ast-smtrf_nq.htm

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED MANAGEMENT INVESTMENT COMPANY

Investment Company Act file number 811-07959

Advisors Series Trust

(Exact name of registrant as specified in charter)

615 East Michigan Street

Milwaukee, WI 53202

(Address of principal executive offices) (Zip code)

Douglas G. Hess, President

Advisors Series Trust

c/o U.S. Bancorp Fund Services, LLC

777 East Wisconsin Avenue, 5th Floor

Milwaukee, WI 53202

(Name and address of agent for service)

(414) 765-6609

Registrant's telephone number, including area code

Date of fiscal year end: November 30, 2013

Date of reporting period: August 31, 2013

Item 1. Schedules of Investments.

SEMPER MBS TOTAL RETURN FUND
Schedule of Investments - August 31, 2013 (Unaudited)

Principal
Amount/Shares			Value
		ASSET-BACKED SECURITIES - 7.9%
		Merrill Lynch Mortgage Investors Trust
$	217,529	3.346%, due 5/25/33, Series 2003-A3, Class 1A	$	199,991
		Renaissance Home Equity Loan Trust
	158,669	5.675%, due 6/25/37, Series 2007-2, Class AF2 (a)		81,715
		Total Asset-Backed Securities (cost $81,734)		281,706

		MORTGAGE-BACKED SECURITIES 32.2%
		CS First Boston Commercial Mortgage Trust
	110,823	7.50%, due 6/25/20, Series 1997-2, Class A (d)		111,377
		FNMA REMIC Trust
	243,184	2.00%, due 10/25/40, Series 2013-53, Class CB		214,154
		GNMA REMIC Trust
	99,175	1.878%, due 3/16/46, Series 2013-46, Class AC (a)		92,481
		JP Morgan Mortgage Trust
	174,848	6.00%, due 7/25/37, Series 2007-S3, Class 1A97		149,058
		Merrill Lynch Alternative Note Asset Trust
	236,040	6.00%, due 3/25/37, Series 2007-F1, Class 2A6		167,755
		Morgan Stanley Capital I Trust
	150,000	5.614%, due 11/12/49, Series 2007-T25, Class B (d)		124,500
		Wachovia Commercial Mortgage Trust
	150,000	5.433%, due 7/15/42, Series 2005-C20, Class E (a)(d)		134,625
	150,000	5.556%, due 12/15/44, Series 2005-C22, Class AJ		147,375
		Total Mortgage-Backed Securities (cost $1,334,886)		1,141,325

		U.S. GOVERNMENT AGENCIES - 44.5%
		FNMA TBA
	500,000	3.50%, due 10/15/25 (b)		521,641
	500,000	4.50%, due 10/15/41 (b)		526,972
		GNMA TBA
	500,000	4.50%, due 10/15/43 (b)		530,625
		Total U.S. Government Agencies (cost $1,579,336)		1,579,238

		SHORT-TERM INVESTMENTS - 84.6%
	3,000,560	First American Prime Obligations Fund - Class Z, 0.01% (c)		3,000,560
		Total Short-Term Investments (cost $3,000,560)		3,000,560

		Total Investments -169.2% (cost $5,996,516)		6,002,829
		Liabilities less Other Assets - (69.2)%		(2,456,228	)
		TOTAL NET ASSETS - 100.0%	$	3,546,601

(a)		Variable rate security. Rate shown reflects the rate in effect at August 31, 2013.
(b)		Security purchased on a when-issued basis. As of August 31, 2013, the total cost of investments purchased on a when-issued basis was 1,579,336 or 44.5% of total net assets.
(c)		Rate shown is the 7-day annualized yield as of August 31, 2013.
(d)		Security purchased within the terms of a private placement memorandum, exempt from registration under Rule 144A of the Securites Act of 1933, as amended, and may be sold only to dealers in the program or other "qualified institutional buyers." The Fund's adviser has determined that such security is liquid in accordance with the liquidity guidelines approved by the Board of Trustees of Advisors Series Trust. As of August 31, 2013, the value of these investments was $370,502 or 10.4% of total net assets.
FNMA -		Federal National Mortgage Association
GNMA -		Government National Mortgage Association
TBA -		To Be Announced

Semper MBS Total Return Fund

Notes to the Schedule of Investments

August 31, 2013 (Unaudited)

Note 1 – Securities Valuation

The Semper MBS Total Return Fund’s (the “Fund”) investments in securities are carried at their fair value.

