (B)		920		923
CDP Financial
3.000%, 11/25/14 (A)		440		463
Citigroup
5.125%, 05/05/14		419		440
1.391%, 04/01/14 (B)		1,250		1,238
Daimler Finance North America LLC
2.300%, 01/09/15 (A)		1,500		1,538
ERAC USA Finance LLC
2.750%, 07/01/13 (A)		531		538
2.250%, 01/10/14 (A)		135		136
Ford Motor Credit LLC
3.875%, 01/15/15		440		456
General Electric Capital
1.491%, 10/02/12 (B)		1,005		1,009
General Electric Capital MTN
2.625%, 12/28/12		300		303
1.336%, 05/09/16 (B)		500		495
Goldman Sachs Group
0.958%, 10/12/12 (B)		405		387
John Deere Capital
0.950%, 06/29/15		500		503
John Deere Capital MTN
1.875%, 06/17/13		210		213
0.605%, 10/15/12 (B)		328		329
Kimco Realty
6.000%, 11/30/12		734		744
National Rural Utilities Cooperative Finance
1.125%, 11/01/13		101		102
1.000%, 02/02/15		1,300		1,310
NCUA Guaranteed Notes
0.269%, 08/12/12 (B)		265		265

Description	Face Amount ($ Thousands)		Value ($ Thousands)
Nissan Motor Acceptance
3.250%, 01/30/13 (A)	$	1,272	$	1,284
PACCAR Financial MTN
0.718%, 09/08/12 (B)		305		306
Principal Life Global Funding II
1.080%, 10/09/12 (A) (B)		500		500
Principal Life Income Funding Trusts MTN
5.100%, 04/15/14		250		267
Sun Life Financial Global Funding III
0.710%, 10/06/12 (A) (B)		655		649
Toyota Motor Credit
0.875%, 07/17/15		500		502
Toyota Motor Credit MTN
1.375%, 08/12/13		420		424
0.908%, 10/11/13 (B)		250		251
USAA Capital
3.500%, 07/17/14 (A)		250		262
Ventas Realty
3.125%, 11/30/15		519		541
Volkswagen International Finance
1.071%, 09/30/12 (A) (B)		1,250		1,251
				21,963
Food, Beverage & Tobacco — 4.1%
Anheuser-Busch InBev Worldwide
0.815%, 10/14/12 (B)		600		603
0.800%, 07/15/15		650		653
BAT International Finance PLC
1.400%, 06/05/15 (A)		845		850
Campbell Soup
0.743%, 08/01/14 (B)		640		641
Coca-Cola Enterprises
0.767%, 02/18/14 (B)		1,049		1,050
General Mills
5.250%, 08/15/13		776		814
Kraft Foods
1.625%, 06/04/15 (A)		625		636
1.333%, 10/10/12 (B)		1,500		1,508
PepsiCo
0.800%, 08/25/14		595		599
Philip Morris International
2.500%, 05/16/16		500		528
SABMiller Holdings
1.850%, 01/15/15 (A)		1,300		1,331
				9,213
Health Care — 2.4%
AmerisourceBergen
5.625%, 09/15/12		1,049		1,055
Aristotle Holding
2.750%, 11/21/14 (A)		1,000		1,031
Covidien International Finance
1.875%, 06/15/13		565		571

SEI Daily Income Trust / Semi-Annual Report / July 31, 2012 17

SCHEDULE OF INVESTMENTS (Unaudited)

Ultra Short Duration Bond Fund (Continued)

July 31, 2012

Description	Face Amount ($ Thousands)		Value ($ Thousands)
GlaxoSmithKline Capital
4.850%, 05/15/13	$	178	$	184
Quest Diagnostics
1.318%, 03/24/14 (B)		735		741
Sanofi
0.771%, 03/28/14 (B)		1,000		1,005
Teva Pharmaceutical Finance III
0.968%, 09/21/12 (B)		720		723
Thermo Fisher Scientific
2.050%, 02/21/14		137		140
				5,450
Industrials — 1.2%
Boeing
1.875%, 11/20/12		152		153
Danaher
1.300%, 06/23/14		670		679
Eaton
0.798%, 09/16/12 (B)		430		431
Tyco Electronics Group
5.950%, 01/15/14		710		756
United Technologies
1.200%, 06/01/15		280		285
0.737%, 09/01/12 (B)		250		251
				2,555
Information Technology — 1.0%
eBay
0.875%, 10/15/13		290		292
Hewlett-Packard
0.867%, 08/30/12 (B)		1,000		993
Xerox
1.286%, 05/16/14 (B)		995		992
				2,277
Insurance — 3.2%
Allstate Life Global Funding Trust MTN
5.375%, 04/30/13		900		933
American International Group
4.250%, 09/15/14		650		679
Berkshire Hathaway Finance
0.788%, 01/10/14 (B)		1,029		1,033
MBIA Insurance
14.000%, 01/15/33 (A) (B)		210		100
Metropolitan Life Global Funding I
1.700%, 06/29/15 (A)		850		856
1.208%, 10/10/12 (A) (B)		420		421
Metropolitan Life Global Funding I MTN
5.125%, 04/10/13 (A)		420		433
Monumental Global Funding III
0.655%, 10/16/12 (A) (B)		378		372
New York Life Global Funding
1.300%, 01/12/15 (A)		750		759
0.721%, 04/04/14 (A) (B)		500		501

Description	Face Amount ($ Thousands)		Value ($ Thousands)
Prudential Financial MTN
5.100%, 09/20/14	$	462	$	500
2.750%, 01/14/13		525		530
				7,117
Investment Banker/Broker Dealer — 2.3%
Credit Agricole Home Loan
1.203%, 10/23/12 (A) (B)		400		393
Goldman Sachs Group
1.466%, 02/07/14 (B)		715		708
Goldman Sachs Group MTN
6.000%, 05/01/14		119		127
JPMorgan Chase
4.650%, 06/01/14		944		1,003
JPMorgan Chase MTN
1.252%, 10/24/12 (B)		839		843
Morgan Stanley
4.200%, 11/20/14		839		854
2.052%, 10/24/12 (B)		525		517
Morgan Stanley, Ser G MTN
0.760%, 10/09/12 (B)		252		244
UBS
1.875%, 01/23/15 (A)		425		430
				5,119
Materials — 0.4%
Anglo American Capital PLC
2.150%, 09/27/13 (A)		376		379
E.I. du Pont de Nemours
0.888%, 09/25/12 (B)		580		584
				963
Media — 0.3%
NBCUniversal Media LLC
2.100%, 04/01/14		734		748
Security & Commodity Brokers — 0.4%
MassMutual Global Funding II
0.835%, 10/14/12 (A) (B)		874		874
Sovereign — 0.1%
Republic of Austria MTN
2.000%, 11/15/12 (A)		234		235
Telephones & Telecommunication — 1.1%
British Telecommunications PLC
1.593%, 12/20/13 (B)		300		301
Cellco Partnership
5.550%, 02/01/14		660		706
Telefonica Emisiones
2.582%, 04/26/13		390		388
Verizon Communications
1.250%, 11/03/14		1,000		1,015
				2,410

18 SEI Daily Income Trust / Semi-Annual Report / July 31, 2012

Description	Face Amount ($ Thousands)		Value ($ Thousands)
Utilities — 1.8%
Commonwealth Edison
1.625%, 01/15/14	$	1,032	$	1,048
Dominion Resources
1.800%, 03/15/14		620		630
DTE Energy
1.167%, 06/03/13 (B)		430		431
Duke Energy Carolinas LLC
5.750%, 11/15/13		200		213
Georgia Power
1.300%, 09/15/13		600		605
NextEra Energy Capital Holdings
1.611%, 06/01/14		270		272
Sempra Energy
1.228%, 03/15/14 (B)		800		800
				3,999
Total Corporate Obligations (Cost $92,037) ($ Thousands)				92,459
ASSET-BACKED SECURITIES — 34.8%
Automotive — 25.2%
Ally Auto Receivables Trust, Ser 2009-A, Cl A3
2.330%, 06/17/13 (A)		69		69
Ally Auto Receivables Trust, Ser 2010-1, Cl A3
1.450%, 05/15/14		297		298
Ally Auto Receivables Trust, Ser 2010-2, Cl A3
1.380%, 07/15/14		157		157
Ally Auto Receivables Trust, Ser 2010-3, Cl A3
1.110%, 10/15/14		801		804
Ally Auto Receivables Trust, Ser 2010-4, Cl A3
0.910%, 11/17/14		297		298
Ally Auto Receivables Trust, Ser 2011-4, Cl A2
0.650%, 03/17/14		195		196
Ally Auto Receivables Trust, Ser 2012-1, Cl A2
0.710%, 09/15/14		1,096		1,098
Ally Master Owner Trust, Ser 2010-1, Cl A
1.999%, 08/15/12 (A) (B)		944		951
Ally Master Owner Trust, Ser 2010-3, Cl A
2.880%, 04/15/15 (A)		753		762
Ally Master Owner Trust, Ser 2011-1, Cl A1
1.119%, 08/15/12 (B)		642		646
Ally Master Owner Trust, Ser 2011-4, Cl A2
1.540%, 09/15/16		750		759

Description	Face Amount ($ Thousands)		Value ($ Thousands)
Ally Master Owner Trust, Ser 2012-1, Cl A2
1.440%, 02/15/17	$	650	$	656
Ally Master Owner Trust, Ser 2012-3, Cl A2
1.210%, 06/15/17		480		480
AmeriCredit Automobile Receivables Trust, Ser 2010-1, Cl B
3.720%, 11/17/14		327		331
AmeriCredit Automobile Receivables Trust, Ser 2010-3, Cl A3
1.140%, 08/08/12		422		423
AmeriCredit Automobile Receivables Trust, Ser 2010-4, Cl B
1.990%, 10/08/15		1,111		1,120
AmeriCredit Automobile Receivables Trust, Ser 2010-A, Cl A3
3.510%, 07/06/17		334		343
AmeriCredit Automobile Receivables Trust, Ser 2011-2, Cl A2
0.900%, 09/08/14		135		135
AmeriCredit Automobile Receivables Trust, Ser 2011-3, Cl A3
1.170%, 01/08/16		440		443
AmeriCredit Automobile Receivables Trust, Ser 2011-4, Cl A2
0.920%, 03/09/15		469		470
AmeriCredit Automobile Receivables Trust, Ser 2012-1, Cl A2
0.910%, 10/08/15		215		216
AmeriCredit Automobile Receivables Trust, Ser 2012-3, Cl A2
0.710%, 12/08/15		585		582
ARI Fleet Lease Trust 2010-A, Ser 2012-A, Cl A
0.792%, 08/15/12 (A) (B)		148		148
Avis Budget Rental Car Funding, Ser 2009-1A, Cl A
9.310%, 10/20/13 (A)		753		762
Avis Budget Rental Car Funding, Ser 2009-2A, Cl A
5.680%, 02/20/14 (A)		813		827
Avis Budget Rental Car Funding, Ser 2010-2A, Cl A
3.630%, 08/20/14 (A)		172		175
Avis Budget Rental Car Funding, Ser 2011-1A, Cl A
1.850%, 11/20/14 (A)		560		564
Bank of America Auto Trust, Ser 2009-1A, Cl A4
3.520%, 06/15/16 (A)		342		345
Bank of America Auto Trust, Ser 2009-2A, Cl A4
3.030%, 10/15/16 (A)		330		333

SEI Daily Income Trust / Semi-Annual Report / July 31, 2012 19

SCHEDULE OF INVESTMENTS (Unaudited)

Ultra Short Duration Bond Fund (Continued)

July 31, 2012

Description	Face Amount ($ Thousands)		Value ($ Thousands)
Bank of America Auto Trust, Ser 2010-1A, Cl A3
1.390%, 03/15/14 (A)	$	120	$	120
Bank of America Auto Trust, Ser 2010-2, Cl A3
1.310%, 07/15/14		83		83
Bank of America Auto Trust, Ser 2012-1, Cl A3
0.780%, 06/15/16		250		251
BMW Vehicle Lease Trust, Ser 2010-1, Cl A3
0.820%, 04/15/13		207		207
BMW Vehicle Lease Trust, Ser 2011-1, Cl A3
1.060%, 02/20/14		230		231
BMW Vehicle Owner Trust, Ser 2011-A, Cl A3
0.760%, 08/25/15		1,020		1,024
CarMax Auto Owner Trust, Ser 2009-2, Cl A4
2.820%, 12/15/14		137		140
CarMax Auto Owner Trust, Ser 2010-1, Cl A3
1.560%, 07/15/14		171		171
CarMax Auto Owner Trust, Ser 2010-1, Cl A4
2.400%, 04/15/15		655		667
CarMax Auto Owner Trust, Ser 2010-2, Cl A3
1.410%, 02/16/15		415		417
CarMax Auto Owner Trust, Ser 2010-3, Cl A3
0.990%, 02/17/15		573		574
CarMax Auto Owner Trust, Ser 2011-3, Cl A2
0.700%, 11/17/14		759		760
CarMax Auto Owner Trust, Ser 2012-1, Cl A3
0.890%, 09/15/16		260		261
Chesapeake Funding LLC, Ser 2011-2A, Cl A
1.490%, 08/07/12 (A) (B)		335		338
Chesapeake Funding LLC, Ser 2012-1A, Cl A
0.990%, 08/07/12 (A) (B)		650		650
Enterprise Fleet Financing LLC, Ser 2012-1, Cl A2
1.140%, 11/20/17 (A)		245		246
Ford Credit Auto Lease Trust, Ser 2010-B, Cl A3
0.910%, 07/15/13 (A)		110		110
Ford Credit Auto Lease Trust, Ser 2010-B, Cl A4
1.040%, 12/15/13 (A)		955		957

Description	Face Amount ($ Thousands)		Value ($ Thousands)
Ford Credit Auto Lease Trust, Ser 2011-A, Cl A2
0.740%, 09/15/13	$	347	$	348
Ford Credit Auto Lease Trust, Ser 2011-B, Cl A2
0.820%, 01/15/14		1,419		1,422
Ford Credit Auto Lease Trust, Ser 2012-A, Cl A2
0.630%, 04/15/14		435		435
Ford Credit Auto Owner Trust, Ser 2010-A, Cl A3
1.320%, 06/15/14		153		153
Ford Credit Auto Owner Trust, Ser 2010-B, Cl A3
0.980%, 10/15/14		217		218
Ford Credit Auto Owner Trust, Ser 2012-C, Cl A3
0.580%, 12/15/16		290		290
Ford Credit Floorplan Master Owner Trust, Ser 2009-2, Cl A
1.799%, 08/15/12 (B)		1,424		1,427
Ford Credit Floorplan Master Owner Trust, Ser 2010-1, Cl A
1.899%, 08/16/12 (A) (B)		1,593		1,602
Ford Credit Floorplan Master Owner Trust, Ser 2010-1, Cl B
2.499%, 12/15/14 (A) (B)		1,001		1,008
Ford Credit Floorplan Master Owner Trust, Ser 2011-1, Cl A2
0.849%, 08/15/12 (B)		208		209
Ford Credit Floorplan Master Owner Trust, Ser 2012-1, Cl A
0.719%, 08/15/12 (B)		1,635		1,640
GE Dealer Floorplan Master Note Trust, Ser 2009-2A, Cl A
1.799%, 10/20/14 (A) (B)		1,353		1,358
GE Dealer Floorplan Master Note Trust, Ser 2012-1, Cl A
0.817%, 08/20/12 (B)		1,195		1,196
GE Dealer Floorplan Master Note Trust, Ser 2012-3, Cl A
0.734%, 08/31/12 (B)		985		985
Harley-Davidson Motorcycle Trust, Ser 2010-1, Cl A3
1.160%, 02/15/15		288		289
Harley-Davidson Motorcycle Trust, Ser 2011-1, Cl A3
0.960%, 05/16/16		965		968
Harley-Davidson Motorcycle Trust, Ser 2011-2, Cl A2
0.710%, 05/15/15		428		428
Harley-Davidson Motorcycle Trust, Ser 2012-1, Cl A3
0.680%, 04/15/17		390		390

20 SEI Daily Income Trust / Semi-Annual Report / July 31, 2012

Description	Face Amount ($ Thousands)		Value ($ Thousands)
Hertz Vehicle Financing LLC, Ser 2009-2A, Cl A1
4.260%, 03/25/14 (A)	$	936	$	950
Hertz Vehicle Financing LLC, Ser 2010-1A, Cl A1
2.600%, 02/25/15 (A)		835		854
Hertz Vehicle Financing LLC, Ser 2011-1A, Cl A1
2.200%, 03/25/16 (A)		445		456
Honda Auto Receivables Owner Trust, Ser 2010-2, Cl A3
1.340%, 03/18/14		215		216
Honda Auto Receivables Owner Trust, Ser 2010-3, Cl A3
0.700%, 04/21/14		212		212
Honda Auto Receivables Owner Trust, Ser 2011-1, Cl A2
0.650%, 06/17/13		42		42
Honda Auto Receivables Owner Trust, Ser 2011-2, Cl A3
0.940%, 03/18/15		445		447
Honda Auto Receivables Owner Trust, Ser 2012-1, Cl A3
0.770%, 01/15/16		150		151
Honda Auto Receivables Owner Trust, Ser 2012-3, Cl A3
0.560%, 05/15/16		355		355
Huntington Auto Trust, Ser 2009-1A, Cl A4
5.730%, 01/15/14 (A)		143		144
Huntington Auto Trust, Ser 2011-1A, Cl A3
1.010%, 01/15/16 (A)		670		674
Hyundai Auto Lease Securitization Trust, Ser 2011-A, Cl A2
0.690%, 11/15/13 (A)		326		326
Hyundai Auto Lease Securitization Trust, Ser 2011-A, Cl A3
1.020%, 08/15/14 (A)		966		970
Hyundai Auto Receivables Trust, Ser 2009-A, Cl A3
2.030%, 08/15/13		3		3
Hyundai Auto Receivables Trust, Ser 2010-A, Cl A3
1.500%, 10/15/14		191		192
Hyundai Auto Receivables Trust, Ser 2010-B, Cl A3
0.970%, 04/15/15		412		414
Hyundai Auto Receivables Trust, Ser 2011-A, Cl A2
0.690%, 11/15/13		94		94
Hyundai Auto Receivables Trust, Ser 2011-B, Cl A2
0.590%, 03/17/14		274		274

Description	Face Amount ($ Thousands)		Value ($ Thousands)
Hyundai Auto Receivables Trust, Ser 2011-C, Cl A3
0.830%, 12/15/15	$	1,140	$	1,144
Mercedes-Benz Auto Lease Trust, Ser 2012-A, Cl A3
0.880%, 11/17/14		375		376
Mercedes-Benz Auto Receivables Trust, Ser 2011-1, Cl A3
0.850%, 03/16/15		350		351
MMCA Automobile Trust, Ser 2012-A, Cl A2
0.810%, 08/15/14 (A)		1,396		1,399
Navistar Financial Owner Trust, Ser 2012-A, Cl A2
0.850%, 03/18/15 (A)		420		418
Nissan Auto Lease Trust, Ser 2011-A, Cl A3
1.040%, 08/15/14		1,402		1,410
Nissan Auto Lease Trust, Ser 2012-A, Cl A3
0.980%, 05/15/15		375		377
Nissan Auto Receivables Owner Trust, Ser 2011-A, Cl A2
0.650%, 12/16/13		267		267
Nissan Auto Receivables Owner Trust, Ser 2012-A, Cl A3
0.730%, 05/16/16		526		528
Nissan Master Owner Trust Receivables, Ser 2012-A, Cl A
0.719%, 08/15/12 (B)		560		561
Santander Consumer Acquired Receivables Trust, Ser 2011-WO, Cl A3
1.400%, 10/15/14 (A)		631		633
Santander Drive Auto Receivables Trust, Ser 2010-2, Cl A3
1.240%, 02/17/14		659		660
Santander Drive Auto Receivables Trust, Ser 2011-1, Cl A2
0.940%, 02/18/14		666		666
Santander Drive Auto Receivables Trust, Ser 2012-1, Cl A2
1.250%, 04/15/15		951		955
Santander Drive Auto Receivables Trust, Ser 2012-4, Cl A2
0.790%, 08/17/15		250		249
Toyota Auto Receivables Owner Trust, Ser 2010-B, Cl A3
1.040%, 02/18/14		160		160
Toyota Auto Receivables Owner Trust, Ser 2010-C, Cl A3
0.770%, 08/20/12		388		388
Toyota Auto Receivables Owner Trust, Ser 2012-A, Cl A3
0.750%, 02/16/16		502		504

SEI Daily Income Trust / Semi-Annual Report / July 31, 2012 21

SCHEDULE OF INVESTMENTS (Unaudited)

Ultra Short Duration Bond Fund (Continued)

July 31, 2012

Description	Face Amount ($ Thousands)		Value ($ Thousands)
USAA Auto Owner Trust, Ser 2009-2, Cl A4
2.530%, 07/15/15	$	50	$	51
Volkswagen Auto Lease Trust, Ser 2012-A, Cl A3
0.870%, 07/20/15		345		346
Volkswagen Auto Loan Enhanced Trust, Ser 2010-1, Cl A3
1.310%, 01/20/14		59		59
Volkswagen Auto Loan Enhanced Trust, Ser 2012-1, Cl A2
0.610%, 10/20/14		335		335
World Omni Auto Receivables Trust, Ser 2010-A, Cl A3
1.340%, 12/16/13		20		21
World Omni Auto Receivables Trust, Ser 2011-A, Cl A2
0.640%, 11/15/13		88		88
World Omni Automobile Lease Securitization Trust, Ser 2011-A, Cl A2
0.810%, 10/15/13		437		437
World Omni Automobile Lease Securitization Trust, Ser 2011-A, Cl A4
1.780%, 09/15/16		570		579
World Omni Automobile Lease Securitization Trust, Ser 2012-A, Cl A3
0.930%, 11/16/15		441		443
				56,143
Credit Card — 3.6%
Capital One Multi-Asset Execution Trust, Ser 2005-A7, Cl A7
4.700%, 06/15/15		425		426
Capital One Multi-Asset Execution Trust, Ser 2007-A8, Cl A8
0.768%, 10/15/15 (B)		273		273
Chase Issuance Trust, Ser 2005-A11, Cl A
0.319%, 08/15/12 (B)		100		100
Chase Issuance Trust, Ser 2012-A3, Cl A3
0.790%, 06/15/17		620		624
Citibank Omni Master Trust, Ser 2009-A12, Cl A12
3.350%, 08/15/16 (A)		1,670		1,672
Discover Card Master Trust, Ser 2009-A2, Cl A
1.549%, 08/15/12 (B)		1,175		1,175
Discover Card Master Trust, Ser 2011-A1, Cl A1
0.599%, 08/15/12 (B)		845		849
Discover Card Master Trust, Ser 2011-A2, Cl A2
0.459%, 08/15/12 (B)		268		268
Discover Card Master Trust, Ser 2012-A1, Cl A1
0.810%, 08/15/17		661		666

