UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT
INVESTMENT COMPANIES
Investment Company Act file number: 811-21622
Thrivent Financial Securities Lending Trust
(Exact name of registrant as specified in charter)
625 Fourth Avenue South
Minneapolis, Minnesota 55415
(Address of principal executive offices) (Zip code)
David S. Royal, Secretary
625 Fourth Avenue South
Minneapolis, Minnesota 55415
(Name and address of agent for service)
Registrant's telephone number, including area code: (612) 340-4249
Date of fiscal year end: October 31
Date of reporting period: April 30, 2007
Item 1. Report to Stockholders
THRIVENT FINANCIAL SECURITIES LENDING TRUST
William D. Stouten, Portfolio Manager
The Trust seeks to maximize current income to the extent consistent with the preservation of capital and liquidity; and maintain a stable $1.00 per share net asset value by investing in dollar-denominated securities with remaining maturity of one year or less.
We kept the Trust’s weighted-average maturity shorter than the peer group during the six-month period ended April 30, 2007. Since the rebate rates on the underlying liabilities adjust to the overnight federal funds target rate, it is important that the yield on the portfolio also adjust to changes in the overnight federal funds target rate. Maintaining a shorter weighted average maturity allows the yield on the Trust to adjust more quickly, and provides liquidity for the Trust to meet any unexpected redemptions. As a result, the emphasis was on floating rate and/or variable rate securities combined with overnight or short-dated securities. As in any interest rate environment, safety and liquidity remain the primary objectives of the Trust.
THRIVENT FINANCIAL SECURITIES LENDING TRUST | ||
AS OF APRIL 30, 2007* | ||
7-Day Yield | 5.33% | |
7-Day Effective Yield | 5.47% | |
Average Annual Total Returns** | ||
Since Inception, | ||
For the Period Ended April 30, 2007 | 1-Year | 9/16/2004 |
Total Return | 5.39% | 4.10% |
* Seven-day yields of the Thrivent Financial Securities Lending Trust refer to the income generated by an investment in the Trust over a specified seven-day period. Effective yields reflect the reinvestment of income. Yields are subject to daily fluctuation and should not be considered an indication of future results.
** Past performance is not an indication of future results. Investing in a mutual fund involves risks, including the possible loss of principal. The prospectus contains more complete information on the investment objectives, risks, charges and expenses of the investment company which investors should read and consider carefully before investing. Annualized total returns represent past performance and reflect changes in share prices, the reinvestment of all dividends and capital gains, and the effects of compounding. The returns shown do not reflect taxes a shareholder would pay on distributions or redemptions.
1
Shareholder Expense Example
(Unaudited)
As a shareholder of the Trust, you incur ongoing costs, including management fees and other Trust expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in the Trust and to compare these costs with the ongoing costs of investing in other mutual funds. The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period from November 1, 2006 through April 30, 2007.
Actual Expenses
In the table below, the first section provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during the period.
Hypothetical Example for Comparison Purposes
In the table below, the second section provides information about hypothetical account values and hypothetical expenses based on the Trust's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Trust's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Trust and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical example that appears in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads), redemption fees, or exchange fees. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
Beginning | Ending | Expenses | ||
Account | Account | Paid During | Annualized | |
Value | Value | Period* | Expense | |
11/1/2006 | 4/30/2007 | 11/1/2006 - 4/30/2007 | Ratio | |
Thrivent Financial Securities Lending Trust | ||||
Actual | $ 1,000 | $ 1,027 | $ 0.25 | 0.05% |
