N-Q 1 wbi_n-q.htm QUARTERLY NOTICE OF PORTFOLIO HOLDINGS
As filed with the Securities and Exchange Commission on April 28, 2017



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, 2017



Date of reporting period:  February 28, 2017

 
Item 1. Schedules of Investments.
 
WBI Tactical BA Fund
Schedule of Investments
February 28, 2017 (Unaudited)
 
Shares
  
COMMON STOCKS - 57.45%
  
Value
  
   
Advertising Agencies - 3.16%
      
 
10,216
  
Omnicom Group, Inc.
  
$
869,382
  
     
Chemical Manufacturing - 3.69%
        
 
5,777
  
AbbVie, Inc.
    
357,250
  
 
8,381
  
E. I. du Pont de Nemours & Co.
    
658,244
  
           
1,015,494
  
     
Commercial Banking - 2.38%
        
 
15,970
  
Renasant Corp.
    
655,409
  
     
Computer and Electronic Product Manufacturing - 1.82%
        
 
16,105
  
HP, Inc.
    
279,744
  
 
1,225
  
International Business Machines Corp.
    
220,279
  
           
500,023
  
     
Credit Intermediation and Related Activities - 5.91%
        
 
8,267
  
Glacier Bancorp, Inc.
    
305,218
  
 
59,918
  
Huntington Bancshares, Inc.
    
847,240
  
 
11,499
  
KB Financial Group, Inc. - ADR
    
470,539
  
           
1,622,997
  
     
Electrical Equipment, Appliance, and Component Manufacturing - 1.60%
        
 
15,935
  
Corning, Inc.
    
439,965
  
     
Fabricated Metal Product Manufacturing - 1.92%
        
 
4,896
  
LCI Industries
    
527,299
  
     
Insurance Carriers and Related Activities - 8.00%
        
 
8,394
  
Aflac, Inc.
    
607,306
  
 
7,719
  
Arthur J. Gallagher & Co.
    
439,597
  
 
8,335
  
Chubb Ltd. (a)
    
1,151,647
  
           
2,198,550
  
     
Merchant Wholesalers, Durable Goods - 2.96%
        
 
5,490
  
Watsco, Inc.
    
814,002
  
     
Miscellaneous Manufacturing - 4.87%
        
 
9,120
  
Hasbro, Inc.
    
883,454
  
 
18,792
  
Movado Group, Inc.
    
455,706
  
           
1,339,160
  
     
Motor Vehicle and Parts Dealers - 2.31%
        
 
12,617
  
Penske Automotive Group, Inc.
    
634,635
  
     
Other Direct Selling Establishments - 1.86%
        
 
8,485
  
Tupperware Brands Corp.
    
512,409
  
     
Paper Manufacturing - 2.38%
        
 
7,073
  
Packaging Corp. of America
    
653,757
  
     
Petroleum and Coal Products Manufacturing - 0.87%
        
 
3,517
  
Valero Energy Corp.
    
238,980
  
     
Saw Blade and Handtool Manufacturing - 0.92%
        
 
1,983
  
Stanley Black & Decker, Inc.
    
252,139
  
     
Telecommunications - 2.12%
        
 
13,964
  
AT&T, Inc.
    
583,556
  
     
Transportation Equipment Manufacturing - 1.81%
        
 
4,410
  
United Technologies Corp.
    
496,346
  
     
Utilities - 8.87%
        
 
34,729
  
CenterPoint Energy, Inc.
    
948,796
  
 
 
16,253
  
PPL Corp.
    
599,411
  
 
19,348
  
Public Service Enterprise Group, Inc.
    
889,621
  
           
2,437,828
  
               
     
TOTAL COMMON STOCKS (Cost $15,222,423)
    
15,791,931
  
               
     
EXCHANGE-TRADED FUNDS - 21.97%
        
 
12,149
  
First Trust Enhanced Short Maturity ETF
    
728,697
  
 
9,796
  
iShares Agency Bond ETF
    
1,107,536
  
 
13,212
  
iShares U.S. Preferred Stock ETF
    
511,304
  
 
12,911
  
PowerShares Chinese Yuan Dim Sum Bond Portfolio ETF
    
287,268
  
 
24,207
  
PowerShares International Corporate Bond Portfolio ETF
    
598,639
  
 
29,454
  
SPDR Bloomberg Barclays International Corporate Bond ETF
    
918,670
  
 
22,027
  
SPDR Bloomberg Barclays Short Term Treasury ETF
    
663,674
  
 
13,382
  
Vanguard Intermediate-Term Government Bond ETF
    
861,266
  
 
5,048
  
WisdomTree Emerging Markets Corporate Bond Fund
    
361,588
  
               
     
TOTAL EXCHANGE-TRADED FUNDS (Cost $6,032,774)
    
6,038,642
  
               
Principal
  
 
        
Amount
  
CORPORATE BONDS - 3.48%
        
     
Ambulatory Health Care Services - 0.64%
        
     
Laboratory Corp. of America Holdings
        
 
170,000
  
3.75%, 8/23/2022
    
175,956
  
     
Machinery Manufacturing - 1.76%
        
     
Kennametal, Inc.
        