Description	Face Amount ($ Thousands)		Value ($ Thousands)
Discover Card Master Trust, Ser 2012-A3, Cl A3
0.860%, 11/15/17	$	250	$	252
GE Capital Credit Card Master Note Trust, Ser 2011-1, Cl A
0.799%, 08/15/12 (B)		619		622
GE Capital Credit Card Master Note Trust, Ser 2012-5, Cl A
0.950%, 06/15/18		590		593
Golden Credit Card Trust, Ser 2012-3A, Cl A
0.697%, 08/15/12 (A) (B)		465		465
				7,985
Miscellaneous Business Services — 5.8%
ACAS Business Loan Trust, Ser 2007-1A, Cl C
1.316%, 10/24/12 (A) (B)		298		268
Ameriquest Mortgage Securities, Ser 2005-R3, Cl A1A
0.446%, 08/27/12 (B)		150		149
Babson CLO Ltd., Ser 2007-1A, Cl A1
0.680%, 10/18/12 (A) (B)		473		447
Capital Source Commercial Loan Trust, Ser 2006-1A, Cl C
0.797%, 08/20/12 (A) (B)		23		23
CNH Equipment Trust, Ser 2009-B, Cl A4
5.170%, 10/15/14		247		249
CNH Equipment Trust, Ser 2010-C, Cl A3
1.170%, 05/15/15		400		401
CNH Equipment Trust, Ser 2011-C, Cl A2
0.900%, 04/15/15		1,350		1,353
CNH Equipment Trust, Ser 2012-B, Cl A3
0.860%, 09/15/17		275		276
CNH Wholesale Master Note Trust, Ser 2011-1A, Cl A
1.049%, 12/15/15 (A) (B)		647		649
GE Equipment Midticket LLC, Ser 2010-1, Cl A3
0.940%, 07/14/14 (A)		243		243
GE Equipment Midticket LLC, Ser 2010-1, Cl A4
1.470%, 07/14/15 (A)		650		655
GE Equipment Small Ticket LLC, Ser 2011-1A, Cl A2
0.880%, 08/21/13 (A)		221		221
GE Equipment Small Ticket LLC, Ser 2012-1A, Cl A2
0.850%, 11/21/14 (A)		430		428
GE Equipment Transportation LLC, Ser 2011-1, Cl A4
1.330%, 05/20/19		240		242
GE Equipment Transportation LLC, Ser 2012-1, Cl A3
0.990%, 11/23/15		135		136

22 SEI Daily Income Trust / Semi-Annual Report / July 31, 2012

Description	Face Amount ($ Thousands)		Value ($ Thousands)
John Deere Owner Trust, Ser 2009-B, Cl A4
2.330%, 05/16/16	$	405	$	405
John Deere Owner Trust, Ser 2011-A, Cl A2
0.640%, 06/16/14		111		111
Katonah CLO, Ser 2005-7A, Cl B
0.887%, 08/15/12 (A) (B) (C)		504		403
Lambda Finance, Ser 2005-1A, Cl B3
0.837%, 09/08/12 (A) (B)		353		349
Madison Park Funding CLO, Ser 2007-4A, Cl A1B
0.768%, 09/24/12 (A) (B)		420		358
MMAF Equipment Finance LLC, Ser 2012-AA, Cl A2
0.840%, 01/12/15 (A)		225		224
Morgan Stanley ABS Capital I, Ser 2006-WMC1, Cl A2B
0.446%, 08/27/12 (B)		25		24
Navistar Financial Dealer Note Master Trust, Ser 2009-1, Cl A
1.696%, 08/28/12 (A) (B)		850		852
Prima Capital CDO, Ser 2006-CR1A, Cl A1
5.417%, 08/01/12 (A)		117		118
Securitized Asset Backed Receivables LLC, Ser 2005-FR4, Cl M1
0.726%, 08/25/12 (B)		85		84
Sierra Receivables Funding LLC, Ser 2007-2A, Cl A2
1.247%, 08/01/12 (A) (B)		84		82
SLM Student Loan Trust, Ser 2005-8, Cl A2
0.541%, 10/25/12 (B)		362		362
SLM Student Loan Trust, Ser 2006-4, Cl A4
0.531%, 10/25/12 (B)		262		261
SLM Student Loan Trust, Ser 2007-2, Cl A2
0.451%, 07/25/17 (B)		286		285
SLM Student Loan Trust, Ser 2008-5, Cl A2
1.551%, 10/25/16 (B)		405		409
SLM Student Loan Trust, Ser 2011-1, Cl A1
0.766%, 03/25/26 (B)		1,695		1,694
SLM Student Loan Trust, Ser 2011-A, Cl A1
1.249%, 08/15/12 (A) (B)		187		187
SLM Student Loan Trust, Ser 2011-B, Cl A1
1.099%, 08/15/12 (A) (B)		587		587
SLM Student Loan Trust, Ser 2012-5, Cl A1
0.563%, 09/25/12 (B)		485		485
				13,020

Description	Face Amount ($ Thousands)		Value ($ Thousands)
Mortgage Related — 0.2%
HSBC Home Equity Loan Trust, Ser 2006-2, Cl A1
0.397%, 08/20/12 (B)	$	396	$	373
Option One Mortgage Loan Trust, Ser 2003-3, Cl A2
0.846%, 08/25/12 (B)		35		29
Option One Mortgage Loan Trust, Ser 2007-FXD1, Cl 3A3
5.611%, 01/25/37 (B)		128		61
				463
Total Asset-Backed Securities (Cost $77,865) ($ Thousands)				77,611
MORTGAGE-BACKED SECURITIES — 22.6%
Agency Mortgage-Backed Obligations — 10.7%
FHLMC
2.199%, 08/01/12 (B)		245		261
2.196%, 08/01/12 (B)		177		188
FHLMC REMIC, Ser 1993-1599, Cl C
6.100%, 10/15/23		23		24
FHLMC REMIC, Ser 2004-2791, Cl UD
5.000%, 05/15/18		97		98
FHLMC REMIC, Ser 2007-3349, Cl HB
5.500%, 06/15/31		132		133
FHLMC TBA
4.000%, 08/15/41		3,800		4,063
FNMA
6.000%, 01/01/27		227		251
5.000%, 04/01/21 to 03/01/25		3,758		4,080
2.990%, 01/01/15		1,250		1,262
2.349%, 08/01/12 (B)		137		145
2.340%, 08/01/12 (B)		24		26
2.282%, 08/01/12 (B)		72		75
2.265%, 08/01/12 (B)		54		56
2.258%, 08/01/12 (B)		22		23
2.028%, 08/01/12 (B)		142		150
1.504%, 08/01/12 (B)		33		33
FNMA REMIC, Ser 1993-58, Cl H
5.500%, 04/25/23		40		44
FNMA REMIC, Ser 1993-220, Cl FA
0.850%, 08/25/12 (B)		7		7
FNMA REMIC, Ser 2001-33, Cl FA
0.696%, 08/25/12 (B)		46		46
FNMA REMIC, Ser 2002-64, Cl FG
0.498%, 08/18/12 (B)		34		34
FNMA REMIC, Ser 2002-77, Cl CB
5.000%, 12/25/17		503		539
FNMA REMIC, Ser 2004-21, Cl QD
4.500%, 02/25/29		99		99
FNMA REMIC, Ser 2008-68, Cl VM
5.500%, 07/25/19		210		215

SEI Daily Income Trust / Semi-Annual Report / July 31, 2012 23

SCHEDULE OF INVESTMENTS (Unaudited)

Ultra Short Duration Bond Fund (Continued)

July 31, 2012

Description	Face Amount ($ Thousands)		Value ($ Thousands)
FNMA TBA
4.500%, 08/17/18	$	1,500	$	1,614
4.000%, 08/01/20		900		963
3.500%, 09/01/40		1,000		1,062
3.000%, 08/25/26		4,300		4,533
NCUA Guaranteed Notes, Ser 2010-R1, Cl 1A
0.691%, 08/04/12 (B)		957		959
NCUA Guaranteed Notes, Ser 2010-R1, Cl 2A
1.840%, 10/07/20		64		65
NCUA Guaranteed Notes, Ser 2010-R2, Cl 1A
0.610%, 08/06/12 (B)		244		244
NCUA Guaranteed Notes, Ser 2011-R1, Cl 1A
0.690%, 08/04/12 (B)		211		212
NCUA Guaranteed Notes, Ser 2011-R2, Cl 1A
0.640%, 08/09/12 (B)		335		335
NCUA Guaranteed Notes, Ser 2011-R3, Cl 1A
0.646%, 03/11/20 (B)		1,000		1,001
NCUA Guaranteed Notes, Ser 2011-R4, Cl 1A
0.621%, 08/05/12 (B)		375		376
NCUA Guaranteed Notes, Ser 2011-R6, Cl 1A
0.621%, 08/07/12 (B)		576		576
				23,792
Non-Agency Mortgage-Backed Obligations — 11.9%
American Tower Trust, Ser 2007-1A, Cl AFX
5.420%, 04/15/37 (A)		315		333
Arkle Master Issuer PLC, Ser 2010-2A, Cl 1A1
1.866%, 08/17/12 (A) (B)		876		882
Arkle Master Issuer PLC, Ser 2011-1A, Cl 2A
1.716%, 08/17/12 (A) (B)		400		403
Banc of America Large Loan, Ser 2007-BMB1, Cl A1
0.759%, 08/25/12 (A) (B)		21		20
Banc of America Merrill Lynch Commercial Mortgage, Ser 2003-2, Cl A4
5.061%, 08/01/12 (B)		340		352
Banc of America Mortgage Securities, Ser 2005-A, Cl 2A2
3.001%, 08/01/12 (B)		3		3
Banc of America Mortgage Securities, Ser 2005-F, Cl 2A2
2.961%, 08/01/12 (B)		532		453

Description	Face Amount ($ Thousands)		Value ($ Thousands)
Banc of America Mortgage Securities, Ser 2005-J, Cl 2A1
2.793%, 08/01/12 (B)	$	63	$	50
Bear Stearns Adjustable Rate Mortgage Trust, Ser 2005-3, Cl 2A1
3.005%, 08/01/12 (B)		203		159
Bear Stearns Adjustable Rate Mortgage Trust, Ser 2005-6, Cl 3A1
2.834%, 08/01/12 (B)		336		235
Bear Stearns Adjustable Rate Mortgage Trust, Ser 2005-12, Cl 11A1
2.795%, 08/01/12 (B)		153		94
Bear Stearns Commercial Mortgage Securities, Ser 2002-TOP8, Cl A2
4.830%, 08/15/38		152		152
Bear Stearns Commercial Mortgage Securities, Ser 2007-PW18, Cl A2
5.613%, 06/11/50		250		256
Bear Stearns Commercial Mortgage Securities, Ser 2007-T26, Cl A2
5.330%, 01/12/45		21		21
Citigroup Mortgage Loan Trust, Ser 2004-HYB3, Cl 1A
2.869%, 08/01/12 (B)		104		104
Citigroup Mortgage Loan Trust, Ser 2006-AR2, Cl 1A1
2.960%, 08/01/12 (B)		280		189
Commercial Mortgage Acceptance, Ser 1998-C2, Cl F
5.440%, 09/15/30 (A)		173		178
Commercial Mortgage Pass-Through Certificates, Ser 2006-FL12, Cl A2
0.349%, 08/15/12 (A) (B)		268		259
Commercial Mortgage Pass-Through Certificates, Ser 2011-STRT, Cl A
2.555%, 12/10/24 (A)		675		677
Countrywide Alternative Loan Trust, Ser 2007-HY5R, Cl 2A1A
5.522%, 08/01/12 (B)		4		4
Countrywide Home Loans, Ser 2004-29, Cl 1A1
0.786%, 08/25/12 (B)		39		33
Countrywide Home Loans, Ser 2005-HY10, Cl 3A1A
2.718%, 08/01/12 (B)		268		171
Credit Suisse First Boston Mortgage Securities, Ser 2003-C5, Cl A4
4.900%, 12/15/36 (B)		387		401
Credit Suisse First Boston Mortgage Securities, Ser 2003-CK2, Cl A4
4.801%, 03/15/36		617		623
Credit Suisse First Boston Mortgage Securities, Ser C4, Cl A4
5.137%, 08/15/36 (B)		415		427

24 SEI Daily Income Trust / Semi-Annual Report / July 31, 2012

Description	Face Amount ($ Thousands)		Value ($ Thousands)
FDIC Structured Sale Guaranteed Notes, Ser 2010-S1, Cl 1A
0.796%, 08/01/12 (A) (B)	$	479	$	480
FDIC Trust, Ser 2012-C1, Cl A
0.841%, 05/25/35 (A) (B)		973		975
Fosse Master Issuer PLC, Ser 2011-1A, Cl A2
1.855%, 10/18/54 (A) (B)		569		574
GE Capital Commercial Mortgage, Ser 2002-3A, Cl A2
4.996%, 12/10/37		375		376
GE Capital Commercial Mortgage, Ser 2003-C2, Cl A4
5.145%, 07/10/37		535		549
GE Capital Commercial Mortgage, Ser C1, Cl A4
4.819%, 01/10/38		298		302
GMAC Commercial Mortgage Securities, Ser 2003-C2, Cl A2
5.640%, 08/01/12 (B)		550		571
GMAC Commercial Mortgage Securities, Ser 2004-C3, Cl A4
4.547%, 08/01/12		58		59
GMAC Mortgage Loan Trust, Ser 2005-AR6, Cl 2A1
3.073%, 08/01/12 (B)		288		213
Greenwich Capital Commercial Funding, Ser 2003-C1, Cl A4
4.111%, 07/05/35		481		488
Greenwich Capital Commercial Funding, Ser 2003-C2, Cl A4
4.915%, 01/05/36		190		197
GS Mortgage Securities II, Ser 2007-EOP, Cl A1
1.103%, 08/06/12 (A) (B)		557		555
GS Mortgage Securities II, Ser 2007-EOP, Cl A3
1.456%, 08/06/12 (A) (B)		734		725
GS Mortgage Securities II, Ser 2007-GG10, Cl A2
5.778%, 08/10/45 (B)		191		192
GS Mortgage Securities II, Ser 2011-GC3, Cl A1
2.331%, 03/10/44 (A)		756		775
GSR Mortgage Loan Trust, Ser 2005-AR4, Cl 2A1
3.073%, 08/01/12 (B)		372		276
GSR Mortgage Loan Trust, Ser 2006-AR1, Cl 2A1
2.705%, 08/01/12 (B)		473		379
GSR Mortgage Loan Trust, Ser 2007-AR2, Cl 1A1
3.103%, 05/25/47 (B)		361		228
Impac CMB Trust, Ser 2004-9, Cl 1A1
1.006%, 08/25/12 (B)		92		73

Description	Face Amount ($ Thousands)		Value ($ Thousands)
Impac CMB Trust, Ser 2005-2, Cl 1A1
0.766%, 08/03/12 (B)	$	105	$	86
Impac CMB Trust, Ser 2005-3, Cl A1
0.726%, 08/25/12 (B)		97		66
Impac CMB Trust, Ser 2005-5, Cl A1
0.886%, 08/25/12 (B)		79		59
Impac CMB Trust, Ser 2005-8, Cl 1A
0.506%, 08/25/12 (B)		252		182
JPMorgan Chase Commercial Mortgage Securities, Ser 2004-C1, Cl A3
4.719%, 01/15/38		330		343
JPMorgan Chase Commercial Mortgage Securities, Ser 2005-LDP4, Cl A3A2
4.903%, 10/15/42		1,200		1,199
JPMorgan Chase Commercial Mortgage Securities, Ser 2011-C3, Cl A1
1.875%, 02/15/46 (A)		794		802
JPMorgan Chase Commercial Mortgage Securities, Ser 2011-C4, Cl A1
1.525%, 07/15/46 (A)		447		452
JPMorgan Mortgage Trust, Ser 2005-A6, Cl 7A1
2.721%, 08/01/12 (B)		217		170
JPMorgan Mortgage Trust, Ser 2007-A3, Cl 1A1
2.860%, 08/01/12 (B)		290		196
LB-UBS Commercial Mortgage Trust, Ser 2002-C4, Cl A5
4.853%, 09/15/31		28		28
LB-UBS Commercial Mortgage Trust, Ser 2002-C7, Cl A4
4.960%, 12/15/31		792		798
LB-UBS Commercial Mortgage Trust, Ser 2003-C3, Cl A4
4.166%, 05/15/32		110		112
LB-UBS Commercial Mortgage Trust, Ser 2003-C5, Cl A4
4.685%, 07/15/32 (B)		175		180
LB-UBS Commercial Mortgage Trust, Ser 2003-C8, Cl A4
5.124%, 11/15/32 (B)		205		213
Merill Lynch Mortgage Trust, Ser 2004-BPC1, Cl A5
4.855%, 10/12/41 (B)		629		675
Merrill Lynch Mortgage Investors, Ser 2005-A3, Cl A1
0.516%, 08/25/12 (B)		106		88
Merrill Lynch Mortgage-Backed Securities Trust, Ser 2007-3, Cl 2A1
3.379%, 08/01/12 (B)		401		276
Morgan Stanley Capital I, Ser 2004-T13, Cl A4
4.660%, 09/13/45		923		961

SEI Daily Income Trust / Semi-Annual Report / July 31, 2012 25

SCHEDULE OF INVESTMENTS (Unaudited)

Ultra Short Duration Bond Fund (Continued)

July 31, 2012

Description	Face Amount ($ Thousands)		Value ($ Thousands)
Morgan Stanley Capital I, Ser 2006-HQ9, Cl A2
5.618%, 07/12/44	$	24	$	25
Morgan Stanley Capital I, Ser HQ3, Cl A4
4.800%, 01/13/41		345		357
Morgan Stanley Dean Witter Capital I, Ser 2001-TOP3, Cl A4
6.390%, 07/15/33		13		13
MortgageIT Trust, Ser 2005-5, Cl A1
0.506%, 08/25/12 (B)		351		246
Nomura Asset Securities, Ser 1998-D6, Cl A1C
6.690%, 03/15/30		18		18
Paragon Mortgages PLC, Ser 2006-12A, Cl A2C
0.687%, 08/15/12 (A) (B)		128		99
Paragon Mortgages PLC, Ser 2007-15A, Cl A2C
0.578%, 10/19/12 (A) (B)		307		230
Permanent Master Issuer PLC, Ser 2010-1A, Cl 1A
1.605%, 07/15/42 (A) (B)		403		404
Residential Funding Mortgage Securities I, Ser 2007-SA3, Cl 2A1
4.094%, 08/01/12 (B)		304		214
Sequoia Mortgage Trust, Ser 2004-12, Cl A1
0.517%, 08/20/12 (B)		42		35
TIAA Seasoned Commercial Mortgage Trust, Ser 2007-C4, Cl A2
5.339%, 08/10/12 (B)		47		47
Wachovia Bank Commercial Mortgage Trust, Ser 2003-C8, Cl A4
4.964%, 11/15/35 (B)		440		461
WaMu Mortgage Pass-Through Certificates, Ser 2006-AR2, Cl 1A1
2.472%, 08/01/12 (B)		392		300
Wells Fargo Mortgage-Backed Securities Trust, Ser 2004-BB, Cl A2
2.616%, 08/01/12 (B)		218		197
Wells Fargo Mortgage-Backed Securities Trust, Ser 2005-AR16, Cl 3A2
2.634%, 08/01/12 (B)		4		4
Wells Fargo Mortgage-Backed Securities Trust, Ser 2006-AR5, Cl 2A1
2.615%, 08/01/12 (B)		1		1
Wells Fargo Mortgage-Backed Securities Trust, Ser 2006-AR10, Cl 2A1
2.626%, 08/01/12 (B)		333		235
Wells Fargo Mortgage-Backed Securities Trust, Ser 2006-AR12, Cl 1A1
2.806%, 09/25/36 (B)		262		203
WF-RBS Commercial Mortgage Trust, Ser 2011-C2, Cl A1
2.558%, 02/15/44 (A)		1,310		1,340

Description	Face Amount ($ Thousands)		Value ($ Thousands)
WF-RBS Commercial Mortgage Trust, Ser 2011-C3, Cl A1
1.988%, 03/15/44 (A)	$	509	$	520
WF-RBS Commercial Mortgage Trust, Ser 2012-C6, Cl A1
1.081%, 04/15/45		181		182
				26,483
Total Mortgage-Backed Securities (Cost $51,901) ($ Thousands)				50,275
MUNICIPAL BONDS — 3.3%
California — 0.2%
University of California, Build America Bonds, RB
1.988%, 12/14/12 (B)		375		379
Illinois — 0.6%
Illinois State, GO
4.071%, 01/01/14		625		646
Regional Transportation Authority, Ser A, RB
1.064%, 06/01/14		295		295
1.044%, 04/01/14		290		290
				1,231
Louisiana — 0.2%
Louisiana State, Local Government Environmental Facilities and Community Development Authority, Ser 2010-ELL, RB
1.110%, 02/01/16		434		435
Michigan — 0.3%
Kalamazoo, Hospital Finance Authority, Ser B, RB
3.125%, 05/15/41 (B)		750		758
New Jersey — 0.7%
New Jersey State, Economic Development Authority, Build America Bonds, RB
1.468%, 09/15/12 (B)		420		420
New Jersey State, Turnpike Authority, Ser B, RB
4.252%, 01/01/16		1,085		1,141
				1,561
New York — 0.2%
City of New York, Ser J, GO
4.300%, 06/01/13		550		568
Texas — 0.7%
City of El Paso, GO
3.610%, 08/15/14		445		471

26 SEI Daily Income Trust / Semi-Annual Report / July 31, 2012

Description	Face Amount ($ Thousands)		Value ($ Thousands)
Texas State, Ser B, GO
0.285%, 08/02/12 (B)	$	1,045	$	1,045
				1,516
Virginia — 0.3%
Louisiana State, Industrial Development Authority, Ser A, RB
2.500%, 03/01/31 (B)		630		635
West Virginia — 0.1%
West Virginia, Economic Development Authority, Ser A, RB
2.000%, 01/01/41 (B)		175		175
Total Municipal Bonds (Cost $7,218) ($ Thousands)				7,258
U.S. GOVERNMENT AGENCY OBLIGATION — 0.6%
FNMA
0.550%, 08/23/13		1,420		1,420
Total U.S. Government Agency Obligation (Cost $1,420) ($ Thousands)				1,420
CERTIFICATES OF DEPOSIT — 0.6%
Bank of Nova Scotia
0.717%, 11/26/12 (B)		776		777
Intesa Sanpaolo
2.375%, 12/21/12		629		616
Total Certificates of Deposit (Cost $1,405) ($ Thousands)				1,393
U.S. TREASURY OBLIGATION — 0.2%
U.S. Treasury Notes
0.500%, 10/15/14		530		533
Total U.S. Treasury Obligation (Cost $532) ($ Thousands)				533
Total Investments — 103.5% (Cost $232,378) ($ Thousands)			$	230,949

The open futures contracts held by the Fund at July 31, 2012, is as follows (see Note 2 in Notes to Financial Statements):

Type of Contract	Number of Contracts Long (Short)			Expiration Date		Unrealized Appreciation (Depreciation) ($ Thousands)
U.S. 10-Year Treasury Note		(15	)		Sep-2012	$	(24	)
U.S. 2-Year Treasury Note		5			Sep-2012		2
U.S. 5-Year Treasury Note		(13	)		Oct-2012		(9	)
						$	(31	)

For the period ended July 31, 2012, the total amount of all open futures contracts, as presented in the table above, are representative of the volume of activity for this derivative type during the period

Percentages are based on Net Assets of $223,121 ($ Thousands).

