UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-07959
Advisors Series Trust
(Exact name of registrant as specified in charter)
(Exact name of registrant as specified in charter)
615 East Michigan Street
Milwaukee, WI 53202
(Address of principal executive offices) (Zip code)
(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, WI 53202
(Name and address of agent for service)
(Name and address of agent for service)
(414) 765-6872
(Registrant's telephone number, including area code)
Date of fiscal year end: November 30, 2019
Date of reporting period: May 31, 2019
Item 1. Reports to Stockholders.
Semper MBS Total Return Fund
Class A – SEMOX
Investor Class – SEMPX
Institutional Class – SEMMX
Semper Short Duration Fund
Investor Class – SEMRX
Institutional Class – SEMIX
Semi-Annual Report
May 31, 2019
Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, paper copies of the Funds’ shareholder reports will no longer be sent by mail, unless you specifically
request paper copies of the reports from the Funds (defined herein) or from your financial intermediary, such as a broker-dealer or bank. Instead, the reports will be made available on a website, and you will be notified by mail each time a report is
posted and provided with a website link to access the report.
If you already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. You may elect to receive shareholder reports and other communications from
the Funds or your financial intermediary electronically through the Funds’ website.
You may elect to receive all future reports in paper free of charge. You can inform the Funds or your financial intermediary that you wish to continue receiving paper copies of your shareholder reports. Your election
to receive reports in paper will apply to all funds held with the fund complex and may apply to all funds held through your financial intermediary.
SEMPER FUNDS
Table of Contents
|
Allocation of Portfolio Assets
|
1
|
||
|
Expense Example
|
3
|
||
|
Schedules of Investments
|
5
|
||
|
Statements of Assets and Liabilities
|
44
|
||
|
Statements of Operations
|
47
|
||
|
Statements of Changes in Net Assets
|
48
|
||
|
Financial Highlights
|
52
|
||
|
Notes to Financial Statements
|
57
|
||
|
Notice to Shareholders
|
73
|
||
|
Approval of Investment Advisory Agreement
|
74
|
||
|
Privacy Notice
|
78
|
SEMPER MBS TOTAL RETURN FUND
ALLOCATION OF PORTFOLIO ASSETS at May 31, 2019 (Unaudited)
Percentages represent market value as a percentage of total investments.
1
SEMPER SHORT DURATION FUND
ALLOCATION OF PORTFOLIO ASSETS at May 31, 2019 (Unaudited)
Percentages represent market value as a percentage of total investments.
2
SEMPER FUNDS
EXPENSE EXAMPLE at May 31, 2019 (Unaudited)
As a shareholder of a mutual fund, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments, redemption fees, and exchange fees, and (2) ongoing costs, including
management fees, distribution and/or service fees, and other fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in the Funds and to compare these costs with the ongoing costs of investing in
other mutual funds. The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (12/1/18 – 5/31/19).
Actual Expenses
The information in the table under the heading “Actual” provides information about actual account values and actual expenses, with actual net expenses being limited to 1.15%, 1.15% and 0.90% per the operating expenses
limitation agreement for the Semper MBS Total Return Fund – Class A, Investor Class and Institutional Class shares, respectively, and limited to 0.85% and 0.60% per the operating expenses limitation agreement for the Semper Short Duration Fund –
Investor Class and Institutional Class shares, respectively. You will be assessed fees for outgoing wire transfers, returned checks, and stop payment orders at prevailing rates charged by U.S. Bancorp Fund Services, LLC, the Funds’ transfer agent.
The Example below includes, but is not limited to, management fees, 12b-1 fees, fund accounting, custody and transfer agent fees. You may use this information, together with the amount you invested, to estimate the expenses that you paid over the
period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid During Period” to estimate the
expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The information in the table under the heading “Hypothetical (5% return before expenses)” provides information about hypothetical account values and hypothetical expenses based on each Fund’s actual expense ratios and
an assumed rate of return of 5% per year before expenses, which is different from the Fund’s actual returns. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the
period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs, such as sales charges (loads), redemption fees, or exchange fees. Therefore, the second line of the table is
useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transaction costs were included, your costs would have been higher.
3
SEMPER FUNDS
EXPENSE EXAMPLE at May 31, 2019 (Unaudited), Continued
Total Return Fund
|
Beginning
|
Ending
|
Expenses Paid
|
|
|
Account Value
|
Account Value
|
During Period
|
|
|
12/1/18
|
5/31/19
|
12/1/18 – 5/31/19(1)
|
|
|
Class A
|
|||
|
Actual
|
$1,000.00
|
$1,025.50
|
$5.20
|
|
Hypothetical (5% return
|
$1,000.00
|
$1,019.80
|
$5.19
|
|
before expenses)
|
|||
|
Investor Class
|
|||
|
Actual
|
$1,000.00
|
$1,025.50
|
$5.20
|
|
Hypothetical (5% return
|
$1,000.00
|
$1,019.80
|
$5.19
|
|
before expenses)
|
|||
|
Institutional Class
|
|||
|
Actual
|
$1,000.00
|
$1,025.80
|
$3.94
|
|
Hypothetical (5% return
|
$1,000.00
|
$1,021.04
|
$3.93
|
|
before expenses)
|
|
(1)
|
Expenses are equal to the annualized expense ratio, multiplied by the average account value over the period, multiplied by 182 (days in most recent fiscal half-year)/365 days to reflect the one-half year
expense. The annualized expense ratios of the Semper MBS Total Return Fund – Class A, Investor Class and Institutional Class are 1.03%, 1.03% and 0.78%, respectively.
|
Short Duration Fund
|
Beginning
|
Ending
|
Expenses Paid
|
|
|
Account Value
|
Account Value
|
During Period
|
|
|
12/1/18
|
5/31/19
|
12/1/18 – 5/31/19(1)
|
|
|
Investor Class
|
|||
|
Actual
|
$1,000.00
|
$1,017.80
|
$4.28
|
|
Hypothetical (5% return
|
$1,000.00
|
$1,020.69
|
$4.28
|
|
before expenses)
|
|||
|
Institutional Class
|
|||
|
Actual
|
$1,000.00
|
$1,019.20
|
$3.02
|
|
Hypothetical (5% return
|
$1,000.00
|
$1,021.94
|
$3.02
|
|
before expenses)
|
|
(1)
|
Expenses are equal to the annualized expense ratio, multiplied by the average account value over the period, multiplied by 182 (days in most recent fiscal half-year)/365 days to reflect the one-half year
expense. The annualized expense ratios of the Semper Short Duration Fund – Investor Class and Institutional Class are 0.85% and 0.60%, respectively.
|
4
SEMPER MBS TOTAL RETURN FUND
SCHEDULE OF INVESTMENTS at May 31, 2019 (Unaudited)
|
Principal
|
||||||||
|
Amount
|
Value
|
|||||||
|
ASSET-BACKED SECURITIES – REAL ESTATE – 0.0%
|
||||||||
|
Ocwen Master Advance Receivables Trust
|
||||||||
|
Series 2016-T2, Class DT2, 4.446%, 8/16/49 (c)(e)
|
$
|
1,000,000
|
$
|
1,000,065
|
||||
|
Total Asset-Backed Securities – Real Estate
|
||||||||
|
(cost $999,998)
|
1,000,065
|
|||||||
|
COLLATERALIZED LOAN OBLIGATIONS – 0.1%
|
||||||||
|
Apex Credit CLO Ltd.
|
||||||||
|
Series 2016-1A, Class ASR, 3.632%
|
||||||||
|
(3 Month LIBOR USD + 1.050%), 10/27/28 (c)(h)
|
1,250,000
|
1,249,972
|
||||||
|
Oaktree CLO Ltd.
|
||||||||
|
Series 2014-1A, Class A1R, 3.825%
|
||||||||
|
(3 Month LIBOR USD + 1.290%), 5/13/29 (c)(h)
|
500,000
|
500,212
|
||||||
|
Total Collateralized Loan Obligations
|
||||||||
|
(cost $1,748,820)
|
1,750,184
|
|||||||
|
COMMERCIAL MORTGAGE-BACKED SECURITIES – AGENCY – 0.0%
|
||||||||
|
Fannie Mae-Aces
|
||||||||
|
Series 2010-M6, Class SA, 3.960%
|
||||||||
|
(1 Month LIBOR USD + 6.390%), 9/25/20 (g)(h)
|
1,099,576
|
24,795
|
||||||
|
Series 2006-M1, Class IO, 0.078%, 3/25/36 (a)(g)
|
2,404,909
|
3,190
|
||||||
|
GNMA REMIC Trust
|
||||||||
|
Series 2012-25, Class IO, 0.542%, 8/16/52 (a)(g)
|
2,823,950
|
60,953
|
||||||
|
Series 2013-173, Class AC, 2.696%, 10/16/53 (a)
|
17,131
|
17,389
|
||||||
|
Government National Mortgage Association
|
||||||||
|
Series 2002-28, Class IO, 0.809%, 1/16/42 (a)(g)
|
61,087
|
1
|
||||||
|
Series 2005-23, Class IO, 0.018%, 6/17/45 (a)(g)
|
364,476
|
202
|
||||||
|
Series 2006-68, Class IO, 0.269%, 5/16/46 (a)(g)
|
608,760
|
4,235
|
||||||
|
Total Commercial Mortgage-Backed Securities – Agency
|
||||||||
|
(cost $249,690)
|
110,765
|
|||||||
|
COMMERCIAL MORTGAGE-BACKED SECURITIES – NON-AGENCY – 5.3%
|
||||||||
|
Bayview Commercial Asset Trust
|
||||||||
|
Series 2004-2, Class A, 2.860%
|
||||||||
|
(1 Month LIBOR USD + 0.430%), 8/25/34 (c)(h)
|
1,071,199
|
1,055,851
|
||||||
|
Series 2004-3, Class B2, 7.455%
|
||||||||
|
(1 Month LIBOR USD + 5.025%), 1/25/35 (c)(h)
|
67,591
|
68,652
|
||||||
|
Series 2006-2A, Class M1, 2.740%
|
||||||||
|
(1 Month LIBOR USD + 0.310%), 7/25/36 (c)(h)
|
1,225,925
|
1,183,845
|
||||||
The accompanying notes are an integral part of these financial statements.
5
SEMPER MBS TOTAL RETURN FUND
SCHEDULE OF INVESTMENTS at May 31, 2019 (Unaudited), Continued
|
Principal
|
||||||||
|
Amount
|
Value
|
|||||||
|
Bayview Commercial Asset Trust (Continued)
|
||||||||
|
Series 2006-2A, Class M3, 2.780%
|
||||||||
|
(1 Month LIBOR USD + 0.350%), 7/25/36 (c)(h)
|
$
|
1,772,121
|
$
|
1,702,280
|
||||
|
Series 2006-3A, Class M1, 2.770%
|
||||||||
|
(1 Month LIBOR USD + 0.340%), 10/25/36 (c)(h)
|
1,836,447
|
1,764,049
|
||||||
|
Series 2006-4A, Class A1, 2.660%
|
||||||||
|
(1 Month LIBOR USD + 0.230%), 12/25/36 (c)(h)
|
1,032,432
|
1,008,482
|
||||||
|
Series 2006-4A, Class A2, 2.700%
|
||||||||
|
(1 Month LIBOR USD + 0.270%), 12/25/36 (c)(h)
|
2,354,490
|
2,278,951
|
||||||
|
Series 2007-2A, Class A1, 2.700%
|
||||||||
|
(1 Month LIBOR USD + 0.270%), 7/25/37 (c)(h)
|
2,451,655
|
2,347,547
|
||||||
|
Series 2007-3, Class M1, 2.740%
|
||||||||
|
(1 Month LIBOR USD + 0.310%), 7/25/37 (c)(h)
|
381,025
|
359,646
|
||||||
|
Series 2007-6A, Class A3A, 3.680%
|
||||||||
|
(1 Month LIBOR USD + 1.250%), 12/25/37 (c)(h)
|
2,583,847
|
2,592,725
|
||||||
|
CNL Commercial Mortgage Loan Trust
|
||||||||
|
Series 2003-1A, Class A1, 2.940%
|
||||||||
|
(1 Month LIBOR USD + 0.500%), 5/15/31 (c)(h)
|
449,463
|
439,633
|
||||||
|
Freddie Mac Military Housing Bonds Resecuritization Trust
|
||||||||
|
Series 2015-R1, Class C3, 5.496%, 11/25/52 (a)(c)
|
3,020,016
|
2,983,944
|
||||||
|
Series 2015-R1, Class D1, 16.592%, 11/25/55 (a)(c)
|
4,599,573
|
4,424,710
|
||||||
|
FREMF Mortgage Trust
|
||||||||
|
Series 2014-KF05, Class B, 6.481%
|
||||||||
|
(1 Month LIBOR USD + 4.000%), 9/25/22 (c)(h)
|
921,717
|
932,599
|
||||||
|
Series 2017-KF35, Class B, 5.231%
|
||||||||
|
(1 Month LIBOR USD + 2.750%), 8/25/24 (c)(h)
|
3,349,486
|
3,356,981
|
||||||
|
Series 2017-KF39, Class B, 4.981%
|
||||||||
|
(1 Month LIBOR USD + 2.500%), 11/25/24 (c)(h)
|
2,580,329
|
2,591,230
|
||||||
|
Series 2018-KF42, Class B, 4.681%
|
||||||||
|
(1 Month LIBOR USD + 2.200%), 12/25/24 (c)(h)
|
1,943,620
|
1,954,479
|
||||||
|
Series 2018-K731, Class C, 3.910%, 2/25/25 (a)(c)
|
1,223,000
|
1,227,410
|
||||||
|
Series 2018-KF44, Class B, 4.631%
|
||||||||
|
(1 Month LIBOR USD + 2.150%), 2/25/25 (c)(h)
|
2,326,923
|
2,316,346
|
||||||
|
Series 2018-KF47, Class B, 4.481%
|
||||||||
|
(1 Month LIBOR USD + 2.000%), 5/25/25 (c)(h)
|
6,454,022
|
6,430,606
|
||||||
|
Series 2018-KF51, Class B, 4.331%
|
||||||||
|
(1 Month LIBOR USD + 1.850%), 8/25/25 (c)(h)
|
8,195,704
|
8,103,562
|
||||||
|
Series 2018-KF53, Class B, 4.531%
|
||||||||
|
(1 Month LIBOR USD + 2.050%), 10/25/25 (h)
|
1,444,045
|
1,442,641
|
||||||
|
Series 2018-KF55, Class B, 4.781%
|
||||||||
|
(1 Month LIBOR USD + 2.300%), 11/25/25 (c)(h)
|
4,000,000
|
3,988,293
|
||||||
|
Series 2019-KF58, Class B, 4.631%
|
||||||||
|
(1 Month LIBOR USD + 2.150%), 1/25/26 (c)(h)
|
3,873,651
|
3,901,545
|
||||||
The accompanying notes are an integral part of these financial statements.
6
SEMPER MBS TOTAL RETURN FUND
SCHEDULE OF INVESTMENTS at May 31, 2019 (Unaudited), Continued
|
Principal
|
||||||||
|
Amount
|
Value
|
|||||||
|
FREMF Mortgage Trust (Continued)
|
||||||||
|
Series 2019-KF62, Class B, 4.531%
|
||||||||
|
(1 Month LIBOR USD + 2.050%), 4/25/26 (c)(h)
|
$
|
1,500,000
|
$
|
1,503,748
|
||||
|
Series 2017-KF33, Class B, 5.031%
|
||||||||
|
(1 Month LIBOR USD + 2.550%), 6/25/27 (c)(h)
|
5,849,016
|
5,930,603
|
||||||
|
Series 2017-KF37, Class B, 5.231%
|
||||||||
|
(1 Month LIBOR USD + 2.750%), 6/25/27 (c)(h)
|
2,770,200
|
2,805,234
|
||||||
|
Series 2018-KF43, Class B, 4.631%
|
||||||||
|
(1 Month LIBOR USD + 2.150%), 1/25/28 (c)(h)
|
4,524,473
|
4,524,120
|
||||||
|
Series 2018-KF48, Class B, 4.531%
|
||||||||
|
(1 Month LIBOR USD + 2.050%), 6/25/28 (c)(h)
|
7,374,886
|
7,282,640
|
||||||
|
Series 2018-KF50, Class B, 4.330%
|
||||||||
|
(1 Month LIBOR USD + 1.900%), 7/25/28 (c)(h)
|
1,525,000
|
1,516,830
|
||||||
|
Series 2018-KF52, Class B, 4.431%
|
||||||||
|
(1 Month LIBOR USD + 1.950%), 9/25/28 (h)
|
9,000,000
|
8,950,614
|
||||||
|
Series 2018-KF56, Class B, 4.931%
|
||||||||
|
(1 Month LIBOR USD + 2.450%), 11/25/28 (c)(h)
|
4,521,183
|
4,514,480
|
||||||
|
Series 2019-KF57, Class B, 4.731%
|
||||||||
|
(1 Month LIBOR USD + 2.250%), 1/25/29 (c)(h)
|
3,022,303
|
3,036,625
|
||||||
|
Series 2019-KF59, Class B, 4.831%
|
||||||||
|
(1 Month LIBOR USD + 2.350%), 2/25/29 (c)(h)
|
2,250,000
|
2,264,324
|
||||||
|
Series 2019-KF61, Class B, 4.681%
|
||||||||
|
(1 Month LIBOR USD + 2.200%), 4/25/29 (c)(h)
|
5,000,000
|
5,016,710
|
||||||
|
Velocity Commercial Capital Loan Trust
|
||||||||
|
Series 2017-2, Class M4, 5.000%, 11/25/47 (a)(c)
|
814,249
|
822,722
|
||||||
|
Series 2017-2, Class M5, 6.420%, 11/25/47 (a)(c)
|
676,467
|
684,121
|
||||||
|
Series 2018-1, Class M5, 6.260%, 4/25/48 (c)
|
484,081
|
497,589
|
||||||
|
Series 2018-2, Class M3, 4.720%, 10/26/48 (a)(c)
|
490,229
|
499,530
|
||||||
|
Series 2019-1, Class M5, 5.700%, 3/25/49 (a)(c)
|
745,709
|
754,697
|
||||||
|
Total Commercial Mortgage-Backed
|
||||||||
|
Securities – Non-Agency (cost $108,800,353)
|
109,060,594
|
|||||||
|
RESIDENTIAL MORTGAGE-BACKED SECURITIES – AGENCY – 13.7%
|
||||||||
|
Fannie Mae Connecticut Avenue Securities
|
||||||||
|
Series 2016-C01, Class 1M2, 9.180%
|
||||||||
|
(1 Month LIBOR USD + 6.750%), 8/25/28 (h)
|
16,809,642
|
19,344,928
|
||||||
|
Series 2016-C02, Class 1M2, 8.430%
|
||||||||
|
(1 Month LIBOR USD + 6.000%), 9/25/28 (h)
|
28,936,018
|
32,524,808
|
||||||
|
Series 2016-C03, Class 1M2, 7.730%
|
||||||||
|
(1 Month LIBOR USD + 5.300%), 10/25/28 (h)
|
3,387,000
|
3,840,202
|
||||||
|
Series 2016-C06, Class 1M2, 6.680%
|
||||||||
|
(1 Month LIBOR USD + 4.250%), 4/25/29 (h)
|
560,000
|
616,777
|
||||||
The accompanying notes are an integral part of these financial statements.
7
SEMPER MBS TOTAL RETURN FUND
SCHEDULE OF INVESTMENTS at May 31, 2019 (Unaudited), Continued
|
Principal
|
||||||||
|
Amount
|
Value
|
|||||||
|
Fannie Mae Connecticut Avenue Securities (Continued)
|
||||||||
|
Series 2018-C05, Class 1M2, 4.780%
|
||||||||
|
(1 Month LIBOR USD + 2.350%), 1/25/31 (h)
|
$
|
7,455,097
|
$
|
7,554,565
|
||||
|
Series 2018-R07, Class 1M2, 4.830%
|
||||||||
|
(1 Month LIBOR USD + 2.400%), 4/25/31 (c)(h)
|
6,766,000
|
6,831,402
|
||||||
|
Series 2018-R07, Class 1B1, 6.780%
|
||||||||
|
(1 Month LIBOR USD + 4.350%), 4/25/31 (c)(h)
|
8,880,000
|
9,306,809
|
||||||
|
Series 2019-R01, Class 2B1, 6.780%
|
||||||||
|
(1 Month LIBOR USD + 4.350%), 7/25/31 (c)(h)
|
7,546,000
|
7,691,724
|
||||||
|
Series 2019-R02, Class 1M2, 4.730%
|
||||||||
|
(1 Month LIBOR USD + 2.300%), 8/25/31 (c)(h)
|
19,000,000
|
19,179,459
|
||||||
|
Series 2019-R02, Class 1B1, 6.580%
|
||||||||
|
(1 Month LIBOR USD + 4.150%), 8/25/31 (c)(h)
|
6,750,000
|
6,908,298
|
||||||
|
Series 2019-R03, Class 1M2, 4.580%
|
||||||||
|
(1 Month LIBOR USD + 2.150%), 9/25/31 (c)(h)
|
30,802,000
|
31,079,218
|
||||||
|
Series 2019-R03, Class 1B1, 6.530%
|
||||||||
|
(1 Month LIBOR USD + 4.100%), 9/25/31 (c)(h)
|
12,920,000
|
13,206,377
|
||||||
|
FHLMC Structured Pass Through Securities
|
||||||||
|
Series T-67, Class 1A1C, 3.955%, 3/25/36 (a)
|
66,893
|
67,061
|
||||||
|
FNMA Grantor Trust
|
||||||||
|
Series 2003-T2, Class A1, 2.757%
|
||||||||
|
(1 Month LIBOR USD + 0.140%), 3/25/33 (h)
|
54,640
|
53,600
|
||||||
|
Series 2004-T3, Class 2A, 4.407%, 8/25/43 (a)
|
55,883
|
58,008
|
||||||
|
FNMA Pool
|
||||||||
|
5.500%, 5/1/36, #871313
|
7,091
|
7,378
|
||||||
|
5.000%, 8/1/37, #888534
|
13,937
|
14,718
|
||||||
|
FNMA REMIC Trust
|
||||||||
|
Series 2007-30, Class ZM, 4.250%, 4/25/37
|
51,943
|
58,617
|
||||||
|
Series 2007-W8, Class 1A5, 6.380%, 9/25/37 (a)
|
14,323
|
16,016
|
||||||
|
Freddie Mac Structured Agency Credit Risk
|
||||||||
|
Series 2014-DN2, Class M3, 6.030%
|
||||||||
|
(1 Month LIBOR USD + 3.600%), 4/25/24 (h)
|
23,000,000
|
24,882,414
|
||||||
|
Series 2015-DNA3, Class M3, 7.130%
|
||||||||
|
(1 Month LIBOR USD + 4.700%), 4/25/28 (h)
|
11,145,000
|
12,660,125
|
||||||
|
Series 2016-DNA1, Class M3, 8.027%
|
||||||||
|
(1 Month LIBOR USD + 5.550%), 7/25/28 (h)
|
20,750,000
|
23,860,126
|
||||||
|
Series 2016-HQA1, Class M2, 5.180%
|
||||||||
|
(1 Month LIBOR USD + 2.750%), 9/25/28 (h)
|
1,506,347
|
1,525,758
|
||||||
|
Series 2016-HQA2, Class M2, 4.680%
|
||||||||
|
(1 Month LIBOR USD + 2.250%), 11/25/28 (h)
|
1,145,159
|
1,161,347
|
||||||
|
Series 2018-HRP1, Class M2, 4.080%
|
||||||||
|
(1 Month LIBOR USD + 1.650%), 4/25/43 (c)(h)
|
22,493,032
|
22,643,924
|
||||||
The accompanying notes are an integral part of these financial statements.
8
SEMPER MBS TOTAL RETURN FUND
SCHEDULE OF INVESTMENTS at May 31, 2019 (Unaudited), Continued
|
Principal
|
||||||||
|
Amount
|
Value
|
|||||||
|
Freddie Mac Structured Agency Credit Risk (Continued)
|
||||||||
|
Series 2018-HRP2, Class M3, 4.830%
|
||||||||
|
(1 Month LIBOR USD + 2.400%), 2/25/47 (c)(h)
|
$
|
21,097,372
|
$
|
21,609,623
|
||||
|
Series 2018-SPI1, Class M2, 3.744%, 2/25/48 (a)(c)
|
3,700,000
|
3,461,155
|
||||||
|
Series 2018-SPI2, Class M2, 3.818%, 5/25/48 (a)(c)
|
2,329,080
|
2,218,688
|
||||||
|
Series 2018-SPI3, Class M2, 4.165%, 8/25/48 (a)(c)
|
2,250,000
|
2,191,796
|
||||||
|
Series 2018-DNA3, Class M2, 4.530%
|
||||||||
|
(1 Month LIBOR USD + 2.100%), 9/25/48 (c)(h)
|
4,500,000
|
4,503,735
|
||||||
|
Series 2018-SPI4, Class M2, 4.460%, 11/25/48 (a)(c)
|
1,500,000
|
1,476,311
|
||||||
|
GNMA II Pool
|
||||||||
|
5.000%, 6/20/40, #745378
|
65,235
|
68,299
|
||||||
|
Total Residential Mortgage-Backed Securities –
|
||||||||
|
Agency (cost $279,350,034)
|
280,623,266
|
|||||||
|
RESIDENTIAL MORTGAGE-BACKED SECURITIES – NON-AGENCY – 78.0%
|
||||||||
|
ACE Securities Corp. Home Equity Loan Trust
|
||||||||
|
Series 2006-HE4, Class A2B, 2.540%
|
||||||||
|
(1 Month LIBOR USD + 0.110%), 10/25/36 (h)
|
12,486,553
|
7,050,621
|
||||||
|
Series 2006-HE4, Class A1, 2.570%
|
||||||||
|
(1 Month LIBOR USD + 0.140%), 10/25/36 (h)
|
1,015,722
|
621,599
|
||||||
|
AFC Home Equity Loan Trust
|
||||||||
|
Series 1997-3, Class 1A4, 7.470%, 9/27/27 (k)
|
172,946
|
172,752
|
||||||
|
American Home Mortgage Assets Trust
|
||||||||
|
Series 2006-3, Class 2A11, 3.421%
|
||||||||
|
(12 Month US Treasury Average + 0.940%), 10/25/46 (h)
|
17,171,612
|
15,545,527
|
||||||
|
Series 2006-6, Class A1A, 2.620%
|
||||||||
|
(1 Month LIBOR USD + 0.190%), 12/25/46 (h)
|
13,230,280
|
11,688,840
|
||||||
|
Series 2007-1, Class A1, 3.181%
|
||||||||
|
(12 Month US Treasury Average + 0.700%), 2/25/47 (h)
|
15,503,590
|
9,779,798
|
||||||
|
Series 2007-2, Class A1, 2.555%
|
||||||||
|
(1 Month LIBOR USD + 0.125%), 3/25/47 (h)
|
8,282,742
|
7,730,791
|
||||||
|
Series 2007-5, Class A1, 2.620%
|
||||||||
|
(1 Month LIBOR USD + 0.190%), 6/25/47 (h)
|
1,628,420
|
1,539,537
|
||||||
|
American Homes 4 Rent Trust
|
||||||||
|
Series 2014-SFR2, Class E, 6.231%, 10/17/36 (c)
|
3,000,000
|
3,346,094
|
||||||
|
Ameriquest Mortgage Securities Trust
|
||||||||
|
Series 2006-M3, Class A2D, 2.670%
|
||||||||
|
(1 Month LIBOR USD + 0.240%), 10/25/36 (h)
|
8,644,260
|
3,945,554
|
||||||
|
Amresco Residential Securities Corp. Mortgage Loan Trust
|
||||||||
|
Series 1998-1, Class M1F, 7.000%, 1/25/28 (a)
|
162,186
|
164,523
|
||||||
|
Angel Oak Mortgage Trust I LLC
|
||||||||
|
Series 2017-2, Class B1, 4.646%, 7/25/47 (a)(c)
|
4,023,000
|
4,073,010
|
||||||
The accompanying notes are an integral part of these financial statements.
9
SEMPER MBS TOTAL RETURN FUND
SCHEDULE OF INVESTMENTS at May 31, 2019 (Unaudited), Continued
|
Principal
|
||||||||
|
Amount
|
Value
|
|||||||
|
Angel Oak Mortgage Trust I LLC (Continued)
|
||||||||
|
Series 2019-1, Class M1, 4.500%, 11/25/48 (a)(c)
|
$
|
1,781,000
|
$
|
1,857,054
|
||||
|
Series 2019-1, Class B1, 5.400%, 11/25/48 (a)(c)
|
3,000,000
|
3,127,853
|
||||||
|
Series 2019-2, Class B1, 5.016%, 3/25/49 (a)(c)
|
2,500,000
|
2,586,813
|
||||||
|
Series 19-3, Class B1, 4.099%, 5/25/59 (a)(c)
|
5,000,000
|
4,999,934
|
||||||
|
Argent Securities Inc.
|
||||||||
|
Series 2005-W2, Class M2, 2.940%
|
||||||||
|
(1 Month LIBOR USD + 0.510%), 10/25/35 (h)
|
33,147,657
|
32,729,125
|
||||||
|
Asset Backed Securities Corp. Home Equity Loan Trust
|
||||||||
|
Series 1999-LB1, Class A1F, 7.110%, 6/21/29
|
1,274,565
|
1,318,808
|
||||||
|
Asset Backed Securities Corp.
|
||||||||
|
Long Beach Home Equity Loan Trust
|
||||||||
|
Series 2000-LB1, Class AF5, 7.619%, 9/21/30 (k)
|
582,183
|
605,363
|
||||||
|
Banc of America Funding Corp.
|
||||||||
|
Series 2006-D, Class 5A2, 4.370%, 5/20/36 (a)
|
19,369
|
18,520
|
||||||
|
Series 2008-R4, Class 1A4, 2.927%
|
||||||||
|
(1 Month LIBOR USD + 0.450%), 7/25/37 (c)(h)
|
2,498,841
|
1,696,540
|
||||||
|
Series 2007-5, Class 7A2, 29.992%
|
||||||||
|
(1 Month LIBOR USD + 46.150%), 7/25/47 (h)(j)
|
146,623
|
269,605
|
||||||
|
Bayview Financial Mortgage Trust
|
||||||||
|
Series 2005-C, Class M4, 3.230%
|
||||||||
|
(1 Month LIBOR USD + 0.800%), 6/28/44 (h)
|
3,037,000
|
2,853,332
|
||||||
|
Bear Stearns ALT-A Trust
|
||||||||
|
Series 2005-8, Class 11A1, 2.970%
|
||||||||
|
(1 Month LIBOR USD + 0.540%), 10/25/35 (h)
|
4,457,977
|
4,405,375
|
||||||
|
Series 2005-9, Class 11A1, 2.950%
|
||||||||
|
(1 Month LIBOR USD + 0.520%), 11/25/35 (h)
|
7,183,105
|
8,047,897
|
||||||
|
Bear Stearns Asset Backed Securities I Trust
|
||||||||
|
Series 2006-IM1, Class A3, 2.710%
|
||||||||
|
(1 Month LIBOR USD + 0.280%), 4/25/36 (h)
|
12,337,500
|
13,311,253
|
||||||
|
Series 2006-IM1, Class A6, 2.750%
|
||||||||
|
(1 Month LIBOR USD + 0.320%), 4/25/36 (h)
|
12,198,966
|
12,984,221
|
||||||
|
Series 2006-HE9, Class 1A3, 2.660%
|
||||||||
|
(1 Month LIBOR USD + 0.230%), 11/25/36 (h)
|
11,943,000
|
11,299,264
|
||||||
|
Bear Stearns Mortgage Securities, Inc.
|
||||||||
|
Series 1997-6, Class 1A, 6.285%, 3/25/31 (a)
|
170,591
|
170,211
|
||||||
|
Bear Stearns Second Lien Trust
|
||||||||
|
Series 2007-SV1A, Class M2, 3.780%
|
||||||||
|
(1 Month LIBOR USD + 1.350%), 1/25/36 (c)(h)
|
6,500,000
|
6,551,457
|
||||||
|
Bellemeade Re Ltd.
|
||||||||
|
Series 2018-3A, Class M2, 5.180%
|
||||||||
|
(1 Month LIBOR USD + 2.750%), 10/25/28 (c)(h)
|
5,125,000
|
5,171,223
|
||||||
|
Series 2019-2A, Class M2, 5.530%
|
||||||||
|
(1 Month LIBOR USD + 3.100%), 4/25/29 (c)(h)
|
1,000,000
|
1,004,686
|
||||||
The accompanying notes are an integral part of these financial statements.