 
490,000
  
2.65%, 11/01/2019
    
485,474
  
     
Miscellaneous Manufacturing - 0.35%
        
     
Zimmer Biomet Holdings, Inc.
        
 
90,000
  
4.625%, 11/30/2019
    
95,650
  
     
Publishing Industries (except Internet) - 0.73%
        
     
Thomson Reuters Corp.
        
 
193,000
  
3.95%, 9/30/2021
    
200,931
  
               
     
TOTAL CORPORATE BONDS (Cost $957,507)
    
958,011
  
               
     
U.S. TREASURY NOTES - 11.96%
        
 
1,800,000
  
1.50%, 1/31/2022
    
1,766,742
  
 
800,000
  
1.25%, 7/31/2023
    
757,906
  
 
800,000
  
1.375%, 9/30/2023
    
762,063
  
           
3,286,711
  
               
     
TOTAL U.S. TREASURY NOTES (Cost $3,285,165)
    
3,286,711
  
               
Shares
  
SHORT-TERM INVESTMENTS - 5.51%
        
 
1,513,478
  
Invesco STIT-Treasury Portfolio - Institutional Class, 0.41% (b)
    
1,513,478
  
     
Total Short-Term Investments (Cost $1,513,478)
    
1,513,478
  
               
     
TOTAL INVESTMENTS IN SECURITIES (Cost $27,011,347) - 100.37%
    
27,588,773
  
     
Liabilities in Excess of Other Assets - (0.37)%
    
(102,743)
 
     
NET ASSETS - 100.00%
  
$
27,486,030
  
   
               
ADR -
  
American Depositary Receipt
        
ETF -
  
Exchange-Traded Fund
        
(a)
  
U.S. traded security of a foreign issuer.
        
(b)
  
Rate shown is the 7-day annualized yield as of February 28, 2017.
        

WBI Tactical BP Fund
Schedule of Investments
February 28, 2017 (Unaudited)
 
Shares
  
COMMON STOCKS - 47.79%
  
Value
  
   
Administrative and Support Services - 0.89%
      
 
15,638
  
Navient Corp.
  
$
240,982
  
     
Chemical Manufacturing - 6.69%
        
 
7,958
  
E. I. du Pont de Nemours & Co.
    
625,021
  
 
8,930
  
Kimberly-Clark Corp.
    
1,183,671
  
           
1,808,692
  
     
Computer and Electronic Product Manufacturing - 6.06%
        
 
4,654
  
Apple, Inc.
    
637,551
  
 
13,078
  
Texas Instruments, Inc.
    
1,002,036
  
           
1,639,587
  
     
Fabricated Metal Product Manufacturing - 3.05%
        
 
7,651
  
LCI Industries
    
824,013
  
     
Insurance Carriers and Related Activities - 3.18%
        
 
3,594
  
Chubb Ltd. (a)
    
496,583
  
 
13,109
  
Zurich Insurance Group AG - ADR
    
362,660
  
           
859,243
  
     
Merchant Wholesalers, Durable Goods - 3.70%
        
 
6,742
  
Watsco, Inc.
    
999,636
  
     
Miscellaneous Manufacturing - 2.55%
        
 
7,118
  
Hasbro, Inc.
    
689,521
  
     
Motion Picture and Sound Recording - 1.01%
        
 
12,650
  
Regal Entertainment Group - Class A
    
272,987
  
     
Motor Vehicle and Parts Dealers - 2.19%
        
 
11,759
  
Penske Automotive Group, Inc.
    
591,478
  
     
Other Direct Selling Establishments - 1.23%
        
 
5,512
  
Tupperware Brands Corp.
    
332,870
  
     
Pipeline Transportation - 0.97%
        
 
4,675
  
Targa Resources Corp.
    
264,138
  
     
Tax Preparation Services - 2.58%
        
 
33,948
  
H&R Block, Inc.
    
697,971
  
     
Telecommunications - 1.97%
        
 
12,770
  
AT&T, Inc.
    
533,658
  
     
Transportation Equipment Manufacturing - 2.40%
        
 
5,763
  
United Technologies Corp.
    