Fixed income securities are valued at market on the basis of valuations furnished by an independent pricing service which utilizes dealer-supplied valuations, reported trades and formula-based techniques. The pricing service may consider recently executed transactions in securities of the issuer or comparable issuers, market price quotations (where observable), bond spreads, and fundamental data relating to the issuer. Most fixed income securities are categorized in level 2 of the fair value hierarchy.

Short-term securities having a maturity of 60 days or less are valued at their amortized cost, which approximates market value. Short-term securities which mature after 60 days are valued at market. To the extent the inputs are observable and timely, these securities would be classified in level 2 of the fair value hierarchy.

Investments in open-end mutual funds are valued at their net asset value per share and are typically categorized in level 1 of the fair value hierarchy.

Securities for which market quotations are not readily available or if the closing price does not represent fair value, are valued following procedures approved by the Board of Trustees (“Board”). These procedures consider many factors, including the type of security, size of holding, trading volume and news events. Depending on the relative significance of the valuation inputs, these securities may be classified in either level 2 or level 3 of the fair value hierarchy.

The Board has delegated day-to-day valuation issues to a Valuation Committee which is comprised of one or more trustees and representatives from U.S. Bancorp Fund Services, LLC, the Fund’s administrator. The function of the Valuation Committee is to value securities where current and reliable market quotations are not readily available. All actions taken by the Valuation Committee are reviewed and ratified by the Board.

The Fund has adopted authoritative fair value accounting standards which establish an authoritative definition of fair value and set out a hierarchy for measuring fair value. These standards require additional disclosures about the various inputs and valuation techniques used to develop the measurements of fair value, a discussion in changes in valuation techniques and related inputs during the period and expanded disclosure of valuation levels for majority security types. These inputs are summarized in the three broad levels listed below:

·	Level 1 – Unadjusted quoted prices in active markets for identical assets or liabilities that the Funds have the ability to access.

Level 2 - Observable inputs other than quoted prices included in level 1 that are observable for the asset or liability, either directly or indirectly. These inputs may include quoted prices for the identical instrument on an inactive market, prices for similar instruments, interest rates, prepayment speeds, credit risk, yield curves, default rates and similar data.

·	Level 3 - Unobservable inputs for the asset or liability, to the extent relevant observable inputs are not available, representing the Funds’ own assumptions about the assumptions a market participant would use in valuing the asset or liability, and would be based on the best information available.

The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. The following is a summary of the inputs used to value the Fund’s securities as of August 31, 2013:

	Level 1		Level 2		Level 3		Total
Fixed Income
Asset-Backed Securities	$	-	$	281,706	$	-	$	281,706
Mortgage-Backed Securities		-		1,141,325		-		1,141,325
U.S. Government Agencies		-		1,579,238		-		1,579,238
Total Fixed Income		-		3,002,269		-		3,002,269
Short-Term Investments		3,000,560		-		-		3,000,560
Total Investments	$	3,000,560	$	3,002,269	$	-	$	6,002,829

Refer to the Fund’s Schedule of Investments for additional information. Transfers between levels are recognized at August 31, 2013, the end of the reporting period. The Fund recognized no transfers to/from Level 1 or Level 2. There were no Level 3 securities held in the Fund during the period ended August 31, 2013.

Note 2 – Federal Income Taxes

The cost basis of investments for federal income tax purposes at August 31, 2013 was as follows*:

Cost of investments	$	5,996,516

Gross unrealized appreciation	$	6,624
Gross unrealized depreciation		(311	)
Net unrealized appreciation	$	6,313

* Because tax adjustments are calculated annually, the above table does not include tax adjustments.

Item 2. Controls and Procedures.

(a)

The Registrant’s President/Principal Executive Officer and Treasurer/Principal Financial Officer have concluded that the Registrant's disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940 (the “1940 Act”)) (17 CFR 270.30a-3(c)) are effective as of a date within 90 days of the filing date of the report that includes the disclosure required by this paragraph, based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act (17 CFR 270.30a-3(b)) and Rule 13a-15(b) or Rule 15d-15(b) under the Securities Exchange Act of 1934, as amended (17 CFR 240.13a-15(b) or 240.15d-15(d)).

(b)

There were no changes in the Registrant's internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) (17 CFR 270.30a-3(d)) that occurred during the Registrant's last fiscal quarter that has materially affected, or are reasonably likely to materially affect, the Registrant's internal control over financial reporting.

Item 3. Exhibits.

Separate certifications for each principal executive officer and principal financial officer of the registrant as required by Rule 30a-2(a) under the 1940 Act (17 CFR 270.30a-2(a)). Filed herewith.