Thrivent Cash Management Trust N-CSR Certified annual shareholder report (management investment company)

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)

John L. Sullivan

625 Fourth Avenue South

Minneapolis, Minnesota 55415

(Name and address of agent for service)

Registrant’s telephone number, including area code:   (612) 844-5704

Date of fiscal year end: October 31

Date of reporting period: October 31, 2011

Item 1. Report to Stockholders

Annual Report

OCTOBER 31, 2011

Thrivent Financial

Securities Lending Trust

Table of Contents

Portfolio Perspective	1
Shareholder Expense Example	2
Report of Independent Registered Public Accounting Firm	3
Schedule of Investments	4
Statement of Assets and Liabilities	6
Statement of Operations	7
Statement of Changes in Net Assets	8
Notes to Financial Statements	9
Financial Highlights	12
Additional Information	14
Board of Trustees and Officers	15

THRIVENT FINANCIAL SECURITIES LENDING TRUST

William D. Stouten, Portfolio Manager

Thrivent Financial Securities Lending Trust (the “Trust”) seeks to maximize current income to the extent consistent with the preservation of capital and liquidity and to maintain a stable $1.00 per share net asset value by investing in dollar-denominated securities with a remaining maturity of 397 calendar days or less.

The environment for securities lending continued to be challenging over the reporting period as yields remained at historic lows. In addition, the deleveraging that has taken place in the financial industry combined with new industry regulations resulted in lower levels of general collateral borrowing. Less demand for borrowing has kept balances in the Trust closer to historical norms, with net assets rarely exceeding $700 million during the 12-month period ended October 31, 2011. The combination of low yields and lackluster demand to borrow securities has also resulted in compressed spreads and lower profitability throughout the securities-lending industry.

Our primary focus continued to be on maintaining strong credit quality and liquidity for the Trust during the period. The Trust was conservatively positioned with at least 60% of its net assets invested directly in U.S. government obligations or U.S. government-supported securities and a short weighted-average maturity (WAM). The Trust’s WAM averaged approximately 20 days during the 12-month period. This combination of mostly government securities and a short WAM provided significant liquidity in times of volatility. To help enhance the Trust’s yield and reduce transaction costs, we also continued to invest heavily in floating-rate and variable-rate notes. Going forward, we intend to maintain the Trust’s defensive stance that seeks to maximize safety and liquidity.

Portfolio Composition

(% of Portfolio)

Thrivent Financial Securities Lending Trust As of October 31, 2011*
7-Day Yield	0.12	%
7-Day Yield Gross of Waivers	0.12	%
7-Day Effective Yield	0.12	%
7-Day Effective Yield Gross of Waivers	0.12	%

Average Annual Total Returns**
For the Period Ended October 31, 2011	1-Year	5-Year	Since Inception, 9/16/2004
Total Return	0.15%	1.97%	2.51%

* 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. A yield gross of waivers represents what the yield would have been if the investment adviser were not waiving or reimbursing certain expenses. Yields are subject to daily fluctuation and should not be considered an indication of future results.

** Average annual 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.

Past performance is not an indication of future results. Current performance may be lower or higher than the performance data quoted. The prospectus contains more complete information on the investment objectives, risks, charges and expenses of the Trust. Investors should read and consider carefully before investing. To obtain a prospectus, call 1-800-THRIVENT.

An investment in the Trust is not insured or guaranteed by the FDIC or any other government agency. Although the Trust seeks to preserve the value of your investment at $1.00 per share, it is possible to lose money by investing in the Trust.

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 May 1, 2011 through October 31, 2011.

Actual Expenses

In the table below, the first line 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 line 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.

	Beginning Account Value 5/1/2011	Ending Account Value 10/31/2011	Expenses Paid During Period 5/1/2011 - 10/31/2011*	Annualized Expense Ratio
Thrivent Financial Securities Lending Trust
Actual	$1,000	$1,001	$0.25	0.05%
Hypothetical**	$1,000	$1,025	$0.26	0.05%

* Expenses are equal to the Fund’s annualized expense ratio, multiplied by the average account value over the period, multiplied by 184/365 to reflect the one-half year period.

** Assuming 5% annualized total return before expenses.

2

Report of Independent Registered Public Accounting Firm

To the Shareholders and Trustees of the Thrivent Financial Securities Lending Trust:

In our opinion, the accompanying statement of assets and liabilities, including the schedule of investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of the Thrivent Financial Securities Lending Trust (the “Trust”) at October 31, 2011, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended and its financial highlights for each of the five years in the period then ended, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Trust’s management; our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at October 31, 2011 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion.

