N-Q 1 catalyst_nq.htm N-Q

 

 

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

 

 

FORM N-Q

 

 

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED MANAGEMENT INVESTMENT COMPANIES

 

 

Investment Company Act file number: 811-21872

 

 

Mutual Fund Series Trust

(Exact name of registrant as specified in charter)

 

17605 Wright Street

Omaha, Nebraska 68130

(Address of principal executive offices)(Zip code)

 

CT Corporation System

1300 East Ninth Street, Cleveland, OH 44114

(Name and address of agent for service)

 

 

Registrant's telephone number, including area code: 1.866.447.4228

 

Date of fiscal year end: 06/30

 

Date of reporting period: 09/30/2018

 

Item 1.Schedule of Investments (Unaudited)

 

The Trust’s schedule of investments as of the close of the reporting period prepared pursuant to Rule 12-12 of Regulation S-X is as follows:

 

CATALYST FUNDS
CATALYST SMALL-CAP INSIDER BUYING FUND
PORTFOLIO OF INVESTMENTS (Unaudited)
September, 30, 2018

 

Shares      Value 
     COMMON STOCK - 99.1%     
     ADVERTISING - 1.5%     
 2,100   Trade Desk, Inc. *  $316,911 
           
     BANKS - 22.7%     
 17,700   Carolina Financial Corp.   667,644 
 20,000   Guaranty Bancorp.   594,000 
 15,300   Horizon Bancorp.   302,175 
 18,200   National Commerce Corp. *   751,660 
 12,800   Nicolet Bankshares, Inc. *   697,728 
 24,500   Old Line Bancshares, Inc.   775,180 
 16,100   Walker & Dunlop, Inc.   851,368 
         4,639,755 
     BUILDING MATERIALS - 4.5%     
 15,500   Patrick Industries, Inc. *   917,600 
           
     COMMERCIAL SERVICES - 2.5%     
 1,400   HealthEquity, Inc. *   132,174 
 4,600   Paylocity Holding Corp. *   369,472 
         501,646 
     DIVERSIFIED FINANCIAL SERVICES - 3.7%     
 29,400   MMA Capital Management LLC *   764,400 
           
     ELECTRONICS - 7.8%     
 27,800   Alarm.com Holdings, Inc. *   1,595,720 
           
     HEALTHCARE PRODUCTS - 5.7%     
 20,900   Repligen Corp. *   1,159,114 
           
     HOME BUILDERS - 5.7%     
 44,100   Century Communities, Inc. *   1,157,625 
           
     INSURANCE - 5.7     
 18,900   Health Insurance Innovations Inc. *   1,165,185 
           
     INTERNET - 1.8%     
 4,700   Etsy, Inc. *   241,486 
 550   Stamps.com, Inc. *   124,410 
         365,896 
     LEISURE PRODUCTS - 6.9%     
 25,700   Malibu Boats, Inc. *   1,406,304 
           
     MISCELLANEOUS MANUFACTURING - 5.3%     
 3,400   Axon Eneterprise, Inc. *   232,662 
 5,200   Proto Labs, Inc. *   841,100 
         1,073,762 
           
     RETAIL - 1.4%     
 3,100   Ollie’s Bargain Outlet Holdings, Inc. *   297,910 
           
     SAVINGS & LOANS - 3.8%     
 24,100   BSB Bancorp, Inc. *   785,660 

 

 

CATALYST FUNDS
CATALYST SMALL-CAP INSIDER BUYING FUND
PORTFOLIO OF INVESTMENTS (Unaudited)(Continued)
September, 30, 2018

 

Shares      Value 
     COMMON STOCK - 99.1% (Continued)     
     SOFTWARE - 20.1%     
 32,500   Blackline, Inc. *  $1,835,275 
 1,800   Paycom Software, Inc. *   279,738 
 11,300   Tabula Rasa HealthCare Inc. *   917,447 
 45,200   Yext Inc. *   1,071,240 
         4,103,700 
     TOTAL COMMON STOCK (Cost - $18,374,527)   20,251,188 
           
     TOTAL INVESTMENTS - 99.1% (Cost - $18,374,527)  $20,251,188 
     LIABILITIES LESS OTHER ASSETS - 0.9%   174,329 
     NET ASSETS - 100.0%  $20,425,517 

 

LLC - Limited Liability Company

 

*Non-income producing security.

 

 

CATALYST FUNDS
CATALYST INSIDER BUYING FUND
PORTFOLIO OF INVESTMENTS (Unaudited)
September 30, 2018

 

Shares      Value 
     COMMON STOCK - 99.1%     
     AEROSPACE/DEFENSE - 4.6%     
 29,200   HEICO Corp.  $2,704,212 
           
     BEVERAGES - 2.3%     
 23,700   Monster Beverage Corp. *   1,381,236 
           
     BUILDING MATERIALS - 3.6%     
 9,700   Lennox International, Inc.   2,118,480 
           
     COMMERCIAL SERVICES - 21.3%     
 21,200   Global Payments, Inc.   2,700,880 
 50,000   IHS Markit Ltd. *   2,698,000 
 30,200   PayPal Holdings, Inc. *   2,652,768 
 13,600   S&P Global, Inc.   2,657,304 
 18,800   Total System Services, Inc.   1,856,312 
         12,565,264 
     HEALTHCARE-PRODUCTS - 10.6%     
 6,900   Align Technology, Inc. *   2,699,418 
 11,000   IDEXX Laboratories, Inc. *   2,746,260 
 4,500   Stryker Corp.   799,560 
         6,245,238 
     HEALTHCARE-SERVICES - 4.7%     
 19,100   Centene Corp. *   2,765,298 
           
     INTERNET - 10.3%     
 32,000   GoDaddy, Inc. *   2,668,480 
 6,700   Palo Alto Networks, Inc. *   1,509,242 
 8,400   Stamps.com, Inc. *   1,900,080 
         6,077,802 
     MACHINERY-DIVERSIFIED - 4.6%     
 9,200   Roper Technologies, Inc.   2,725,132 
           
     RETAIL - 6.5%     
 8,600   Home Depot, Inc.   1,781,490 
 5,900   O’Reilly Automotive, Inc. *   2,049,188 
         3,830,678 
     SOFTWARE - 30.6%     
 14,450   Adobe Systems, Inc. *   3,900,777 
 10,500   Fair Isaac Corp. *   2,399,775 
 33,300   Fiserv, Inc. *   2,743,254 
 14,500   Paycom Software, Inc. *   2,253,445 
 16,600   ServiceNow, Inc. *   3,247,458 
 32,100   Veeva Systems, Inc. *   3,494,727 
         18,039,436 
           
     TOTAL COMMON STOCK (Cost - $48,515,057)   58,452,776 
           
     TOTAL INVESTMENTS - 99.1% (Cost - $48,515,057)  $58,452,776 
     OTHER ASSETS LESS LIABILITIES - 0.9%   562,342 
     NET ASSETS - 100.0%  $59,015,118 

 

*Non-income producing security.

 

 

CATALYST FUNDS
CATALYST INSIDER LONG/SHORT FUND
PORTFOLIO OF INVESTMENTS (Unaudited)
September 30, 2018

 

Shares      Value 
     COMMON STOCK - 98.5%     
     AEROSPACE/DEFENSE - 6.0%     
 1,100   HEICO Corp.  $101,871 
           
     BANKS - 5.8%     
 1,800   Horizon Bancorp.   35,550 
 2,000   Old Line Bancshares, Inc.   63,280 
         98,830 
     BEVERAGES - 4.5%     
 350   Constellation Brands, Inc.   75,467 
           
     BUILDING MATERIALS - 4.5%     
 1,300   Patrick Idustries, Inc. *   76,960 
           
     COMMERCIAL SERVICES - 10.0%     
 1,100   HealthEquity, Inc. *   103,851 
 1,200   IHS Markit Ltd. *   64,752 
         168,603 
     DISTRIBUTION/WHOLESALE - 5.6%     
 565   Pool Corp.   94,287 
           
     DIVERSIFIED FINANCIAL SERVICES - 4.1%     
 2,700   MMA Capital Management LLC *   70,200 
           
     ENTERTAINMENT - 2.8%     
 170   Churchill Downs, Inc.   47,209 
           
     HEALTHCARE PRODUCTS - 11.1%     
 575   Edwards Lifesciences Corp. *   100,108 
 350   IDEXX Laboratories, Inc. *   87,381 
         187,489 
     HEALTHCARE SERVICES - 5.6%     
 650   Centene Corp. *   94,107 
           
     INTERNET - 3.3%     
 250   Stamps.com, Inc. *   56,550 
           
     LEISURE PRODUCTS - 3.9%     
 1,200   Malibu Boats, Inc. *   65,664 
           
     MISCELLANEOUS MANUFACTURING - 4.3%     
 450   Proto Labs, Inc. *   72,788 
           
     RETAIL - 6.8%     
 1,200   Ollie’s Bargain Outlet Holdings, Inc. *   115,320 

 

 

CATALYST FUNDS
CATALYST INSIDER LONG/SHORT FUND
PORTFOLIO OF INVESTMENTS (Unaudited)(Continued)
September 30, 2018

 

Shares      Value 
     COMMON STOCK - 98.5% (Continued)     
     SOFTWARE - 20.2%     
 350   Adobe Systems, Inc. *  $94,483 
 600   Broadridge Financial Solutions, Inc.   79,170 
 550   Ebix, Inc.   43,533 
 800   Paycom Software, Inc. *   124,328 
         341,513 
           
     TOTAL COMMON STOCK (Cost - $1,220,384)   1,666,857 
           
     TOTAL INVESTMENTS - 98.5% (Cost - $1,220,384)  $1,666,857 
     OTHER ASSETS LESS LIABILITIES - 1.5%   25,550 
     NET ASSETS - 100.0%  $1,692,407 
           
Shares      Value 
     SECURITIES SOLD SHORT - (41.8)% *     
     COMMON STOCK - (41.8)%     
     AEROSPACE/DEFENSE - (1.4)%     
 550   Astronics Corp.  $23,925 
           
     AUTO MANUFACTURERS - (6.3)%     
 400   Tesla, Inc.   105,908 
           
     CHEMICALS - (6.3)%     
 3,300   Mosaic Co.   107,184 
           
     ENERGY-ALTERNATE SOURCES - (3.4)%     
 30,400   Pacific Ethanol, Inc.   57,760 
           
     FOOD - (4.8)%     
 1,700   TreeHouse Foods, Inc.   81,345 
           
     INSURANCE - (5.9)%     
 1,860   American International Group, Inc.   99,026 
           
     INTERNET - (4.6)%     
 12,300   Liquidity Services, Inc.   78,105 
           
     REAL ESTATE INVESTMENT TRUST - (2.6)%     
 800   Macerich Co.   44,232 
           
     RETAIL - (1.1)%     
 220   Jack in the Box, Inc.   18,443 
           
     TELECOMMUNICATIONS - (5.4)%     
 5,150   ADTRAN, Inc.   90,898 
           
     TOTAL COMMON STOCK (Cost - $721,665)   706,826 
           
     TOTAL SECURITIES SOLD SHORT (Proceeds - $721,665)  $706,826 

 

LLC - Limited Liability Company

 

*Non-income producing security.

 

 

CATALYST FUNDS
CATALYST HEDGED COMMODITY STRATEGY FUND
CONSOLIDATED PORTFOLIO OF INVESTMENTS (Unaudited)
September 30, 2018

 