10
SEMPER MBS TOTAL RETURN FUND
SCHEDULE OF INVESTMENTS at May 31, 2019 (Unaudited), Continued
|
Principal
|
||||||||
|
Amount
|
Value
|
|||||||
|
CAM Mortgage Trust
|
||||||||
|
Series 2018-1, Class A1, 3.960%, 12/1/65 (c)
|
$
|
48,992
|
$
|
49,321
|
||||
|
Carrington Mortgage Loan Trust
|
||||||||
|
Series 2006-FRE2, Class A3, 2.590%
|
||||||||
|
(1 Month LIBOR USD + 0.160%), 10/25/36 (h)
|
2,304,842
|
1,753,499
|
||||||
|
Chase Home Lending Mortgage Trust
|
||||||||
|
Series 2019-ATR1, Class A12, 6.500%, 4/25/49 (a)(c)
|
7,524,730
|
8,326,562
|
||||||
|
CHL GMSR Issuer Trust
|
||||||||
|
Series 2018-GT1, Class A, 5.180%
|
||||||||
|
(1 Month LIBOR USD + 2.750%), 5/25/23 (c)(h)
|
3,750,000
|
3,759,132
|
||||||
|
Citigroup Mortgage Loan Trust
|
||||||||
|
Series 2004-HYB4, Class WA, 4.851%, 12/25/34 (a)
|
20,458
|
20,956
|
||||||
|
Series 2013-2, Class 4A2, 3.227%, 8/25/35 (a)(c)
|
7,068,330
|
5,776,903
|
||||||
|
Series 2009-6, Class 16A2, 6.000%, 3/25/36 (a)(c)
|
1,612,366
|
1,473,816
|
||||||
|
Series 2007-AMC1, Class A1, 2.590%
|
||||||||
|
(1 Month LIBOR USD + 0.160%), 12/25/36 (c)(h)
|
2,444,112
|
1,668,635
|
||||||
|
Series 2007-WFH1, Class M4, 2.790%
|
||||||||
|
(1 Month LIBOR USD + 0.360%), 1/25/37 (h)
|
1,208,356
|
854,840
|
||||||
|
Series 2007-WFH2, Class M3, 2.900%
|
||||||||
|
(1 Month LIBOR USD + 0.470%), 3/25/37(h)
|
9,500,000
|
9,114,839
|
||||||
|
CitiMortgage Alternative Loan Trust
|
||||||||
|
Series 2007-A7, Class 2A1, 2.830%
|
||||||||
|
(1 Month LIBOR USD + 0.400%), 7/25/37 (h)
|
312,525
|
254,316
|
||||||
|
COLT Funding LLC
|
||||||||
|
Series 2017-2, Class B1, 4.563%, 10/25/47 (a)(c)
|
8,000,000
|
8,161,217
|
||||||
|
Series 2018-1, Class B1, 4.362%, 2/25/48 (a)(c)
|
5,600,000
|
5,679,153
|
||||||
|
Series 2018-3, Class M2, 4.583%, 10/26/48 (a)(c)
|
1,440,000
|
1,464,281
|
||||||
|
Series 2019-1, Class M1, 4.518%, 3/25/49 (a)(c)
|
2,000,000
|
2,090,149
|
||||||
|
Conseco Finance Home Loan Trust
|
||||||||
|
Series 2000-E, Class B1, 10.260%, 8/15/31 (a)
|
360,320
|
393,544
|
||||||
|
CoreVest American Finance Trust
|
||||||||
|
Series 2017-2, Class M, 5.622%, 12/25/27 (c)
|
9,000,000
|
9,541,625
|
||||||
|
Series 2018-1, Class D, 4.920%, 6/15/51 (c)
|
6,000,000
|
6,196,613
|
||||||
|
Series 2018-1, Class E, 5.915%, 6/15/51 (a)(c)
|
1,534,000
|
1,576,545
|
||||||
|
Series 2019-1, Class D, 4.818%, 3/15/52 (c)
|
1,500,000
|
1,555,997
|
||||||
|
Series 2019-1, Class E, 5.489%, 3/15/52 (c)
|
242,500
|
240,322
|
||||||
|
Countrywide Alternative Loan Trust
|
||||||||
|
Series 2004-15, Class 2A2, 4.366%, 9/25/34 (a)
|
494,712
|
461,759
|
||||||
|
Series 2005-27, Class 3A2, 3.581%
|
||||||||
|
(12 Month US Treasury Average + 1.100%), 8/25/35 (h)
|
6,110
|
4,319
|
||||||
|
Series 2005-J10, Class 1A9, 3.130%
|
||||||||
|
(1 Month LIBOR USD + 0.700%), 10/25/35 (h)
|
1,055,424
|
863,426
|
||||||
|
Series 2005-54CB, Class 1A8, 5.500%, 11/25/35
|
572,488
|
386,168
|
||||||
The accompanying notes are an integral part of these financial statements.
11
SEMPER MBS TOTAL RETURN FUND
SCHEDULE OF INVESTMENTS at May 31, 2019 (Unaudited), Continued
|
Principal
|
||||||||
|
Amount
|
Value
|
|||||||
|
Countrywide Alternative Loan Trust (Continued)
|
||||||||
|
Series 2006-4CB, Class 2A3, 5.500%, 4/25/36
|
$
|
8,703
|
$
|
8,475
|
||||
|
Series 2006-OA3, Class 1A1, 2.630%
|
||||||||
|
(1 Month LIBOR USD + 0.200%), 5/25/36 (h)
|
13,361
|
11,547
|
||||||
|
Series 2006-18CB, Class A1, 2.900%
|
||||||||
|
(1 Month LIBOR USD + 0.470%), 7/25/36 (h)
|
10,011,640
|
6,468,548
|
||||||
|
Series 2006-45T1, Class 1A2, 2.980%
|
||||||||
|
(1 Month LIBOR USD + 0.550%), 2/25/37 (h)
|
9,943,519
|
4,411,216
|
||||||
|
Series 2007-16CB, Class 1A2, 2.830%
|
||||||||
|
(1 Month LIBOR USD + 0.400%), 8/25/37 (h)
|
1,154,152
|
900,726
|
||||||
|
Series 2006-OA9, Class 1A1, 2.641%
|
||||||||
|
(1 Month LIBOR USD + 0.200%), 7/20/46 (h)
|
41,553
|
29,475
|
||||||
|
Countrywide Asset-Backed Certificates
|
||||||||
|
Series 2006-S4, Class A5, 6.236%, 7/25/34 (a)
|
3,816,557
|
3,959,703
|
||||||
|
Series 2006-21, Class 1A, 2.570%
|
||||||||
|
(1 Month LIBOR USD + 0.140%), 5/25/35 (h)
|
373,916
|
362,540
|
||||||
|
Series 2005-2, Class M6, 4.455%
|
||||||||
|
(1 Month LIBOR USD + 2.025%), 8/25/35 (h)
|
11,755,679
|
10,112,597
|
||||||
|
Series 2006-24, Class 2A3, 2.580%
|
||||||||
|
(1 Month LIBOR USD + 0.150%), 6/25/47 (h)
|
52,983
|
50,837
|
||||||
|
Series 2007-12, Class 2A3, 3.230%
|
||||||||
|
(1 Month LIBOR USD + 0.800%), 8/25/47 (h)
|
487,781
|
475,634
|
||||||
|
Countrywide Home Loans
|
||||||||
|
Series 2003-56, Class 9A1, 4.477%, 12/25/33 (a)
|
85,325
|
88,106
|
||||||
|
Series 2007-11, Class A1, 6.000%, 8/25/37
|
5,632,667
|
4,460,382
|
||||||
|
Credit Suisse First Boston Mortgage Securities Corp.
|
||||||||
|
Series 2003-1, Class DB1, 6.743%, 2/25/33 (a)
|
52,904
|
54,148
|
||||||
|
Series 2003-AR18, Class 4M3, 5.330%
|
||||||||
|
(1 Month LIBOR USD + 2.900%), 7/25/33 (h)
|
1,025,331
|
1,016,306
|
||||||
|
Credit Suisse Mortgage Trust
|
||||||||
|
Series 2015-1R, Class 6A2, 3.000%
|
||||||||
|
(1 Month LIBOR USD + 0.280%), 5/27/37 (c)(h)
|
2,700,165
|
2,448,450
|
||||||
|
Series 2010-6R, Class 2A6B, 6.250%, 7/26/37 (c)
|
8,950,144
|
9,849,544
|
||||||
|
Deephaven Residential Mortgage Trust
|
||||||||
|
Series 2017-1A, Class B1, 6.250%, 12/26/46 (a)(c)
|
8,500,000
|
8,857,824
|
||||||
|
Series 2017-3A, Class B1, 4.814%, 10/25/47 (a)(c)
|
3,500,000
|
3,525,733
|
||||||
|
Series 2018-2A, Class B1, 4.776%, 4/25/58 (a)(c)
|
1,500,000
|
1,508,072
|
||||||
|
Series 2018-3, Class B1, 5.007%, 8/25/58 (a)(c)
|
6,151,000
|
6,304,491
|
||||||
|
Series 2019-1A, Class B1, 5.252%, 1/25/59 (a)(c)
|
5,250,000
|
5,284,860
|
||||||
|
Deutsche Alt-A Securities Mortgage Loan Trust
|
||||||||
|
Series 2007-AR3, Class 1A1, 2.570%
|
||||||||
|
(1 Month LIBOR USD + 0.140%), 6/25/37 (h)
|
4,254,468
|
4,052,503
|
||||||
The accompanying notes are an integral part of these financial statements.
12
SEMPER MBS TOTAL RETURN FUND
SCHEDULE OF INVESTMENTS at May 31, 2019 (Unaudited), Continued
|
Principal
|
||||||||
|
Amount
|
Value
|
|||||||
|
Eagle Re Ltd.
|
||||||||
|
Series 2019-1, Class M2, 5.730%
|
||||||||
|
(1 Month LIBOR USD + 3.300%), 4/25/29 (c)(h)
|
$
|
6,000,000
|
$
|
6,015,854
|
||||
|
Fieldstone Mortgage Investment Trust
|
||||||||
|
Series 2007-1, Class 2A2, 2.700%
|
||||||||
|
(1 Month LIBOR USD + 0.270%), 4/25/47 (h)
|
4,285,767
|
3,259,051
|
||||||
|
First Franklin Mortgage Loan Trust
|
||||||||
|
Series 2006-FF11, Class 2A3, 2.580%
|
||||||||
|
(1 Month LIBOR USD + 0.150%), 8/25/36 (h)
|
10,012,596
|
9,093,402
|
||||||
|
First Horizon Alternative Mortgage Securities Trust
|
||||||||
|
Series 2005-FA6, Class A8, 2.930%
|
||||||||
|
(1 Month LIBOR USD + 0.500%), 9/25/35 (h)
|
834,531
|
629,398
|
||||||
|
First Horizon Mortgage Pass-Through Trust
|
||||||||
|
Series 2006-AR2, Class 1A1, 1.750%, 7/25/36 (a)
|
60,245
|
51,087
|
||||||
|
FirstKey Lending Trust
|
||||||||
|
Series 2015-SFR1, Class E, 5.125%, 3/9/47 (a)(c)
|
2,527,479
|
2,531,604
|
||||||
|
Flagstar Mortgage Trust
|
||||||||
|
Series 2018-4, Class B2, 4.377%, 7/25/48 (a)(c)
|
7,666,522
|
7,981,457
|
||||||
|
Series 2018-5, Class B3, 4.555%, 9/25/48 (a)(c)
|
987,528
|
1,024,083
|
||||||
|
GMACM Mortgage Loan Trust
|
||||||||
|
Series 2003-GH2, Class A4, 5.500%, 10/25/33 (k)
|
220,882
|
227,850
|
||||||
|
GreenPoint Mortgage Funding Trust
|
||||||||
|
Series 2005-AR4, Class 4A1A, 3.050%
|
||||||||
|
(1 Month LIBOR USD + 0.620%), 10/25/45 (h)
|
25,033,463
|
23,218,327
|
||||||
|
GSAA Home Equity Trust
|
||||||||
|
Series 2006-5, Class 2A1, 2.500%
|
||||||||
|
(1 Month LIBOR USD + 0.070%), 3/25/36 (h)
|
35,148
|
17,797
|
||||||
|
GSAMP Trust
|
||||||||
|
Series 2007-HS1, Class A1, 3.280%
|
||||||||
|
(1 Month LIBOR USD + 0.850%), 2/25/47 (h)
|
44,916
|
45,086
|
||||||
|
Home Partners of America Trust
|
||||||||
|
Series 2016-2, Class D, 5.432%
|
||||||||
|
(1 Month LIBOR USD + 3.000%), 10/17/33 (c)(h)
|
3,500,000
|
3,508,348
|
||||||
|
Series 2016-2, Class E, 6.212%
|
||||||||
|
(1 Month LIBOR USD + 3.780%), 10/17/33 (c)(h)
|
1,000,000
|
1,005,020
|
||||||
|
Series 2016-2, Class F, 7.132%
|
||||||||
|
(1 Month LIBOR USD + 4.700%), 10/17/33 (c)(h)
|
4,250,000
|
4,261,209
|
||||||
|
Series 2017-1, Class E, 5.082%
|
||||||||
|
(1 Month LIBOR USD + 2.650%), 7/17/34 (c)(h)
|
750,000
|
752,161
|
||||||
|
Series 2017-1, Class F, 5.971%
|
||||||||
|
(1 Month LIBOR USD + 3.539%), 7/17/34 (c)(h)
|
2,000,000
|
2,009,470
|
||||||
|
Series 2018-1, Class E, 4.282%
|
||||||||
|
(1 Month LIBOR USD + 1.850%), 7/17/37 (c)(h)
|
7,500,000
|
7,478,191
|
||||||
The accompanying notes are an integral part of these financial statements.
13
SEMPER MBS TOTAL RETURN FUND
SCHEDULE OF INVESTMENTS at May 31, 2019 (Unaudited), Continued
|
Principal
|
||||||||
|
Amount
|
Value
|
|||||||
|
Home Partners of America Trust (Continued)
|
||||||||
|
Series 2018-1, Class F, 4.782%
|
||||||||
|
(1 Month LIBOR USD + 2.350%), 7/17/37 (c)(h)
|
$
|
16,500,000
|
$
|
16,468,465
|
||||
|
Home Re Ltd.
|
||||||||
|
Series 2019-1, Class M1, 4.131%
|
||||||||
|
(1 Month LIBOR USD + 1.650%), 5/25/29 (c)(h)
|
2,791,000
|
2,811,846
|
||||||
|
Series 2019-1, Class M2, 5.731%
|
||||||||
|
(1 Month LIBOR USD + 3.250%), 5/25/29 (c)(e)(h)
|
1,500,000
|
1,500,000
|
||||||
|
Homeward Opportunities Fund Trust
|
||||||||
|
Series 2018-1, Class M1, 4.548%, 6/25/48 (a)(c)
|
1,250,000
|
1,294,028
|
||||||
|
Series 2018-1, Class B1, 5.295%, 6/25/48 (a)(c)
|
1,250,000
|
1,314,296
|
||||||
|
Series 2019-1, Class B1, 4.800%, 1/25/59 (a)(c)
|
2,000,000
|
2,023,350
|
||||||
|
IMC Home Equity Loan Trust
|
||||||||
|
Series 1998-3, Class A7, 6.720%, 8/20/29 (k)
|
1,085,125
|
1,115,213
|
||||||
|
Impac CMB Trust
|
||||||||
|
Series 2002-9F, Class A1, 5.216%, 12/25/32 (l)
|
254,432
|
255,837
|
||||||
|
Impac Secured Assets Trust
|
||||||||
|
Series 2006-5, Class 1A1C, 2.700%
|
||||||||
|
(1 Month LIBOR USD + 0.270%), 2/25/37 (h)
|
18,314,595
|
15,696,222
|
||||||
|
IndyMac Residential Asset-Backed Trust
|
||||||||
|
Series 2007-A, Class 2A2, 2.620%
|
||||||||
|
(1 Month LIBOR USD + 0.190%), 4/25/37 (h)
|
361,198
|
274,778
|
||||||
|
Invitation Homes Trust
|
||||||||
|
Series 2018-SFR1, Class E, 4.432%
|
||||||||
|
(1 Month LIBOR USD + 2.000%), 3/17/37 (c)(h)
|
19,865,000
|
19,858,341
|
||||||
|
Series 2018-SFR1, Class F, 4.932%
|
||||||||
|
(1 Month LIBOR USD + 2.500%), 3/17/37 (c)(h)
|
7,969,777
|
7,938,532
|
||||||
|
Series 2018-SFR2, Class E, 4.440%
|
||||||||
|
(1 Month LIBOR USD + 2.000%), 6/17/37 (c)(h)
|
9,462,000
|
9,458,968
|
||||||
|
Series 2018-SFR2, Class F, 4.690%
|
||||||||
|
(1 Month LIBOR USD + 2.250%), 6/17/37 (c)(h)
|
31,520,000
|
31,322,726
|
||||||
|
Series 2018-SFR3, Class E, 4.432%
|
||||||||
|
(1 Month LIBOR USD + 2.000%), 7/17/37 (c)(h)
|
14,000,000
|
14,034,043
|
||||||
|
Series 2018-SFR3, Class F, 4.682%
|
||||||||
|
(1 Month LIBOR USD + 2.250%), 7/17/37 (c)(h)
|
20,000,000
|
19,895,882
|
||||||
|
JP Morgan Mortgage Acquisition Trust
|
||||||||
|
Series 2006-FRE2, Class M1, 2.770%
|
||||||||
|
(1 Month LIBOR USD + 0.340%), 2/25/36 (h)
|
200,000
|
197,163
|
||||||
|
Series 2006-CW1, Class M2, 2.720%
|
||||||||
|
(1 Month LIBOR USD + 0.290%), 5/25/36 (h)
|
8,822,000
|
7,382,063
|
||||||
|
Series 2006-NC2, Class M1, 2.700%
|
||||||||
|
(1 Month LIBOR USD + 0.270%), 7/25/36 (h)
|
1,000,000
|
970,771
|
||||||
|
Series 2006-CH2, Class MV1, 2.640%
|
||||||||
The accompanying notes are an integral part of these financial statements.
14
SEMPER MBS TOTAL RETURN FUND
SCHEDULE OF INVESTMENTS at May 31, 2019 (Unaudited), Continued
|
Principal
|
||||||||
|
Amount
|
Value
|
|||||||
|
JP Morgan Mortgage Acquisition Trust (Continued)
|
||||||||
|
(1 Month LIBOR USD + 0.210%), 10/25/36 (h)
|
$
|
3,000,000
|
$
|
2,440,065
|
||||
|
Series 2006-HE3, Class A3, 2.540%
|
||||||||
|
(1 Month LIBOR USD + 0.110%), 11/25/36 (h)
|
4,520,908
|
3,880,980
|
||||||
|
Series 2006-HE3, Class A4, 2.590%
|
||||||||
|
(1 Month LIBOR USD + 0.160%), 11/25/36 (h)
|
2,804,116
|
2,424,534
|
||||||
|
Series 2006-HE3, Class A5, 2.670%
|
||||||||
|
(1 Month LIBOR USD + 0.240%), 11/25/36 (h)
|
7,252,023
|
6,342,102
|
||||||
|
Series 2007-CH3, Class M1, 2.730%
|
||||||||
|
(1 Month LIBOR USD + 0.300%), 3/25/37 (h)
|
175,000
|
165,434
|
||||||
|
JP Morgan Mortgage Trust
|
||||||||
|
Series 2006-S4, Class A8, 2.810%
|
||||||||
|
(1 Month LIBOR USD + 0.380%), 1/25/37 (h)
|
6,582,937
|
3,124,039
|
||||||
|
Series 2014-IVR3, Class B4, 3.149%, 9/25/44 (a)(c)
|
2,996,292
|
2,943,108
|
||||||
|
Series 2015-1, Class B2, 3.636%, 12/25/44 (a)(c)
|
4,493,665
|
4,498,876
|
||||||
|
Series 2015-1, Class B3, 3.636%, 12/25/44 (a)(c)
|
4,968,061
|
4,972,360
|
||||||
|
Series 2015-1, Class B4, 3.636%, 12/25/44 (a)(c)
|
4,711,101
|
4,711,939
|
||||||
|
Series 2015-5, Class B3, 3.293%, 5/25/45 (a)(c)
|
2,723,238
|
2,690,990
|
||||||
|
Series 2015-5, Class B4, 3.293%, 5/25/45 (a)(c)
|
3,112,000
|
2,947,920
|
||||||
|
Series 2018-7FRB, Class B2, 3.816%, 4/25/46 (a)(c)
|
2,913,547
|
2,868,685
|
||||||
|
Series 2018-7FRB, Class B3, 3.816%, 4/25/46 (a)(c)
|
1,088,252
|
1,067,793
|
||||||
|
Series 2017-2, Class AX3, 0.500%, 5/25/47 (a)(c)(e)(g)
|
22,608,231
|
642,074
|
||||||
|
Series 2017-3, Class 1AX1, 0.438%, 8/25/47 (a)(c)(g)
|
156,573,295
|
3,238,781
|
||||||
|
Series 2018-1, Class AX1, 0.267%, 6/25/48 (a)(c)(g)
|
370,821,721
|
4,166,998
|
||||||
|
Series 2018-3, Class AX1, 0.278%, 9/25/48 (a)(c)(g)
|
96,590,269
|
1,149,685
|
||||||
|
Series 2018-3, Class B2, 3.778%, 9/25/48 (a)(c)
|
2,711,231
|
2,757,852
|
||||||
|
Series 2018-4, Class AX1, 0.292%, 10/25/48 (a)(c)(g)
|
45,335,541
|
564,396
|
||||||
|
Series 2017-5, Class B3, 3.174%, 10/26/48 (a)(c)
|
3,723,090
|
3,627,987
|
||||||
|
Series 2017-6, Class AX1, 0.344%, 12/25/48 (a)(c)(g)
|
157,059,134
|
2,905,186
|
||||||
|
Series 2018-6, Class 1AX1, 0.564%, 12/25/48 (a)(c)(g)
|
150,141,728
|
3,986,818
|
||||||
|
Series 2018-6, Class B2, 4.000%, 12/25/48 (a)(c)
|
1,224,865
|
1,246,380
|
||||||
|
Series 2018-LTV1, 4.500%, 4/25/49 (a)(c)
|
11,952,996
|
12,343,515
|
||||||
|
Series 2019-3, Class B1, 4.796%, 9/25/49 (a)(c)
|
2,644,185
|
2,966,024
|
||||||
|
Series 2019-3, Class B2, 4.796%, 9/25/49 (a)(c)
|
5,737,721
|
6,338,922
|
||||||
|
Series 2019-3, Class B3, 4.796%, 9/25/49 (a)(c)
|
4,835,023
|
5,183,091
|
||||||
|
Series 2019-3, Class B4, 4.796%, 9/25/49 (a)(c)
|
3,287,257
|
3,164,937
|
||||||
|
Series 2019-3, Class B5, 4.796%, 9/25/49 (a)(c)
|
775,000
|
612,045
|
||||||
|
Series 2019-3, Class B6, 4.796%, 9/25/49 (a)(c)
|
1,936,702
|
1,161,213
|
||||||
|
JP Morgan Seasoned Mortgage Trust
|
||||||||
|
Series 2014-1, Class B2, 3.219%, 5/25/33 (a)(c)
|
7,267,604
|
7,175,479
|
||||||
|
Series 2014-1, Class B3, 3.219%, 5/25/33 (a)(c)
|
5,602,683
|
5,513,492
|
||||||
The accompanying notes are an integral part of these financial statements.
15
SEMPER MBS TOTAL RETURN FUND
SCHEDULE OF INVESTMENTS at May 31, 2019 (Unaudited), Continued
|
Principal
|
||||||||
|
Amount
|
Value
|
|||||||
|
Lehman Mortgage Trust
|
||||||||
|
Series 2005-2, Class 2A1, 3.110%
|
||||||||
|
(1 Month LIBOR USD + 0.680%), 12/25/35 (h)
|
$
|
2,173,070
|
$
|
1,714,001
|
||||
|
Series 2008-4, Class A1, 2.810%
|
||||||||
|
(1 Month LIBOR USD + 0.380%), 1/25/37 (h)
|
42,501,859
|
19,093,531
|
||||||
|
Series 2006-9, Class 1A5, 3.030%
|
||||||||
|
(1 Month LIBOR USD + 0.600%), 1/25/37 (h)
|
5,479,893
|
4,053,931
|
||||||
|
Lehman XS Trust
|
||||||||
|
Series 2007-6, Class 3A1, 2.590%
|
||||||||
|
(1 Month LIBOR USD + 0.160%), 5/25/37 (h)
|
3,322,570
|
3,265,368
|
||||||
|
Series 2007-6, Class 3A2, 4.719%, 5/25/37 (l)
|
4,383,733
|
4,460,285
|
||||||
|
Series 2007-6, Class 3A5, 4.719%, 5/25/37 (l)
|
172,769
|
170,992
|
||||||
|
Series 2006-9, Class A1C, 2.690%
|
||||||||
|
(1 Month LIBOR USD + 0.260%), 5/25/46 (h)
|
5,136,047
|
4,733,754
|
||||||
|
Long Beach Mortgage Loan Trust
|
||||||||
|
Series 2006-WL2, Class 2A4, 2.730%
|
||||||||
|
(1 Month LIBOR USD + 0.300%), 1/25/36 (h)
|
5,520,081
|
5,072,557
|
||||||
|
Series 2006-WL3, Class 2A4, 2.730%
|
||||||||
|
(1 Month LIBOR USD + 0.300%), 1/25/36 (h)
|
23,315,635
|
21,828,417
|
||||||
|
Series 2006-8, Class 1A, 2.580%
|
||||||||
|
(1 Month LIBOR USD + 0.150%), 9/25/36 (h)
|
4,048,772
|
3,066,813
|
||||||
|
Series 2006-11, Class 1A, 2.590%
|
||||||||
|
(1 Month LIBOR USD + 0.160%), 12/25/36 (h)
|
12,508,470
|
9,567,697
|
||||||
|
LSTAR Securities Investment Ltd.
|
||||||||
|
Series 2018-2, Class A2, 4.986%
|
||||||||
|
(1 Month LIBOR USD + 2.500%), 4/1/23 (c)(h)
|
20,100,000
|
20,184,983
|
||||||
|
Series 2019-1, Class A2, 5.086%
|
||||||||
|
(1 Month LIBOR USD + 2.600%), 3/1/24 (c)(e)(h)
|
15,500,000
|
15,500,000
|
||||||
|
Series 2019-3, Class A2, 4.986%
|
||||||||
|
(1 Month LIBOR USD + 2.500%), 4/1/24 (c)(e)(h)
|
5,550,000
|
5,550,000
|
||||||
|
Series 2019-2, Class A2, 4.986%
|
||||||||
|
(1 Month LIBOR USD + 2.500%), 4/1/24 (c)(e)(h)
|
12,300,000
|
12,300,000
|
||||||
|
Series 2019-4, Class A2, 4.930%
|
||||||||
|
(1 Month LIBOR USD + 2.500%), 5/1/24 (c)(e)(h)
|
13,200,000
|
13,200,000
|
||||||
|
MASTR Asset Backed Securities Trust
|
||||||||
|
Series 2003-WMC2, Class M5, 5.054%
|
||||||||
|
(1 Month LIBOR USD + 6.000%), 8/25/33 (h)
|
218,383
|
218,093
|
||||||
|
Series 2007-WMC1, Class A2, 2.480%
|
||||||||
|
(1 Month LIBOR USD + 0.050%), 1/25/37 (h)
|
3,612,389
|
1,387,212
|
||||||
|
Series 2007-WMC1, Class A3, 2.530%
|
||||||||
|
(1 Month LIBOR USD + 0.100%), 1/25/37 (h)
|
1,004,161
|
388,666
|
||||||
|
Series 2007-WMC1, Class A4, 2.590%
|
||||||||
|
(1 Month LIBOR USD + 0.160%), 1/25/37 (h)
|
6,826,582
|
2,666,582
|
||||||
The accompanying notes are an integral part of these financial statements.
16
SEMPER MBS TOTAL RETURN FUND
SCHEDULE OF INVESTMENTS at May 31, 2019 (Unaudited), Continued
|
Principal
|
||||||||
|
Amount
|
Value
|
|||||||
|
MASTR Reperforming Loan Trust
|
||||||||
|
Series 2006-2, Class 1A1, 4.375%, 5/25/36 (a)(c)
|
$
|
9,267,082
|
$
|
8,951,580
|
||||
|
Morgan Stanley ABS Capital I Inc. Trust
|
||||||||
|
Series 2006-WMC2, Class A2C, 2.580%
|
||||||||
|
(1 Month LIBOR USD + 0.150%), 7/25/36 (h)
|
6,274,129
|
3,206,408
|
||||||
|
Series 2007-NC1, Class A2B, 2.530%
|
||||||||
|
(1 Month LIBOR USD + 0.100%), 11/25/36 (h)
|
3,237,038
|
1,958,661
|
||||||
|
Series 2007-NC1, Class A1, 2.560%
|
||||||||
|
(1 Month LIBOR USD + 0.130%), 11/25/36 (h)
|
10,356,573
|
6,230,731
|
||||||
|
Series 2007-NC1, Class A2D, 2.650%
|
||||||||
|
(1 Month LIBOR USD + 0.220%), 11/25/36 (h)
|
4,839,777
|
2,981,512
|
||||||
|
Morgan Stanley Home Equity Loan Trust
|
||||||||
|
Series 2007-2, Class A4, 2.780%
|
||||||||
|
(1 Month LIBOR USD + 0.350%), 4/25/37 (h)
|
6,134,276
|
4,102,507
|
||||||
|
New Century Home Equity Loan Trust
|
||||||||
|
Series 2006-2, Class A2C, 2.680%
|
||||||||
|
(1 Month LIBOR USD + 0.250%), 8/25/36 (h)
|
8,092,000
|
7,419,251
|
||||||
|
New Residential Mortgage LLC
|
||||||||
|
Series 2018-FNT1, Class E, 4.890%, 5/25/23 (c)(e)
|
1,198,237
|
1,195,991
|
||||||
|
Series 2018-FNT2, Class E, 5.120%, 7/25/54 (c)
|
3,544,152
|
3,582,122
|
||||||
|
New Residential Mortgage Loan Trust
|
||||||||
|
Series 2015-1A, Class B3, 5.386%, 5/28/52 (a)(c)
|
3,242,311
|
3,456,036
|
||||||
|
Series 2014-1A, Class B1IO, 1.050%, 1/25/54 (a)(c)(g)
|
386,698
|
12,521
|
||||||
|
Series 2014-3A, Class B1, 4.750%, 11/25/54 (a)(c)
|
1,022,733
|
1,096,727
|
||||||
|
Series 2017-5A, Class B2, 3.930%
|
||||||||
|
(1 Month LIBOR USD + 1.500%), 6/25/57 (c)(h)
|
3,799,978
|
3,909,484
|
||||||
|
Series 2017-5A, Class B3, 4.671%, 6/25/57 (a)(c)(e)
|
1,916,607
|
1,949,189
|
||||||
|
Nomura Asset Acceptance Corp. Alternative Loan Trust
|
||||||||
|
Series 2005-AP3, Class A3, 5.318%, 8/25/35 (a)
|
413,186
|
265,266
|
||||||
|
Ocwen Residential MBS Corp.
|
||||||||
|
Series 1998-R2, Class AP, 3.057%, 11/25/34 (a)(c)
|
56,256
|
15,444
|
||||||
|
Option One Mortgage Loan Trust
|
||||||||
|
Series 2007-HL1, Class 2A2, 2.680%
|
||||||||
|
(1 Month LIBOR USD + 0.250%), 2/25/38 (h)
|
557,978
|
486,935
|
||||||
|
PNMAC GMSR Issuer Trust
|
||||||||
|
Series 2018-FT1, Class A, 4.780%
|
||||||||
|
(1 Month LIBOR USD + 2.350%), 4/25/23 (c)(h)
|
3,000,000
|
3,032,066
|
||||||
|
Series 2018-GT2, Class A, 5.080%
|
||||||||
|
(1 Month LIBOR USD + 2.650%), 8/25/25 (c)(h)
|
2,500,000
|
2,511,877
|
||||||
|
Preston Ridge Partners Mortgage Trust
|
||||||||
|
Series 2017-2A, Class A1, 3.470%, 9/25/22 (c)
|
1,737,928
|
1,743,569
|
||||||
|
Series 2017-3A, Class A1, 3.470%, 11/25/22 (a)(c)
|
163,040
|
163,403
|
||||||
|
Series 2018-1A, Class A1, 3.750%, 4/25/23 (a)(c)
|
84,855
|
85,308
|
||||||
The accompanying notes are an integral part of these financial statements.