December 15, 2011

PricewaterhouseCoopers LLP, Suite 1400, 225 South Sixth Street, Minneapolis, MN 55402

  T: (612) 596 6000, F: (612) 373 7160, www.pwc.com/us

3

Thrivent Financial Securities Lending Trust

Schedule of Investments as of October 31, 2011

Principal Amount		Financial Company Commercial Paper (18.1%)a	Value
		Bank of America Corporation
	$31,560,000	0.999%, 12/2/2011b,c		$31,584,639
		BNP Paribas
	30,600,000	0.140%, 11/1/2011		30,600,000
		Citigroup, Inc.
	15,000,000	1.043%, 12/9/2011b,c		15,014,148
	11,200,000	2.025%, 12/9/2011b		11,231,622
		J.P. Morgan Chase & Company
	5,000,000	0.999%, 12/2/2011b,c		5,003,806
		Rabobank Nederland NV/NY
	8,300,000	0.321%, 12/6/2011b,c		8,300,000
		Wells Fargo & Company
	9,050,000	1.187%, 12/9/2011b,c		9,059,651
		Total Financial Company Commercial Paper		110,793,866
Principal Amount		Government Agency Debt (63.7%)a	Value
		Federal Farm Credit Bank
	5,000,000	0.192%, 12/8/2011b,c		4,999,945
	9,000,000	0.543%, 1/13/2012b,c		9,006,791
	1,500,000	0.165%, 1/25/2012b,c		1,499,973
	4,600,000	0.195%, 5/23/2012b,c		4,601,443
	6,850,000	0.223%, 7/16/2012b,c		6,850,974
	15,000,000	0.205%, 7/20/2012b,c		14,997,251
	5,000,000	0.170%, 8/8/2012b,c		4,999,534
	4,000,000	0.261%, 9/7/2012b,c		4,003,494
	6,190,000	0.263%, 10/12/2012b,c		6,194,192
		Federal Home Loan Banks
	4,000,000	1.000%, 12/28/2011b		4,005,782
	25,000,000	0.170%, 2/2/2012b,c		25,001,930
	10,000,000	0.220%, 3/20/2012b,c		9,999,605
		Federal Home Loan Mortgage Corporation
	12,945,000	0.220%, 11/7/2011b,c		12,945,088
	10,000,000	0.060%, 11/9/2011b,c		9,999,914
	7,000,000	0.195%, 12/21/2011b,c		6,999,497
	5,200,000	0.196%, 12/29/2011b,c		5,200,193
	20,000,000	0.163%, 1/11/2012b,c		19,998,235
	25,500,000	0.070%, 1/13/2012b,c		25,497,094
	22,500,000	0.070%, 1/25/2012b,c		22,494,229
	5,500,000	0.202%, 2/10/2012b,c		5,500,022
	13,270,000	0.203%, 2/16/2012b,c		13,271,838
	5,000,000	0.210%, 10/12/2012b,c		4,999,518
		Federal National Mortgage Association
	5,882,000	0.101%, 1/9/2012b		5,903,196
	2,700,000	0.075%, 2/16/2012b		2,699,398
	16,030,000	0.265%, 8/23/2012b,c		16,040,729
	8,000,000	0.320%, 9/13/2012b,c		8,001,402
	8,000,000	0.273%, 9/17/2012b,c		8,000,000
	12,850,000	0.273%, 10/18/2012b,c		12,857,458
	5,000,000	0.265%, 11/23/2012b,c		4,998,372
	8,000,000	0.290%, 11/23/2012b,c		7,998,314
		Overseas Private Investment Corporation
	3,793,102	0.110%, 11/2/2011b,c		3,793,102
	8,771,930	0.110%, 11/2/2011b,c		8,771,930
	2,906,552	0.110%, 11/2/2011b,c		2,906,552
		Straight-A Funding, LLC
	4,028,000	0.190%, 11/8/2011b		4,027,851
	15,000,000	0.110%, 11/22/2011b		14,999,037
	10,000,000	0.190%, 12/1/2011b		9,998,417
	6,200,000	0.190%, 12/20/2011b		6,198,397
	6,000,000	0.190%, 12/21/2011b		5,998,417

Principal Amount		Government Agency Debt (63.7%)a	Value
	$5,000,000	0.190%, 12/22/2011b		$4,998,654
	6,300,000	0.180%, 12/29/2011b		6,298,173
	15,000,000	0.190%, 1/3/2012b		14,995,013
	5,000,000	0.190%, 1/6/2012b		4,998,258
	11,000,000	0.190%, 1/11/2012b		10,995,878
		Total Government Agency Debt		388,545,090
Shares		Investment Company (8.6%)	Value
		AIM Investments Institutional Government and Agency Portfolio
	130,000	0.020%		130,000
		BlackRock Cash Funds
	23,542,000	0.150%		23,542,000
		Dreyfus Institutional Cash Advantage Fund
	11,510,000	0.070%		11,510,000
		DWS Money Market Series
	591,000	0.090%		591,000
		Morgan Stanley Institutional Liquidity Funds
	16,501,000	0.080%		16,501,000
		Total Investment Company		52,274,000
Principal Amount		Variable Rate Demand Note (9.2%)a	Value
		Capital Trust Agency Multifamily Housing Revenue Bonds
	11,300,000	0.150%, 11/7/2011b,c		11,300,000
		Denver, Colorado Airport System Revenue Bonds
	8,000,000	0.120%, 11/7/2011b,c		8,000,000
		Illinois Finance Authority Multifamily Housing Revenue Bonds (Villagebrook Apartments)
	5,405,000	0.220%, 11/7/2011b,c		5,405,000
		Lancaster County, Nebraska Hospital Authority No. 1 Hospital Revenue Refunding Bonds (BryanLGH Medical Center)
	8,670,000	0.120%, 11/1/2011b,c		8,670,000
	2,110,000	0.110%, 11/7/2011b,c		2,110,000
		St. Cloud, Minnesota Health Care Refunding Revenue Bonds (CentraCare Health System)
	5,935,000	0.110%, 11/7/2011b,c		5,935,000
		Tarrant County Cultural Education Facilities Finance Corporation Revenue Bonds (Methodist Hospitals of Dallas)
	14,675,000	0.150%, 11/1/2011b,c		14,675,000
		Total Variable Rate Demand Note		56,095,000
		Total Investments (at amortized cost) 99.6%		$607,707,956
		Other Assets and Liabilities, Net 0.4%		2,195,391
		Total Net Assets 100.0%		$609,903,347