(A) Floating Rate Instrument. The rate reflected on the Schedule of Investments is the rate in effect on July 31, 2012. The date reported is the final maturity date.

(B) Securities sold within terms of a private placement memorandum, exempt from registration under Section 144A of the Securities Act of 1933, as amended, and may be sold only to dealers in that program or other “accredited investors.” These securities have been determined to be liquid under guidelines established by the Board of Trustees.

(C) Security fair valued using methods determined in good faith by the Valuation Committee of the Board of Trustees. The total market value of such securities as of July 31, 2012 was $403 (Thousands) and represented 0.2% of Net Assets.

ABS — Asset-Backed Security

CDO — Collateralized Debt Obligation

Cl — Class

CLO — Collateralized Loan Obligation

FDIC — Federal Deposit Insurance Corporation

FHLMC — Federal Home Loan Mortgage Corporation

FNMA — Federal National Mortgage Association

GO — General Obligation

LLC — Limited Liability Company

LP — Limited Partnership

Ltd. — Limited

MTN — Medium Term Note

NCUA — National Credit Union Association

NY — New York

PLC — Public Limited Company

RB — Revenue Bond

REMIC — Real Estate Mortgage Investment Conduit

Ser — Series

TBA — To Be Announced

The following is a summary of the input used as of July 31, 2012 in valuing the Fund’s investments carried at value ($ Thousands):

Investments in Securities	Level 1		Level 2		Level 3		Total
Corporate Obligations	$	—	$	92,459	$	—	$	92,459
Asset-Backed Securities		—		77,208		403		77,611
Mortgage-Backed Securities		—		50,275		—		50,275
Municipal Bonds		—		7,258		—		7,258
U.S. Government Agency Obligation		—		1,420		—		1,420
Certificates of Deposit		—		1,393		—		1,393
U.S. Treasury Obligation		—		533		—		533
Total Investments in Securities	$	—	$	230,546	$	403	$	230,949

Other Financial Instruments	Level 1			Level 2		Level 3		Total
Futures Contracts*	$	(31	)	$	—	$	—	$	(31	)

* Future Contracts are valued at the net unrealized appreciation/(depreciation) on the instruments

As of July 31, 2012, there were no transfers between Level 1 and Level 2 assets and liabilities.

A reconciliation of Level 3 investments is presented when the Fund has a significant amount of Level 3 investments at the beginning and/or end of the period in relation to net assets.

For more information on valuation inputs, see Note 2 — Significant Accounting Policies in Notes to Financial Statements.

Amounts designated as “—” are $0 or have been rounded to $0.

The accompanying notes are an integral part of the financial statements.

SEI Daily Income Trust / Semi-Annual Report / July 31, 2012 27

SCHEDULE OF INVESTMENTS (Unaudited)

Short-Duration Government Fund

July 31, 2012

Description	Face Amount ($ Thousands)		Value ($ Thousands)
MORTGAGE-BACKED SECURITIES — 56.0%
Agency Mortgage-Backed Obligations — 56.0%
FHLMC
4.500%, 07/01/23	$	5	$	5
2.502%, 08/01/12 (A)		46		46
2.443%, 08/01/12 (A)		98		100
2.385%, 08/01/12 (A)		14		15
2.379%, 03/01/19 (A)		17		17
2.375%, 01/01/18 to 09/01/20 (A)		29		29
2.350%, 08/01/12 (A)		11		11
2.340%, 08/01/12 (A)		13		13
2.334%, 08/01/12 (A)		1,689		1,798
2.329%, 08/01/12 (A)		54		54
2.310%, 08/01/12 (A)		36		38
2.302%, 08/01/12 (A)		4		4
2.260%, 08/01/12 (A)		22		22
2.257%, 08/01/12 (A)		78		81
2.250%, 07/01/18 to 11/01/20 (A)		14		14
2.234%, 08/01/12 (A)		92		94
2.125%, 08/01/12 to 11/01/18 (A)		50		52
2.124%, 08/01/12 (A)		31		33
2.000%, 07/01/18 (A)		14		14
1.875%, 08/01/12 to 06/01/18 (A)		10		10
1.625%, 08/01/12 to 01/01/17 (A)		19		19
FHLMC REMIC, Ser 2002-42, Cl A5
7.500%, 02/25/42		628		754
FHLMC REMIC, Ser 2003-2587, Cl ET
3.700%, 07/15/17		22		22
FHLMC REMIC, Ser 2004-2864, Cl NV
4.500%, 08/15/15		2,415		2,497
FHLMC REMIC, Ser 2005-3029, Cl PE
5.000%, 03/15/34		4,000		4,169
FHLMC REMIC, Ser 2006-3148, Cl CF
0.649%, 08/15/12 (A)		1,186		1,189
FHLMC REMIC, Ser 2010-3628, Cl PJ
4.500%, 01/15/40		11,317		12,322
FHLMC REMIC, Ser 3153, Cl FX
0.599%, 08/15/12 (A)		401		401
FNMA
7.000%, 06/01/37		47		54
6.500%, 05/01/26 to 09/01/36		1,027		1,170
6.442%, 08/01/12		3,590		3,714
6.000%, 02/01/23 to 09/01/24		11,498		12,708
5.500%, 06/01/16 to 12/01/25		3,404		3,734
5.300%, 07/01/19		1,224		1,381
5.140%, 08/01/12		3,177		3,490
5.090%, 08/01/12		4,047		4,442
5.000%, 03/01/19 to 04/01/41		6,829		7,476
4.974%, 12/01/13		1,330		1,384

Description	Face Amount ($ Thousands)		Value ($ Thousands)
4.904%, 02/01/13	$	39	$	39
4.835%, 11/01/12		969		969
4.830%, 08/01/12		2,129		2,128
4.771%, 08/01/12		6,869		7,537
4.766%, 04/01/13		103		103
4.500%, 04/01/26 to 10/01/31		9,802		10,660
4.100%, 07/01/13		900		915
4.000%, 05/01/26 to 08/01/26		7,493		8,022
3.580%, 10/01/16		2,384		2,578
2.990%, 10/01/17		3,404		3,657
2.630%, 09/01/17		22,526		23,889
2.349%, 08/01/12 (A)		655		689
2.332%, 08/01/12 (A)		459		491
2.241%, 08/01/12 (A)		396		403
2.195%, 08/01/12 (A)		79		84
2.151%, 08/01/12 (A)		85		89
2.057%, 08/01/12 (A)		120		122
2.028%, 08/01/12 (A)		542		571
FNMA REMIC, Ser 1992-61, Cl FA
0.900%, 08/25/12 (A)		110		111
FNMA REMIC, Ser 1993-32, Cl H
6.000%, 03/25/23		45		49
FNMA REMIC, Ser 1993-5, Cl Z
6.500%, 02/25/23		22		26
FNMA REMIC, Ser 1994-77, Cl FB
1.750%, 08/25/12 (A)		9		10
FNMA REMIC, Ser 2001-51, Cl QN
6.000%, 10/25/16		85		91
FNMA REMIC, Ser 2002-3, Cl PG
5.500%, 02/25/17		452		476
FNMA REMIC, Ser 2002-53, Cl FK
0.646%, 08/25/12 (A)		183		183
FNMA REMIC, Ser 2003-76, Cl CA
3.750%, 07/25/33		435		457
FNMA REMIC, Ser 2004-15, Cl AN
4.000%, 09/25/17		503		505
FNMA REMIC, Ser 2006-76, Cl QF
0.646%, 08/25/12 (A)		2,037		2,047
FNMA REMIC, Ser 2006-79, Cl DF
0.596%, 08/25/12 (A)		1,727		1,730
FNMA REMIC, Ser 2007-47, Cl DA
5.600%, 05/25/37		2,929		3,244
FNMA REMIC, Ser 2010-4, Cl PL
4.500%, 02/25/40		8,500		9,148
FNMA REMIC, Ser 2010-149, Cl VA
4.500%, 02/25/22		9,081		10,060
FNMA, Ser 2010-M5, Cl A2
2.806%, 07/25/20		13,700		14,715
FNMA TBA
5.000%, 08/15/40		9,600		10,461
4.000%, 08/01/20 to 08/13/39		102,300		109,440
3.500%, 08/01/40 to 08/01/40		23,300		24,737
3.000%, 08/25/26		24,700		26,039
GNMA
6.500%, 04/15/17 to 02/20/39		1,291		1,485
6.000%, 06/15/16 to 09/15/19		312		346

28 SEI Daily Income Trust / Semi-Annual Report / July 31, 2012

Description	Face Amount ($ Thousands)		Value ($ Thousands)
5.500%, 10/15/34 to 02/15/41	$	16,395	$	18,334
5.000%, 09/15/39 to 04/15/41		8,102		8,993
4.500%, 04/15/41		2,243		2,471
4.000%, 07/15/41 to 03/15/42		10,376		11,416
GNMA REMIC, Ser 2006-38, Cl XS, IO
7.001%, 08/16/12 (A)		158		33
NCUA Guaranteed Notes, Ser 2010-R1, Cl 2A
1.840%, 10/07/20		668		677
Total Mortgage-Backed Securities (Cost $374,527) ($ Thousands)				383,606
U.S. TREASURY OBLIGATIONS — 18.4%
U.S. Treasury Notes
3.875%, 02/15/13		22,500		22,948
2.625%, 11/15/20		15,136		16,828
1.750%, 01/31/14		84,500		86,444
Total U.S. Treasury Obligations (Cost $123,431) ($ Thousands)				126,220
U.S. GOVERNMENT AGENCY OBLIGATIONS — 17.0%
FHLB
3.250%, 09/12/14		9,915		10,523
2.750%, 03/13/15		4,440		4,711
FHLMC
2.500%, 04/23/14		50,024		51,960
FNMA
2.750%, 03/13/14		35,520		36,936
0.750%, 02/26/13		12,580		12,617
Total U.S. Government Agency Obligations (Cost $114,110) ($ Thousands)				116,747
REPURCHASE AGREEMENTS (B) — 32.7%
BNP Paribas 0.180%, dated 07/31/12, to be repurchased on 08/01/12, repurchase price $112,700,564 (collateralized by various GNMA obligations, ranging in par value $17,617,051-$100,000,000, 4.000%-4.500%, 08/15/39-06/20/42, with total market value $114,954,000)		112,700		112,700
JPMorgan Chase 0.190%, dated 07/31/12, to be repurchased on 08/01/12, repurchase price $111,300,587 (collateralized by various FNMA obligations, ranging in par value $765,000-$2,822,410, 2.500%-6.000%, 12/01/25-07/01/42, with total market value $113,530,614)		111,300		111,300
Total Repurchase Agreements (Cost $224,000) ($ Thousands)				224,000
Total Investments — 124.1% (Cost $836,068) ($ Thousands)			$	850,573

The open futures contracts held by the Fund at July 31, 2012, is as follows (see Note 2 in Notes to Financial Statements):

Type of Contract	Number of Contracts Long (Short)			Expiration Date		Unrealized Appreciation (Depreciation) ($ Thousands)
U.S. 10-Year Treasury Note		269			Sep-2012	$	155
U.S. 2-Year Treasury Note		211			Sep-2012		69
U.S. 5-Year Treasury Note		(391	)		Oct-2012		(325	)
						$	(101	)

For the period ended July 31, 2012, the total amount of all open futures contracts, as presented in the table above, are representative of the volume of activity for this derivative type during the period.

Percentages are based on Net Assets of $685,178 ($ Thousands).

(A) Floating Rate Instrument. The rate reflected on the Schedule of Investments is the rate in effect on July 31, 2012. The date reported is the final maturity date.

(B) Tri-Party Repurchase Agreement.

Cl — Class

FHLB — Federal Home Loan Bank

FHLMC — Federal Home Loan Mortgage Corporation

FNMA — Federal National Mortgage Association

GNMA — Government National Mortgage Association

IO — Interest Only—face amount represents notional amount

NCUA — National Credit Union Administration

REMIC — Real Estate Mortgage Investment Conduit

Ser — Series

TBA — To Be Announced

The following is a summary of the inputs used as of July 31, 2012 in valuing the Fund’s investments and other financial instruments carried at value ($ Thousands):

Investments in Securities	Level 1		Level 2		Level 3		Total
Mortgage-Backed Securities	$	—	$	383,606	$	—	$	383,606
Repurchase Agreements		—		224,000		—		224,000
U.S. Government Agency Obligations		—		116,747		—		116,747
U.S. Treasury Obligations		—		126,220		—		126,220
Total Investments in Securities	$	—	$	850,573	$	—	$	850,573

Other Financial Instruments	Level 1			Level 2		Level 3		Total
Futures Contracts*	$	(101	)	$	—	$	—	$	(101	)

* Futures contracts are valued at the unrealized appreciation/(depreciation) on the instruments.

As of July 31, 2012, there were no transfers between Level 1 and Level 2 assets and liabilities. As of July 31, 2012, there were no Level 3 securities.

For more information on valuation inputs, see Note 2 — Significant Accounting Policies in Notes to Financial Statements.

Amounts designated as “—” are $0 or have been rounded to $0.

The accompanying notes are an integral part of the financial statements.

SEI Daily Income Trust / Semi-Annual Report / July 31, 2012 29

SCHEDULE OF INVESTMENTS (Unaudited)

Intermediate-Duration Government Fund

July 31, 2012

Description	Face Amount ($ Thousands)		Value ($ Thousands)
MORTGAGE-BACKED SECURITIES — 86.7%
Agency Mortgage-Backed Obligations — 86.7%
FHLMC
6.500%, 01/01/18 to 12/01/32	$	187	$	214
6.000%, 09/01/24		579		639
5.500%, 06/01/19 to 12/01/20		338		370
FHLMC REMIC, Ser 1990-165, Cl K
6.500%, 09/15/21		7		7
FHLMC REMIC, Ser 1993-1599, Cl C
6.100%, 10/15/23		86		88
FHLMC REMIC, Ser 2003-2587, Cl ET
3.700%, 07/15/17		13		13
FHLMC REMIC, Ser 2003-2622, Cl PE
4.500%, 05/15/18		2,071		2,202
FHLMC REMIC, Ser 2004-2748, Cl LE
4.500%, 12/15/17		253		257
FHLMC REMIC, Ser 2004-2802, Cl PF
0.640%, 08/15/12 (A)		460		461
FHLMC REMIC, Ser 2005-3029, Cl PE
5.000%, 03/15/34		1,300		1,355
FHLMC TBA
4.000%, 08/15/41		1,500		1,604
FNMA
6.500%, 03/01/33 to 10/01/34		127		146
6.450%, 10/01/18		465		533
6.000%, 02/01/23		359		395
5.680%, 06/01/17		519		588
5.500%, 03/01/14 to 12/01/25		1,983		2,186
5.000%, 02/01/13 to 04/01/41		2,487		2,699
4.997%, 08/01/15		365		404
4.904%, 02/01/13		102		102
4.771%, 08/01/12		1,202		1,319
4.500%, 04/01/26 to 10/01/31		846		920
4.360%, 12/01/15		968		1,034
4.000%, 05/01/26 to 08/01/26		583		625
3.790%, 07/01/13		975		990
FNMA REMIC, Ser 2001-51, Cl QN
6.000%, 10/25/16		120		128
FNMA REMIC, Ser 2003-48, Cl GH
5.500%, 06/25/33		1,800		2,100
FNMA REMIC, Ser 2004-15, Cl AN
4.000%, 09/25/17		126		126
FNMA REMIC, Ser 2006-79, Cl DF
0.596%, 08/25/12 (A)		305		305
FNMA REMIC, Ser 2007-47, Cl DA
5.600%, 05/25/37		509		564

Description	Face Amount ($ Thousands)		Value ($ Thousands)
FNMA REMIC, Ser 2010-4, Cl PL
4.500%, 02/25/40	$	984	$	1,059
FNMA REMIC, Ser 2010-149, Cl VA
4.500%, 02/25/22		929		1,029
FNMA, Ser 2010-M5, Cl A2
2.806%, 07/25/20		3,300		3,544
FNMA TBA
4.000%, 08/01/20		6,400		6,845
3.000%, 08/25/26		9,900		10,437
GNMA
8.750%, 07/20/17		7		7
8.500%, 11/20/16 to 08/20/17		23		24
7.500%, 11/15/25 to 03/15/27		26		32
6.000%, 09/15/24		535		605
5.500%, 06/15/38 to 01/15/39		3,154		3,527
5.000%, 05/15/40 to 06/15/40		75		84
4.500%, 06/15/41		300		331
4.000%, 07/15/41 to 01/15/42		932		1,025
NCUA Guaranteed Notes, Ser 2010-R1, Cl 2A
1.840%, 10/07/20		162		164
Total Mortgage-Backed Securities (Cost $49,643) ($ Thousands)				51,087
U.S. GOVERNMENT AGENCY OBLIGATIONS — 12.6%
FHLB
2.750%, 03/13/15		1,500		1,591
FHLMC
5.250%, 04/18/16		5,000		5,860
Total U.S. Government Agency Obligations (Cost $7,376) ($ Thousands)				7,451
U.S. TREASURY OBLIGATION — 1.1%
U.S. Treasury Notes (B)
2.250%, 05/31/14		600		622
Total U.S. Treasury Obligation (Cost $598) ($ Thousands)				622
ASSET-BACKED SECURITY — 0.6%
Small Business Administration, Ser 2005-P10B, Cl 1
4.940%, 08/10/15		335		364
Total Asset-Backed Security (Cost $336) ($ Thousands)				364
REPURCHASE AGREEMENTS (C) — 30.5%
BNP Paribas 0.180%, dated 07/31/12, to be repurchased on 08/01/12, repurchase price $8,400,042 (collateralized by GNMA, par value $7,925,248, 3.500%, 04/20/42, with total market value $8,568,001)		8,400		8,400

30 SEI Daily Income Trust / Semi-Annual Report / July 31, 2012

Description	Face Amount ($ Thousands)		Value ($ Thousands)
Goldman Sachs 0.180%, dated 07/31/12, to be repurchased on 08/01/12, repurchase price $9,600,048 (collateralized by various GNMA obligations, ranging in par value $1,131,392-$7,848,042, 0.000%-4.500%, 07/20/41-04/20/61, with total market value $9,792,000)	$	9,600	$	9,600
Total Repurchase Agreements (Cost $18,000) ($ Thousands)				18,000
Total Investments — 131.5% (Cost $75,953) ($ Thousands)			$	77,524

The open futures contracts held by the Fund at July 31, 2012, is as follows (see Note 2 in Notes to Financial Statements):

Type of Contract	Number of Contracts Long (Short)		Expiration Date		Unrealized Appreciation ($ Thousands)
U.S. 10-Year Treasury Note		29		Sept-2012	$	30
U.S. 5-Year Treasury Note		174		Oct-2012		178
					$	208

For the period ended July 31, 2012, the total amount of all open futures contracts, as presented in the table above, are representative of the volume of activity for this derivative type during the period.

Percentages are based on Net Assets of $58,960 ($ Thousands).

(A) Floating Rate Instrument. The rate reflected on the Schedule of Investments is the rate in effect on July 31, 2012. The date reported is the final maturity date.

(B) Security, or portion thereof, has been pledged as collateral on open future contracts.

(C) Tri-Party Repurchase Agreement.

Cl — Class

FHLB — Federal Home Loan Bank

FHLMC — Federal Home Loan Mortgage Corporation

FNMA — Federal National Mortgage Association

GNMA — Government National Mortgage Association

NCUA — National Credit Union Association

REMIC — Real Estate Mortgage Investment Conduit

Ser — Series

TBA — To Be Announced

The following is a summary of the inputs used as of July 31, 2012 in valuing the Fund’s investments and other financial instruments carried at value ($ Thousands):

Investments in Securities	Level 1		Level 2		Level 3		Total
Mortgage-Backed Securities	$	—	$	51,087	$	—	$	51,087
Repurchase Agreements		—		18,000		—		18,000
U.S. Government Agency Obligations		—		7,451		—		7,451
Asset-Backed Security		—		364		—		364
U.S. Treasury Obligation		—		622		—		622
Total Investments in Securities	$	—	$	77,524	$	—	$	77,524

Other Financial Instruments	Level 1		Level 2		Level 3		Total
Futures Contracts*	$	208	$	—	$	—	$	208

* Futures contracts are valued at the unrealized appreciation on the instruments.

As of July 31, 2012, there were no transfers between Level 1 and Level 2 assets and liabilities. As of July 31, 2012, there were no Level 3 securities.

For more information on valuation inputs, see Note 2 — Significant Accounting Policies in Notes to Financial Statements.

Amounts designated as “—” are $0 or have been rounded to $0.

The accompanying notes are an integral part of the financial statements.