17
SEMPER MBS TOTAL RETURN FUND
SCHEDULE OF INVESTMENTS at May 31, 2019 (Unaudited), Continued
|
Principal
|
||||||||
|
Amount
|
Value
|
|||||||
|
Preston Ridge Partners Mortgage Trust (Continued)
|
||||||||
|
Series 2018-1A, Class A2, 5.000%, 4/25/23 (a)(c)(e)
|
$
|
1,000,000
|
$
|
1,007,500
|
||||
|
Series 2018-2A, Class A1, 4.000%, 8/25/23 (a)(c)
|
85,620
|
85,654
|
||||||
|
Series 2018-2A, Class A2, 5.000%, 8/25/23 (a)(c)
|
500,000
|
500,262
|
||||||
|
Series 2018-3A, Class A1, 4.483%, 10/25/23 (a)(c)
|
1,914,333
|
1,930,325
|
||||||
|
Series 2018-3A, Class A2, 5.808%, 10/25/23 (a)(c)
|
1,000,000
|
1,023,008
|
||||||
|
Series 2019-2A, Class A1, 3.967%, 4/25/24 (c)
|
6,774,564
|
6,866,617
|
||||||
|
Series 2019-2A, Class A2, 5.438%, 4/25/24 (c)
|
2,500,000
|
2,522,672
|
||||||
|
Pretium Mortgage Credit Partners I, LLC
|
||||||||
|
Series 2018-NPL4, Class A1, 4.826%, 9/25/58 (c)(k)
|
1,270,498
|
1,284,721
|
||||||
|
Series 2019-NPL1, Class A2, 5.927%, 7/25/60 (c)
|
400,000
|
403,951
|
||||||
|
Progress Residential Trust
|
||||||||
|
Series 2015-SFR2, Class F, 5.069%, 6/12/32 (c)
|
1,375,000
|
1,374,534
|
||||||
|
Series 2015-SFR3, Class F, 6.643%, 11/12/32 (c)
|
14,046,000
|
14,264,979
|
||||||
|
Series 2017-SFR1, Class F, 5.350%, 8/17/34 (c)
|
5,475,000
|
5,606,356
|
||||||
|
Series 2017-SFR2, Class F, 4.836%, 12/17/34 (c)
|
2,750,000
|
2,788,745
|
||||||
|
Series 2018-SFR1, Class E, 4.380%, 3/17/35 (c)
|
2,500,000
|
2,550,288
|
||||||
|
Series 2018-SFR1, Class F, 4.778%, 3/17/35 (c)
|
1,435,000
|
1,453,946
|
||||||
|
Series 2018-SFR2, Class D, 4.338%, 8/17/35 (c)
|
1,000,000
|
1,032,399
|
||||||
|
Series 2019-SFR1, Class E, 4.466%, 8/17/35 (c)
|
2,000,000
|
2,060,964
|
||||||
|
Series 2018-SFR2, Class E, 4.656%, 8/17/35 (c)
|
5,750,000
|
5,903,814
|
||||||
|
Series 2018-SFR2, Class F, 4.953%, 8/17/35 (c)
|
4,150,000
|
4,236,875
|
||||||
|
Series 2019-SFR1, Class F, 5.061%, 8/17/35 (c)
|
5,750,000
|
5,927,367
|
||||||
|
Series 2018-SFR3, Class E, 4.873%, 10/17/35 (c)
|
7,000,000
|
7,240,472
|
||||||
|
Series 2018-SFR3, Class F, 5.368%, 10/17/35 (c)
|
12,000,000
|
12,367,971
|
||||||
|
Series 2019-SFR2, Class F, 4.837%, 5/17/36 (c)
|
8,000,000
|
8,184,771
|
||||||
|
RAAC Series Trust
|
||||||||
|
Series 2004-SP1, Class AI3, 6.118%, 3/25/34 (l)
|
13,408
|
13,656
|
||||||
|
Radnor RE Ltd.
|
||||||||
|
Series 2019-1, Class M2, 5.637%
|
||||||||
|
(1 Month LIBOR USD + 3.200%), 2/25/29 (c)(h)
|
8,250,000
|
8,519,990
|
||||||
|
RALI Series Trust
|
||||||||
|
Series 2006-QS6, Class 1AV, 0.751%, 6/25/36 (a)(g)
|
10,312,580
|
267,765
|
||||||
|
Series 2006-QS6, Class 1A11, 3.130%
|
||||||||
|
(1 Month LIBOR USD + 0.700%), 6/25/36 (h)
|
4,551,407
|
3,783,050
|
||||||
|
Series 2007-QS1, Class 1A5, 2.980%
|
||||||||
|
(1 Month LIBOR USD + 0.550%), 1/25/37 (h)
|
7,652,817
|
5,970,232
|
||||||
|
Series 2006-QO6, Class A1, 2.610%
|
||||||||
|
(1 Month LIBOR USD + 0.180%), 6/25/46 (h)
|
3,321,878
|
1,341,631
|
||||||
|
RAMP Series Trust
|
||||||||
|
Series 2005-EFC6, Class M4, 3.315%
|
||||||||
|
(1 Month LIBOR USD + 0.885%), 11/25/35 (h)
|
3,000,000
|
2,820,910
|
||||||
|
Series 2007-RS1, Class A3, 2.600%
|
||||||||
The accompanying notes are an integral part of these financial statements.
18
SEMPER MBS TOTAL RETURN FUND
SCHEDULE OF INVESTMENTS at May 31, 2019 (Unaudited), Continued
|
Principal
|
||||||||
|
Amount
|
Value
|
|||||||
|
RAMP Series Trust (Continued)
|
||||||||
|
(1 Month LIBOR USD + 0.170%), 2/25/37 (h)
|
$
|
13,783,388
|
$
|
7,166,608
|
||||
|
Series 2007-RS1, Class A4, 2.710%
|
||||||||
|
(1 Month LIBOR USD + 0.280%), 2/25/37 (h)
|
10,547,597
|
3,397,803
|
||||||
|
RBSSP Resecuritization Trust
|
||||||||
|
Series 2009-7, Class 9A3, 5.000%, 9/26/36 (a)(c)
|
1,590,635
|
1,171,322
|
||||||
|
Series 2009-7, Class 6A2, 6.500%, 10/26/36 (a)(c)
|
783,140
|
734,864
|
||||||
|
RCO V Mortgage LLC
|
||||||||
|
Series 2018-2, Class A2, 5.926%, 10/25/23 (c)
|
1,292,000
|
1,284,588
|
||||||
|
Reperforming Loan REMIC Trust
|
||||||||
|
Series 2005-R1, Class 1AF1, 2.790%
|
||||||||
|
(1 Month LIBOR USD + 0.360%), 3/25/35 (c)(h)
|
3,527,975
|
3,291,788
|
||||||
|
Series 2006-R1, Class AF1, 2.770%
|
||||||||
|
(1 Month LIBOR USD + 0.340%), 1/25/36 (c)(h)
|
4,580,008
|
4,481,003
|
||||||
|
Residential Accredit Loans, Inc. Series Trust
|
||||||||
|
Series 2005-QS13, Class 2A1, 3.130%
|
||||||||
|
(1 Month LIBOR USD + 0.700%), 9/25/35 (h)
|
6,411,564
|
5,438,631
|
||||||
|
Series 2006-QS6, Class 1A9, 3.030%
|
||||||||
|
(1 Month LIBOR USD + 0.600%), 6/25/36 (h)
|
5,568,312
|
4,563,194
|
||||||
|
Series 2008-QR1, Class 2A1, 2.930%
|
||||||||
|
(1 Month LIBOR USD + 0.500%), 9/25/36 (h)
|
3,047,950
|
2,323,044
|
||||||
|
Series 2006-QS18, Class 1A1, 3.030%
|
||||||||
|
(1 Month LIBOR USD + 0.600%), 12/25/36 (h)
|
5,842,688
|
4,659,436
|
||||||
|
Residential Funding Securities Corp.
|
||||||||
|
Series 2002-RP1, Class A1, 3.290%
|
||||||||
|
(1 Month LIBOR USD + 0.860%), 3/25/33 (c)(h)
|
774,728
|
736,733
|
||||||
|
Roosevelt Mortgage Asset Trust
|
||||||||
|
Series 2018-NPL1, Class A1, 4.090%, 5/25/48 (c)
|
5,494,237
|
5,517,216
|
||||||
|
SACO I Trust
|
||||||||
|
Series 2005-1, Class M2, 3.480%
|
||||||||
|
(1 Month LIBOR USD + 1.050%), 3/25/35 (c)(h)
|
35,619
|
35,482
|
||||||
|
Seasoned Credit Risk Transfer Trust
|
||||||||
|
Series 2016-1, Class M1, 3.000%, 9/25/55 (a)(c)
|
1,025,000
|
999,027
|
||||||
|
Series 2017-1, Class M2, 4.000%, 1/25/56 (a)(c)
|
4,450,000
|
4,303,545
|
||||||
|
Series 2017-3, Class M2, 4.750%, 7/25/56 (a)(c)
|
9,975,000
|
9,738,362
|
||||||
|
Series 2017-2, Class M2, 4.000%, 8/25/56 (a)(c)
|
7,200,000
|
6,931,355
|
||||||
|
Series 2018-1, Class M, 4.750%, 5/25/57 (a)
|
6,225,000
|
6,167,151
|
||||||
|
Series 2018-3, Class M, 4.750%, 8/25/57 (a)(c)
|
11,023,000
|
10,593,533
|
||||||
|
Series 2018-2, Class XSIO, 0.065%, 11/25/57 (a)(g)
|
635,703,646
|
2,004,151
|
||||||
|
Series 2018-2, Class M, 4.750%, 11/25/57
|
7,475,000
|
7,234,873
|
||||||
|
Series 2018-4, Class M, 4.750%, 3/25/58 (c)
|
9,000,000
|
8,611,542
|
||||||
|
Series 2019-1, Class M, 4.750%, 7/25/58 (a)(c)
|
3,000,000
|
2,949,084
|
||||||
|
Series 2019-2, Class M, 4.750%, 8/25/58 (a)(c)
|
2,000,000
|
1,898,300
|
||||||
The accompanying notes are an integral part of these financial statements.
19
SEMPER MBS TOTAL RETURN FUND
SCHEDULE OF INVESTMENTS at May 31, 2019 (Unaudited), Continued
|
Principal
|
||||||||
|
Amount
|
Value
|
|||||||
|
Securitized Asset Backed Receivables LLC Trust
|
||||||||
|
Series 2006-FR3, Class A3, 2.680%
|
||||||||
|
(1 Month LIBOR USD + 0.250%), 5/25/36 (h)
|
$
|
1,879,445
|
$
|
1,225,461
|
||||
|
Sequoia Mortgage Trust
|
||||||||
|
Series 2013-2, Class AIO2, 1.144%, 2/25/43 (a)(g)
|
12,345,262
|
676,087
|
||||||
|
Series 2013-7, Class AIO2, 0.547%, 6/25/43 (a)(g)
|
49,179,536
|
1,187,582
|
||||||
|
Series 2013-9, Class B2, 3.500%, 7/25/43 (a)(c)
|
4,228,706
|
4,275,750
|
||||||
|
Series 2017-1, Class AIO3, 0.500%, 2/25/47 (a)(c)(g)
|
16,060,494
|
361,406
|
||||||
|
Series 2018-5, Class AIO1, 0.457%, 5/25/48 (a)(c)(g)
|
164,074,640
|
3,340,658
|
||||||
|
Series 2018-7, Class AIO1, 0.247%, 9/25/48 (a)(c)(g)
|
252,301,486
|
2,868,315
|
||||||
|
Series 2018-7, Class B3, 4.247%, 9/25/48 (a)(c)
|
1,934,137
|
1,913,906
|
||||||
|
Soundview Home Loan Trust
|
||||||||
|
Series 2006-1, Class A5, 2.740%
|
||||||||
|
(1 Month LIBOR USD + 0.310%), 2/25/36 (h)
|
12,422,000
|
11,189,187
|
||||||
|
Series 2006-OPT1, Class M1, 2.775%
|
||||||||
|
(1 Month LIBOR USD + 0.345%), 3/25/36 (h)
|
3,750,000
|
3,082,404
|
||||||
|
Series 2006-OPT3, Class M1, 2.740%
|
||||||||
|
(1 Month LIBOR USD + 0.310%), 6/25/36 (h)
|
3,689,550
|
2,652,316
|
||||||
|
Series 2006-OPT5, Class 2A4, 2.670%
|
||||||||
|
(1 Month LIBOR USD + 0.240%), 7/25/36 (h)
|
10,000,000
|
9,373,476
|
||||||
|
Series 2006-WF1, Class A4, 2.710%
|
||||||||
|
(1 Month LIBOR USD + 0.280%), 10/25/36 (h)
|
1,616,776
|
1,612,972
|
||||||
|
Starwood Waypoint Homes Trust
|
||||||||
|
Series 2017-1, Class E, 5.040%
|
||||||||
|
(1 Month LIBOR USD + 2.600%), 1/17/35 (c)(h)
|
2,381,000
|
2,388,758
|
||||||
|
Structured Adjustable Rate Mortgage Loan Trust
|
||||||||
|
Series 2005-21, Class 3A1, 3.875%, 11/25/35 (a)
|
74,517
|
70,846
|
||||||
|
Structured Asset Investment Loan Trust
|
||||||||
|
Series 2003-BC9, Class M1, 3.480%
|
||||||||
|
(1 Month LIBOR USD + 1.050%), 8/25/33 (h)
|
1,069,521
|
1,076,985
|
||||||
|
Terwin Mortgage Trust
|
||||||||
|
Series 2004-4SL, Class B3, 8.000%, 3/25/34 (a)(c)
|
222,783
|
204,554
|
||||||
|
Towd Point Mortgage Trust
|
||||||||
|
Series 2019-HY1, Class B1, 4.580%
|
||||||||
|
(1 Month LIBOR USD + 2.150%), 10/25/48 (c)(h)
|
3,350,000
|
3,439,800
|
||||||
|
Series 2019-HY1, Class B2, 4.580%
|
||||||||
|
(1 Month LIBOR USD + 2.150%), 10/25/48 (c)(h)
|
11,339,000
|
11,260,282
|
||||||
|
Series 2019-HY1, Class XA, 5.000%, 10/25/48 (a)(c)
|
11,819,737
|
11,835,321
|
||||||
|
Series 2015-1, Class B1, 3.925%, 10/25/53 (a)(c)
|
2,000,000
|
2,032,862
|
||||||
|
Series 2015-3, Class B3, 4.281%, 3/25/54 (a)(c)
|
2,000,000
|
2,048,098
|
||||||
|
Series 2016-1, Class B3, 4.282%, 2/25/55 (a)(c)
|
2,000,000
|
2,039,672
|
||||||
|
Series 2015-5, Class B3, 3.999%, 5/25/55 (a)(c)
|
2,000,000
|
2,001,239
|
||||||
|
Series 2016-3, Class B3, 4.140%, 4/25/56 (a)(c)(e)
|
2,000,000
|
2,012,239
|
||||||
The accompanying notes are an integral part of these financial statements.
20
SEMPER MBS TOTAL RETURN FUND
SCHEDULE OF INVESTMENTS at May 31, 2019 (Unaudited), Continued
|
Principal
|
||||||||
|
Amount
|
Value
|
|||||||
|
Towd Point Mortgage Trust (Continued)
|
||||||||
|
Series 2016-4, Class B3, 4.041%, 7/25/56 (a)(c)
|
$
|
2,000,000
|
$
|
2,006,646
|
||||
|
Series 2016-5, Class B2, 3.790%, 10/25/56 (a)(c)
|
6,500,000
|
6,476,931
|
||||||
|
Series 2017-1, Class B2, 4.018%, 10/25/56 (a)(c)
|
8,500,000
|
8,520,198
|
||||||
|
Series 2017-5, Class A2, 3.330%
|
||||||||
|
(1 Month LIBOR USD + 0.900%), 2/25/57 (c)(h)
|
4,500,000
|
4,454,536
|
||||||
|
Series 2017-5, Class M2, 3.930%
|
||||||||
|
(1 Month LIBOR USD + 1.500%), 2/25/57 (c)(h)
|
20,472,000
|
20,875,261
|
||||||
|
Series 2017-5, Class B1, 4.230%
|
||||||||
|
(1 Month LIBOR USD + 1.800%), 2/25/57 (c)(h)
|
10,625,000
|
10,992,398
|
||||||
|
Series 2017-5, Class B2, 4.530%
|
||||||||
|
(1 Month LIBOR USD + 2.100%), 2/25/57 (c)(h)
|
6,641,000
|
6,982,568
|
||||||
|
Series 2017-5, Class B3, 4.930%
|
||||||||
|
(1 Month LIBOR USD + 2.500%), 2/25/57 (c)(h)
|
5,415,000
|
5,822,833
|
||||||
|
Series 2017-2, Class B2, 4.170%, 4/25/57 (a)(c)
|
6,500,000
|
6,509,884
|
||||||
|
Series 2017-4, Class M2, 3.250%, 6/25/57 (a)(c)
|
12,350,000
|
11,745,689
|
||||||
|
Series 2015-2, Class 2B3, 4.504%, 11/25/57 (a)(c)
|
2,000,000
|
2,115,779
|
||||||
|
Series 2019-1, Class M2, 3.750%, 3/25/58 (a)(c)
|
2,000,000
|
1,937,289
|
||||||
|
Series 2018-6, Class B2, 3.875%, 3/25/58 (a)(c)
|
1,750,000
|
1,679,348
|
||||||
|
Series 2019-1, Class B2, 3.927%, 3/25/58 (a)(c)
|
2,000,000
|
1,897,180
|
||||||
|
Series 2018-3, Class B2, 4.116%, 5/25/58 (a)(c)
|
1,750,000
|
1,595,737
|
||||||
|
Series 2019-HY2, Class B1, 4.680%
|
||||||||
|
(1 Month LIBOR USD + 2.250%), 5/25/58 (c)(h)
|
9,851,000
|
9,968,067
|
||||||
|
Series 2019-HY2, Class B2, 4.680%
|
||||||||
|
(1 Month LIBOR USD + 2.250%), 5/25/58 (c)(h)
|
8,639,000
|
8,535,543
|
||||||
|
Series 2018-4, Class B2, 3.282%, 6/25/58 (a)(c)
|
1,750,000
|
1,477,053
|
||||||
|
Series 2018-5, Class B2, 3.517%, 7/25/58 (a)(c)
|
1,750,000
|
1,539,121
|
||||||
|
Series 2018-SJ1, Class M1, 4.500%, 10/25/58 (a)(c)
|
6,500,000
|
6,650,251
|
||||||
|
Series 2018-SJ1, Class M2, 4.750%, 10/25/58 (a)(c)
|
10,000,000
|
10,218,187
|
||||||
|
Series 2018-SJ1, Class B1, 5.250%, 10/25/58 (a)(c)
|
10,000,000
|
10,274,162
|
||||||
|
Series 2019-SJ1, Class M1, 4.400%, 11/25/58 (a)(c)
|
2,500,000
|
2,550,535
|
||||||
|
Series 2019-SJ1, Class M2, 4.750%, 11/25/58 (a)(c)
|
10,438,000
|
10,682,051
|
||||||
|
Series 2019-SJ2, Class M2, 4.750%, 11/25/58 (a)(c)
|
12,000,000
|
12,382,522
|
||||||
|
Series 2019-SJ1, Class B1, 5.000%, 11/25/58 (a)(c)
|
10,466,000
|
10,709,730
|
||||||
|
Series 2019-SJ2, Class B1, 5.000%, 11/25/58 (a)(c)
|
13,052,000
|
13,561,868
|
||||||
|
Series 2019-2, Class M2, 3.750%, 12/25/58 (a)(c)(e)
|
2,000,000
|
1,916,318
|
||||||
|
Series 2019-3, Class M2, 4.250%, 2/25/59 (a)(c)(e)
|
2,000,000
|
2,022,921
|
||||||
|
Series 2015-2, Class 1B3, 3.774%, 11/25/60 (a)(c)
|
2,000,000
|
1,964,164
|
||||||
|
Tricon American Homes Trust
|
||||||||
|
Series 2016-SFR1, Class F, 5.769%, 11/17/33 (c)
|
13,343,000
|
13,792,792
|
||||||
|
Series 2017-SFR1, Class F, 5.151%, 9/17/34 (c)
|
20,519,000
|
21,140,057
|
||||||
|
Series 2017-SFR2, Class F, 5.104%, 1/17/36 (c)
|
10,125,000
|
10,377,479
|
||||||
|
Series 2018-SFR1, Class E, 4.564%, 5/17/37 (c)
|
6,250,000
|
6,383,984
|
||||||
|
Series 2018-SFR1, Class F, 4.960%, 5/17/37 (c)
|
4,000,000
|
4,087,474
|
||||||
The accompanying notes are an integral part of these financial statements.
21
SEMPER MBS TOTAL RETURN FUND
SCHEDULE OF INVESTMENTS at May 31, 2019 (Unaudited), Continued
|
Principal
|
||||||||
|
Amount
|
Value
|
|||||||
|
Vericrest Opportunity Loan Trust
|
||||||||
|
Series 2019-NPL2, Class A2, 6.292%, 2/25/49 (c)
|
$
|
1,500,000
|
$
|
1,516,562
|
||||
|
Series 2019-NPL3, Class A2, 6.170%, 3/25/49 (c)
|
1,000,000
|
1,000,750
|
||||||
|
Verus Securitization Trust
|
||||||||
|
Series 2018-2, Class B1, 4.426%, 6/1/58 (a)(c)
|
7,000,000
|
7,102,942
|
||||||
|
Series 2018-3, Class B1, 5.694%, 10/25/58 (a)(c)
|
4,000,000
|
4,231,273
|
||||||
|
Series 2019-1, Class B1, 5.311%, 2/25/59 (a)(c)
|
214,000
|
218,763
|
||||||
|
Series 2019-2, Class B1, 4.437%, 4/25/59 (a)(c)
|
1,158,000
|
1,159,424
|
||||||
|
VOLT LXII LLC
|
||||||||
|
Series 2017-NPL9, Class A2, 4.625%, 9/25/47 (c)(k)
|
2,851,485
|
2,842,762
|
||||||
|
VOLT LXIV LLC
|
||||||||
|
Series 2017-NPL11, Class A1, 3.375%, 10/25/47 (c)(k)
|
3,742,064
|
3,751,685
|
||||||
|
VOLT LXIX LLC
|
||||||||
|
Series 2018-NPL5, Class A1B, 4.704%, 8/25/48 (c)(k)
|
3,250,000
|
3,288,671
|
||||||
|
VOLT LXVII LLC
|
||||||||
|
Series 2018-NPL3, Class A2, 5.875%, 6/25/48 (c)(k)
|
1,500,000
|
1,515,249
|
||||||
|
VOLT LXVIII LLC
|
||||||||
|
Series 2018-NPL4, Class A1A, 4.336%, 7/27/48 (c)(k)
|
400,298
|
403,165
|
||||||
|
Series 2018-NPL4, Class A2, 5.927%, 7/27/48 (c)(k)
|
2,050,000
|
2,068,896
|
||||||
|
VOLT LXX LLC
|
||||||||
|
Series 2018-NPL6, Class A1A, 4.115%, 9/25/48 (c)(k)
|
9,000,501
|
9,101,576
|
||||||
|
Series 2018-NPL6, Class A1B, 4.557%, 9/25/48 (c)(k)
|
925,000
|
935,061
|
||||||
|
VOLT LXXI LLC
|
||||||||
|
Series 2018-NPL7, Class A1B, 4.262%, 9/25/48 (c)(k)
|
3,800,000
|
3,829,885
|
||||||
|
VOLT LXXII LLC
|
||||||||
|
Series 2018-NPL8, Class A1A, 4.213%, 10/26/48 (c)(k)
|
8,338,631
|
8,394,083
|
||||||
|
Series 2018-NPL8, Class A1B, 4.655%, 10/26/48 (c)(k)
|
2,000,000
|
2,026,334
|
||||||
|
VOLT LXXIII LLC
|
||||||||
|
Series 2018-NPL9, Class A1A, 4.458%, 10/25/48 (c)(k)
|
10,695,767
|
10,793,063
|
||||||
|
Series 2018-NPL9, Class A1B, 4.949%, 10/25/48 (c)(k)
|
1,050,000
|
1,064,967
|
||||||
|
VOLT LXXIV LLC
|
||||||||
|
Series 2018-NP10, Class A1A, 4.581%, 11/25/48 (c)(k)
|
9,259,487
|
9,386,825
|
||||||
|
VOLT LXXV LLC
|
||||||||
|
Series 2019-NPL1, Class A1A, 4.336%, 1/25/49 (c)(k)
|
12,187,724
|
12,335,251
|
||||||
|
Series 2019-NPL1, Class A1B, 4.826%, 1/25/49 (c)(k)
|
6,000,000
|
6,089,859
|
||||||
|
WaMu Asset-Backed Certificates WaMu Series Trust
|
||||||||
|
Series 2007-HE1, Class 2A3, 2.580%
|
||||||||
|
(1 Month LIBOR USD + 0.150%), 1/25/37 (h)
|
3,611,040
|
2,304,264
|
||||||
|
Series 2007-HE2, Class 2A1, 2.530%
|
||||||||
|
(1 Month LIBOR USD + 0.100%), 2/25/37 (h)
|
22,214,429
|
9,584,024
|
||||||
|
Series 2007-HE2, Class 2A2, 2.620%
|
||||||||
|
(1 Month LIBOR USD + 0.190%), 4/25/37 (h)
|
9,525,015
|
4,941,788
|
||||||
|
Series 2007-HE4, Class 2A4, 2.680%
|
||||||||
|
(1 Month LIBOR USD + 0.250%), 7/25/47 (h)
|
4,747,050
|
3,364,862
|
||||||
The accompanying notes are an integral part of these financial statements.
22
SEMPER MBS TOTAL RETURN FUND
SCHEDULE OF INVESTMENTS at May 31, 2019 (Unaudited), Continued
|
Principal
|
||||||||
|
Amount
|
Value
|
|||||||
|
WaMu Mortgage Pass-Through Certificates
|
||||||||
|
Series 2006-AR14, Class 1A3, 3.624%, 11/25/36 (a)
|
$
|
2,908,484
|
$
|
2,788,295
|
||||
|
Series 2006-AR18, Class 1A1, 3.464%, 1/25/37 (a)
|
1,587,029
|
1,478,575
|
||||||
|
Series 2005-AR6, Class B1, 3.330%
|
||||||||
|
(1 Month LIBOR USD + 0.900%), 4/25/45 (h)
|
4,546,744
|
3,293,091
|
||||||
|
Series 2005-AR11, Class B1, 3.040%
|
||||||||
|
(1 Month LIBOR USD + 0.610%), 8/25/45 (h)
|
12,928,858
|
12,030,403
|
||||||
|
Series 2005-AR13, Class B1, 3.030%
|
||||||||
|
(1 Month LIBOR USD + 0.600%), 10/25/45 (h)
|
4,983,618
|
4,599,515
|
||||||
|
Series 2005-AR17, Class X, 1.108%, 12/25/45 (a)(g)
|
60,363,891
|
2,249,134
|
||||||
|
Series 2005-AR17, Class A1B3, 2.780%
|
||||||||
|
(1 Month LIBOR USD + 0.350%), 12/25/45 (h)
|
2,635,542
|
2,645,757
|
||||||
|
Series 2005-AR17, Class A1C4, 2.830%
|
||||||||
|
(1 Month LIBOR USD + 0.400%), 12/25/45 (h)
|
6,053,854
|
4,217,168
|
||||||
|
Series 2005-AR17, Class A1B2, 2.840%
|
||||||||
|
(1 Month LIBOR USD + 0.410%), 12/25/45 (h)
|
800,364
|
808,916
|
||||||
|
Series 2006-AR3, Class A1B, 3.481%
|
||||||||
|
(12 Month US Treasury Average + 1.000%), 2/25/46 (h)
|
4,969,043
|
4,654,585
|
||||||
|
Series 2006-AR5, Class A1A, 3.471%
|
||||||||
|
(12 Month US Treasury Average + 0.990%), 6/25/46 (h)
|
1,714,360
|
1,692,192
|
||||||
|
Washington Mutual Mortgage Pass-Through Certificates
|
||||||||
|
Series 2007-4, Class 1A5, 7.000%, 6/25/37
|
6,824,589
|
4,492,056
|
||||||
|
Series 2006-AR9, Class 2A, 3.321%
|
||||||||
|
(12 Month US Treasury Average + 0.840%), 11/25/46 (h)
|
4,891,622
|
4,442,050
|
||||||
|
Series 2007-OA1, Class A1, 3.191%
|
||||||||
|
(12 Month US Treasury Average + 0.710%), 12/25/46 (h)
|
4,498,174
|
4,255,225
|
||||||
|
Wells Fargo Mortgage Backed Securities
|
||||||||
|
Series 2005-AR15, Class 1A1, 4.666%, 9/25/35 (a)
|
30,845
|
30,749
|
||||||
|
Series 2018-1, Class AIO1, 0.201%, 7/25/47 (a)(c)(g)
|
153,606,564
|
1,339,803
|
||||||
|
Series 2018-1, Class B3, 3.701%, 7/25/47 (a)(c)(e)
|
3,304,144
|
3,144,026
|
||||||
|
Total Residential Mortgage-Backed
|
||||||||
|
Securities – Non-Agency (cost $1,616,518,356)
|
1,603,100,239
|
|||||||
|
PRIVATE PLACEMENT PARTICIPATION AGREEMENTS – 0.3%
|
||||||||
|
BasePoint – BP SLL Trust,
|
||||||||
|
Series SPL-III, 9.50%, 12/31/19 (d)(e)
|
6,244,325
|
6,244,325
|
||||||
|
CCTC Acquisition Partners LLC, Convertible Promissory Note
|
||||||||
|
12.000%, 2/8/20 (e)(f)(i)
|
749,058
|
828,308
|
||||||
|
Total Private Placement Participation Agreements
|
||||||||
|
(cost $6,993,383)
|
7,072,633
|
|||||||
The accompanying notes are an integral part of these financial statements.