648,626
  
     
Utilities - 9.32%
        
 
13,374
  
CenterPoint Energy, Inc.
    
365,378
  
 
13,102
  
Hawaiian Electric Industries, Inc.
    
436,035
  
 
15,869
  
PPL Corp.
    
585,249
  
 
24,627
  
Public Service Enterprise Group, Inc.
    
1,132,348
  
           
2,519,010
  
               
     
TOTAL COMMON STOCKS (Cost $12,459,318)
    
12,922,412
  
               
     
EXCHANGE-TRADED FUNDS - 47.32%
        
 
11,947
  
First Trust Enhanced Short Maturity ETF
    
716,581
  
 
23,626
  
Guggenheim BulletShares 2022 Corporate Bond ETF
    
498,390
  
 
9,618
  
iShares Agency Bond ETF
    
1,087,411
  
 
23,263
  
iShares iBoxx $ High Yield Corporate Bond Fund
    
2,053,891
  
 
12,971
  
iShares U.S. Preferred Stock ETF
    
501,978
  
 
12,273
  
PowerShares Chinese Yuan Dim Sum Bond Portfolio ETF
    
273,073
  
 
23,223
  
PowerShares International Corporate Bond Portfolio ETF
    
574,305
  
 
45,157
  
SPDR Bloomberg Barclays Intermediate Term Corporate Bond ETF
    
1,546,176
  
 
28,733
  
SPDR Bloomberg Barclays International Corporate Bond ETF
    
896,182
  
 
72,246
  
SPDR Bloomberg Barclays Short Term High Yield Bond ETF
    
2,033,002
  
 
21,558
  
SPDR Bloomberg Barclays Short Term Treasury ETF
    
649,543
  
 
18,499
  
Vanguard Intermediate-Term Corporate Bond ETF
    
1,602,383
  
 
5,065
  
WisdomTree Emerging Markets Corporate Bond Fund
    
362,806
  
               
     
TOTAL EXCHANGE-TRADED FUNDS (Cost $12,647,077)
    
12,795,721
  
 
Shares
  
SHORT-TERM INVESTMENTS - 5.11%
      
 
1,380,261
  
Invesco STIT-Treasury Portfolio - Institutional Class, 0.41% (b)
    
1,380,261
  
     
Total Short-Term Investments (Cost $1,380,261)
    
1,380,261
  
               
     
TOTAL INVESTMENTS IN SECURITIES (Cost $26,486,656) - 100.22%
    
27,098,394
  
     
Liabilities in Excess of Other Assets - (0.22)%
    
(60,325)
 
     
NET ASSETS - 100.00%
  
$
27,038,069
  
               
               
ADR -
  
American Depositary Receipt
        
ETF -
  
Exchange-Traded Fund
        
(a)
  
U.S. traded security of a foreign issuer.
        
(b)
  
Rate shown is the 7-day annualized yield as of February 28, 2017.
        

WBI Tactical DI Fund
Schedule of Investments
February 28, 2017 (Unaudited)
 
Shares
  
COMMON STOCKS - 79.45%
  
Value
  
   
Administrative and Support Services - 6.46%
      
 
2,143
  
Navient Corp.
  
$
33,024
  
 
3,438
  
Randstad Holding NV - ADR
    
99,977
  
 
2,717
  
West Corp.
    
64,963
  
           
197,964
  
     
Advertising Agencies - 1.78%
        
 
2,267
  
Interpublic Group of Cos., Inc.
    
54,635
  
     
Ambulatory Health Care Services - 1.43%
        
 
449
  
Quest Diagnostics, Inc.
    
43,751
  
     
Chemical Manufacturing - 5.92%
        
 
847
  
E. I. du Pont de Nemours & Co.
    
66,523
  
 
1,662
  
Trinseo S.A. (a)
    
114,928
  
           
181,451
  
     
Computer and Electronic Product Manufacturing - 10.82%
        
 
1,028
  
Apple, Inc.
    
140,827
  
 
4,140
  
HP, Inc.
    
71,912
  
 
1,549
  
Texas Instruments, Inc.
    
118,684
  
           
331,423
  
     
Credit Intermediation and Related Activities - 4.00%
        
 
932
  
Ameriprise Financial, Inc.
    
122,558
  
     
Fabricated Metal Product Manufacturing - 4.15%
        
 
309
  
Lincoln Electric Holdings, Inc.
    
26,021
  
 
653
  
Parker-Hannifin Corp.
    
101,110
  
           
127,131
  
     
Food Services and Drinking Places - 0.93%
        
 
176
  
Cracker Barrel Old Country Store, Inc.
    