Hypothetical** | $ 1,000 | $ 1,025 | $ 0.25 | 0.05% |
* Expenses are equal to the Trust's annualized expense ratio, multiplied by the average account value over the period, multiplied by 181/365 to reflect the one-half year period.
** Assuming 5% total return before expenses
2
SCHEDULE OF INVESTMENTS | ||||
AS OF APRIL 30, 2007 (UNAUDITED) | ||||
Thrivent Financial Securities Lending Trust | ||||
Principal | Interest | Maturity | ||
Amount | Commercial Paper (52.4%) | Rate (+) | Date | Value |
Asset-Backed Commercial Paper (0.4%) | ||||
$18,293,101 | General Electric Equipment Midticket, LLC | 5.301% | 12/15/2007 | $18,293,101 |
Total Asset-Backed Commercial Paper | 18,293,101 | |||
Banking-Domestic (2.4%) | ||||
30,000,000 | Members United Corporate Federal | |||
Credit Union | 5.260 | 5/24/2007 | 29,899,183 | |
30,000,000 | Rabobank Nederland | 5.270 | 5/29/2007 | 29,877,033 |
25,000,000 | Stadshypotek Delaware, Inc. | 5.235 | 5/30/2007 | 24,894,573 |
5,000,000 | UBS Finance Corporation | 5.210 | 8/30/2007 | 4,912,443 |
9,510,000 | UBS Finance Delaware, LLC | 5.230 | 6/5/2007 | 9,461,644 |
Total Banking-Domestic | 99,044,876 | |||
Brokerage (2.9%) | ||||
30,000,000 | Citigroup Funding, Inc. | 5.250 | 5/29/2007 | 29,877,500 |
30,000,000 | Citigroup Funding, Inc. | 5.250 | 5/30/2007 | 29,873,125 |
30,000,000 | Citigroup Funding, Inc. | 5.260 | 5/31/2007 | 29,868,500 |
30,000,000 | Citigroup Funding, Inc. | 5.260 | 6/8/2007 | 29,833,433 |
Total Brokerage | 119,452,558 | |||
Consumer Cyclical (6.4%) | ||||
5,053,000 | Golden Funding Corporation | 5.270 | 5/9/2007 | 5,047,082 |
23,960,000 | Golden Funding Corporation | 5.280 | 5/11/2007 | 23,924,859 |
23,917,000 | Golden Funding Corporation | 5.270 | 5/16/2007 | 23,864,482 |
15,057,000 | Golden Funding Corporation | 5.280 | 5/24/2007 | 15,006,208 |
30,000,000 | Golden Funding Corporation | 5.280 | 5/25/2007 | 29,894,400 |
27,153,000 | Golden Funding Corporation | 5.280 | 5/30/2007 | 27,037,509 |
30,000,000 | Toyota Motor Credit Corporation | 5.250 | 5/8/2007 | 29,969,375 |
30,000,000 | Toyota Motor Credit Corporation | 5.250 | 5/30/2007 | 29,873,125 |
25,000,000 | Toyota Motor Credit Corporation | 5.250 | 6/7/2007 | 24,865,104 |
25,000,000 | Toyota Motor Credit Corporation | 5.250 | 6/8/2007 | 24,861,458 |
30,000,000 | Wal-Mart Funding Corporation | 5.240 | 5/24/2007 | 29,899,567 |
Total Consumer Cyclical | 264,243,169 | |||
Consumer Non-Cyclical (0.5%) | ||||
20,000,000 | Louis Dreyfus Corporation | 5.270 | 5/24/2007 | 19,932,661 |
Total Consumer Non-Cyclical | 19,932,661 | |||
3
SCHEDULE OF INVESTMENTS | ||||
AS OF APRIL 30, 2007 (UNAUDITED) | ||||
Principal | Interest | Maturity | ||
Amount | Commercial Paper (52.4%) | Rate (+) | Date | Value |
Education (0.4%) | ||||
$18,500,000 | Northwestern University | 5.260% | 5/23/2007 | $18,440,533 |
Total Education | 18,440,533 | |||
Energy (0.6%) | ||||
25,590,000 | Total Capital SA | 5.320 | 5/1/2007 | 25,590,000 |
Total Energy | 25,590,000 | |||
Finance (36.0%) | ||||
27,100,000 | Amsterdam Funding Corporation | 5.270 | 5/15/2007 | 27,044,460 |
18,000,000 | Amsterdam Funding Corporation | 5.270 | 5/22/2007 | 17,944,665 |
25,000,000 | Aspen Funding Corporation | 5.290 | 5/4/2007 | 24,988,979 |
23,582,000 | Aspen Funding Corporation | 5.280 | 5/17/2007 | 23,526,661 |
17,800,000 | Barton Capital Corporation | 5.280 | 5/16/2007 | 17,760,840 |
30,000,000 | Barton Capital Corporation | 5.275 | 5/17/2007 | 29,929,667 |
30,000,000 | Barton Capital Corporation | 5.270 | 5/22/2007 | 29,907,775 |
30,000,000 | Bryant Park Funding, LLC | 5.280 | 5/14/2007 | 29,942,800 |
30,000,000 | Bryant Park Funding, LLC | 5.270 | 5/29/2007 | 29,877,033 |
30,000,000 | Chariot Funding, LLC | 5.280 | 5/15/2007 | 29,938,400 |
14,000,000 | Charta, LLC | 5.280 | 5/9/2007 | 13,983,573 |
30,000,000 | Charta, LLC | 5.270 | 5/23/2007 | 29,903,383 |
32,000,000 | Cintas Corporation | 5.250 | 5/18/2007 | 31,920,671 |
11,465,000 | Corporate Receivables Corporation | |||
Funding, LLC | 5.280 | 5/3/2007 | 11,461,637 | |
30,000,000 | Corporate Receivables Corporation | |||
Funding, LLC | 5.270 | 5/23/2007 | 29,903,383 | |
20,334,000 | Falcon Asset Securitization Corporation | 5.280 | 5/11/2007 | 20,304,177 |