23
SEMPER MBS TOTAL RETURN FUND
SCHEDULE OF INVESTMENTS at May 31, 2019 (Unaudited), Continued
|
Shares
|
Value
|
|||||||
|
MONEY MARKET FUND – 2.4%
|
||||||||
|
First American Government
|
||||||||
|
Obligations Fund – Class Z, 2.28% (b)
|
49,896,370
|
$
|
49,896,370
|
|||||
|
Total Money Market Fund (cost $49,896,370)
|
49,896,370
|
|||||||
|
Total Investments (cost $2,064,557,004) – 99.8%
|
2,052,614,116
|
|||||||
|
Other Assets less Liabilities – 0.2%
|
3,132,164
|
|||||||
|
TOTAL NET ASSETS – 100.0%
|
$
|
2,055,746,280
|
||||||
|
(a)
|
Variable rate security. The coupon is based on an underlying pool of loans and represents the rate in effect as of May 31, 2019.
|
|
(b)
|
Rate shown is the 7-day annualized yield as of May 31, 2019.
|
|
(c)
|
Security 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.” The Fund’s investment adviser has determined that such a 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 $1,307,680,952 or 63.6% of total net assets.
|
|
(d)
|
Security is restricted. The Fund cannot sell or otherwise transfer this agreement without prior written approval of Basepoint – BP SLL Trust, Series SPL-III. As
of May 31, 2019, the value of this investment was $6,244,325 or 0.3% of total net assets.
|
|
(e)
|
Security valued at fair value using methods determined in good faith by or at the direction of the Board of Trustees of Advisors Series Trust. Value determined
using significant unobservable inputs. As of May 31, 2019, the total value of fair valued securities was $70,012,956 or 3.4% of total net assets.
|
|
(f)
|
Non-income producing.
|
|
(g)
|
Interest only security.
|
|
(h)
|
Variable or floating rate security based on a reference index and spread. The rate reported is the rate in effect as of May 31, 2019.
|
|
(i)
|
Security is restricted. The Fund cannot sell or otherwise transfer this agreement without prior written approval of CCTC Acquisition Partners LLC. As of May 31,
2019, the value of this investment was $828,308 or 0.0% of total net assets.
|
|
(j)
|
Inverse floating rate security whose interest rate moves in the opposite direction of reference interest rates.
|
|
Reference interest rates are typically based on a negative multiplier or slope. Interest rate may also be subject to a cap or floor.
|
|
|
(k)
|
Step-up bond. The interest rate will step up if the issuer does not redeem the bond by an expected redemption date. The interest rate shown is the rate in effect
as of May 31, 2019.
|
|
(l)
|
Step-up bond. The interest rate may step up conditioned upon the aggregate remaining principal balance of the underlying mortgage loans being reduced below a
targeted percentage of the aggregate original principal balance of the mortgage loans. The interest rate shown is the rate in effect as of May 31, 2019.
|
FHLMC – Federal Home Loan Mortgage Corporation
FNMA – Federal National Mortgage Association
FREMF – Freddi Mac K Series
GNMA – Government National Mortgage Association
LIBOR – London Interbank Offered Rate
REMIC – Real Estate Mortgage Investment Conduit
The accompanying notes are an integral part of these financial statements.
24
SEMPER SHORT DURATION FUND
SCHEDULE OF INVESTMENTS at May 31, 2019 (Unaudited)
|
Principal
|
||||||||
|
Amount
|
Value
|
|||||||
|
ASSET-BACKED SECURITIES – AGENCY – 0.0%
|
||||||||
|
SBA Small Business Investment Cos.
|
||||||||
|
Series 2009-10B, Class 1, 4.233%, 9/10/19
|
$
|
16,143
|
$
|
16,168
|
||||
|
Small Business Administration Participation Certificates
|
||||||||
|
Series 2009-10E, Class 1, 3.080%, 9/1/19
|
10,838
|
10,848
|
||||||
|
Series 2012-10E, Class 1, 0.980%, 9/1/22
|
109
|
107
|
||||||
|
Total Asset-Backed Securities – Agency (cost $27,093)
|
27,123
|
|||||||
|
ASSET-BACKED SECURITIES – NON-AGENCY – 15.1%
|
||||||||
|
ACC Trust
|
||||||||
|
Series 2018-1, Class A, 3.700%, 12/21/20 (c)
|
153,052
|
153,107
|
||||||
|
American Credit Acceptance Receivables Trust
|
||||||||
|
Series 2016-4, Class D, 4.110%, 4/12/23 (c)
|
250,000
|
252,703
|
||||||
|
Series 2019-2, Class D, 3.410%, 6/12/25 (c)
|
2,000,000
|
2,013,200
|
||||||
|
American Express Credit Account Master Trust
|
||||||||
|
Series 2017-5, Class A, 2.820%
|
||||||||
|
(1 Month LIBOR USD + 0.380%), 2/18/25 (j)
|
1,250,000
|
1,253,182
|
||||||
|
Avant Loans Funding Trust
|
||||||||
|
Series 2018-A, Class A, 3.090%, 6/15/21 (c)
|
135,048
|
135,412
|
||||||
|
Barclays Dryrock Issuance Trust
|
||||||||
|
Series 2017-1, Class A, 2.770%
|
||||||||
|
(1 Month LIBOR USD + 0.330%), 3/15/23 (j)
|
1,000,000
|
1,001,745
|
||||||
|
Series 2017-2, Class A, 2.740%
|
||||||||
|
(1 Month LIBOR USD + 0.300%), 5/15/23 (j)
|
1,000,000
|
1,001,863
|
||||||
|
Series 2018-1, Class A, 2.770%
|
||||||||
|
(1 Month LIBOR USD + 0.330%), 7/15/24 (j)
|
1,000,000
|
1,001,201
|
||||||
|
Blue Virgo Trust
|
||||||||
|
Series 2015-1A, Class NOTE, 3.000%, 12/15/22 (c)
|
31,987
|
31,987
|
||||||
|
Capital One Multi-Asset Execution Trust
|
||||||||
|
Series 2018-A2, Class A2, 2.790%
|
||||||||
|
(1 Month LIBOR USD + 0.350%), 3/16/26 (j)
|
670,000
|
669,347
|
||||||
|
Cazenovia Creek Funding II LLC
|
||||||||
|
Series 2018-1A, Class A, 3.561%, 7/15/30 (c)
|
1,670,001
|
1,674,749
|
||||||
|
CPS Auto Trust
|
||||||||
|
Series 2016-D, Class D, 4.530%, 1/17/23 (c)
|
925,000
|
942,462
|
||||||
|
Drive Auto Receivables Trust
|
||||||||
|
Series 2018-2, Class D, 4.140%, 8/15/24
|
2,000,000
|
2,049,434
|
||||||
|
Series 2019-2, Class D, 3.690%, 8/17/26
|
1,000,000
|
1,020,824
|
||||||
|
DT Auto Owner Trust
|
||||||||
|
Series 2016-2A, Class D, 5.430%, 11/15/22 (c)
|
212,909
|
215,284
|
||||||
|
Series 2017-3A, Class C, 3.010%, 5/15/23 (c)
|
250,000
|
249,992
|
||||||
The accompanying notes are an integral part of these financial statements.
25
SEMPER SHORT DURATION FUND
SCHEDULE OF INVESTMENTS at May 31, 2019 (Unaudited), Continued
|
Principal
|
||||||||
|
Amount
|
Value
|
|||||||
|
DT Auto Owner Trust (Continued)
|
||||||||
|
Series 2016-3A, Class D, 4.520%, 6/15/23 (c)
|
$
|
234,827
|
$
|
237,041
|
||||
|
Series 2018-2A, Class C, 3.670%, 3/15/24 (c)
|
500,000
|
505,671
|
||||||
|
Series 2017-4A, Class E, 5.150%, 11/15/24 (c)
|
2,500,000
|
2,591,728
|
||||||
|
Series 2019-2A, Class D, 3.480%, 2/18/25 (c)
|
500,000
|
506,374
|
||||||
|
Exeter Automobile Receivables Trust
|
||||||||
|
Series 2019-2A, Class D, 3.710%, 3/17/25 (c)
|
2,000,000
|
2,038,480
|
||||||
|
Flagship Credit Auto Trust
|
||||||||
|
Series 2015-3, Class D, 7.120%, 11/15/22 (c)
|
1,500,000
|
1,567,659
|
||||||
|
Series 2017-3, Class D, 3.730%, 9/15/23 (c)
|
1,000,000
|
1,015,915
|
||||||
|
Ford Credit Floorplan Master Owner Trust
|
||||||||
|
Series 2018-1, Class A2, 2.720%
|
||||||||
|
(1 Month LIBOR USD + 0.280%), 5/15/23 (j)
|
1,250,000
|
1,248,039
|
||||||
|
Series 2018-3, Class A2, 2.840%
|
||||||||
|
(1 Month LIBOR USD + 0.400%), 10/15/23 (j)
|
1,250,000
|
1,252,741
|
||||||
|
GLS Auto Receivables Trust
|
||||||||
|
Series 2017-1A, Class B, 2.980%, 12/15/21 (c)
|
300,000
|
299,218
|
||||||
|
Series 2018-1A, Class A, 2.820%, 7/15/22 (c)
|
105,651
|
105,592
|
||||||
|
Series 2019-2A, Class C, 3.540%, 2/18/25 (c)
|
2,000,000
|
2,028,544
|
||||||
|
GMF Floorplan Owner Revolving Trust
|
||||||||
|
Series 2018-4, Class A2, 2.850%
|
||||||||
|
(1 Month LIBOR USD + 0.410%), 9/15/23 (c)(j)
|
1,000,000
|
996,970
|
||||||
|
Gracechurch Card Funding Plc
|
||||||||
|
Series 2018-1A, Class A, 2.840%
|
||||||||
|
(1 Month LIBOR USD + 0.400%), 7/15/22 (c)(j)
|
1,600,000
|
1,598,494
|
||||||
|
Marlette Funding Trust
|
||||||||
|
Series 2018-1A, Class A, 2.610%, 3/15/28 (c)
|
113,473
|
113,349
|
||||||
|
NextGear Floorplan Master Owner Trust
|
||||||||
|
Series 2018-2A, Class A1, 3.040%
|
||||||||
|
(1 Month LIBOR USD + 0.600%), 10/15/23 (c)(j)
|
1,000,000
|
1,002,097
|
||||||
|
Prestige Auto Receivables Trust
|
||||||||
|
Series 2015-1, Class E, 4.670%, 1/17/22 (c)
|
500,000
|
501,071
|
||||||
|
Series 2016-2A, Class D, 3.910%, 11/15/22 (c)
|
1,085,000
|
1,096,137
|
||||||
|
Series 2017-1A, Class D, 3.610%, 10/16/23 (c)
|
2,055,000
|
2,088,695
|
||||||
|
SLM Private Credit Student Loan Trust
|
||||||||
|
Series 2003-C, Class A5, 2.930%
|
||||||||
|
(28 Day Auction Rate + 0.000%), 9/15/32 (j)
|
550,000
|
549,076
|
||||||
|
SoFi Consumer Loan Program Trust
|
||||||||
|
Series 2015-1, Class A, 3.280%, 9/15/23 (c)
|
13,625
|
13,626
|
||||||
|
Series 2016-2, Class B, 4.770%, 10/27/25 (a)(c)
|
210,000
|
215,610
|
||||||
|
Series 2017-2, Class A, 3.280%, 2/25/26 (c)
|
87,932
|
88,532
|
||||||
The accompanying notes are an integral part of these financial statements.
26
SEMPER SHORT DURATION FUND
SCHEDULE OF INVESTMENTS at May 31, 2019 (Unaudited), Continued
|
Principal
|
||||||||
|
Amount
|
Value
|
|||||||
|
SoFi Professional Loan Program, LLC
|
||||||||
|
Series 2016-B, Class A1, 3.630%
|
||||||||
|
(1 Month LIBOR USD + 1.200%), 6/25/33 (c)(j)
|
$
|
344,931
|
$
|
348,170
|
||||
|
Series 2016-C, Class A1, 3.530%
|
||||||||
|
(1 Month LIBOR USD + 1.100%), 10/27/36 (c)(j)
|
535,035
|
540,497
|
||||||
|
Series 2015-D, Class A1, 3.930%
|
||||||||
|
(1 Month LIBOR USD + 1.500%), 10/27/36 (c)(j)
|
230,280
|
233,788
|
||||||
|
South Carolina Student Loan Corp.
|
||||||||
|
Series 2013-1, Class A, 2.930%
|
||||||||
|
(1 Month LIBOR USD + 0.500%), 1/25/41 (j)
|
154,286
|
153,626
|
||||||
|
TLF National Tax Lien Trust
|
||||||||
|
Series 2017-1A, Class A, 3.090%, 12/15/29 (c)
|
238,432
|
237,943
|
||||||
|
Series 2017-1A, Class B, 3.840%, 12/15/29 (c)
|
59,608
|
59,605
|
||||||
|
Trillium Credit Card Trust II
|
||||||||
|
Series 2018-1A, Class A, 2.680%
|
||||||||
|
(1 Month LIBOR USD + 0.250%), 2/27/23 (c)(j)
|
775,000
|
774,956
|
||||||
|
United Auto Credit Securitization Trust
|
||||||||
|
Series 2018-1, Class D, 3.520%, 11/10/22 (c)
|
500,000
|
502,524
|
||||||
|
Series 2019-1, Class D, 3.470%, 8/12/24 (c)
|
2,000,000
|
2,014,030
|
||||||
|
Volvo Financial Equipment Master Owner Trust
|
||||||||
|
Series 2017-A, Class A, 2.940%
|
||||||||
|
(1 Month LIBOR USD + 0.500%), 11/15/22 (c)(j)
|
1,000,000
|
1,003,506
|
||||||
|
Westlake Automobile Receivables Trust
|
||||||||
|
Series 2019-1A, Class D, 3.670%, 3/15/24 (c)
|
1,500,000
|
1,528,011
|
||||||
|
Series 2019-1A, Class E, 4.490%, 7/15/24 (c)
|
1,500,000
|
1,529,024
|
||||||
|
Total Asset-Backed Securities – Non-Agency
|
||||||||
|
(cost $43,915,784)
|
44,252,831
|
|||||||
|
ASSET-BACKED SECURITIES – REAL ESTATE – 0.1%
|
||||||||
|
Hilton Grand Vacations Trust
|
||||||||
|
Series 2014-AA, Class A, 1.770%, 11/25/26 (c)
|
168,694
|
167,535
|
||||||
|
Total Asset-Backed Securities – Real Estate
|
||||||||
|
(cost $166,884)
|
167,535
|
|||||||
|
COLLATERALIZED LOAN OBLIGATIONS – 23.9%
|
||||||||
|
ACIS CLO Ltd.
|
||||||||
|
Series 2014-3A, Class A1A, 4.089%
|
||||||||
|
(3 Month LIBOR USD + 1.510%), 2/1/26 (c)(j)
|
873,082
|
873,691
|
||||||
|
Series 2014-4A, Class A, 3.999%
|
||||||||
|
(3 Month LIBOR USD + 1.420%), 5/1/26 (c)(j)
|
2,000,000
|
2,002,558
|
||||||
The accompanying notes are an integral part of these financial statements.
27
SEMPER SHORT DURATION FUND
SCHEDULE OF INVESTMENTS at May 31, 2019 (Unaudited), Continued
|
Principal
|
||||||||
|
Amount
|
Value
|
|||||||
|
ACIS CLO Ltd. (Continued)
|
||||||||
|
Series 2014-5A, Class A1, 4.089%
|
||||||||
|
(3 Month LIBOR USD + 1.510%), 11/1/26 (c)(j)
|
$
|
1,499,051
|
$
|
1,502,487
|
||||
|
Series 2017-7A, Class A1, 3.929%
|
||||||||
|
(3 Month LIBOR USD + 1.350%), 5/1/27 (c)(j)
|
4,000,000
|
4,008,132
|
||||||
|
Series 2015-6A, Class A1, 4.169%
|
||||||||
|
(3 Month LIBOR USD + 1.590%), 5/1/27 (c)(j)
|
500,000
|
501,029
|
||||||
|
Allegro CLO VII Ltd.
|
||||||||
|
Series 2018-1A, Class A, 3.697%
|
||||||||
|
(3 Month LIBOR USD + 1.100%), 6/13/31 (c)(j)
|
1,000,000
|
991,526
|
||||||
|
ALM VIII Ltd.
|
||||||||
|
Series 2013-8A, Class A1R, 4.087%
|
||||||||
|
(3 Month LIBOR USD + 1.490%), 10/15/28 (c)(j)
|
2,000,000
|
2,001,465
|
||||||
|
Antares CLO Ltd.
|
||||||||
|
Series 2017-2A, Class A, 4.122%
|
||||||||
|
(3 Month LIBOR USD + 1.530%), 1/20/30 (c)(j)
|
2,000,000
|
1,991,486
|
||||||
|
Apex Credit CLO LLC
|
||||||||
|
Series 2017-1A, Class A1, 4.051%
|
||||||||
|
(3 Month LIBOR USD + 1.470%), 4/24/29 (c)(j)
|
1,500,000
|
1,500,252
|
||||||
|
APIDOS CLO XI
|
||||||||
|
Series 2012-11A, Class AR, 4.028%
|
||||||||
|
(3 Month LIBOR USD + 1.440%), 1/17/28 (c)(j)
|
600,000
|
602,728
|
||||||
|
Apidos CLO XVI
|
||||||||
|
Series 2013-16A, Class A1R, 3.572%
|
||||||||
|
(3 Month LIBOR USD + 0.980%), 1/19/25 (c)(j)
|
173,251
|
173,356
|
||||||
|
Atlas Senior Loan Fund V Ltd.
|
||||||||
|
Series 2014-1A, Class AR2, 3.861%
|
||||||||
|
(3 Month LIBOR USD + 1.260%), 7/16/29 (c)(j)
|
2,100,000
|
2,100,220
|
||||||
|
Benefit Street Partners CLO VI Ltd.
|
||||||||
|
Series 2015-VIA, Class X, 3.401%
|
||||||||
|
(3 Month LIBOR USD + 0.800%), 10/18/29 (c)(j)
|
35,000
|
35,000
|
||||||
|
Black Diamond CLO Ltd.
|
||||||||
|
Series 2017-1A, Class A1A, 3.871%
|
||||||||
|
(3 Month LIBOR USD + 1.290%), 4/24/29 (c)(j)
|
2,500,000
|
2,503,648
|
||||||
|
Carlyle Global Market Strategies CLO Ltd.
|
||||||||
|
Series 2015-3A, Class A1R, 3.582%
|
||||||||
|
(3 Month LIBOR USD + 1.000%), 7/28/28 (c)(j)
|
1,000,000
|
999,350
|
||||||
|
Catamaran CLO Ltd.
|
||||||||
|
Series 2014-2A, Class A1R, 4.001%
|
||||||||
|
(3 Month LIBOR USD + 1.400%), 10/18/26 (c)(j)
|
2,142,367
|
2,147,085
|
||||||
|
Cent CLO Ltd.
|
||||||||
|
Series 2013-19A, Class A1A, 3.912%
|
||||||||
|
(3 Month LIBOR USD + 1.330%), 10/29/25 (c)(j)
|
570,126
|
572,113
|
||||||
The accompanying notes are an integral part of these financial statements.
28
SEMPER SHORT DURATION FUND
SCHEDULE OF INVESTMENTS at May 31, 2019 (Unaudited), Continued
|
Principal
|
||||||||
|
Amount
|
Value
|
|||||||
|
CIFC Funding Ltd.
|
||||||||
|
Series 2015-5A, Class A1R, 3.440%
|
||||||||
|
(3 Month LIBOR USD + 0.860%), 10/25/27 (c)(j)
|
$
|
285,000
|
$
|
284,274
|
||||
|
Cutwater Ltd.
|
||||||||
|
Series 2014-1A, Class A1AR, 3.847%
|
||||||||
|
(3 Month LIBOR USD + 1.250%), 7/15/26 (c)(j)
|
1,999,935
|
2,001,508
|
||||||
|
Dewolf Park CLO Ltd.
|
||||||||
|
Series 2017-1A, Class A, 3.807%
|
||||||||
|
(3 Month LIBOR USD + 1.210%), 10/15/30 (c)(j)
|
2,390,000
|
2,391,560
|
||||||
|
Dryden CLO Ltd.
|
||||||||
|
Series 2018-57A, Class A, 3.528%
|
||||||||
|
(3 Month LIBOR USD + 1.010%), 5/15/31 (c)(j)
|
890,000
|
883,901
|
||||||
|
Elevation CLO Ltd.
|
||||||||
|
Series 2013-1A, Class A1R, 4.038%
|
||||||||
|
(3 Month LIBOR USD + 1.520%), 11/15/28 (c)(j)
|
1,500,000
|
1,501,347
|
||||||
|
Ellington CLO IV Ltd.
|
||||||||
|
Series 2019-1A, Class A, 4.348%
|
||||||||
|
(3 Month LIBOR USD + 1.840%), 4/15/29 (c)(j)
|
2,000,000
|
2,001,259
|
||||||
|
Ellington CLO Ltd.
|
||||||||
|
Series 2018-3A, Class A1, 4.242%
|
||||||||
|
(3 Month LIBOR USD + 1.650%), 7/20/30 (c)(j)
|
1,500,000
|
1,490,536
|
||||||
|
FLAGS
|
||||||||
|
Series 2013-7A, Class BR, 4.142%
|
||||||||
|
(3 Month LIBOR USD + 1.55%), 1/20/26 (c)(j)
|
500,000
|
500,625
|
||||||
|
Gallatin CLO VIII Ltd.
|
||||||||
|
Series 2017-1A, Class A, 3.647%
|
||||||||
|
(3 Month LIBOR USD + 1.050%), 7/15/27 (c)(j)
|
400,000
|
400,637
|
||||||
|
GLG Ore Hill CLO Ltd.
|
||||||||
|
Series 2013-1A, Class A, 3.717%
|
||||||||
|
(3 Month LIBOR USD + 1.120%), 7/15/25 (c)(j)
|
660,894
|
661,002
|
||||||
|
Golub Capital Partners CLO Ltd.
|
||||||||
|
Series 2018-39A, Class A1, 3.742%
|
||||||||
|
(3 Month LIBOR USD + 1.150%), 10/20/28 (c)(j)
|
280,000
|
279,994
|
||||||
|
Halcyon Loan Advisors Funding Ltd.
|
||||||||
|
Series 2014-3A, Class AR, 3.692%
|
||||||||
|
(3 Month LIBOR USD + 1.100%), 10/22/25 (c)(j)
|
181,958
|
182,027
|
||||||
|
Series 2015-1A, Class AR, 3.512%
|
||||||||
|
(3 Month LIBOR USD + 0.920%), 4/20/27 (c)(j)
|
749,549
|
747,121
|
||||||
|
Highbridge Loan Management Ltd.
|
||||||||
|
Series 2015-7A, Class XR, 3.118%
|
||||||||
|
(3 Month LIBOR USD + 0.600%), 3/15/27 (c)(j)
|
50,000
|
49,898
|
||||||
The accompanying notes are an integral part of these financial statements.
29
SEMPER SHORT DURATION FUND
SCHEDULE OF INVESTMENTS at May 31, 2019 (Unaudited), Continued
|
Principal
|
||||||||
|
Amount
|
Value
|
|||||||
|
ICG US CLO Ltd.
|
||||||||
|
Series 2014-1A, Class A1R, 3.812%
|
||||||||
|
(3 Month LIBOR USD + 1.220%), 1/20/30 (c)(j)
|
$
|
2,000,000
|
$
|
1,988,403
|
||||
|
JFIN MM CLO Ltd.
|
||||||||
|
Series 2014-1A, Class A, 4.192%
|
||||||||
|
(3 Month LIBOR USD + 1.600%), 4/20/25 (c)(j)
|
960,261
|
960,777
|
||||||
|
KKR Financial CLO Ltd.
|
||||||||
|
Series 2013-1A, Class A1R, 3.887%
|
||||||||
|
(3 Month LIBOR USD + 1.290%), 4/15/29 (c)(j)
|
2,000,000
|
1,994,829
|
||||||
|
Mountain Hawk II CLO Ltd.
|
||||||||
|
Series 2013-2A, Class BR, 4.192%
|
||||||||
|
(3 Month LIBOR USD + 1.600%), 7/20/24 (c)(j)
|
500,000
|
500,189
|
||||||
|
Mountain Hawk III CLO Ltd.
|
||||||||
|
Series 2014-3A, Class AR, 3.801%
|
||||||||
|
(3 Month LIBOR USD + 1.200%), 4/18/25 (c)(j)
|
2,030,313
|
2,032,051
|
||||||
|
Mountain View CLO LLC
|
||||||||
|
Series 2017-2A, Class X, 3.251%
|
||||||||
|
(3 Month LIBOR USD + 0.650%), 1/16/31 (c)(j)
|
105,000
|
104,410
|
||||||
|
Nassau II Ltd.
|
||||||||
|
Series 2017-IIA, Class AL, 3.847%
|
||||||||
|
(3 Month LIBOR USD + 1.250%), 1/15/30 (c)(j)
|
800,000
|
797,716
|
||||||
|
Newfleet CLO Ltd.
|
||||||||
|
Series 2016-1A, Class A1R, 3.542%
|
||||||||
|
(3 Month LIBOR USD + 0.950%), 4/20/28 (c)(d)(j)
|
500,000
|
497,375
|
||||||
|
Oaktree CLO Ltd.
|
||||||||
|
Series 2014-1A, Class A1R, 3.825%
|
||||||||
|
(3 Month LIBOR USD + 1.290%), 5/13/29 (c)(j)
|
500,000
|
500,212
|
||||||
|
OHA Loan Funding Ltd.
|
||||||||
|
Series 2015-1A, Class AR, 3.928%
|
||||||||
|
(3 Month LIBOR USD + 1.410%), 8/15/29 (c)(j)
|
1,250,000
|
1,254,994
|
||||||
|
Regatta VI Funding Ltd.
|
||||||||
|
Series 2016-1A, Class AR, 3.672%
|
||||||||
|
(3 Month LIBOR USD + 1.080%), 7/20/28 (c)(j)
|
500,000
|
500,264
|
||||||
|
Sound Point CLO Ltd.
|
||||||||
|
Series 2017-15, Class A, 3.982%
|
||||||||
|
(3 Month LIBOR USD + 1.390%), 1/23/29 (c)(j)
|
2,055,000
|
2,056,065
|
||||||
|
Telos CLO Ltd.
|
||||||||
|
Series 2014-6A, Class A1R, 3.858%
|
||||||||
|
(3 Month LIBOR USD + 1.270%), 1/17/27 (c)(j)
|
1,976,044
|
1,977,417
|
||||||
|
Series 2013-4A, Class AR, 3.828%
|
||||||||
|
(3 Month LIBOR USD + 1.240%), 1/17/30 (c)(j)
|
250,000
|
248,615
|
||||||
|
TICP CLO I Ltd.
|
||||||||
|
Series 2015-1A, Class AR, 3.392%
|
||||||||
|
(3 Month LIBOR USD + 0.800%), 7/20/27 (c)(j)
|
200,000
|
199,921
|
||||||
The accompanying notes are an integral part of these financial statements.
30
SEMPER SHORT DURATION FUND
SCHEDULE OF INVESTMENTS at May 31, 2019 (Unaudited), Continued
|
Principal
|
||||||||
|
Amount
|
Value
|
|||||||
|
TICP CLO VI Ltd.
|
||||||||
|
Series 2016-6A, Class A, 4.147%
|
||||||||
|
(3 Month LIBOR USD + 1.550%), 1/15/29 (c)(j)
|
$
|
1,300,000
|
$
|
1,300,588
|
||||
|
Tralee CLO V Ltd.
|
||||||||
|
Series 2018-5A, Class A1, 3.702%
|
||||||||
|
(3 Month LIBOR USD + 1.110%), 10/20/28 (c)(j)
|
2,000,000
|
1,995,882
|
||||||
|
TRINITAS CLO IV Ltd.
|
||||||||
|
Series 2016-4A, Class XR, 3.351%
|
||||||||
|
(3 Month LIBOR USD + 0.750%), 10/18/31 (c)(j)
|
825,000
|
823,900
|
||||||
|
Venture XV CLO Ltd.
|
||||||||
|
Series 2013-15A, Class AR, 4.117%
|
||||||||
|
(3 Month LIBOR USD + 1.520%), 7/15/28 (c)(j)
|
500,000
|
500,272
|
||||||
|
Venture XVII CLO Ltd.
|
||||||||
|
Series 2014-17A, Class ARR, 3.477%
|
||||||||
|
(3 Month LIBOR USD + 0.880%), 4/15/27 (c)(j)
|
1,965,000
|
1,954,973
|
||||||
|
Venture XXVI CLO Ltd.
|
||||||||
|
Series 2017-26A, Class A, 4.042%
|
||||||||
|
(3 Month LIBOR USD + 1.450%), 1/20/29 (c)(j)
|
2,000,000
|
2,001,687
|
||||||
|
Venture XXVII CLO Ltd.
|
||||||||
|
Series 2017-27A, Class A, 3.892%
|
||||||||
|
(3 Month LIBOR USD + 1.300%), 7/20/30 (c)(j)
|
100,000
|
100,038
|
||||||
|
Wellfleet CLO Ltd.
|
||||||||
|
Series 2017-1A, Class A1, 3.912%
|
||||||||
|
(3 Month LIBOR USD + 1.320%), 4/20/29 (c)(h)(j)
|
2,500,000
|
2,500,442
|
||||||
|
Wind River CLO Ltd.
|
||||||||
|
Series 2016-1A, Class AR, 3.647%
|
||||||||
|
(3 Month LIBOR USD + 1.050%), 7/15/28 (j)
|
1,000,000
|
997,754
|
||||||
|
Zais CLO 5 Ltd.
|
||||||||
|
Series 2016-2A, Class A1, 4.127%
|
||||||||
|
(3 Month LIBOR USD + 1.530%), 10/15/28 (c)(j)
|
1,942,000
|
1,946,369
|
||||||
|
Zais CLO 8 Ltd.
|
||||||||
|
Series 2018-1A, Class A, 3.547%
|
||||||||
|
(3 Month LIBOR USD + 0.950%), 4/15/29 (c)(j)
|
2,300,000
|
2,274,793
|
||||||
|
Total Collateralized Loan Obligations (cost $69,781,814)
|
69,891,751
|
|||||||
|
COMMERCIAL MORTGAGE-BACKED SECURITIES – AGENCY – 0.0%
|
||||||||
|
GNMA
|
||||||||
|
Series 2009-4, Class IO, 0.390%, 1/16/49 (a)(i)
|
356,996
|
2,671
|
||||||
|
Total Commercial Mortgage-Backed Securities – Agency
|
||||||||
|
(cost $1,748)
|
2,671
|
|||||||
The accompanying notes are an integral part of these financial statements.
31
SEMPER SHORT DURATION FUND
SCHEDULE OF INVESTMENTS at May 31, 2019 (Unaudited), Continued
|
Principal
|
||||||||
|
Amount
|
Value
|
|||||||
|
COMMERCIAL MORTGAGE-BACKED SECURITIES – NON-AGENCY – 10.7%
|
||||||||
|
AREIT Trust
|
||||||||
|
Series 2018-CRE1, Class A, 3.288%
|
||||||||
|
(1 Month LIBOR USD + 0.850%), 2/14/35 (c)(j)
|
$
|
355,473
|
$
|
355,860
|
||||
|
Bayview Commercial Asset Trust
|
||||||||
|
Series 2007-2A, Class A1, 2.700%
|
||||||||
|
(1 Month LIBOR USD + 0.270%), 7/25/37 (c)(j)
|
386,034
|
369,641
|
||||||
|
Series 2007-6A, Class A3A, 3.680%
|
||||||||
|
(1 Month LIBOR USD + 1.250%), 12/25/37 (c)(j)
|
306,992
|
308,047
|
||||||
|
BSPRT Issuer Ltd.
|
||||||||
|
Series 2018-FL3, Class A, 3.490%
|
||||||||
|
(1 Month LIBOR USD + 1.050%), 3/15/28 (c)(j)
|
2,500,000
|
2,502,018
|
||||||
|
Series 2017-FL2, Class C, 4.590%
|
||||||||
|
(1 Month LIBOR USD + 2.150%), 10/15/34 (c)(j)
|
500,000
|
501,221
|
||||||
|
BXMT Ltd.
|
||||||||
|
Series 2017-FL1, Class B, 3.932%
|
||||||||
|
(1 Month LIBOR USD + 1.500%), 6/15/35 (c)(j)
|
750,000
|
751,852
|
||||||
|
Series 2017-FL1, Class C, 4.382%
|
||||||||
|
(1 Month LIBOR USD + 1.950%), 6/15/35 (c)(j)
|
500,000
|
501,377
|
||||||
|
Cherrywood SB Commercial Mortgage Loan Trust
|
||||||||
|
Series 2016-1A, Class AFL, 5.080%
|
||||||||
|
(1 Month LIBOR USD + 2.650%), 3/25/49 (c)(j)
|
169,749
|
171,847
|
||||||
|
CNL Commercial Mortgage Loan Trust
|
||||||||
|
Series 2003-1A, Class A1, 2.940%
|
||||||||
|
(1 Month LIBOR USD + 0.500%), 5/15/31 (c)(j)
|
123,441
|
120,741
|
||||||
|
Credit Suisse Mortgage Trust
|
||||||||
|
Series 2006-OMA, Class B1, 5.466%, 5/15/23 (c)
|
235,691
|
237,554
|
||||||
|
DBCG Mortgage Trust
|
||||||||
|
Series 2017-BBG, Class C, 3.440%
|
||||||||
|
(1 Month LIBOR USD + 1.000%), 6/15/34 (c)(j)
|
350,000
|
347,153
|
||||||
|
FREMF Mortgage Trust
|
||||||||
|
Series 2017-KF35, Class B, 5.231%
|
||||||||
|
(1 Month LIBOR USD + 2.750%), 8/25/24 (c)(j)
|
1,503,547
|
1,506,912
|
||||||
|
Series 2018-KF47, Class B, 4.481%
|
||||||||
|
(1 Month LIBOR USD + 2.000%), 5/25/25 (c)(j)
|
496,463
|
494,662
|
||||||
|
Series 2018-KF51, Class B, 4.331%
|
||||||||
|
(1 Month LIBOR USD + 1.850%), 8/25/25 (c)(j)
|
987,910
|
976,803
|
||||||
|
Series 2019-KF58, Class B, 4.631%
|
||||||||
|
(1 Month LIBOR USD + 2.150%), 1/25/26 (c)(j)
|
1,874,348
|
1,887,844
|
||||||
|
Series 2019-KF62, Class B, 4.531%
|
||||||||
|
(1 Month LIBOR USD + 2.050%), 4/25/26 (c)(j)
|
1,500,000
|
1,503,748
|
||||||
The accompanying notes are an integral part of these financial statements.