The accompanying Notes to the Financial Statements are an integral part of this schedule.

4

Thrivent Financial Securities Lending

Trust Schedule of Investments as of October 31, 2011

a The interest rate shown reflects the yield, coupon rate or the discount rate at the date of purchase.

b Denotes investments that benefit from credit enhancement or liquidity support provided by a third party bank, institution or government.

c Denotes variable rate securities. Variable rate securities are securities whose yields vary with a designated market index or market rate. The rate shown is as of October 31, 2011.

Cost for federal income tax purposes $   607,707,956

Fair Valuation Measurements

The following table is a summary of the inputs used, as of October 31, 2011, in valuing Thrivent Financial Securities Lending Trust’s assets carried at fair value or amortized cost, which approximates fair value.

Investments in Securities	Total		Level 1		Level 2		Level 3
Financial Company Commercial Paper		110,793,866		–		110,793,866		–
Government Agency Debt		388,545,090		–		388,545,090		–
Investment Company		52,274,000		52,274,000		–		–
Variable Rate Demand Note		56,095,000		–		56,095,000		–
Total	$	607,707,956	$	52,274,000	$	555,433,956		$–

The accompanying Notes to the Financial Statements are an integral part of this schedule.

5

Thrivent Financial Securities Lending Trust

Statement of Assets and Liabilities

As of October 31, 2011	Securities Lending Trust
Assets
Investments at cost		$607,707,956
Investments in securities at value		607,707,956
Investments at Value		607,707,956	1
Cash		2,015,743
Dividends and interest receivable		295,663
Prepaid expenses		3,426
Total Assets		610,022,788
Liabilities
Distributions payable		56,642
Accrued expenses		28,976
Payable to affiliate		33,823
Total Liabilities		119,441
Net Assets
Capital stock (beneficial interest)		609,893,244
Accumulated undistributed net realized gain/(loss)		10,103
Total Net Assets		$609,903,347
Shares of beneficial interest outstanding		609,893,244
Net asset value per share		$1.00

¹ Securities held by the trust are valued on the basis of amortized cost, which approximates market value.

The accompanying Notes to the Financial Statements are an integral part of this schedule.

6

Thrivent Financial Securities Lending Trust

Statement of Operations

For the year ended October 31, 2011	Securities Lending Trust
Investment Income
Dividends		$79,943
Interest		1,381,492
Total Investment Income		1,461,435
Expenses
Adviser fees		333,222
Administrative service fees		90,000
Audit and legal fees		26,554
Custody fees		42,045
Insurance expenses		7,645
Printing and postage expenses		6,540
Transfer agent fees		41,608
Trustees’ fees		4,778
Other expenses		11,205
Total Expenses Before Reimbursement		563,597
Less:
Reimbursement from adviser		(194,224)
Custody earnings credit		(81)
Total Net Expenses		369,292
Net Investment Income/(Loss)		1,092,143
Realized and Unrealized Gains/(Losses)
Net realized gains/(losses) on:
Investments		10,103
Net Realized and Unrealized Gains/(Losses)		10,103
Net Increase/(Decrease) in Net Assets Resulting From Operations		$1,102,246

The accompanying Notes to the Financial Statements are an integral part of this schedule.

