N-Q 1 ast-wasmer_nq.htm QUARTERLY NOTICE OF PORTFOLIO HOLDINGS
As filed with the Securities and Exchange Commission on 7/26/2019



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, Wisconsin 53202
(Address of principal executive offices) (Zip code)



Jeffrey T. Rauman, President/Chief Executive Officer
Advisors Series Trust
c/o U.S. Bancorp Fund Services, LLC
777 East Wisconsin Avenue, 5th Floor
Milwaukee, Wisconsin 53202
(Name and address of agent for service)


(414) 765-6872
Registrant's telephone number, including area code




Date of fiscal year end:  February 28, 2020



Date of reporting period:  May 31, 2019
Item 1. Schedule of Investments.
 
Wasmer Schroeder High Yield Municipal Fund
            
Schedule of Investments
            
May 31, 2019 (Unaudited)
            
 
            
MUNICIPAL BONDS - 93.70%
  
Principal
Amount
    
Value
  
Arizona - 2.20%
            
Arizona Industrial Development Authority Revenue Bonds
            
4.50%, 1/1/2049 (Callable 7/1/2029)
  
$
1,000,000
    
$
1,052,760
  
La Paz County Industrial Development Authority Revenue Bonds
                
5.00%, 2/15/2038 (Callable 2/15/2028)
    
700,000
      
778,757
  
             
1,831,517
  
California - 6.66%
                
California Statewide Communities Development Authority Revenue Bonds
                
5.25%, 12/1/2029 (Callable 12/1/2024)
     1,000,000
       1,134,180
  
5.25%, 12/1/2044 (Callable 12/1/2024)
     500,000
       551,135
  
5.00%, 6/1/2051 (Callable 6/1/2029)
    
1,000,000
      
1,121,970
  
Golden State Tobacco Securitization Corp. Revenue Bonds
                
3.50%, 6/1/2036 (Callable 6/1/2022)
    
1,000,000
      
1,011,490
  
Palomar Health California Revenue Bonds
                
5.00%, 11/1/2028 (Callable 11/1/2026)
    
1,000,000
      
1,169,540
  
San Joaquin Hills Transportation Corridor Agency Revenue Bonds
                
5.25%, 1/15/2049 (Callable 1/15/2025)
    
500,000
      
558,720
  
             
5,547,035
  
Colorado - 2.74%
                
Colorado Health Facilities Authority Revenue Bonds
                
5.00%, 6/1/2042 (Callable 6/1/2027)
    
1,000,000
      
1,137,220
  
Denver Colorado Convention Center Hotel Authority Revenue Bonds
                
5.00%, 12/1/2033 (Callable 12/1/2026)
    
1,000,000
      
1,150,380
  
             
2,287,600
  
District of Columbia - 1.89%
                
District of Columbia Revenue Bonds
                
6.50%, 10/1/2041 (Callable 4/1/2021)
    
1,500,000
      
1,571,190
  
Florida - 6.95%
                
Capital Trust Agency, Inc. Revenue Bonds
                
7.50%, 6/1/2048 (Callable 6/1/2028) (b)
    
2,000,000
      
2,151,080
  
Halifax Hospital Medical Center Florida Hospital Revenue Bonds
                
5.00%, 6/1/2036 (Callable 6/1/2026)
    
500,000
      
562,120
  
Lee County Industrial Development Authority Revenue Bonds
                
4.50%, 10/1/2032 (Callable 10/1/2022)
    
500,000
      
518,170
  
5.50%, 10/1/2047 (Callable 10/1/2022)
    
1,000,000
      
1,071,850
  
Midtown Miami Community Development District Special Assessment
                
5.00%, 5/1/2037 (Callable 5/1/2023)
    
350,000
      
367,056
  
Palm Beach County Health Facilities Authority Revenue Bonds
                
7.25%, 6/1/2034 (Callable 6/1/2022)
    
1,000,000
      
1,125,190
  
             
5,795,466
  
Georgia - 1.32%
                
Private Colleges & Universities Authority Revenue Bonds
                
5.00%, 4/1/2044 (Callable 4/1/2024)
    
1,000,000
      
1,099,160
  
Guam - 1.29%
                
Guam Government Waterworks Authority Revenue Bonds
                
5.00%, 7/1/2035 (Callable 7/1/2024)
    