28,334
  
     
Insurance Carriers and Related Activities - 13.71%
        
 
443
  
Everest Re Group, Ltd. (a)
    
104,167
  
 
2,147
  
Hartford Financial Services Group, Inc.
    
104,967
  
 
1,184
  
Marsh & McLennan Cos., Inc.
    
87,000
  
 
1,013
  
Travelers Cos., Inc.
    
123,829
  
           
419,963
  
     
Investment Banking and Securities Dealing - 0.85%
        
 
882
  
Greenhill & Co, Inc.
    
26,063
  
     
Merchant Wholesalers, Durable Goods - 3.84%
        
 
794
  
Watsco, Inc.
    
117,726
  
     
Motion Picture and Sound Recording - 0.75%
        
 
1,069
  
Regal Entertainment Group - Class A
    
23,069
  
     
Other Direct Selling Establishments - 1.59%
        
 
806
  
Tupperware Brands Corp.
    
48,674
  
     
Paper Manufacturing - 4.50%
        
 
1,986
  
Greif, Inc. - Class A
    
113,261
  
 
267
  
Packaging Corp. of America
    
24,679
  
           
137,940
  
     
Petroleum and Coal Products Manufacturing - 2.78%
        
 
589
  
Marathon Petroleum Corp.
    
29,214
  
 
824
  
Valero Energy Corp.
    
55,991
  
           
85,205
  
 
   
Pipeline Transportation - 3.80%
      
 
2,058
  
Targa Resources Corp.
    
116,277
  
     
Postal Service - 1.82%
        
 
1,631
  
Deutsche Post AG - ADR
    
55,911
  
     
Tax Preparation Services - 2.47%
        
 
3,678
  
H&R Block, Inc.
    
75,620
  
     
Transportation Equipment Manufacturing - 0.92%
        
 
251
  
United Technologies Corp.
    
28,250
  
     
Utilities - 6.93%
        
 
1,859
  
Exelon Corp.
    
68,244
  
 
2,803
  
Hawaiian Electric Industries, Inc.
    
93,284
  
 
1,381
  
PPL Corp.
    
50,931
  
           
212,459
  
               
     
TOTAL COMMON STOCKS (Cost $2,270,718)
    
2,434,404
  
               
     
EXCHANGE-TRADED FUNDS - 12.02%
        
 
2,537
  
iShares Emerging Markets High Yield Bond ETF
    
127,104
  
 
2,785
  
Vanguard Intermediate-Term Corporate Bond ETF
    
241,237
  
               
     
TOTAL EXCHANGE-TRADED FUNDS (Cost $367,458)
    
368,341
  
               
     
SHORT-TERM INVESTMENTS - 5.39%
        
 
165,186
  
Invesco STIT-Treasury Portfolio - Institutional Class, 0.41% (b)
    
165,186
  
     
Total Short-Term Investments (Cost $165,186)
    
165,186
  
               
     
TOTAL INVESTMENTS IN SECURITIES (Cost $2,803,362) - 96.86%
    
2,967,931
  
     
Other Assets in Excess of Liabilities - 3.14%
    
96,224
  
     
NET ASSETS - 100.00%
  
$
3,064,155
  
               
               
ADR -
  
American Depositary Receipt
        
ETF -
  
Exchange-Traded Fund
        
(a)
  
U.S. traded security of a foreign issuer.
        
(b)
  
Rate shown is the 7-day annualized yield as of February 28, 2017.
        
 
WBI Tactical DG Fund
Schedule of Investments
February 28, 2017 (Unaudited)
 
Shares
  
COMMON STOCKS - 85.73%
  
Value
  
   
Administrative and Support Services - 1.91%
      
 
1,887
  
ManpowerGroup, Inc.
  
$
183,115
  
 
5,178
  
Randstad Holding NV - ADR
    
150,576
  
           
333,691
  
     
Advertising Agencies - 3.94%
        
 
28,536
  
Interpublic Group of Cos., Inc.
    
687,718
  
     
Building Material and Garden Equipment - 2.17%
        
 
2,619
  
Home Depot, Inc.
    
379,519
  
     
Chemical Manufacturing - 4.48%
        
 
4,887
  
E. I. du Pont de Nemours & Co.
    
383,825
  
 
1,348
  
Kimberly-Clark Corp.
    
178,677
  
 
10,541
  
Orion Engineered Carbons S.A. (b)
    
219,253
  
           
781,755
  
     
Clothing and Clothing Accessories Stores - 2.88%
        
 
6,635
  
Foot Locker, Inc.
    