30,000,000 | Falcon Asset Securitization Corporation | 5.270 | 5/22/2007 | 29,907,775 |
8,643,000 | Fountain Square Commercial Funding | 5.260 | 6/26/2007 | 8,572,281 |
11,088,000 | Greyhawk Funding, LLC | 5.280 | 5/11/2007 | 11,071,738 |
8,600,000 | Greyhawk Funding, LLC | 5.270 | 5/24/2007 | 8,571,044 |
30,000,000 | Greyhawk Funding, LLC | 5.265 | 5/25/2007 | 29,894,700 |
30,000,000 | Greyhawk Funding, LLC | 5.265 | 5/29/2007 | 29,877,150 |
15,000,000 | Greyhawk Funding, LLC | 5.260 | 5/30/2007 | 14,936,442 |
30,000,000 | Jupiter Securitization Company, LLC | 5.270 | 5/24/2007 | 29,898,992 |
19,986,000 | Liberty Harbour II CDO, LLC | 5.290 | 5/15/2007 | 19,944,884 |
10,000,000 | Liberty Harbour II CDO, LLC | 5.280 | 5/17/2007 | 9,976,533 |
25,000,000 | Liberty Harbour II CDO, LLC | 5.290 | 5/22/2007 | 24,922,854 |
30,000,000 | Liberty Harbour II CDO, LLC | 5.280 | 5/31/2007 | 29,868,000 |
10,000,000 | NATC California, LLC | 5.250 | 7/12/2007 | 9,895,000 |
30,000,000 | Nieuw Amsterdam Receivables Corporation | 5.270 | 5/25/2007 | 29,894,600 |
30,000,000 | Nieuw Amsterdam Receivables Corporation | 5.270 | 5/31/2007 | 29,868,250 |
20,141,000 | North Sea Funding, LLC | 5.290 | 5/25/2007 | 20,069,969 |
20,692,000 | Old Line Funding, LLC | 5.260 | 5/31/2007 | 20,601,300 |
4
SCHEDULE OF INVESTMENTS | ||||
AS OF APRIL 30, 2007 (UNAUDITED) | ||||
Principal | Interest | Maturity | ||
Amount | Commercial Paper (52.4%) | Rate (+) | Date | Value |
Finance (continued) | ||||
$11,284,000 | Paradigm Funding, LLC | 5.270% | 5/1/2007 | $11,284,000 |
10,428,000 | Paradigm Funding, LLC | 5.280 | 5/15/2007 | 10,406,588 |
12,502,000 | Paradigm Funding, LLC | 5.270 | 5/25/2007 | 12,458,076 |
30,000,000 | Paradigm Funding, LLC | 5.270 | 5/29/2007 | 29,877,033 |
30,000,000 | Park Avenue Receivables Corporation | 5.280 | 5/8/2007 | 29,969,200 |
30,000,000 | Park Avenue Receivables Corporation | 5.270 | 5/22/2007 | 29,907,775 |
27,000,000 | Proctor & Gamble Company | 5.240 | 5/24/2007 | 26,909,610 |
30,000,000 | Ranger Funding Company | 5.270 | 5/23/2007 | 29,903,383 |
30,000,000 | Ranger Funding Company | 5.265 | 5/29/2007 | 29,877,150 |
28,625,000 | Regency Markets No. 1, LLC | 5.276 | 5/21/2007 | 28,541,094 |
24,375,000 | Sheffield Receivables Corporation | 5.280 | 5/7/2007 | 24,353,550 |
25,000,000 | Sheffield Receivables Corporation | 5.280 | 5/16/2007 | 24,945,000 |
30,000,000 | Sheffield Receivables Corporation | 5.270 | 5/29/2007 | 29,877,033 |
30,000,000 | Sheffield Receivables Corporation | 5.270 | 5/31/2007 | 29,868,250 |
30,200,000 | Sheffield Receivables Corporation | 5.265 | 6/14/2007 | 30,005,663 |
33,889,000 | Solitaire Funding, LLC | 5.270 | 5/11/2007 | 33,839,390 |
56,514,000 | Surrey Funding Corporation | 5.293 | 5/1/2007 | 56,514,000 |
16,500,000 | Surrey Funding Corporation | 5.280 | 5/15/2007 | 16,466,120 |
25,000,000 | Surrey Funding Corporation | 5.260 | 6/25/2007 | 24,799,097 |
28,000,000 | Surrey Funding Corporation | 5.260 | 6/27/2007 | 27,766,807 |
12,254,000 | Tempo Finance Corporation | 5.280 | 5/23/2007 | 12,214,460 |
12,595,000 | Thames Asset Global Securitization, Inc. | 5.270 | 5/21/2007 | 12,558,125 |
30,000,000 | Three Pillars Funding Corporation | 5.270 | 5/23/2007 | 29,903,383 |
36,079,000 | Three Pillars Funding Corporation | 5.270 | 5/31/2007 | 35,920,553 |
5,041,000 | Three Pillars Funding Corporation | 5.260 | 6/22/2007 | 5,002,700 |
19,276,000 | Thunder Bay Funding, Inc. | 5.260 | 5/31/2007 | 19,191,507 |
12,169,000 | Thunder Bay Funding, Inc. | 5.260 | 6/7/2007 | 12,103,213 |
6,500,000 | Victory Receivables Corporation | 5.280 | 5/18/2007 | 6,483,793 |
7,004,000 | Victory Receivables Corporation | 5.270 | 5/29/2007 | 6,975,291 |
10,000,000 | Windmill Funding Corporation | 5.280 | 5/7/2007 | 9,991,200 |
13,845,000 | Yorktown Capital, LLC | 5.280 | 5/17/2007 | 13,812,510 |
30,000,000 | Yorktown Capital, LLC | 5.270 | 5/22/2007 | 29,907,775 |
Total Finance | 1,487,742,945 | |||
Insurance (2.8%) | ||||
25,000,000 | Aquinas Funding, LLC | 5.270 | 5/30/2007 | 24,893,868 |
25,000,000 | Aquinas Funding, LLC | 5.270 | 5/31/2007 | 24,890,208 |
5,000,000 | Nyala Funding, LLC | 5.260 | 7/16/2007 | 4,944,478 |
30,000,000 | Swiss RE Financial Products Company | 5.320 | 5/1/2007 | 30,000,000 |