500,000
      
544,590
  
Guam Power Authority Revenue Bonds
                
5.00%, 10/1/2034 (Callable 10/1/2022)
    
500,000
      
532,820
  
             
1,077,410
  
Illinois - 8.85%
                
Chicago Board of Education General Obligation Bonds
                
5.00%, 12/1/2046 (Callable 12/1/2028)
    
1,000,000
      
1,089,880
  
City of Chicago Illinois General Obligation Bonds
                
5.00%, 1/1/2025
    
1,285,000
      
1,418,382
  
5.50%, 1/1/2039 (Callable 1/1/2025)
    
1,025,000
      
1,120,551
  
City of Chicago Illinois Waterworks Revenue Bonds
                
5.00%, 11/1/2044 (Callable 11/1/2024)
    
500,000
      
551,315
  
Metropolitan Pier & Exposition Authority Revenue Bonds
                
5.20%, 6/15/2050 (Callable 6/15/2020)
   
1,000,000
      
1,017,470
  
State of Illinois General Obligation Bonds
                
5.25%, 7/1/2030 (Callable 7/1/2023)
    
1,020,000
      
1,108,903
  
5.00%, 2/1/2039 (Callable 2/1/2024)
    
1,000,000
      
1,063,900
  
             
7,370,401
  
Iowa - 1.23%
                
Iowa Higher Education Loan Authority Revenue Bonds
                
5.00%, 10/1/2037 (Callable 10/1/2025)
    
1,000,000
      
1,021,950
  
Louisiana - 1.24%
                
Louisiana Local Government Environmental Facilities & Community Development Authority  Revenue Bonds
                
3.50%, 11/1/2032 (Callable 11/1/2027)
    
1,000,000
      
1,034,480
  
Maine - 1.51%
                
Maine Health & Higher Education Facilities Authority Revenue Bonds
                
5.00%, 7/1/2024 (Callable 7/1/2023)
    
850,000
      
933,887
  
5.00%, 7/1/2027 (Callable 7/1/2023)
    
300,000
      
328,365
  
             
1,262,252
  
Maryland - 5.45%
                
Baltimore Maryland Convention Center Revenue Bonds
                
5.00%, 9/1/2031 (Callable 9/1/2027)
    
1,000,000
      
1,171,870
  
Maryland State Economic Development Corp. Student Housing Revenue Bonds
                
5.00%, 7/1/2039 (Callable 7/1/2025)
    
1,000,000
      
1,083,130
  
Maryland State Economic Development Corp. Transportaion Revenue Bonds
                
5.00%, 6/1/2035 (Callable 6/1/2028)
    
1,000,000
      
1,183,050
  
Rockville Maryland Mayor & Council Economic Development Revenue Bonds
                
5.00%, 11/1/2027 (Callable 11/1/2024)
    
500,000
      
566,115
  
5.00%, 11/1/2042 (Callable 11/1/2024)
    
500,000
      
540,275
  
             
4,544,440
  
Massachusetts - 1.32%
                
Massachusetts Development Finance Agency Revenue Bonds
                
5.00%, 7/1/2044 (Callable 7/1/2025)
    
500,000
      
552,210
  
5.125%, 7/1/2044 (Callable 7/1/2024)
    
500,000
      
544,005
  
             
1,096,215
  
Michigan - 3.29%
                
City of Detroit Michigan General Obligation Bonds
                
5.00%, 4/1/2031 (Callable 4/1/2028)
    
500,000
      
554,305
  
5.00%, 4/1/2032 (Callable 4/1/2028)
    
500,000
      
551,395
  
5.00%, 4/1/2035 (Callable 4/1/2028)
    
500,000
      
547,100
  
Michigan Finance Authority Revenue Bonds
                
5.00%, 7/1/2044 (Callable 7/1/2024)
    
1,000,000
      
1,089,520
  
             
2,742,320
  
Minnesota - 7.16%
                
Southcentral Minnesota Multi-County Housing & Redevelopment Authority Revenue Bonds
                
4.16%, 2/1/2000 (a)
    
15,000
      
8,850
  
4.16%, 2/1/2002 (a)
    