502,070
  
     
Computer and Electronic Product Manufacturing - 10.15%
        
 
42,478
  
HP, Inc.
    
737,843
  
 
25,866
  
Infineon Technologies AG - ADR
    
460,156
  
 
3,934
  
Texas Instruments, Inc.
    
301,423
  
 
10,997
  
Tokyo Electron Ltd. - ADR (a)
    
272,396
  
           
1,771,818
  
     
Credit Intermediation and Related Activities - 1.08%
        
 
13,326
  
Huntington Bancshares, Inc.
    
188,430
  
     
Insurance Carriers and Related Activities - 22.62%
        
 
8,579
  
Aflac, Inc.
    
620,691
  
 
5,303
  
Chubb Ltd. (b)
    
732,715
  
 
2,231
  
Everest Re Group, Ltd. (b)
    
524,597
  
 
4,640
  
FBL Financial Group, Inc. - Class A
    
317,144
  
 
3,948
  
Hartford Financial Services Group, Inc.
    
193,018
  
 
3,417
  
Reinsurance Group of America, Inc.
    
444,415
  
 
4,391
  
Travelers Cos., Inc.
    
536,756
  
 
3,491
  
UnitedHealth Group, Inc.
    
577,342
  
           
3,946,678
  
     
Merchant Wholesalers, Durable Goods - 2.72%
        
 
3,999
  
Hubbell, Inc.
    
474,361
  
     
Merchant Wholesalers, Non-Durable Goods - 1.67%
        
 
2,207
  
Illinois Tool Works, Inc.
    
291,346
  
     
Miscellaneous Manufacturing - 1.21%
        
 
8,682
  
Movado Group, Inc.
    
210,538
  
     
Motion Picture and Sound Recording - 1.28%
        
 
10,315
  
Regal Entertainment Group - Class A
    
222,598
  
     
Paper Manufacturing - 1.92%
        
 
3,629
  
Packaging Corp. of America
    
335,428
  
     
Personal and Laundry Services - 1.01%
        
 
5,724
  
Service Corp. International
    
175,899
  
     
Pipeline Transportation - 3.00%
        
 
9,258
  
Targa Resources Corp.
    
523,077
  
     
Plastics and Rubber Products Manufacturing - 7.07%
        
 
18,258
  
Goodyear Tire & Rubber Co.
    
639,943
  
 
 
12,788
  
Sealed Air Corp.
    
594,386
  
           
1,234,329
  
     
Professional, Scientific, and Technical Services - 2.61%
        
 
12,723
  
Adecco Group AG - ADR
    
455,229
  
     
Securities and Commodity Contracts Intermediation and Brokerage - 3.32%
        
 
12,691
  
Morgan Stanley
    
579,598
  
     
Tax Preparation Services - 2.41%
        
 
20,463
  
H&R Block, Inc.
    
420,719
  
     
Transportation Equipment Manufacturing - 8.28%
        
 
14,237
  
Allison Transmission Holdings, Inc.
    
512,247
  
 
12,628
  
Dana, Inc.
    
238,543
  
 
18,814
  
General Motors Co.
    
693,108
  
           
1,443,898
  
               
     
TOTAL COMMON STOCKS (Cost $14,125,932)
    
14,958,699
  
               
     
EXCHANGE-TRADED FUNDS - 9.19%
        
 
11,285
  
iShares Emerging Markets High Yield Bond ETF
    
565,378
  
 
11,977
  
Vanguard Intermediate-Term Corporate Bond ETF
    
1,037,448
  
               
     
TOTAL EXCHANGE-TRADED FUNDS (Cost $1,599,307)
    
1,602,826
  
               
     
SHORT-TERM INVESTMENTS - 6.30%
        
 
1,098,903
  
Invesco STIT-Treasury Portfolio - Institutional Class, 0.41% (c)
    
1,098,903
  
     
Total Short-Term Investments (Cost $1,098,903)
    
1,098,903
  
               
     
TOTAL INVESTMENTS IN SECURITIES (Cost $16,824,142) - 101.22%
    
17,660,428
  
     
Liabilities in Excess of Other Assets - (1.22)%
    
(213,077)
 
     
NET ASSETS - 100.00%
  
$
17,447,351
  
   
               
               
ADR -
  
American Depositary Receipt
        
ETF -
  
Exchange-Traded Fund
        
(a)
  
Non-income producing security.
        
(b)
  
U.S. traded security of a foreign issuer.
        
(c)
  
Rate shown is the 7-day annualized yield as of February 28, 2017.
        