SEI Daily Income Trust / Semi-Annual Report / July 31, 2012 31

SCHEDULE OF INVESTMENTS (Unaudited)

GNMA Fund

July 31, 2012

Description	Face Amount ($ Thousands)		Value ($ Thousands)
MORTGAGE-BACKED SECURITIES — 98.1%
Agency Mortgage-Backed Obligations — 98.1%
FHLMC
4.500%, 05/01/42 to 08/01/42	$	7,197	$	8,011
FHLMC REMIC, Ser 2006-3175, Cl SA, IO
6.901%, 08/15/12 (A)		380		57
FHLMC REMIC, Ser 2006-3179, Cl SP, IO
6.371%, 08/15/12 (A)		836		111
FHLMC REMIC, Ser 2007-3279, Cl SD, IO
6.181%, 08/15/12 (A)		3,010		434
FHLMC REMIC, Ser 2007-3309, Cl SC, IO
6.201%, 08/15/12 (A)		2,931		424
FHLMC REMIC, Ser 2010-3631, Cl PS, IO
6.201%, 08/15/12 (A)		13,237		1,905
FNMA
8.000%, 09/01/14 to 09/01/28		66		74
7.000%, 08/01/29 to 09/01/32		271		318
6.500%, 09/01/32		121		139
FNMA REMIC, Ser 1990-91, Cl G
7.000%, 08/25/20		24		27
FNMA REMIC, Ser 1992-105, Cl B
7.000%, 06/25/22		46		52
FNMA REMIC, Ser 2002-42, Cl C
6.000%, 07/25/17		897		966
FNMA REMIC, Ser 2007-19, Cl SA, IO
6.164%, 08/25/12 (A)		7,070		1,067
GNMA
12.500%, 06/15/14		0		0
12.000%, 04/15/14		0		0
10.000%, 05/15/16 to 09/15/19		15		15
9.500%, 08/15/17 to 11/15/20		31		33
9.000%, 12/15/17 to 05/15/22		96		100
8.500%, 10/15/16 to 06/15/17		31		31
8.000%, 04/15/17 to 03/15/32		516		586
7.750%, 10/15/26		41		49
7.500%, 02/15/27 to 10/15/35		307		371
7.250%, 01/15/28		83		99
7.000%, 04/15/19 to 06/20/38		4,622		5,511
6.750%, 11/15/27		45		54
6.500%, 02/15/13 to 05/15/40		5,069		5,878

Description	Face Amount ($ Thousands)/ Contracts		Value ($ Thousands)
6.000%, 07/15/24 to 03/15/41	$	15,030	$	16,968
5.500%, 01/15/33 to 07/15/41		20,913		23,464
5.000%, 04/15/33 to 04/15/41 (B)		38,160		42,428
4.500%, 08/15/33 to 12/15/41		10,166		11,251
4.000%, 08/20/39 to 05/20/42		40,060		43,933
3.875%, 05/15/42		2,692		2,926
3.500%, 03/20/41		1,106		1,203
3.000%, 03/15/42		2,990		3,160
2.500%, 05/20/27		2,558		2,724
GNMA REMIC, Ser 2002-45, Cl QE
6.500%, 06/20/32		664		771
GNMA REMIC, Ser 2005-70, Cl AI, IO
5.000%, 10/20/33		3,101		199
GNMA REMIC, Ser 2006-38, Cl XS, IO
7.001%, 08/16/12 (A)		3,848		806
GNMA REMIC, Ser 2009-104, Cl XV
5.000%, 05/20/26		2,700		3,059
GNMA, Ser 2003-9, Cl Z
5.500%, 01/20/33		2,323		2,655
GNMA TBA
5.000%, 08/20/38		14,000		15,492
4.500%, 08/15/39 to 08/15/39		33,800		37,421
3.500%, 08/15/42		38,200		41,447
3.000%, 08/15/42		2,600		2,743
Total Mortgage-Backed Securities (Cost $268,744) ($ Thousands)				278,962
PURCHASED OPTION — 0.0%
Euro Dollar 1 Year Curve Put Option, Expires 09/17/12, Strike Price $ 98.75		487		3
Total Purchased Option (Cost $70) ($ Thousands)				3
REPURCHASE AGREEMENTS (C) — 35.7%
BNP Paribas 0.180%, dated 07/31/12, to be repurchased on 08/01/12, repurchase price $36,200,181 (collateralized by various GNMA obligations, ranging in par value $12,030,057-$24,909,356, 4.500%, 10/15/41, with total market value $36,924,001)		36,200		36,200
JPMorgan Chase 0.190%, dated 07/31/12, to be repurchased on 08/01/12, repurchase price $35,000,185 (collateralized by various FNMA obligations, ranging in par value $530,349-$1,569,776, 3.000%-7.500%, 07/01/19-07/01/52, with total market value $35,702,039)		35,000		35,000

32 SEI Daily Income Trust / Semi-Annual Report / July 31, 2012

Description	Face Amount ($ Thousands)		Value ($ Thousands)
UBS 0.190%, dated 07/31/12, to be repurchased on 08/01/12, repurchase price $30,300,160 (collateralized by GNMA, par value $28,574,595, 4.000%, 03/20/42, with total market value $30,906,001)	$	30,300	$	30,300
Total Repurchase Agreements (Cost $101,500) ($ Thousands)				101,500
Total Investments — 133.8% (Cost $370,314) ($ Thousands)			$	380,465

The open futures contracts held by the Fund at July 31, 2012, is as follows (see Note 2 in Notes to Financial Statements):

Type of Contract	Number of Contracts Long (Short)			Expiration Date		Unrealized Appreciation ($ Thousands)
U.S. 10-Year Treasury Note		(6	)		Sep-2012	$	3

For the period ended July 31, 2012, the total amount of all open futures contracts, as presented in the table above, are representative of the volume of activity for this derivative type during the period

Percentages are based on Net Assets of $284,364 ($ Thousands).

(A) Floating Rate Instrument. The rate reflected on the Schedule of Investments is the rate in effect on July 31, 2012. The date reported is the final maturity date.

(B) Security, or portion thereof, has been pledged as collateral on open future contracts.

(C) Tri-Party Repurchase Agreement.

Cl — Class

FHLMC — Federal Home Loan Mortgage Corporation

FNMA — Federal National Mortgage Association

GNMA — Government National Mortgage Association

IO — Interest Only—face amount represents notional amount

REMIC — Real Estate Mortgage Investment Conduit

Ser — Series

TBA — To Be Announced

The following is a summary of the input used as of July 31, 2012 in valuing the Fund’s investments carried at value ($ Thousands):

Investments in Securities	Level 1		Level 2		Level 3		Total
Mortgage-Backed Securities	$	—	$	278,962	$	—	$	278,962
Repurchase Agreements		—		101,500		—		101,500
Purchased Option		3		—		—		3
Total Investments in Securities	$	3	$	380,462	$	—	$	380,465

Other Financial Instruments	Level 1		Level 2		Level 3		Total
Futures Contracts*	$	3	$	—	$	—	$	3

* Future contracts are valued at the unrealized appreciation on the instruments.

As of July 31, 2012, there were no transfers between Level 1 and Level 2 assets and liabilities. As of July 31, 2012, there were no Level 3 securities.

For more information on valuation inputs, see Note 2 — Significant Accounting Policies in Notes to Financial Statements.

Amounts designated as “—” are $0 or have been rounded to $0.

The accompanying notes are an integral part of the financial statements.

SEI Daily Income Trust / Semi-Annual Report / July 31, 2012 33

Statements of Assets and Liabilites ($ Thousands)

July 31, 2012 (Unaudited)

	Money Market Fund			Government Fund			Government II Fund			Prime Obligation Fund
ASSETS:
Investments, at value†	$	208,984		$	610,018		$	1,442,335		$	2,936,644
Repurchase agreements†		88,385			664,156			—			1,021,647
Cash		1			1			1			1
Receivable for investment securities sold		—			—			—			—
Interest receivable		70			1,429			1,519			940
Receivable for fund shares sold		—			—			—			10,052
Receivable for variation margin		—			—			—			—
Prepaid expenses		10			41			46			140
Total Assets		297,450			1,275,645			1,443,901			3,969,424
LIABILITIES:
Payable for investment securities purchased		—			—			—			—
Administration fees payable		32			108			58			474
Shareholder servicing fees payable		15			6			—			11
Investment advisory fees payable		9			40			39			121
Income distribution payable		6			11			9			163
Chief Compliance Officer fees payable		1			3			3			12
Payable to custodian		—			—			—			—
Payable for fund shares redeemed		—			—			—			—
Payable for variation margin		—			—			—			—
Accrued expense payable		22			85			93			374
Total Liabilities		85			253			202			1,155
Net Assets	$	297,365		$	1,275,392		$	1,443,699		$	3,968,269
†Cost of investments and repurchase agreements	$	297,369		$	1,274,174		$	1,442,335		$	3,958,291
NET ASSETS:
Paid-in Capital — (unlimited authorization — no par value)	$	297,359		$	1,275,477		$	1,443,678		$	3,968,328
Distributions in excess of net investment income		—			—			—			—
Accumulated net realized gain (loss) on investments		6			(85	)		21			(59	)
Net unrealized appreciation (depreciation) on investments		—			—			—			—
Net unrealized appreciation (depreciation) on futures contracts		—			—			—			—
Net Assets	$	297,365		$	1,275,392		$	1,443,699		$	3,968,269
Net Asset Value, Offering and Redemption Price Per Share — Class A		$1.00			$1.00			$1.00			$1.00
		($205,157,188 ÷ 205,187,275 shares	)		($1,081,136,101 ÷ 1,081,193,031 shares	)		($1,282,158,225 ÷ 1,282,207,610 shares	)		($3,778,935,996 ÷ 3,778,990,418 shares	)
Net Asset Value, Offering and Redemption Price Per Share — Class B		$1.00			$1.00			$1.00			$1.00
		($40,493,732 ÷ 40,501,070 shares	)		($149,618,443 ÷ 149,648,332 shares	)		($156,679,530 ÷ 156,709,659 shares	)		($122,455,318 ÷ 122,459,185 shares	)
Net Asset Value, Offering and Redemption Price Per Share — Class C		$1.00			$1.00			$1.00			$1.00
		($28,369,475 ÷ 28,381,970 shares	)		($14,434,549 ÷ 14,436,130 shares	)		($4,861,034 ÷ 4,860,175 shares	)		($40,482,467 ÷ 40,482,912 shares	)
Net Asset Value, Offering and Redemption Price Per Share — Class H		N/A			N/A			N/A			$1.00
											($23,017,938 ÷ 23,019,315 shares	)
Net Asset Value, Offering and Redemption Price Per Share — Sweep Class		$1.00			$1.00			N/A			$1.00
		($23,344,145 ÷ 23,316,032 shares	)		($30,203,401 ÷ 30,205,578 shares	)					($3,377,509 ÷ 3,377,059 shares	)

Amounts designated as “—” are $0 or have been rounded to $0.

N/A — Not applicable. Class B, C, H and Sweep Shares currently not offered.

The accompanying notes are an integral part of the financial statements.

34 SEI Daily Income Trust / Semi-Annual Report / July 31, 2012

Treasury Fund			Treasury II Fund			Ultra Short Duration Bond Fund			Short-Duration Government Fund			Intermediate- Duration Government Fund			GNMA Fund
	$121,404			$761,560			$230,949			$   626,573			$59,524			$278,965
	223,805			—			—			224,000			18,000			101,500
	1			1			5,198			1,088			88			—
	—			—			—			208,258			7,041			10,967
	515			2,059			576			2,118			211			737
	—			—			362			2,224			56			1,321
	—			—			—			42			18			—
	15			25			7			24			2			8
	345,740			763,645			237,092			1,064,327			84,940			393,498
	—			24,998			13,586			378,327			25,847			107,599
	17			—			45			201			10			60
	4			—			—			26			—			68
	15			31			5			49			5			25
	2			5			51			78			9			53
	1			2			1			2			—			1
	—			—			—			—			—			570
	—			—			256			364			101			729
	—			—			4			31			—			4
	32			50			23			71			8			25
	71			25,086			13,971			379,149			25,980			109,134
	$345,669			$738,559			$223,121			$   685,178			$58,960			$284,364
	$345,209			$761,560			$232,378			$   836,068			$75,953			$370,314
	$345,697			$738,548			$249,140			$   666,924			$58,598			$269,022
	—			—			(250	)		(1,294	)		(253	)		(961	)
	(28	)		11			(24,309	)		5,144			(1,164	)		6,149
	—			—			(1,429	)		14,505			1,571			10,151
	—			—			(31	)		(101	)		208			3
	$345,669			$738,559			$223,121			$   685,178			$58,960			$284,364
	$1.00			$1.00			$9.32			$10.77			$12.00			$11.04
	($80,190,064 ÷ 80,229,181 shares	)		($465,829,131 ÷ 465,980,674 shares	)		($223,120,824 ÷ 23,929,102 shares	)		($685,177,529 ÷ 63,594,728 shares	)		($58,960,348 ÷ 4,913,653 shares	)		($284,364,075 ÷ 25,747,950 shares	)
	$1.00			$1.00			N/A			N/A			N/A			N/A
	($91,164,042 ÷ 91,189,095 shares	)		($268,575,633 ÷ 268,558,326 shares	)
	$1.00			$1.00			N/A			N/A			N/A			N/A
	($7,588,981 ÷ 7,589,042 shares	)		($4,154,293 ÷ 4,156,853 shares	)
	N/A			N/A			N/A			N/A			N/A			N/A
	$1.00			N/A			N/A			N/A			N/A			N/A
	($166,725,570 ÷ 166,733,798 shares	)

SEI Daily Income Trust / Semi-Annual Report / July 31, 2012 35

Statements of Operations ($ Thousands)

For the six months ended July 31, 2012 (Unaudited)

	Money Market Fund			Government Fund			Government II Fund			Prime Obligation Fund
Investment Income:
Interest Income	$	418		$	1,095		$	766		$	5,752
Expenses:
Administration Fees		496			1,572			1,221			3,870
Shareholder Servicing Fees — Class A Shares		248			1,427			1,402			4,825
Shareholder Servicing Fees — Sweep Class Shares		27			39			—			11
Distribution Fees — Sweep Class Shares		54			79			—			5
Administrative and Shareholder Servicing Fees — Class B Shares		73			193			232			213
Administrative and Shareholder Servicing Fees — Class C Shares		80			20			22			112
Administrative and Shareholder Servicing Fees — Class H Shares		—			—			—			52
Investment Advisory Fees		105			459			450			1,426
Trustees’ Fees		2			9			9			32
Chief Compliance Officer Fees		1			3			3			12
Registration Fees		9			30			37			103
Custodian/Wire Agent Fees		14			62			63			225
Pricing Fees		1			2			3			7
Other Expenses		14			64			68			223
Total Expenses		1,124			3,959			3,510			11,116
Less, Waiver of:
Investment Advisory Fees		(53	)		(229	)		(225	)		(713	)
Administration Fees		(319	)		(1,009	)		(927	)		(1,112	)
Shareholder Servicing Fees — Class A Shares		(248	)		(1,427	)		(1,402	)		(4,825	)
Administrative & Shareholder Servicing Fees — Class B Shares		(51	)		(193	)		(232	)		(162	)
Administrative & Shareholder Servicing Fees — Class C Shares		(66	)		(20	)		(22	)		(95	)
Administrative & Shareholder Servicing Fees — Class H Shares		—			—			—			(43	)
Shareholder Servicing & Distribution Fees — Sweep Class Shares		(71	)		(117	)		—			(14	)
Net Expenses		316			964			702			4,152
Net Investment Income		102			131			64			1,600
Net Realized and Unrealized Gain (Loss) on/from:
Investments		1			—			3			7
Futures Contracts		—			—			—			—
Net Change in Unrealized Appreciation (Depreciation) on/from:
Investments		—			—			—			—
Futures Contracts		—			—			—			—
Net Increase in Net Assets Resulting from Operations	$	103		$	131		$	67		$	1,607

Amounts designated as “—” are $0 or have been rounded to $0.

The accompanying notes are an integral part of the financial statements.

36 SEI Daily Income Trust / Semi-Annual Report / July 31, 2012

Treasury Fund			Treasury II Fund			Ultra Short Duration Bond Fund			Short-Duration Government Fund			Intermediate- Duration Government Fund			GNMA Fund
$	275		$	328		$	1,660		$	4,061		$	514		$	2,069
	488			949			428			1,224			108			418
	192			554			306			856			77			327
	187			—			—			—			—			—
	379			—			—			—			—			—
	144			514			—			—			—			—
	18			13			—			—			—			—
	—			—			—			—			—			—
	142			277			102			299			28			117
	3			6			2			5			—			2
	1			2			1			2			—			1
	12			15			7			19			2			6
	20			38			4			37			1			12
	1			1			20			56			7			20
	22			37			22			37			5			13
	1,609			2,406			892			2,535			228			916
	(71	)		(138	)		(31	)		(25	)		—			—
	(364	)		(898	)		(87	)		—			—			(88	)
	(192	)		(554	)		(306	)		(856	)		(63	)		—
	(144	)		(514	)		—			—			—			—
	(18	)		(13	)		—			—			—			—
	—			—			—			—			—			—
	(566	)		—			—			—			—			—
	254			289			468			1,654			165			828
	21			39			1,192			2,407			349			1,241
	—			1			(153	)		6,405			483			3,437
	—			—			(168	)		(986	)		357			(5	)
	—			—			2,109			(883	)		(143	)		883
	—			—			110			157			(186	)		(75	)
$	21		$	40		$	3,090		$	7,100		$	860		$	5,481

SEI Daily Income Trust / Semi-Annual Report / July 31, 2012 37

Statements of Changes in Net Assets ($ Thousands)

For the six months ended July 31, 2012 (Unaudited) and the year ended January 31, 2012

	Money Market Fund						Government Fund
	2/1/12-7/31/12			2/1/11-1/31/12			2/1/12-7/31/12			2/1/11-1/31/12
Operations:
Net Investment Income	$	102		$	148		$	131		$	505
Net Realized Gain on Investments		1			5			—			4
Net Increase in Net Assets Resulting from Operations		103			153			131			509
Dividends to Shareholders:
Net Investment Income
Class A		(97	)		(134	)		(114	)		(302	)
Class B		(2	)		(5	)		(13	)		(175	)
Class C		(2	)		(5	)		(1	)		(17	)
Class H		—			—			—			—
Sweep Class		(1	)		(3	)		(3	)		(11	)
Total Dividends		(102	)		(147	)		(131	)		(505	)
Capital Share Transactions (All at $1.00 per share)
Class A:
Proceeds from Shares Issued		869,126			1,640,331			4,139,206			5,212,895
Reinvestment of Dividends & Distributions		63			92			54			108
Cost of Shares Redeemed		(810,492	)		(1,708,746	)		(4,112,675	)		(4,791,600	)
Net Increase (Decrease) from Class A Transactions		58,697			(68,323	)		26,585			421,403
Class B:
Proceeds from Shares Issued		94,569			312,140			389,548			1,657,852
Reinvestment of Dividends & Distributions		1			2			7			148
Cost of Shares Redeemed		(127,112	)		(278,460	)		(360,601	)		(1,871,535	)
Net Increase (Decrease) from Class B Transactions		(32,542	)		33,682			28,954			(213,535	)
Class C:
Proceeds from Shares Issued		111,376			252,507			68,622			331,272
Reinvestment of Dividends & Distributions		—			—			—			—
Cost of Shares Redeemed		(116,116	)		(272,274	)		(62,224	)		(378,665	)
Net Increase (Decrease) from Class C Transactions		(4,740	)		(19,767	)		6,398			(47,393	)
Class H:
Proceeds from Shares Issued		N/A			N/A			N/A			N/A
Reinvestment of Dividends & Distributions		N/A			N/A			N/A			N/A
Cost of Shares Redeemed		N/A			N/A			N/A			N/A
Net Increase (Decrease) from Class H Transactions		N/A			N/A			N/A			N/A
Sweep Class:
Proceeds from Shares Issued		121,334			275,038			141,496			281,300
Reinvestment of Dividends & Distributions		—			—			3			8
Cost of Shares Redeemed		(120,691	)		(278,940	)		(138,529	)		(279,235	)
Net Increase (Decrease) from Sweep Class Transactions		643			(3,902	)		2,970			2,073
Net Increase (Decrease) in Net Assets from Capital Shares Transactions		22,058			(58,310	)		64,907			162,548
Net Increase (Decrease) in Net Assets		22,059			(58,304	)		64,907			162,552
Net Assets:
Beginning of Period		275,306			333,610			1,210,485			1,047,933
End of Period	$	297,365		$	275,306		$	1,275,392		$	1,210,485
Undistributed Net Investment Income	$	—		$	—		$	—		$	—

Amounts designated as “—” are $0 or have been rounded to $0.

N/A — Not applicable. Class H and Sweep Class currently not offered.

The accompanying notes are an integral part of the financial statements.

38 SEI Daily Income Trust / Semi-Annual Report / July 31, 2012

Government II Fund						Prime Obligation Fund						Treasury Fund						Treasury II Fund
2/1/12-7/31/12			2/1/11-1/31/12			2/1/12-7/31/12			2/1/11-1/31/12			2/1/12-7/31/12			2/1/11-1/31/12			2/1/12-7/31/12			2/1/11-1/31/12
$	64		$	147		$	1,600		$	1,466		$	21		$	51		$	39		$	56
	3			25			7			36			—			20			1			11
	67			172			1,607			1,502			21			71			40			67
	(56	)		(130	)		(1,590	)		(1,444	)		(8	)		(18	)		(22	)		(34	)
	(8	)		(16	)		(7	)		(14	)		(5	)		(17	)		(17	)		(21	)
	—			(1	)		(2	)		(5	)		—			(2	)		—			(1	)
	—			—			(1	)		(2	)		—			—			—			—
	—			—			—			(1	)		(8	)		(14	)		—			—
	(64	)		(147	)		(1,600	)		(1,466	)		(21	)		(51	)		(39	)		(56	)
	1,567,351			3,976,972			11,375,508			23,221,923			5,847,947			17,103,687			762,454			1,431,958
	6			14			370			328			4			8			8			14
	(1,593,219	)		(3,902,559	)		(11,704,433	)		(22,258,952	)		(5,967,280	)		(17,079,921	)		(768,985	)		(1,247,451	)
	(25,862	)		74,427			(328,555	)		963,299			(119,329	)		23,774			(6,523	)		184,521
	503,660			1,058,494			523,813			1,022,254			273,848			1,051,080			450,009			841,043
	6			9			3			6			4			9			3			5
	(513,467	)		(1,011,890	)		(537,339	)		(1,021,603	)		(296,713	)		(1,115,844	)		(576,536	)		(623,989	)
	(9,801	)		46,613			(13,523	)		657			(22,861	)		(64,755	)		(126,524	)		217,059
	58,893			88,863			183,055			359,071			51,041			112,983			25,343			54,715
	—			—			—			1			—			—			—			—
	(59,441	)		(92,914	)		(184,624	)		(373,058	)		(50,436	)		(116,962	)		(27,113	)		(54,974	)
	(548	)		(4,051	)		(1,569	)		(13,986	)		605			(3,979	)		(1,770	)		(259	)
	N/A			N/A			19,295			43,261			N/A			N/A			N/A			N/A
	N/A			N/A			1			3			N/A			N/A			N/A			N/A
	N/A			N/A			(21,924	)		(42,023	)		N/A			N/A			N/A			N/A
	N/A			N/A			(2,628	)		1,241			N/A			N/A			N/A			N/A
	N/A			N/A			15,537			41,089			192,612			433,766			N/A			N/A
	N/A			N/A			—			—			—			—			N/A			N/A
	N/A			N/A			(16,330	)		(41,630	)		(163,223	)		(425,941	)		N/A			N/A
	N/A			N/A			(793	)		(541	)		29,389			7,825			N/A			N/A
	(36,211	)		116,989			(347,068	)		950,670			(112,196	)		(37,135	)		(134,817	)		401,321
	(36,208	)		117,014			(347,061	)		950,706			(112,196	)		(37,115	)		(134,816	)		401,332
	1,479,907			1,362,893			4,315,330			3,364,624			457,865			494,980			873,375			472,043
$	1,443,699		$	1,479,907		$	3,968,269		$	4,315,330		$	345,669		$	457,865		$	738,559		$	873,375
$	—		$	—		$	—		$	—		$	—		$	—		$	—		$	—

SEI Daily Income Trust / Semi-Annual Report / July 31, 2012 39

Statements of Changes in Net Assets ($ Thousands)

For the six months ended July 31, 2012 (Unaudited) and the year ended January 31, 2012

	Ultra Short Duration Bond Fund
	2/1/12-7/31/12			2/1/11-1/31/12
Operations:
Net Investment Income	$	1,192		$	2,798
Net Realized Gain (Loss) on Investments and Futures Contracts		(321	)		(3,120	)
Net Change in Unrealized Appreciation (Depreciation) on Investments and Futures Contracts		2,219			2,131
Net Increase in Net Assets Resulting from Operations		3,090			1,809
Dividends and Distributions to Shareholders:
Net Investment Income		(1,455	)		(3,373	)
Net Capital Gains		—			—
Total Dividends and Distributions		(1,455	)		(3,373	)
Capital Share Transactions:
Class A:
Proceeds from Shares Issued		62,627			219,836
Reinvestment of Dividends & Distributions		1,182			2,936
Cost of Shares Redeemed		(97,325	)		(431,818	)
Net Increase (Decrease) from Class A Transactions		(33,516	)		(209,046	)
Net Increase (Decrease) in Net Assets		(31,881	)		(210,610	)
Net Assets:
Beginning of Period		255,002			465,612
End of Period	$	223,121		$	255,002
Undistributed (Distributions in Excess of) Net Investment Income	$	(250	)	$	13
Capital Share Transactions:
Class A:
Shares Issued		6,739			23,655
Reinvestment of Distributions		127			316
Shares Redeemed		(10,468	)		(46,331	)
Net Increase (Decrease) in Shares Outstanding from Share Transactions		(3,602	)		(22,360	)

Amounts designated as “—” are $0 or have been rounded to $0.