30,000
      
17,700
  
4.16%, 2/1/2005 (a)
    
20,000
      
11,800
  
4.16%, 2/1/2006 (a)
    
20,000
      
11,800
  
4.16%, 2/1/2007 (a)
    
65,000
      
38,350
  
4.16%, 6/1/2008 (a)
    
10,000
      
5,900
  
4.16%, 2/1/2017 (a)
    
450,000
      
265,500
  
4.16%, 2/1/2025 (a)
    
9,500,000
      
5,605,000
  
             
5,964,900
  
Missouri - 1.30%
                
Kirkwood Industrial Development Authority Revenue Bonds
                
5.25%, 5/15/2050 (Callable 5/15/2027)
    
1,000,000
      
1,087,200
  
New Jersey - 6.38%
                
New Jersey Economic Development Authority School Facilities Revenue Bonds
                
5.00%, 6/15/2025
    
500,000
      
570,715
  
5.00%, 6/15/2034 (Callable 6/15/2024)
    
1,000,000
      
1,093,730
  
New Jersey Transportation Trust Fund Authority Revenue Bonds
                
4.625%, 6/15/2030 (Callable 6/15/2025)
    
1,000,000
      
1,097,150
  
South Jersey Transportation Authority Revenue Bonds
                
5.00%, 11/1/2039 (Callable 11/1/2024)
    
1,000,000
      
1,109,970
  
Tobacco Settlement Financing Corp. Revenue Bonds
                
5.00%, 6/1/2046 (Callable 6/1/2028)
    
1,350,000
      
1,441,652
  
             
5,313,217
  
New York - 3.75%
                
Brooklyn Arena Local Development Corp. Revenue Bonds
                
4.00%, 7/15/2031 (Callable 1/15/2027) (AGM Insured)
    
500,000
      
554,105
  
5.00%, 7/15/2042 (Callable 1/15/2027)
    
500,000
      
567,125
  
New York Liberty Development Corp. Revenue Bonds
                
5.25%, 10/1/2035
    
620,000
      
816,199
  
New York Transportation Development Corp. Revenue Bonds
                
5.00%, 1/1/2031 (Callable 1/1/2028)
    
1,000,000
      
1,188,970
  
             
3,126,399
  
Oklahoma - 1.40%
                
Oklahoma Development Finance Authority Revenue Bonds
                
5.50%, 8/15/2057 (Callable 8/15/2028)
    
1,000,000
      
1,167,930
  
Oregon - 2.26%
                
Clackamas County Hospital Facility Authority Revenue Bonds
                
5.00%, 11/15/2032 (Callable 11/15/2025)
    
700,000
      
792,176
  
5.00%, 11/15/2052 (Callable 11/15/2025)
    
1,000,000
      
1,095,180
  
             
1,887,356
  
Pennsylvania - 3.41%
                
Allentown Neighborhood Improvement Zone Development Authority Revenue Bonds
                
5.00%, 5/1/2042 (Callable 5/1/2028) (b)
    
1,500,000
      
1,656,375
  
Commonwealth Financing Authority Tobacco Master Settlement Payment Revenue Bonds
                
5.00%, 6/1/2035 (Callable 6/1/2028)
    
500,000
      
596,810
  
Philadelphia Gas Works Co. Revenue Bonds
                
5.00%, 10/1/2032 (Callable 10/1/2026)
    
500,000
      
589,080
  
             
2,842,265
  
Puerto Rico - 7.50%
                
Commonwealth of Puerto Rico General Obligation Bonds
                
5.50%, 7/1/2020 (NATL Insured)
    
665,000
      
680,096
  
Puerto Rico Commonwealth Aqueduct & Sewer Authority Revenue Bonds
                
5.00%, 7/1/2028 (Callable 7/1/2019) (AGC Insured)
    
1,020,000
      
1,037,553
  
Puerto Rico Electric Power Authority Revenue Bonds
                
5.00%, 7/1/2022 (Callable 7/1/2019) (NATL Insured)
    
555,000
      
561,359
  
5.00%, 7/1/2023 (Callable 7/1/2019) (NATL Insured)
    
180,000
      
181,993
  
5.00%, 7/1/2024 (Callable 7/1/2019) (NATL Insured)
    