Contracts (a)      Counterparty  Notional Value   Options
Expiration Date		  Options
Exercise Price		   Value 
     OPTIONS PURCHASED - 57.2% *               
     CALL OPTIONS PURCHASED - 29.7%            
 100   Corn Future, Maturing November 2018 +  Wedbush  $1,750,000   10/29/2018  $350.00   $50,000 
 100   Corn Future, Maturing November 2018 +  Wedbush   1,900,000   10/29/2018   380.00    4,375 
 100   Corn Future, Maturing November 2018 +  Wedbush   1,925,000   10/29/2018   385.00    3,125 
 199   Corn Future, Maturing December 2018 +  Wedbush   3,383,000   11/26/2018   340.00    189,050 
 1   Corn Future, Maturing December 2018 +  Wedbush   17,500   11/26/2018   350.00    613 
 199   Corn Future, Maturing December 2018 +  Wedbush   3,681,500   11/26/2018   370.00    44,775 
 900   Corn Future, Maturing December 2018 +  Wedbush   18,900,000   11/26/2018   420.00    16,875 
 400   Corn Future, Maturing December 2018 +  Wedbush   9,200,000   11/26/2018   460.00    2,500 
 200   Crude Oil Future, Maturing November 2018 +  Wedbush   12,900,000   10/18/2018   64.50    1,760,000 
 200   Crude Oil Future, Maturing November 2018 +  Wedbush   13,100,000   10/18/2018   65.50    1,566,000 
 100   Crude Oil Future, Maturing November 2018 +  Wedbush   7,150,000   10/18/2018   71.50    268,000 
 100   Crude Oil Future, Maturing November 2018 +  Wedbush   7,450,000   10/18/2018   74.50    112,000 
 200   Crude Oil Future, Maturing November 2018 +  Wedbush   15,300,000   10/18/2018   76.50    114,000 
 100   Crude Oil Future, Maturing November 2018 +  Wedbush   8,250,000   10/18/2018   82.50    9,000 
 200   Crude Oil Future, Maturing December 2018 +  Wedbush   13,000,000   11/15/2018   65.00    1,692,000 
 200   Crude Oil Future, Maturing December 2018 +  Wedbush   13,900,000   11/15/2018   69.50    958,000 
 200   Crude Oil Future, Maturing December 2018 +  Wedbush   14,700,000   11/15/2018   73.50    482,000 
 100   Crude Oil Future, Maturing December 2018 +  Wedbush   7,400,000   11/15/2018   74.00    218,000 
 220   Crude Oil Future, Maturing December 2018 +  Wedbush   16,830,000   11/15/2018   76.50    286,000 
 100   Crude Oil Future, Maturing December 2018 +  Wedbush   7,700,000   11/15/2018   77.00    117,000 
 110   Crude Oil Future, Maturing December 2018 +  Wedbush   8,635,000   11/15/2018   78.50    92,400 
 100   Crude Oil Future, Maturing December 2018 +  Wedbush   8,150,000   11/15/2018   81.50    44,000 
 100   Crude Oil Future, Maturing January 2019 +  Wedbush   6,100,000   12/17/2018   61.00    1,223,000 
 100   Crude Oil Future, Maturing January 2019 +  Wedbush   6,750,000   12/17/2018   67.50    676,000 
 100   Crude Oil Future, Maturing January 2019 +  Wedbush   6,800,000   12/17/2018   68.00    639,000 
 50   Crude Oil Future, Maturing January 2019 +  Wedbush   3,875,000   12/17/2018   77.50    81,500 
 50   Crude Oil Future, Maturing January 2019 +  Wedbush   3,900,000   12/17/2018   78.00    75,000 
 100   Crude Oil Future, Maturing February 2019 +  Wedbush   6,500,000   1/17/2019   65.00    892,000 
 90   Crude Oil Future, Maturing February 2019 +  Wedbush   6,255,000   1/17/2019   69.50    513,000 
 290   Crude Oil Future, Maturing February 2019 +  Wedbush   20,735,000   1/17/2019   71.50    1,307,900 
 220   Crude Oil Future, Maturing March 2019 +  Wedbush   16,610,000   2/15/2019   75.50    655,600 
 202   Crude Oil Future, Maturing March 2019 +  Wedbush   15,352,000   2/15/2019   76.00    563,580 
 110   Crude Oil Future, Maturing March 2019 +  Wedbush   8,635,000   2/15/2019   78.50    221,100 
 101   Crude Oil Future, Maturing March 2019 +  Wedbush   8,484,000   2/15/2019   84.00    96,960 
 200   Gold Future, Maturing November 2018 +  Wedbush   23,800,000   10/26/2018   1,190.00    300,000 
 100   Gold Future, Maturing November 2018 +  Wedbush   12,150,000   10/26/2018   1,215.00    51,000 
 400   Gold Future, Maturing November 2018 +  Wedbush   49,000,000   10/26/2018   1,225.00    128,000 
 100   Gold Future, Maturing November 2018 +  Wedbush   12,450,000   10/26/2018   1,245.00    14,000 
 250   Gold Future, Maturing November 2018 +  Wedbush   33,250,000   10/26/2018   1,330.00    5,000 
 250   Gold Future, Maturing November 2018 +  Wedbush   33,500,000   10/26/2018   1,340.00    5,000 
 250   Gold Future, Maturing November 2018 +  Wedbush   33,625,000   10/26/2018   1,345.00    5,000 
 150   Gold Future, Maturing December 2018 +  Wedbush   18,000,000   11/28/2018   1,200.00    240,000 
 150   Gold Future, Maturing December 2018 +  Wedbush   18,450,000   11/28/2018   1,230.00    102,000 
 100   Gold Future, Maturing January 2019 +  Wedbush   12,950,000   12/27/2018   1,295.00    30,000 
 100   Gold Future, Maturing February 2019 +  Wedbush   12,300,000   1/29/2019   1,230.00    154,000 
 200   Gold Future, Maturing February 2019 +  Wedbush   25,700,000   1/29/2019   1,285.00    114,000 
 100   Gold Future, Maturing February 2019 +  Wedbush   13,350,000   1/29/2019   1,335.00    26,000 
 100   Gold Future, Maturing February 2019 +  Wedbush   13,650,000   1/29/2019   1,365.00    17,000 
 100   Gold Future, Maturing February 2019 +  Wedbush   13,700,000   1/29/2019   1,370.00    16,000 
 100   Gold Future, Maturing March 2019 +  Wedbush   13,500,000   2/26/2019   1,350.00    35,000 
     TOTAL CALL OPTIONS PURCHASED (Cost - $12,096,519)       16,216,353 
                           
     PUT OPTIONS PURCHASED - 27.5%               
 500   Corn Future, Maturing December 2018 +  Wedbush   7,750,000   11/26/2018   310.00    6,250 
 500   Corn Future, Maturing December 2018 +  Wedbush   8,250,000   11/26/2018   330.00    28,125 
 110   Crude Oil Future, Maturing November 2018 +  Wedbush   5,720,000   10/18/2018   52.00    1,100 
 100   Crude Oil Future, Maturing November 2018 +  Wedbush   5,850,000   10/18/2018   58.50    1,000 
 200   Crude Oil Future, Maturing November 2018 +  Wedbush   13,400,000   10/18/2018   67.00    32,000 
 100   Crude Oil Future, Maturing November 2018 +  Wedbush   7,000,000   10/18/2018   70.00    55,000 
 50   Crude Oil Future, Maturing November 2018 +  Wedbush   3,750,000   10/18/2018   75.00    134,500 
 110   Crude Oil Future, Maturing December 2018 +  Wedbush   5,335,000   11/15/2018   48.50    1,100 
 110   Crude Oil Future, Maturing December 2018 +  Wedbush   6,105,000   11/15/2018   55.50    4,400 
 200   Crude Oil Future, Maturing December 2018 +  Wedbush   12,100,000   11/15/2018   60.50    26,000 
 200   Crude Oil Future, Maturing December 2018 +  Wedbush   12,300,000   11/15/2018   61.50    34,000 
 20   Crude Oil Future, Maturing December 2018 +  Wedbush   1,270,000   11/15/2018   63.50    5,600 
 220   Crude Oil Future, Maturing December 2018 +  Wedbush   14,410,000   11/15/2018   65.50    103,400 
 200   Crude Oil Future, Maturing December 2018 +  Wedbush   13,300,000   11/15/2018   66.50    122,000 
 100   Crude Oil Future, Maturing January 2019 +  Wedbush   5,550,000   12/17/2018   55.50    12,000 
 100   Crude Oil Future, Maturing January 2019 +  Wedbush   6,550,000   12/17/2018   65.50    95,000 
 200   Crude Oil Future, Maturing February 2019 +  Wedbush   12,200,000   1/17/2019   61.00    126,000 
 100   Crude Oil Future, Maturing February 2019 +  Wedbush   6,650,000   1/17/2019   66.50    161,000 
 20   Gold Future, Maturing November 2018 +  Wedbush   2,280,000   10/26/2018   1,140.00    1,400 
 2   Gold Future, Maturing November 2018 +  Wedbush   231,000   10/26/2018   1,155.00    300 
 296   Gold Future, Maturing November 2018 +  Wedbush   34,632,000   10/26/2018   1,170.00    94,720 
 300   Gold Future, Maturing November 2018 +  Wedbush   36,000,000   10/26/2018   1,200.00    411,000 

 

 

CATALYST FUNDS
CATALYST HEDGED COMMODITY STRATEGY FUND
CONSOLIDATED PORTFOLIO OF INVESTMENTS (Unaudited) (Continued)
September 30, 2018

 

Contracts (a)      Counterparty  Notional Value   Options
Expiration Date		  Options
Exercise Price		   Value 
     OPTIONS PURCHASED - 57.2% (Continued) *            
     PUT OPTIONS PURCHASED - 27.5% (Continued)            
$610   Gold Future, Maturing November 2018 +  Wedbush  $74,115,000   10/26/2018  $1,215.00   $1,451,800 
 200   Gold Future, Maturing November 2018 +  Wedbush   24,400,000   10/26/2018   1,220.00    556,000 
 100   Gold Future, Maturing November 2018 +  Wedbush   12,350,000   10/26/2018   1,235.00    409,000 
 610   Gold Future, Maturing November 2018 +  Wedbush   76,250,000   10/26/2018   1,250.00    3,348,900 
 220   Gold Future, Maturing November 2018 +  Wedbush   28,490,000   10/26/2018   1,295.00    2,180,200 
 50   Gold Future, Maturing November 2018 +  Wedbush   6,575,000   10/26/2018   1,315.00    595,000 
 300   Gold Future, Maturing November 2018 +  Wedbush   40,650,000   10/26/2018   1,355.00    4,767,000 
 110   Gold Future, Maturing December 2018 +  Wedbush   12,485,000   11/28/2018   1,135.00    26,400 
 55   Gold Future, Maturing December 2018 +  Wedbush   6,490,000   11/28/2018   1,180.00    59,400 
 200   Gold Future, Maturing January 2019 +  Wedbush   22,200,000   12/27/2018   1,110.00    36,000 
 100   Gold Future, Maturing January 2019 +  Wedbush   11,500,000   12/27/2018   1,150.00    56,000 
 200   Gold Future, Maturing February 2019 +  Wedbush   21,900,000   1/29/2019   1,095.00    44,000 
 100   Gold Future, Maturing March 2019 +  Wedbush   11,150,000   2/26/2019   1,115.00    46,000 
     TOTAL PUT OPTIONS PURCHASED (Cost - $11,987,277)          15,031,595 
                           
     TOTAL OPTIONS PURCHASED (Cost - $24,083,796)       31,247,948 
                           
Principal         Coupon Rate (%)   Maturity       Value 
     UNITED STATES GOVERNMENT SECURITIES - 74.8%            
$3,000,000   United States Treasury Note   1.750%   10/31/2018        2,999,256 
 4,000,000   United States Treasury Note   3.750%   11/15/2018        4,007,955 
 2,000,000   United States Treasury Note   1.250%   11/30/2018        1,997,030 
 9,000,000   United States Treasury Note   1.375%   11/30/2018        8,988,460 
 3,000,000   United States Treasury Note   1.250%   12/15/2018        2,994,259 
 5,000,000   United States Treasury Note   1.500%   1/31/2019        4,986,579 
 1,000,000   United States Treasury Note   1.500%   2/28/2019        996,445 
 3,000,000   United States Treasury Note   1.000%   3/15/2019        2,981,133 
 3,000,000   United States Treasury Note +   1.000%   3/15/2019        2,981,133 
 3,000,000   United States Treasury Note   1.250%   4/30/2019        2,979,609 
 2,000,000   United States Treasury Note   0.750%   7/15/2019        1,972,109 
 1,000,000   United States Treasury Note   1.625%   8/31/2019        990,996 
 2,000,000   United States Treasury Note   1.000%   9/30/2019        1,967,695 
     TOTAL UNITED STATES GOVERNMENT SECURITIES (Cost - $40,991,241)       40,842,659 
                           
Shares                         
     PRIVATE INVESTMENT FUND - 6.0%            
 30,668   Prime Meridian Income QP Fund LP ++ #          3,266,372 
     TOTAL PRIVATE INVESTMENT FUND (Cost - $3,105,989)       3,266,372 
                           
     TOTAL INVESTMENTS - 138.0% (Cost - $68,181,026)         $75,356,979 
     LIABILITIES IN EXCESS OF OTHER ASSETS - (38.0)% ^          (20,732,488)
     NET ASSETS - 100.0%         $54,624,491 
                           
