N-Q 1 wbi_nq.htm QUARTERLY NOTICE OF PORTFOLIO HOLDINGS
 

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:  August 31, 2017

Item 1. Schedules of Investments.

WBI Tactical BA Fund
Schedule of Investments
August 31, 2017 (Unaudited)
           
Shares
  
COMMON STOCKS - 42.75%
 
  
Value
   
Accommodation - 3.86%
      
         8,922
  
Wyndham Worldwide Corp.
   $
              889,345
   
Administrative and Support Services - 2.06%
      
         6,079
  
Broadridge Financial Solutions, Inc.
    
               474,952
   
Chemical Manufacturing - 3.91%
      
         1,697
  
International Flavors & Fragrances, Inc.
    
               232,234
         7,374
  
LyondellBasell Industries N.V. - Class A (a)
    
               668,011
         
               900,245
   
Clothing and Clothing Accessories Stores - 4.16%
      
       39,424
  
Hanesbrands, Inc.
    
               956,426
   
Couriers and Messengers - 1.57%
      
         3,153
  
United Parcel Service, Inc. - Class B
    
               360,577
   
Credit Intermediation and Related Activities - 2.12%
      
         7,000
  
Guaranty Bancorp
    
               180,600
         3,387
  
JPMorgan Chase & Co.
    
               307,845
         
               488,445
   
Food Manufacturing - 1.37%
      
         5,920
  
General Mills, Inc.
    
               315,299
   
Insurance Carriers and Related Activities - 4.49%
      
         7,071
  
Aflac, Inc.
    
               583,711
         7,772
  
Arthur J. Gallagher & Co.
    
               449,999
         
            1,033,710
   
Machinery Manufacturing - 7.22%
      
         8,150
  
Caterpillar, Inc.
    
               957,544
         4,422
  
Cummins, Inc.
    
               704,778
         
            1,662,322
   
Primary Metal Manufacturing - 3.23%
      
       21,603
  
Steel Dynamics, Inc.
    
               744,223
   
Securities, Commodity Contracts, and Other Financial Investments and Related Activities - 5.98%
      
         1,890
  
BlackRock, Inc.
    
               791,929
       15,297
  
Legg Mason, Inc.
    
               584,192
         
            1,376,121
   
Sofware Publishers - 2.78%
      
         8,563
  
Microsoft Corp.
    
               640,256
           
   
TOTAL COMMON STOCKS (Cost $9,720,283)
    
            9,841,921
           
   
EXCHANGE TRADED FUNDS - 50.19%
      
         5,576
  
iShares 10+ Year Credit Bond ETF
    
               347,664
         4,557
  
iShares Agency Bond ETF
    
               521,366
       13,451
  
iShares Emerging Markets High Yield Bond ETF
    
               686,808
         2,859
  
iShares Intermediate Government/Credit Bond ETF
    
               319,007
       10,674
  
iShares U.S. Preferred Stock ETF
    
               416,820
         8,736
  
PIMCO Enhanced Short Maturity Active ETF
    
               889,237
         9,634
  
PowerShares Chinese Yuan Dim Sum Bond Portfolio ETF
    
               225,378
       33,900
  
PowerShares International Corporate Bond Portfolio ETF
    
               920,046
       26,047
  
Vanguard Intermediate-Term Corporate Bond ETF
    
            2,306,983
       17,679
  
Vanguard Intermediate-Term Government Bond ETF
    
            1,154,792
       24,588
  
Vanguard Long-Term Corporate Bond ETF
    
            2,323,074
       18,325
  
Vanguard Long-Term Government Bond ETF
    
            1,444,377
         
 
 
 
   
TOTAL EXCHANGE-TRADED FUNDS (Cost $11,327,232)
    
          11,555,552
           
 
  
SHORT-TERM INVESTMENTS - 5.65%
 
  
 
  1,299,285
  
Invesco STIT-Treasury Portfolio - Institutional Class, 0.90% (b)
    
            1,299,285
   
Total Short-Term Investments (Cost $1,299,285)
    
            1,299,285
           
   
TOTAL INVESTMENTS IN SECURITIES (Cost $22,346,800) - 98.59%
    
          22,696,758
   
Other Assets in Excess of Liabilities - 1.41%
    
               325,477
   
NET ASSETS - 100.00%
   $
 23,022,235
 
ETF -
  
Exchange-Traded Fund
      
(a)
  
U.S. traded security of a foreign issuer.
      
(b)
  
Rate shown is the 7-day annualized yield as of August 31, 2017.
      


 
WBI Tactical BP Fund
Schedule of Investments
August 31, 2017 (Unaudited)
           
Shares
  
COMMON STOCKS - 44.72%
 
  
Value
   
Accommodation - 1.92%
      
         4,591
  
Wyndham Worldwide Corp.
   $
 457,631
   
Beverage and Tobacco Product Manufacturing - 1.67%
      
         3,438
  
PepsiCo, Inc.
    