32
SEMPER SHORT DURATION FUND
SCHEDULE OF INVESTMENTS at May 31, 2019 (Unaudited), Continued
|
Principal
|
||||||||
|
Amount
|
Value
|
|||||||
|
FREMF Mortgage Trust (Continued)
|
||||||||
|
Series 2017-KF33, Class B, 5.031%
|
||||||||
|
(1 Month LIBOR USD + 2.550%), 6/25/27 (c)(j)
|
$
|
381,458
|
$
|
386,778
|
||||
|
Series 2017-KF37, Class B, 5.231%
|
||||||||
|
(1 Month LIBOR USD + 2.750%), 6/25/27 (c)(j)
|
923,400
|
935,078
|
||||||
|
Series 2018-KF43, Class B, 4.631%
|
||||||||
|
(1 Month LIBOR USD + 2.150%), 1/25/28 (c)(j)
|
1,625,170
|
1,625,043
|
||||||
|
Series 2018-KF48, Class B, 4.531%
|
||||||||
|
(1 Month LIBOR USD + 2.050%), 6/25/28 (c)(j)
|
1,966,636
|
1,942,037
|
||||||
|
Series 2018-KF50, Class B, 4.330%
|
||||||||
|
(1 Month LIBOR USD + 1.900%), 7/25/28 (c)(j)
|
1,725,000
|
1,715,759
|
||||||
|
Series 2018-KF52, Class B, 4.431%
|
||||||||
|
(1 Month LIBOR USD + 1.950%), 9/25/28 (j)
|
1,000,000
|
994,513
|
||||||
|
Series 2018-KF56, Class B, 4.931%
|
||||||||
|
(1 Month LIBOR USD + 2.450%), 11/25/28 (c)(j)
|
1,955,106
|
1,952,208
|
||||||
|
Series 2019-KF57, Class B, 4.731%
|
||||||||
|
(1 Month LIBOR USD + 2.250%), 1/25/29 (c)(j)
|
985,748
|
990,419
|
||||||
|
GE Business Loan Trust
|
||||||||
|
Series 2007-1A, Class A, 2.610%
|
||||||||
|
(1 Month LIBOR USD + 0.170%), 4/15/35 (c)(j)
|
318,451
|
312,602
|
||||||
|
GPMT Ltd.
|
||||||||
|
Series 2018-FL1, Class A, 3.342%
|
||||||||
|
(1 Month LIBOR USD + 0.900%), 11/21/35 (c)(j)
|
381,279
|
381,851
|
||||||
|
Series 2019-FL2, Class A, 3.740%
|
||||||||
|
(1 Month LIBOR USD + 1.300%), 2/22/36 (c)(j)
|
1,000,000
|
1,004,750
|
||||||
|
GS Mortgage Securities Corp. Trust
|
||||||||
|
Series 2017-500K, Class E, 3.940%
|
||||||||
|
(1 Month LIBOR USD + 1.500%), 7/15/32 (c)(j)
|
500,000
|
501,101
|
||||||
|
Hunt CRE Ltd.
|
||||||||
|
Series 2018-FL2, Class A, 3.520%
|
||||||||
|
(1 Month LIBOR USD + 1.080%), 8/15/28 (c)(j)
|
500,000
|
501,125
|
||||||
|
Series 2017-FL1, Class A, 3.440%
|
||||||||
|
(1 Month LIBOR USD + 1.000%), 8/15/34 (c)(j)
|
1,000,000
|
994,542
|
||||||
|
IMT Trust
|
||||||||
|
Series 2017-APTS, Class DFL, 3.990%
|
||||||||
|
(1 Month LIBOR USD + 1.550%), 6/15/34 (c)(j)
|
500,000
|
501,103
|
||||||
|
Lehman Brothers Small Balance Commercial Mortgage Trust
|
||||||||
|
Series 2006-1A, Class M2, 2.860%
|
||||||||
|
(1 Month LIBOR USD + 0.430%), 4/25/31 (c)(j)
|
745,100
|
734,330
|
||||||
|
LoanCore Issuer Ltd.
|
||||||||
|
Series 2018-CRE1, Class A, 3.570%
|
||||||||
|
(1 Month LIBOR USD + 1.130%), 5/15/28 (c)(j)
|
1,750,000
|
1,753,288
|
||||||
The accompanying notes are an integral part of these financial statements.
33
SEMPER SHORT DURATION FUND
SCHEDULE OF INVESTMENTS at May 31, 2019 (Unaudited), Continued
|
Principal
|
||||||||
|
Amount
|
Value
|
|||||||
|
Stonemont Portfolio Trust
|
||||||||
|
Series 2017-MONT, Class A, 3.291%
|
||||||||
|
(1 Month LIBOR USD + 0.850%), 8/20/30 (c)(j)
|
$
|
975,110
|
$
|
975,249
|
||||
|
Velocity Commercial Capital Loan Trust
|
||||||||
|
Series 2016-1, Class AFL, 4.880%
|
||||||||
|
(1 Month LIBOR USD + 2.450%), 4/25/46 (c)(j)
|
30,133
|
30,355
|
||||||
|
Series 2017-1, Class AFL, 3.680%
|
||||||||
|
(1 Month LIBOR USD + 1.250%), 5/25/47 (c)(j)
|
347,157
|
348,207
|
||||||
|
Series 2017-2, Class AFL, 3.330%
|
||||||||
|
(1 Month LIBOR USD + 0.900%), 11/25/47 (c)(j)
|
357,993
|
358,436
|
||||||
|
Total Commercial Mortgage-Backed
|
||||||||
|
Securities – Non-Agency (cost $31,515,080)
|
31,476,054
|
|||||||
|
RESIDENTIAL MORTGAGE-BACKED SECURITIES – AGENCY – 24.7%
|
||||||||
|
Fannie Mae Connecticut Avenue Securities
|
||||||||
|
Series 2014-C01, Class M1, 4.030%
|
||||||||
|
(1 Month LIBOR USD + 1.600%), 1/25/24 (j)
|
1,350
|
1,352
|
||||||
|
Series 2014-C01, Class M2, 6.830%
|
||||||||
|
(1 Month LIBOR USD + 4.400%), 1/25/24 (j)
|
1,800,000
|
1,995,239
|
||||||
|
Series 2014-C02, Class 1M1, 3.380%
|
||||||||
|
(1 Month LIBOR USD + 0.950%), 5/25/24 (j)
|
2,855
|
2,856
|
||||||
|
Series 2014-C03, Class 1M2, 5.430%
|
||||||||
|
(1 Month LIBOR USD + 3.000%), 7/25/24 (j)
|
1,672,317
|
1,775,322
|
||||||
|
Series 2014-C04, Class 1M2, 7.330%
|
||||||||
|
(1 Month LIBOR USD + 4.900%), 11/25/24 (j)
|
2,239,242
|
2,517,114
|
||||||
|
Series 2014-C04, Class 2M2, 7.430%
|
||||||||
|
(1 Month LIBOR USD + 5.000%), 11/25/24 (j)
|
1,953,870
|
2,158,431
|
||||||
|
Series 2016-C01, Class 1M2, 9.180%
|
||||||||
|
(1 Month LIBOR USD + 6.750%), 8/25/28 (j)
|
2,485,644
|
2,860,537
|
||||||
|
Series 2016-C02, Class 1M2, 8.430%
|
||||||||
|
(1 Month LIBOR USD + 6.000%), 9/25/28 (j)
|
2,413,346
|
2,712,661
|
||||||
|
Series 2016-C03, Class 1M2, 7.730%
|
||||||||
|
(1 Month LIBOR USD + 5.300%), 10/25/28 (j)
|
2,500,000
|
2,834,516
|
||||||
|
Series 2016-C04, Class 1M1, 3.880%
|
||||||||
|
(1 Month LIBOR USD + 1.450%), 1/25/29 (j)
|
158,966
|
159,560
|
||||||
|
Series 2016-C04, Class 1M2, 6.680%
|
||||||||
|
(1 Month LIBOR USD + 4.250%), 1/25/29 (j)
|
1,950,000
|
2,113,973
|
||||||
|
Series 2016-C06, Class 1M1, 3.730%
|
||||||||
|
(1 Month LIBOR USD + 1.300%), 4/25/29 (j)
|
22,508
|
22,625
|
||||||
|
Series 2017-C01, Class 1M1, 3.730%
|
||||||||
|
(1 Month LIBOR USD + 1.300%), 7/25/29 (j)
|
774,444
|
777,803
|
||||||
The accompanying notes are an integral part of these financial statements.
34
SEMPER SHORT DURATION FUND
SCHEDULE OF INVESTMENTS at May 31, 2019 (Unaudited), Continued
|
Principal
|
||||||||
|
Amount
|
Value
|
|||||||
|
Fannie Mae Connecticut Avenue Securities (Continued)
|
||||||||
|
Series 2017-C05, Class 1M1, 2.980%
|
||||||||
|
(1 Month LIBOR USD + 0.550%), 1/25/30 (j)
|
$
|
1,729,396
|
$
|
1,729,689
|
||||
|
Series 2017-C06, Class 1M1, 3.180%
|
||||||||
|
(1 Month LIBOR USD + 0.750%), 2/25/30 (j)
|
80,301
|
80,360
|
||||||
|
Series 2017-C07, Class 1M1, 3.080%
|
||||||||
|
(1 Month LIBOR USD + 0.650%), 5/25/30 (j)
|
31,158
|
31,179
|
||||||
|
Series 2017-C07, Class 2M1, 3.080%
|
||||||||
|
(1 Month LIBOR USD + 0.650%), 5/25/30 (j)
|
2,055,297
|
2,055,676
|
||||||
|
Series 2017-C07, Class 1M2A, 4.830%
|
||||||||
|
(1 Month LIBOR USD + 2.400%), 5/25/30 (j)
|
750,000
|
773,208
|
||||||
|
Series 2017-C07, Class 2M2A, 4.930%
|
||||||||
|
(1 Month LIBOR USD + 2.500%), 5/25/30 (j)
|
1,550,000
|
1,603,694
|
||||||
|
Series 2018-C01, Class 1M1, 3.030%
|
||||||||
|
(1 Month LIBOR USD + 0.600%), 7/25/30 (j)
|
1,724,321
|
1,724,060
|
||||||
|
Series 2018-C04, Class 2M1, 3.180%
|
||||||||
|
(1 Month LIBOR USD + 0.750%), 12/25/30 (j)
|
1,410,399
|
1,411,109
|
||||||
|
Series 2018-C06, Class 1M1, 2.980%
|
||||||||
|
(1 Month LIBOR USD + 0.550%), 3/25/31 (j)
|
1,867,678
|
1,867,794
|
||||||
|
Series 2018-R07, Class 1M1, 3.180%
|
||||||||
|
(1 Month LIBOR USD + 0.750%), 4/25/31 (c)(j)
|
3,326,541
|
3,329,235
|
||||||
|
Series 2018-R07, Class 1M2, 4.830%
|
||||||||
|
(1 Month LIBOR USD + 2.400%), 4/25/31 (c)(j)
|
538,000
|
543,200
|
||||||
|
Series 2019-R01, Class 2M1, 3.280%
|
||||||||
|
(1 Month LIBOR USD + 0.850%), 7/25/31 (c)(j)
|
1,939,289
|
1,943,665
|
||||||
|
Series 2019-R02, Class 1M2, 4.730%
|
||||||||
|
(1 Month LIBOR USD + 2.300%), 8/25/31 (c)(j)
|
2,000,000
|
2,018,890
|
||||||
|
Series 2019-R03, Class 1M2, 4.580%
|
||||||||
|
(1 Month LIBOR USD + 2.150%), 9/25/31 (c)(j)
|
1,998,000
|
2,015,982
|
||||||
|
Fannie Mae or Freddie Mac TBA
|
||||||||
|
4.000%, 6/15/40 (k)
|
2,000,000
|
2,064,219
|
||||||
|
3.500%, 6/15/41 (k)
|
1,000,000
|
1,019,883
|
||||||
|
4.500%, 6/15/41 (k)
|
891,000
|
930,956
|
||||||
|
FHLMC REMIC Trust
|
||||||||
|
Series 129, Class H, 8.850%, 3/15/21
|
731
|
734
|
||||||
|
Series 3823, Class GA, 3.500%, 1/15/26
|
6,440
|
6,521
|
||||||
|
Series 3834, Class GA, 3.500%, 3/15/26
|
10,030
|
10,191
|
||||||
|
FNMA REMIC Trust
|
||||||||
|
Series 2010-137, Class MC, 3.000%, 10/25/38
|
9,064
|
9,050
|
||||||
|
Freddie Mac Structured Agency Credit Risk
|
||||||||
|
Series 2017-HQA1, Class M1, 3.630%
|
||||||||
|
(1 Month LIBOR USD + 1.200%), 8/25/29 (j)
|
141,397
|
141,944
|
||||||
The accompanying notes are an integral part of these financial statements.
35
SEMPER SHORT DURATION FUND
SCHEDULE OF INVESTMENTS at May 31, 2019 (Unaudited), Continued
|
Principal
|
||||||||
|
Amount
|
Value
|
|||||||
|
Freddie Mac Structured Agency (Continued)
|
||||||||
|
Series 2017-DNA2, Class M1, 3.630%
|
||||||||
|
(1 Month LIBOR USD + 1.200%), 10/25/29 (j)
|
$
|
333,620
|
$
|
336,015
|
||||
|
Freddie Mac Structured Agency Credit Risk
|
||||||||
|
Series 2014-DN2, Class M3, 6.030%
|
||||||||
|
(1 Month LIBOR USD + 3.600%), 4/25/24 (j)
|
1,000,000
|
1,081,844
|
||||||
|
Series 2014-HQ2, Class M2, 4.630%
|
||||||||
|
(1 Month LIBOR USD + 2.200%), 9/25/24 (j)
|
149,601
|
152,623
|
||||||
|
Series 2014-HQ2, Class M3, 6.180%
|
||||||||
|
(1 Month LIBOR USD + 3.750%), 9/25/24 (j)
|
550,000
|
608,871
|
||||||
|
Series 2015-DNA1, Class M2, 4.280%
|
||||||||
|
(1 Month LIBOR USD + 1.850%), 10/25/27 (j)
|
272,106
|
275,743
|
||||||
|
Series 2015-HQA1, Class M3, 7.130%
|
||||||||
|
(1 Month LIBOR USD + 4.700%), 3/25/28 (j)
|
1,790,865
|
1,981,497
|
||||||
|
Series 2016-DNA1, Class M3, 8.027%
|
||||||||
|
(1 Month LIBOR USD + 5.550%), 7/25/28 (j)
|
2,640,000
|
3,035,698
|
||||||
|
Series 2016-HQA1, Class M2, 5.180%
|
||||||||
|
(1 Month LIBOR USD + 2.750%), 9/25/28 (j)
|
1,863,870
|
1,887,887
|
||||||
|
Series 2016-DNA2, Class M3, 7.080%
|
||||||||
|
(1 Month LIBOR USD + 4.650%), 10/25/28 (j)
|
1,820,000
|
1,998,588
|
||||||
|
Series 2016-HQA2, Class M2, 4.680%
|
||||||||
|
(1 Month LIBOR USD + 2.250%), 11/25/28 (j)
|
1,791,146
|
1,816,466
|
||||||
|
Series 2016-DNA3, Class M2, 4.430%
|
||||||||
|
(1 Month LIBOR USD + 2.000%), 12/25/28 (j)
|
458,433
|
462,180
|
||||||
|
Series 2016-HQA4, Class M1, 3.230%
|
||||||||
|
(1 Month LIBOR USD + 0.800%), 4/25/29 (j)
|
7,324
|
7,325
|
||||||
|
Series 2017-DNA1, Class M1, 3.630%
|
||||||||
|
(1 Month LIBOR USD + 1.200%), 7/25/29 (j)
|
257,366
|
258,344
|
||||||
|
Series 2018-DNA2, Class M1, 3.230%
|
||||||||
|
(1 Month LIBOR USD + 0.800%), 12/25/30 (c)(j)
|
1,189,194
|
1,191,542
|
||||||
|
Series 2018-HRP1, Class M2, 4.080%
|
||||||||
|
(1 Month LIBOR USD + 1.650%), 4/25/43 (c)(j)
|
2,619,504
|
2,637,077
|
||||||
|
Series 2018-HRP2, Class M2, 3.680%
|
||||||||
|
(1 Month LIBOR USD + 1.250%), 2/25/47 (c)(j)
|
2,000,000
|
2,014,314
|
||||||
|
Series 2018-HRP2, Class M3, 4.830%
|
||||||||
|
(1 Month LIBOR USD + 2.400%), 2/25/47 (c)(j)
|
1,933,000
|
1,979,934
|
||||||
|
Series 2017-SPI1, Class M1, 3.982%, 9/25/47 (a)(c)
|
150,534
|
151,287
|
||||||
|
Series 2018-DNA3, Class M1, 3.180%
|
||||||||
|
(1 Month LIBOR USD + 0.750%), 9/25/48 (c)(j)
|
1,950,000
|
1,952,042
|
||||||
|
Series 2018-HQA2, Class M1, 3.180%
|
||||||||
|
(1 Month LIBOR USD + 0.750%), 10/25/48 (c)(j)
|
1,790,000
|
1,793,721
|
||||||
The accompanying notes are an integral part of these financial statements.
36
SEMPER SHORT DURATION FUND
SCHEDULE OF INVESTMENTS at May 31, 2019 (Unaudited), Continued
|
Principal
|
||||||||
|
Amount
|
Value
|
|||||||
|
Freddie Mac Whole Loan Securities Trust
|
||||||||
|
Series 2016-SC02, Class M1, 3.607%, 10/25/46 (a)
|
$
|
237,943
|
$
|
239,596
|
||||
|
Series 2017-SC01, Class M1, 3.597%, 12/25/46 (a)(c)
|
969,467
|
976,799
|
||||||
|
Series 2017-SC02, Class M1, 3.862%, 5/25/47 (a)(c)
|
87,092
|
87,977
|
||||||
|
GNMA
|
||||||||
|
Series 2008-55, Class WT, 5.331%, 6/20/37 (a)
|
14,185
|
15,156
|
||||||
|
Series 2010-144, Class DK, 3.500%, 9/16/39
|
69,610
|
71,209
|
||||||
|
Series 2010-150, Class GD, 2.500%, 9/20/39
|
26,736
|
26,605
|
||||||
|
Total Residential Mortgage-Backed Securities – Agency
|
||||||||
|
(cost $72,275,312)
|
72,283,568
|
|||||||
|
RESIDENTIAL MORTGAGE-BACKED SECURITIES – NON-AGENCY – 22.9%
|
||||||||
|
Accredited Mortgage Loan Trust
|
||||||||
|
Series 2002-2, Class A3, 3.430%
|
||||||||
|
(1 Month LIBOR USD + 1.000%), 1/25/33 (j)
|
170,224
|
167,947
|
||||||
|
American Homes 4 Rent Trust
|
||||||||
|
Series 2014-SFR2, Class E, 6.231%, 10/17/36 (c)
|
1,900,000
|
2,119,193
|
||||||
|
Series 2015-SFR2, Class D, 5.036%, 10/17/52 (c)
|
1,250,000
|
1,347,319
|
||||||
|
Angel Oak Mortgage Trust LLC
|
||||||||
|
Series 2017-3, Class A2, 2.883%, 11/25/47 (a)
|
41,181
|
40,848
|
||||||
|
Argent Securities, Inc.
|
||||||||
|
Series 2003-W7, Class M2, 4.290%
|
||||||||
|
(1 Month LIBOR USD + 2.625%), 3/25/34 (j)
|
338,902
|
339,864
|
||||||
|
BCMSC Trust
|
||||||||
|
Series 1999-B, Class A3, 7.180%, 12/15/29 (a)
|
86,567
|
27,991
|
||||||
|
Bear Stearns Mortgage Securities, Inc.
|
||||||||
|
Series 1997-6, Class 1A, 6.285%, 3/25/31 (a)
|
39,149
|
39,062
|
||||||
|
Bellemeade Re Ltd.
|
||||||||
|
Series 2018-2A, Class M1B, 3.780%
|
||||||||
|
(1 Month LIBOR USD + 1.350%), 8/25/28 (c)(j)
|
201,760
|
202,060
|
||||||
|
Series 2019-1A, Class M1A, 3.730%
|
||||||||
|
(1 Month LIBOR USD + 1.300%), 3/25/29 (c)(j)
|
1,000,000
|
1,002,531
|
||||||
|
Series 2019-1A, Class M1B, 4.180%
|
||||||||
|
(1 Month LIBOR USD + 1.750%), 3/25/29 (c)(j)
|
1,000,000
|
1,007,052
|
||||||
|
CDC Mortgage Capital Trust
|
||||||||
|
Series 2003-HE4, Class A1, 3.050%
|
||||||||
|
(1 Month LIBOR USD + 0.620%), 3/25/34 (j)
|
465,452
|
432,412
|
||||||
|
Centex Home Equity Loan Trust
|
||||||||
|
Series 2003-A, Class AF4, 4.250%, 12/25/31 (g)
|
28,154
|
28,465
|
||||||
|
Colony American Finance Ltd.
|
||||||||
|
Series 2015-1, Class C, 4.833%, 10/15/47 (c)
|
555,000
|
568,984
|
||||||
The accompanying notes are an integral part of these financial statements.
37
SEMPER SHORT DURATION FUND
SCHEDULE OF INVESTMENTS at May 31, 2019 (Unaudited), Continued
|
Principal
|
||||||||
|
Amount
|
Value
|
|||||||
|
COLT Mortgage Loan Trust
|
||||||||
|
Series 2018-1, Class M1, 3.661%, 2/25/48 (a)(c)
|
$
|
1,500,000
|
$
|
1,509,388
|
||||
|
ContiMortgage Home Equity Loan Trust
|
||||||||
|
Series 1997-1, Class M1, 7.420%, 3/15/28
|
279,266
|
295,641
|
||||||
|
Countrywide Asset-Backed Certificates
|
||||||||
|
Series 2004-11, Class M3, 3.930%
|
||||||||
|
(1 Month LIBOR USD + 1.500%), 1/25/35 (j)
|
2,000,000
|
2,003,756
|
||||||
|
Credit-Based Asset Servicing and Securitization
|
||||||||
|
Series 2003-CB1, Class AF, 3.950%, 1/25/33 (g)
|
6
|
6
|
||||||
|
Deephaven Residential Mortgage Trust
|
||||||||
|
Series 2017-1A, Class B1, 6.250%, 12/26/46 (a)(c)
|
743,000
|
774,278
|
||||||
|
Eagle RE Ltd.
|
||||||||
|
Series 2019-1, Class M1A, 3.680%
|
||||||||
|
(1 Month LIBOR USD + 1.250%), 4/25/29 (c)(j)
|
2,750,000
|
2,800,485
|
||||||
|
Series 2019-1, Class M1B, 4.230%
|
||||||||
|
(1 Month LIBOR USD + 1.800%), 4/25/29 (c)(j)
|
2,000,000
|
2,036,894
|
||||||
|
GMACM Mortgage Loan Trust
|
||||||||
|
Series 2003-GH2, Class A4, 5.500%, 10/25/33 (h)
|
102,809
|
106,052
|
||||||
|
GSAA Trust
|
||||||||
|
Series 2004-3, Class M1, 6.220%, 4/25/34 (g)
|
33,824
|
34,487
|
||||||
|
Home Partners of America Trust
|
||||||||
|
Series 2016-2, Class D, 5.432%
|
||||||||
|
(1 Month LIBOR USD + 3.000%), 10/17/33 (c)(j)
|
500,000
|
501,192
|
||||||
|
Series 2017-1, Class D, 4.332%
|
||||||||
|
(1 Month LIBOR USD + 1.900%), 7/17/34 (c)(j)
|
1,250,000
|
1,251,814
|
||||||
|
Series 2017-1, Class E, 5.082%
|
||||||||
|
(1 Month LIBOR USD + 2.650%), 7/17/34 (c)(j)
|
750,000
|
752,161
|
||||||
|
Series 2017-1, Class F, 5.971%
|
||||||||
|
(1 Month LIBOR USD + 3.539%), 7/17/34 (c)(j)
|
250,000
|
251,184
|
||||||
|
Series 2018-1, Class A, 3.332%
|
||||||||
|
(1 Month LIBOR USD + 0.900%), 7/17/37 (c)(j)
|
464,692
|
462,030
|
||||||
|
Series 2018-1, Class E, 4.282%
|
||||||||
|
(1 Month LIBOR USD + 1.850%), 7/17/37 (c)(j)
|
500,000
|
498,546
|
||||||
|
Home RE Ltd.
|
||||||||
|
Series 2019-1, Class M1, 4.131%
|
||||||||
|
(1 Month LIBOR USD + 1.650%), 5/25/29 (c)(j)
|
2,000,000
|
2,014,938
|
||||||
|
Imc Home Equity Loan Trust
|
||||||||
|
Series 1993-3, Class A8, 6.720%, 8/20/29 (h)
|
7,405
|
7,444
|
||||||
|
Impac CMB Trust
|
||||||||
|
Series 2002-9F, Class A1, 5.216%, 12/25/32 (g)
|
174,341
|
175,305
|
||||||
|
Series 2002-9F, Class M1, 5.867%, 12/25/32 (g)
|
26,116
|
26,440
|
||||||
The accompanying notes are an integral part of these financial statements.
38
SEMPER SHORT DURATION FUND
SCHEDULE OF INVESTMENTS at May 31, 2019 (Unaudited), Continued
|
Principal
|
||||||||
|
Amount
|
Value
|
|||||||
|
Invitation Homes Trust
|
||||||||
|
Series 2018-SFR1, Class E, 4.432%
|
||||||||
|
(1 Month LIBOR USD + 2.000%), 3/17/37 (c)(j)
|
$
|
515,000
|
$
|
514,827
|
||||
|
Series 2018-SFR1, Class F, 4.932%
|
||||||||
|
(1 Month LIBOR USD + 2.500%), 3/17/37 (c)(j)
|
352,817
|
351,434
|
||||||
|
Series 2018-SFR2, Class F, 4.690%
|
||||||||
|
(1 Month LIBOR USD + 2.250%), 6/17/37 (c)(j)
|
1,000,000
|
993,741
|
||||||
|
Series 2018-SFR3, Class E, 4.432%
|
||||||||
|
(1 Month LIBOR USD + 2.000%), 7/17/37 (c)(j)
|
2,000,000
|
2,004,863
|
||||||
|
Series 2018-SFR3, Class F, 4.682%
|
||||||||
|
(1 Month LIBOR USD + 2.250%), 7/17/37 (c)(j)
|
500,000
|
497,397
|
||||||
|
Series 2018-SFR4, Class A, 3.532%
|
||||||||
|
(1 Month LIBOR USD + 1.100%), 1/17/38 (c)(j)
|
987,286
|
989,752
|
||||||
|
JP Morgan Alternative Loan Trust
|
||||||||
|
Series 2005-A2, Class 1A1, 2.950%
|
||||||||
|
(1 Month LIBOR USD + 0.520%), 1/25/36 (j)
|
181,613
|
181,711
|
||||||
|
JP Morgan Mortgage Trust
|
||||||||
|
Series 2013-1, Class B1, 3.530%, 3/25/43 (a)(c)
|
376,952
|
385,127
|
||||||
|
Series 2015-1, Class B3, 3.636%, 12/25/44 (a)(c)
|
507,349
|
507,788
|
||||||
|
Series 2018-7FRB, Class B2, 3.816%, 4/25/46 (a)(c)
|
865,655
|
852,326
|
||||||
|
Series 2019-1, Class A11, 3.380%
|
||||||||
|
(1 Month LIBOR USD + 0.950%), 5/25/49 (c)(j)
|
1,912,425
|
1,921,097
|
||||||
|
Lehman Mortgage Trust
|
||||||||
|
Series 2008-4, Class A1, 2.810%
|
||||||||
|
(1 Month LIBOR USD + 0.380%), 1/25/37 (j)
|
978,325
|
439,503
|
||||||
|
LSTAR Securities Investment Ltd.
|
||||||||
|
Series 2018-2, Class A2, 4.986%
|
||||||||
|
(1 Month LIBOR USD + 2.500%), 4/1/23 (c)(j)
|
1,690,000
|
1,697,145
|
||||||
|
Series 2019-3, Class A2, 4.986%
|
||||||||
|
(1 Month LIBOR USD + 2.500%), 4/1/24 (c)(d)(j)
|
2,000,000
|
2,000,000
|
||||||
|
Series 2019-4, Class A2, 4.930%
|
||||||||
|
(1 Month LIBOR USD + 2.500%), 5/1/24 (c)(d)(j)
|
1,000,000
|
1,000,000
|
||||||
|
LSTAR Securities Investment Trust
|
||||||||
|
Series 2019-1, Class A2, 5.086%
|
||||||||
|
(1 Month LIBOR USD + 2.600%), 3/1/24 (c)(d)(j)
|
2,000,000
|
2,000,000
|
||||||
|
Series 2019-2, Class A2, 4.986%
|
||||||||
|
(1 Month LIBOR USD + 2.500%), 4/1/24 (c)(d)(j)
|
2,000,000
|
2,000,000
|
||||||
|
New Residential Mortgage Loan Trust
|
||||||||
|
Series 2014-3A, Class B1, 4.750%, 11/25/54 (a)(c)
|
888,406
|
952,681
|
||||||
|
PNMAC GMSR Issuer Trust
|
||||||||
|
Series 2018-GT2, Class A, 5.080%
|
||||||||
|
(1 Month LIBOR USD + 2.650%), 8/25/25 (c)(j)
|
250,000
|
251,188
|
||||||
The accompanying notes are an integral part of these financial statements.