30,000,000 | Swiss RE Financial Products Company | 5.280 | 5/7/2007 | 29,973,600 |
Total Insurance | 114,702,154 | |||
Total Commercial Paper | 2,167,441,997 | |||
5
SCHEDULE OF INVESTMENTS | ||||
AS OF APRIL 30, 2007 (UNAUDITED) | ||||
Shares or | ||||
Principal | Interest | Maturity | ||
Amount | Other (6.1%) | Rate (+) | Date | Value |
Euro Time Deposits (6.1%) | ||||
$60,365,000 | BNP Paribas Paris | 5.280% | 5/1/2007 | $60,365,000 |
100,000,000 | Deutsche Bank CI | 5.290 | 5/1/2007 | 100,000,000 |
90,000,000 | Rabobank Nederland | 5.280 | 5/1/2007 | 90,000,000 |
Total Euro Time Deposits | 250,365,000 | |||
Mutual Funds (<0.1%) | ||||
555,000 | Barclays Prime Money Market Fund | 5.270 | N/A | 555,000 |
65,000 | Morgan Stanley Institutional Liquidity Funds | 5.260 | N/A | 65,000 |
48,663 | Primary Fund Institutional Class | 5.260 | N/A | 48,663 |
Total Mutual Funds | 668,663 | |||
Total Other | 251,033,663 | |||
Principal | Interest | Maturity | ||
Amount | U.S. Municipal (0.5%) | Rate (+) | Date | Value |
$19,344,000 | Alaska Housing Finance Corporation | 5.270% | 5/4/2007 | $19,335,505 |
Total U.S. Municipal | 19,335,505 | |||
Principal | Interest | Maturity | ||
Amount | Variable Rate Notes (41.3%) † | Rate (+) | Date | Value |
Banking-Domestic (19.1%) | ||||
$8,760,000 | Acts Retirement-Life Communities, Inc. | 5.350% | 5/3/2007 | $8,759,976 |
25,000,000 | Bank of America Corporation | 5.315 | 5/15/2007 | 25,000,000 |
25,000,000 | Bank of New York Company, Inc. | 5.320 | 5/10/2007 | 24,999,968 |
30,000,000 | Banque Nationale de Paris/NY | 5.260 | 5/3/2007 | 29,996,770 |
30,000,000 | Credit Suisse NY | 5.305 | 5/24/2007 | 30,001,706 |
25,000,000 | Deutsche Bank NY | 5.390 | 3/5/2008 | 25,002,026 |
50,000,000 | Fifth Third Bancorp | 5.320 | 5/23/2007 | 50,000,000 |
30,000,000 | HSBC Finance Corporation | 5.423 | 5/1/2007 | 30,006,841 |
37,920,000 | HSBC USA, Inc. | 5.320 | 5/15/2007 | 37,920,000 |
35,000,000 | Rabobank Nederland NV/NY | 5.320 | 5/15/2007 | 35,000,000 |
30,000,000 | Royal Bank of Canada NY | 5.265 | 5/2/2007 | 29,991,138 |
34,000,000 | Royal Bank of Canada NY | 5.310 | 5/1/2007 | 34,000,000 |
60,000,000 | Royal Bank of Scotland plc NY | 5.260 | 5/14/2007 | 59,994,023 |
26,000,000 | Societe Generale NY | 5.258 | 5/9/2007 | 25,999,187 |
30,000,000 | Suntrust Bank | 5.265 | 5/14/2007 | 29,997,738 |
57,215,000 | Suntrust Bank | 5.290 | 5/29/2007 | 57,216,227 |
35,000,000 | Svenska Handelsbanken AB | 5.290 | 5/21/2007 | 35,000,000 |
30,000,000 | US Bank NA | 5.280 | 5/1/2007 | 29,998,377 |
6
SCHEDULE OF INVESTMENTS | ||||
AS OF APRIL 30, 2007 (UNAUDITED) | ||||
Principal | Interest | Maturity | ||
Amount | Variable Rate Notes (41.3%) † | Rate (+) | Date | Value |
Banking-Domestic (continued) | ||||
$25,000,000 | US Bank NA | 5.255% | 5/8/2007 | $24,994,656 |
26,900,000 | US Bank NA | 5.290 | 5/8/2007 | 26,900,773 |
45,000,000 | US Bank NA | 5.290 | 5/30/2007 | 45,001,352�� |
7,800,000 | US Bank NA | 5.379 | 7/2/2007 | 7,801,947 |
30,000,000 | US Trust Company of New York | 5.310 | 5/14/2007 | 30,000,000 |
20,070,000 | Wachovia Corporation | 5.410 | 5/22/2007 | 20,075,992 |
35,000,000 | Wells Fargo & Company | 5.280 | 5/18/2007 | 35,000,000 |
Total Banking-Domestic | 788,658,697 | |||
Banking-Foreign (5.5%) | ||||
12,500,000 | Bank of Ireland | 5.300 | 5/21/2007 | 12,500,000 |
21,960,000 | Bank of Ireland | 5.320 | 5/21/2007 | 21,960,000 |
25,000,000 | BNP Paribas SA | 5.310 | 5/29/2007 | 25,000,000 |
25,000,000 | DNB NOR ASA | 5.310 | 5/25/2007 | 25,000,000 |
30,000,000 | HBOS Treasury Services plc | 5.290 | 5/8/2007 | 30,000,000 |
40,000,000 | Royal Bank of Scotland plc | 5.330 | 5/21/2007 | 40,002,468 |
25,000,000 | Societe Generale | 5.310 | 5/2/2007 | 25,000,000 |
50,000,000 | Svenska Handelsbanken AB | 5.290 | 5/13/2007 | 50,000,000 |
Total Banking-Foreign | 229,462,468 | |||
Brokerage (5.3%) | ||||
26,400,000 | Lehman Brothers Holdings, Inc. | 5.330 | 5/1/2007 | 26,402,389 |
15,750,000 | Lehman Brothers Holdings, Inc. | 5.385 | 5/21/2007 | 15,753,322 |
7,225,000 | Lehman Brothers Holdings, Inc. | 5.370 | 5/31/2007 | 7,225,515 |
15,000,000 | Merrill Lynch & Company, Inc. | 5.363 | 5/1/2007 | 15,000,000 |
25,000,000 | Merrill Lynch & Company, Inc. | 5.443 | 5/1/2007 | 25,003,247 |