Contracts (a)      Counterparty  Notional Value   Options
Expiration Date		  Options
Exercise Price		   Value 
     OPTIONS WRITTEN - (60.5)% *             
     CALL OPTIONS WRITTEN - (28.7)%            
 300   Corn Future, Maturing November 2018 +  Wedbush  $5,550,000   10/29/2018  $370.00   $31,875 
 199   Corn Future, Maturing December 2018 +  Wedbush   3,582,000   11/26/2018   360.00    75,869 
 500   Corn Future, Maturing December 2018 +  Wedbush   9,500,000   11/26/2018   380.00    62,500 
 400   Corn Future, Maturing December 2018 +  Wedbush   7,800,000   11/26/2018   390.00    27,500 
 200   Corn Future, Maturing December 2018 +  Wedbush   4,000,000   11/26/2018   400.00    7,500 
 400   Corn Future, Maturing December 2018 +  Wedbush   8,800,000   11/26/2018   440.00    5,000 
 200   Crude Oil Future, Maturing November 2018 +  Wedbush   13,400,000   10/18/2018   67.00    1,282,000 
 200   Crude Oil Future, Maturing November 2018 +  Wedbush   13,600,000   10/18/2018   68.00    1,098,000 
 200   Crude Oil Future, Maturing November 2018 +  Wedbush   13,800,000   10/18/2018   69.00    924,000 
 100   Crude Oil Future, Maturing November 2018 +  Wedbush   7,000,000   10/18/2018   70.00    379,000 
 220   Crude Oil Future, Maturing November 2018 +  Wedbush   16,500,000   10/18/2018   75.00    209,000 
 150   Crude Oil Future, Maturing November 2018 +  Wedbush   11,775,000   10/18/2018   78.50    43,500 
 220   Crude Oil Future, Maturing November 2018 +  Wedbush   17,490,000   10/18/2018   79.50    44,000 
 90   Crude Oil Future, Maturing November 2018 +  Wedbush   7,740,000   10/18/2018   86.00    3,600 
 200   Crude Oil Future, Maturing December 2018 +  Wedbush   13,300,000   11/15/2018   66.50    1,430,000 
 400   Crude Oil Future, Maturing December 2018 +  Wedbush   28,200,000   11/15/2018   70.50    1,640,000 
 100   Crude Oil Future, Maturing December 2018 +  Wedbush   7,500,000   11/15/2018   75.00    179,000 
 100   Crude Oil Future, Maturing December 2018 +  Wedbush   7,750,000   11/15/2018   77.50    105,000 
 300   Crude Oil Future, Maturing January 2019 +  Wedbush   19,500,000   12/17/2018   65.00    2,616,000 
 90   Crude Oil Future, Maturing January 2019 +  Wedbush   6,165,000   12/17/2018   68.50    542,700 
 90   Crude Oil Future, Maturing January 2019 +  Wedbush   6,300,000   12/17/2018   70.00    451,800 
 220   Crude Oil Future, Maturing January 2019 +  Wedbush   16,170,000   12/17/2018   73.50    679,800 
 110   Crude Oil Future, Maturing January 2019 +  Wedbush   8,305,000   12/17/2018   75.50    249,700 
 300   Crude Oil Future, Maturing February 2019 +  Wedbush   20,700,000   1/17/2019   69.00    1,809,000 
 202   Crude Oil Future, Maturing February 2019 +  Wedbush   14,948,000   1/17/2019   74.00    658,520 
 101   Crude Oil Future, Maturing February 2019 +  Wedbush   8,130,500   1/17/2019   80.50    129,280 
 600   Gold Future, Maturing November 2018 +  Wedbush   72,600,000   10/26/2018   1,210.00    378,000 
 100   Gold Future, Maturing November 2018 +  Wedbush   12,200,000   10/26/2018   1,220.00    40,000 
 100   Gold Future, Maturing November 2018 +  Wedbush   12,500,000   10/26/2018   1,250.00    12,000 

 

 

CATALYST FUNDS
CATALYST HEDGED COMMODITY STRATEGY FUND
CONSOLIDATED PORTFOLIO OF INVESTMENTS (Unaudited) (Continued)
September 30, 2018

 

Contracts (a)      Counterparty  Notional Value   Options
Expiration Date		  Options
Exercise Price		   Value 
     OPTIONS WRITTEN - (60.5)% (Continued) *       
     CALL OPTIONS WRITTEN - (28.7)% (Continued)          
 250   Gold Future, Maturing November 2018 +  Wedbush  $34,000,000   10/26/2018  $1,360.00   $5,000 
 250   Gold Future, Maturing November 2018 +  Wedbush   35,000,000   10/26/2018   1,400.00    2,500 
 150   Gold Future, Maturing December 2018 +  Wedbush   18,150,000   11/28/2018   1,210.00    180,000 
 50   Gold Future, Maturing December 2018 +  Wedbush   6,100,000   11/28/2018   1,220.00    45,000 
 100   Gold Future, Maturing December 2018 +  Wedbush   12,550,000   11/28/2018   1,255.00    35,000 
 100   Gold Future, Maturing January 2019 +  Wedbush   13,150,000   12/27/2018   1,315.00    21,000 
 100   Gold Future, Maturing January 2019 +  Wedbush   13,350,000   12/27/2018   1,335.00    15,000 
 100   Gold Future, Maturing January 2019 +  Wedbush   14,100,000   12/27/2018   1,410.00    6,000 
 300   Gold Future, Maturing February 2019 +  Wedbush   37,950,000   1/29/2019   1,265.00    243,000 
 100   Gold Future, Maturing February 2019 +  Wedbush   13,850,000   1/29/2019   1,385.00    14,000 
 100   Gold Future, Maturing March 2019 +  Wedbush   14,000,000   2/26/2019   1,400.00    19,000 
     TOTAL CALL OPTIONS WRITTEN (Premiums Received - $12,587,611)    15,699,644 
                           
     PUT OPTIONS WRITTEN - (31.8)%         
 1,000   Corn Future, Maturing December 2018 +  Wedbush   16,000,000   11/26/2018   320.00    25,000 
 10   Crude Oil Future, Maturing November 2018 +  Wedbush   485,000   10/18/2018   48.50    100 
 10   Crude Oil Future, Maturing November 2018 +  Wedbush   510,000   10/18/2018   51.00    100 
 100   Crude Oil Future, Maturing November 2018 +  Wedbush   6,200,000   10/18/2018   62.00    2,000 
 420   Crude Oil Future, Maturing November 2018 +  Wedbush   27,090,000   10/18/2018   64.50    25,200 
 320   Crude Oil Future, Maturing November 2018 +  Wedbush   21,280,000   10/18/2018   66.50    41,600 
 150   Crude Oil Future, Maturing November 2018 +  Wedbush   10,800,000   10/18/2018   72.00    166,500 
 300   Crude Oil Future, Maturing December 2018 +  Wedbush   18,750,000   11/15/2018   62.50    66,000 
 100   Crude Oil Future, Maturing January 2019 +  Wedbush   5,850,000   12/17/2018   58.50    22,000 
 100   Crude Oil Future, Maturing January 2019 +  Wedbush   6,300,000   12/17/2018   63.00    58,000 
 300   Crude Oil Future, Maturing February 2019 +  Wedbush   18,900,000   1/17/2019   63.00    270,000 
 200   Gold Future, Maturing November 2018 +  Wedbush   22,400,000   10/26/2018   1,120.00    8,000 
 408   Gold Future, Maturing November 2018 +  Wedbush   48,144,000   10/26/2018   1,180.00    220,320 
 100   Gold Future, Maturing November 2018 +  Wedbush   11,900,000   10/26/2018   1,190.00    88,000 
 500   Gold Future, Maturing November 2018 +  Wedbush   61,500,000   10/26/2018   1,230.00    1,820,000 
 300   Gold Future, Maturing November 2018 +  Wedbush   37,650,000   10/26/2018   1,255.00    1,791,000 
 510   Gold Future, Maturing November 2018 +  Wedbush   64,260,000   10/26/2018   1,260.00    3,289,500 
 200   Gold Future, Maturing November 2018 +  Wedbush   25,300,000   10/26/2018   1,265.00    1,388,000 
 100   Gold Future, Maturing November 2018 +  Wedbush   12,700,000   10/26/2018   1,270.00    743,000 
 214   Gold Future, Maturing November 2018 +  Wedbush   27,927,000   10/26/2018   1,305.00    2,332,600 
 50   Gold Future, Maturing November 2018 +  Wedbush   6,550,000   10/26/2018   1,310.00    570,000 
 300   Gold Future, Maturing November 2018 +  Wedbush   40,050,000   10/26/2018   1,335.00    4,167,000 
 300   Gold Future, Maturing January 2019 +  Wedbush   33,750,000   12/27/2018   1,125.00    84,000 
 55   Gold Future, Maturing January 2019 +  Wedbush   6,462,500   12/27/2018   1,175.00    61,600 
 200   Gold Future, Maturing February 2019 +  Wedbush   22,400,000   1/29/2019   1,120.00    78,000 
 100   Gold Future, Maturing February 2019 +  Wedbush   11,450,000   1/29/2019   1,145.00    72,000 
     TOTAL PUT OPTIONS WRITTEN (Premiums Received - $16,516,843)     17,389,520 
                           
     TOTAL OPTIONS WRITTEN (Premiums Received - $29,104,454)    $33,089,164 

 

*Non-income producing security.

 

+All or a portion of this investment is a holding of the CHCSF Fund Limited CFC.

 

++Affiliated issuer.

 

^A portion of this is cash held as collateral for open options contracts.

 

(a)Each contract is equivalent to one underlying futures contract.

 

#The security is illiquid; total illiquid securities represent 6.0% of net assets.

 

 

CATALYST FUNDS
CATALYST HEDGED FUTURES STRATEGY FUND
PORTFOLIO OF INVESTMENTS (Unaudited)
September 30, 2018

 

              Options    
Contracts (a)      Counterparty  Notional   Expiration Date - Exercise Price  Value 
     PURCHASED OPTIONS - 9.1%          
     CALL OPTIONS PURCHASED - 7.2% *       
 1,500   S&P 500 Index Future, Maturing December 2018  HSBC  $1,078,125,000   10/22/2018 - $2,875  $21,262,500 
 1,500   S&P 500 Index Future, Maturing December 2018  RBC, Wedbush   1,102,500,000   10/22/2018 - $2,940   4,800,000 
 2,500   S&P 500 Index Future, Maturing December 2018  HSBC, RBC   1,850,000,000   10/22/2018 - $2,960   4,000,000 
 2,250   S&P 500 Index Future, Maturing December 2018  HSBC, RBC, Wedbush   1,681,875,000   11/19/2018 - $2,990   5,962,500 
 1,000   S&P 500 Index Future, Maturing December 2018  HSBC, Wedbush   750,000,000   11/19/2018 - $3,000   2,100,000 
 1,500   S&P 500 Index Future, Maturing December 2018  HSBC, RBC, Wedbush   1,128,750,000   11/19/2018 - $3,010   2,475,000 
 1,000   S&P 500 Index Future, Maturing December 2018  RBC, Wedbush   762,500,000   11/30/2018 - $3,050   1,137,500 
 2,000   S&P 500 Index Future, Maturing December 2018  HSBC, RBC, Wedbush   1,530,000,000   11/30/2018 - $3,060   1,900,000 
 2,000   S&P 500 Index Future, Maturing December 2018  HSBC, RBC, Wedbush   1,537,500,000   11/30/2018 - $3,075   1,475,000 
 2,000   S&P 500 Index Future, Maturing December 2018  RBC, Wedbush   1,525,000,000   12/24/2018 - $3,050   4,350,000 
 1,000   S&P 500 Index Future, Maturing December 2018  Wedbush   765,000,000   12/24/2018 - $3,060   1,850,000 
     TOTAL CALL OPTIONS PURCHASED (Cost - $47,810,500)     51,312,500 
                      
     PUT OPTIONS PURCHASED - 1.9% *       
 250   S&P 500 Index Future, Maturing December 2018  RCG   131,250,000   10/22/2018 - $2,100   15,625 
 5,250   S&P 500 Index Future, Maturing December 2018  HSBC, RBC, Wedbush   3,018,750,000   11/19/2018 - $2,300   2,756,250 
 1,750   S&P 500 Index Future, Maturing December 2018  RBC, Wedbush   962,500,000   11/19/2018 - $2,200   678,125 
 3,000   S&P 500 Index Future, Maturing December 2018  HSBC, RBC   1,650,000,000   11/30/2018 - $2,200   1,575,000 
 3,000   S&P 500 Index Future, Maturing December 2018  HSBC, RBC, RCG, Wedbush   1,650,000,000   12/24/2018 - $2,200   2,437,500 
 3,000   S&P 500 Index Future, Maturing December 2018  RBC, RCG, Wedbush   1,575,000,000   12/31/2018 - $2,100   2,100,000 
 4,250   S&P 500 Index Future, Maturing March 2019  HSBC, RBC, Wedbush   2,231,250,000   1/22/2019 - $2,100   4,143,750 
     TOTAL PUT OPTIONS PURCHASED (Cost - $15,329,643)     13,706,250 
                      
     TOTAL PURCHASED OPTIONS (Cost - $63,140,143)     65,018,750 
                      
     PRIVATE INVESTMENT FUND - 9.7%     
 652,676   Prime Meridian Income QP Fund, LP # +     69,509,607 
     TOTAL PRIVATE INVESTMENT FUND (Cost - $66,057,430)   69,509,607 
           
Principal                    
     UNITED STATES GOVERNMENT SECURITIES - 38.3%     
$25,000,000   United States Treasury Notes, 0.875%, 10/15/2018   24,988,981 
 50,000,000   United States Treasury Notes, 0.750%, 10/31/2018   49,947,245 
 100,000,000   United States Treasury Notes, 1.250%, 11/15/2018   99,896,341 
 100,000,000   United States Treasury Notes, 1.375%, 11/30/2018   99,871,774 
     TOTAL UNITED STATES GOVERNMENT SECURITIES (Cost - $275,028,397)   274,704,341 
                      
     SHORT-TERM INVESTMENTS - 25.9%     
     MONEY MARKET FUNDS - 25.9%     
 185,386,693   Goldman Sachs Financial Square Funds - Institutional Class, 1.93% **   185,386,693 
     TOTAL SHORT-TERM INVESTMENTS (Cost - $185,386,693)   185,386,693 
                      
     TOTAL INVESTMENTS - 83.0% (Cost - $589,612,663)  $594,619,391 
     OTHER ASSETS LESS LIABILITIES - 17.0%   122,197,582 
     NET ASSETS - 100.0%  $716,816,973 
                      