 
WBI Funds
Notes to the Schedule of Investments
February 28, 2017 (Unaudited)

Note 1 – Securities Valuation

The WBI Tactical BA Fund, the WBI Tactical BP Fund, the WBI Tactical DG Fund, and the WBI Tactical DI Fund's (each a "Fund" and collectively, the "Funds") investments in securities are carried at their fair value. Each Fund computes its net asset value per share as of the close of regular trading on the New York Stock Exchange (4:00 pm, EST).
 
Equity securities including common stocks and exchange-traded funds that are primarily traded on a national securities exchange shall be valued at the last sales price on the exchange on which they are primarily traded on the day of valuation or, if there has been no sale price on such day, at the mean between the bid and asked prices.  Securities primarily traded in the NASDAQ Global Market System for which market quotations are readily available shall be valued using the NASDAQ Official Closing Price ("NOCP"). If the NOCP is not available, such securities shall be valued at the last sale price on the day of valuation, or if there has been no sale on such day, at the mean between the bid and asked prices.  Over-the-counter securities which are not traded in the NASDAQ Global Market System shall be valued at the most recent sales price.  Investments in open-end mutual funds are valued at their net asset value per share.  To the extent these securities are actively traded and valuation adjustments are not applied, they are categorized in level 1 of the fair value hierarchy.
 
Debt securities, such as corporate bonds, asset backed securities, municipal bonds, and U.S. Government agency issues are valued at market on the basis of valuations furnished by an independent pricing service which utilizes both dealer-supplied valuations 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.  In addition, the model may incorporate market observable data such as reported sales of similar securities, broker quotes, yields, bids, offers, and reference data. Certain securities are valued principally using dealer quotations. These securities will generally be categorized in level 2 of the fair value hierarchy.
 
Exchange-traded options are valued using the composite pricing using the National Best Bid and Offer quotes. Specifically, composite pricing looks at the last trade on the exchange where the option is traded. If there are no trades for an option on a given business day, as of closing, the Funds will value the option at the mean of the highest bid price and lowest ask price across the exchanges where the option is traded. Exchange-traded options that are actively traded are categorized in level 1 of the fair value hierarchy. Exchange-traded options that are valued at the mean of the highest bid price and lowest asked price are categorized in level 2.
 
Short-term debt securities, including those securities having a maturity of 60 days or less, are valued at the evaluated mean between the bid and asked prices.  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, included money market funds are categorized in level 1 of the fair value hierarchy.
 
The Board of Trustees ("Board") has delegated day-to-day valuation issues to a Valuation Committee of the Advisors Series Trust which is comprised of representatives from U.S. Bancorp Fund Services, LLC, the Funds' administrator. The function of the Valuation Committee is to value securities where current and reliable market quotations are not readily available or the closing price does not represent fair value by following procedures approved by the Board. These procedures consider many factors, including the type of security, size of holding, trading volume and news events. All actions taken by the Valuation Committee are subsequently reviewed and ratified by the Board.
 
Depending on the relative significance of the valuation inputs, fair valued securities may be classified in either level 2 or level 3 of the fair value hierarchy.
 
The Funds have 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 Funds' securities as of February 28, 2017:
 

WBI Tactical BA Fund
Assets:
  
Level 1
    
Level 2
    
Level 3
    
Total
  
Common Stocks
  Finance and Insurance
  
$
3,821,547
    
$
-
    
$
-
    
$
3,821,547
  
  Information
    
583,556
      
-
      
-
      
583,556
  
  Management of Companies
     and Enterprises
    
655,409
      
-
      
-
      
655,409
  
  Manufacturing
    
5,975,572
      
-
      
-
      
5,975,572
  
  Professional, Scientific and
      Technical Services
    
869,382
      
-
      
-
      
869,382
  
  Retail Trade
    
634,635
      
-
      
-
      
634,635
  
  Utilities
    
2,437,828
      
-
      
-
      
2,437,828
  
  Wholesale Trade
    
814,002
      
-
      
-
      
814,002
  
Total Common Stocks
    
15,791,931
      
-
      
-
      
15,791,931
  
Exchange-Traded Funds
    
6,038,642
      
-
      
-
      
6,038,642
  
Corporate Bonds
                                
  Finance and Insurance
    
-
      
200,931
      
-
      
200,931
  
  Health Care and Social
     Assistance
    
-
      
175,956
      
-
      
175,956
  
  Manufacturing
    
-
      
581,124
      
-
      
581,124
  
Total Corporate Bonds
    
-
      
958,011
      
-
      
958,011
  
U.S. Treasury Notes
    
-
      
3,286,711
      
-
      
3,286,711
  
Short-Term Investments
    
1,513,478
      
-
      
-
      
1,513,478
  
Total Investments in
   Securities
  
$
23,344,051
    
$
4,244,722
    
$
-
    
$
27,588,773
  



WBI Tactical BP Fund
Assets:
  