20,000,000 | Merrill Lynch & Company, Inc. | 5.570 | 5/11/2007 | 20,000,000 |
25,000,000 | Merrill Lynch & Company, Inc. | 5.300 | 5/24/2007 | 25,000,000 |
30,000,000 | Morgan Stanley | 5.363 | 5/1/2007 | 30,000,000 |
25,000,000 | Morgan Stanley | 5.493 | 5/1/2007 | 25,019,907 |
30,000,000 | Morgan Stanley | 5.480 | 7/27/2007 | 30,012,040 |
Total Brokerage | 219,416,420 | |||
Consumer Cyclical (2.5%) | ||||
10,000,000 | American Honda Finance Corporation | 5.390 | 5/8/2007 | 10,000,261 |
6,850,000 | American Honda Finance Corporation | 5.380 | 5/23/2007 | 6,851,086 |
50,000,000 | American Honda Finance Corporation | 5.285 | 5/31/2007 | 50,000,000 |
10,000,000 | American Honda Finance Corporation | 5.385 | 7/23/2007 | 10,001,556 |
25,000,000 | Toyota Motor Credit Corporation | 5.270 | 5/21/2007 | 25,000,094 |
Total Consumer Cyclical | 101,852,997 | |||
7
SCHEDULE OF INVESTMENTS | ||||
AS OF APRIL 30, 2007 (UNAUDITED) | ||||
Principal | Interest | Maturity | ||
Amount | Variable Rate Notes (41.3%) † | Rate (+) | Date | Value |
Finance (3.6%) | ||||
$15,000,000 | Allstate Life Global Funding Trusts | 5.290% | 5/11/2007 | $15,000,000 |
40,000,000 | General Electric Capital Corporation | 5.445 | 5/9/2007 | 40,000,000 |
25,000,000 | General Electric Capital Corporation | 5.280 | 5/24/2007 | 25,000,000 |
10,000,000 | HSBC Finance Corporation | 5.400 | 5/10/2007 | 10,000,300 |
30,000,000 | Merrill Lynch & Company, Inc. | 5.300 | 5/18/2007 | 30,000,000 |
8,000,000 | Pershing Drive Associates, LP | 5.320 | 5/3/2007 | 8,000,000 |
20,000,000 | Union Hamilton Special Funding, LLC | 5.350 | 6/21/2007 | 20,000,000 |
Total Finance | 148,000,300 | |||
Insurance (2.8%) | ||||
50,000,000 | ING Verzekeringen NV | 5.290 | 5/4/2007 | 50,000,000 |
25,000,000 | MBIA Global Funding, LLC | 5.280 | 5/21/2007 | 24,997,500 |
25,000,000 | MBIA Global Funding, LLC | 5.275 | 5/25/2007 | 24,999,990 |
15,000,000 | MBIA Global Funding, LLC | 5.400 | 5/29/2007 | 15,005,398 |
Total Insurance | 115,002,888 | |||
U.S. Municipal (2.5%) | ||||
11,175,000 | BRCH Corporation | 5.350 | 5/2/2007 | 11,175,000 |
15,000,000 | Michigan State Housing Development Authority | |||
Revenue Bonds (Series D) | 5.350 | 5/3/2007 | 15,000,000 | |
13,000,000 | Mississippi Business Financial Corporation, | |||
Mississippi Individual Development Revenue | ||||
Bonds | 5.350 | 5/3/2007 | 13,000,000 | |
19,200,000 | Texas State Adjustable Taxable Veterans Housing | |||
Series PG Class B Revenue Bonds | 5.310 | 5/2/2007 | 19,200,000 | |
45,000,000 | Texas State Public Finance Authority Revenue | |||
Bonds | 5.360 | 5/3/2007 | 45,000,000 | |
Total U.S. Municipal | 103,375,000 | |||
Total Variable Rate Notes | 1,705,768,770 | |||
Total Investments | ||||
(at amortized cost) | 100.3% | $4,143,579,935 | ||
Other Assets and Liabilities, Net | (0.3%) | (12,059,679) | ||
Total Net Assets | 100.0% | $4,131,520,256 | ||
+ The interest rate shown reflects the yield, coupon rate or, for securities purchased at a discount, the discount rate at the date of purchase.
† Denotes variable rate obligations for which the current yield and next scheduled reset date are shown.
Cost for federal income tax purposes is $4,143,579,935.
The accompanying Notes to Financial Statements are an integral part of this schedule.
8
STATEMENT OF ASSETS AND LIABILITIES | |
AS OF APRIL 30, 2007 (UNAUDITED) | |
Thrivent Financial Securities Lending Trust | |
Assets | |
Investments at cost | $4,143,579,935 |
Investments at value | 4,143,579,935 |
Dividend and interest receivable | 5,569,025 |
Prepaid expenses | 27,811 |
Total Assets | 4,149,176,771 |
Liabilities | |
Distributions payable | 17,469,684 |
Accrued expenses | 31,432 |
Notes payable and other debt | 14,717 |
Payable to affiliate | 140,682 |
Total Liabilities | 17,656,515 |
Net Assets | |
Trust Capital (beneficial interest) | 4,131,520,033 |
Accumulated undistributed net investment loss | (2) |
Accumulated undistributed net realized gain on | |
Investments | 225 |
Total Net Assets | $4,131,520,256 |
Net Assets | $4,131,520,256 |
Shares of beneficial interest outstanding | 4,131,520,033 |
Net asset value per share | $1.00 |
The accompanying Notes to Financial Statements are an integral part of this statement.