The accompanying notes are an integral part of the financial statements.

40 SEI Daily Income Trust / Semi-Annual Report / July 31, 2012

Short-Duration Government Fund						Intermediate-Duration Government Fund						GNMA Fund
2/1/12-7/31/12			2/1/11-1/31/12			2/1/12-7/31/12			2/1/11-1/31/12			2/1/12-7/31/12			2/1/11-1/31/12
$	2,407		$	5,928		$	349		$	1,019		$	1,241		$	522
	5,419			5,933			840			966			3,432			15,681
	(726	)		4,558			(329	)		1,453			808			1,597
	7,100			16,419			860			3,438			5,481			17,800
	(3,711	)		(8,015	)		(603	)		(1,242	)		(2,193	)		(2,741	)
	—			(993	)		—			(1	)		—			(8,838	)
	(3,711	)		(9,008	)		(603	)		(1,243	)		(2,193	)		(11,579	)
	255,392			528,070			28,999			92,282			89,931			157,770
	3,173			7,755			535			1,098			1,853			9,102
	(315,902	)		(671,423	)		(42,289	)		(212,061	)		(53,724	)		(264,492	)
	(57,337	)		(135,598	)		(12,755	)		(118,681	)		38,060			(97,620	)
	(53,948	)		(128,187	)		(12,498	)		(116,486	)		41,348			(91,399	)
	739,126			867,313			71,458			187,944			243,016			334,415
$	685,178		$	739,126		$	58,960		$	71,458		$	284,364		$	243,016
$	(1,294	)	$	10		$	(253	)	$	1		$	(961	)	$	(9	)
	23,798			49,442			2,436			7,879			8,212			14,347
	296			726			45			95			169			837
	(29,433	)		(63,098	)		(3,565	)		(18,583	)		(4,906	)		(24,507	)
	(5,339	)		(12,930	)		(1,084	)		(10,609	)		3,475			(9,323	)

SEI Daily Income Trust / Semi-Annual Report / July 31, 2012 41

Financial Highlights

For the six months ended July 31, 2012 (Unaudited) and for the years ended January 31,

For a Share Outstanding Throughout the Years

	Net Asset Value, Beginning of Period		Net Investment Income*		Net Realized and Unrealized Gains (Losses)  on Securities			Payment by Affiliate		Total from Operations		Dividends from Net Investment Income			Distributions from Realized Capital Gains			Total Dividends			Net Asset Value, End of Period		Total Return†			Net Assets End of Period ($ Thousands)		Ratio of Expenses to Average Net Assets			Ratio of Expenses to Average Net Assets (Excluding Waivers)			Ratio of Net Investment Income to Average Net Assets
Money Market Fund
Class A
2012@	$	1.00	$	—	$	—		$	—	$	—	$	—	(1)	$	—		$	—	(1)	$	1.00		0.05	%	$	205,157		0.18	%		0.68	%		0.10	%
2012		1.00		—		—			—		—		—	(1)		—			—	(1)		1.00		0.06			146,460		0.18			0.68			0.06
2011		1.00		—		—			—		—		—	(1)		—	(1)		—	(1)		1.00		0.14			214,779		0.18			0.68			0.14
2010		1.00		—		—			—		—		—	(1)		—			—	(1)		1.00		0.31			228,375		0.24	(2)		0.70			0.35
2009		1.00		0.02		(0.01	)		0.01		0.02		(0.02	)		—			(0.02	)		1.00		2.45	††		341,204		0.20	(2)		0.64			2.46
2008		1.00		0.05		—			—		0.05		(0.05	)		—			(0.05	)		1.00		5.23			401,174		0.18			0.63			5.13
Class B
2012@	$	1.00	$	—	$	—		$	—	$	—	$	—	(1)	$	—		$	—	(1)	$	1.00		0.00	%(4)	$	40,494		0.27	%(3)		0.73	%		0.01	%
2012		1.00		—		—			—		—		—	(1)		—			—	(1)		1.00		0.01			73,035		0.23	(3)		0.73			0.01
2011		1.00		—		—			—		—		—	(1)		—	(1)		—	(1)		1.00		0.01			39,352		0.30			0.80			0.01
2010		1.00		—		—			—		—		—	(1)		—			—	(1)		1.00		0.15			51,142		0.44	(2)(3)		0.76			0.19
2009		1.00		0.02		(0.01	)		0.01		0.02		(0.02	)		—			(0.02	)		1.00		2.15	††		120,925		0.50	(2)		0.70			2.19
2008		1.00		0.05		—			—		0.05		(0.05	)		—			(0.05	)		1.00		4.92			166,627		0.48			0.68			4.82
Class C
2012@	$	1.00	$	—	$	—		$	—	$	—	$	—	(1)	$	—		$	—	(1)	$	1.00		0.00	%(4)	$	28,370		0.27	%(3)		0.93	%		0.01	%
2012		1.00		—		—			—		—		—	(1)		—			—	(1)		1.00		0.01			33,110		0.23	(3)		0.93			0.01
2011		1.00		—		—			—		—		—	(1)		—	(1)		—	(1)		1.00		0.01			52,876		0.30			0.80			0.01
2010		1.00		—		—			—		—		—	(1)		—			—	(1)		1.00		0.08			74,047		0.49	(2)(3)		0.95			0.10
2009		1.00		0.02		(0.01	)		0.01		0.02		(0.02	)		—			(0.02	)		1.00		1.94	††		158,833		0.70	(2)		0.89			2.00
2008		1.00		0.05		—			—		0.05		(0.05	)		—			(0.05	)		1.00		4.71			259,640		0.68			0.88			4.61
Sweep Class
2012@	$	1.00	$	—	$	—		$	—	$	—	$	—	(1)	$	—		$	—	(1)	$	1.00		0.00	%(4)	$	23,344		0.27	%(3)		1.18	%		0.01	%
2012		1.00		—		—			—		—		—	(1)		—			—	(1)		1.00		0.01			22,701		0.23			1.18			0.01
2011		1.00		—		—			—		—		—	(1)		—	(1)		—	(1)		1.00		0.01			26,603		0.31			1.18			0.01
2010		1.00		—		—			—		—		—	(1)		—			—	(1)		1.00		0.07			28,445		0.52	(2)(3)		1.20			0.08
2009		1.00		0.02		(0.01	)		0.01		0.02		(0.02	)		—			(0.02	)		1.00		1.69	††		68,179		0.95	(2)		1.14			1.79
2008		1.00		0.04		—			—		0.04		(0.04	)		—			(0.04	)		1.00		4.45			133,223		0.93			1.13			4.35
Government Fund
Class A
2012@	$	1.00	$	—	$	—		$	—	$	—	$	—	(1)	$	—		$	—	(1)	$	1.00		0.01	%	$	1,081,136		0.15	%(3)		0.59	%		0.02	%
2012		1.00		—		—			—		—		—	(1)		—			—	(1)		1.00		0.05			1,054,551		0.10	(3)		0.59			0.05
2011		1.00		—		—			—		—		—	(1)		—			—	(1)		1.00		0.05			633,145		0.17	(3)		0.59			0.05
2010		1.00		—		—			—		—		—	(1)		—			—	(1)		1.00		0.14			825,341		0.20	(2)		0.57			0.16
2009		1.00		0.02		—			—		0.02		(0.02	)		—			(0.02	)		1.00		2.15			1,526,541		0.22	(2)		0.54			2.06
2008		1.00		0.05		—			—		0.05		(0.05	)		—			(0.05	)		1.00		4.98			1,031,612		0.20			0.53			4.79
Class B
2012@	$	1.00	$	—	$	—		$	—	$	—	$	—	(1)	$	—		$	—	(1)	$	1.00		0.01	%	$	149,618		0.15	%(3)		0.64	%		0.02	%
2012		1.00		—		—			—		—		—	(1)		—			—	(1)		1.00		0.05			120,664		0.09	(3)		0.64			0.05
2011		1.00		—		—			—		—		—	(1)		—			—	(1)		1.00		0.05			334,209		0.16	(3)		0.64			0.05
2010		1.00		—		—			—		—		—	(1)		—			—	(1)		1.00		0.07			427,711		0.28	(2)(3)		0.62			0.07
2009		1.00		0.02		—			—		0.02		(0.02	)		—			(0.02	)		1.00		1.84			623,905		0.52	(2)		0.60			1.62
2008		1.00		0.05		—			—		0.05		(0.05	)		—			(0.05	)		1.00		4.67			197,593		0.50			0.58			4.53
Class C
2012@	$	1.00	$	—	$	—		$	—	$	—	$	—	(1)	$	—		$	—	(1)	$	1.00		0.01	%	$	14,435		0.15	%(3)		0.84	%		0.02	%
2012		1.00		—		—			—		—		—	(1)		—			—	(1)		1.00		0.05			8,036		0.10	(3)		0.84			0.05
2011		1.00		—		—			—		—		—	(1)		—			—	(1)		1.00		0.05			55,406		0.17	(3)		0.84			0.05
2010		1.00		—		—			—		—		—	(1)		—			—	(1)		1.00		0.06			59,565		0.31	(2)(3)		0.82			0.07
2009		1.00		0.02		—			—		0.02		(0.02	)		—			(0.02	)		1.00		1.64			153,015		0.71	(2)(3)		0.79			1.65
2008		1.00		0.04		—			—		0.04		(0.04	)		—			(0.04	)		1.00		4.46			154,244		0.70			0.78			4.35
Sweep Class
2012@	$	1.00	$	—	$	—		$	—	$	—	$	—	(1)	$	—		$	—	(1)	$	1.00		0.01	%	$	30,203		0.15	%(3)		1.09	%		0.02	%
2012		1.00		—		—			—		—		—	(1)		—			—	(1)		1.00		0.05			27,234		0.09	(3)		1.09			0.05
2011		1.00		—		—			—		—		—	(1)		—			—	(1)		1.00		0.05			25,158		0.16	(3)		1.09			0.05
2010		1.00		—		—			—		—		—	(1)		—			—	(1)		1.00		0.06			30,018		0.30	(2)(3)		1.07			0.07
2009		1.00		0.01		—			—		0.01		(0.01	)		—			(0.01	)		1.00		1.39			45,154		0.96	(2)(3)		1.04			1.34
2008		1.00		0.04		—			—		0.04		(0.04	)		—			(0.04	)		1.00		4.20			28,233		0.95			1.03			4.06

* Per share calculations were performed using average shares.

@ For the six-month period ended July 31, 2012. All ratios for the period have been annualized.

† Returns are for the period indicated and have not been annualized. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.

†† The total return includes payment by affiliate. Had the payment been excluded the total return would have been 1.61%, 1.31%, 1.11% and 0.86% for Class A, Class B, Class C and Sweep Class, respectively. See Note 3 in Notes to Financial Statements.

(1) Amount represents less than $0.01 per share.

(2) The expense ratio includes the Treasury Guarantee Program expense. The Fund participated in the Temporary Guarantee Program for Money Market Funds from September 18, 2008 through September 18, 2009. Had the expense been excluded, the expense ratio would have been equal to, or less than, the expense ratio cap figure. See Note 3 for expense ratio cap figure.

(3) The Distributor and/or Administrator have voluntarily agreed to waive and reduce its fee and/or reimburse certain expenses of the Fund in order to limit the one-day net income yield of the Fund to not less than 0.01% of the Fund’s average daily net assets of the share class. Had these waivers and the Treasury Guarantee Program expense been excluded the ratio would have been at the expense ratio cap figure. See Note 3 for expense ratio cap figure.

(4) Amount represents less than 0.01%.

Amounts designated as “—” are $0 or have been rounded to $0.

42 SEI Daily Income Trust / Semi-Annual Report / July 31, 2012

	Net Asset Value, Beginning of Period		Net Investment Income*		Net Realized and Unrealized Gains (Losses)  on Securities			Payment by Affiliate		Total from Operations		Dividends from Net Investment Income			Distributions from Realized Capital Gains		Total Dividends			Net Asset Value, End of Period		Total Return†			Net Assets End of Period ($ Thousands)		Ratio of Expenses to Average Net Assets			Ratio of Expenses to Average Net Assets (Excluding Waivers)			Ratio of Net Investment Income to Average Net Assets
Government II Fund
Class A
2012@	$	1.00	$	—	$	—		$	—	$	—	$	—	(1)	$	—	$	—	(1)	$	1.00		0.00	%(4)	$	1,282,158		0.11	%(3)		0.54	%		0.01	%
2012		1.00		—		—			—		—		—	(1)		—		—	(1)		1.00		0.01			1,308,018		0.09	(3)		0.54			0.01
2011		1.00		—		—			—		—		—	(1)		—		—	(1)		1.00		0.01			1,233,569		0.16	(3)		0.54			0.01
2010		1.00		—		—			—		—		—	(1)		—		—	(1)		1.00		0.11			1,280,352		0.19	(2)		0.52			0.12
2009		1.00		0.02		—			—		0.02		(0.02	)		—		(0.02	)		1.00		2.10			2,050,235		0.21	(2)		0.50			1.99
2008		1.00		0.05		—			—		0.05		(0.05	)		—		(0.05	)		1.00		4.97			1,354,361		0.20			0.48			4.81
Class B
2012@	$	1.00	$	—	$	—		$	—	$	—	$	—	(1)	$	—	$	—	(1)	$	1.00		0.00	%(4)	$	156,680		0.11	%(3)		0.59	%		0.01	%
2012		1.00		—		—			—		—		—	(1)		—		—	(1)		1.00		0.01			166,481		0.09	(3)		0.59			0.01
2011		1.00		—		—			—		—		—	(1)		—		—	(1)		1.00		0.01			119,864		0.16	(3)		0.59			0.01
2010		1.00		—		—			—		—		—	(1)		—		—	(1)		1.00		0.06			146,960		0.25	(2)		0.56			0.06
2009		1.00		0.02		—			—		0.02		(0.02	)		—		(0.02	)		1.00		1.79			242,332		0.51	(2)		0.54			1.80
2008		1.00		0.05		—			—		0.05		(0.05	)		—		(0.05	)		1.00		4.66			150,900		0.50			0.53			4.53
Class C
2012@	$	1.00	$	—	$	—		$	—	$	—	$	—	(1)	$	—	$	—	(1)	$	1.00		0.00	%(4)	$	4,861		0.11	%(3)		0.79	%		0.01	%
2012		1.00		—		—			—		—		—	(1)		—		—	(1)		1.00		0.01			5,408		0.10	(3)		0.79			0.01
2011		1.00		—		—			—		—		—	(1)		—		—	(1)		1.00		0.01			9,460		0.16	(3)		0.79			0.01
2010		1.00		—		—			—		—		—	(1)		—		—	(1)		1.00		0.06			5,252		0.28	(2)(3)		0.77			0.06
2009		1.00		0.02		—			—		0.02		(0.02	)		—		(0.02	)		1.00		1.60			31,462		0.70	(2)(3)		0.74			1.63
2008		1.00		0.04		—			—		0.04		(0.04	)		—		(0.04	)		1.00		4.45			43,538		0.70			0.73			4.05
Prime Obligation Fund
Class A
2012@	$	1.00	$	—	$	—		$	—	$	—	$	—	(1)	$	—	$	—	(1)	$	1.00		0.04	%	$	3,778,936		0.20	%		0.54	%		0.08	%
2012		1.00		—		—			—		—		—	(1)		—		—	(1)		1.00		0.04			4,107,485		0.20			0.54			0.04
2011		1.00		—		—			—		—		—	(1)		—		—	(1)		1.00		0.11			3,144,153		0.20			0.54			0.12
2010		1.00		—		(0.04	)		0.04		—		—	(1)		—		—	(1)		1.00		0.20	††		3,158,830		0.23	(2)		0.53			0.26
2009		1.00		0.02		—			—		0.02		(0.02	)		—		(0.02	)		1.00		2.37			3,796,102		0.22	(2)		0.50			2.42
2008		1.00		0.05		—			—		0.05		(0.05	)		—		(0.05	)		1.00		5.21			3,740,714		0.20			0.48			5.10
Class B
2012@	$	1.00	$	—	$	—		$	—	$	—	$	—	(1)	$	—	$	—	(1)	$	1.00		0.00	%(4)	$	122,455		0.27	%(3)		0.59	%		0.01	%
2012		1.00		—		—			—		—		—	(1)		—		—	(1)		1.00		0.01			135,978		0.23	(3)		0.59			0.01
2011		1.00		—		—			—		—		—	(1)		—		—	(1)		1.00		0.01			135,319		0.31	(3)		0.59			0.01
2010		1.00		—		(0.04	)		0.04		—		—	(1)		—		—	(1)		1.00		0.07	††		182,593		0.38	(2)(3)		0.58			0.15
2009		1.00		0.02		—			—		0.02		(0.02	)		—		(0.02	)		1.00		2.06			346,741		0.51	(2)		0.55			2.17
2008		1.00		0.05		—			—		0.05		(0.05	)		—		(0.05	)		1.00		4.90			475,700		0.50			0.53			4.82
Class C
2012@	$	1.00	$	—	$	—		$	—	$	—	$	—	(1)	$	—	$	—	(1)	$	1.00		0.00	%(4)	$	40,482		0.27	%(3)		0.79	%		0.01	%
2012		1.00		—		—			—		—		—	(1)		—		—	(1)		1.00		0.01			42,051		0.23	(3)		0.79			0.01
2011		1.00		—		—			—		—		—	(1)		—		—	(1)		1.00		0.01			56,037		0.30	(3)		0.79			0.01
2010		1.00		—		(0.04	)		0.04		—		—	(1)		—		—	(1)		1.00		0.06	††		95,092		0.39	(2)(3)		0.78			0.15
2009		1.00		0.02		—			—		0.02		(0.02	)		—		(0.02	)		1.00		1.86			467,782		0.71	(2)		0.75			2.04
2008		1.00		0.05		—			—		0.05		(0.05	)		—		(0.05	)		1.00		4.69			641,977		0.70			0.73			4.60
Class H
2012@	$	1.00	$	—	$	—		$	—	$	—	$	—	(1)	$	—	$	—	(1)	$	1.00		0.00	%(4)	$	23,018		0.27	%(3)		0.72	%		0.01	%
2012		1.00		—		—			—		—		—	(1)		—		—	(1)		1.00		0.01			25,646		0.23	(3)		0.72			0.01
2011		1.00		—		—			—		—		—	(1)		—		—	(1)		1.00		0.01			24,405		0.30	(3)		0.72			0.01
2010		1.00		—		(0.04	)		0.04		—		—	(1)		—		—	(1)		1.00		0.02	††		31,797		0.43	(2)(3)		0.71			0.09
2009		1.00		0.02		—			—		0.02		(0.02	)		—		(0.02	)		1.00		1.93			58,276		0.64	(2)		0.67			2.11
2008		1.00		0.05		—			—		0.05		(0.05	)		—		(0.05	)		1.00		4.76			80,958		0.63			0.66			4.65
Sweep Class
2012@	$	1.00	$	—	$	—		$	—	$	—	$	—	(1)	$	—	$	—	(1)	$	1.00		0.00	%(4)	$	3,378		0.27	%(3)		1.04	%		0.01	%
2012		1.00		—		—			—		—		—	(1)		—		—	(1)		1.00		0.01			4,170		0.23	(3)		1.04			0.01
2011		1.00		—		—			—		—		—	(1)		—		—	(1)		1.00		0.01			4,710		0.30	(3)		1.04			0.01
2010		1.00		—		(0.04	)		0.04		—		—	(1)		—		—	(1)		1.00		0.06	††		31,787		0.39	(2)(3)		1.03			0.14
2009		1.00		0.02		—			—		0.02		(0.02	)		—		(0.02	)		1.00		1.62			57,135		0.95	(2)(3)		1.00			1.54
2008		1.00		0.04		—			—		0.04		(0.04	)		—		(0.04	)		1.00		4.43			56,378		0.95			0.98			4.34

* Per share calculations were performed using average shares.

@ For the six-month period ended July 31, 2012. All ratios for the period have been annualized.

† Returns are for the period indicated and have not been annualized. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.

†† The total return includes payment by affiliate. Had the payment been excluded the total return would have been (3.28)%, (3.41)%, (3.42)%, (3.45)% and (3.42)% for Class A, Class B, Class C, Class H and Sweep Class, respectively. See Note 3 in Notes to Financial Statements.

(1) Amount represents less than $0.01 per share.