420,000
      
424,486
  
5.00%, 7/1/2024 (Callable 7/1/2019) (AGM Insured)
    
450,000
      
459,171
  
Puerto Rico Highways & Transportation Authority Revenue Bonds
                
4.75%, 7/1/2038 (Callable 7/1/2019) (NATL Insured)
    
1,000,000
      
995,080
  
Puerto Rico Municipal Finance Agency Revenue Bonds
                
5.25%, 8/1/2022 (AGC Insured)
    
870,000
      
917,876
  
Puerto Rico Sales Tax Financing Corp. Sales Tax Revenue Bonds
                
5.00%, 7/1/2058 (Callable 7/1/2028)
    
1,001,000
      
995,044
  
             
6,252,658
  
South Carolina - 2.07%
                
South Carolina Public Service Authority Revenue Bonds
                
5.00%, 12/1/2037 (Callable 12/1/2026)
    
500,000
      
583,765
  
5.00%, 12/1/2056 (Callable 12/1/2026)
    
1,000,000
      
1,143,070
  
             
1,726,835
  
Tennessee - 1.35%
                
Chattanooga Health Educational & Housing Facility Board Revenue Bonds
                
5.00%, 10/1/2035 (Callable 10/1/2025)
    
500,000
      
552,110
  
Chattanooga Tennessee Health, Educational, and Student Housing Facility Board Revenue Bonds
                
5.00%, 10/1/2029 (Callable 10/1/2025)
    
500,000
      
570,605
  
             
1,122,715
  
Texas - 4.64%
                
Austin Convention Enterprises, Inc. Revenue Bonds
                
5.00%, 1/1/2032 (Callable 1/1/2027)
    
575,000
      
653,649
  
5.00%, 1/1/2034 (Callable 1/1/2027)
    
850,000
      
958,885
  
Central Texas Regional Mobility Authority Revenue Bonds
                
5.00%, 1/1/2046 (Callable 1/1/2026)
    
1,000,000
      
1,128,340
  
Central Texas Turnpike System Revenue Bonds
                
5.00%, 8/15/2034 (Callable 8/15/2024)
    
1,000,000
      
1,124,350
  
             
3,865,224
  
Virginia - 1.27%
                
City of Chesapeake Virginia Expressway Toll Road Revenue Bonds
                
4.125%, 7/15/2042 (Callable 7/15/2022)
    
510,000
      
523,357
  
5.00%, 7/15/2047 (Callable 7/15/2022)
    
500,000
      
532,455
  
             
1,055,812
  
Washington - 2.79%
                
Greater Wenatchee Regional Events Center Public Facilities District Revenue Bonds
                
4.50%, 9/1/2022
    
190,000
      
195,295
  
5.25%, 9/1/2032 (Callable 9/1/2022)
    
1,000,000
      
1,026,260
  
Skagit County Public Hospital District No. 1 Revenue Bonds
                
4.00%, 12/1/2026
    
500,000
      
559,880
  
5.00%, 12/1/2037 (Callable 12/1/2023)
    
500,000
      
543,240
  
             
2,324,675
  
Wisconsin - 2.48%
                
Public Finance Authority Revenue Bonds
                
5.00%, 6/15/2049 (Callable 6/15/2026)
    
520,000
      
543,160
  
5.00%, 6/15/2054 (Callable 6/15/2026)
    
450,000
      
466,583
  
Wisconsin Health & Educational Facilities Authority Revenue Bonds
                
5.25%, 12/1/2049 (Callable 12/1/2022)
    
1,000,000
      
1,060,130
  
             
2,069,873
  
TOTAL MUNICIPAL BONDS (Cost $73,296,423)
            
78,088,495
  
                 
MONEY MARKET FUND - 4.14%
                
Fidelity Institutional Money Market Funds - Government Portfolio, Institutional Class, 2.27% (c)
    
3,451,875
      
3,451,875
  
TOTAL MONEY MARKET FUND (Cost $3,451,875)
            
3,451,875
  
                 
Total Investments (Cost $76,748,298) - 97.84%
            
81,540,370
  
Other Assets in Excess of Liabilities - 2.16%
            
1,801,314
  
TOTAL NET ASSETS - 100.00%
          
$
83,341,684
  

   
Scheduled principal and interest payments are guaranteed by the following bond insurers.
   