                Options     
Contracts (a)      Counterparty  Notional   Expiration Date - Exercise Price  Value 
     WRITTEN OPTIONS - (13.0)% *             
     CALL OPTIONS WRITTEN - (10.8)%     
 4,000   S&P 500 Index Future, Maturing December 2018  HSBC, Wedbush  $2,925,000,000   10/22/2018 - $2,925   20,300,000 
 3,000   S&P 500 Index Future, Maturing December 2018  HSBC, RBC   2,250,000,000   10/22/2018 - $3,000   1,350,000 
 2,500   S&P 500 Index Future, Maturing December 2018  HSBC, RBC   1,843,750,000   11/19/2018 - $2,950   15,500,000 
 2,500   S&P 500 Index Future, Maturing December 2018  HSBC, RBC, Wedbush   1,906,250,000   11/19/2018 - $3,050   1,781,250 
 4,000   S&P 500 Index Future, Maturing December 2018  HSBC, RBC, Wedbush   3,060,000,000   11/19/2018 - $3,060   2,350,000 
 2,000   S&P 500 Index Future, Maturing December 2018  RBC, Wedbush   1,550,000,000   11/30/2018 - $3,100   1,000,000 
 4,000   S&P 500 Index Future, Maturing December 2018  HSBC, RBC, Wedbush   3,110,000,000   11/30/2018 - $3,110   1,750,000 
 2,000   S&P 500 Index Future, Maturing December 2018  HSBC, Wedbush   1,462,500,000   12/24/2018 - $2,925   28,350,000 
 4,000   S&P 500 Index Future, Maturing December 2018  RBC, Wedbush   3,100,000,000   12/24/2018 - $3,100   3,850,000 
 2,000   S&P 500 Index Future, Maturing December 2018  Wedbush   1,555,000,000   12/24/2018 - $3,110   1,650,000 
     TOTAL CALL OPTIONS WRITTEN (Premiums Received - $86,645,875)  $77,881,250 

 

 

CATALYST FUNDS
CATALYST HEDGED FUTURES STRATEGY FUND
PORTFOLIO OF INVESTMENTS (Unaudited) (Continued)
September 30, 2018

 

              Options    
Contracts (a)      Counterparty  Notional   Expiration Date - Exercise Price  Value 
     WRITTEN OPTIONS - (13.0)% * (Continued)     
     PUT OPTIONS WRITTEN - (2.2)%     
 500   S&P 500 Index Future, Maturing December 2018  Wedbush  $262,500,000   10/22/2018 - $2,100  $31,250 
 3,000   S&P 500 Index Future, Maturing December 2018  RBC, RCG   1,650,000,000   10/22/2018 - $2,200   300,000 
 1,500   S&P 500 Index Future, Maturing December 2018  HSBC, RBC   900,000,000   10/22/2018 - $2,400   318,750 
 1,000   S&P 500 Index Future, Maturing December 2018  HSBC   600,000,000   10/31/2018 - $2,400   350,000 
 250   S&P 500 Index Future, Maturing December 2018  HSBC   151,875,000   11/19/2018 - $2,430   196,875 
 750   S&P 500 Index Future, Maturing December 2018  RCG   457,500,000   11/19/2018 - $2,440   609,375 
 2,000   S&P 500 Index Future, Maturing December 2018  HSBC, RBC, RCG, Wedbush   1,225,000,000   11/19/2018 - $2,450   1,675,000 
 750   S&P 500 Index Future, Maturing December 2018  HSBC   389,062,500   11/30/2018 - $2,075   271,875 
 250   S&P 500 Index Future, Maturing December 2018  RBC   151,250,000   11/30/2018 - $2,420   259,375 
 750   S&P 500 Index Future, Maturing December 2018  RBC, RCG   455,625,000   11/30/2018 - $2,430   806,250 
 750   S&P 500 Index Future, Maturing December 2018  RCG, Wedbush   457,500,000   11/30/2018 - $2,440   834,375 
 500   S&P 500 Index Future, Maturing December 2018  Wedbush   306,250,000   11/30/2018 - $2,450   575,000 
 250   S&P 500 Index Future, Maturing December 2018  RBC   153,750,000   11/30/2018 - $2,460   303,125 
 500   S&P 500 Index Future, Maturing December 2018  RBC, Wedbush   312,500,000   11/30/2018 - $2,500   687,500 
 250   S&P 500 Index Future, Maturing December 2018  HSBC   152,500,000   12/24/2018 - $2,440   425,000 
 500   S&P 500 Index Future, Maturing December 2018  HSBC, RBC   306,250,000   12/24/2018 - $2,450   887,500 
 500   S&P 500 Index Future, Maturing December 2018  HSBC, RBC   307,500,000   12/24/2018 - $2,460   925,000 
 250   S&P 500 Index Future, Maturing December 2018  HSBC   154,687,500   12/24/2018 - $2,475   487,500 
 1,000   S&P 500 Index Future, Maturing December 2018  HSBC, RBC   621,250,000   12/24/2018 - $2,485   2,025,000 
 1,500   S&P 500 Index Future, Maturing December 2018  RBC, Wedbush   933,750,000   12/24/2018 - $2,490   3,075,000 
 250   S&P 500 Index Future, Maturing December 2018  RBC   155,937,500   12/24/2018 - $2,495   525,000 
     TOTAL PUT OPTIONS WRITTEN (Premiums Received - $23,140,649)  $15,568,750 
     TOTAL OPTIONS WRITTEN (Premiums Received - $109,786,524)  $93,450,000 

 

LP - Limited Partnership

 

HSBC - Hongkong and Shanghai Banking Corporation

 

RCG - Rosenthal Collins Group

 

RBC - Royal Bank of Canada

 

*Non-income producing security.

 

**Rate shown represents the rate at September 30, 2018, is subject to change and resets daily.

 

+Affiliated issuer.

 

#The security is illiquid; total illiquid securities represent 9.7% of net assets.

 

^All or a portion of security held as collateral for open options contracts.

 

(a)Each contract is equivalent to one of the underlying futures contract.

 

 

CATALYST FUNDS
CATALYST INSIDER INCOME FUND
PORTFOLIO OF INVESTMENTS (Unaudited)
September 30, 2018

 

Principal      Coupon Rate (%)  Maturity  Value 
     CONVERTIBLE BONDS - 13.0%           
     INTERNET - 3.6%           
$115,000   Twitter, Inc.  0.250  9/15/2019  $111,636 
                 
     PHARMACEUTICALS - 6.7%           
 160,000   Herbalife Nutrition Ltd.  2.000  8/15/2019   208,513 
                 
     REITS - 2.7%           
 85,000   Spirit Realty Capital, Inc.  2.875  5/15/2019   85,000 
                 
     TOTAL CONVERTIBLE BONDS (Cost - $345,891)   405,149 
           
     CORPORATE BONDS - 78.6%           
     AEROSPACE/DEFENSE - 4.7%           
 141,000   Arconic, Inc.  6.150  8/15/2020   146,816 
                 
     BANKS - 3.9%           
 119,000   Bank of America Corp.  7.625  6/1/2019   122,685 
                 
     BIOTECHNOLOGY - 5.5%           
 45,000   Amgen, Inc.  5.700  2/1/2019   45,478 
 126,000   Celgene Corp.  2.250  5/15/2019   125,577 
               171,055 
     COMMERCIAL SERVICES - 7.8%           
 145,000   Quad Graphics, Inc.  7.000  5/1/2022   147,537 
 95,000   Western Union Co.  3.350  5/22/2019   95,212 
               242,749 
     COMPUTERS - 4.2%           
 130,000   HP, Inc.  2.750  1/14/2019   130,062 
                 
     DIVERSIFIED FINANCIAL SERVICES - 10.1%        
 115,000   Ally Financial, Inc.  4.625  5/19/2022   116,148 
 200,000   Synchrony Financial  3.000  8/15/2019   199,635 
               315,783 
     HEALTHCARE-SERVICES - 4.8%           
 140,000   HCA, Inc.  5.875  3/15/2022   148,750 
                 
     INVESTMENT COMPANIES - 3.7%           
 115,000   PennantPark Investment Corp.  4.500  10/1/2019   115,634 
                 
     MINING - 1.6%           
 50,000   Freeport-McMoRan, Inc.  4.000  11/14/2021   49,813 
                 
     OIL & GAS - 8.9%           
 275,000   Nabors Industries, Inc.  5.000  9/15/2020   278,697 

 

 

CATALYST FUNDS
CATALYST INSIDER INCOME FUND
PORTFOLIO OF INVESTMENTS (Unaudited) (Continued)
September 30, 2018

 

Principal      Coupon Rate (%)  Maturity  Value 
     CORPORATE BONDS - 78.6% (Continued)          
     PHARMACEUTICALS - 5.4%           
$140,000   CVS Health Corp.  3.700  3/9/2023  $139,409 
 30,000   Mylan NV  2.500  6/7/2019   29,895 
               169,304 
     PIPELINES - 4.7%           
 146,000   SemGroup, Corp. / Rose Rock Finance, Corp.  5.625  7/15/2022   145,635 
                 
     RETAIL - 8.7%           
 145,000   Family Dollar Stores, Inc.  5.000  2/1/2021   149,531 
 120,000   Macy’s Retail Holdings, Inc.  3.875  1/15/2022   119,750 
               269,281 
     SOFTWARE - 4.6%           
 145,000   Fiserv, Inc.  2.700  6/1/2020   143,777 
                 
     TOTAL CORPORATE BONDS (Cost - $2,460,661)   2,450,041 
                 
     TOTAL INVESTMENTS - 91.6% (Cost - $2,806,552)  $2,855,190 
     OTHER ASSETS LESS LIABILITIES - 8.4%      262,310 
     NET ASSETS - 100.0%        $3,117,500 

 

 

CATALYST FUNDS
CATALYST SYSTEMATIC ALPHA FUND
CONSOLIDATED PORTFOLIO OF INVESTMENTS (Unaudited)
September 30, 2018

 

Shares      Value 
     EXCHANGE TRADED FUNDS - 63.8%     
     AGGREGATE BOND - 26.0%     
 3,000   First Trust Enhanced Short Maturity ETF  $180,060 
 3,500   Invesco Ultra Short Duration ETF   175,788 
 3,050   Janus Henderson Short Duration Income ETF   152,958 
 1,750   PIMCO Enhanced Short Maturity Active   177,835 
 1,600   Schwab U.S. Aggregate Bond ETF   80,400 
 2,300   Vanguard Short-Term Bond ETF   179,469 
         946,509 
     CORPORATE BOND - 23.1%     
 5,800   Invesco BulletShares 2020 Corporate Bond ETF   122,264 
 3,400   iShares Short-Term Corporate Bond ETF   176,222 
 3,500   iShares Floating Rate Bond ETF   178,570 
 3,600   iShares Short Maturity Bond ETF   180,666 
 2,300   Vanguard Short-Term Corporate Bond ETF   179,768 
         837,490 
     FIXED INCOME - 9.9%     
 7,800   Invesco Senior Loan ETF   180,726 
 3,800   SPDR Blackstone / GSO Senior Loan ETF   179,930 
         360,656 
     INDEX RELATED - 4.8%     
 3,300   SPDR Bloomberg Barclays Convertible Securities   178,002 
           
     TOTAL EXCHANGE TRADED FUNDS (Cost - $2,321,508)   2,322,657 
           
     OPEN ENDED FUND - 10.8%     
 31,523   AlphaCentric Income Opportunities Fund + (Cost - $387,719)   391,836 
           
     TOTAL INVESTMENTS - 74.6% (Cost - $2,709,227)  $2,714,493 
     OTHER ASSETS LESS LIABILITIES - (25.4)%   924,364 
     NET ASSETS - 100.0%  $3,638,857 
           
     TOTAL RETURN SWAPS - (6.8)%     

 

The BNP Paribas Catalyst Systematic Index (“BNP CASA Index”) is a rules based index designed to capitalize on structural inefficiencies and behavorial baises present within the equity, fixed income, commodity and currency markets. The BNP CASA Index is comprised of seven rules-based Index components created by BNP Paribas.