(2) The expense ratio includes the Treasury Guarantee Program expense. The Fund participated in the Temporary Guarantee Program for Money Market Funds from September 18, 2008 through September 18, 2009. Had the expense been excluded, the expense ratio would have been equal to, or less than, the expense ratio cap figure. See Note 3 for expense ratio cap figure.

(3) The Distributor and/or Administrator have voluntarily agreed to waive and reduce its fee and/or reimburse certain expenses of the Fund in order to limit the one-day net income yield of the Fund to not less than 0.01% of the Fund’s average daily net assets of the share class. Had these waivers and the Treasury Guarantee Program expense been excluded the ratio would have been at the expense ratio cap figure. See Note 3 for expense ratio cap figure.

(4) Amount represents less than 0.01%.

Amounts designated as “—” are $0 or have been rounded to $0.

SEI Daily Income Trust / Semi-Annual Report / July 31, 2012 43

Financial Highlights

For the six months ended July 31, 2012 (Unaudited) and for the years ended January 31,

For a Share Outstanding Throughout the Years

	Net Asset Value, Beginning of Period		Net Investment Income*		Net Realized and Unrealized Gains (Losses)  on Securities		Payment by Affiliate		Total from Operations		Dividends from Net Investment Income			Distributions from Realized Capital Gains		Total Dividends			Net Asset Value, End of Period		Total Return†			Net Assets End of Period ($ Thousands)		Ratio of Expenses to Average Net Assets			Ratio of Expenses to Average Net Assets (Excluding Waivers)			Ratio of Net Investment Income to Average Net Assets
Treasury Fund
Class A
2012@	$	1.00	$	—	$	—	$	—	$	—	$	—	(1)	$	—	$	—	(1)	$	1.00		0.00	%(4)	$	80,190		0.13	%(3)		0.59	%		0.01	%
2012		1.00		—		—		—		—		—	(1)		—		—	(1)		1.00		0.01			199,520		0.08	(3)		0.59			0.01
2011		1.00		—		—		—		—		—	(1)		—		—	(1)		1.00		0.02			175,749		0.18	(3)		0.59			0.02
2010		1.00		—		—		—		—		—	(1)		—		—	(1)		1.00		0.07			295,695		0.17	(2)		0.56			0.07
2009		1.00		0.01		—		—		0.01		(0.01	)		—		(0.01	)		1.00		1.27			572,906		0.19	(2)		0.55			1.18
2008		1.00		0.05		—		—		0.05		(0.05	)		—		(0.05	)		1.00		4.64			610,451		0.20			0.53			4.36
Class B
2012@	$	1.00	$	—	$	—	$	—	$	—	$	—	(1)	$	—	$	—	(1)	$	1.00		0.00	%(4)	$	91,164		0.13	%(3)		0.64	%		0.01	%
2012		1.00		—		—		—		—		—	(1)		—		—	(1)		1.00		0.01			114,026		0.08	(3)		0.64			0.01
2011		1.00		—		—		—		—		—	(1)		—		—	(1)		1.00		0.01			178,769		0.19	(3)		0.64			0.01
2010		1.00		—		—		—		—		—	(1)		—		—	(1)		1.00		0.06			184,127		0.20	(2)(3)		0.61			0.06
2009		1.00		0.01		—		—		0.01		(0.01	)		—		(0.01	)		1.00		1.06			487,254		0.40	(2)(3)		0.59			1.12
2008		1.00		0.04		—		—		0.04		(0.04	)		—		(0.04	)		1.00		4.33			761,497		0.50			0.58			4.07
Class C
2012@	$	1.00	$	—	$	—	$	—	$	—	$	—	(1)	$	—	$	—	(1)	$	1.00		0.00	%(4)	$	7,589		0.13	%(3)		0.84	%		0.01	%
2012		1.00		—		—		—		—		—			—		—	(1)		1.00		0.01			6,984		0.08	(3)		0.84			0.01
2011		1.00		—		—		—		—		—	(1)		—		—	(1)		1.00		0.01			10,948		0.18	(3)		0.84			0.01
2010		1.00		—		—		—		—		—	(1)		—		—	(1)		1.00		0.06			26,423		0.20	(2)(3)		0.81			0.06
2009		1.00		0.01		—		—		0.01		(0.01	)		—		(0.01	)		1.00		0.93			72,803		0.53	(2)(3)		0.80			0.98
2008		1.00		0.04		—		—		0.04		(0.04	)		—		(0.04	)		1.00		4.12			144,919		0.70			0.78			4.00
Sweep Class
2012@	$	1.00	$	—	$	—	$	—	$	—	$	—	(1)	$	—	$	—	(1)	$	1.00		0.00	%(4)	$	166,726		0.13	%(3)		1.09	%		0.01	%
2012		1.00		—		—		—		—		—	(1)		—		—	(1)		1.00		0.01			137,336		0.08	(3)		1.09			0.01
2011		1.00		—		—		—		—		—	(1)		—		—	(1)		1.00		0.01			129,514		0.19	(3)		1.09			0.01
2010		1.00		—		—		—		—		—	(1)		—		—	(1)		1.00		0.06			138,438		0.18	(2)(3)		1.06			0.06
2009		1.00		0.01		—		—		0.01		(0.01	)		—		(0.01	)		1.00		0.77			206,719		0.61	(2)(3)		1.05			0.67
2008		1.00		0.04		—		—		0.04		(0.04	)		—		(0.04	)		1.00		3.86			111,853		0.95			1.03			3.74
Treasury II Fund
Class A
2012@	$	1.00	$	—	$	—	$	—	$	—	$	—	(1)	$	—	$	—	(1)	$	1.00		0.00	%(4)	$	465,829		0.07	%(3)		0.59	%		0.01	%
2012		1.00		—		—		—		—		—	(1)		—		—	(1)		1.00		0.01			472,352		0.05	(3)		0.59			0.01
2011		1.00		—		—		—		—		—	(1)		—		—	(1)		1.00		0.01			287,823		0.12	(3)		0.59			0.01
2010		1.00		—		—		—		—		—	(1)		—		—	(1)		1.00		0.04			436,276		0.12	(2)		0.55			0.04
2009		1.00		0.01		—		—		0.01		(0.01	)		—		(0.01	)		1.00		1.05			688,813		0.20	(2)		0.54			0.87
2008		1.00		0.04		—		—		0.04		(0.04	)		—		(0.04	)		1.00		4.11			516,164		0.21			0.53			3.72
Class B
2012@	$	1.00	$	—	$	—	$	—	$	—	$	—	(1)	$	—	$	—	(1)	$	1.00		0.00	%(4)	$	268,576		0.07	%(3)		0.64	%		0.01	%
2012		1.00		—		—		—		—		—	(1)		—		—	(1)		1.00		0.01			395,099		0.05	(3)		0.64			0.01
2011		1.00		—		—		—		—		—	(1)		—		—	(1)		1.00		0.01			178,037		0.12	(3)		0.64			0.01
2010		1.00		—		—		—		—		—	(1)		—		—	(1)		1.00		0.04			165,266		0.12	(2)(3)		0.60			0.04
2009		1.00		0.01		—		—		0.01		(0.01	)		—		(0.01	)		1.00		0.82			363,238		0.39	(2)(3)		0.59			0.58
2008		1.00		0.04		—		—		0.04		(0.04	)		—		(0.04	)		1.00		3.81			109,384		0.51			0.58			3.54
Class C
2012@	$	1.00	$	—	$	—	$	—	$	—	$	—	(1)	$	—	$	—	(1)	$	1.00		0.00	%(4)	$	4,154		0.07	%(3)		0.84	%		0.01	%
2012		1.00		—		—		—		—		—	(1)		—		—	(1)		1.00		0.01			5,924		0.05	(3)		0.84			0.01
2011		1.00		—		—		—		—		—	(1)		—		—	(1)		1.00		0.01			6,183		0.12	(3)		0.84			0.01
2010		1.00		—		—		—		—		—	(1)		—		—	(1)		1.00		0.04			8,619		0.12	(2)(3)		0.80			0.04
2009		1.00		0.01		—		—		0.01		(0.01	)		—		(0.01	)		1.00		0.69			13,364		0.47	(2)(3)		0.79			0.50
2008		1.00		0.04		—		—		0.04		(0.04	)		—		(0.04	)		1.00		3.59			7,254		0.72			0.79			3.71

* Per share calculations were performed using average shares.

@ For the six-month period ended July 31, 2012. All ratios for the period have been annualized.

† Returns are for the period indicated and have not been annualized. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.

(1) Amount represents less than $0.01 per share.

(2) The expense ratio includes the Treasury Guarantee Program expense. The Fund participated in the Temporary Guarantee Program for Money Market Funds from September 18, 2008 through September 18, 2009. Had the expense been excluded, the expense ratio would have been equal to, or less than, the expense ratio cap figure. See Note 3 for expense ratio cap figure.

(3) The Distributor and/or Administrator have voluntarily agreed to waive and reduce its fee and/or reimburse certain expenses of the Fund in order to limit the one-day net income yield of the Fund to not less than 0.01% of the Fund’s average daily net assets of the share class. Had these waivers and the Treasury Guarantee Program expense been excluded the ratio would have been at the expense ratio cap figure. See Note 3 for expense ratio cap figure.

(4) Amount represents less than 0.01%.

Amounts designated as “—” are $0 or have been rounded to $0.

The accompanying notes are an integral part of the financial statements.

44 SEI Daily Income Trust / Semi-Annual Report / July 31, 2012

	Net Asset Value, Beginning of Period		Net Investment Income*		Net Realized and Unrealized Gains (Losses)  on Securities			Payment by Affiliate		Total from Operations			Dividends from Net Investment Income			Distributions from Realized Capital Gains			Total Dividends and Distributions			Net Asset Value, End of Period		Total Return†			Net Assets End of Period ($ Thousands)		Ratio of Expenses to Average Net Assets			Ratio of Expenses to Average Net Assets (Excluding Waivers)			Ratio of Net Investment Income to Average Net Assets			Portfolio Turnover Rate†
Ultra Short Duration Bond Fund
Class A
2012@	$	9.26	$	0.05	$	0.07		$	—	$	0.12		$	(0.06	)	$	—		$	(0.06	)	$	9.32		1.25	%	$	223,121		0.38	%		0.72	%		0.98	%		79	%
2012		9.33		0.10		(0.05	)		—		0.05			(0.12	)		—			(0.12	)		9.26		0.55			255,002		0.38			0.74			1.08			177
2011		9.24		0.13		0.12			—		0.25			(0.16	)		—			(0.16	)		9.33		2.74			465,612		0.38			0.74			1.37			78
2010		8.51		0.24		0.73			—		0.97			(0.24	)		—			(0.24	)		9.24		11.58			257,238		0.38			0.75			2.72			73
2009		9.69		0.32		(1.18	)		—		(0.86	)		(0.32	)		—			(0.32	)		8.51		(9.00	)		207,081		0.38			0.75			3.50			99
2008		9.97		0.48		(0.28	)		—		0.20			(0.48	)		—			(0.48	)		9.69		2.06			409,363		0.35			1.28			4.87			54
Short-Duration Government Fund
Class A
2012@	$	10.72	$	0.04	$	0.07		$	—	$	0.11		$	(0.06	)	$	—		$	(0.06	)	$	10.77		1.01	%	$	685,178		0.48	%		0.74	%		0.70	%		311	%
2012		10.59		0.09		0.17			—		0.26			(0.12	)		(0.01	)		(0.13	)		10.72		2.53			739,126		0.48			0.74			0.85			712
2011		10.52		0.09		0.18			—		0.27			(0.14	)		(0.06	)		(0.20	)		10.59		2.59			867,313		0.48			0.72			0.84			521
2010		10.25		0.21		0.29			—		0.50			(0.23	)		—			(0.23	)		10.52		4.94			377,088		0.48			0.75			2.02			347
2009		10.21		0.36		0.04			—		0.40			(0.36	)		—			(0.36	)		10.25		4.05			288,064		0.48			0.74			3.53			693
2008		9.95		0.46		0.28			—		0.74			(0.48	)		—			(0.48	)		10.21		7.65			172,892		0.45			0.76			4.63			266
Intermediate-Duration Government Fund
Class A
2012@	$	11.91	$	0.07	$	0.14		$	—	$	0.21		$	(0.12	)	$	—		$	(0.12	)	$	12.00		1.75	%	$	58,960		0.53	%		0.73	%		1.13	%		289	%
2012		11.32		0.17		0.64			—		0.81			(0.22	)		—	(1)		(0.22	)		11.91		7.22			71,458		0.53			0.74			1.47			726
2011		11.24		0.13		0.39			—		0.52			(0.19	)		(0.25	)		(0.44	)		11.32		4.62			187,944		0.53			0.72			1.14			590
2010		11.20		0.32		0.41			—		0.73			(0.32	)		(0.37	)		(0.69	)		11.24		6.61			62,977		0.53			0.76			2.82			213
2009		10.76		0.38		0.44			—		0.82			(0.38	)		—			(0.38	)		11.20		7.85			92,025		0.53			0.74			3.48			641
2008		10.13		0.45		0.63			—		1.08			(0.45	)		—			(0.45	)		10.76		10.97			50,372		0.50			0.75			4.34			234
GNMA Fund
Class A
2012@	$	10.91	$	0.05	$	0.17		$	—	$	0.22		$	(0.09	)	$	—		$	(0.09	)	$	11.04		2.04	%	$	284,364		0.63	%		0.70	%		0.95	%		447	%
2012		10.58		0.02		0.83			—		0.85			(0.13	)		(0.39	)		(0.52	)		10.91		8.09			243,016		0.63			0.70			0.22			1,515
2011		10.28		0.13		0.49			—		0.62			(0.16	)		(0.16	)		(0.32	)		10.58		6.06			334,415		0.63			0.70			1.27			1,024
2010		9.84		0.32		0.47			—		0.79			(0.35	)		—			(0.35	)		10.28		8.18			198,914		0.63			0.72			3.16			533
2009		9.63		0.40		0.21			—		0.61			(0.40	)		—			(0.40	)		9.84		6.51			160,639		0.63			0.71			4.08			474
2008		9.34		0.45		0.30			—		0.75			(0.46	)		—			(0.46	)		9.63		8.31			114,824		0.60			0.72			4.82			271

* Per share calculations were performed using average shares.

@ For the six-month period ended July 31, 2012. All ratios for the period have been annualized.

† Returns and turnover are for the period indicated and have not been annualized. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.

Amounts designated as “—” are $0 or have been rounded to $0.

SEI Daily Income Trust / Semi-Annual Report / July 31, 2012 45

Notes to Financial Statements (Unaudited)

July 31, 2012

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, Government, Government II, Prime Obligation, Treasury and Treasury II (each a “Fund,” collectively the “Money Market Funds”), the Ultra Short Duration, Short-Duration Government, Intermediate-Duration Government and GNMA Bond (each a “Fund,” collectively the “Fixed Income Funds”). The Money Market Funds, Short-Duration Government, Intermediate-Duration Government, and GNMA Funds seek to preserve principal value and maintain a high degree of liquidity while providing current income. The Ultra Short Duration Bond Fund seeks to provide higher current income than typically offered by a money market fund while maintaining a high degree of liquidity and a correspondingly higher risk of principal volatility. 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.

Use of Estimates — The preparation of financial statements, in conformity with U.S. generally accepted accounting principles (“GAAP”), requires management to make estimates and assumptions that affect the reported amount of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.

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 listed on a securities exchange, market or automated quotation system for which quotations are readily available are valued at the last quoted sale price on the primary exchange or market on which they are traded, or, if there is no such reported sale, at the most recent quoted bid price. If available, debt securities are priced based upon valuations provided by independent third-party pricing agents. Such values generally reflect the last reported sales price if the security is actively traded. The third party pricing agents may also value debt securities at an evaluated bid price by employing methodologies that utilize actual market transactions, broker-supplied valuations, or other methodologies designed to identify the market value for such securities. Debt obligations with

remaining maturities of sixty days or less may be valued at their amortized cost, which approximates market value. Prices for most securities held in the Funds are provided daily by recognized independent pricing agents. If a security price cannot be obtained from an independent third-party pricing agent, the Funds seek to obtain a bid price from at least one independent broker.

Securities for which market prices are not “readily available” are valued in accordance with Fair Value Procedures established by the Trust’s Board of Trustees. The Trust’s Fair Value Procedures are implemented through a Fair Value Committee (the “Committee”) designated by the Funds’ Board of Trustees. Some of the more common reasons that may necessitate that a security be valued using Fair Value Procedures include: the security’s trading has been halted or suspended; the security has been de-listed from a national exchange; the security’s primary trading market is temporarily closed at a time when under normal conditions it would be open; or the security’s primary pricing source is not able or willing to provide a price. When a security is valued in accordance with the Fair Value Procedures, the Committee will determine the value after taking into consideration relevant information reasonably available to the Committee.

In accordance with U.S. GAAP, fair value is defined as the price that a Fund would receive upon selling an investment in a timely transaction to an independent buyer in the principal or most advantageous market of the investment. A three tier hierarchy has been established to maximize the use of observable and minimize the use of unobservable inputs and to establish classification of fair value measurements for disclosure purposes. Inputs refer broadly to the assumptions that market participants would use in pricing an asset. Inputs may be observable or unobservable. Observable inputs are inputs that reflect the assumptions market participants would use in pricing the asset or liability based on market data obtained from sources independent of the reporting entity. Unobservable inputs are inputs that reflect the reporting entity’s own assumptions about the assumptions market participants would use in pricing the asset or liability based on the best information available in the circumstances.

The three-tier hierarchy of inputs is summarized in the three broad Levels listed below:

Level 1 — Unadjusted quoted prices in active markets for identical, unrestricted assets or liabilities that the Fund has the ability to access at the measurement date;

Level 2 — Quoted prices which are not active, or inputs that are observable (either directly or indirectly) for substantially the full term of the asset or liability; and

Level 3 — Prices, inputs or exotic modeling techniques which are both significant to the fair value measurement and unobservable (supported by little or no market activity).

Investments are classified within the level of the lowest significant input considered in determining fair value. Investments classified

46 SEI Daily Income Trust / Semi-Annual Report / July 31, 2012

within Level 3 whose fair value measurement considers several inputs may include Level 1 or Level 2 inputs as components of the overall fair value measurement.

For the six-month period ended July 31, 2012, there have been no significant changes to the Trust’s fair valuation methodologies.

Security Transactions and Investment Income — Security transactions are recorded on the trade date. Costs used in determining net realized capital gains and losses on the sale of securities are on the basis of specific identification. Dividend income is recognized on the ex-dividend date, and interest income is recognized using the accrual basis of accounting. Income from payment-in-kind securities is recorded daily based on the effective interest method of accrual.

Distributions received on securities that represent a return of capital or capital gain are recorded as a reduction of cost of investments and/or as a realized gain. The Trust estimates the components of distributions received that may be considered nontaxable distributions or capital gain distributions.

For the Fixed Income Funds, amortization and accretion is calculated using the scientific interest method, which approximates the effective interest method over the holding period of the security. Amortization of premiums and discounts is included in interest income.

For the Money Market Funds, all amortization is calculated using the straight line method over the holding period of the security. Amortization of premiums and accretion of discounts are included in interest income.

Repurchase Agreements — To the extent consistent with its Investment Objective and Strategies, securities pledged as collateral for repurchase agreements are held by each Fund’s custodian bank until the repurchase date of the repurchase agreement. 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 the repurchase date of the repurchase agreement. Provisions of the repurchase agreements and the Trust’s policies require that the market value of the collateral, including accrued interest thereon, is sufficient in the event of default by the counterparty. 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 Funds may be delayed or limited.

Futures Contracts — To the extent consistent with its Investment Objective and Strategies, the Fixed Income Funds’ utilized futures contracts during the six-month period ended July 31, 2012. These Funds’ investments in futures contracts are designed to enable the Funds to more closely approximate the performance of their benchmark indices. The Funds may use futures contracts for tactical hedging purposes as well as to enhance the Funds’ returns. Initial margin deposits of cash or securities are made upon entering into futures contracts. The contracts are marked to market daily and the resulting

changes in value are accounted for as unrealized gains and losses. Variation margin payments are paid or received, depending upon whether unrealized gains or losses are incurred. When the contract is closed, the Funds record a realized gain or loss equal to the difference between the proceeds from (or cost of) the closing transaction and the amount invested in the contract.

Risks of entering into futures contracts include the possibility that there will be an imperfect price correlation between the futures and the underlying securities. Second, it is possible that a lack of liquidity for futures contracts could exist in the secondary market, resulting in an inability to close a position prior to its maturity date. Third, the futures contract involves the risk that the Fund could lose more than the original margin deposit required to initiate a futures transaction.

Finally, the risk exists that losses could exceed amounts disclosed on the Statements of Assets and Liabilities.

Swap Agreements — To the extent consistent with its Investment Objective and Strategies, a Fund’s investments in swap contracts is mainly used as an efficient means to take and manage risk in the portfolio, including interest rate risk, credit risk and overall yield sensitivity. A swap agreement is a two-party contract under which an agreement is made to exchange returns from predetermined investments or instruments, including a particular interest rate, foreign currency, or “basket” of securities representing a particular index. Interest rate swaps involve the exchange by a Fund with another party of their respective commitments to pay or receive interest (e.g., an exchange of floating rate payments for fixed rate payments) with respect to a notional amount of principal. Credit-default swaps involve periodic payments by a Fund or counterparty based on a specified rate multiplied by a notional amount assigned to an underlying debt instrument or group of debt instruments in exchange for the assumption of credit risk on the same instruments. In the event of a credit event, usually in the form of a credit rating downgrade, the party receiving periodic payments (i.e. floating rate payer) must pay the other party (i.e. fixed rate payer) an amount equal to the recovery rate used to settle the contracts. The recovery rate is a function of how many credit default swap investors wish to deliver the security or receive the security. The recovery rate is determined through an auction process. Total return swaps allow an investor to benefit from the cash flow without ever actually owning the underlying security. The receiver must pay any decline in value to the payer at the end of the total return swap. However, the investor does not need to make a payment if there is no decline in price. Payments can be made on various indices, bonds (i.e. mortgage backed securities, bank debt and corporate), loans or commodities. The value of a total return swap is equal to the change in value of the underlying asset versus the accrued income payment based on LIBOR or some other form of indices on the notional amount. Interest rate swaps involve the exchange by a Fund with another party of their respective commitments to pay or receive interest (e.g., an exchange of floating rate payments for fixed rate payments) with respect to a notional amount

SEI Daily Income Trust / Semi-Annual Report / July 31, 2012 47

Notes to Financial Statements (Unaudited) (Continued)

July 31, 2012

of principal to manage a Fund’s exposure to interest rates. Payments received or made are recorded as realized gains or loss. A Fund could be exposed to credit or market risk due to unfavorable changes in the fluctuation of interest rates or if the counterparty defaults on its obligation to perform. Risk of loss may exceed amounts recognized on the statement of assets and liabilities. Interest rate swap contracts outstanding at period end, if any, are listed after a Fund’s portfolio. In connection with swap agreements securities may be set aside as collateral by a Fund’s custodian. A Fund may enter into swap agreements in order to, among other things, change the maturity or duration of the investment portfolio, to protect a Fund’s value from changes in interest rates, or to expose a Fund to a different security or market.