9
STATEMENT OF OPERATIONS | |
FOR THE SIX MONTHS ENDED APRIL 30, 2007 (UNAUDITED) | |
Thrivent Financial Securities Lending Trust | |
Investment Income | |
Dividends | $118,507 |
Taxable interest | 111,781,832 |
Total Investment Income | 111,900,339 |
Expenses | |
Adviser fee | 937,551 |
Accounting and pricing fees | 27,332 |
Audit and legal fees | 10,935 |
Custody fees | 68,615 |
Insurance expense | 32,566 |
Printing and postage fees | 863 |
Transfer agent fees | 24,415 |
Trustee fees | 1,920 |
Other expenses | 13,015 |
Total Expenses Before Reimbursement | 1,117,212 |
Less: | |
Reimbursement from adviser | (72,084) |
Custody earnings credit | (4,229) |
Total Net Expenses | 1,040,899 |
Net Investment Income | 110,859,440 |
Realized and Unrealized Gain on Investments | |
Net realized gain on investments | 481 |
Net Realized and Unrealized Gain on Investments | 481 |
Net Increase in Net Assets Resulting From Operations | $110,859,921 |
The accompanying Notes to Financial Statements are an integral part of this statement.
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STATEMENT OF CHANGES IN NET ASSETS | ||
Thrivent Financial Securities Lending Trust | ||
For the periods ended | 4/30/2007 | 10/31/2006 |
(unaudited) | ||
Operations | ||
Net investment income | $110,859,440 | $196,111,265 |
Net realized gain/(loss) on investments | 481 | (256) |
Net Increase in Net Assets Resulting | ||
From Operations | 110,859,921 | 196,111,009 |
Distributions to Shareholders | ||
From net investment income | (110,859,440) | (196,111,265) |
Total Distributions to Shareholders | (110,859,440) | (196,111,265) |
Capital Stock Transactions | 10,540,975 | 256,371,796 |
Net Increase in Net Assets | 10,541,456 | 256,371,540 |
Net Assets Beginning of Period | 4,120,978,800 | 3,864,607,260 |
Net Assets End of Period | $4,131,520,256 | $4,120,978,800 |
The accompanying Notes to Financial Statements are an integral part of this statement.
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NOTES TO FINANCIAL STATEMENTS
AS OF APRIL 30, 2007 (UNAUDITED)
Thrivent Financial Securities Lending Trust
A. Organization
Thrivent Financial Securities Lending Trust (the "Trust") was organized as a Massachusetts Business Trust on August 4, 2004, and is registered as an open-end management investment company under the Investment Company Act of 1940. The Trust commenced operations on September 16, 2004. All transactions in the Trust are from affiliates of the Trust.
Under the Trust's organizational documents, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Trust. In addition, in the normal course of business, the Trust enters into contracts with vendors and others that provide general damage clauses. The Trust's maximum exposure under these contracts is unknown, as this would involve future claims that may be made against the Trust. However, based on experience, the Trust expects the risk of loss to be remote.
B. Significant Accounting Policies
Valuation – Securities are valued on the basis of amortized cost (which approximates value), whereby a portfolio security is valued at its cost initially, and thereafter valued to reflect a constant amortization to maturity of any discount or premium. Mutual Funds are valued at the net asset value at the close of each business day.
Federal Income Taxes – The Trust intends to comply with the requirements of the Internal Revenue Code which are applicable to regulated investment companies and to distribute substantially all of its taxable income to its shareholders. The Trust, accordingly, anticipates paying no Federal income taxes and no Federal income tax provision was recorded.
Recent Accounting Pronouncements – In June 2006, the Financial Accounting Standards Board (FASB) issued FASB Interpretation No. 48 – Accounting for Uncertainty in Income Taxes (FIN 48), that requires additional tax disclosures and the tax effects of certain tax positions to be recognized. These tax positions must meet a “more likely than not” standard that based on their technical merits, have a more than 50 percent likelihood of being sustained upon examination. FIN 48 is effective for fiscal periods beginning after December 15, 2006. At adoption, the financial statements must be adjusted to reflect only those tax positions in any open years that are more likely than not of being sustained. Management of the Fund is currently evaluating the impact that FIN 48 will have on the Fund’s financial statements. Effective December 26, 2006, the U.S. Securities and Exchange Commission has extended required implementation of FIN 48 until June 29, 2007, for mutual funds.
Additionally, in September 2006, the FASB issued FASB Statement No. 157 – Fair Value Measurements (FAS 157). The objective of the statement is to improve the consistency and comparability of fair value measurements used in financial reporting. FAS 157 defines fair value, establishes a framework for measuring fair value in generally accepted accounting principles, and expands disclosures about fair value measurements. FAS 157 is effective for fiscal years beginning after November 15, 2007. Management of the Fund is currently evaluating the impact that FAS 157 will have on the Fund’s financial statements.
Fees Paid Indirectly – The Trust has a deposit arrangement with the custodian whereby interest earned on uninvested cash balances is used to pay a portion of custodian fees. This deposit arrangement is an alternative to overnight investments.
Distributions to Shareholders – Net investment income is distributed to each shareholder as a dividend. Dividends from the Trust are declared daily and distributed monthly. Net realized gains from securities transactions, if any, are distributed at least annually after the close of the fiscal year.
Use of Estimates – The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America require management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of income and expenses during the reporting period. Actual results could differ from these estimates.