 

                        Unrealized 
       Notional      Expiration  Pay/Receive   Upfront  Appreciation/ 
Shares   Reference Entity  Amount   Counterparty  Date  Fixed Rate   Payments  Depreciation 
 1,262   BNP Paribas Catalyst Systematic Index  $2,470,250   BNP Paribas  12/24/2018   0.5000%  —  $(194,314)
 1,014   BNP Paribas Catalyst Systematic Index   1,779,750   BNP Paribas  2/12/2019   0.5000%  —   44,922 
 786   BNP Paribas Catalyst Systematic Index   1,400,000   BNP Paribas  3/1/2019   0.5000%  —   15,689 
                           $(133,703)

 

 

CATALYST FUNDS
CATALYST SYSTEMATIC ALPHA FUND
CONSOLIDATED PORTFOLIO OF INVESTMENTS (Unaudited) (Continued)
September 30, 2018
 
BNP Paribas Catalyst Systematic Index Swap Holdings Top 50 Holdings ^

 

                     Unrealized     
                     Appreciation/     
Long Contracts      Counterparty  Notional Amount   Maturity      (Depreciation)   Weighted% 
                           
     OPEN LONG FUTURES CONTRACTS               
 38   E10 Future  BNP Paribas  $6,971,184   December-18       $(86,283)   15.30%
 5   ICE Brent Crude Future  BNP Paribas   402,943   December-18        27,748    0.88%
 3   ICE Brent Crude Future  BNP Paribas   244,235   May-19        15,465    0.54%
 1   JGB Future  BNP Paribas   1,733,085   December-18        (1,961)   3.80%
 14   LME Aluminium HG Future  BNP Paribas   732,918   January-19        (25,267)   1.61%
 2   LME Copper Future  BNP Paribas   263,103   January-19        12,272    0.58%
 4   LME Nickel Future  BNP Paribas   320,000   March-19        (5,701)   0.70%
 10   LME Zinc Future  BNP Paribas   673,385   January-19        43,444    1.48%
 30   Nikkei Future  BNP Paribas   3,176,540   December-18        205,187    6.97%
 248   NYMEX Heating Oil Future  BNP Paribas   243,982   March-19        12,088    0.54%
 185   NYMEX Heating Oil Future  BNP Paribas   181,289   April-19        9,338    0.40%
 13   NYMEX Natural Gas Future  BNP Paribas   354,528   April-19        (8,651)   0.78%
 19   NYMEX Natural Gas Future  BNP Paribas   546,698   March-19        (2,131)   1.20%
 6   NYMEX WTI Crude Future  BNP Paribas   372,426   June-20        23,874    0.82%
 24   S&P 500 Future  BNP Paribas   3,462,221   December-18        14,890    7.60%
     NET UNREALIZED GAIN FROM OPEN LONG FUTURE CONTRACTS       234,312      
                                
Short Contracts                              
     OPEN SHORT FUTURES CONTRACTS                   
 (41)  10 Year US Future  BNP Paribas   (4,875,273)  December-18        60,173    10.70%
 (19)  CBOE VIX Future  BNP Paribas   (270,010)  October-18        21,352    0.59%
 (253)  CMX Copper Future  BNP Paribas   (176,938)  December-18        (8,877)   0.39%
 (7)  CMX Gold Future  BNP Paribas   (888,294)  December-18        7,729    1.95%
 (7)  Emerging Future  BNP Paribas   (347,074)  December-18        2,950    0.76%
 (48)  Eurostoxx 50 Future  BNP Paribas   (1,874,695)  December-18        (8,898)   4.11%
 (10)  HSCEI Future  BNP Paribas   (703,926)  October-18        (13,289)   1.54%
 (4)  ICE Brent Crude Future  BNP Paribas   (321,639)  January-19        (21,309)   0.71%
 (3)  ICE Brent Crude Future  BNP Paribas   (244,458)  March-19        (15,632)   0.54%
 (13)  LME Aluminium HG Future  BNP Paribas   (678,308)  November-18        17,875    1.49%
 (4)  LME Nickel Future  BNP Paribas   (302,244)  November-18        1,856    0.66%
 (10)  LME Zinc Future  BNP Paribas   (645,976)  November-18        (49,266)   1.42%
 (147)  NYMEX Heating Oil Future  BNP Paribas   (145,452)  November-18        (6,638)   0.32%
 (247)  NYMEX Heating Oil Future  BNP Paribas   (244,012)  January-19        (11,509)   0.54%
 (8)  NYMEX Natural Gas Future  BNP Paribas   (242,747)  November-18        (5,699)   0.53%
 (17)  NYMEX Natural Gas Future  BNP Paribas   (548,871)  January-19        (9,694)   1.20%
 (4)  NYMEX WTI Crude Future  BNP Paribas   (301,341)  November-18        (16,855)   0.66%
     NET UNREALIZED LOSS FROM OPEN SHORT FUTURE CONTRACTS   (55,730)     
                                
                   Exercise           
Contracts                 Price   Value      
     OPTIONS WRITTEN                    
     CALL OPTIONS WRITTEN                   
 48   S&P 500 Index  BNP Paribas   142,311   10/12/2018  $2,976.78   $60    0.31%
 47   S&P 500 Index  BNP Paribas   142,690   10/12/2018   3,033.37    13    0.31%
 49   S&P 500 Index  BNP Paribas   149,337   10/12/2018   3,049.39    10    0.33%
 48   S&P 500 Index  BNP Paribas   140,598   10/19/2018   2,907.95    1,354    0.31%
 48   S&P 500 Index  BNP Paribas   139,462   10/19/2018   2,930.75    699    0.31%
 50   S&P 500 Index  BNP Paribas   147,716   10/19/2018   2,980.65    120    0.32%
 49   S&P 500 Index  BNP Paribas   146,522   10/19/2018   3,004.02    67    0.32%
 46   S&P 500 Index  BNP Paribas   139,537   10/19/2018   3,049.53    24    0.31%
 51   S&P 500 Index  BNP Paribas   155,010   10/19/2018   3,053.35    25    0.34%
 50   S&P 500 Index  BNP Paribas   153,756   10/19/2018   3,077.29    16    0.34%
 47   S&P 500 Index  BNP Paribas   138,319   10/26/2018   2,914.00    1,395    0.30%
 49   S&P 500 Index  BNP Paribas   145,321   10/26/2018   2,986.85    158    0.32%
 46   S&P 500 Index  BNP Paribas   138,265   10/26/2018   2,988.45    142    0.30%
 47   S&P 500 Index  BNP Paribas   144,175   10/26/2018   3,051.27    35    0.32%
 50   S&P 500 Index  BNP Paribas   152,496   10/26/2018   3,059.70    32    0.33%
 47   S&P 500 Index  BNP Paribas   145,092   10/26/2018   3,061.34    29    0.32%
 47   S&P 500 Index  BNP Paribas   144,692   10/26/2018   3,065.34    27    0.32%
 46   S&P 500 Index  BNP Paribas   140,071   10/26/2018   3,076.15    22    0.31%
     TOTAL CALL OPTIONS WRITTEN           4,228      
                        
     TOTAL OPTIONS WRITTEN           4,228      

 

^The make up of the underlying index and the total positions will not correlate to the unrealized for the total return swaps due to timing of contracts opened and closed in the index.

 

 

CATALYST FUNDS
CATALYST IPOx ALLOCATION FUND
PORTFOLIO OF INVESTMENTS (Unaudited)
September 30, 2018

 

Shares      Value 
     COMMON STOCK - 97.0%     
     ADVERTISING - 0.3%     
 60   Trade Desk, Inc. *  $9,055 
           
     AIRLINES - 0.7%     
 200   Alaska Air Group, Inc.   13,772 
 500   Mesa Air Group, Inc. *   6,930 
         20,702 
     APPAREL - 0.7%     
 200   Farfetch Ltd. *   5,446 
 637   Under Armour, Inc. *   13,517 
         18,963 
     AUTO MANUFACTURERS - 2.4%     
 3,363   Fiat Chrysler Automobiles NV *   58,886 
 1,000   NIO, Inc. - ADR *   6,980 
         65,866 
     AUTO PARTS & EQUIPMENT - 0.3%     
 136   Veoneer, Inc. *   7,489 
           
     BANKS - 1.2%     
 375   Amalgamated Bank *   7,234 
 90   Bank of NT Butterfield & Son Ltd.   4,667 
 304   Bank7 Corp. *   5,852 
 500   Capital Bancorp, Inc. *   6,360 
 352   Coastal Financial Corp. *   5,984 
 95   Great Western Bancorp, Inc.   4,008 
         34,105 
     BEVERAGES - 0.2%     
 250   Keurig Dr Pepper, Inc.   5,793 
           
     BIOTECHNOLOGY - 8.0%     
 270   Allakos, Inc. *   12,147 
 84   Argenx SE - ADR *   6,371 
 330   Arvinas, Inc. *   5,567 
 205   Avrobio, Inc. *   10,633 
 333   ElectroCore LLC *   4,662 
 140   FibroGen, Inc. *   8,505 
 300   Kezar Life Sciences, Inc. *   6,423 
 461   Liquidia Technologies, Inc.   12,645 
 395   MeiraGTx Holdings plc *   5,372 
 375   Replimune Group, Inc. *   6,038 
 250   Rubius Therapeutics, Inc. *   6,000 
 524   Shire PLC - ADR   94,986 
 428   Translate Bio, Inc. *   4,280 
 476   UNITY Biotechnology, Inc. *   7,754 
 597   Unum Therapeutics, Inc. *   6,149 
 700   Urovant Sciences Ltd. *   8,400 
 500   Vaccinex, Inc.   3,460 
 500   Y-mAbs Therapeutics, Inc.   13,280 
         222,672 
     CHEMICALS - 0.5%     
 71   Ingevity Corp. *   7,233 
 169   Versum Materials, Inc.   6,086 
         13,319 
     COAL - 0.1%     
 89   Warrior Met Coal, Inc.   2,407 

 

 

CATALYST FUNDS
CATALYST IPOx ALLOCATION FUND
PORTFOLIO OF INVESTMENTS (Unaudited) (Continued)
September 30, 2018

 

Shares      Value 
     COMMON STOCK - 97.0% (Continued)     
     COMMERCIAL SERVICES - 15.4%     
 310   Arlo Technologies, Inc. *  $4,498 
 486   Cango, Inc. - ADR *   5,506 
 124   Evo Payments, Inc. *   2,964 
 107   HealthEquity, Inc. *   10,102 
 454   I3 Verticals, Inc. *   10,433 
 672   IHS Markit Ltd. *   36,261 
 2,031   PayPal Holdings, Inc. *   178,403 
 708   Square, Inc. *   70,099 
 334   TransUnion   24,576 
 197   United Rentals, Inc. *   32,229 
 534   Worldpay, Inc. *   54,078 
         429,149 
     COMPUTERS - 5.3%     
 332   Conduent, Inc. *   7,477 
 562   DXC Technology Co.   52,558 
 238   Endava PLC - ADR *   6,890 
 2,526   Hewlett Packard Enterprise Co.   41,199 
 104   Lumentum Holdings, Inc. *   6,235 
 178   Nutanix, Inc. *   7,604 
 281   Perspecta, Inc.   7,227 
 427   Pure Storage, Inc. *   11,081 
 180   Tenable Holdings, Inc.*   6,998 
         147,269 
     DISTRIBUTION/WHOLESALE - 0.2%     
 65   SiteOne Landscape Supply, Inc. *   4,897 
           
     DIVERSIFIED FINANCIAL SERVICES - 2.6%     
 285   First Western Financial, Inc.*   4,985 
 105   Focus Financial Partners, Inc. *   4,983 
 93   Hamilton Lane, Inc.   4,118 
 639   Santander Consumer USA Holdings, Inc.   12,805 
 1,372   Synchrony Financial   42,642 
 419   X Financial - ADR *   3,788 
         73,321 
     ELECTRIC - 1.1%     
 550   Evergy, Inc.   30,206 
           
     ELECTRONICS - 3.9%     
 705   Fortive Corp.   59,361 
 372   Keysight Technologies, Inc. *   24,656 
 400   ShotSpotter, Inc. *   24,516 
         108,533 
     ENTERTAINMENT - 0.4%     
 38   Madison Square Garden Co. *   11,982 
           
     FOOD - 8.8%     
 765   General Mills, Inc.   32,834 
 270   Hershey Co.   27,540 
 1,890   Kraft Heinz Co.   104,158 
 237   Lamb Weston Holdings, Inc.   15,784 
 207   Pinnacle Foods, Inc.   13,416 
 685   Tyson Foods, Inc.   40,778 
 344   US Foods Holding Corp. *   10,602 
         245,112 

 

 

CATALYST FUNDS
CATALYST IPOx ALLOCATION FUND
PORTFOLIO OF INVESTMENTS (Unaudited) (Continued)
September 30, 2018

 

Shares      Value 
     COMMON STOCK - 97.0% (Continued)     
     HEALTHCARE-PRODUCTS - 6.5%     
 274   Inspire Medical Systems, Inc. *  $11,530 
 59   Penumbra, Inc. *   8,832 
 325   RA Medical Systems, Inc. *   5,915 
 410   Sytrker Corp.   72,849 
 335   Thermo Fisher Scientific, Inc.   81,767 
         180,893 
     HEALTHCARE-SERVICES - 2.4%     
 347   IQVIA Holdings, Inc. *   45,020 
 60   Medpace Holdings, Inc. *   3,595 
 240   Neuronetics, Inc. *   7,694 
 130   Teladoc, Inc. *   11,225 
         67,534 
     HOME FURNISHINGS - 0.2%     
 394   Sonos, Inc. *   6,320 
           
     HOUSEHOLD PRODUCTS/WARES - 0.2%     
 700   Viomi Technology Co. Ltd. - ADR *   6,300 
           
     INSURANCE - 1.4%     
 966   AXA Equitable Holdings, Inc.   20,721 
 541   Goosehead Insurance, Inc. *   18,323 
         39,044 
     INTERNET - 9.6%     
 290   111, Inc. - ADR *   3,921 
 147   Bandwidth, Inc. *   7,875 
 172   Cargurus, Inc. *   9,579 
 197   CDW Corp.   17,517 
 156   Eventbrite, Inc. *   5,923 
 330   GoDaddy, Inc. *   27,519 
 132   GrubHub, Inc. *   18,298 
 510   Match Group, Inc. *   29,534 
 70   Q2 Holdings, Inc. *   4,238 
 2,160   Snap, Inc. *   18,317 
 178   Spotify Technology SA *   32,188 
 158   Stitch Fix, Inc. *   6,916 
 971   Twitter, Inc. *   27,634 
 516   Uxin Ltd. - ADR *   3,504 
 325   Pinduoduo, Inc. - ADR *   8,544 
 170   Wayfair, Inc. *   25,104 
 184   Zendesk, Inc. *   13,064 
 244   Zscaler, Inc. *   9,950 
         269,625 
     LEISURE TIME - 0.3%     
 161   Planet Fitness, Inc. *   8,699 
           