7

Thrivent Financial Securities Lending Trust

Statement of Changes in Net Assets

	Securities Lending Trust
For the periods ended	10/31/2011		10/31/2010
Operations
Net investment income/(loss)		$1,092,143		$1,632,972
Net realized gains/(losses)		10,103		5,215
Net Change in Net Assets Resulting From Operations		1,102,246		1,638,187
Distributions to Shareholders
From net investment income		(1,092,143)		(1,632,972)
From net realized gains		(5,215)		(50,410)
Total Distributions to Shareholders		(1,097,358)		(1,683,382)
Capital Stock Transactions
Sold		6,807,739,373		7,406,733,557
Redeemed		(6,977,241,677)		(7,373,984,449)
Total Capital Stock Transactions		(169,502,304)		32,749,108
Net Increase/(Decrease) in Net Assets		(169,497,416)		32,703,913
Net Assets, Beginning of Period		779,400,763		746,696,850
Net Assets, End of Period		$609,903,347		$779,400,763
Accumulated Undistributed Net Investment Income/(Loss)		$–		$–
Capital Stock Share Transactions
Sold		6,807,739,373		7,406,733,557
Redeemed		(6,977,241,677)		(7,373,984,449)
Total Capital Stock Share Transactions		(169,502,304)		32,749,108

The accompanying Notes to the Financial Statements are an integral part of this schedule.

8

Thrivent Financial Securities Lending Trust

Notes to Financial Statements

As of October 31, 2011

(1) 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 investments in the Trust are by affiliates of the Trust. The Trust serves as an investment vehicle for cash collateral posted in exchange for loaned securities of mutual funds sponsored by Thrivent Financial for Lutherans, the Trust’s investment adviser (“Thrivent Financial” or the “Adviser”), and its affiliates. Deutsche Bank AG serves as the lending agent to this securities lending program.

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.

(2) SIGNIFICANT ACCOUNTING POLICIES

(A) Valuation of Investments – Securities are valued on the basis of amortized cost (which approximates market 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. Investments in open-ended mutual funds are valued at their net asset value at the close of each business day. The Adviser follows procedures designed to help maintain a constant net asset value of $1.00 per share.

Financial Accounting Standards Board (FASB) guidelines require increased fair value disclosure intended to improve the consistency and comparability of fair value measurements used in financial reporting. The guidelines define fair value, establish a framework for measuring fair value in U.S. Generally Accepted Accounting Principles (“GAAP”) and expand disclosures about fair value requirements. Various inputs are summarized in three broad levels: Level 1 includes quoted prices in active markets for identical securities, typically categorized in this level are U.S. equity securities, futures and options; Level 2 includes other significant observable inputs such as quoted prices for similar securities, interest rates, prepayment speeds and credit risk, typically categorized in this level are fixed income securities, international securities, swaps and forward contracts; and Level 3 includes significant unobservable inputs such as the Fund’s own assumptions and broker evaluations in determining the fair value of investments.

(B) 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.

GAAP requires management of the Trust to make additional tax disclosures with respect to the tax effects of certain income tax positions, whether those positions were taken on previously filed tax returns or are expected to be taken on future returns. These positions must meet a “more likely than not” standard that, based on the technical merits of the position, would have a greater than 50 percent likelihood of being sustained upon examination. In evaluating whether a tax position has met the more-likely-than-not recognition threshold, management of the Trust must presume that the position will be examined by the appropriate taxing authority that has full knowledge of all relevant information.

Management of the Trust analyzed all open tax years, as defined by the statute of limitations, for all major jurisdictions. Open tax years are those that are open for examination by taxing authorities. Major jurisdictions for the Trust include U.S. Federal, Minnesota, Wisconsin, and Massachusetts as well as certain foreign countries. As of October 31, 2011, open U.S. Federal, Minnesota, Wisconsin and Massachusetts tax years include the tax years ended October 31, 2008 through 2011. Additionally, as of October 31, 2011, the tax year ended October 31, 2007 is open for Wisconsin. The Trust has no examinations in progress and none are expected at this time.

As of October 31, 2011, management of the Trust has reviewed all open tax years and major jurisdictions and concluded that there is no effect to the Trust’s tax liability, financial position or results of operations. There is no tax liability resulting from unrecognized tax benefits related to uncertain income tax positions taken or expected to be taken in future tax returns. The Trust is also not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next 12 months.

(C) Custody Earnings Credit – 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.

(D) 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.

(E) Repurchase Agreements – The Trust may engage in repurchase agreement transactions in pursuit of its investment objective. A repurchase agreement consists of a purchase and a simultaneous agreement to resell an

9

Thrivent Financial Securities Lending Trust

Notes to Financial Statements

As of October 31, 2011

investment for later delivery at an agreed upon price and rate of interest. The Trust uses a third-party custodian to maintain the collateral. If the original seller of a security subject to a repurchase agreement fails to repurchase the security at the agreed upon time, the Trust could incur a loss due to a drop in the value of the security during the time it takes the Trust to either sell the security or take action to enforce the original seller’s agreement to repurchase the security. Also, if a defaulting original seller filed for bankruptcy or became insolvent, disposition of such security might be delayed by pending legal action. The Trust may only enter into repurchase agreements with banks and other recognized financial institutions such as broker/dealers that are found by the Adviser to be creditworthy. During the year ended October 31, 2011, the Trust engaged in this type of investment.

(F) Accounting Estimates – The preparation of financial statements in conformity with GAAP requires 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.

(G) 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. Dividend income is recorded on the ex-dividend date.