Level 1
    
Level 2
    
Level 3
    
Total
  
Common Stocks
                        
   Administrative Support and
      Waste Management
  
$
240,982
    
$
-
    
$
-
    
$
240,982
  
   Finance and Insurance
    
1,557,214
      
-
      
-
      
1,557,214
  
   Information
    
806,645
      
-
      
-
      
806,645
  
 
  Manufacturing
    
5,943,309
      
-
      
-
      
5,943,309
  
  Retail Trade
    
591,478
      
-
      
-
      
591,478
  
  Transportation and
      Warehousing
    
264,138
      
-
      
-
      
264,138
  
  Utilities
    
2,519,010
      
-
      
-
      
2,519,010
  
  Wholesale Trade
    
999,636
      
-
      
-
      
999,636
  
Total Common Stocks
    
12,922,412
      
-
      
-
      
12,922,412
  
Exchange-Traded Funds
    
12,795,721
      
-
      
-
      
12,795,721
  
Short-Term Investments
    
1,380,261
      
-
      
-
      
1,380,261
  
Total Investments in
   Securities
  
$
27,098,394
    
$
-
    
$
-
    
$
27,098,394
  




WBI Tactical DI Fund
Assets:
  
Level 1
    
Level 2
    
Level 3
    
Total
  
Common Stocks
                        
  Accommodation and Food
     Services
  
$
28,334
    
$
-
    
$
-
    
$
28,334
  
  Administrative Support and
     Waste Management
    
197,964
      
-
      
-
      
197,964
  
  Finance and Insurance
    
644,204
      
-
      
-
      
644,204
  
  Health Care and Social
     Assistance
    
43,751
      
-
      
-
      
43,751
  
  Information
    
23,069
      
-
      
-
      
23,069
  
  Manufacturing
    
940,074
      
-
      
-
      
940,074
  
  Professional, Scientific, and
     Technical Services
    
54,635
      
-
      
-
      
54,635
  
  Transportation and
     Warehousing
    
172,188
      
-
      
-
      
172,188
  
  Utilities
    
212,459
      
-
      
-
      
212,459
  
  Wholesale Trade
    
117,726
      
-
      
-
      
117,726
  
Total Common Stocks
    
2,434,404
      
-
      
-
      
2,434,404
  
Exchange-Traded Funds
    
368,341
      
-
      
-
      
368,341
  
Short-Term Investments
    
165,186
      
-
      
-
      
165,186
  
Total Investments in
   Securities
  
$
2,967,931
    
$
-
    
$
-
    
$
2,967,931
  




WBI Tactical DG Fund
Assets:
  
Level 1
    
Level 2
    
Level 3
    
Total
  
Common Stocks
                        
  Administrative Support and
     Waste Management
  
$
333,691
    
$
-
    
$
-
    
$
333,691
  
  Finance and Insurance
    
5,135,425
      
-
      
-
      
5,135,425
  
  Information
    
222,598
      
-
      
-
      
222,598
  
  Manufacturing
    
5,777,766
      
-
      
-
      
5,777,766
  
  Other Services (except Public
     Administration)
    
175,899
      
-
      
-
      
175,899
  
  Professional, Scientific, and
     Technical Services
    
1,142,947
      
-
      
-
      
1,142,947
  
  Retail Trade
    
881,589
      
-
      
-
      
881,589
  
  Transportation and
     Warehousing
    
523,077
      
-
      
-
      
523,077
  
  Wholesale Trade
    
765,707
      
-
      
-
      
765,707
  
Total Common Stocks
    
14,958,699
      
-
      
-
      
14,958,699
  
Exchange-Traded Funds
    
1,602,826
      
-
      
-
      
1,602,826
  
Short-Term Investments
    
1,098,903
      
-
      
-
      
1,098,903
  
Total Investments in Securities
  
$
17,660,428
    
$
-
    
$
-
    
$
17,660,428
  
 
Refer to the Funds' Schedule of Investments for a detailed break-out of securities by industry classification. Transfers between levels are recognized at February 28, 2017, the end of the reporting period. The Funds recognized no transfers to/from Level 1 or Level 2. There were no Level 3 securities held in the Funds during the period ended February 28, 2017.
 
Note 2 – Derivative Transactions
 
The Funds have adopted the financial accounting reporting rules as required by the Derivatives and Hedging Topic of the FASB Accounting Standards Codification. The Funds are required to include enhanced disclosure that enables investors to understand how and why an entity uses derivatives, how derivatives are accounted for, and how derivative instruments affect an entity's results of operations and financial position.
 