     MACHINERY-CONSTRUCTION & MINING - 0.1%     
 120   Bloom Energy Corp. *   4,090 
           
     MACHINERY-DIVERSIFIED - 0.5%     
 105   Cactus, Inc. *   4,019 
 465   Gates Industrial Corp. PLC *   9,068 
         13,087 

 

 

CATALYST FUNDS
CATALYST IPOx ALLOCATION FUND
PORTFOLIO OF INVESTMENTS (Unaudited) (Continued)
September 30, 2018

 

Shares      Value 
     COMMON STOCK - 97.0% (Continued)     
     MEDIA - 2.9%     
 1,325   Altice USA, Inc.  $24,035 
 11   Cable One, Inc.   9,720 
 580   Liberty Media Corp-Liberty SiriusXM *   25,195 
 490   Liberty Media Corp-Liberty SiriusXM *   21,290 
         80,240 
     OIL & GAS - 0.1%     
 162   Berry Petroleum Corp.   2,854 
           
     OIL & GAS SERVICES - 0.4%     
 125   Apergy Corp. *   5,445 
 208   KLX Energy Services Holdings, Inc. *   6,658 
         12,103 
     PHARMACEUTICALS - 4.9%     
 858   AbbVie, Inc.   81,150 
 178   Elanco Animal Health, Inc. *   6,211 
 466   Entasis Therapeutics Holdings, Inc. *   5,070 
 468   Gritstone Oncology, Inc. *   6,664 
 109   PRA Health Sciences, Inc. *   12,011 
 210   Principia Biopharma, Inc. *   6,136 
 500   Sutro Biopharma, Inc. *   7,500 
 262   Tricida, Inc. *   8,004 
 285   Verrica Pharmaceuticals, Inc. *   4,631 
         137,377 
     REAL ESTATE - 0.4%     
 500   Essential Properties Realty Trust, Inc.   7,095 
 300   Cushman & Wakefield PLC *   5,097 
         12,192 
     REITS - 1.8%     
 382   Americold Realty Trust   9,558 
 190   JBG Smith Properties   6,998 
 442   MGM Growth Properties LLC   13,034 
 700   Spirit MTA REIT   8,064 
 330   Store Capital Corp.   9,171 
 167   VICI Properties, Inc.   3,610 
         50,435 
     RETAIL - 2.3%     
 213   BJ’s Wholesale Club Holdings, Inc. *   5,704 
 89   Burlington Stores, Inc. *   14,500 
 225   Carvana Co. *   13,295 
 403   Hudson Ltd. *   9,092 
 125   National Vision Holdings, Inc. *   5,643 
 118   Ollie’s Bargain Outlet Holdings, Inc. *   11,340 
 75   Wingstop, Inc.   5,120 
         64,694 

 

 

CATALYST FUNDS 
CATALYST IPOx ALLOCATION FUND 
PORTFOLIO OF INVESTMENTS (Unaudited) (Continued) 
September 30, 2018

 

Shares      Value 
     COMMON STOCK - 97.0% (Continued)     
     SOFTWARE - 7.2%     
 109   Altair Engineering, Inc. *  $4,736 
 97   Alteryx, Inc. *   5,549 
 100   Appian Corp. *   3,310 
 250   Arco Platform Ltd. *   5,700 
 167   Avalara, Inc. *   5,833 
 265   Black Knight, Inc. *   13,767 
 87   Blackline, Inc. *   4,913 
 609   CooTek Cayman, Inc. - ADR *   5,749 
 123   Coupa Software, Inc. *   9,729 
 400   Domo, Inc. *   8,580 
 302   Dropbox, Inc. *   8,103 
 1,640   First Data Corp. *   40,131 
 63   HubSpot, Inc. *   9,510 
 402   HUYA, Inc. - ADR *   9,479 
 441   LAIX, Inc. - ADR *   5,535 
 101   MongoDB, Inc. *   8,237 
 98   New Relic, Inc. *   9,235 
 96   Paycom Software, Inc. *   14,919 
 150   Pluralsight, Inc. *   4,800 
 526   Qutoutiao, Inc. - ADR *   3,750 
 143   SailPoint Technologies Holding, Inc. *   4,865 
 161   Smartsheet, Inc. *   5,033 
 348   SVMK, Inc. *   5,578 
 154   Zuora, Inc. *   3,559 
         200,600 
     TELECOMMUNICATIONS - 3.3%     
 275   Liberty Latin America Ltd.*   5,673 
 1,625   Verizon Communications, Inc.   86,759 
         92,432 
     TRANSPORTATION - 0.4%     
 268   Schneider National, Inc.   6,695 
 368   US Xpress Enerprises, Inc. *   5,078 
         11,773 
           
     TOTAL COMMON STOCK (Cost - $2,570,795)   2,711,132 
           
     TOTAL INVESTMENTS - 97.0% (Cost - $2,570,795)  $2,711,132 
     OTHER ASSETS LESS LIABILITIES - 3.0%   82,866 
     NET ASSETS - 100.0%  $2,793,998 

 

ADR - American Depositary Receipt
 
LLC - Limited Liability Company
 
PLC - Public Liability Company
 
REIT - Real Estate Investment Trust
 
*     Non-income producing security.

 

 

CATALYST FUNDS
CATALYST MACRO STRATEGY FUND
CONSOLIDATED PORTFOLIO OF INVESTMENTS (Unaudited)
September 30, 2018

 

Contracts (a)      Counterparty  Notional Amount   Exercise Price   Expiration Date  Value 
     OPTIONS PURCHASED - 53.1% *                     
     PUT OPTIONS PURCHASED - 40.4%                     
 10   Direxion Daily 20 Year Plus Tr Bear 3x Shares ETF  Interactive Brokers  $25,000   $25.00   2/15/2019  $4,450 
 12   Direxion Daily Small Cap Bear 3x Shares ETF  Interactive Brokers   12,000    10.00   1/18/2019   2,340 
 1   Direxion Daily Small Cap Bear 3x Shares ETF  Interactive Brokers   1,100    11.00   1/17/2020   358 
 54   Direxion Daily Small Cap Bear 3x Shares ETF  Interactive Brokers   64,800    12.00   1/17/2020   24,705 
 555   Direxion Daily Small Cap Bear 3x Shares ETF  Interactive Brokers   888,000    16.00   1/17/2020   468,975 
 35   ProShares UltraPro Short Dow30  Interactive Brokers   70,000    20.00   10/19/2018   19,950 
 105   ProShares UltraPro Short Dow30  Interactive Brokers   252,000    24.00   3/15/2019   103,950 
 401   ProShares UltraPro Short QQQ  Interactive Brokers   481,200    12.00   1/17/2020   138,345 
 301   ProShares UltraPro Short QQQ  Interactive Brokers   391,300    13.00   1/17/2020   114,380 
 251   ProShares UltraPro Short QQQ  Interactive Brokers   351,400    14.00   1/17/2020   121,108 
 314   ProShares UltraPro Short QQQ  Interactive Brokers   471,000    15.00   1/17/2020   175,840 
 234   ProShares UltraPro Short QQQ  Interactive Brokers   374,400    16.00   1/17/2020   155,610 
 189   ProShares UltraPro Short QQQ  Interactive Brokers   434,700    23.00   1/17/2020   244,755 
 187   ProShares UltraPro Short QQQ  Interactive Brokers   467,500    25.00   1/17/2020   276,760 
 139   ProShares UltraPro Short S&P500  Interactive Brokers   139,000    10.00   1/18/2019   17,028 
 199   ProShares UltraPro Short S&P500  Interactive Brokers   298,500    15.00   1/18/2019   139,300 
 59   ProShares UltraPro Short S&P500  Interactive Brokers   64,900    11.00   1/17/2020   22,715 
 97   ProShares UltraPro Short S&P500  Interactive Brokers   145,500    15.00   1/17/2020   72,750 
 87   ProShares UltraPro Short S&P500  Interactive Brokers   174,000    20.00   1/17/2020   104,400 
 190   ProShares UltraShort S&P500 SDS  Interactive Brokers   950,000    50.00   1/18/2019   325,850 
 221   ProShares UltraShort S&P500 SDS  Interactive Brokers   884,000    40.00   1/18/2019   163,761 
 297   ProShares UltraShort S&P500 SDS  Interactive Brokers   1,039,500    35.00   1/18/2019   92,070 
 202   ProShares UltraShort S&P500 SDS  Interactive Brokers   1,010,000    50.00   1/17/2020   364,105 
 225   ProShares UltraShort S&P500 SDS  Interactive Brokers   900,000    40.00   1/17/2020   216,562 
 722   ProShares UltraShort QQQ  Interactive Brokers   722,000    10.00   1/17/2020   152,342 
 285   ProShares UltraShort QQQ  Interactive Brokers   313,500    11.00   1/17/2020   68,400 
 208   ProShares UltraShort QQQ  Interactive Brokers   249,600    12.00   1/17/2020   70,720 
 194   ProShares UltraShort QQQ  Interactive Brokers   252,200    13.00   1/17/2020   64,117 
 169   ProShares UltraShort QQQ  Interactive Brokers   236,600    14.00   1/17/2020   87,457 
 355   ProShares UltraShort QQQ  Interactive Brokers   532,500    15.00   1/17/2020   210,337 
 2,193   ProShares UltraShort QQQ  Interactive Brokers   1,754,400    8.00   1/17/2020   109,650 
 804   ProShares UltraShort QQQ  Interactive Brokers   723,600    9.00   1/17/2020   112,560 
     TOTAL PUT OPTIONS PURCHASED (Cost - $3,563,558)                4,245,650 
                           
     CALL OPTIONS PURCHASED - 12.7%                  
 5   Adobe Systems, Inc.  Interactive Brokers   90,000    180.00   10/19/2018   45,250 
 24   Adobe Systems, Inc.  Interactive Brokers   456,000    190.00   10/19/2018   192,960 
 15   Amgen, Inc.  Interactive Brokers   285,000    190.00   1/18/2019   30,900 
 130   Blackline, Inc.  Interactive Brokers   520,000    40.00   11/16/2018   219,700 
 45   Consumer Staples Select Sector  Interactive Brokers   270,000    60.00   1/18/2019   248 
 55   Consumer Staples Select Sector  Interactive Brokers   335,500    61.00   1/18/2019   220 
 60   Consumer Staples Select Sector  Interactive Brokers   372,000    62.00   1/18/2019   240 
 12   Domino’s Pizza, Inc.  Interactive Brokers   216,000    180.00   1/17/2020   148,260 
 10   Foot Locker, Inc.  Interactive Brokers   73,000    73.00   1/18/2019   200 
 5   Garmin Ltd.  Interactive Brokers   30,000    60.00   1/18/2019   5,400 
 10   JetBlue Airways Corp.  Interactive Brokers   17,000    17.00   1/18/2019   2,825 
 15   JM Smucker Co.  Interactive Brokers   210,000    140.00   1/18/2019   113 
 6   Lowe’s Companies, Inc.  Interactive Brokers   42,000    70.00   1/17/2020   28,125 
 5   Mastercard, Inc.  Interactive Brokers   70,000    140.00   1/18/2019   41,840 
 3   Mastercard, Inc.  Interactive Brokers   36,000    120.00   1/17/2020   32,400 
 39   Microsoft Corp.  Interactive Brokers   273,000    70.00   1/18/2019   172,088 
 34   Microsoft Corp.  Interactive Brokers   204,000    60.00   1/17/2020   187,085 
 2   MKS Instruments, Inc.  Interactive Brokers   17,000    85.00   10/19/2018   150 
 25   Molson Coors Brewing Co.  Interactive Brokers   237,500    95.00   1/18/2019   62 
 29   PPL Corp.  Interactive Brokers   107,300    37.00   1/17/2020   580 

 

 

CATALYST FUNDS
CATALYST MACRO STRATEGY FUND
CONSOLIDATED PORTFOLIO OF INVESTMENTS (Unaudited) (Continued)
September 30, 2018

 

Contracts (a)      Counterparty  Notional Amount   Exercise Price   Expiration Date  Value 
     OPTIONS PURCHASED - 53.1% * (Continued)          
     CALL OPTIONS PURCHASED - 12.7% (Continued)          
 15   Proctor & Gamble Co.  Interactive Brokers  $150,000.00   $100.00   1/18/2019  $75.00 
 19   Proctor & Gamble Co.  Interactive Brokers   199,500    105.00   1/18/2019   76 
 45   Proctor & Gamble Co.  Interactive Brokers   495,000    110.00   1/18/2019   68 
 15   Proctor & Gamble Co.  Interactive Brokers   142,500    95.00   1/18/2019   195 
 514   ProShares Short VIX Short-Term  Interactive Brokers   3,598,000    70.00   1/18/2019   257 
 252   ProShares Short VIX Short-Term  Interactive Brokers   2,520,000    100.00   1/18/2019   252 
 46   RingCentral, Inc.  Interactive Brokers   253,000    55.00   10/19/2018   177,330 
 11   Ross Stores, Inc.  Interactive Brokers   66,000    60.00   1/17/2020   45,430 
 10   Southwestern Energy Co.  Interactive Brokers   10,000    10.00   1/18/2019   20 
     TOTAL CALL OPTIONS PURCHASED (Cost - $3,739,241)     1,332,349 
                           