Swaps are marked-to-market daily based upon quotations from market makers and the resulting changes in market values, if any, are recorded as an unrealized gain or loss in the Statement of Operations. Net payments of interest are recorded as realized gains or losses.

Entering into swap agreements involves, to varying degrees, elements of credit and market risk in excess of the amounts recognized on the Statement of Assets and Liabilities. Such risks involve the possibility that there will be no liquid market for these agreements, that the counterparty to the agreement may default on its obligation to perform and that there may be unfavorable changes in the fluctuation of interest rates. Risks also arise from potential losses from adverse market movements.

This risk is mitigated by having a master netting arrangement between a Fund and the counterparty and by having the counterparty post collateral to cover a Fund’s exposure to the counterparty. There were no outstanding swap agreements as of July 31, 2012.

Options Written/Purchased — To the extent consistent with its Investment Objective and Strategies, a Fund may invest in financial options contracts to add return or to hedge their existing portfolio securities. When the Fund writes or purchases an option, an amount equal to the premium received or paid by the Fund is recorded as a liability or an asset and is subsequently adjusted to the current market value of the option written or purchased. Premiums received or paid from purchasing or writing options which expire unexercised are treated by the Fund on the expiration date as realized gains or losses. The difference between the premium and the amount paid or received on effecting a closing purchase or sale transaction, including brokerage commissions, is also treated as a realized gain or loss. If an option is exercised, the premium paid or received is added to the cost of the purchase or proceeds from the sale in determining whether the Fund has realized a gain or a loss. The risk in writing a call option is that the Fund gives up the opportunity for profit if the market price of the security increases. The risk in writing a put option is that the Fund may incur a loss if the market price of the security decreases and the option is exercised. The risk in purchasing an option is that the Fund pays a premium whether or not the option is exercised. The Fund also

has the additional risk of being unable to enter into a closing transaction at an acceptable price if a liquid secondary market does not exist. Option contracts also involve the risk that they may not work as intended due to unanticipated developments in market conditions or other causes. Finally, the risk exists that losses could exceed amounts disclosed on the Statement of Assets and Liabilities.

TBA Purchase Commitments — To the extent consistent with its Investment Objective and Strategies, a Fixed Income Fund may engage in “to be announced” (“TBA”) purchase commitments to purchase securities for a fixed price at a future date. TBA purchase commitments may be considered securities and involve a risk of loss if the value of the security to be purchased declines prior to settlement date, which risk is in addition to the risk of decline in the value of a Fund’s other assets. Unsettled TBA purchase commitments are valued at the current market value of the underlying securities, according to the procedures described under “Security Valuation” above.

Collateralized Debt Obligations — To the extent consistent with its Investment Objective and Strategies, a Fund may invest in collateralized debt obligations (“CDOs”), which include collateralized loan obligations (“CLOs”) and other similarly structured securities. CLOs are a type of asset-backed securities. A CLO is a trust typically collateralized by a pool of loans, which may include, among others, domestic and foreign senior secured loans, senior unsecured loans, and subordinate corporate loans, including loans that may be rated below investment grade or equivalent unrated loans. CDOs may charge management fees and administrative expenses.

For CDOs, the cashflows from the trust are split into two or more portions, called tranches, varying in risk and yield. The riskiest portion is the “equity” tranche which bears the bulk of defaults from the bonds or loans in the trust and serves to protect the other, more senior tranches from default in all but the most severe circumstances. Since it is partially protected from defaults, a senior tranche from a CDO trust typically has a higher rating and lower yield than its underlying securities, and can be rated investment grade. Despite the protection from the equity tranche, CDO tranches can experience substantial losses due to actual defaults, increased sensitivity to defaults due to collateral default and disappearance of protecting tranches, market anticipation of defaults, as well as aversion to CDO securities as a class.

The risks of an investment in a CDO depend largely on its Class and its collateral securities. Normally, CLOs and other CDOs are privately offered and sold, and thus, are not registered under the securities laws. As a result, investments in CDOs may be characterized by the Funds as illiquid securities; however, an active dealer market may exist for CDOs, allowing a CDO to qualify for Rule 144A transactions. In addition to the normal risks associated with fixed income securities (e.g., interest rate risk and default risk), CDOs carry additional risks including, but not limited to: (i) the possibility that distributions from collateral securities will not be adequate to make interest or other

payments; (ii) the quality of the collateral may decline in value or

48 SEI Daily Income Trust / Semi-Annual Report / July 31, 2012

default; (iii) the Funds may invest in CDOs that are subordinate to other classes; and (iv) the complex structure of the security may not be fully understood at the time of investment and may produce disputes with the issuer or unexpected investment results.

Illiquid Securities — A security is considered illiquid if it cannot be sold or disposed of in the ordinary course of business within seven days or less for its approximate carrying value on the books of a Fund. Valuations of illiquid securities may differ significantly from the values that would have been used had an active market value for these securities existed.

Restricted Securities — Throughout the year, the Funds owned private placement investments that were purchased through private offerings or acquired through initial public offerings that could not be sold without prior registration under the Securities Act of 1933 or pursuant to an exemption there from. In addition, the Funds had generally agreed to further restrictions on the disposition of certain holdings as set forth in various agreements entered into in connection with the purchase of those investments. These investments were valued at amortized cost as determined in accordance with the valuation procedures approved by the Board of Trustees. At July 31, 2012, the Funds did not own any restricted securities.

Classes — Class-specific expenses are borne by that class of shares. Income, expenses, and realized and unrealized gains/losses and nonclass specific expenses are allocated to the respective class on the basis of relative daily net assets.

Expenses —Expenses that are directly related to one of the Funds are charged directly to that Fund. Other operating expenses of the Funds are prorated to the Funds on the basis of relative net assets.

Dividends and Distributions to Shareholders — Dividends from net investment income are declared daily and paid monthly. Any net realized capital gains on sales of securities after capital loss carryover are distributed at least annually by the Funds.

Redemption Fees — The Fixed Income Funds retain a redemption fee based on a dollar threshold for redemptions, or a series of redemptions, of capital shares held for less than thirty days, as presented below:

	Dollar Threshold ($ Thousands)		Redemption Fee
Ultra Short Duration Bond Fund	$	10,000		0.50	%
Short-Duration Government Fund		25,000		0.25	%
Intermediate-Duration Government Fund		10,000		0.25	%
GNMA Fund		10,000		0.25	%

For the six-month period ended July 31, 2012, the Fixed Income Funds did not retain any redemption fees. Such fees, if any, are retained by the Fixed Income Funds for the benefit of the remaining shareholders.

3. AGREEMENTS AND OTHER TRANSACTIONS WITH AFFILIATES

Administration and Transfer Agency Agreement — SEI Investments Global Funds Services (the “Administrator”) provides administrative and transfer agency services to the Funds for annual fees, based on the average daily net assets of the respective funds, as presented below:

Money Market Fund	0.33	%
Government Fund	0.24	%
Government II Fund	0.19	%
Prime Obligation Fund	0.19	%
Treasury Fund	0.24	%
Treasury II Fund	0.24	%
Ultra Short Duration Bond Fund	0.35	%
Short-Duration Government Fund	0.35	%
Intermediate-Duration Government Fund	0.35	%
GNMA Fund	0.32	%

However, the Administrator and/or SEI Investments Management Corporation (the “Adviser”) have agreed to waive a portion or their entire fee, for various classes of shares in various funds, to limit total annual expenses up to the following amounts (expressed as a percentage of the Funds’ daily net assets). The expense waivers are allocated to each share class pro-rata based on the net assets of each share class. Such waivers are voluntary and may be discontinued at any time.

	Money Market Fund			Government Fund			Government II Fund			Prime Obligation Fund			Treasury Fund
Class A		0.18	%(1)		0.20	%(3)		0.20	%(2)		0.20	%(2)		0.20	%(2)
Class B		0.48	%(1)		0.50	%(3)		0.50	%(2)		0.50	%(2)		0.50	%(2)
Class C		0.68	%(1)		0.70	%(3)		0.70	%(2)		0.70	%(2)		0.70	%(2)
Class H		N/A			N/A			N/A			0.63	%(1)		N/A
Sweep Class		0.93	%(1)		0.95	%(1)		*			0.95	%(1)		0.95	%(1)

Treasury II Fund

Ultra Short Duration Bond Fund

Short- Duration Government Fund

Intermediate- Duration Government Fund

GNMA Fund

Class A

0.20

%(2)

0.38

%(4)

0.48

%(4)

0.53

%(4)

0.63

%(4)

Class B

0.50

%(2)

N/A

N/A

N/A

N/A

Class C

0.70

%(2)

N/A

N/A

N/A

N/A

Class H

N/A

N/A

N/A

N/A

N/A

Sweep Class

*

N/A

N/A

N/A

N/A

* Class not currently operational

(1) Represents a voluntary cap that my be discontinued at any time.

(2) Represents a contractual cap effective through May 31, 2013, to be changed only by board approval.

(3) Represents a contractual cap of .25%, .55%, and .75% of Class A, B, and C, respectively, effective through May 31, 2013, to be changed only by Board approval. In addition, management has voluntarily waived fees to a cap of .20%, .50%, and .70% of Class A, B, and C, respectively, that may be discontinued at any time

(4) Represents a voluntary cap that may be discontinued at anytime. Prior to March 1, 2008, the cap for the Ultra Short Duration, Short-Duration Government, Intermediate-Duration Government and GNMA Bond Funds were .35%, .45%, .50% and .60%, respectively.

Distribution Agreement — SEI Investments Distribution Co. (the “Distributor”), a wholly owned subsidiary of SEI and a registered

SEI Daily Income Trust / Semi-Annual Report / July 31, 2012 49

Notes to Financial Statements (Unaudited) (Continued)

July 31, 2012

broker-dealer, acts as the Distributor of the shares of the Trust under a Distribution Agreement. The Trust also has adopted plans under which firms, including the Distributor, that provide shareholder and administrative services may receive compensation thereof. Specific classes of certain funds have also adopted distribution plans, pursuant to Rule 12b-1 under the Investment Company Act of 1940.

Such plans provide fees payable to the Distributor up to the following amounts, calculated as a percentage of the average daily net assets attributable to each particular class of each respective fund.

	Shareholder Servicing Fees			Administrative Service Fees			Distribution Fees*
Money Market Fund
Class A		0.25	%		—			—
Class B		0.25	%		0.05	%		—
Class C		0.25	%		0.25	%		—
Sweep Class		0.25	%		—			0.50	%
Government Fund
Class A		0.25	%		—			—
Class B		0.25	%		0.05	%		—
Class C		0.25	%		0.25	%		—
Sweep Class		0.25	%		—			0.50	%
Government II Fund
Class A		0.25	%		—			—
Class B		0.25	%		0.05	%		—
Class C		0.25	%		0.25	%		—
Prime Obligation Fund
Class A		0.25	%		—			—
Class B		0.25	%		0.05	%		—
Class C		0.25	%		0.25	%		—
Class H		0.25	%		0.18	%		—
Sweep Class		0.25	%		—			0.50	%
Treasury Fund
Class A		0.25	%		—			—
Class B		0.25	%		0.05	%		—
Class C		0.25	%		0.25	%		—
Sweep Class		0.25	%		—			0.50	%
Treasury II Fund
Class A		0.25	%		—			—
Class B		0.25	%		0.05	%		—
Class C		0.25	%		0.25	%		—
Ultra Short Duration Bond Fund
Class A		0.25	%		—			—
Short-Duration Government Fund
Class A		0.25	%		—			—
Intermediate-Duration Government Fund
Class A		0.25	%		—			—
GNMA Fund
Class A		0.25	%		—			—

* These payments are characterized as “compensation” and are not directly tied to expenses incurred by the Distributor. The payments the Distributor receives during any year may therefore be higher or lower than its actual expenses. These payments may be used to compensate sweep class shareholders who provide distribution-related services to their customers.

The Distributor has agreed to voluntarily waive all or a portion of the shareholder servicing fees for Class A of each Fund, except for the GNMA Fund, since inception of the plan. Such waivers are voluntary and may be discontinued at any time. For Classes B, C, and H, the shareholder servicing fees and the administrative service fees are shown combined as “Administrative & Shareholder Servicing Fees” in the Statements of Operations. The Administrator and/or the Distributor

have voluntarily agreed to waive and reduce their fee and/or reimburse certain expenses of the Money Market Funds in order to limit the one-day net income yield of the Funds to not less than 0.01% of the Funds’ average daily net assets. The following table shows the waivers by class for the six-month period ended July 31, 2012 ($ Thousands):

	Administrative & Shareholder Servicing Fee Waiver		Administrative Fee Waiver
Money Market Fund
Class A	$	—	$	—
Class B		51		—
Class C		66		—
Sweep Class		71		—
Government Fund
Class A		—		303
Class B		193		34
Class C		20		2
Sweep Class		117		8
Government II Fund
Class A		—		510
Class B		232		70
Class C		22		4
Prime Obligation Fund
Class A		—		—
Class B		162		—
Class C		95		—
Class H		43		—
Sweep Class		14		—
Treasury Fund
Class A		—		59
Class B		144		36
Class C		18		3
Sweep Class		566		55
Treasury II Fund
Class A		—		280
Class B		514		218
Class C		13		3

Other –- Certain officers and Trustees of the Trust are also officers and/or Trustees of the Administrator, Adviser, or the Distributor. The Trust pays each unaffiliated Trustee an annual fee for attendance at quarterly, interim, and committee meetings. The Administrator, Adviser, or the Distributor pays compensation of Officers and affiliated Trustees.

A portion of the services provided by the Chief Compliance Officer (“CCO”) and his staff, whom are employees of the Administrator, are paid for by the Trust as incurred. The services include regulatory oversight of the Trust’s Adviser, Sub-Advisers and service providers as required by SEC regulations. The CCO’s services have been approved by and are reviewed annually by the Board of Trustees.

Interfund Lending — The SEC has granted an exemption that permits the Trust to participate in an interfund lending program (“The Program”) with existing or future investment companies registered under the 1940 Act that are advised by SIMC (the “SEI Funds”). The Program allows the SEI Funds to lend money to and borrow money from each other for temporary or emergency purposes. Participation in The Program is voluntary for both borrowing and lending funds. Interfund loans may be made only when the rate of interest to be charged is more favorable to the lending fund than an investment in overnight repurchase agreements (“Repo Rate”), and more favorable

50 SEI Daily Income Trust / Semi-Annual Report / July 31, 2012

to the borrowing fund than the rate of interest that would be charged by a bank for short-term borrowings (“Bank Loan Rate”). The Bank Loan Rate will be determined using a formula reviewed and approved annually by the SEI Funds Board of Trustees. The interest rate imposed on interfund loans is the average of the Repo Rate and the Bank Loan Rate. For the six-month period ended July 31, 2012, the Trust has not participated in The Program.

4. INVESTMENT ADVISORY AGREEMENTS

The Adviser serves as each Fund’s investment adviser and “manager of managers” under an investment advisory agreement approved by the shareholders of each Fund. Effective January 1, 2010, for its services, the Adviser receives an annual fee equal to 0.07% of each of the Money Market Funds’ net assets. Prior to January 1, 2010, for its services, the Adviser received an annual fee equal to .075% on the first $500 million of net assets and .02% on the net assets in excess of $500 million for the Money Market Funds. The fee was calculated based on the combined assets of the Money Market Funds. The Adviser also received an annual fee equal to .10% on the first $500 million of net assets, .075% of net assets between $500 million and $1 billion and .05% on the net assets in excess of $1 billion for the Ultra Short Duration Bond Fund. The fee was calculated based on the net assets of the Ultra Short Duration Bond Fund. The Adviser also received an annual fee equal to .10% on the first $500 million of net assets, .075% of net assets between $500 million and $1 billion and .05% on the net assets in excess of $1 billion for the Short-Duration Government, Intermediate-Duration Government and GNMA Funds. The fee was calculated based on the combined assets of these Funds.

Pursuant to the “manager of managers” structure, the Board of Trustees approved BofA Advisors, LLC (formerly Columbia Management Advisors, LLC) as sub-adviser to the Money Market Funds, Logan Circle Partners, L.P. serves as a sub-adviser to the Ultra Short Duration Bond Fund and Wellington Management Company, LLP (“Wellington

LLP”) serves as sub-adviser to the Fixed Income Funds. For its services to the Funds, the sub-advisers are entitled to receive a fee paid directly by the Adviser.

5. INVESTMENT TRANSACTIONS

The cost of security purchases and the proceeds from the sale of securities, other than short-term investments, for the six-months ended July 31, 2012, were as follows for the Fixed Income Funds:

	Ultra Short Duration Bond Fund ($Thousands)		Short- Duration Government Fund ($Thousands)		Intermediate- Duration Government Fund ($Thousands)		GMNA Fund ($Thousands)
Purchases
U.S. Government	$	108,951	$	2,065,428	$	170,748	$	1,157,277
Other		45,226		—		—		—
Sales
U.S. Government		138,364		2,128,881		179,342		1,123,893
Other		66,959		997		110		72

6. FEDERAL TAX INFORMATION

It is each Fund’s intention to continue to qualify as a regulated investment company for Federal income tax purposes and distribute all of its taxable income (including net capital gains). Accordingly, no provision for Federal income taxes is required.

Reclassification of Components of Net Assets — The timing and characterization of certain income and capital gain distributions are determined annually in accordance with Federal tax regulations which may differ from accounting principles generally accepted in the United States. 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, undistributed net investment income, or accumulated net realized gain, as appropriate, in the periods that the differences arise.

The tax character of dividends and distributions during the last two fiscal years was as follows:

		Ordinary Income ($ Thousands)		Long-term Capital Gain ($ Thousands)		Total ($ Thousands)
Money Market Fund	2012	$	147	$	—	$	147
	2011		367		—		367
Government Fund	2012		505		—		505
	2011		645		—		645
Government II Fund	2012		147		—		147
	2011		132		—		132
Prime Obligation Fund	2012		1,466		—		1,466
	2011		4,070		—		4,070
Treasury Fund	2012		51		—		51
	2011		65		—		65
Treasury II Fund	2012		56		—		56
	2011		51		—		51
Ultra Short Duration Bond Fund	2012		3,373		—		3,373
	2011		6,166		—		6,166

SEI Daily Income Trust / Semi-Annual Report / July 31, 2012 51

Notes to Financial Statements (Unaudited) (Concluded)

July 31, 2012

		Ordinary Income ($ Thousands)		Long-term Capital Gain ($ Thousands)		Total ($ Thousands)
Short-Duration Government Fund	2012	$	8,871	$	137	$	9,008
	2011		14,103		—		14,103
Intermediate-Duration Government Fund	2012		1,242		1		1,243
	2011		4,812		1,890		6,702
GNMA Fund	2012		10,127		1,452		11,579
	2011		7,644		1,544		9,188

As of January 31, 2012, the components of Distributable Earnings/(Accumulated Losses) on a tax basis were as follows:

	Undistributed Ordinary Income ($ Thousands)		Undistributed Long-Term Capital Gain ($ Thousands)		Capital Loss Carryforwards ($ Thousands)			Post- October Losses ($ Thousands)			Other Temporary Differences ($ Thousands)			Unrealized Appreciation (Depreciation) ($ Thousands)			Total Earnings/ (Accumulated Losses) ($ Thousands)
Money Market Fund	$	22	$	—	$	—		$	—		$	(17	)	$	—		$	5
Government Fund		21		—		(85	)		—			(21	)		—			(85	)
Government II Fund		30		—		—			—			(12	)		—			18
Prime Obligation Fund		160		—		(67	)		—			(159	)		—			(66	)
Treasury Fund		4		—		(28	)		—			(4	)		—			(28	)
Treasury II Fund		16		—		—			—			(6	)		—			10
Ultra Short Duration Bond Fund		265		—		(23,888	)		(240	)		(252	)		(3,539	)		(27,654	)
Short-Duration Government Fund		2,826		—		—			—			(3,340	)		15,379			14,865
Intermediate-Duration Government Fund		87		—		(1,558	)		—			(123	)		1,699			105
GNMA Fund		3,057		—		—			(61	)		(142	)		9,200			12,054

At January 31, 2012, the following Funds had capital loss carryforwards to offset future realized capital gains:

	Amount ($ Thousands)		Expiration
Government Fund	$	49		1/31/13
		4		1/31/14
		32		1/31/16
Prime Obligation Fund		67		1/31/17
Treasury Fund		1		1/31/13
		22		1/31/14
		5		1/31/15
Ultra Short Duration Bond Fund		1,020		1/31/13
		1,045		1/31/14
		1,717		1/31/15
		296		1/31/16
		181		1/31/17
		3,642		1/31/18
		11,895		1/31/19

For Federal income tax purposes, capital loss carryforwards may be carried forward and applied against future capital gains. It is the Funds’ intent that they will not distribute any realized gain distributions until the carryforwards have been offset or expired.

During the fiscal year ended January 31, 2012, the Government Fund, Government II Fund, Prime Obligation Fund, Treasury Fund and Treasury II Fund utilized, $3,738, $7,454, $35,648, $19,583 and $891, respectively, of capital loss carryforwards to offset capital gains.

Under the recently enacted Regulated Investment Company Modernization Act of 2010, Funds will be permitted to carry forward capital losses incurred in taxable years beginning after December 22, 2010 for an unlimited period. However, any losses incurred during those future taxable years will be required to be utilized prior to the losses incurred in pre-enactment taxable years. As a result of this ordering rule, pre-enactment capital loss carryforwards may be more likely to

expire unused. Additionally, post-enactment capital losses that are carried forward will retain their character as either short-term or longterm capital losses rather than being considered all short-term as under previous law.

Losses carried forward under these new provisions are as follows:

	Short-Term Loss		Long-Term Loss		Total*
Ultra Short Duration Bond Fund	$	—	$	4,092	$	4,092
Intermediate-Duration Government Fund		1,153		405		1,558

* This table should be used in conjunction with the capital loss carryforwards table.

During the fiscal year ended January 31, 2012, the Money Market Funds’ cost of securities for Federal income tax purposes approximates the cost located in the Statements of Assets and Liabilities.