               397,880
   
Building Material and Garden Equipment - 0.76%
      
         1,216
  
Home Depot, Inc.
    
               182,242
   
Chemical Manufacturing - 8.66%
      
         3,273
  
Air Products and Chemicals, Inc.
    
               475,796
       22,895
  
Huntsman Corp.
    
               608,320
       10,832
  
LyondellBasell Industries N.V. - Class A (a)
    
               981,270
         
            2,065,386
   
Clothing and Clothing Accessories Stores - 3.39%
      
       33,365
  
Hanesbrands, Inc.
    
               809,435
   
Computer and Electronic Product Manufacturing - 1.41%
      
         4,077
  
Texas Instruments, Inc.
    
               337,657
   
Couriers and Messengers - 1.58%
      
         3,297
  
United Parcel Service, Inc. - Class B
    
               377,045
   
Credit Intermediation and Related Activities - 2.25%
      
       11,592
  
H&R Block, Inc.
    
               309,970
       13,127
  
KeyCorp
    
               225,916
         
               535,886
   
Electrical Equipment, Appliance, and Component Manufacturing - 7.61%
      
       14,974
  
Emerson Electric Co.
    
               884,065
         5,680
  
Rockwell Automation, Inc.
    
               931,861
         
            1,815,926
   
Fabricated Metal Product Manufacturing - 2.43%
      
       16,200
  
Hillenbrand, Inc.
    
               579,150
   
Food Manufacturing - 0.97%
      
         4,369
  
General Mills, Inc.
    
               232,693
   
Insurance Carriers and Related Activities - 2.42%
      
         4,050
  
Arthur J. Gallagher & Co.
    
               234,495
       11,558
  
Zurich Insurance Group AG - ADR
    
               345,584
         
               580,079
   
Machinery Manufacturing - 3.50%
      
         3,066
  
Canon, Inc. - ADR
    
               107,647
         4,574
  
Cummins, Inc.
    
               729,004
         
               836,651
   
Professional, Scientific, and Technical Services - 3.40%
      
         6,204
  
Accenture PLC - Class A (a)
    
               811,235
   
Securities, Commodity Contracts, and Other Financial Investments and Related Activities - 1.21%
      
         4,316
  
Legg Mason, Inc.
    
               164,828
         1,634
  
Nasdaq, Inc.
    
               123,171
         
               287,999
   
Utilities - 1.54%
      
       11,030
  
Hawaiian Electric Industries, Inc.
    
               368,623
         
 
   
TOTAL COMMON STOCKS (Cost $10,465,541)
    
          10,675,518
           
 
 
   
EXCHANGE TRADED FUNDS - 50.46%
      
       21,328
  
iShares 10+ Year Credit Bond ETF
    
            1,329,801
       27,328
  
iShares iBoxx $ High Yield Corporate Bond Fund
    
            2,421,260
         2,840
  
iShares JP Morgan USD Emerging Markets Bond ETF
    
               332,536
       32,631
  
iShares U.S. Preferred Stock ETF
    
            1,274,241
       45,413
  
PowerShares Fundamental High Yield Corporate Bond Portfolio ETF
    
               863,301
       85,341
  
SPDR Bloomberg Barclays Short Term High Yield Bond ETF
    
            2,383,574
       41,951
  
VanEck Vectors Emerging Markets High Yield Bond ETF
    
            1,039,126
       13,486
  
Vanguard Intermediate-Term Corporate Bond ETF
    
            1,194,455
       12,802
  
Vanguard Long-Term Corporate Bond ETF
    
            1,209,533
         
 
   
TOTAL EXCHANGE-TRADED FUNDS (Cost $11,832,787)
    
          12,047,827
           
 
  
SHORT-TERM INVESTMENTS - 1.67%
 
  
 
     397,790
  
Invesco STIT-Treasury Portfolio - Institutional Class, 0.90% (b)
    
               397,790
   
Total Short-Term Investments (Cost $397,790)
    
               397,790
           
   
TOTAL INVESTMENTS IN SECURITIES (Cost $22,696,118) - 96.85%
    
          23,121,135
   
Other Assets in Excess of Liabilities - 3.15%
    
               751,990
   
NET ASSETS - 100.00%
   $
 23,873,125
 
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 August 31, 2017.
      



WBI Tactical DG Fund
Schedule of Investments
August 31, 2017 (Unaudited)
           
Shares
  
COMMON STOCKS - 79.95%
 
  
Value
   
Accommodation - 1.97%
      
         3,035
  
Wyndham Worldwide Corp.
   $
  302,529
   
Administrative and Support Services - 2.78%
      
         5,475
  
Broadridge Financial Solutions, Inc.
    