(3)   FEES AND COMPENSATION PAID TO AFFILIATES

(A) Investment Advisory Fees – The Trust pays Thrivent Financial a fee for its advisory services. The annual rate of fees under the Investment Advisory Agreement is calculated at 0.045% of the average daily net assets of the Trust.

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 by the Adviser at any time.

(B) Other Fees – The Trust has entered into an administration and accounting services agreement with Thrivent Financial pursuant to which Thrivent Financial provides certain administrative and accounting personnel and services. For the year ended October 31, 2011, Thrivent Financial received aggregate fees for administrative and accounting personnel and services of $90,000 from 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 a particular series of Thrivent Mutual Funds.

Trustees not participating in the above plan received $4,913 in fees from the Trust for the year ended October 31, 2011. In addition, the Trust reimbursed unaffiliated Trustees for reasonable expenses incurred in relation to attendance at the meetings and industry conferences.

Certain officers and non-independent trustees of the Trust are employed at Thrivent Financial for Lutherans and receive no compensation from the Trust.

(C) Indirect Expenses – The Trust may invest in other mutual funds. Fees and expenses of those underlying funds are not included in the Trust’s expense ratio. The Trust indirectly bears its proportionate share of the annualized weighted average expense ratio for the underlying funds in which it invests.

(4) FEDERAL INCOME TAX INFORMATION

Distributions are based on amounts calculated in accordance with the applicable federal income tax regulations, which may differ from GAAP. To the extent that these differences are permanent in nature, GAAP requires such amounts are reclassified within the capital accounts based on their federal tax-basis treatment; temporary differences do not require reclassifications. No reclassifications were necessary at October 31, 2011.

During the year ended October 31, 2011 and the year ended October 31, 2010, the Trust distributed $1,097,358 and $1,683,382 from ordinary income, respectively. At October 31, 2011, undistributed ordinary income for tax purposes was $10,103.

Capital losses generated during the next fiscal year will be subject to the provisions of the Regulated Investment Company Modernization Act of 2010. If the losses are not reduced by gains during the next fiscal year, the losses will be carried forward with no expiration and with the short-term or long-term character of the loss retained.

(5) SUBSEQUENT EVENTS

Management of the Trust has evaluated the impact of subsequent events, and, except as already included in the Notes to Financial Statements, has determined that no additional items require disclosure.

10

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11

Thrivent Financial Securities Lending Trust

Financial Highlights

	FOR A SHARE OUSTANDING THROUGHOUT EACH PERIOD*
		Income from Investment Operations			Less Distributions From
	Net Asset Value, Beginning of Period	Net Investment Income/(Loss)	Net Realized and Unrealized Gain/(Loss) on Investments(a)	Total from Investment Operations	Net Investment Income	Net Realized Gain on Investments
SECURITIES LENDING TRUST
Year Ended 10/31/2011	$1.00	$–	$–	$–	$–	$–
Year Ended 10/31/2010	1.00	–	–	–	–	–
Year Ended 10/31/2009	1.00	0.01	–	0.01	(0.01)	–
Year Ended 10/31/2008	1.00	0.03	–	0.03	(0.03)	–
Year Ended 10/31/2007	1.00	0.05	–	0.05	(0.05)	–

^(a) 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.

* All per share amounts have been rounded to the nearest cent.

The accompanying Notes to the Financial Statements are an integral part of this schedule.

12

Thrivent Financial Securities Lending Trust

Financial Highlights - continued

				RATIOS / SUPPLEMENTAL DATA
				Ratio to Average Net Assets**		Ratios to Average Net Assets Before Expenses Waived, Credited or Paid Indirectly**
Total Distributions	Net Asset Value, End of Period	Total Return(b)	Net Assets, End of Period (in millions)	Expenses	Net Investment Income/(Loss)	Expenses	Net Investment Income/(Loss)	Portfolio Turnover Rate
$–	$1.00	0.15%	$609.9	0.05%	0.15%	0.08%	0.12%	N/A
–	1.00	0.22%	779.4	0.05%	0.21%	0.08%	0.19%	N/A
(0.01)	1.00	0.76%	746.7	0.05%	0.92%	0.06%	0.91%	N/A
(0.03)	1.00	3.38%	2,461.9	0.05%	3.36%	0.05%	3.36%	N/A
(0.05)	1.00	5.46%	5,051.1	0.05%	5.33%	0.05%	5.33%	N/A

^(b) Total investment return assumes dividend reinvestment and does not reflect any deduction for sales charges. Not annualized for periods less than one year.

** Computed on an annualized basis for periods less than one year.

The accompanying Notes to the Financial Statements are an integral part of this schedule.

13

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 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 at 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.

14

Board of Trustees and Officers

The following table provides information about the Trustees and Officers of the Trust. Each Trustee oversees each of the 25 series of the Thrivent Mutual Funds and also serves as:

• Director of Thrivent Series Fund, Inc., a registered investment company consisting of 41 portfolios that serve as underlying funds for variable contracts issued by Thrivent Financial for Lutherans (“Thrivent Financial”) and Thrivent Life Insurance Company and investment options in the retirement plan offered by Thrivent Financial; and

• Trustee of Thrivent Mutual Funds, a registered investment company consisting of 25 series.