39
SEMPER SHORT DURATION FUND
SCHEDULE OF INVESTMENTS at May 31, 2019 (Unaudited), Continued
|
Principal
|
||||||||
|
Amount
|
Value
|
|||||||
|
Progress Residential Trust
|
||||||||
|
Series 2015-SFR3, Class F, 6.643%, 11/12/32 (c)
|
$
|
1,000,000
|
$
|
1,015,590
|
||||
|
Series 2017-SFR1, Class E, 4.261%, 8/17/34 (c)
|
1,000,000
|
1,015,056
|
||||||
|
Series 2017-SFR1, Class F, 5.350%, 8/17/34 (c)
|
1,000,000
|
1,023,992
|
||||||
|
Series 2017-SFR2, Class A, 2.897%, 12/17/34 (c)
|
100,000
|
100,487
|
||||||
|
Series 2017-SFR2, Class E, 4.142%, 12/17/34 (c)
|
1,000,000
|
1,018,477
|
||||||
|
Series 2019-SFR1, Class E, 4.466%, 8/17/35 (c)
|
1,000,000
|
1,030,482
|
||||||
|
Series 2018-SFR3, Class F, 5.368%, 10/17/35 (c)
|
1,000,000
|
1,030,664
|
||||||
|
Radnor RE Ltd.
|
||||||||
|
Series 2019-1, Class M2, 5.637%
|
||||||||
|
(1 Month LIBOR USD + 3.200%), 2/25/29 (c)(j)
|
1,500,000
|
1,549,089
|
||||||
|
Residential Asset Mortgage Products, Inc.
|
||||||||
|
Series 2004-RS8, Class MII1, 3.330%
|
||||||||
|
(1 Month LIBOR USD + 0.900%), 8/25/34 (j)
|
111,606
|
110,784
|
||||||
|
Seasoned Credit Risk Transfer Trust
|
||||||||
|
Series 2016-1, Class M1, 3.000%, 9/25/55 (a)(c)
|
800,000
|
779,728
|
||||||
|
Sequoia Mortgage Trust
|
||||||||
|
Series 2013-1, Class 2A1, 1.855%, 2/25/43 (a)
|
64,759
|
60,576
|
||||||
|
Series 2013-6, Class B1, 3.522%, 5/25/43 (a)
|
825,808
|
836,883
|
||||||
|
Structured Asset Securities Corp.
|
||||||||
|
Series 2003-31A, Class 2A1, 4.495%, 10/25/33 (a)
|
268,835
|
276,499
|
||||||
|
Towd Point Mortgage Trust
|
||||||||
|
Series 2019-HY1, Class XA, 5.000%, 10/25/48 (a)(c)
|
1,606,566
|
1,608,684
|
||||||
|
Series 2017-5, Class M2, 3.930%
|
||||||||
|
(1 Month LIBOR USD + 1.500%), 2/25/57 (c)(j)
|
500,000
|
509,849
|
||||||
|
Series 2018-SJ1, Class B1, 5.250%, 10/25/58 (a)(c)
|
1,000,000
|
1,027,416
|
||||||
|
Series 2019-SJ1, Class M2, 4.750%, 11/25/58 (a)(c)
|
2,000,000
|
2,046,762
|
||||||
|
Series 2019-SJ1, Class B1, 5.000%, 11/25/58 (a)(c)
|
1,000,000
|
1,023,288
|
||||||
|
Tricon American Homes Trust
|
||||||||
|
Series 2016-SFR1, Class D, 3.886%, 11/17/33 (c)
|
500,000
|
503,712
|
||||||
|
Series 2016-SFR1, Class F, 5.769%, 11/17/33 (c)
|
2,000,000
|
2,067,420
|
||||||
|
Series 2017-SFR1, Class F, 5.151%, 9/17/34 (c)
|
2,000,000
|
2,060,535
|
||||||
|
UCFC Home Equity Loan
|
||||||||
|
Series 1998-D, Class MF1, 6.905%, 4/15/30
|
1,585
|
1,598
|
||||||
|
Vericrest Opportunity Loan Trust
|
||||||||
|
Series 2019-NPL2, Class A2, 6.292%, 2/25/49 (c)
|
500,000
|
505,521
|
||||||
|
Verus Securitization Trust
|
||||||||
|
Series 2017-2A, Class A1, 2.485%, 7/25/47 (a)(c)
|
460,231
|
455,446
|
||||||
|
Series 2018-2, Class B1, 4.426%, 6/1/58 (a)(c)
|
2,000,000
|
2,029,412
|
||||||
|
VOLT LXVIII LLC
|
||||||||
|
Series 2018-NPL4, Class A1A, 4.336%, 7/27/48 (c)(h)
|
555,754
|
559,733
|
||||||
|
VOLT LXX LLC
|
||||||||
|
Series 2018-NPL6, Class A1B, 4.557%, 9/25/48 (c)(h)
|
325,000
|
328,535
|
||||||
The accompanying notes are an integral part of these financial statements.
40
SEMPER SHORT DURATION FUND
SCHEDULE OF INVESTMENTS at May 31, 2019 (Unaudited), Continued
|
Principal
|
||||||||
|
Amount/Shares
|
Value
|
|||||||
|
Washington Mutual MSC Mortgage Pass-Through Certificates
|
||||||||
|
Series 2003-MS2, Class 5A1, 5.750%, 2/25/33
|
$
|
97,788
|
$
|
99,652
|
||||
|
Total Residential Mortgage-Backed
|
||||||||
|
Securities – Non-Agency (cost $66,501,796)
|
67,042,220
|
|||||||
|
PRIVATE PLACEMENT PARTICIPATION AGREEMENTS – 0.3%
|
||||||||
|
BasePoint – BP SLL Trust,
|
||||||||
|
Series SPL-III, 9.500%, 12/31/19 (d)(e)
|
732,119
|
732,119
|
||||||
|
BasePoint – BP SLL Trust,
|
||||||||
|
Series SPL-IV, 9.500%, 12/31/19 (d)(f)
|
17,485
|
17,485
|
||||||
|
Total Private Placement Participation Agreements
|
||||||||
|
(cost $749,604)
|
749,604
|
|||||||
|
SHORT-TERM INVESTMENTS – 2.8%
|
||||||||
|
MONEY MARKET FUND – 0.2%
|
||||||||
|
First American Government Obligations Fund –
|
||||||||
|
Class Z, 2.28% (b)
|
607,500
|
607,500
|
||||||
The accompanying notes are an integral part of these financial statements.
41
SEMPER SHORT DURATION FUND
SCHEDULE OF INVESTMENTS at May 31, 2019 (Unaudited), Continued
|
Principal
|
||||||||
|
Amount
|
Value
|
|||||||
|
U.S. TREASURY BILL – 2.6%
|
||||||||
|
U.S. Treasury Bill, 1.28%, 6/6/19 (l)
|
$
|
7,500,000
|
$
|
7,498,665
|
||||
|
Total Short-Term Investments (cost $8,105,313)
|
8,106,165
|
|||||||
|
Total Investments (cost $293,040,428) – 100.5%
|
293,999,522
|
|||||||
|
Liabilities less Other Assets – (0.5)%
|
(1,328,509
|
)
|
||||||
|
TOTAL NET ASSETS – 100.0%
|
$
|
292,671,013
|
||||||
|
(a)
|
Variable rate security. The coupon is based on an underlying pool of loans and represents the rate in effect as of May 31, 2019.
|
|
(b)
|
Rate shown is the 7-day annualized yield as of May 31, 2019.
|
|
(c)
|
Security 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.” The Fund’s investment
adviser has determined that such a 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 $212,563,059 or 72.6% of
total net assets.
|
|
(d)
|
Security valued at fair value using methods determined in good faith by or at the direction of the Board of Trustees of Advisors Series Trust. Value determined using significant unobservable inputs. As of May
31, 2019, the total value of fair valued securities was $8,246,979 or 2.8% of total net assets.
|
|
(e)
|
Security is restricted. The Fund cannot sell or otherwise transfer this agreement without prior written approval of BasePoint – BP SLL Trust, Series SPL-III. As of May 31, 2019, the value of this investment
was $732,119 or 0.3% of total net assets.
|
|
(f)
|
Security is restricted. The Fund cannot sell or otherwise transfer this agreement without prior written approval of BasePoint – BP SLL Trust, Series SPL-IV. As of May 31, 2019, the value of this investment was
$17,485 or 0.0% of total net assets.
|
|
(g)
|
Step-up bond. The interest rate may step up conditioned upon the aggregate remaining principal balance of the underlying mortgage loans being reduced below a targeted percentage of the aggregate original
principal balance of the mortgage loans. The interest rate shown is the rate in effect as of May 31, 2019.
|
|
(h)
|
Step-up bond. The interest rate will step up if the issuer does not redeem the bond by an expected redemption date. The interest rate shown is in effect as of May 31, 2019.
|
|
(i)
|
Interest only security.
|
|
(j)
|
Variable or floating rate security based on a reference index and spread. The rate reported is the rate in effect as of May 31, 2019.
|
|
(k)
|
Security purchased on a when-issued basis. As of May 31, 2019, the total cost of investments purchased on a when-issued basis was $3,987,692 or 1.4% of total net assets.
|
|
(l)
|
Rate shown is the discount rate at May 31, 2019.
|
FHLMC – Federal Home Loan Mortgage Corporation
FNMA – Federal National Mortgage Association
FREMF – Freddi Mac K Series
GNMA – Government National Mortgage Association
LIBOR – London Interbank Offered Rate
REMIC – Real Estate Mortgage Investment Conduit
TBA – To Be Announced
The accompanying notes are an integral part of these financial statements.
42
SEMPER FUNDS
(This Page Intentionally Left Blank.)
43
SEMPER FUNDS
STATEMENTS OF ASSETS AND LIABILITIES at May 31, 2019 (Unaudited)
|
Semper MBS Total
|
Semper Short
|
|||||||
|
Return Fund
|
Duration Fund
|
|||||||
|
ASSETS
|
||||||||
|
Investments in securities, at value
|
||||||||
|
(identified cost $2,064,557,004
|
||||||||
|
and $293,040,428, respectively)
|
$
|
2,052,614,116
|
$
|
293,999,522
|
||||
|
Cash
|
61,611
|
—
|
||||||
|
Receivables
|
||||||||
|
Fund shares issued
|
9,047,002
|
3,199,296
|
||||||
|
Securities sold
|
29,390,790
|
12,839
|
||||||
|
Interest
|
4,634,164
|
691,576
|
||||||
|
Prepaid expenses
|
186,386
|
60,533
|
||||||
|
Total assets
|
2,095,934,069
|
297,963,766
|
||||||
|
LIABILITIES
|
||||||||
|
Payables
|
||||||||
|
Dividends
|
2,352,510
|
37,044
|
||||||
|
Investments purchased
|
33,259,580
|
4,495,268
|
||||||
|
Fund shares redeemed
|
2,936,932
|
538,287
|
||||||
|
Due to Custodian
|
—
|
47,049
|
||||||
|
Due to Adviser
|
1,007,427
|
86,616
|
||||||
|
Transfer agent fees and expenses
|
231,448
|
11,015
|
||||||
|
Administration and fund accounting fees
|
211,076
|
22,183
|
||||||
|
12b-1 distribution fees
|
96,849
|
34,238
|
||||||
|
Custody fees
|
41,238
|
3,267
|
||||||
|
Audit fees
|
12,633
|
11,896
|
||||||
|
Chief Compliance Officer fee
|
1,622
|
1,625
|
||||||
|
Trustee fees and expenses
|
246
|
456
|
||||||
|
Accrued expenses
|
36,228
|
3,809
|
||||||
|
Total liabilities
|
40,187,789
|
5,292,753
|
||||||
|
NET ASSETS
|
$
|
2,055,746,280
|
$
|
292,671,013
|
||||
The accompanying notes are an integral part of these financial statements.
44
SEMPER FUNDS
STATEMENTS OF ASSETS AND LIABILITIES at May 31, 2019 (Unaudited), Continued
|
Semper MBS Total
|
Semper Short
|
|||||||
|
Return Fund
|
Duration Fund
|
|||||||
|
CALCULATION OF NET ASSET
|
||||||||
|
VALUE PER SHARE
|
||||||||
|
Class A
|
||||||||
|
Net assets applicable to shares outstanding
|
$
|
29,630,480
|
||||||
|
Shares issued and outstanding [unlimited
|
||||||||
|
number of shares (par value $0.01) authorized]
|
2,822,356
|
|||||||
|
Net asset value and
|
||||||||
|
redemption price per share
|
$
|
10.50
|
||||||
|
Maximum offering price per share (Net asset
|
||||||||
|
value per share divided by 98.00%)
|
$
|
10.71
|
||||||
|
Investor Class
|
||||||||
|
Net assets applicable to shares outstanding
|
$
|
217,150,476
|
$
|
83,604,970
|
||||
|
Shares issued and outstanding [unlimited
|
||||||||
|
number of shares (par value $0.01) authorized]
|
20,688,101
|
8,449,483
|
||||||
|
Net asset value, offering and
|
||||||||
|
redemption price per share
|
$
|
10.50
|
$
|
9.89
|
||||
|
Institutional Class
|
||||||||
|
Net assets applicable to shares outstanding
|
$
|
1,808,965,324
|
$
|
209,066,043
|
||||
|
Shares issued and outstanding [unlimited
|
||||||||
|
number of shares (par value $0.01) authorized]
|
172,234,625
|
21,122,628
|
||||||
|
Net asset value, offering and
|
||||||||
|
redemption price per share
|
$
|
10.50
|
$
|
9.90
|
||||
|
COMPONENTS OF NET ASSETS
|
||||||||
|
Paid-in capital
|
$
|
2,097,697,808
|
$
|
293,872,935
|
||||
|
Total distributable earnings
|
(41,951,528
|
)
|
(1,201,922
|
)
|
||||
|
Net assets
|
$
|
2,055,746,280
|
$
|
292,671,013
|
||||
The accompanying notes are an integral part of these financial statements.
45
SEMPER FUNDS
(This Page Intentionally Left Blank.)
46
SEMPER FUNDS
STATEMENTS OF OPERATIONS For the Six Months Ended May 31, 2019 (Unaudited)
|
Semper MBS Total
|
Semper Short
|
|||||||
|
Return Fund
|
Duration Fund
|
|||||||
|
INVESTMENT INCOME
|
||||||||
|
Income
|
||||||||
|
Interest
|
$
|
54,708,160
|
$
|
4,320,931
|
||||
|
Total income
|
54,708,160
|
4,320,931
|
||||||
|
Expenses
|
||||||||
|
Advisory fees (Note 4)
|
5,796,731
|
394,750
|
||||||
|
Transfer agent fees and expenses (Note 4)
|
879,204
|
89,162
|
||||||
|
Administration and fund
|
||||||||
|
accounting fees (Note 4)
|
648,991
|
125,066
|
||||||
|
12b-1 fees – Class A (Note 5)
|
33,308
|
—
|
||||||
|
12b-1 fees – Investor Class (Note 5)
|
266,646
|
91,420
|
||||||
|
Registration fees
|
124,922
|
27,253
|
||||||
|
Custody fees (Note 4)
|
121,235
|
14,042
|
||||||
|
Shareholder reporting
|
36,522
|
4,754
|
||||||
|
Trustees fees and expenses
|
18,068
|
8,106
|
||||||
|
Audit fees
|
12,633
|
11,896
|
||||||
|
Miscellaneous
|
9,773
|
4,065
|
||||||
|
Insurance expense
|
7,820
|
1,023
|
||||||
|
Legal fees
|
5,528
|
5,911
|
||||||
|
Chief Compliance Officer fee (Note 4)
|
5,059
|
5,063
|
||||||
|
Total expenses
|
7,966,440
|
782,511
|
||||||
|
Advisory fee waiver (Note 4)
|
—
|
(14,377
|
)
|
|||||
|
Net expenses
|
7,966,440
|
768,134
|
||||||
|
Net investment income
|
46,741,720
|
3,552,797
|
||||||
|
REALIZED AND UNREALIZED
|
||||||||
|
GAIN/(LOSS) ON INVESTMENTS
|
||||||||
|
Net realized loss on investments
|
(7,729,551
|
)
|
(220,112
|
)
|
||||
|
Net change in unrealized
|
||||||||
|
appreciation/(depreciation) on investments
|
12,280,268
|
1,048,891
|
||||||
|
Net realized and unrealized
|
||||||||
|
gain on investments
|
4,550,717
|
828,779
|
||||||
|
Net Increase in Net Assets
|
||||||||
|
Resulting from Operations
|
$
|
51,292,437
|
$
|
4,381,576
|
||||
The accompanying notes are an integral part of these financial statements.
47
SEMPER MBS TOTAL RETURN FUND
STATEMENTS OF CHANGES IN NET ASSETS
|
Six Months Ended
|
||||||||
|
May 31, 2019
|
Year Ended
|
|||||||
|
(Unaudited)
|
November 30, 2018
|
|||||||
|
NET INCREASE/(DECREASE)
|
||||||||
|
IN NET ASSETS FROM:
|
||||||||
|
OPERATIONS
|
||||||||
|
Net investment income
|
$
|
46,741,720
|
$
|
80,076,264
|
||||
|
Net realized gain/(loss) from investments
|
(7,729,551
|
)
|
2,174,506
|
|||||
|
Net change in unrealized
|
||||||||
|
appreciation/(depreciation) on investments
|
12,280,268
|
(23,453,222
|
)
|
|||||
|
Net increase in net assets
|
||||||||
|
resulting from operations
|
51,292,437
|
58,797,548
|
||||||
|
DISTRIBUTIONS TO SHAREHOLDERS
|
||||||||
|
Class A
|
(672,573
|
)
|
(1,369,487
|
)
|
||||
|
Investor Class
|
(5,373,981
|
)
|
(9,324,204
|
)
|
||||
|
Institutional Class
|
(45,828,573
|
)
|
(80,616,095
|
)
|
||||
|
Total distributions to shareholders
|
(51,875,127
|
)
|
(91,309,786
|
)
|
||||
|
CAPITAL SHARE TRANSACTIONS
|
||||||||
|
Net increase in net assets derived from
|
||||||||
|
net change in outstanding shares (a)
|
113,037,422
|
849,579,165
|
||||||
|
Total increase in net assets
|
112,454,732
|
817,066,927
|
||||||
|
NET ASSETS
|
||||||||
|
Beginning of period
|
1,943,291,548
|
1,126,224,621
|
||||||
|
End of period
|
$
|
2,055,746,280
|
$
|
1,943,291,548
|
||||
The accompanying notes are an integral part of these financial statements.
48
SEMPER MBS TOTAL RETURN FUND
STATEMENTS OF CHANGES IN NET ASSETS, Continued
|
(a)
|
A summary of share transactions is as follows:
|
|
Class A
|
|||||||||||||||||
|
Six Months Ended
|
|||||||||||||||||
|
May 31, 2019
|
Year Ended
|
||||||||||||||||
|
(Unaudited)
|
November 30, 2018
|
||||||||||||||||
|
Shares
|
Paid-in Capital
|
Shares
|
Paid-in Capital
|
||||||||||||||
|
Shares sold
|
884,156
|
$
|
9,248,804
|
869,349
|
$
|
9,258,570
|
|||||||||||
|
Shares issued on
|
|||||||||||||||||
|
reinvestments of
|
|||||||||||||||||
|
distributions
|
54,668
|
572,163
|
115,286
|
1,227,084
|
|||||||||||||
|
Shares redeemed
|
(447,456
|
)
|
(4,679,980
|
)
|
(606,542
|
)
|
(6,439,044
|
)
|
|||||||||
|
Net increase
|
491,368
|
$
|
5,140,987
|
378,093
|
$
|
4,046,610
|
|||||||||||
|
Investor Class
|
|||||||||||||||||
|
Six Months Ended
|
|||||||||||||||||
|
May 31, 2019
|
Year Ended
|
||||||||||||||||
|
(Unaudited)
|
November 30, 2018
|
||||||||||||||||
|
Shares
|
Paid-in Capital
|
Shares
|
Paid-in Capital
|
||||||||||||||
|
Shares sold
|
10,562,440
|
$
|
110,503,038
|
24,232,644
|
$
|
257,996,475
|
|||||||||||
|
Shares issued on
|
|||||||||||||||||
|
reinvestments of
|
|||||||||||||||||
|
distributions
|
451,220
|
4,720,815
|
784,543
|
8,339,224
|
|||||||||||||
|
Shares redeemed
|
(11,757,514
|
)
|
(123,015,533
|
)
|
(12,670,542
|
)
|
(134,675,556
|
)
|
|||||||||
|
Net increase/(decrease)
|
(743,854
|
)
|
$
|
(7,791,680
|
)
|
12,346,645
|
$
|
131,660,143
|
|||||||||
|
Institutional Class
|
|||||||||||||||||
|
Six Months Ended
|
|||||||||||||||||
|
May 31, 2019
|
Year Ended
|
||||||||||||||||
|
(Unaudited)
|
November 30, 2018
|
||||||||||||||||
|
Shares
|
Paid-in Capital
|
Shares
|
Paid-in Capital
|
||||||||||||||
|
Shares sold
|
62,317,938
|
$
|
652,184,715
|
103,081,265
|
$
|
1,098,339,721
|
|||||||||||
|
Shares issued on
|
|||||||||||||||||
|
reinvestments of
|
|||||||||||||||||
|
distributions
|
2,839,920
|
29,730,492
|
4,756,347
|
50,612,961
|
|||||||||||||
|
Shares redeemed
|
(54,113,646
|
)
|
(566,227,092
|
)
|
(40,915,615
|
)
|
(435,080,270
|
)
|
|||||||||
|
Net increase
|
11,044,212
|
$
|
115,688,115
|
66,921,997
|
$
|
713,872,412
|
|||||||||||
The accompanying notes are an integral part of these financial statements.
49
SEMPER SHORT DURATION FUND
STATEMENTS OF CHANGES IN NET ASSETS
|
Six Months Ended
|
||||||||
|
May 31, 2019
|
Year Ended
|
|||||||
|
(Unaudited)
|
November 30, 2018
|
|||||||
|
NET INCREASE/(DECREASE)
|
||||||||
|
IN NET ASSETS FROM:
|
||||||||
|
OPERATIONS
|
||||||||
|
Net investment income
|
$
|
3,552,797
|
$
|
2,245,753
|
||||
|
Net realized loss from investments
|
(220,112
|
)
|
(120,112
|
)
|
||||
|
Net change in unrealized
|
||||||||
|
appreciation/(depreciation) on investments
|
1,048,891
|
(195,714
|
)
|
|||||
|
Net increase in net assets
|
||||||||
|
resulting from operations
|
4,381,576
|
1,929,927
|
||||||
|
DISTRIBUTIONS TO SHAREHOLDERS
|
||||||||
|
Investor Class
|
(1,140,354
|
)
|
(746,839
|
)
|
||||
|
Institutional Class
|
(2,587,885
|
)
|
(1,616,372
|
)
|
||||
|
Total distributions to shareholders
|
(3,728,239
|
)
|
(2,363,211
|
)
|
||||
|
CAPITAL SHARE TRANSACTIONS
|
||||||||
|
Net increase in net assets derived from
|
||||||||
|
net change in outstanding shares (a)
|
124,567,703
|
111,091,568
|
||||||
|
Total increase in net assets
|
125,221,040
|
110,658,284
|
||||||
|
NET ASSETS
|
||||||||
|
Beginning of period
|
167,449,973
|
56,791,689
|
||||||
|
End of period
|
$
|
292,671,013
|
$
|
167,449,973
|
||||
The accompanying notes are an integral part of these financial statements.
50
SEMPER SHORT DURATION FUND
STATEMENTS OF CHANGES IN NET ASSETS, Continued
|
(a)
|
A summary of share transactions is as follows:
|
|
Investor Class
|
|||||||||||||||||
|
Six Months Ended
|
|||||||||||||||||
|
May 31, 2019
|
Year Ended
|
||||||||||||||||
|
(Unaudited)
|
November 30, 2018
|
||||||||||||||||
|
Shares
|
Paid-in Capital
|
Shares
|
Paid-in Capital
|
||||||||||||||
|
Shares sold
|
6,806,399
|
$
|
67,153,965
|
6,145,783
|
$
|
60,785,385
|
|||||||||||
|
Shares issued on
|
|||||||||||||||||
|
reinvestments of
|
|||||||||||||||||
|
distributions
|
105,799
|
1,043,680
|
66,765
|
660,297
|
|||||||||||||
|
Shares redeemed
|
(4,757,159
|
)
|
(46,908,779
|
)
|
(1,338,175
|
)
|
(13,240,502
|
)
|
|||||||||
|
Net increase
|
2,155,039
|
$
|
21,288,866
|
4,874,373
|
$
|
48,205,180
|
|||||||||||
|
Institutional Class
|
|||||||||||||||||
|
Six Months Ended
|
|||||||||||||||||
|
May 31, 2019
|
Year Ended
|
||||||||||||||||
|
(Unaudited)
|
November 30, 2018
|
||||||||||||||||
|
Shares
|
Paid-in Capital
|
Shares
|
Paid-in Capital
|
||||||||||||||
|
Shares sold
|
15,201,780
|
$
|
150,023,742
|
11,654,112
|
$
|
115,367,362
|
|||||||||||
|
Shares issued on
|
|||||||||||||||||
|
reinvestments of
|
|||||||||||||||||
|
distributions
|
228,297
|
2,254,724
|
144,842
|
1,433,735
|
|||||||||||||
|
Shares redeemed
|
(4,963,965
|
)
|
(48,999,629
|
)
|
(5,444,034
|
)
|
(53,914,709
|
)
|
|||||||||
|
Net increase
|
10,466,112
|
$
|
103,278,837
|
6,354,920
|
$
|
62,886,388
|
|||||||||||
The accompanying notes are an integral part of these financial statements.
51
SEMPER MBS TOTAL RETURN FUND
FINANCIAL HIGHLIGHTS For a share outstanding throughout each period
Class A
|
December 18,
|
||||||||||||||||
|
Six Months
|
Year
|
Year
|
2015*
|
|
||||||||||||
|
Ended
|
Ended
|
Ended
|
through
|
|||||||||||||
|
May 31, 2019
|
November 30,
|
November 30,
|
November 30,
|
|||||||||||||
|
(Unaudited)
|
2018
|
2017
|
2016
|
|||||||||||||
|
Net asset value,
|
||||||||||||||||
|
beginning of period
|
$
|
10.50
|
$
|
10.69
|
$
|
10.56
|
$
|
10.92
|
||||||||
|
Income from investment operations:
|
||||||||||||||||
|
Net investment income^
|
0.24
|
0.53
|
0.44
|
0.56
|
||||||||||||
|
Net realized and unrealized
|
||||||||||||||||
|
gain/(loss) on investments
|
0.02
|
(0.12
|
)
|
0.21
|
(0.28
|
)
|
||||||||||
|
Total from investment operations
|
0.26
|
0.41
|
0.65
|
0.28
|
||||||||||||
|
Less distributions:
|
||||||||||||||||
|
From net investment income
|
(0.26
|
)
|
(0.60
|
)
|
(0.52
|
)
|
(0.64
|
)
|
||||||||
|
Total distributions
|
(0.26
|
)
|
(0.60
|
)
|
(0.52
|
)
|
(0.64
|
)
|
||||||||
|
Net asset value, end of period
|
$
|
10.50
|
$
|
10.50
|
$
|
10.69
|
$
|
10.56
|
||||||||
|
Total return
|
2.55
|
%+
|
3.91
|
%
|
6.34
|
%
|
2.66
|
%+
|
||||||||
|
Ratios/supplemental data:
|
||||||||||||||||
|
Net assets, end of
|
||||||||||||||||
|
period (thousands)
|
$
|
29,631
|
$
|
24,483
|
$
|
20,873
|
$
|
6,582
|
||||||||
|
Ratio of expenses to
|
||||||||||||||||
|
average net assets:
|
||||||||||||||||
|
Before fee waiver
|
||||||||||||||||
|
and recoupment
|
1.03
|
%++
|
1.00
|
%
|
0.94
|
%**
|
1.01
|
%++
|
||||||||
|
After fee waiver
|
||||||||||||||||
|
and recoupment
|
1.03
|
%++
|
1.00
|
%
|
0.95
|
%**
|
1.00
|
%++
|
||||||||
|
Ratio of net investment income to
|
||||||||||||||||
|
average net assets:
|
||||||||||||||||
|
Before fee waiver
|
||||||||||||||||
|
and recoupment
|
4.52
|
%++
|
4.97
|
%
|
4.15
|
%
|
5.58
|
%++
|
||||||||
|
After fee waiver
|
||||||||||||||||
|
and recoupment
|
4.52
|
%++
|
4.97
|
%
|
4.14
|
%
|
5.59
|
%++
|
||||||||
|
Portfolio turnover rate
|
74
|
%+
|
137
|
%
|
238
|
%
|
135
|
%+†
|
||||||||
|
*
|
Commencement of operations.
|
|
|
^
|
Based on average shares outstanding.
|
|
|
+
|
Not annualized.
|
|
|
++
|
Annualized.
|
|
|
†
|
Portfolio turnover rate calculated for the year ended November 30, 2016.
|
|
|
**
|
Includes extraordinary expenses of 0.01% that occurred during the Fund’s fiscal year ended November 30, 2017.
|
The accompanying notes are an integral part of these financial statements.
52
SEMPER MBS TOTAL RETURN FUND
FINANCIAL HIGHLIGHTS For a share outstanding throughout each period
|
Investor Class
|
||||||||||||||||||||||||
|
Six Months
|
||||||||||||||||||||||||
|
Ended
|
||||||||||||||||||||||||
|
May 31,
|
||||||||||||||||||||||||
|
2019
|
Year Ended November 30,
|
|||||||||||||||||||||||
|
(Unaudited)
|
2018
|
2017
|
2016
|
2015
|
2014
|
|||||||||||||||||||
|
Net asset value,
|
||||||||||||||||||||||||
|
beginning of period
|
$
|
10.50
|
$
|
10.69
|
$
|
10.56
|
$
|
10.91
|
$
|
11.08
|
$
|
10.75
|
||||||||||||
|
Income from investment operations:
|
||||||||||||||||||||||||
|
Net investment income^
|
0.24
|
0.51
|
0.45
|
0.58
|
0.51
|
0.55
|
||||||||||||||||||
|
Net realized and unrealized
|
||||||||||||||||||||||||
|
gain/(loss) on investments
|
0.02
|
(0.10
|
)
|
0.20
|
(0.30
|
)
|
(0.05
|
)
|
0.38
|
|||||||||||||||
|
Total from investment operations
|
0.26
|
0.41
|
0.65
|
0.28
|
0.46
|
0.93
|
||||||||||||||||||
|
Less distributions:
|
||||||||||||||||||||||||
|
From net investment income
|
(0.26
|
)
|
(0.60
|
)
|
(0.52
|
)
|
(0.63
|
)
|
(0.56
|
)
|
(0.57
|
)
|
||||||||||||
|
From net realized
|
||||||||||||||||||||||||
|
gain on investments
|
—
|
—
|
—
|
—
|
(0.07
|
)
|
(0.03
|
)
|
||||||||||||||||
|
Total distributions
|
(0.26
|
)
|
(0.60
|
)
|
(0.52
|
)
|
(0.63
|
)
|
(0.63
|
)
|
(0.60
|
)
|
||||||||||||
|
Net asset value, end of period
|
$
|
10.50
|
$
|
10.50
|
$
|
10.69
|
$
|
10.56
|
$
|
10.91
|
$
|
11.08
|
||||||||||||
|
Total return
|
2.55
|
%+
|
3.92
|
%
|
6.34
|
%
|
2.67
|
%
|
4.26
|
%
|
8.84
|
%
|
||||||||||||
|
Ratios/supplemental data:
|
||||||||||||||||||||||||
|
Net assets, end of
|
||||||||||||||||||||||||
|
period (thousands)
|
$
|
217,150
|
$
|
225,054
|
$
|
97,089
|
$
|
79,614
|
$
|
67,073
|
$
|
26,121
|
||||||||||||
|
Ratio of expenses to
|
||||||||||||||||||||||||
|
average net assets:
|
||||||||||||||||||||||||
|
Before fee waiver
|
||||||||||||||||||||||||
|
and recoupment
|
1.03
|
%++
|
1.01
|
%
|
0.94
|
%**
|
0.97
|
%
|
0.99
|
%
|
1.12
|
%
|
||||||||||||
|
After fee waiver
|
||||||||||||||||||||||||
|
and recoupment
|
1.03
|
%++
|
1.01
|
%
|
0.95
|
%**
|
1.00
|
%
|
1.00
|
%
|
1.00
|
%
|
||||||||||||
|
Ratio of net investment income to
|
||||||||||||||||||||||||
|
average net assets:
|
||||||||||||||||||||||||
|
Before fee waiver
|
||||||||||||||||||||||||
|
and recoupment
|
4.52
|
%++
|
4.77
|
%
|
4.20
|
%
|
5.45
|
%
|
4.65
|
%
|
4.83
|
%
|
||||||||||||
|
After fee waiver
|
||||||||||||||||||||||||
|
and recoupment
|
4.52
|
%++
|
4.77
|
%
|
4.19
|
%
|
5.42
|
%
|
4.64
|
%
|
4.95
|
%
|
||||||||||||
|
Portfolio turnover rate
|
74
|
%+
|
137
|
%
|
238
|
%
|
135
|
%
|
166
|
%
|
142
|
%
|
||||||||||||
|
^
|
Based on average shares outstanding.
|
|
|
+
|
Not annualized.
|
|
|
++
|
Annualized.
|
|
|
**
|
Includes extraordinary expenses of 0.01% that occurred during the Fund’s fiscal year ended November 30, 2017.
|
The accompanying notes are an integral part of these financial statements.