               427,762
   
Beverage and Tobacco Product Manufacturing - 0.94%
      
         1,246
  
PepsiCo, Inc.
    
               144,200
   
Building Material and Garden Equipment - 2.01%
      
         2,061
  
Home Depot, Inc.
    
               308,882
   
Chemical Manufacturing - 5.08%
      
         1,320
  
Celanese Corp. - Series A
    
               128,066
         3,557
  
International Flavors & Fragrances, Inc.
    
               486,776
         1,834
  
LyondellBasell Industries N.V. - Class A (a)
    
               166,142
         
               780,984
   
Clothing and Clothing Accessories Stores - 4.36%
      
       27,647
  
Hanesbrands, Inc.
    
               670,716
   
Commercial Banking - 1.35%
      
         6,152
  
Berkshire Hills Bancorp, Inc.
    
               207,938
   
Computer and Electronic Product Manufacturing - 11.49%
      
         3,000
  
L3 Technologies, Inc.
    
               544,440
       12,376
  
Maxim Integrated Products, Inc.
    
               577,464
         7,439
  
Microchip Technology, Inc.
    
               645,705
         
            1,767,609
   
Couriers and Messengers - 1.83%
      
         2,463
  
United Parcel Service, Inc. - Class B
    
               281,669
   
Credit Intermediation and Related Activities - 8.04%
      
         2,309
  
Comerica, Inc.
    
               157,589
       11,223
  
East West Bancorp, Inc.
    
               621,418
         6,576
  
H&R Block, Inc.
    
               175,842
         5,763
  
State Bank Financial Corp.
    
               154,852
         4,859
  
United Community Banks, Inc. of Georgia
    
               126,868
         
            1,236,569
   
Electrical Equipment, Appliance, and Component Manufacturing - 1.68%
      
         4,388
  
Emerson Electric Co.
    
               259,067
   
Food Manufacturing - 2.86%
      
         8,252
  
General Mills, Inc.
    
               439,502
   
Insurance Carriers and Related Activities - 13.02%
      
         2,480
  
Aflac, Inc.
    
               204,724
         3,279
  
Anthem, Inc.
    
               642,815
         7,342
  
Axis Capital Holdings Ltd. (a)
    
               442,282
         3,792
  
Employers Holdings, Inc.
    
               159,833
         5,839
  
Hartford Financial Services Group, Inc.
    
               315,715
         1,193
  
UnitedHealth Group, Inc.
    
               237,287
         
            2,002,656
   
Machinery Manufacturing - 2.64%
      
         3,452
  
Caterpillar, Inc.
    
               405,575
   
Merchant Wholesalers, Durable Goods - 1.22%
      
         2,365
  
TE Connectivity Ltd. (a)
    
               188,254
   
Motion Picture and Sound Recording Industries - 2.35%
      
         3,576
  
Time Warner, Inc.
    
               361,534
   
Plastics and Rubber Products Manufacturing - 4.61%
      
 
 
         7,531
  
Avery Dennison Corp.
    
               709,872
   
Professional, Scientific, and Technical Services - 4.92%
      
         5,078
  
Accenture PLC - Class A (a)
    
               663,999
            839
  
Dun & Bradstreet Corp.
    
                 93,498
         
               757,497
   
Securities, Commodity Contracts, and Other Financial Investments and Related Activities - 4.03%
      
       16,245
  
Legg Mason, Inc.
    
               620,397
   
Waste Management and Remediation Services - 2.77%
      
         5,529
  
Waste Management, Inc.
    
               426,341
         
 
   
TOTAL COMMON STOCKS (Cost $12,069,602)
    
          12,299,553
           
 
  
SHORT-TERM INVESTMENTS - 14.78%
 
  
 
  2,274,440
  
Invesco STIT-Treasury Portfolio - Institutional Class, 0.90% (b)
    
            2,274,440
   
Total Short-Term Investments (Cost $2,274,440)
    
            2,274,440
           
   
TOTAL INVESTMENTS IN SECURITIES (Cost $14,344,042) - 94.73%
    
          14,573,993
   
Other Assets in Excess of Liabilities - 5.27%
    
               810,896
   
NET ASSETS - 100.00%
   $
 15,384,889
 
(a)
  
U.S. traded security of a foreign issuer.
      
(b)
  
Rate shown is the 7-day annualized yield as of August 31, 2017.
      