The 25 series of Thrivent Mutual Funds, the 41 portfolios of Thrivent Series Fund, Inc. and Thrivent Financial Securities Lending Trust are referred to herein as the “Fund Complex.” The Statement of Additional Information includes additional information about the Trustees and is available, without charge, by calling 1-800-847-4836.

Interested Trustee (1)

Name, Address and Age	Position with Trust and Length of Service (2)	Number of Portfolios in Fund Complex Overseen by Trustee	Principal Occupation During the Past 5 Years	Other Directorships Held Currently and Within Past 5 Years
Russell W. Swansen 625 Fourth Avenue South Minneapolis, MN Age 54	President since 2008; Trustee since 2009; Vice President from 2004 until 2008	67	Senior Vice President, Chief Investment Officer, Thrivent Financial since 2003	None

Independent Trustees (3)

Name, Address and Age	Position with Trust and Length of Service (2)	Number of Portfolios in Fund Complex Overseen by Trustee	Principal Occupation During the Past 5 Years	Other Directorships Held Currently and Within Past 5 Years
F. Gregory Campbell 625 Fourth Avenue South Minneapolis, MN Age 71	Trustee from 2004 until December 2011	67	President, Carthage College	Currently, Director of Optique Funds, Inc., an investment company consisting of one portfolio; Kenosha Hospital and Medical Center, Prairie School Board and United Health Systems Board. Previously, Director of the National Association of Independent Colleges and Universities

15

Additional Information

(unaudited)

Name, Address and Age	Position with Trust and Length of Service (2)	Number of Portfolios in Fund Complex Overseen by Trustee	Principal Occupation During the Past 5 Years	Other Directorships Held Currently and Within Past 5 Years
Janice B. Case 625 Fourth Avenue South Minneapolis, MN Age 59	Trustee since 2011	67	Independent Trustee of North American Electric Reliability Corporation (self-regulatory organization) since 2008; Independent Director of Western Electricity Coordinating Council (nonprofit corporation coordinating and promoting bulk electric system reliability) from 2002 through 2008; Independent Director/Trustee of three affiliated family of funds (AEGON/Transamerica Series Trust (consisted of 40 funds), Transamerica IDEX Funds (consisted of 53 funds) and Transamerica Income Shares, Inc. (consisted of one fund)) from 2001 through 2007; Independent Director of Central Vermont Public Service Corporation (electric utility) from 2001 through 2007; Advisory Board Director of AmSouth Bank, N.A. from 1997 through 2007.	Please see principal occupation during the past 5 years
Richard L. Gady 625 Fourth Avenue South Minneapolis, MN Age 68	Trustee since 2004	67	Retired	None
Richard A. Hauser 625 Fourth Avenue South Minneapolis, MN Age 68	Trustee since 2004	67	Vice President and Assistant General Counsel, Boeing Company since 2007; President, National Legal Center for the Public Interest from 2004 to 2007	Previously, Director of Washington Hospital Center

16

Board of Trustees and Officers

Name, Address and Age	Position with Trust and Length of Service (2)	Number of Portfolios in Fund Complex Overseen by Trustee	Principal Occupation During the Past 5 Years	Other Directorships Held Currently and Within Past 5 Years
Marc S. Joseph 625 Fourth Avenue South Minneapolis, MN Age 51	Trustee since 2011	67	Managing Director of GraniteRidgeLLP (consulting and advisory firm) since 2009; Managing Director of MJosephLLC (private investing and consulting firm) since 2004	None
Paul R. Laubscher 625 Fourth Avenue South Minneapolis, MN Age 55	Trustee since 2009	67	Portfolio Manager for U.S. and international equity portfolios and private real estate portfolios of IBM Retirement Funds	None
Connie M. Levi 625 Fourth Avenue South Minneapolis, MN Age 72	Chair from 2009 until December 2011; Trustee from 2004 until December 2011	67	Retired	None
James A. Nussle 625 Fourth Avenue South Minneapolis, MN Age 51	Trustee since 2011	67	President and Chief Operating Officer of Growth Energy (trade association) since 2010; Advisory Board member of AVISTA Capital Partners (private equity firm) since 2010; Contributor on CNBC (media) since 2010; CEO of The Nussle Group LLC (consulting firm) since 2009; Director of the Office of Management and Budget from 2007 through 2009; CEO of The Nussle Group, Navigating Strategies LLC (consulting firm) from January 2007 through September 2007; and Member of Congress in U.S. House of Representatives from 1991 through 2007	Currently, Advisory Board member of AVISTA Capital Partners
Douglas D. Sims 625 Fourth Avenue South Minneapolis, MN Age 65	Trustee since 2006	67	Retired	Currently, Director of Keystone Neighbourhood Company, Keystone Center and Keystone Science School. Previously, Director of the Center for Corporate Excellence