AGC - Assured Guaranty Corp.
   
AGM - Assured Guaranty Municipal Corp.
   
NATL - National Public Finance Guarantee
   
The insurance does not guarantee the market value of the municipal bonds.
      
(a)
  
The securities are in default and are not making full payments of interest and principal when due. The securities are making semi-annual distributions of variable amounts of cash flow. These amounts are determined by factors including, but not limited to, property occupancy levels, per unit rental rates and capital reinvestment expenses. The coupon accrual rate being utilized by the Fund is reviewed annually for consistency by the portfolio manager and will generally be based upon 50-150% of prior period distributions, depending on changes in the previously mentioned factors.
 
 
 
(b)
  
Security purchased within the terms of a private placement memorandum, exempt from registration under Rule 144A of the Securities Act of 1933, as amended, and may be sold only to dealers in the program or other "qualified institutional buyers." Wasmer, Schroeder & Company, LLC, the Fund's investment 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 May 31, 2019, the value of these investments was $3,807,455 or 4.57% of total net assets.
 
 
(c)
  
Rate shown is the 7-day annualized yield at May 31, 2019.
Wasmer Schroeder High Yield Municipal Fund
Notes to the Schedule of Investments
May 31, 2019 (Unaudited)

Note 1 – Securities Valuation

The Wasmer Schroeder High Yield Municipal Fund’s (the “Fund”) investments in securities are carried at their fair value.

The Fund determines the fair value of its investments and computes its net asset value per share as of the close of regular trading on the New York Stock Exchange (4:00 pm EST).

Debt securities are valued at their bid prices furnished by an independent pricing service using valuation methods that are designed to represent fair value.  These valuation methods can include matrix pricing and other analytical pricing models, market transactions, and dealer-supplied valuations.  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 debt securities are categorized in level 2 of the fair value hierarchy.

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 are valued at their net asset value per share and are typically categorized in level 1 of the fair value hierarchy.

A security may be considered illiquid if it lacks a readily available market.  Securities are generally considered liquid if they can be sold or disposed of in the ordinary course of business within seven days at approximately the price at which the security is valued by the Fund.  Illiquid securities may be valued under methods approved by the Fund’s Board of Trustees as reflecting fair value.  The Fund intends to hold no more than 15% of its net assets in illiquid securities.  As of May 31, 2019, the Fund held illiquid securities with a value of $5,964,900 or 7.16% of total net assets.

Information concerning these illiquid securities is as follows:

 
PAR
Dates Acquired
Cost Basis
Southcentral Minnesota Multi-County Housing &
Redevelopment Authority, due 2000-2025
$10,110,000
9/04 – 2/14
$4,433,456

The Board of Trustees (“Board”) has delegated day-to-day valuation issues to a Valuation Committee of Advisors Series Trust which is comprised of 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 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 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 Fund has 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 Fund’s 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 May 31, 2019:

   
Level 1
    
Level 2
    
Level 3
    
Total
Municipal Securities
  
$
-
    
$
78,088,495
    
$
-
    
$
78,088,495
Money Market Fund
    
3,451,875
      
-
      
-
      
3,451,875
Total Investments
  
$
3,451,875
    
$
78,088,495
    
$
-
    
$
81,540,370

Refer to the Fund’s schedule of investments for additional information. Transfers between levels are recognized at May 31, 2019, the end of the reporting period.  There were no transfers between levels during the period ended May 31, 2019.
Item 2. Controls and Procedures.
 
(a)
The Registrant’s President/Chief Executive Officer/Principal Executive Officer and Vice President/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/ Jeffrey T. Rauman                                              
Jeffrey T. Rauman, President/Chief Executive Officer/Principal
Executive Officer

Date  7/24/19                                                                                                       


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/ Jeffrey T. Rauman                                              
Jeffrey T. Rauman, President/Chief Executive Officer/Principal
Executive Officer

Date  7/24/19                                                                                                   

  

By (Signature and Title)* /s/ Cheryl L. King                                                 
 Cheryl L. King, Vice President/Treasurer/Principal Financial
 Officer

Date  7/22/19                                                                                                         


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