     TOTAL OPTIONS PURCHASED (Cost - $7,302,799)     5,577,999 
                           
     TOTAL INVESTMENTS - 53.1% (Cost - $7,302,799)    $5,577,999 
     OTHER ASSETS LESS LIABILITES 46.9%     4,930,147 
     NET ASSETS - 100.0%                  $10,508,146 
                           
Contracts (a)      Counterparty  Notional Amount   Exercise Price   Expiration Date  Value 
     OPTIONS WRITTEN - (9.7)% *                     
     PUT OPTIONS WRITTEN - (0.0)%          
 1   Direxion Daily Small Cap Bear 3x Shares ETF  Interactive Brokers  $1,000   $10.00   1/17/2020  $282 
     TOTAL PUT OPTIONS WRITTEN (Premiums Received - $220)        282 
                           
     CALL OPTIONS WRITTEN - (9.7)%          
 16   Amgen, Inc.  Interactive Brokers  $336,000.00   $210.00   1/18/2019  $12,000 
 1,544   Direxion Daily Brazil Bull 3x Shares ETF  Interactive Brokers   4,632,000    30.00   12/21/2018   231,600 
 200   Direxion Daily Brazil Bull 3x Shares ETF  Interactive Brokers   800,000    40.00   12/21/2018   7,000 
 25   Direxion Daily Energy Bull 3x Shares ETF  Interactive Brokers   125,000    50.00   1/18/2019   1,562 
 5   Direxion Daily Energy Bull 3x Shares ETF  Interactive Brokers   27,500    55.00   1/18/2019   187 
 216   Direxion Daily FTSE China Bull  Interactive Brokers   518,400    24.00   1/18/2019   64,800 
 131   Direxion Daily FTSE China Bull  Interactive Brokers   419,200    32.00   1/18/2019   10,480 
 426   Direxion Daily FTSE China Bull 3x Shares ETF  Interactive Brokers   1,107,600    26.00   1/18/2019   91,590 
 796   Direxion Daily FTSE China Bull 3x Shares ETF  Interactive Brokers   2,228,800    28.00   1/18/2019   125,370 
 241   Direxion Daily FTSE China Bull 3x Shares ETF  Interactive Brokers   723,000    30.00   1/18/2019   28,920 
 70   Direxion Daily Russia Bill 3x Shares ETF  Interactive Brokers   245,000    35.00   8/17/2018   62,650 
 263   Direxion Daily Russia Bill 3x Shares ETF  Interactive Brokers   1,052,000    40.00   12/21/2018   152,540 
 12   Domino’s Pizza, Inc.  Interactive Brokers   360,000    300.00   12/21/2018   15,600 
 5   Garmin Ltd.  Interactive Brokers   35,000    70.00   1/18/2019   1,445 
 10   JetBlue Airways Corp.  Interactive Brokers   22,000    22.00   1/18/2019   300 
 15   JM Smucker Co.  Interactive Brokers   217,500    145.00   1/18/2019   188 
 25   Molson Coors Bewing Co.  Interactive Brokers   250,000    100.00   1/18/2019   63 
 338   ProShares Short VIX Short-Term  Interactive Brokers   5,408,000    160.00   1/18/2019   338 
 10   Southwestern Energy Co.  Interactive Brokers   17,000    17.00   1/18/2019   10 
 487   United States Natural Gas Fund  Interactive Brokers   1,022,700    21.00   1/18/2019   208,193 
     TOTAL CALL OPTIONS WRITTEN - (Premiums Received - $1,664,681)        1,014,836 
                           
     TOTAL OPTIONS WRITTEN - (Premiums Received - $1,664,901)    $1,015,118 
                           

 

                        Unrealized 
TOTAL RETURN SWAPS ~     Notional Amount at      Termination  Upfront   Appreciation/ 
Shares   Reference Entity  Counterparty  September 30, 2018   Interest Rate  Date  Payments   (Depreciation) 
 19,114   BNP Paribas 1M STEER USD Excess Return Index  BNP Paribas SA  $2,500,000   0.040%  12/12/2018  $—   $(31,243)
 32,873   BNP Paribas Air T-Note ER Index  BNP Paribas SA   4,000,000   0.150% - 0.350%  10/28/2018   —    8,149 
 40,449   BNP Paribas Credit Time Series Momentum Europe ER Index #  BNP Paribas SA   7,450,835   0.190%  12/12/2018   —    (103,196)
 55,669   BNP Paribas Credit Time Series Momentum US ER Index  BNP Paribas SA   7,500,000   0.160%  12/12/2018   —    184,593 
 30,999   BNP Paribas DR Alpha ex-Agriculture and Livestock Index  BNP Paribas SA   9,299,998   0.350%  10/1/2018   —    (232,401)
 15,289   BNP Paribas High Yield Europe 5Y Credit Index #  BNP Paribas SA   4,465,832   0.105% - 0.460%  12/12/2018   —    70,280 
 22,244   BNP Paribas High Yield US 5Y Credit Index  BNP Paribas SA   4,500,000   0.100% - 0.320%  12/12/2018   —    106,858 
 283   BNP Paribas Multi-Asset Diversified vol 16 USD FX Hedged Future Index  BNP Paribas SA   3,299,971   0.120%  10/8/2018   —    118,858 
 15,095   BNP Paribas US All Maturity Treasury Aggregate Total Return Index  BNP Paribas SA   2,512,031   3-month USD LIBOR - 0.122%  10/31/2018   —    (14,414)
 10,401   BNP Paribas US TIPS Total Return Index  BNP Paribas SA   1,806,022   3-month USD LIBOR - 0.123%  10/31/2018   —    (13,384)
 12,051   BNP Paribas World Inflation-linked Bond Total Return Index  BNP Paribas SA   2,027,065   3-month USD LIBOR + 0.082%  10/31/2018   —    (21,825)
     TOTAL TOTAL RETURN SWAPS             72,275 

 

ETF - Exchange Traded Fund

 

LLC - Limited Liability Company 

 

 *Non-income producing security.

 

**Rate shown represents the rate at September 30, 2018, is subject to change and resets daily.

 

+All or a portion of security held as collateral for open options contracts.

 

~All or a portion of this investment is a holding of the CMSF Fund Limited CFC.

 

#Holdings are held in foreign currency and have been converted to USD.

 

(a)Each contract is equivalent to 100 shares of the underlying common stock.

 

 

CATALYST FUNDS
CATALYST MACRO STRATEGY FUND
CONSOLIDATED PORTFOLIO OF INVESTMENTS (Unaudited) (Continued)
September 30, 2018

 

BNP Paribas 1M STEER USD Excess Return Index Total Return Swap Holdings ^ 
  
FORWARD FOREIGN CURRENCY CONTRACTS 
  
         Currency           Unrealized 
         Amount           Appreciation/ 
Foreign Currency  Counterparty  Settlement Date  Purchased   Cost (US $)   Fair Value*   (Depreciation)* 
Australian Dollar  BNP Paribas  10/4/2018   379,257.86    272,401.96   $274,416.77   $2,014.81 
British Pound  BNP Paribas  10/4/2018   525,948.15    675,811.81    686,041.51    10,229.69 
Japanese Yen  BNP Paribas  10/4/2018   15,574,814.80    140,216.25    137,208.40    (3,007.85)
New Zealand Dollar  BNP Paribas  10/4/2018   2,234,046.23    265,761.41    274,416.78    8,655.37 
Swedish Krona  BNP Paribas  10/4/2018   2,439,239.21    268,148.45    274,416.62    6,268.17 
                           

  

BNP Paribas Air T-Note ER Index Total Return Swap Holdings ^ 
  
CALL OPTIONS WRITTEN 
                           
          Notional Value                
          at September                
Contracts (a)      Counterparty  30, 2018   Exercise Price   Expiration Date  Weighted %   Value 
 (1,695)  10 Year US Treasury  BNP Paribas SA  $(201,282)  $118.50   Oct-18   1.26%  $— 
 (15,223)  10 Year US Treasury  BNP Paribas SA   (1,808,261)   119.00   Oct-18   11.31%   — 
 (21,936)  10 Year US Treasury  BNP Paribas SA   (2,605,526)   119.50   Oct-18   16.29%   — 
 (15,100)  10 Year US Treasury  BNP Paribas SA   (1,793,654)   120.00   Oct-18   11.22%   — 
 (10,030)  10 Year US Treasury  BNP Paribas SA   (1,191,344)   120.50   Oct-18   7.45%   — 
 (3,336)  10 Year US Treasury  BNP Paribas SA   (396,237)   121.00   Oct-18   2.48%   — 
                                
PUT OPTIONS WRITTEN 
                           
          Notional Value                
          at September                
Contracts (a)      Counterparty  30, 2018   Exercise Price   Expiration Date  Weighted %   Value 
 (1,695)  10 Year US Treasury  BNP Paribas SA  $(201,282)  $117.50   Oct-18   1.26%  $— 
 (15,223)  10 Year US Treasury  BNP Paribas SA   (1,808,261)   118.00   Oct-18   11.31%   — 
 (21,936)  10 Year US Treasury  BNP Paribas SA   (2,605,526)   118.50   Oct-18   16.29%   — 
 (15,100)  10 Year US Treasury  BNP Paribas SA   (1,793,654)   119.00   Oct-18   11.22%   — 
 (10,030)  10 Year US Treasury  BNP Paribas SA   (1,191,344)   119.50   Oct-18   7.45%   — 
 (3,336)  10 Year US Treasury  BNP Paribas SA   (396,237)   120.00   Oct-18   2.48%   — 
                                
SHORT FUTURES CONTRACTS 
                           
                         Unrealized 
          Notional Value              Appreciation/ 
Contracts   Description  Counterparty  at June 30, 2018       Expiration Date  Weighted %   (Depreciation) 
 (15,679)  CBT US 10 Year Note  BNP Paribas SA  $(1,862,388)       Dec-18   100.00%  $— 

 

^The make up of the underlying index and the total positions will not correlate to the unrealized presented for the total return swaps due to timing of contracts opened and closed in the index.

 

(a)Each contract is equivalent to 1000 shares of the underlying security

 

 

CATALYST FUNDS
CATALYST MACRO STRATEGY FUND
CONSOLIDATED PORTFOLIO OF INVESTMENTS (Unaudited) (Continued)
September 30, 2018

 

BNP Paribas Credit Time Series Momentum Europe ER Index Total Return Swap Holdings ^ 
                       
CDX SWAPS 
                       
                     Unrealized 
          Notional Value at          Appreciation/ 
Contracts      Counterparty  September 30, 2018   Expiration Date  Weighted %   (Depreciation) 
 (4,004)  Markit iTraxx Europe Crossover Index  BNP Paribas SA  $(315,513)  Dec-23   37.11%  $— 
 (1,705)  Markit iTraxx Europe Crossover Index  BNP Paribas SA   (534,753)  Dec-23   62.89%   — 
                           
BNP Paribas Credit Time Series Momentum US ER Index Total Return Swap Holdings ^ 
                       
CDX SWAPS 
                       
                     Unrealized 
          Notional Value at          Appreciation/ 
Contracts      Counterparty  September 30, 2018   Expiration Date  Weighted %   (Depreciation) 
 67,360   Markit CDX North America High Yield Index  BNP Paribas SA  $7,223,040   Dec-23   92.59%  $— 
 (9,661)  Markit CDX North America Investment Grade Index  BNP Paribas SA   (577,802)  Dec-23   7.41%   — 
                           
BNP Paribas DR Alpha ex-Agriculture and Livestock Index Total Return Swap Holdings ^ 
                       
LONG FUTURES CONTRACTS 
                       
                     Unrealized 
                     Appreciation/ 
Contracts      Counterparty  Notional Amount   Expiration Date  Weighted %   (Depreciation) 
 25   ICE Brent Crude  BNP Paribas SA  $1,658,406   May-20   9.30%  $— 
 824   NYMEX Heating Oil  BNP Paribas SA   807,276   Mar-19   4.53%   — 
 60   NYMEX Natural Gas  BNP Paribas SA   1,578,706   Mar-19   8.85%   — 
 22   HFKE Copper Mini  BNP Paribas SA   1,794,299   Oct-18   10.06%   — 
 16   HKFE Tin Mini  BNP Paribas SA   818,761   Jan-19   4.59%   — 
 7   LME Zinc  BNP Paribas SA   464,185   Jan-19   2.60%   — 
 7   LME Nickel  BNP Paribas SA   549,441   Dec-18   3.08%   — 
 7   LME Copper  BNP Paribas SA   1,171,594   Jan-19   6.57%   — 
                           
SHORT FUTURES CONTRACTS 
                       
                     Unrealized 
                     Appreciation/ 
Contracts      Counterparty  Notional Amount   Expiration Date  Weighted %   (Depreciation) 
 (23)  WTI Crude  BNP Paribas SA  $(1,689,529)  Sep-18   9.47%  $— 
 (827)  NY Harbor ULSD  BNP Paribas SA   (815,460)  Sep-18   4.57%   — 
 (8)  Gasoline RBOB  BNP Paribas SA   (6,979)  Sep-18   0.04%   — 
 (54)  Natural Gas  BNP Paribas SA   (1,633,814)  Sep-18   9.16%   — 
 (22)  Brent Crude  BNP Paribas SA   (1,807,512)  Sep-18   10.13%   — 
 (16)  LME Aluminum  BNP Paribas SA   (833,668)  Sep-18   4.67%   — 
 (7)  LME Zink  BNP Paribas SA   (474,507)  Sep-18   2.66%   — 
 (7)  LME Nickel  BNP Paribas SA   (553,996)  Sep-18   3.11%   — 
 (1,683)  Copper  BNP Paribas SA   (1,179,060)  Sep-18   6.61%   — 

 

^The make up of the underlying index and the total positions will not correlate to the unrealized presented for the total return swaps due to timing of contracts opened and closed in the index.