Other – For financial statement purposes, investment security transactions are accounted for on the trade date. Interest income is recognized on an accrual basis. Discount and premium are amortized over the life of the respective securities on the interest method. Realized gains or losses on sales are determined on a specific cost identification basis. Generally accepted accounting principles require permanent financial reporting and tax differences to be reclassified to trust capital. No reclassifications were necessary at April 30, 2007.
C. Investment Advisory Management Fees and Transactions with Related Parties
The Trust has entered into an Investment Advisory Agreement with Thrivent Financial for Lutherans (the "Adviser") under which the Trust pays a fee for
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investment advisory services. The annual rate of fees under the Investment Advisory Agreement are calculated at 0.045% of the average daily net assets of the Trust.
Each Trustee who is not affiliated with the Adviser receives an annual fee from the Trust for services as a Trustee and is eligible to participate in a deferred compensation plan with respect to these fees. Each participant's deferred compensation account will increase or decrease as if it were invested in shares of the Thrivent Mutual Funds based on their choice.
Trustees not participating in the above plan received $742 in fees from the Trust for the six months ended April 30, 2007. No remuneration has been paid by the Trust to any of the officers or affiliated Trustees of the Trust. In addition, the Trust reimbursed certain reasonable expenses incurred in relation to attendance at the meetings.
The Adviser has agreed to voluntarily reimburse the Trust for all expenses in excess of 0.05% of average daily net assets. This voluntary expense reimbursement may be discontinued at any time.
D. Federal Income Tax Information
During the six months ended April 30, 2007, and the year ended October 31, 2006, the Trust distributed $110,859,440 and $196,111,265 from ordinary income, respectively. At October 31, 2006, the Trust had accumulated a $256 net realized capital loss carryover expiring on October 31, 2014.
E. Trust Transactions
Transactions in trust shares were as follows:
Shares | Amount | ||
_______________ | _______________ | ||
For the Six Months Ended April 30, 2007 | |||
Sold | 6,120,971,780 | $6,120,971,780 | |
Redeemed | (6,110,430,805) | (6,110,430,805) | |
Net Change | $10,540,975 | $10,540,975 | |
=============== | =============== | ||
For the Year Ended October 31, 2006 | |||
Sold | 19,229,220,950 | $19,229,220,950 | |
Redeemed | (18,972,849,154) | (18,972,849,154) | |
Net Change | 256,371,796 | $256,371,796 | |
=============== | =============== |
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FINANCIAL HIGHLIGHTS | ||||
PER SHARE INFORMATION (a) | ||||
Thrivent Financial Securities Lending Trust | ||||
Period | ||||
Ended | Period | |||
4/30/2007 | Year Ended | Year Ended | Ended | |
(unaudited) | 10/31/2006 | 10/31/2005 | 10/31/2004 (e) | |
Net asset value: Beginning of Period | $1.00 | $1.00 | $1.00 | $1.00 |
Income from Investment Operations: | ||||
Net investment income | 0.03 | 0.05 | 0.03 | 0.00 |
Net realized and unrealized gains on | ||||
investments (b) | -- | -- | -- | -- |
Total from Investment Operations | 0.03 | 0.05 | 0.03 | 0.00 |
Distributions from: | ||||
Net investment income | (0.03) | (0.05) | (0.03) | 0.00 |
Total Distributions | (0.03) | (0.05) | (0.03) | 0.00 |
Net asset value: End of Period | $1.00 | $1.00 | $1.00 | $1.00 |
Total return (c) | 2.67% | 4.93% | 2.91% | 0.22% |
Net assets: end of period (in millions) | $4,131.5 | $4,121.0 | $3,864.6 | $3,942.3 |
Ratio of expenses to average net assets (d) | 0.05% | 0.05% | 0.05% | 0.05% |
Ratio of net investment income to average net | ||||
assets (d) | 5.32% | 4.82% | 2.89% | 1.80% |
Portfolio turnover rate | N/A | N/A | N/A | N/A |
If the Fund had paid all its expenses without the adviser’s voluntary expense reimbursement, the | ||||
ratios would have been as follows: | ||||
Ratio of expenses to average net assets (d) | 0.05% | 0.05% | 0.05% | 0.05% |
Ratio of net investment income to average net | ||||
assets (d) | 5.31% | 4.82% | 2.89% | 1.80% |
(a) All per share amounts have been rounded to the nearest cent.
(b) The amount shown may not correlate with the change in aggregate gains and losses of portfolio securities due to the
timing of sales and redemptions of fund shares.
(c) Total investment return assumes dividend reinvestment and does not reflect any deduction for sales charges.
(d) Computed on an annualized basis for periods less than one year.
(e) Since Fund inception, September 16, 2004.
The accompanying notes to the financial statements are an integral part of this schedule.
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ADDITIONAL INFORMATION
(unaudited)
PROXY VOTING
The policies and procedures that the Trust uses to determine how to vote proxies relating to portfolio securities are attached to the Trust’s Statement of Additional Information. You may request a free copy of the Statement of Additional Information or the report of how the Trust voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 by calling 1-800-847-4836. You also may review the Statement of Additional Information or the report of how the Trust voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 at the SEC web site (www.sec.gov).
QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS
The Trust files its Schedule of Portfolio Holdings on Form N-Q with the SEC for the first and third quarters of each fiscal year. You may request a free copy of the Trust’s Forms N-Q by calling 1-800-847-4836. The Trust’s Forms N-Q also are available on the SEC web site (www.sec.gov). You also may review and copy the Forms N-Q for the Trust at the SEC’s Public Reference Room in Washington, DC. You may get information about the operation of the Public Reference Room by calling 1-800-SEC-0330.