17

Additional Information

(unaudited)

Name, Address and Age	Position with Trust and Length of Service (2)	Number of Portfolios in Fund Complex Overseen by Trustee	Principal Occupation During the Past 5 Years	Other Directorships Held Currently and Within Past 5 Years
Constance L. Souders 625 Fourth Avenue South Minneapolis, MN Age 61	Trustee since 2007	67	Retired; previously Director from 1983 to 2007, Executive Vice President from 2001 to 2007 and AML Compliance Officer from 2003 to 2007 of Harbor Capital Advisors, Inc.; Director from 1992 to 2007, President from 2000 to 2007 and AML Compliance Officer from 2003 to 2007 of Harbor Services Group, Inc.; Director from 1992 to 2007, Executive Vice President from 2001 to 2007, Chief Compliance Officer from 2004 to 2007, AML Compliance Officer from 2003 to 2007, Supervisory Registered Principal from 2000 to 2007, of Harbor Funds Distributors, Inc.; Vice President from 2000 to 2007 of Harbor Funds	None

18

Board of Trustees and Officers

Executive Officers

Name, Address and Age	Position with Trust and Length of Service (2)	Principal Occupation During the Past 5 Years
Russell W. Swansen 625 Fourth Avenue South Minneapolis, MN Age 54	President since 2008; Trustee since 2009; Vice President from 2004 until 2008	Senior Vice President, Chief Investment Officer, Thrivent Financial since 2003
David S. Royal 625 Fourth Avenue South Minneapolis, MN Age 40	Secretary and Chief Legal Officer since 2006	Vice President and Managing Counsel, since 2006 and Interim Investment Company and Investment Adviser Chief Compliance Officer from May 2010 until December 2010, Thrivent Financial
Gerard V. Vaillancourt 625 Fourth Avenue South Minneapolis, MN Age 44	Treasurer and Principal Accounting Officer since 2005	Vice President, Mutual Fund Accounting Thrivent Financial since 2006
Ted S. Dryden 625 Fourth Avenue South Minneapolis, MN Age 46	Chief Compliance Officer since 2010	Investment Company and Investment Adviser Chief Compliance Officer, Thrivent Financial since December 2010; Chief Compliance Officer, OptumHealth Financial Services from 2009 to 2010; Vice President, Asset Management Compliance, Ameriprise Financial from 2006 to 2009
Janice M. Guimond 625 Fourth Avenue South Minneapolis, MN Age 47	Vice President since 2005	Vice President, Investment Operations, Thrivent Financial since 2004
Karl D. Anderson 625 Fourth Avenue South Minneapolis, MN Age 50	Vice President since 2006	Vice President, Products, Thrivent Financial since 2005
Kathleen M. Koelling 4321 North Ballard Road Appleton, WI Age 34	Anti-Money Laundering Officer since 2011	Privacy and Anti-Money Laundering Officer, Thrivent Financial since 2010; Senior Counsel, Thrivent Financial since 2002
Mark D. Anema 625 Fourth Avenue South Minneapolis, MN Age 50	Assistant Vice President since 2007	Vice President, Accumulation and Retirement Income Solutions, Thrivent Financial since 2007; Vice President, Strategic Planning, Thrivent Financial from 2004 to 2007
James M. Odland 625 Fourth Avenue South Minneapolis, MN Age 56	Assistant Secretary since 2006	Vice President and Managing Counsel, Thrivent Financial since 2005
Rebecca A. Paulzine 625 Fourth Avenue South Minneapolis, MN Age 32	Assistant Secretary since 2010	Counsel, Thrivent Financial since January 2010; Associate, Faegre & Benson LLP from 2005 to December 2009
John L. Sullivan 625 Fourth Avenue South Minneapolis, MN Age 40	Assistant Secretary since 2007	Senior Counsel, Thrivent Financial since 2007; Senior Counsel, Division of Investment Management of the SEC from 2000 to 2007

19

Additional Information

(unaudited)

Name, Address and Age	Position with Trust and Length of Service (2)	Principal Occupation During the Past 5 Years
Todd J. Kelly 4321 North Ballard Road Appleton, WI Age 42	Assistant Treasurer since 2004	Director, Fund Accounting Operations, Thrivent Financial since 2002
Sarah L. Bergstrom 625 Fourth Avenue South Minneapolis, MN Age 34	Assistant Treasurer since 2007	Director, Fund Accounting Administration, Thrivent Financial since 2007; Manager, Fund Accounting Administration, Thrivent Financial from 2005 to 2007

(1) “Interested person” of the Trust as defined in the Investment Company Act of 1940 by virtue of positions with Thrivent Financial. Mr. Swansen is considered an interested person because of his principal occupation with Thrivent Financial.

(2) Each Trustee generally serves an indefinite term until her or his successor is duly elected and qualified. Officers serve at the discretion of the board until their successors are duly appointed and qualified.

(3) The Trustees other than Mr. Swansen are not “interested persons” of the Trust and are referred to as “Independent Trustees.”