53
SEMPER MBS TOTAL RETURN FUND
FINANCIAL HIGHLIGHTS For a share outstanding throughout each period
|
Institutional Class
|
||||||||||||||||||||||||
|
Six Months
|
||||||||||||||||||||||||
|
Ended
|
||||||||||||||||||||||||
|
May 31,
|
||||||||||||||||||||||||
|
2019
|
Year Ended November 30,
|
|||||||||||||||||||||||
|
(Unaudited)
|
2018
|
2017
|
2016
|
2015
|
2014
|
|||||||||||||||||||
|
Net asset value,
|
||||||||||||||||||||||||
|
beginning of period
|
$
|
10.51
|
$
|
10.70
|
$
|
10.57
|
$
|
10.92
|
$
|
11.09
|
$
|
10.75
|
||||||||||||
|
Income from investment operations:
|
||||||||||||||||||||||||
|
Net investment income^
|
0.25
|
0.55
|
0.47
|
0.60
|
0.54
|
0.58
|
||||||||||||||||||
|
Net realized and unrealized
|
||||||||||||||||||||||||
|
gain/(loss) on investments
|
0.02
|
(0.11
|
)
|
0.21
|
(0.30
|
)
|
(0.05
|
)
|
0.38
|
|||||||||||||||
|
Total from
|
||||||||||||||||||||||||
|
investment operations
|
0.27
|
0.44
|
0.68
|
0.30
|
0.49
|
0.96
|
||||||||||||||||||
|
Less distributions:
|
||||||||||||||||||||||||
|
From net investment income
|
(0.28
|
)
|
(0.63
|
)
|
(0.55
|
)
|
(0.65
|
)
|
(0.59
|
)
|
(0.59
|
)
|
||||||||||||
|
From net realized
|
||||||||||||||||||||||||
|
gain on investments
|
—
|
—
|
—
|
—
|
(0.07
|
)
|
(0.03
|
)
|
||||||||||||||||
|
Total distributions
|
(0.28
|
)
|
(0.63
|
)
|
(0.55
|
)
|
(0.65
|
)
|
(0.66
|
)
|
(0.62
|
)
|
||||||||||||
|
Net asset value, end of period
|
$
|
10.50
|
$
|
10.51
|
$
|
10.70
|
$
|
10.57
|
$
|
10.92
|
$
|
11.09
|
||||||||||||
|
Total return
|
2.58
|
%+
|
4.20
|
%
|
6.59
|
%
|
2.92
|
%
|
4.51
|
%
|
9.18
|
%
|
||||||||||||
|
Ratios/supplemental data:
|
||||||||||||||||||||||||
|
Net assets, end of
|
||||||||||||||||||||||||
|
period (thousands)
|
$
|
1,808,965
|
$
|
1,693,755
|
$
|
1,008,263
|
$
|
466,344
|
$
|
360,443
|
$
|
126,607
|
||||||||||||
|
Ratio of expenses to
|
||||||||||||||||||||||||
|
average net assets:
|
||||||||||||||||||||||||
|
Before fee waiver
|
||||||||||||||||||||||||
|
and recoupment
|
0.78
|
%++
|
0.76
|
%
|
0.70
|
%**
|
0.73
|
%
|
0.74
|
%
|
0.89
|
%
|
||||||||||||
|
After fee waiver
|
||||||||||||||||||||||||
|
and recoupment
|
0.78
|
%++
|
0.76
|
%
|
0.70
|
%**
|
0.75
|
%
|
0.75
|
%
|
0.75
|
%
|
||||||||||||
|
Ratio of net investment income to
|
||||||||||||||||||||||||
|
average net assets:
|
||||||||||||||||||||||||
|
Before fee waiver
|
||||||||||||||||||||||||
|
and recoupment
|
4.77
|
%++
|
5.13
|
%
|
4.37
|
%
|
5.68
|
%
|
4.88
|
%
|
5.10
|
%
|
||||||||||||
|
After fee waiver
|
||||||||||||||||||||||||
|
and recoupment
|
4.77
|
%++
|
5.13
|
%
|
4.37
|
%
|
5.66
|
%
|
4.87
|
%
|
5.24
|
%
|
||||||||||||
|
Portfolio turnover rate
|
74
|
%+
|
137
|
%
|
238
|
%
|
135
|
%
|
166
|
%
|
142
|
%
|
||||||||||||
|
^
|
Based on average shares outstanding.
|
|
|
+
|
Not annualized.
|
|
|
++
|
Annualized.
|
|
|
**
|
Includes extraordinary expenses of 0.01% that occurred during the Fund’s fiscal year ended November 30, 2017.
|
The accompanying notes are an integral part of these financial statements.
54
SEMPER SHORT DURATION FUND
FINANCIAL HIGHLIGHTS For a share outstanding throughout each period
|
Investor Class
|
||||||||||||||||||||||||
|
Six Months
|
||||||||||||||||||||||||
|
Ended
|
||||||||||||||||||||||||
|
May 31,
|
||||||||||||||||||||||||
|
2019
|
Year Ended November 30,
|
|||||||||||||||||||||||
|
(Unaudited)
|
2018
|
2017
|
2016
|
2015
|
2014
|
|||||||||||||||||||
|
Net asset value,
|
||||||||||||||||||||||||
|
beginning of period
|
$
|
9.87
|
$
|
9.92
|
$
|
9.92
|
$
|
10.00
|
$
|
10.19
|
$
|
10.23
|
||||||||||||
|
Income from investment operations:
|
||||||||||||||||||||||||
|
Net investment income^
|
0.15
|
0.26
|
0.20
|
0.24
|
0.29
|
0.13
|
||||||||||||||||||
|
Net realized and unrealized
|
||||||||||||||||||||||||
|
gain/(loss) on investments
|
0.03
|
(0.05
|
)
|
0.08
|
(0.07
|
)
|
(0.16
|
)
|
0.06
|
|||||||||||||||
|
Total from investment operations
|
0.18
|
0.21
|
0.28
|
0.17
|
0.13
|
0.19
|
||||||||||||||||||
|
Less distributions:
|
||||||||||||||||||||||||
|
From net investment income
|
(0.16
|
)
|
(0.26
|
)
|
(0.28
|
)
|
(0.25
|
)
|
(0.31
|
)
|
(0.21
|
)
|
||||||||||||
|
From net realized
|
||||||||||||||||||||||||
|
gain on investments
|
—
|
—
|
—
|
—
|
(0.01
|
)
|
(0.02
|
)
|
||||||||||||||||
|
Total distributions
|
(0.16
|
)
|
(0.26
|
)
|
(0.28
|
)
|
(0.25
|
)
|
(0.32
|
)
|
(0.23
|
)
|
||||||||||||
|
Net asset value, end of period
|
$
|
9.89
|
$
|
9.87
|
$
|
9.92
|
$
|
9.92
|
$
|
10.00
|
$
|
10.19
|
||||||||||||
|
Total return
|
1.78
|
%+
|
2.17
|
%
|
2.90
|
%
|
1.77
|
%
|
1.23
|
%
|
1.86
|
%
|
||||||||||||
|
Ratios/supplemental data:
|
||||||||||||||||||||||||
|
Net assets, end of
|
||||||||||||||||||||||||
|
period (thousands)
|
$
|
83,605
|
$
|
62,155
|
$
|
14,088
|
$
|
405
|
$
|
1,591
|
$
|
907
|
||||||||||||
|
Ratio of expenses to
|
||||||||||||||||||||||||
|
average net assets:
|
||||||||||||||||||||||||
|
Before fee waiver and
|
||||||||||||||||||||||||
|
expense reimbursement
|
0.86
|
%++
|
1.07
|
%
|
1.22
|
%*
|
1.21
|
%
|
1.35
|
%
|
1.84
|
%
|
||||||||||||
|
After fee waiver and
|
||||||||||||||||||||||||
|
expense reimbursement#
|
0.85
|
%++
|
0.85
|
%
|
0.88
|
%*
|
0.85
|
%
|
1.02
|
%
|
1.13
|
%
|
||||||||||||
|
Ratio of net investment income to
|
||||||||||||||||||||||||
|
average net assets:
|
||||||||||||||||||||||||
|
Before fee waiver and
|
||||||||||||||||||||||||
|
expense reimbursement
|
2.96
|
%++
|
2.37
|
%
|
1.69
|
%
|
2.07
|
%
|
2.59
|
%
|
0.58
|
%
|
||||||||||||
|
After fee waiver and
|
||||||||||||||||||||||||
|
expense reimbursement
|
2.97
|
%++
|
2.59
|
%
|
2.03
|
%
|
2.43
|
%
|
2.92
|
%
|
1.29
|
%
|
||||||||||||
|
Portfolio turnover rate
|
79
|
%+
|
158
|
%
|
141
|
%
|
108
|
%
|
56
|
%
|
92
|
%
|
||||||||||||
|
^
|
Based on average shares outstanding.
|
|
|
+
|
Not annualized.
|
|
|
++
|
Annualized.
|
|
|
#
|
Excluding interest expense, the ratio of expenses to average net assets would have been 0.85% for each of the years ended November 30, 2015 and 2014.
|
|
|
*
|
Includes extraordinary expenses of 0.03% that occurred during the Fund’s fiscal year ended November 30, 2017.
|
The accompanying notes are an integral part of these financial statements.
55
SEMPER SHORT DURATION FUND
FINANCIAL HIGHLIGHTS For a share outstanding throughout each period
|
Institutional Class
|
||||||||||||||||||||||||
|
Six Months
|
||||||||||||||||||||||||
|
Ended
|
||||||||||||||||||||||||
|
May 31,
|
||||||||||||||||||||||||
|
2019
|
Year Ended November 30,
|
|||||||||||||||||||||||
|
(Unaudited)
|
2018
|
2017
|
2016
|
2015
|
2014
|
|||||||||||||||||||
|
Net asset value,
|
||||||||||||||||||||||||
|
beginning of period
|
$
|
9.88
|
$
|
9.93
|
$
|
9.93
|
$
|
10.01
|
$
|
10.20
|
$
|
10.24
|
||||||||||||
|
Income from investment operations:
|
||||||||||||||||||||||||
|
Net investment income^
|
0.16
|
0.28
|
0.24
|
0.25
|
0.32
|
0.24
|
||||||||||||||||||
|
Net realized and unrealized
|
||||||||||||||||||||||||
|
gain/(loss) on investments
|
0.03
|
(0.04
|
)
|
0.07
|
(0.05
|
)
|
(0.17
|
)
|
(0.03
|
)
|
||||||||||||||
|
Total from investment operations
|
0.19
|
0.24
|
0.31
|
0.20
|
0.15
|
0.21
|
||||||||||||||||||
|
Less distributions:
|
||||||||||||||||||||||||
|
From net investment income
|
(0.17
|
)
|
(0.29
|
)
|
(0.31
|
)
|
(0.28
|
)
|
(0.33
|
)
|
(0.23
|
)
|
||||||||||||
|
From net realized
|
||||||||||||||||||||||||
|
gain on investments
|
—
|
—
|
—
|
—
|
(0.01
|
)
|
(0.02
|
)
|
||||||||||||||||
|
Total distributions
|
(0.17
|
)
|
(0.29
|
)
|
(0.31
|
)
|
(0.28
|
)
|
(0.34
|
)
|
(0.25
|
)
|
||||||||||||
|
Net asset value, end of period
|
$
|
9.90
|
$
|
9.88
|
$
|
9.93
|
$
|
9.93
|
$
|
10.01
|
$
|
10.20
|
||||||||||||
|
Total return
|
1.92
|
%+
|
2.45
|
%
|
3.16
|
%
|
2.04
|
%
|
1.48
|
%
|
2.11
|
%
|
||||||||||||
|
Ratios/supplemental data:
|
||||||||||||||||||||||||
|
Net assets, end of
|
||||||||||||||||||||||||
|
period (thousands)
|
$
|
209,066
|
$
|
105,295
|
$
|
42,704
|
$
|
41,946
|
$
|
43,016
|
$
|
61,232
|
||||||||||||
|
Ratio of expenses to
|
||||||||||||||||||||||||
|
average net assets:
|
||||||||||||||||||||||||
|
Before fee waiver and
|
||||||||||||||||||||||||
|
expense reimbursement
|
0.61
|
%++
|
0.82
|
%
|
0.97
|
%*
|
0.98
|
%
|
1.14
|
%
|
1.06
|
%
|
||||||||||||
|
After fee waiver and
|
||||||||||||||||||||||||
|
expense reimbursement#
|
0.60
|
%++
|
0.60
|
%
|
0.61
|
%*
|
0.60
|
%
|
0.81
|
%
|
0.90
|
%
|
||||||||||||
|
Ratio of net investment income to
|
||||||||||||||||||||||||
|
average net assets:
|
||||||||||||||||||||||||
|
Before fee waiver and
|
||||||||||||||||||||||||
|
expense reimbursement
|
3.23
|
%++
|
2.57
|
%
|
2.08
|
%
|
2.11
|
%
|
2.82
|
%
|
2.14
|
%
|
||||||||||||
|
After fee waiver and
|
||||||||||||||||||||||||
|
expense reimbursement
|
3.24
|
%++
|
2.79
|
%
|
2.44
|
%
|
2.49
|
%
|
3.15
|
%
|
2.30
|
%
|
||||||||||||
|
Portfolio turnover rate
|
79
|
%+
|
158
|
%
|
141
|
%
|
108
|
%
|
56
|
%
|
92
|
%
|
||||||||||||
|
^
|
Based on average shares outstanding.
|
|
|
+
|
Not annualized.
|
|
|
++
|
Annualized.
|
|
|
#
|
Excluding interest expense, the ratio of expenses to average net assets would have been 0.60% for each of the years ended November 30, 2015 and 2014.
|
|
|
*
|
Includes extraordinary expenses of 0.01% that occurred during the Fund’s fiscal year ended November 30, 2017.
|
The accompanying notes are an integral part of these financial statements.
56
SEMPER FUNDS
NOTES TO FINANCIAL STATEMENTS at May 31, 2019 (Unaudited)
NOTE 1 – ORGANIZATION
The Semper MBS Total Return Fund and the Semper Short Duration Fund (each a “Fund” and collectively, the “Funds”) are each a diversified series of Advisors Series Trust (the “Trust”), which is registered under the
Investment Company Act of 1940, as amended, (the “1940 Act”) as an open-end management investment company. Prior to March 31, 2014, the Semper Short Duration Fund was a series of Forum Funds. The Funds follow the investment company accounting and
reporting guidance of the Financial Accounting Standards Board (“FASB”) Accounting Standard Codification Topic 946 “Financial Services – Investment Companies”.
The investment objective of the Semper MBS Total Return Fund (“Total Return Fund”) is to seek a high level of risk-adjusted current income and capital appreciation. The investment objective of the Semper Short
Duration Fund (“Short Duration Fund”) is to seek a high level of current income that is consistent with preservation of capital. Each Fund currently offers Investor Class shares and Institutional Class shares and the Total Return Fund offers Class A
shares. The Total Return Fund Class A shares may be subject to a 2.00% front-end sales load. The Total Return Fund’s Investor Class shares and Institutional Class shares commenced operations on July 22, 2013 and the Class A shares commenced
operations on December 18, 2015. The Short Duration Fund’s Investor Class shares and Institutional Class shares commenced operations on December 23, 2010.
NOTE 2 – SIGNIFICANT ACCOUNTING POLICIES
The following is a summary of significant accounting policies consistently followed by the Funds. These policies are in conformity with accounting principles generally accepted in the United States of America.
|
A.
|
Security Valuation: All investments in securities are recorded at their estimated fair value, as described in note 3.
|
|
|
B.
|
Federal Income Taxes: It is the Funds’ policy to comply with the requirements of Subchapter M of the Internal Revenue Code applicable to regulated investment companies
and to distribute substantially all of its taxable income to its shareholders. Therefore, no Federal income or excise tax provision is required.
|
|
|
The Funds recognize the tax benefits of uncertain tax positions only where the position is “more likely than not” to be sustained assuming examination by tax authorities. Management has analyzed the Funds’ tax
positions, and has concluded that no liability for unrecognized tax benefits should be recorded related to uncertain tax positions taken on returns filed for open tax years 2016-2018, or expected to be taken in the Funds’ 2019 tax returns.
The Funds identify their major tax jurisdictions as U.S. Federal and the state of Wisconsin; however the Funds are not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will
change materially in the next twelve months.
|
57
SEMPER FUNDS
NOTES TO FINANCIAL STATEMENTS at May 31, 2019 (Unaudited), Continued
|
C.
|
Security Transactions, Income and Distributions: Security transactions are accounted for on the trade date. Realized gains and losses on securities sold are calculated
on the basis of high amortized cost. Interest income is recorded on an accrual basis. Discounts and premiums on securities purchased are accreted/amortized over the life of the respective security using the effective interest method.
Non-cash interest income included in interest income, if any, is recorded at the fair market value of additional par received. Paydown gains and losses on mortgage-related and other asset-backed securities are recorded as components of
interest income on the statement of operations. Distributions to shareholders are recorded on the ex-dividend date.
|
|
|
Investment income, expenses (other than those specific to the class of shares), and realized and unrealized gains and losses on investments are allocated to the separate classes of each Fund based upon their
relative net assets on the date income is earned or expensed and realized and unrealized gains and losses are incurred.
|
||
|
Each Fund is charged for those expenses that are directly attributable to the Fund, such as investment advisory, custody and transfer agent fees. Expenses that are not attributable to a Fund are typically
allocated among the Funds in proportion to their respective net assets. Common expenses of the Trust are typically allocated among the funds in the Trust based on a fund’s respective net assets, or by other equitable means.
|
||
|
The Funds declare dividends from net investment income daily and distribute the dividends to shareholders monthly. The Funds distribute any realized gains, if any, annually. Distributions from net realized
gains for book purposes may include short-term capital gains. All short-term capital gains are included in ordinary income for tax purposes.
|
||
|
The amount of dividends and distributions to shareholders from net investment income and net realized capital gains is determined in accordance with Federal income tax regulations which differ from accounting
principles generally accepted in the United States of America. To the extent these book/tax differences are permanent, such amounts are reclassified within the capital accounts based on their Federal tax treatment.
|
||
|
D.
|
Restricted Securities: The Funds may invest in securities that are subject to legal or contractual restrictions on resale (“restricted securities”). Restricted
securities may be resold in transactions that are exempt from registration under the Federal securities laws. The sale or other disposition of these securities may involve additional expenses and the prompt sale of these securities at an
acceptable price may be difficult. Restricted securities, such as those issued pursuant to Rule 144A under the Securities Act of 1933,
|
58
SEMPER FUNDS
NOTES TO FINANCIAL STATEMENTS at May 31, 2019 (Unaudited), Continued
|
may be deemed to be liquid as determined by Semper Capital Management, L.P. (the “Adviser”). The Adviser has deemed that all securities issued pursuant to Rule 144A are liquid as of May 31, 2019.
|
||
|
E.
|
Illiquid Securities: 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 a Fund. Illiquid securities may be valued under methods approved by the Funds’ Board of Trustees as reflecting
fair value. Each Fund intends to hold no more than 15% of its net assets in illiquid securities. At May 31, 2019, the Total Return Fund and the Short Duration Fund had investments in illiquid securities with a total value of $7,072,633 or
0.3% of net assets and $749,604 or 0.3% of net assets, respectively.
|
|
Dates
|
Cost
|
|||||||||||
|
Total Return Fund
|
PAR
|
Acquired
|
Basis
|
|||||||||
|
BasePoint – BP SLL Trust,
|
||||||||||||
|
Series SPL-III, due 12/31/19
|
$
|
6,244,325
|
7/17-2/19
|
$
|
6,244,325
|
|||||||
|
CCTC Acquisition
|
||||||||||||
|
Partners LLC Note
|
749,058
|
2/18
|
749,058
|
|||||||||
|
Dates
|
Cost
|
|||||||||||
|
Short Duration Fund
|
PAR
|
Acquired
|
Basis
|
|||||||||
|
BasePoint – BP SLL Trust,
|
||||||||||||
|
Series SPL-III, due 12/31/19
|
$
|
732,119
|
12/16-4/19
|
$
|
732,119
|
|||||||
|
BasePoint – BP SLL Trust,
|
||||||||||||
|
Series SPL-IV, due 12/31/19
|
17,485
|
12/16
|
17,485
|
|||||||||
|
F.
|
Repurchase Agreements: Under a master repurchase agreement with a broker counterparty and custodian, each Fund may enter into transactions whereby the Fund purchases
securities under agreements to resell such securities at an agreed upon price and date (“repurchase agreement”). The Funds, through the custodian, take possession of securities collateralizing the repurchase agreement, the fair value of
which exceeds the amount of the repurchase transaction, including accrued interest. If the counterparty defaults, and the fair value of the collateral declines, realization of the collateral may be delayed or limited.
|
|
|
The Funds did not hold repurchase agreements at May 31, 2019.
|
||
|
G.
|
Reclassification of Capital Accounts: Accounting principles generally accepted in the United States of America require that certain components of net assets relating to
permanent differences be reclassified between financial and tax reporting. These reclassifications have no effect on net assets or net asset value per share.
|
59
SEMPER FUNDS
NOTES TO FINANCIAL STATEMENTS at May 31, 2019 (Unaudited), Continued
|
H.
|
Use of Estimates: The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America requires
management to make estimates and assumptions that affect the reported amounts of assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets during the reporting period.
Actual results could differ from those estimates.
|
|
|
I.
|
Events Subsequent to the Fiscal Period End: In preparing the financial statements as of May 31, 2019, management considered the impact of subsequent events for
potential recognition or disclosure in the financial statements. Management has determined there were no subsequent events that would need to be disclosed in the Funds’ financial statements.
|
NOTE 3 – SECURITIES VALUATION
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 major
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 each 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 each 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.
|
Following is a description of the valuation techniques applied to the Funds’ major categories of assets and liabilities measured at fair value on a recurring basis.
Each 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).
60
SEMPER FUNDS
NOTES TO FINANCIAL STATEMENTS at May 31, 2019 (Unaudited), Continued
Market values for fixed income securities are normally determined on the basis of valuations provided by independent pricing services. Each independent pricing service typically values securities based on one or more
inputs as described below. Securities that use similar valuation techniques and inputs as described below are categorized as level 2 of the fair value hierarchy. To the extent the significant inputs are unobservable, the values are generally
categorized as level 3.
Mortgage- and Asset-Backed Securities: Mortgage- and asset-backed securities are securities issued as separate tranches, or classes, of securities within each deal. These
securities are normally valued by independent pricing service providers that use broker-dealer quotations or valuation estimates from their internal pricing models. The pricing models for these securities usually consider tranche-level attributes,
estimated cash flows and market-based yield spreads for each tranche, current market data and incorporate deal collateral performance, as available.
U.S. Government Securities: U.S. Government securities are normally valued using a model that incorporates 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.
U.S. Government Agency Securities: U.S. Government agency securities are comprised of two main categories consisting of agency issued debt and mortgage pass-throughs. Agency
issued debt securities are generally valued in a manner similar to U.S. Government securities. Mortgage pass-throughs include to-be-announced (“TBAs”) securities and mortgage pass-through certificates. TBA securities and mortgage pass-throughs are
generally valued using dealer quotations.
Other Debt Securities: Other debt securities, including corporate and municipal bonds, are valued at their mean prices furnished by an independent pricing service provider
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 yields or
recently executed transactions of investments with comparable quality, type of issue, coupon maturity and rating, market price quotations (where observable), bond spreads, and fundamental data relating to the issuer.
Investment Companies: 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.
Short-Term Securities: 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.
61
SEMPER FUNDS
NOTES TO FINANCIAL STATEMENTS at May 31, 2019 (Unaudited), Continued
The Board of Trustees (“Board”) has delegated day-to-day valuation issues to a Valuation Committee of the Trust which is comprised of representatives from U.S. Bancorp Fund Services, LLC (doing business as U.S. Bank
Global Fund Services), 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 inputs or methodology used for valuing securities are not 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
May 31, 2019:
Total Return Fund
|
Level 1
|
Level 2
|
Level 3
|
Total
|
|||||||||||||
|
Fixed Income
|
||||||||||||||||
|
Asset-Backed
|
||||||||||||||||
|
Securities –
|
||||||||||||||||
|
Real Estate
|
$
|
—
|
$
|
—
|
$
|
1,000,065
|
$
|
1,000,065
|
||||||||
|
Collateralized Loan
|
||||||||||||||||
|
Obligations
|
—
|
1,750,184
|
—
|
1,750,184
|
||||||||||||
|
Commercial
|
||||||||||||||||
|
Mortgage-Backed
|
||||||||||||||||
|
Securities – Agency
|
—
|
110,765
|
—
|
110,765
|
||||||||||||
|
Commercial Mortgage-
|
||||||||||||||||
|
Backed Securities –
|
||||||||||||||||
|
Non-Agency
|
—
|
109,060,594
|
—
|
109,060,594
|
||||||||||||
|
Residential
|
||||||||||||||||
|
Mortgage-Backed
|
||||||||||||||||
|
Securities – Agency
|
—
|
280,623,266
|
—
|
280,623,266
|
||||||||||||
|
Residential Mortgage-
|
||||||||||||||||
|
Backed Securities –
|
||||||||||||||||
|
Non-Agency
|
—
|
1,541,159,981
|
61,940,258
|
1,603,100,239
|
||||||||||||
|
Total Fixed Income
|
—
|
1,932,704,790
|
62,940,323
|
1,995,645,113
|
||||||||||||
|
Private Placement
|
||||||||||||||||
|
Participation
|
||||||||||||||||
|
Agreements
|
—
|
—
|
7,072,633
|
7,072,633
|
||||||||||||
|
Money
|
||||||||||||||||
|
Market Fund
|
49,896,370
|
—
|
—
|
49,896,370
|
||||||||||||
|
Total Investments
|
$
|
49,896,370
|
$
|
1,932,704,790
|
$
|
70,012,956
|
$
|
2,052,614,116
|
||||||||
62
SEMPER FUNDS
NOTES TO FINANCIAL STATEMENTS at May 31, 2019 (Unaudited), Continued
Short Duration Fund
|
Level 1
|
Level 2
|
Level 3
|
Total
|
|||||||||||||
|
Fixed Income
|
||||||||||||||||
|
Asset-Backed
|
||||||||||||||||
|
Securities – Agency
|
$
|
—
|
$
|
27,123
|
$
|
—
|
$
|
27,123
|
||||||||
|
Asset-Backed
|
||||||||||||||||
|
Securities – Non-Agency
|
—
|
44,252,831
|
—
|
44,252,831
|
||||||||||||
|
Asset-Backed
|
||||||||||||||||
|
Securities – Real Estate
|
—
|
167,535
|
—
|
167,535
|
||||||||||||
|
Collateralized
|
||||||||||||||||
|
Loan Obligations
|
—
|
69,394,376
|
497,375
|
69,891,751
|
||||||||||||
|
Commercial
|
||||||||||||||||
|
Mortgage-Backed
|
||||||||||||||||
|
Securities – Agency
|
—
|
2,671
|
—
|
2,671
|
||||||||||||
|
Commercial
|
||||||||||||||||
|
Mortgage-Backed
|
||||||||||||||||
|
Securities – Non-Agency
|
—
|
31,476,054
|
—
|
31,476,054
|
||||||||||||
|
Residential
|
||||||||||||||||
|
Mortgage-Backed
|
||||||||||||||||
|
Securities – Agency
|
—
|
72,283,568
|
—
|
72,283,568
|
||||||||||||
|
Residential
|
||||||||||||||||
|
Mortgage-Backed
|
||||||||||||||||
|
Securities – Non-Agency
|
—
|
60,042,220
|
7,000,000
|
67,042,220
|
||||||||||||
|
Total Fixed Income
|
—
|
277,646,378
|
7,497,375
|
285,143,753
|
||||||||||||
|
Private Placement
|
||||||||||||||||
|
Participation
|
||||||||||||||||
|
Agreements
|
—
|
—
|
749,604
|
749,604
|
||||||||||||
|
Money
|
||||||||||||||||
|
Market Fund
|
607,500
|
—
|
—
|
607,500
|
||||||||||||
|
U.S. Treasury Bill
|
—
|
7,498,665
|
—
|
7,498,665
|
||||||||||||
|
Total Investments
|
$
|
607,500
|
$
|
285,145,043
|
$
|
8,246,979
|
$
|
293,999,522
|
||||||||
Refer to each Fund’s schedule of investments for a detailed break-out of securities by type. Transfers between levels are recognized at May 31, 2019, the end of the reporting period. The Funds recognized no transfers
to/from level 1 or level 2.
63
SEMPER FUNDS
NOTES TO FINANCIAL STATEMENTS at May 31, 2019 (Unaudited), Continued
The following is a reconciliation of the Total Return Fund’s level 3 investments for which significant unobservable inputs were used in determining value.
Total Return Fund
|
Investments in Securities, at Value
|
||||||||||||||||
|
Asset-
|
||||||||||||||||
|
Backed
|
Collateralized
|
Commercial
|
Residential
|
|||||||||||||
|
Securities –
|
Debt
|
MBS –
|
MBS –
|
|||||||||||||
|
Real Estate
|
Obligations
|
Non-Agency
|
Agency
|
|||||||||||||
|
Balance as of November 30, 2018
|
$
|
1,000,100
|
$
|
2,178,423
|
$
|
9,594,697
|
$
|
75,281,739
|
||||||||
|
Accrued discounts/premiums
|
—
|
4,941
|
—
|
(9,880
|
)
|
|||||||||||
|
Realized gain/(loss)
|
—
|
221,466
|
—
|
229,426
|
||||||||||||
|
Change in unrealized
|
||||||||||||||||
|
appreciation/(depreciation)
|
(35
|
)
|
(226,690
|
)
|
382,073
|
809,324
|
||||||||||
|
Purchases
|
—
|
—
|
494,687
|
11,316,078
|
||||||||||||
|
Sales
|
—
|
(2,178,140
|
)
|
—
|
(87,626,687
|
)
|
||||||||||
|
Transfers in and/or out of Level 3
|
—
|
—
|
(10,471,457
|
)
|
—
|
|||||||||||
|
Balance as of May 31, 2019
|
$
|
1,000,065
|
$
|
—
|
$
|
—
|
$
|
—
|
||||||||
|
Private
|
||||||||||||||||
|
Residential
|
Placement
|
|||||||||||||||
|
MBS –
|
Participation
|
|||||||||||||||
|
Non-Agency
|
Agreements
|
|||||||||||||||
|
Balance as of November 30, 2018
|
$
|
84,806,066
|
$
|
5,949,047
|
||||||||||||
|
Accrued discounts/premiums
|
5,200
|
—
|
||||||||||||||
|
Realized gain/(loss)
|
5,316
|
—
|
||||||||||||||
|
Change in unrealized
|
||||||||||||||||
|
appreciation/(depreciation)
|
1,389,932
|
—
|
||||||||||||||
|
Purchases
|
59,704,709
|
1,129,261
|
||||||||||||||
|
Sales
|
(60,641,200
|
)
|
(5,675
|
)
|
||||||||||||
|
Transfers in and/or out of Level 3
|
(23,329,765
|
)
|
—
|
|||||||||||||
|
Balance as of May 31, 2019
|
$
|
61,940,258
|
$
|
7,072,633
|
||||||||||||
The change in unrealized appreciation/(depreciation) for level 3 securities still held at May 31, 2019, and still classified as level 3 was $188,403.
64
SEMPER FUNDS
NOTES TO FINANCIAL STATEMENTS at May 31, 2019 (Unaudited), Continued
The following is a reconciliation of the Short Duration Fund’s level 3 investments for which significant unobservable inputs were used in determining value.