The Funds are subject to equity price risk in the normal course of pursuing their investment objectives. The Funds enter into written call options to hedge against changes in the value of equities. The writing of call options is intended to reduce the volatility of the portfolio and to earn premium income. Written call options expose the Funds to minimal counterparty credit risk since they are exchange traded and the exchange's clearing house guarantees the options against default. The Funds may also purchase put options to provide protection against adverse price effects from changes in prices of securities. In addition, the Funds enter into written put options to hedge against changes in the value of purchased put options.
 
The Funds may utilize options for economic hedging purposes as well as direct investment. Some options strategies, including buying puts, tend to economically hedge the Funds' investments against price fluctuations. Other strategies, such as writing puts and calls and buying calls, tend to increase market exposure. Options contracts may be combined with each other in order to adjust the risk and return characteristics of each Fund's overall strategy in a manner deemed appropriate to the Advisor and consistent with each Fund's investment objective and policies. When a call or put option is written, an amount equal to the premium received by the Fund is reflected as an asset and as an equivalent liability.  The amount of the liability is subsequently marked-to-market to reflect the current market value of the option written. When a security is purchased or sold through an exercise of an option, the related premium paid (or received) is added (or deducted from) the basis of the security acquired or deducted from (or added to) the proceeds of the security sold. When an option expires, the Fund realizes a gain or loss on the option to the extent of the premiums received or paid. When a Fund enters into a closing transaction, the Fund realizes a gain or loss to the extent the cost of the closing transactions exceeds the premiums paid or received. Written uncovered call options subject the Funds to unlimited risk of loss. Written covered call options limit the upside potential of a security above the strike price. Put options written subject the Funds to risk of loss if the value of the security declines below the exercise price minus the put minimum.
 
With options, there is minimal counterparty credit risk to the Funds since the options are covered or secured, which means that the Funds will own the underlying security or, to the extent they do not hold the security, will maintain liquid assets consisting of cash, short-term securities, or equity or debt securities equal to the market value of the security underlying the option, marked-to-market daily.
 
Options purchased are recorded as investments and marked-to-market daily to reflect the current fair value of the option contract. If an option purchased expires, a loss is realized in the amount of the cost of the option contract. If a closing transaction is entered into, a gain or loss is realized to the extent that the proceeds from the sale are greater or less than the cost of the option. If a purchase put option is exercised, a gain or loss is realized from the sale of the underlying security by adjusting the proceeds from such sale by the amount of the premium originally paid. If a purchased call option is exercised, the cost of the security purchased upon exercise is increased by the premium originally paid.
 
No derivatives were held by the Funds during the period ended February 28, 2017.
 


Note 3 – Federal Income Taxes

The cost basis of investments for federal income tax purposes at February 28, 2017 was as follows*:

 
WBI Tactical BA Fund
Cost of investments
  $27,011,347
Gross unrealized appreciation
   $     703,943
Gross unrealized depreciation
(126,517)
Net unrealized appreciation
    $     577,426
 
 
WBI Tactical BP Fund
Cost of investments
     $26,486,656
Gross unrealized appreciation
    $     797,537
Gross unrealized depreciation
(185,799)
Net unrealized appreciation
    $     611,738
 
 
WBI Tactical DI Fund
Cost of investments
    $  2,803,362
Gross unrealized appreciation
   $     191,212
Gross unrealized depreciation
        (26,643)
Net unrealized appreciation
  $     164,569

 
WBI Tactical DG Fund
Cost of investments
     $16,824,142
Gross unrealized appreciation
    $  1,061,071
Gross unrealized depreciation
       (224,785)
Net unrealized appreciation
    $     836,286
 
 

*Because tax adjustments are calculated annually, the above table reflects the tax adjustments outstanding at the Funds' previous fiscal year end.  For the previous fiscal year's federal income tax information, please refer to the Notes to Financial Statements section in the Funds' most recent annual report.
 
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, as amended, (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.
 
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.


(Registrant)  Advisors Series Trust                                                      
 

By (Signature and Title)* /s/ Douglas G. Hess                                  
                                              Douglas G. Hess, President

Date  4/24/2017                                                                                         


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

By (Signature and Title)* /s/ Douglas G. Hess                                  
                                             Douglas G. Hess, President

Date  4/24/2017                                                                                         
 
By (Signature and Title)*  /s/ Cheryl L. King                                      
                                              Cheryl L. King, Treasurer

Date  4/24/2017                                                                                           

* Print the name and title of each signing officer under his or her signature.