20

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21

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 objectives,

risks, charges and expenses.

Item 2. Code of Ethics

As of the end of the period covered by this report, registrant has adopted a code of ethics (as defined in Item 2 of Form N-CSR) applicable to registrant’s Principal Executive Officer, Principal Financial Officer and Principal Accounting Officer. No waivers were granted to such code of ethics during the period covered by this report. A copy of this code of ethics is filed as an exhibit to this Form N-CSR.

Item 3. Audit Committee Financial Expert

Registrant’s Board of Trustees has determined that Constance L. Souders, an independent trustee, is the Audit Committee Financial Expert.

Item 4. Principal Accountant Fees and Services

(a) Audit Fees

The aggregate fees billed by registrant’s independent public accountants, PricewaterhouseCoopers LLP (“PwC”), for each of the last two fiscal years for professional services rendered in connection with the audit of registrant’s annual financial statements or services that are normally provided by the accountant in connection with statutory and regulatory filings or engagements were $13,888 for the year ended October 31, 2011 and $13,888 for the year ended October 31, 2010.

(b) Audit-Related Fees

The aggregate fees PwC billed to registrant for each of the last two fiscal years for assurance and other services that are reasonably related to the performance of registrant’s audit and are not reported under Item 4(a) were $0 for the year ended October 31, 2011 and $0 for the year ended October 31, 2010. The aggregate fees PwC billed to registrant’s investment adviser and any entity controlling, controlled by, or under common control with registrant’s investment adviser for assurance and other services directly related to the operations and financial reporting of registrant were $0 for the year ended October 31, 2011 and $0 for the year ended October 31, 2010.

(c) Tax Fees

The aggregate tax fees PwC billed to registrant for each of the last two fiscal years for tax compliance, tax advice and tax planning services were $4,980 for the year ended October 31, 2011 and $4,730 for the year ended October 31, 2010. The aggregate tax fees PwC billed to registrant’s investment adviser and any entity controlling, controlled by, or under common control with registrant’s investment adviser for services directly related to the operations and financial reporting of registrant were $0 for the year ended October 31, 2011 and $0 for the year ended October 31, 2010.

(d) All Other Fees

The aggregate fees PwC billed to registrant for each of the last two fiscal years for products and services provided, other than the services reported in paragraphs (a) through (c) of this item, were $0 for the years ended October 31, 2011 and October 31, 2010. The aggregate fees PwC billed to registrant’s investment adviser and any entity controlling, controlled by, or under common control with registrant’s investment adviser for products and services provided, other than the services reported in paragraphs (a) through (c) of this item, were $1,800 for the year ended October 31, 2011 and $1,500 for the year ended October 31, 2010. These payments were for access to a PwC-sponsored online library that provides interpretive guidance regarding U.S. and foreign accounting standards. These figures are also reported in response to item 4(g) below.

(e) Registrant’s audit committee charter provides that the audit committee (comprised of the independent Trustees of registrant) is responsible for pre-approval of all auditing services performed for the registrant. The audit committee also is responsible for pre-approval (subject to the de minimis exceptions for non-audit services described in Section 10A(i)(1)(B) of the Securities Exchange Act of 1934) of all non-auditing services performed for the registrant or an affiliate of registrant. In addition, registrant’s audit committee charter permits a designated member of the audit committee to pre-approve, between meetings, one or more audit or non-audit service projects, subject to an expense limit and notification to the audit committee at the next committee meeting. Registrant’s audit committee pre-approved all fees described above that PwC billed to registrant.

(f) Less than 50% of the hours billed by PwC for auditing services to registrant for the fiscal year ended October 31, 2011 was for work performed by persons other than full-time permanent employees of PwC.

(g) The aggregate non-audit fees billed by PwC to registrant and to registrant’s investment adviser and any entity controlling, controlled by, or under common control with registrant’s investment adviser for the fiscal years ending October 31, 2011 and October 31, 2010 were $1,800 and $1,500 respectively. These figures are also reported in response to item 4(d) above.

(h) Registrant’s audit committee has considered the non-audit services provided to the registrant and registrant’s investment adviser and any entity controlling, controlled by, or under common control with registrant’s investment adviser as described above and determined that these services do not compromise PwC’s independence.

Item 5. Audit Committee of Listed Registrants

Not applicable.

Item 6. Schedule of Investments

(a) Registrant’s Schedule of Investments is included in the report to shareholders filed under Item 1.

(b) Not applicable to this filing.

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) The code of ethics pursuant to Item 2 is attached hereto.

(b) 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: December 29, 2011	THRIVENT FINANCIAL SECURITIES LENDING TRUST
	By:
		/s/ Russell W. Swansen
		Russell W. Swansen
		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: December 29, 2011	By:
		/s/ Russell W. Swansen
		Russell W. Swansen
		President
Date: December 29, 2011	By:
		/s/ Gerard V. Vaillancourt
		Gerard V. Vaillancourt
		Treasurer