Short Duration Fund
|
Investments in Securities, at Value
|
||||||||||||||||
|
Asset-
|
||||||||||||||||
|
Backed
|
Collateralized
|
Collateralized
|
Commercial
|
|||||||||||||
|
Securities –
|
Debt
|
Loan
|
MBS
|
|||||||||||||
|
Non-Agency
|
Obligations
|
Obligations
|
Non-Agency
|
|||||||||||||
|
Balance as of November 30, 2018
|
$
|
94,998
|
$
|
216,018
|
$
|
1,744,895
|
$
|
263,770
|
||||||||
|
Accrued discounts/premiums
|
(3
|
)
|
667
|
—
|
—
|
|||||||||||
|
Realized gain/(loss)
|
86
|
20,243
|
(625
|
)
|
51
|
|||||||||||
|
Change in unrealized
|
||||||||||||||||
|
appreciation/(depreciation)
|
(83
|
)
|
(19,290
|
)
|
2,480
|
(4,092
|
)
|
|||||||||
|
Purchases
|
—
|
—
|
—
|
—
|
||||||||||||
|
Sales
|
(63,011
|
)
|
(217,638
|
)
|
(1,249,375
|
)
|
(87,882
|
)
|
||||||||
|
Transfers in and/or out of Level 3
|
(31,987
|
)
|
—
|
—
|
(171,847
|
)
|
||||||||||
|
Balance as of May 31, 2019
|
$
|
—
|
$
|
—
|
$
|
497,375
|
$
|
—
|
||||||||
|
Private
|
||||||||||||||||
|
Residential
|
Residential
|
Placement
|
||||||||||||||
|
MBS
|
MBS
|
Participation
|
||||||||||||||
|
Agency
|
Non-Agency
|
Agreements
|
||||||||||||||
|
Balance as of November 30, 2018
|
$
|
5,151,214
|
$
|
2,083,628
|
$
|
447,254
|
||||||||||
|
Accrued discounts/premiums
|
(4,293
|
)
|
—
|
—
|
||||||||||||
|
Realized gain/(loss)
|
(83,304
|
)
|
—
|
—
|
||||||||||||
|
Change in unrealized
|
||||||||||||||||
|
appreciation/(depreciation)
|
42,856
|
(200
|
)
|
—
|
||||||||||||
|
Purchases
|
—
|
7,000,000
|
319,899
|
|||||||||||||
|
Sales
|
(5,106,473
|
)
|
(2,083,428
|
)
|
(17,549
|
)
|
||||||||||
|
Transfers in and/or out of Level 3
|
—
|
—
|
—
|
|||||||||||||
|
Balance as of May 31, 2019
|
$
|
—
|
$
|
7,000,000
|
$
|
749,604
|
||||||||||
The change in unrealized appreciation/(depreciation) for level 3 securities still held at May 31, 2019, and still classified as level 3 was $2,480.
65
SEMPER FUNDS
NOTES TO FINANCIAL STATEMENTS at May 31, 2019 (Unaudited), Continued
The following is a summary of quantitative information about level 3 valued measurements:
Total Return Fund
|
Value at
|
Valuation
|
Unobservable
|
|||||||||
|
5/31/19
|
Technique(s)
|
Input
|
Input/Range
|
||||||||
|
Asset-Backed
|
$
|
1,000,065
|
Market Comparable
|
Single Broker Quote
|
$100.01
|
||||||
|
Securities –
|
|||||||||||
|
Real Estate
|
|||||||||||
|
Residential
|
$
|
7,938,780
|
Market Comparable
|
Single Broker Quote
|
$2.84 – $101.70
|
||||||
|
MBS –
|
(weighted avg. $90.71)
|
||||||||||
|
Non-Agency
|
|||||||||||
|
|
54,001,478
|
Market Comparable
|
Prior/Recent Transaction
|
$95.82 – $101.15
|
|||||||
|
(weighted avg. $99.92)
|
|||||||||||
|
Total
|
$
|
61,940,258
|
|||||||||
|
Private
|
$
|
7,072,633
|
Market
|
Prior/Recent Transaction
|
$100.00
|
||||||
|
Placement
|
Transaction
|
||||||||||
|
Participation
|
Method
|
||||||||||
|
Agreements
|
|||||||||||
|
Short Duration Fund
|
|||||||||||
|
Value at
|
Valuation
|
Unobservable
|
|||||||||
|
5/31/19
|
Technique(s)
|
Input
|
Input/Range
|
||||||||
|
Collateralized
|
$
|
497,375
|
Market Comparable
|
Single Broker Quote
|
$ 99.48
|
||||||
|
Loan
|
|||||||||||
|
Obligations
|
|||||||||||
|
Residential
|
$
|
7,000,000
|
Market Comparable
|
Prior/Recent Transaction
|
$100.00
|
||||||
|
MBS –
|
(weighted avg. $100)
|
||||||||||
|
Non-Agency
|
|||||||||||
|
Private
|
$
|
749,604
|
Market
|
Prior/Recent Transaction
|
$100.00
|
||||||
|
Placement
|
Transaction
|
||||||||||
|
Participation
|
Method
|
||||||||||
|
Agreements
|
|||||||||||
Significant changes in the market broker quotes would have resulted in direct and proportional changes in the fair value of the security.
In August 2018, the Financial Accounting Standards Board issued Accounting Standard Update (“ASU”) 2018-13, Fair Value Measurement (Topic 820): Disclosure Framework—Changes to the Disclosure Requirements for Fair Value Measurement (“ASU 2018-13”). The primary focus of ASU 2018-13 is to improve the effectiveness of the disclosure requirements for fair value measurements.
The changes affect all companies that are required to include fair value measurement disclosures. In
66
SEMPER FUNDS
NOTES TO FINANCIAL STATEMENTS at May 31, 2019 (Unaudited), Continued
general, the amendments in ASU 2018-13 are effective for all entities for fiscal years and interim periods within those fiscal years, beginning after December 15, 2019. An entity is permitted to early adopt the removed
or modified disclosures upon the issuance of ASU 2018-13 and may delay adoption of the additional disclosures, which are required for public companies only, until their effective date. Management is currently evaluating the impact these changes will
have on the Funds’ financial statements and disclosures.
NOTE 4 – INVESTMENT ADVISORY FEE AND OTHER TRANSACTIONS WITH AFFILIATES
The Adviser provides the Funds with investment management services under an investment advisory agreement. The Adviser furnished all investment advice, office space, facilities, and provides most of the personnel
needed by the Funds. As compensation for its services, each Fund pays the Adviser a monthly management fee. For the Total Return Fund, the fees are calculated at an annual rate of 0.60% of the Fund’s average daily net assets for the first $1.5
billion of assets, 0.55% of the Fund’s average daily net assets for the next $1 billion of assets, and 0.50% of the Fund’s average daily net assets in excess of $2.5 billion. For the Short Duration Fund, the Adviser is entitled to a monthly fee at
the annual rate of 0.35% based upon the Fund’s average daily net assets. For the six months ended May 31, 2019, the advisory fees incurred by the Funds are disclosed in the statement of operations.
Each Fund is responsible for its own operating expenses. The Adviser has contractually agreed to reduce fees payable to it by each Fund and to pay Fund operating expenses to the extent necessary to limit the aggregate
annual operating expenses (excluding acquired fund fees and expenses, taxes, interest, dividends and interest expense on securities sold short and extraordinary expenses). The Total Return Fund expenses are limited to 1.15%, 1.15%, and 0.90% of the
average daily net assets of the Fund’s Class A, Investor Class, and Institutional Class, respectively, and 0.85% and 0.60% of the average daily net assets of the Short Duration Fund’s Investor Class and Institutional Class, respectively. Any such
reductions made by the Adviser in its fees or payment of expenses which are the Fund’s obligation are subject to reimbursement by the Fund to the Adviser, if so requested by the Adviser, in any subsequent month in the 36 month period from the date of
the management fee reduction and expense payment if the aggregate amount actually paid by the Fund toward the operating expenses for such fiscal year (taking into account the reimbursement) will not cause the Fund to exceed the lesser of: (1) the
expense limitation in place at the time of the management fee reduction and expense payment; or (2) the expense limitation in place at the time of the reimbursement. Any such reimbursement is also contingent upon Board of Trustees review and
approval at time the reimbursement is made. Such reimbursement may not be paid prior to the Fund’s payment of current ordinary operating expenses.
67
SEMPER FUNDS
NOTES TO FINANCIAL STATEMENTS at May 31, 2019 (Unaudited), Continued
For the six months ended May 31, 2019, the amount of fees waived by the Adviser are disclosed in the statement of operations. Any amount due from the Adviser is paid monthly to the Fund. The expense limitation will
remain in effect through at least March 29, 2020, and may be terminated only by the Trust’s Board of Trustees. Cumulative expenses subject to recapture and the date of expiration are as follows:
|
Short Duration Fund
|
||||||
|
Expiration
|
Amount
|
|||||
|
11/30/2019
|
$
|
86,793
|
||||
|
11/30/2020
|
160,726
|
|||||
|
12/2020 – 11/2021
|
180,291
|
|||||
|
12/2021 – 5/2022
|
14,377
|
|||||
|
$
|
442,187
|
|||||
U.S. Bancorp Fund Services, LLC (“Fund Services”) serves as the Funds’ administrator, fund accountant and transfer agent. In those capacities Fund Services maintains the Funds’ books and records, calculates each Fund’s
NAV, prepares various federal and state regulatory filings, coordinates the payment of fund expenses, reviews expense accruals and prepares materials supplied to the Board of Trustees. The officers of the Trust and the Chief Compliance Officer are
also employees of Fund Services. Fees paid by the Funds to Fund Services for these services for the six months ended May 31, 2019 are disclosed in the statement of operations.
Quasar Distributors, LLC (the “Distributor”) acts as the Funds’ principal underwriter in a continuous public offering of the Funds’ shares. U.S. Bank N.A. serves as custodian (the “Custodian”) to the Funds. Both the
Distributor and Custodian are affiliates of the Administrator. Fees paid by the Funds to the Custodian for the six months ended May 31, 2019 are disclosed in the statement of operations.
NOTE 5 – DISTRIBUTION AGREEMENT AND PLAN
The Funds have adopted a Distribution Plan pursuant to Rule 12b-1 (the “Plan”). The Plan permits the Funds to pay the Distributor for distribution and related expenses at an annual rate of up to 0.25% of the average
daily net assets of each Fund’s Investor Class and the Total Return Fund’s Class A. The expenses covered by the Plan may include the cost in connection with the promotion and distribution of shares and the provision of personal services to
shareholders, including, but not necessarily limited to, advertising, compensation to underwriters, dealers and selling personnel, the printing and mailing of prospectuses to other than current Fund shareholders, and the printing and mailing of sales
literature. Payments made pursuant to the Plan will represent compensation for distribution and service activities, not reimbursements for specific expenses incurred. For the six months ended May 31, 2019, the 12b-1 distribution fees incurred by
the Funds are disclosed in the statement of operations.
68
SEMPER FUNDS
NOTES TO FINANCIAL STATEMENTS at May 31, 2019 (Unaudited), Continued
NOTE 6 – PURCHASES AND SALES OF SECURITIES
For the six months ended May 31, 2019, the cost of purchases and the proceeds from sales of securities, excluding short-term securities, were as follows.
|
Non-Government
|
Government
|
|||||||||||||||
|
Purchases
|
Sales
|
Purchases
|
Sales
|
|||||||||||||
|
Total Return Fund
|
$
|
1,490,084,162
|
$
|
1,432,928,341
|
$
|
1,090
|
$
|
26,277
|
||||||||
|
Short Duration Fund
|
$
|
274,791,243
|
$
|
154,072,545
|
$
|
19,719,001
|
$
|
17,709,378
|
||||||||
NOTE 7 – LINES OF CREDIT
The Total Return Fund and the Short Duration Fund have an unsecured line of credit in the amount of $275,000,000. The line of credit is intended to provide short-term financing, if necessary, subject to certain
restrictions, in connection with shareholder redemptions. The credit facility is with the Funds’ custodian, U.S. Bank N.A. During the six months ended May 31, 2019, the Funds did not draw on their lines of credit. At May 31, 2019, the Funds had no
outstanding loan amounts.
NOTE 8 – INCOME TAXES AND DISTRIBUTIONS TO SHAREHOLDERS
Net investment income/(loss) and net realized gains/(losses) can differ for financial statement and tax purposes due to differing treatments of paydowns.
The tax character of distributions paid during the six months ended May 31, 2019 and the year ended November 30, 2018 was as follows:
|
Total Return Fund
|
Short Duration Fund
|
|||
|
May 31, 2019
|
Nov. 30, 2018
|
May 31, 2019
|
Nov. 30, 2018
|
|
|
Ordinary income
|
$51,875,127
|
$91,309,786
|
$3,728,239
|
$2,363,211
|
69
SEMPER FUNDS
NOTES TO FINANCIAL STATEMENTS at May 31, 2019 (Unaudited), Continued
As of November 30, 2018, the Funds’ most recently completed fiscal year end, the components of capital on a tax basis were as follows:
|
|
Total
|
Short
|
||||||
|
|
Return Fund
|
Duration Fund
|
||||||
|
Cost of investments (a)
|
$
|
1,972,953,352
|
$
|
169,043,141
|
||||
|
Gross unrealized appreciation
|
12,899,942
|
310,834
|
||||||
|
Gross unrealized depreciation
|
(37,280,962
|
)
|
(401,799
|
)
|
||||
|
Net unrealized depreciation (a)
|
(24,381,020
|
)
|
(90,965
|
)
|
||||
|
Undistributed ordinary income
|
3,371,340
|
113,625
|
||||||
|
Undistributed long-term capital gains
|
—
|
—
|
||||||
|
Total distributable earnings
|
3,371,340
|
113,625
|
||||||
|
Other accumulated gains/(losses)
|
(20,359,158
|
)
|
(1,877,919
|
)
|
||||
|
Total accumulated earnings/(losses)
|
$
|
(41,368,838
|
)
|
$
|
(1,855,259
|
)
|
||
|
(a)
|
The difference between book basis and tax basis net unrealized depreciation and cost is attributable primarily to wash sales. The difference between book basis and tax basis distributable earnings are primarily
due to losses disallowed and recognized on wash sales, capital loss carryforwards, and tax adjustments to dividends payable.
|
The Funds had tax capital losses which may be carried over to offset future gains. Such losses expire as follows:
|
|
Short-Term Indefinite
|
Long-Term Indefinite
|
|||||||
|
Total Return Fund
|
$
|
11,200,495
|
$
|
5,994,962
|
|||||
|
Short Duration Fund
|
1,192,314
|
676,073
|
|||||||
NOTE 9 – PRINCIPAL RISKS
Below is a summary of some, but not all, of the principal risks of investing in the Funds, each of which may adversely affect a Fund’s net asset value and total return. The Funds’ most recent prospectus provides
further descriptions of each Fund’s investment objective, principal investment strategies and principal risks.
|
•
|
Risks Associated with Mortgage-Backed and Other Asset-Backed Securities – In addition to the risks associated with other fixed
income securities, mortgage-backed and asset-backed securities are subject to certain other risks. The value of these securities will be influenced by the factors affecting the housing market or the other assets underlying such securities. As
a result, during periods of declining asset values, difficult or frozen credit markets, significant changes in interest rates, or deteriorating economic conditions, mortgage- backed and asset-backed securities may decline in value, face
valuation difficulties, become more volatile and/or become illiquid.
|
70
SEMPER FUNDS
NOTES TO FINANCIAL STATEMENTS at May 31, 2019 (Unaudited), Continued
|
•
|
Privately Issued Mortgage-Related Securities Risk – MBS issued or guaranteed by private issuers is also known as “non-agency MBS”. Privately issued mortgage-backed
securities generally offer a higher rate of interest (but greater credit risk) than securities issued by U.S. Government issuers, as there are no direct or indirect governmental guarantees of payment. The degree of risks will depend
significantly on the ability of borrowers to make payments on the underlying mortgages and the seniority of the security held by the Funds with respect to such payments. The market for privately issued mortgage-backed securities is smaller
and less liquid than the market for mortgage-backed securities issued by U.S. government issuers.
|
|
|
•
|
Sub-Prime Mortgage Risk – The risk that an issuer of a sub-prime mortgage security will default on its payments of interest or principal on a security when due. These
risks are more pronounced in the case of sub-prime mortgage instruments than more highly ranked securities. Because of this increased risk, these securities may also be less liquid and subject to more pronounced declines in value than more
highly rated instruments in times of market stress.
|
|
|
•
|
Rule 144A Securities Risk – The market for Rule 144A securities typically is less active than the market for publicly-traded securities. Rule 144A securities carry the
risk that the liquidity of these securities may become impaired, making it more difficult for the Funds to sell these securities.
|
|
|
•
|
Risks Associated with Real Estate and Regulatory Actions – The securities that the Funds own are dependent on real estate prices. If real estate experiences a significant
price decline, this could adversely affect the prices of the securities the Funds own. Any adverse regulatory action could impact the prices of the securities the Funds own.
|
|
|
•
|
High Yield Risk – Fixed income securities that are rated below investment grade (i.e. “junk bonds”) are subject to additional risk factors due to the speculative nature
of the securities, such as increased possibility of default liquidation of the security, and changes in value based on public perception of the issuer.
|
|
|
•
|
Counterparty Risk – Counterparty risk arises upon entering into borrowing arrangements or derivative transactions and is the risk from the potential inability of
counterparties to meet the terms of their contracts.
|
|
|
•
|
TBA Securities Risk – In a TBA transaction, a seller agrees to deliver a security at a future date, but does not specify the particular security to be delivered. Instead,
the seller agrees to accept any security that meets specified terms. The principal risks of TBA transactions are increased interest rate risk and increased overall investment exposure.
|
71
SEMPER FUNDS
NOTES TO FINANCIAL STATEMENTS at May 31, 2019 (Unaudited), Continued
|
•
|
Liquidity Risk – Liquidity risk exists when particular investments are difficult to purchase or sell. Each Fund’s investments in illiquid securities may reduce the
returns of the Fund because it may be difficult to sell the illiquid securities at an advantageous time or price. Liquidity risk may be the result of, among other things, the reduced number and capacity of traditional market participants to
make a market in fixed-income securities or the lack of an active market. Liquid investments may become illiquid or less liquid after purchase by each Fund, particularly during periods of market turmoil. Illiquid and relatively less liquid
investments may be harder to value, especially in changing markets.
|
72
SEMPER FUNDS
NOTICE TO SHAREHOLDERS at May 31, 2019 (Unaudited)
How to Obtain a Copy of the Funds’ Proxy Voting Policies
A description of the policies and procedures that the Funds use to determine how to vote proxies relating to portfolio securities is available without charge, upon request, by calling 1-855-736-7799 or on the U.S.
Securities and Exchange Commission’s (“SEC”) website at http://www.sec.gov.
How to Obtain a Copy of the Funds’ Proxy Voting Records for the 12-Month Period Ended June 30
Information regarding how the Funds voted proxies relating to portfolio securities during the 12-month period ended June 30 will be available without charge, upon request, by calling 1-855-736-7799. Furthermore, you
can obtain the Funds’ proxy voting records on the SEC’s website at http://www.sec.gov.
Quarterly Filings on Form N-Q and Form N-PORT
The Funds file their complete schedules of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q or Part F of Form N-PORT (beginning with filings after March 31, 2019). The
Funds’ Form N-Q and Form N-PORT are available on the SEC’s website at http://www.sec.gov. Information included in the Funds’ Form N-Q and Form N-PORT is also available, upon request, by calling 1-855-736-7799.
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SEMPER FUNDS
APPROVAL OF INVESTMENT ADVISORY AGREEMENT (Unaudited)
Semper Short Duration Fund
Semper Absolute Return Bond Fund
At a meeting held on December 5-6, 2018, the Board (which is comprised of five persons, all of whom are Independent Trustees as defined under the Investment Company Act of 1940, as amended), considered and approved,
for another annual term, the continuance of the investment advisory agreement (the “Advisory Agreement”) between Advisors Series Trust (the “Trust”) and Semper Capital Management, L.P. (the “Adviser”) on behalf of the Semper Short Duration Fund (the
“Short Duration Fund”) and also approved, for another annual term, the continuance of the Advisory Agreement for the Semper Absolute Return Bond Fund (the “Absolute Return Fund” and, together with the Short Duration Fund, the “Funds”), which had not
commenced operations at the time of this meeting. At this meeting, and at a prior meeting held on October 17-18, 2018, the Board received and reviewed substantial information regarding the Funds, the Adviser, and the services provided by the Adviser
to the Funds under the Advisory Agreement. This information, together with the information provided to the Board throughout the course of the year, formed the primary (but not exclusive) basis for the Board’s determinations. Below is a summary of
the factors considered by the Board and the conclusions that formed the basis for the Board’s approval of the continuance of the Advisory Agreement:
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1.
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THE NATURE, EXTENT AND QUALITY OF THE SERVICES PROVIDED AND TO BE PROVIDED BY THE ADVISER UNDER THE ADVISORY AGREEMENT. The Board considered the nature, extent and quality of the Adviser’s overall services
provided to the Funds, as well as its specific responsibilities in all aspects of day-to-day investment management of the Funds. The Board considered the qualifications, experience and responsibilities of the portfolio managers, as well as
the responsibilities of other key personnel of the Adviser involved in the day-to-day activities of the Funds. The Board also considered the resources and compliance structure of the Adviser, including information regarding its compliance
program, its chief compliance officer and the Adviser’s compliance record, as well as the Adviser’s cybersecurity program and business continuity plan. The Board also considered the prior relationship between the Adviser and the Trust, as
well as the Board’s knowledge of the Adviser’s operations, and noted that during the course of the prior year they had met with the Adviser in person to discuss the Short Duration Fund’s performance and investment outlook as well as various
marketing and compliance topics, including the Adviser’s risk management process. The Board concluded that the Adviser had the quality and depth of personnel, resources, investment methods and compliance policies and procedures essential to
performing its duties under the Advisory Agreement and that the nature, overall quality and extent of such management services are satisfactory.
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74
SEMPER FUNDS
APPROVAL OF INVESTMENT ADVISORY AGREEMENT (Unaudited), Continued
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2.
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THE FUNDS’ HISTORICAL PERFORMANCE AND THE OVERALL PERFORMANCE OF THE ADVISER. In assessing the quality of the portfolio management delivered by the Adviser, the Board reviewed the performance of the Short
Duration Fund as of July 31, 2018 on both an absolute basis and in comparison to its peer funds utilizing Morningstar classifications and appropriate securities benchmarks. While the Board considered both short-term and long-term
performance, it placed greater emphasis on longer term performance. The Board also took into account that the Short Duration Fund’s track record is measured as of a specific date, and that track records can vary as of different measurement
dates. The Board considered that the Absolute Return Fund had not yet commenced operations. When reviewing the Short Duration Fund’s performance against the comparative peer group universe, the Board took into account that the investment
objectives and strategies of the Fund may differ significantly from funds in the peer universe. The Board therefore took into account the Adviser’s views as to the reasons for the Short Duration Fund’s relative performance against peers and
benchmarks over various time periods and its future outlook for the Fund. In considering the Short Duration Fund’s performance, the Trustees placed greater emphasis on performance against peers as opposed to the unmanaged benchmark indices.
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Short Duration Fund: The Board noted that the Fund’s performance, with regard to its Morningstar comparative universe, was above its peer group median for the one-year,
three-year, five-year and since inception periods.
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The Board reviewed the performance of the Fund against broad-based securities market benchmarks.
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The Board also considered any differences in performance between the Adviser’s similarly managed accounts and the performance of the Fund, noting that the Fund performed in line with the similarly managed
accounts for the one-year period, outperformed for the five-year period and underperformed for the three-year period.
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THE COSTS OF THE SERVICES TO BE PROVIDED BY THE ADVISER AND THE STRUCTURE OF THE ADVISER’S FEE UNDER THE ADVISORY AGREEMENT. In considering the advisory fee and the total fees and expenses of the Funds, the
Board reviewed comparisons to the peer funds and the Adviser’s similarly managed accounts for other types of clients, as well as all expense waivers and reimbursements. When reviewing fees charged to other separately managed accounts, the
Board took into account the type of account and the differences in the management of that account that might be germane to the difference, if any, in the fees charged to such accounts.
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75
SEMPER FUNDS
APPROVAL OF INVESTMENT ADVISORY AGREEMENT (Unaudited), Continued
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Short Duration Fund: The Board noted that the Adviser had contractually agreed to maintain an annual expense ratio for the Fund of 0.85% for Investor Class shares and
0.60% for Institutional Class shares (the “Expense Caps”). The Board noted that the Fund’s total expense ratios for the Investor Class shares and Institutional Class shares were above the peer group median and average. Additionally, the
Board noted that when the Fund’s peer group was adjusted to include only funds with similar asset sizes, the Fund’s total expense ratios, with regard to the Investor Class shares and Institutional Class shares were above the peer group median
and average. The Board noted that the Fund’s contractual advisory fee was above its peer group median and average and also above its peer group median and average when the Fund’s peer group was adjusted to include only funds with similar
asset sizes. The Board also considered that after advisory fee waivers and the payment of Fund expenses necessary to maintain the Expense Caps, the advisory fees received by the Adviser were below the peer group median and average as of the
year ended July 31, 2018. The Board also took into consideration the services the Adviser provides to its similarly managed account clients, comparing the fees charged for those management services to the management fees charged to the Fund.
The Board found that the management fees charged to the Fund were higher than the fees charged to the Adviser’s similarly managed separate account clients, primarily as a reflection of the nature of the separate account client and the greater
costs to the Adviser of managing the Fund.
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Absolute Return Fund: The Board noted that the Adviser had contractually agreed to maintain an annual expense ratio for the Fund of 1.55% for Investor Class shares and
1.30% for Institutional Class shares (the “Expense Caps”). The Board noted that the Fund’s estimated total expense ratios for the Investor Class shares and Institutional Class shares were above the peer group median and average. The Board
noted that the Fund’s contractual advisory fee was above its peer group median and average. The Board also took into consideration the services the Adviser provides to its similarly managed account clients, comparing the fees charged for
those management services to the management fees to be charged to the Fund.
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The Board determined that it would continue to monitor the appropriateness of the advisory fees for the Funds and concluded that, at this time, the fees to be paid to the Adviser were fair and reasonable.
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4.
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ECONOMIES OF SCALE. The Board also considered whether economies of scale were being realized by the Adviser that should be shared with shareholders. The Board further noted that the Adviser has contractually
agreed to reduce its advisory fees or reimburse Fund expenses so that the Funds do not exceed the specified Expense Caps. The Board additionally noted that
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76
SEMPER FUNDS
APPROVAL OF INVESTMENT ADVISORY AGREEMENT (Unaudited), Continued
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the Adviser has represented that it continues to reinvest free cash into growing its resources. The Board noted that at current asset levels, it did not appear that there were additional significant economies
of scale being realized by the Adviser that should be shared with shareholders and concluded that it would continue to monitor economies of scale in the future as circumstances changed and assuming asset levels continued to increase.
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THE PROFITS TO BE REALIZED BY THE ADVISER AND ITS AFFILIATES FROM THEIR RELATIONSHIP WITH THE FUNDS. The Board reviewed the Adviser’s financial information and took into account both the direct benefits and
the indirect benefits to the Adviser from advising the Funds. The Board considered the profitability to the Adviser from its relationship with the Funds and considered any additional benefits derived by the Adviser from its relationship with
the Funds, such as Rule 12b-1 fees. The Board also considered that the Funds do not generate “soft dollar” benefits that may be used by the Adviser in exchange for Fund brokerage. The Board also reviewed information indicating that no
separate accounts clients were invested in the Short Duration Fund and therefore the Adviser was not receiving additional fall-out benefits from these relationships. After such review, the Board determined that the profitability to the
Adviser with respect to the Advisory Agreement was not excessive, and that the Adviser had maintained adequate profit levels to support the services it provides to the Funds.
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No single factor was determinative of the Board’s decision to approve the continuance of the Advisory Agreement for the Short Duration Fund and the Absolute Return Fund, but rather the Board based its determination on
the total combination of information available to them. Based on a consideration of all the factors in their totality, the Board determined that the advisory arrangements with the Adviser, including the advisory fees, were fair and reasonable. The
Board therefore determined that the continuance of the Advisory Agreement for the Funds would be in the best interest of the Funds and their shareholders.
77
SEMPER FUNDS
PRIVACY NOTICE
The Funds collect non-public information about you from the following sources:
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Information we receive about you on applications or other forms;
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Information you give us orally; and/or
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Information about your transactions with us or others.
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We do not disclose any non-public personal information about our customers or former customers without the customer’s authorization, except as permitted by law or in response to inquiries from governmental authorities. We may share information with affiliated and unaffiliated third parties with whom we have contracts for servicing the Funds. We will provide unaffiliated third parties with only the information necessary to carry out their assigned responsibilities. We maintain physical, electronic and procedural safeguards to guard your non-public personal information and require third parties to treat your personal information with the same high degree of confidentiality.
In the event that you hold shares of the Funds through a financial intermediary, including, but not limited to, a broker-dealer, bank, or trust company, the privacy policy of your financial intermediary would govern
how your non-public personal information would be shared by those entities with unaffiliated third parties.
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Investment Adviser
Semper Capital Management, L.P.
52 Vanderbilt Avenue, Suite 401
New York, New York 10017
Independent Registered Public Accounting Firm
Tait, Weller & Baker LLP
Two Liberty Place
50 South 16th Street, Suite 2900
Philadelphia, Pennsylvania 19102
Legal Counsel
Schiff Hardin LLP
666 Fifth Avenue, Suite 1700
New York, New York 10103
Custodian
U.S. Bank N.A.
Custody Operations
1555 North River Center Drive, Suite 302
Milwaukee, Wisconsin 53212
Transfer Agent, Fund Accountant and Fund Administrator
U.S. Bancorp Fund Services, LLC
615 East Michigan Street
Milwaukee, Wisconsin 53202
1-855-736-7799 (855-SEM-PRXX)
Distributor
Quasar Distributors, LLC
777 East Wisconsin Avenue, 6th Floor
Milwaukee, Wisconsin 53202
This report is intended for shareholders of the Funds and may not be used as sales literature unless preceded or accompanied by a current prospectus. For a current prospectus, please call 1-855-736-7799
(855-SEM-PRXX). Statements and other information herein are dated and are subject to change.
Item 2. Code of Ethics.
Not applicable for semi-annual reports.
Item 3. Audit Committee Financial Expert.
Not applicable for semi-annual reports.
Item 4. Principal Accountant Fees and Services.
Not applicable for semi-annual reports.
Item 5. Audit Committee of Listed Registrants.
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(a)
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Not applicable to registrants who are not listed issuers (as defined in Rule 10A-3 under the Securities Exchange Act of 1934).
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(b)
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Not applicable.
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Item 6. Investments.
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(a)
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Schedule of Investments is included as part of the report to shareholders filed under Item 1 of this Form.
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(b)
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Not Applicable.
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Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable to open-end investment companies.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
Not applicable to open-end investment companies.
Item 9. Purchases of Equity Securities by Closed‑End Management Investment Company and Affiliated Purchasers.
Not applicable to open-end investment companies.
Item 10. Submission of Matters to a Vote of Security Holders.
There have been no material changes to the procedures by which shareholders may recommend nominees to the Registrant’s Board of Trustees.
Item 11. Controls and Procedures.
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(a)
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The Registrant’s President/Chief Executive Officer/Principal Executive Officer and Vice President/Treasurer/Principal Financial Officer have reviewed the Registrant's disclosure controls and procedures (as defined in Rule 30a-3(c)
under the Investment Company Act of 1940, as amended, (the “Act”)) as of a date within 90 days of the filing of this report, as required by Rule 30a-3(b) under the Act and Rules 13a-15(b) or 15d‑15(b) under the Securities Exchange Act of
1934. Based on their review, such officers have concluded that the disclosure controls and procedures are effective in ensuring that information required to be disclosed in this report is appropriately recorded, processed, summarized and
reported and made known to them by others within the Registrant and by the Registrant’s service provider.
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(b)
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There were no changes in the Registrant's internal control over financial reporting (as defined in Rule 30a-3(d) under the Act) that occurred during the second fiscal quarter of the period covered by this report that has materially
affected, or is reasonably likely to materially affect, the Registrant's internal control over financial reporting.
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Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.
Not applicable to open-end investment companies.
Item 13. Exhibits.
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(a)
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(1) Any code of ethics or amendment thereto, that is the subject of the disclosure required by Item 2, to the extent that the registrant intends to satisfy Item 2 requirements through filing an
exhibit. Not Applicable.
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(2) A separate certification for each principal executive officer and principal financial officer pursuant to Section 302 of the Sarbanes-Oxley Act of 2002. Filed herewith.
(3) Any written solicitation to purchase securities under Rule 23c‑1 under the Act sent or given during the period covered by the report by or on behalf of the registrant to 10 or
more persons. Not applicable to open-end investment companies.
(4) Change in the registrant’s independent public accountant. There was no change in the registrant’s independent public accountant for the
period covered by this report.
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(b)
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Certifications pursuant to Section 906 of the Sarbanes‑Oxley Act of 2002. Furnished herewith.
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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 August 9, 2019
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 August 9, 2019
By (Signature and Title)* /s/Cheryl L. King
Cheryl L. King, Vice President/Treasurer/Principal
Financial Officer
Financial Officer
Date August 9, 2019
* Print the name and title of each signing officer under his or her signature