For Federal income tax purposes, the cost of securities owned at January 31, 2012, and net realized gains or losses on securities sold for the period, were different from amounts reported for financial reporting purposes, primarily due to wash sales which cannot be used for Federal income tax purposes in the current year and have been deferred for use in future years. The Federal tax cost and aggregate gross unrealized appreciation and depreciation on investments held by the Fixed Income Funds at July 31, 2012, were as follows:

	Federal Tax Cost ($ Thousands)		Appreciated Securities ($ Thousands)		Depreciated Securities ($ Thousands)			Net Unrealized Appreciation/ (Depreciation) ($  Thousands)
Ultra Short Duration Bond Fund	$	232,378	$	1,227	$	(2,656	)	$	(1,429	)
Short-Duration Government Fund		836,068		14,588		(83	)		14,505
Intermediate-Duration Government Fund		75,953		1,619		(48	)		1,571
GNMA Fund		370,314		10,939		(788	)		10,151

52 SEI Daily Income Trust / Semi-Annual Report / July 31, 2012

Management has analyzed the Funds’ tax positions taken on the federal tax returns for all open tax years and has concluded that as of January 31, 2012, no provision for income tax is required in the Funds’ financial statements. All uncertain tax positions, except for the accretion of market discount associated with the structured investment vehicles subject to the capital support agreement, meet the more likely than not criteria established in ASC paragraph 740. SEI Investment Company (“SEI”), which is the parent company of the Adviser, has agreed to indemnify the fund if the Internal Revenue Service (“IRS”) were to disagree with a position taken on the tax return for the fiscal year ended January 31, 2010. Accordingly, no provision for taxes is required. The Funds’ federal income and excise tax returns are subject to examination by the IRS for all open tax years under the applicable Statute of Limitations have not expired are subject to examination by the Internal Revenue Service and state departments of revenue.

7. INVESTMENT RISKS

In the normal course of business, a Fund may enter into contracts that provide general indemnifications by a Fund to the counterparty to the contract. A Fund’s maximum exposure under these arrangements

is dependent on future claims that may be made against a Fund and, therefore, cannot be established; however, based on experience, management believes the risk of loss from such claim is considered remote.

Investments in structured securities (such as those issued by Structured Investment Vehicles, or “SIVs”) which are collateralized by residential real estate mortgages are subject to certain credit and liquidity risks. When market conditions result in an increase in default rates of the underlying mortgages and the foreclosure values of underlying real estate properties are materially below the outstanding amount of these underlying mortgages, collection of accrued interest and principal on these investments may be doubtful. Such market conditions may significantly impair the value of these investments resulting in a lack of correlation between their credit ratings and values.

8. SUBSEQUENT EVENTS

The Trust, on behalf of the Funds, has evaluated the need for disclosures and/or adjustments resulting from subsequent events. Based on this evaluation, no adjustments were required to the financial statements.

SEI Daily Income Trust / Semi-Annual Report / July 31, 2012 53

Disclosure of Fund Expenses (Unaudited)

All mutual funds have operating expenses. As a shareholder of a mutual fund, your investment is affected by these ongoing costs, which include (among others) costs for portfolio management, administrative services, and shareholder reports like this one. It is important for you to understand the impact of these costs on your investment returns.

Operating expenses such as these are deducted from the mutual fund’s gross income and directly reduce your final investment return. These expenses are expressed as a percentage of the mutual fund’s average net assets; this percentage is known as the mutual fund’s expense ratio.

The following examples use the expense ratio and are intended to help you understand the ongoing costs (in dollars) of investing in your Fund and to compare these costs with those of other mutual funds. The examples are based on an investment of $1,000 made at the beginning of the period shown and held for the entire period.

The table on the next page illustrates your Fund’s costs in two ways:

• Actual Fund Return. This section helps you to estimate the actual expenses after fee waivers that your Fund incurred over the period. The “Expenses Paid During Period” column shows the actual dollar expense cost incurred by a $1,000 investment in the Fund, and the “Ending Account Value” number is derived from deducting that expense cost from the Fund’s gross investment return.

You can use this information, together with the actual amount you invested in your Fund, to estimate the expenses you paid over that period. Simply divide your actual starting account value by $1,000 to arrive at a ratio (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply that ratio by the number shown for your Fund under “Expenses Paid During Period.”

• Hypothetical 5% Return. This section helps you compare your Fund’s costs with those of other mutual funds. It assumes that your Fund had an annual 5% return before expenses during the year, but that the expense ratio (Column 3) is unchanged. This example is useful in making comparisons because the Securities and Exchange Commission requires all mutual funds to make this 5% calculation. You can assess your Fund’s comparative cost by comparing the hypothetical result for your Fund in the “Expense Paid During Period” column with those that appear in the same charts in the shareholder reports for other mutual funds.

NOTE: Because the return is set at 5% for comparison purposes — NOT your Fund’s actual return — the account values shown do not apply to your specific investment.

	Beginning Account Value 2/1/12		Ending Account Value 7/31/12		Annualized Expense Ratios			Expenses Paid During Period*
Money Market Fund
Actual Fund Return
Class A	$	1,000.00	$	1,000.50		0.18	%	$	0.90
Class B		1,000.00		1,000.00		0.27			1.34
Class C		1,000.00		1,000.00		0.27			1.34
Sweep Class		1,000.00		1,000.00		0.27			1.34
Hypothetical 5% Return
Class A	$	1,000.00	$	1,023.97		0.18	%	$	0.91
Class B		1,000.00		1,023.52		0.27			1.36
Class C		1,000.00		1,023.52		0.27			1.36
Sweep Class		1,000.00		1,023.52		0.27			1.36
Government Fund
Actual Fund Return
Class A	$	1,000.00	$	1,000.10		0.15	%	$	0.75
Class B		1,000.00		1,000.10		0.15			0.75
Class C		1,000.00		1,000.10		0.15			0.75
Sweep Class		1,000.00		1,000.10		0.15			0.75
Hypothetical 5% Return
Class A	$	1,000.00	$	1,024.12		0.15	%	$	0.75
Class B		1,000.00		1,024.12		0.15			0.75
Class C		1,000.00		1,024.12		0.15			0.75
Sweep Class		1,000.00		1,024.12		0.15			0.75

	Beginning Account Value 2/1/12		Ending Account Value 7/31/12		Annualized Expense Ratios			Expenses Paid During Period*
Government II Fund
Actual Fund Return
Class A	$	1,000.00	$	1,000.00		0.11	%	$	0.55
Class B		1,000.00		1,000.00		0.11			0.55
Class C		1,000.00		1,000.00		0.11			0.55
Hypothetical 5% Return
Class A	$	1,000.00	$	1,024.32		0.11	%	$	0.55
Class B		1,000.00		1,024.32		0.11			0.55
Class C		1,000.00		1,024.32		0.11			0.55
Prime Obligation Fund
Actual Fund Return
Class A	$	1,000.00	$	1,000.40		0.20	%	$	0.99
Class B		1,000.00		1,000.00		0.27			1.34
Class C		1,000.00		1,000.00		0.27			1.34
Class H		1,000.00		1,000.00		0.27			1.34
Sweep Class		1,000.00		1,000.00		0.27			1.34
Hypothetical 5% Return
Class A	$	1,000.00	$	1,010.00		0.20	%	$	1.00
Class B		1,000.00		1,023.52		0.27			1.36
Class C		1,000.00		1,023.52		0.27			1.36
Class H		1,000.00		1,023.52		0.27			1.36
Sweep Class		1,000.00		1,023.52		0.27			1.36

54 SEI Daily Income Trust / Semi-Annual Report / July 31, 2012

	Beginning Account Value 2/1/12		Ending Account Value 7/31/12		Annualized Expense Ratios			Expenses Paid During Period*
Treasury Fund
Actual Fund Return
Class A	$	1,000.00	$	1,000.00		0.13	%	$	0.65
Class B		1,000.00		1,000.00		0.13			0.65
Class C		1,000.00		1,000.00		0.13			0.65
Sweep Class		1,000.00		1,000.00		0.13			0.55
Hypothetical 5% Return
Class A	$	1,000.00	$	1,024.22		0.13	%	$	0.65
Class B		1,000.00		1,024.22		0.13			0.65
Class C		1,000.00		1,024.22		0.13			0.65
Sweep Class		1,000.00		1,024.22		0.13			0.55
Treasury II Fund
Actual Fund Return
Class A	$	1,000.00	$	1,000.00		0.07	%	$	0.35
Class B		1,000.00		1,000.00		0.07			0.35
Class C		1,000.00		1,000.00		0.07			0.35
Hypothetical 5% Return
Class A	$	1,000.00	$	1,024.52		0.07	%	$	0.35
Class B		1,000.00		1,024.52		0.07			0.35
Class C		1,000.00		1,024.52		0.07			0.35
Ultra Short Duration Bond Fund
Actual Fund Return
Class A	$	1,000.00	$	1,012.50		0.38	%	$	1.90
Hypothetical 5% Return
Class A	$	1,000.00	$	1,022.97		0.38	%	$	1.91

	Beginning Account Value 2/1/12		Ending Account Value 7/31/12		Annualized Expense Ratios			Expenses Paid During Period*
Short-Duration Government Fund
Actual Fund Return
Class A	$	1,000.00	$	1,010.10		0.48	%	$	2.40
Hypothetical 5% Return
Class A	$	1,000.00	$	1,022.48		0.48	%	$	2.41
Intermediate-Duration Government Fund
Actual Fund Return
Class A	$	1,000.00	$	1,017.50		0.53	%	$	2.66
Hypothetical 5% Return
Class A	$	1,000.00	$	1,022.23		0.53	%	$	2.66
GNMA Fund
Actual Fund Return
Class A	$	1,000.00	$	1,020.40		0.63	%	$	3.16
Hypothetical 5% Return
Class A	$	1,000.00	$	1,021.73		0.63	%	$	3.17

* Expenses are equal to the Fund’s annualized expense ratio multiplied by the average account value over the period, multiplied by 182/366.

SEI Daily Income Trust / Semi-Annual Report / July 31, 2012 55

Board of Trustees Considerations in Approving

the Advisory and Sub-Advisory Agreements (Unaudited)

SEI Daily Income Trust (the “Trust”) and SEI Investments Management Corporation (“SIMC”) have entered into an investment advisory agreement (the “Advisory Agreement”). Pursuant to the Advisory Agreement, SIMC oversees the investment advisory services provided to the series of the Trust (the “Funds”) and may manage the cash portion of the Funds’ assets. Pursuant to separate sub-advisory agreements (the “Sub-Advisory Agreements” and, together with the Advisory Agreement, the “Investment Advisory Agreements”) with SIMC, and under the supervision of SIMC and the Trust’s Board of Trustees (the “Board”), the sub-advisers (each, a “Sub-Adviser” and collectively, the “Sub-Advisers”) are responsible for the day-to-day investment management of all or a discrete portion of the assets of the Funds. The Sub-Advisers are also responsible for managing their employees who provide services to these Funds. The Sub-Advisers are selected based primarily upon the research and recommendations of SIMC, which evaluates quantitatively and qualitatively the Sub-Advisers’ skills and investment results in managing assets for specific asset classes, investment styles and strategies.

The Investment Company Act of 1940, as amended (the “1940 Act”) requires that the initial approval of, as well as the continuation of, the Funds’ Investment Advisory Agreements must be specifically approved: (i) by the vote of the Board or by a vote of the shareholders of the Funds; and (ii) by the vote of a majority of the Trustees who are not parties to the Investment Advisory Agreements or “interested persons” of any party (the “Independent Trustees”), cast in person at a meeting called for the purpose of voting on such approval(s). In connection with their consideration of such approval(s), the Funds’ Trustees must request and evaluate, and SIMC and the Sub-Advisers are required to furnish, such information as may be reasonably necessary to evaluate the terms of the Investment Advisory Agreements. In addition, the Securities and Exchange Commission takes the position that, as part of their fiduciary duties with respect to a mutual fund’s fees, mutual fund boards are required to evaluate the material factors applicable to a decision to approve an Investment Advisory Agreement.

Consistent with these responsibilities, the Trust’s Board calls and holds meetings each year that are dedicated to considering whether to renew the Investment Advisory Agreements between the Trust and SIMC and SIMC and the Sub-Advisers with respect to the Funds of the Trust. In preparation for these meetings, the Board requests and reviews a wide variety of materials provided by SIMC and the Sub-Advisers, including information about SIMC’s and the Sub-Advisers’ affiliates, personnel and operations. The Board also receives extensive data from third parties. This information is provided in addition to the detailed information about the Funds that the Board reviews during the course of each year, including information that relates to Fund operations and Fund performance. The Trustees also receive a memorandum from Fund counsel and independent counsel to the Independent Trustees regarding the responsibilities of Trustees in connection with their consideration of whether to approve the Trust’s Investment Advisory Agreements. Finally, the Independent Trustees receive advice from independent counsel to the Independent Trustees, meet in executive sessions outside the presence of Fund management and participate in question and answer sessions with representatives of SIMC and the Sub-Advisers.

Specifically, during the course of the Trust’s fiscal year, the Board requested and received written materials from SIMC and the Sub-Advisers regarding: (i) the quality of SIMC’s and the Sub-Advisers’ investment management and other services; (ii) SIMC’s and the Sub-Advisers’ investment management personnel; (iii) SIMC’s and the Sub-Advisers’ operations and financial condition; (iv) SIMC’s and the Sub-Advisers’ brokerage practices (including any soft dollar arrangements) and investment strategies; (v) the level of the advisory fees that SIMC and the Sub-Advisers charge the Funds compared with the fees each charge to comparable mutual funds; (vi) the Funds’ overall fees and operating expenses compared with similar mutual funds; (vii) the level of SIMC’s and the Sub-Advisers’ profitability from their Fund-related operations; (viii) SIMC’s and the Sub-Advisers’ compliance systems; (ix) SIMC’s and the Sub-Advisers’ policies on and compliance procedures for personal securities transactions; (x) SIMC’s and the Sub-Advisers’ reputation, expertise and resources in domestic and/or international financial markets; and (xi) the Funds’ performance compared with similar mutual funds.

56 SEI Daily Income Trust / Semi-Annual Report / July 31, 2012

At the March 27 – 28, 2012 meeting of the Board of Trustees, the Trustees, including a majority of the Independent Trustees, approved the Investment Advisory Agreements and approved the selection of SIMC and the Sub-Advisers to act in their respective capacities for the Funds. The Board’s approval was based on its consideration and evaluation of a variety of specific factors discussed at the meeting and at prior meetings, including:

• the nature, extent and quality of the services provided to the Funds under the Investment Advisory Agreements, including the resources of SIMC and the Sub-Advisers and their affiliates dedicated to the Funds;

• the Funds’ investment performance and how it compared to that of other comparable mutual funds;

• the Funds’ expenses under each Investment Advisory Agreement and how those expenses compared to those of other comparable mutual funds;

• the profitability of SIMC and the Sub-Advisers and their affiliates with respect to the Funds, including both direct and indirect benefits accruing to SIMC and the Sub-Advisers and their affiliates; and

• the extent to which economies of scale would be realized as the Funds grow and whether fee levels in the Investment Advisory Agreements reflect those economies of scale for the benefit of Fund investors.

Nature, Extent and Quality of Services. The Board considered the nature, extent and quality of the services provided by SIMC and the Sub-Advisers to the Funds and the resources of SIMC and the Sub-Advisers and their affiliates dedicated to the Funds. In this regard, the Trustees evaluated, among other things, SIMC’s and each Sub-Adviser’s personnel, experience, track record and compliance program. The Trustees found the level of SIMC’s and each Sub-Adviser’s professional staff and culture of compliance satisfactory. Following evaluation, the Board concluded that, within the context of its full deliberations, the nature, extent and quality of services provided by SIMC and the Sub-Advisers to the Funds and the resources of SIMC and the Sub-Advisers and their affiliates dedicated to the Funds supported renewal of the Investment Advisory Agreements.

Fund Performance. The Board of Trustees considered Fund performance in determining whether to renew the Investment Advisory Agreements. Specifically, the Trustees considered the Funds’ performance relative to their peer groups and appropriate indices/benchmarks in light of total return, yield and market trends. As part of this review, the Trustees considered the composition of each peer group and selection criteria. In evaluating performance, the Trustees considered both market risk and shareholder risk expectations for the Funds. The Trustees found Fund performance satisfactory, and, where performance was below the benchmark, the Trustees were satisfied that appropriate steps were being taken. Following evaluation, the Board concluded that, within the context of its full deliberations, the performance of the Funds supported renewal of the Investment Advisory Agreements.

Fund Expenses. With respect to the Funds’ expenses under the Investment Advisory Agreements, the Trustees considered the rate of compensation called for by the Investment Advisory Agreements and the Funds’ net operating expense ratio in comparison to those of other comparable mutual funds. The Trustees also considered information about average expense ratios of comparable mutual funds in the Funds’ respective peer groups. The Trustees further considered the fact that the comparative fee analysis either showed that the various fees were below average or that there was a reasonable basis for the fee level. Finally, the Trustees considered the effects of SIMC’s voluntary waiver of management and other fees and the Sub-Advisers’ fees to prevent total Fund expenses from exceeding a specified cap and concluded that SIMC and the Sub-Advisers, through waivers, have maintained the Funds’ net operating expenses at competitive levels for their respective distribution channels. Following evaluation, the Board concluded that, within the context of its full deliberations, the expenses of the Funds are reasonable and supported renewal of the Investment Advisory Agreements.

SEI Daily Income Trust / Semi-Annual Report / July 31, 2012 57

Board of Trustees Considerations in Approving

the Advisory and Sub-Advisory Agreements (Unaudited) (Concluded)

Profitability. With regard to profitability, the Trustees considered all compensation flowing to SIMC and the Sub-Advisers and their affiliates, directly or indirectly. The Trustees considered whether the varied levels of compensation and profitability under the Investment Advisory Agreements and other service agreements were reasonable and justified in light of the quality of all services rendered to the Funds by SIMC and the Sub-Advisers and their affiliates. The Trustees found that profitability was reasonable and that the margin was not increasing despite growth in assets. When considering the profitability of the Sub-Advisers, the Board took into account the fact that the Sub-Advisers are compensated by SIMC and not by the Funds directly, and such compensation with respect to any Sub-Adviser reflects an arms-length negotiation between the Sub-Adviser and SIMC. Based on this evaluation, the Board concluded that, within the context of its full deliberations, the profitability of each of SIMC and the Sub-Advisers is reasonable and supported renewal of the Investment Advisory Agreements.

Economies of Scale. The Trustees considered the existence of any economies of scale and whether those were passed along to the Funds’ shareholders through a graduated investment advisory fee schedule or other means, including any fee waivers by SIMC and its affiliates. Based on this evaluation, the Board concluded that, within the context of its full deliberations, the Funds obtain reasonable benefit from economies of scale.

Based on the Trustees’ deliberation and their evaluation of the information described above, the Board, including all of the Independent Trustees, unanimously approved the continuation of the Investment Advisory Agreements and concluded that the compensation under the Investment Advisory Agreements is fair and reasonable in light of such services and expenses and such other matters as the Trustees considered to be relevant in the exercise of their reasonable judgment. In the course of their deliberations, the Trustees did not identify any particular information that was all-important or controlling.

58 SEI Daily Income Trust / Semi-Annual Report / July 31, 2012

SEI DAILY INCOME TRUST SEMI-ANNUAL REPORT JULY 31, 2012

Robert A. Nesher, Chairman

Trustees

William M. Doran

George J. Sullivan, Jr.

Rosemarie B. Greco

Nina Lesavoy

James M. Williams

Mitchell A. Johnson

Hubert L. Harris, Jr.

Officers

Robert A. Nesher

President and Chief Executive Officer

Peter A. Rodriguez

Controller and Chief Financial Officer

Russell Emery

Chief Compliance Officer

Timothy D. Barto

Vice President, Secretary

Aaron Buser

Vice President, Assistant Secretary

David McCann

Vice President, Assistant Secretary

Stephen G. MacRae

Vice President

Keri E. Rohn

Anti-Money Laundering Compliance Officer

Privacy Officer

Investment Adviser

SEI Investments Management Corporation

Administrator

SEI Investments Global Funds Services

Distributor

SEI Investments Distribution Co.

Legal Counsel

Morgan, Lewis & Bockius LLP

Independent Registered Public Accounting Firm

KPMG LLP

This 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 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.

For more information call

1 800 DIAL SEI

(1 800 342 5734)

SEI Investments Distribution Co.

Oaks, PA 19456    1.800.DIAL.SEI (1.800.342.5734)

SEI-F-037 (7/12)

Item 2. Code of Ethics.

Not applicable for semi-annual report.

Item 3. Audit Committee Financial Expert.

Not applicable for semi-annual report.

Item 4. Principal Accountant Fees and Services.

Not applicable for semi-annual report.

Item 5. Audit Committee of Listed Registrants.

Not applicable.

Item 6. Schedule of Investments.

Included in Item 1.

Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.

Not applicable.

Item 8. Portfolio Managers of Closed-End Management Investment Companies.

Not applicable.

Item 9. Purchases of Equity Securities by Closed-End Management Company and Affiliated Purchasers.

Not applicable.

Item 10. Submission of Matters to a Vote of Security Holders.

The Registrant has a standing Governance Committee (the “Committee”) currently consisting of the Independent Trustees. The Committee is responsible for evaluating and recommending nominees for election to the Registrant’s Board of Trustees (the “Board”). Pursuant to the Committee’s Charter, adopted on June 18^th 2004, as amended, the Committee will review all shareholder recommendations for nominations to fill vacancies on the Board if such recommendations are submitted in writing and addressed to the Committee at the Registrant’s office.

Item 11. Controls and Procedures.

(a) The Registrant’s principal executive and principal financial officers, or persons performing similar functions, have concluded that the Registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940 (the “1940 Act”)) are effective, based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934 as of a date within 90 days of the filing date of this report.

(b) There were no changes in the Registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the second fiscal quarter of the period covered by this report that have materially affected, or are reasonably likely to materially affect, the Registrants internal control over financial reporting.

Items 12. Exhibits.

(a)(1) Not applicable for semi-annual report.

(a)(2) A separate certification for the principal executive officer and the principal financial officer of the Registrant as required by Rule 30a-2(a) under the 1940 Act, as amended (17 CFR 270.30a-2(a)), are filed herewith.

(b) Officer certifications as required by Rule 30a-2(b) under the 1940 Act, as amended (17 CFR 270.30a-2(b)) also accompany this filing as an exhibit.

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the Registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

	SEI Daily Income Trust
By:	/s/ Robert A. Nesher
	Robert A. Nesher, President & CEO

Date: October 5, 2012

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the Registrant and in the capacities and on the dates indicated.

By:	/s/ Robert A. Nesher
	Robert A. Nesher, President & CEO

Date: October 5, 2012

By:	/s/ Peter A. Rodriguez
	Peter A. Rodriguez, Controller & CFO

Date: October 5, 2012