WBI Funds
Notes to the Schedule of Investments
August 31, 2017 (Unaudited) 
 
Note 1 – Securities Valuation
The WBI Tactical BA Fund, the WBI Tactical BP Fund, and the WBI Tactical DG 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 August 31, 2017:

WBI Tactical BA Fund
Assets:
  
Level 1
    
Level 2
    
Level 3
    
Total
  
Common Stocks
                    
  Accomodation and Food
Services
  
$
889,345
    
$
-
    
$
-
    
$
889,345
  
  Administrative Support and
Waste Management
    
474,952
      
-
      
-
      
474,952
  
  Finance and Insurance
    
2,898,276
      
-
      
-
      
2,898,276
  
  Information
    
640,256
      
-
      
-
      
640,256
  
  Manufacturing
    
3,622,089
      
-
      
-
      
3,622,089
  
  Retail Trade
    
956,426
      
-
      
-
      
956,426
  
Transportation and
                          
       Warehousing
    
360,577
      
-
      
-
      
360,577
  
Total Common Stocks
    
9,841,921
      
-
      
-
      
9,841,921
  
Exchange-Traded Funds
    
11,555,552
      
-
      
-
      
11,555,552
  
Short-Term Investments
    
1,299,285
      
-
      
-
      
1,299,285
  
Total Investments in
                          
   Securities
  
$
22,696,758
    
$
-
    
$
-
    
$
22,696,758
  
 
WBI Tactical BP Fund
Assets:
  
Level 1
    
Level 2
    
Level 3
    
Total
  
Common Stocks
                        
   Accomodation and Food
       Services
  
$
855,511
    
$
-
    
$
-
    
$
855,511
  
   Finance and Insurance
    
1,403,964
      
-
      
-
      
1,403,964
  
   Manufacturing
    
5,867,463
      
-
      
-
      
5,867,463
  
  Professional, Scientific, and
       Technical Services
    
811,235
      
-
      
-
      
811,235
  
  Retail Trade
    
991,677
      
-
      
-
      
991,677
  
  Transportation and
       Warehousing
    
377,045
      
-
      
-
      
377,045
  
  Utilities
    
368,623
      
-
      
-
      
368,623
  
Total Common Stocks
    
10,675,518
      
-
      
-
      
10,675,518
  
Exchange-Traded Funds
    
12,047,827
      
-
      
-
      
12,047,827
  
Short-Term Investments
    
397,790
      
-
      
-
      
397,790
  
Total Investments in
   Securities
  
$
23,121,135
    
$
-
    
$
-
    
$
23,121,135
  



WBI Tactical DG Fund
Assets:
  
Level 1
    
Level 2
    
Level 3
    
Total
  
Common Stocks
                        
 Accomodation and Food
                        
       Services
  
$
446,729
    
$
-
    
$
-
    
$
446,729
  
Administrative Support and
                                
       Waste Management
    
854,103
      
-
      
-
      
854,103
  
  Finance and Insurance
    
4,067,560
      
-
      
-
      
4,067,560
  
  Information
    
361,534
      
-
      
-
      
361,534
  
  Manufacturing
    
4,362,609
      
-
      
-
      
4,362,609
  
  Professional, Scientific, and
                                
       Technical Services
    
757,497
      
-
      
-
      
757,497
  
  Retail Trade
    
979,598
      
-
      
-
      
979,598
  
  Transportation and
                                
       Warehousing
    
281,669
      
-
      
-
      
281,669
  
  Wholesale Trade
    
188,254
      
-
      
-
      
188,254
  
Total Common Stocks
    
12,299,553
      
-
      
-
      
12,299,553
  
Short-Term Investments
    
2,274,440
      
-
      
-
      
2,274,440
  
Total Investments in
                               
Securities  
$
14,573,993
    
$
-
    
$
-
    
$
14,573,993
  
 
Refer to the Funds’ Schedule of Investments for a detailed break-out of securities by industry classification. Transfers between levels are recognized at August 31, 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 August 31, 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 August 31, 2017.

Note 3 – Federal Income Taxes
The cost basis of investments for federal income tax purposes at August 31, 2017 was as follows*:

WBI Tactical BA Fund
Cost of investments
  
$
22,346,800
  
Gross unrealized appreciation
  
$
460,373
  
Gross unrealized depreciation
    
(110,415
)
Net unrealized appreciation
  
$
349,958
  
 

WBI Tactical BP Fund
Cost of investments
  
$
22,696,118
  
Gross unrealized appreciation
  
$
521,111
  
Gross unrealized depreciation
    
(96,094
)
Net unrealized appreciation
  
$
425,017
  
 
WBI Tactical DG Fund
Cost of investments
  
$
14,344,042
  
Gross unrealized appreciation
  
$
366,039
  
Gross unrealized depreciation
    
(136,088
)
Net unrealized appreciation
  
$
229,951
  
 
*Because tax adjustments are calculated annually at the end of the Funds’ fiscal year, the above table does not reflect tax adjustments for the current fiscal year. For the previous fiscal year’s federal income tax information, please refer to the Notes to Financial Statements section in the Funds’ most recent semi-annual or 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        10/02/2017                                                                          



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        10/02/2017                                                                          

 
By (Signature and Title)*   /s/ Cheryl L. King                                   
 Cheryl L. King, Treasurer

Date        10/02/2017                                                                          

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