BOARD APPROVAL OF INVESTMENT ADVISORY AGREEMENT
Both the Investment Company Act of 1940 and the terms of the advisory agreement of the Trust require that the agreement be approved annually by a majority of the Board of Trustees, including a majority of the Independent Trustees. At its meeting on November 8, 2006, the Board of Trustees of the Trust voted unanimously to renew the existing Advisory Agreement between the Trust and the Adviser. In connection with its reapproval of the advisory agreement with the Adviser, the Board considered, among other things, the nature, extent and quality of the services provided by the Adviser; the performance of the Thrivent family of funds, including the Trust; and the costs of services provided and profits realized by the Adviser.
In connection with the renewal process, the Contracts Committee of the Board (consisting of each of the Independent Trustees) met on July 19, August 28, and November 8, 2006 to consider information relevant to the renewal process. In addition to reviewing the information presented to the Board during the contract renewal process and throughout the year, the Board also considered knowledge gained from discussions with fund management.
The Independent Trustees were represented by independent counsel throughout the review process and during private sessions of the Independent Trustees to consider reapproval of the agreement. The Trustees also received a memorandum from independent counsel summarizing their responsibilities under the Investment Company Act of 1940 in reviewing and approving the Advisory Agreement. The Contract Committee and Board’s consideration of the factors listed above and the information provided to it are discussed below.
At each of the Board’s regular quarterly meetings during 2006, management presented information describing the services furnished to the funds by the Adviser. During these meetings, management reported on the investment management, fund trading, and compliance functions provided to the funds under their advisory agreements. During the renewal process, the Board considered the specific services provided under advisory agreements as compared to these services provided by other mutual fund investment advisers under similar investment advisory agreements. The Board also considered information relating to the investment experience and educational backgrounds of the Adviser’s managers and research analysts.
The Board received reports at each of its quarterly meetings from the Adviser’s Chief Investment Officer. In addition, the Board noted that it had, over the past year, met with a majority of the fund managers, as well as a number of the research personnel, which gave the Board an opportunity to evaluate the abilities and experience of those providing services to the funds, and the quality of those services. Information was also presented to the Board describing the fund compliance functions performed by the Adviser. The Independent Trustees also received quarterly reports from the funds’ Chief Compliance Officer.
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The Adviser also reviewed with the Board the Adviser’s ongoing recruitment of personnel and its investment in systems technology to improve trading, fund compliance, and investment reporting functions. The Board viewed these actions as a significant factor in approving the advisory agreement as they demonstrated the Adviser’s commitment to provide the funds, including the Trust, with quality service and competitive investment performance.
In connection with each of its regular quarterly meetings, the Board received extensive information on the performance of the funds. The Board also considered both the contractual and, if relevant, effective advisory fees for the funds and the profitability of the adviser both overall and on a fund-by-fund basis. The Board further considered the allocations of the Adviser’s costs to the funds and retained an accounting firm to conduct a review of the reasonableness and consistency of these allocations. The Board was satisfied with the results of this review. On the basis of this information and review, the Board concluded that the advisory fees charged to the funds, including the Trust, for investment management services were reasonable.
The Trustees also considered whether economies of scale might be realized as a fund’s assets increase. Because of differences among funds as to management style and cost, it is difficult to generalize as to whether or to what extent economies in the advisory function may be realized as a fund’s assets increase. The Board did note, however, that while some funds were increasing in assets and others were decreasing in assets, the funds overall were not experiencing significant asset growth.
Based on the factors discussed above, the Contracts Committee unanimously recommended approval of the Advisory Agreement, and the Board, including all of the Independent Trustees voting separately, approved the agreement.
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This report is submitted for the information of shareholders of Thrivent Financial Securities Lending Trust. It is not authorized for distribution to prospective investors unless preceded or accompanied by the current prospectus for Thrivent Financial Securities Lending Trust, which contains more complete information about the Trust, including investment policies, charges and expenses.
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Item 2. Code of Ethics
Not applicable to semiannual report
Item 3. Audit Committee Financial Expert
Not applicable to semiannual report
Item 4. Principal Accountant Fees and Services
Not applicable to semiannual report
Item 5. Audit Committee of Listed Registrants
Not applicable.
Item 6. Schedule of Investments
Registrant's Schedule of Investments is included in the report to shareholders filed under 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 Investment Company and
Affiliated Purchasers.
Not applicable.
Item 10. Submission of Matters to a Vote of Security Holders
There have been no material changes to the procedures by which shareholders may recommend nominees to registrant's board of trustees.
Item 11. Controls and Procedures
(a)(i) Registrant's President and Treasurer have concluded that registrant's disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) are effective, based on their evaluation of these controls and procedures as of a date within 90 days of the filing date of this report.
(a)(ii) Registrant’s President and Treasurer are aware of no change in registrant's internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) that occurred during registrant’s most recent fiscal quarter that has materially affected, or is reasonably likely to materially affect, registrant's internal control over financial reporting.
Item 12. Exhibits
(a) Certifications pursuant to Rules 30a-2(a) and 30a-2(b) under the Investment Company Act of 1940 are attached hereto.
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.
Date: June 27, 2007 | THRIVENT FINANCIAL |
SECURITIES LENDING | |
TRUST | |
By: /s/ Pamela J. Moret | |
Pamela J. Moret | |
President |
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.
Date: June 27, 2007 | By: /s/ Pamela J. Moret |
Pamela J. Moret | |
President | |
Date: June 27, 2007 | By: /s/ Gerard V. Vaillancourt |
Gerard V. Vaillancourt | |
Treasurer |