 

 

CATALYST FUNDS
CATALYST MACRO STRATEGY FUND
CONSOLIDATED PORTFOLIO OF INVESTMENTS (Unaudited) (Continued)
September 30, 2018

 

BNP Paribas High Yield Europe 5Y Credit Index Total Return Swap Holdings ^ 
                       
CDX SWAPS 
                       
                     Unrealized 
                     Appreciation/ 
Contracts      Counterparty  Notional Amount   Expiration Date  Weighted %   (Depreciation) 
 (2,000)  Markit iTraxx Europe Crossover Index  BNP Paribas SA  $(627,063)  Dec-23   100.00%  $— 
                           
BNP Paribas High Yield US 5Y Credit Index Total Return Swap Holdings ^ 
                       
CDX SWAPS 
                       
                     Unrealized 
                     Appreciation/ 
Contracts      Counterparty  Notional Amount   Expiration Date  Weighted %   (Depreciation) 
 46,113   Markit CDX North America High Yield Index  BNP Paribas SA  $4,944,709   Jun-23   100.00%  $— 
                           
BNP Paribas Multi-Asset Diversified vol 16 USD FX Hedged Future Index Total Return SWAP Holdings ^ 
                       
LONG FUTURES CONTRACTS 
                       
                     Unrealized 
                     Appreciation/ 
Contracts      Counterparty  Notional Amount   Expiration Date  Weighted %   (Depreciation) 
 137   CMX Copper  BNP Paribas SA  $96,256   Dec-18   0.58%  $— 
 1   CMX Silver  BNP Paribas SA   48,432   Dec-18   0.29%   — 
 41   Euro-Bund  BNP Paribas SA   7,638,953   Dec-18   46.38%   — 
 1   ICE Brent Crude  BNP Paribas SA   92,254   Jan-19   0.56%   — 
 1   Japanese 10-year Bond  BNP Paribas SA   1,899,097   Dec-18   11.53%   — 
 1   LME Aluminium HG  BNP Paribas SA   65,637   Nov-18   0.40%   — 
 1   LME Nickel  BNP Paribas SA   42,927   Nov-18   0.26%   — 
 1   LME Zinc  BNP Paribas SA   37,780   Nov-18   0.23%   — 
 33   Nikkei  BNP Paribas SA   3,480,820   Dec-18   21.13%   — 
 48   NYMEX Gasoline RBOB  BNP Paribas SA   38,097   Nov-18   0.23%   — 
 42   NYMEX Heating Oil  BNP Paribas SA   37,484   Nov-18   0.23%   — 
 5   NYMEX Natural Gas  BNP Paribas SA   136,050   Nov-18   0.83%   — 
 1   NYMEX WTI Crude  BNP Paribas SA   85,454   Nov-18   0.52%   — 
 26   S&P 500 E-mini  BNP Paribas SA   3,793,867   Dec-18   23.04%   — 
                           
SHORT FUTURES CONTRACTS 
                       
                     Unrealized 
                     Appreciation/ 
Contracts      Counterparty  Notional Amount   Expiration Date  Weighted %   (Depreciation) 
 (43)  10-Year US Treasury Note  BNP Paribas SA  $(5,098,717)  Dec-18   19.32%  $— 
 (8)  CMX Gold  BNP Paribas SA   (973,384)  Dec-18   3.69%   — 
 (52)  Euro STOXX 50  BNP Paribas SA   (2,054,272)  Dec-18   7.78%   — 
 (11)  HSCEI Index  BNP Paribas SA   (771,356)  Oct-18   2.92%   — 
 (7)  MSCI Emerging Markets  BNP Paribas SA   (380,321)  Dec-18   1.44%   — 

 

^The make up of the underlying index and the total positions will not correlate to the unrealized presented for the total return swaps due to timing of contracts opened and closed in the index.

 

 

CATALYST FUNDS
CATALYST MACRO STRATEGY FUND
CONSOLIDATED PORTFOLIO OF INVESTMENTS (Unaudited) (Continued)
September 30, 2018

 

BNP Paribas US All Maturity Treasury Aggregate Total Return Index Total Return Swap Top 50 Holdings ^ 
                  
LONG GOVERNMENT BONDS 
                  
Principal      Interest Rate  Maturity Date  Weighted %  Value 
 20,119   United States Treasury  2.875%  05/15/28  0.79%  $19,819 
 20,146   United States Treasury  2.000%  02/15/22  0.78%   19,568 
 18,677   United States Treasury  3.375%  11/15/19  0.75%   18,815 
 18,598   United States Treasury  3.625%  02/15/20  0.75%   18,815 
 19,814   United States Treasury  2.375%  05/15/27  0.75%   18,815 
 19,066   United States Treasury  2.000%  11/15/21  0.74%   18,564 
 19,794   United States Treasury  2.250%  08/15/27  0.74%   18,564 
 19,039   United States Treasury  2.750%  02/15/28  0.74%   18,564 
 19,073   United States Treasury  1.750%  05/15/22  0.73%   18,314 
 20,240   United States Treasury  1.625%  05/15/26  0.73%   18,314 
 19,792   United States Treasury  2.000%  11/15/26  0.73%   18,314 
 17,861   United States Treasury  3.500%  05/15/20  0.72%   18,063 
 18,124   United States Treasury  2.625%  08/15/20  0.72%   18,063 
 17,891   United States Treasury  2.625%  11/15/20  0.71%   17,812 
 17,507   United States Treasury  3.625%  02/15/21  0.71%   17,812 
 18,406   United States Treasury  2.125%  12/31/22  0.71%   17,812 
 17,446   United States Treasury  3.125%  05/15/21  0.70%   17,561 
 17,930   United States Treasury  2.125%  08/15/21  0.70%   17,561 
 18,435   United States Treasury  1.625%  08/15/22  0.70%   17,561 
 18,495   United States Treasury  1.625%  11/15/22  0.70%   17,561 
 18,260   United States Treasury  2.000%  02/15/23  0.70%   17,561 
 18,511   United States Treasury  1.750%  05/15/23  0.70%   17,561 
 17,921   United States Treasury  2.500%  08/15/23  0.70%   17,561 
 17,729   United States Treasury  2.750%  11/15/23  0.70%   17,561 
 17,746   United States Treasury  2.750%  02/15/24  0.70%   17,561 
 18,002   United States Treasury  2.500%  05/15/24  0.70%   17,561 
 18,156   United States Treasury  2.375%  08/15/24  0.70%   17,561 
 18,321   United States Treasury  2.250%  11/15/24  0.70%   17,561 
 18,642   United States Treasury  2.000%  02/15/25  0.70%   17,561 
 18,542   United States Treasury  2.125%  05/15/25  0.70%   17,561 
 18,736   United States Treasury  2.000%  08/15/25  0.70%   17,561 
 18,472   United States Treasury  2.250%  11/15/25  0.70%   17,561 
 18,758   United States Treasury  2.250%  11/15/27  0.70%   17,561 
 19,386   United States Treasury  1.500%  08/15/26  0.69%   17,310 
 18,386   United States Treasury  2.250%  02/15/27  0.69%   17,310 
 17,704   United States Treasury  2.000%  11/30/22  0.68%   17,059 
 18,796   United States Treasury  1.625%  02/15/26  0.68%   17,059 
 16,513   United States Treasury  1.500%  10/31/19  0.65%   16,307 
 14,012   United States Treasury  2.875%  08/15/28  0.55%   13,798 
 13,218   United States Treasury  3.125%  05/15/48  0.52%   13,045 
 12,670   United States Treasury  3.125%  02/15/42  0.50%   12,544 
 12,545   United States Treasury  1.125%  02/28/21  0.48%   12,042 
 9,933   United States Treasury  4.375%  11/15/39  0.47%   11,791 
 9,614   United States Treasury  4.625%  02/15/40  0.47%   11,791 
 11,905   United States Treasury  3.125%  11/15/41  0.47%   11,791 
 12,240   United States Treasury  3.000%  05/15/47  0.47%   11,791 
 12,249   United States Treasury  3.000%  02/15/48  0.47%   11,791 
 11,912   United States Treasury  3.000%  05/15/42  0.46%   11,540 
 9,709   United States Treasury  4.375%  05/15/40  0.46%   11,540 
 10,391   United States Treasury  3.875%  08/15/40  0.46%   11,540 

 

^The make up of the underlying index and the total positions will not correlate to the unrealized presented for the total return swaps due to timing of contracts opened and closed in the index.

 

 

CATALYST FUNDS
CATALYST MACRO STRATEGY FUND
CONSOLIDATED PORTFOLIO OF INVESTMENTS (Unaudited) (Continued)
September 30, 2018
 
BNP Paribas US TIPS Total Return Index Total Return Swap Top 50 Holdings ^

 

LONG GOVERNMENT BONDS 
                  
Principal          Interest Rate  Maturity Date  Weighted %  Value 
$78,525   United States Treasury Inflation Indexed Bond  0.125%  04/15/20  4.31%  $77,520 
 71,048   United States Treasury Inflation Indexed Bond  0.125%  04/15/21  3.87%   69,606 
 70,700   United States Treasury Inflation Indexed Bond  0.125%  04/15/22  3.82%   68,707 
 67,071   United States Treasury Inflation Indexed Bond  0.625%  01/15/26  3.65%   65,649 
 65,461   United States Treasury Inflation Indexed Bond  0.125%  01/15/22  3.55%   63,850 
 64,340   United States Treasury Inflation Indexed Bond  0.625%  01/15/24  3.53%   63,491 
 66,150   United States Treasury Inflation Indexed Bond  0.250%  01/15/25  3.53%   63,491 
 65,052   United States Treasury Inflation Indexed Bond  0.125%  07/15/22  3.53%   63,491 
 65,569   United States Treasury Inflation Indexed Bond  0.125%  01/15/23  3.53%   63,491 
 64,747   United States Treasury Inflation Indexed Bond  0.375%  07/15/23  3.53%   63,491 
 66,074   United States Treasury Inflation Indexed Bond  0.125%  07/15/24  3.53%   63,491 
 65,556   United States Treasury Inflation Indexed Bond  0.375%  07/15/25  3.53%   63,491 
 62,576   United States Treasury Inflation Indexed Bond  0.500%  01/15/28  3.34%   60,073 
 62,332   United States Treasury Inflation Indexed Bond  0.375%  01/15/27  3.31%   59,534 
 59,840   United States Treasury Inflation Indexed Bond  0.375%  07/15/27  3.18%   57,196 
 60,449   United States Treasury Inflation Indexed Bond  0.125%  07/15/26  3.17%   57,016 
 56,491   United States Treasury Inflation Indexed Bond  1.125%  01/15/21  3.16%   56,836 
 55,536   United States Treasury Inflation Indexed Bond  0.625%  07/15/21  3.08%   55,397 
 51,737   United States Treasury Inflation Indexed Bond  0.625%  04/15/23  2.84%   51,080 
 49,606   United States Treasury Inflation Indexed Bond  1.250%  07/15/20  2.79%   50,181 
 39,778   United States Treasury Inflation Indexed Bond  2.375%  01/15/25  2.41%   43,346 
 38,905   United States Treasury Inflation Indexed Bond  0.750%  07/15/28  2.13%   38,310 
 30,400   United States Treasury Inflation Indexed Bond  2.125%  02/15/41  2.06%   37,051 
 38,065   United States Treasury Inflation Indexed Bond  0.750%  02/15/42  1.99%   35,792 
 33,183   United States Treasury Inflation Indexed Bond  1.375%  02/15/44  1.98%   35,612 
 38,235   United States Treasury Inflation Indexed Bond  0.750%  02/15/45  1.98%   35,612 
 39,113   United States Treasury Inflation Indexed Bond  0.625%  02/15/43  1.98%   35,612 
 31,832   United States Treasury Inflation Indexed Bond  1.000%  02/15/46  1.75%   31,476 
 28,754   United States Treasury Inflation Indexed Bond  2.000%  01/15/26  1.72%   30,936 
 23,445   United States Treasury Inflation Indexed Bond  3.875%  04/15/29  1.68%   30,216 
 29,105   United States Treasury Inflation Indexed Bond  1.375%  01/15/20  1.63%   29,317 
 30,230   United States Treasury Inflation Indexed Bond  0.875%  02/15/47  1.61%   28,957 
 20,847   United States Treasury Inflation Indexed Bond  3.625%  04/15/28  1.44%   25,900 
 22,922   United States Treasury Inflation Indexed Bond  2.375%  01/15/27  1.42%   25,540 
 22,508   United States Treasury Inflation Indexed Bond  1.750%  01/15/28  1.34%   24,101 
 19,466   United States Treasury Inflation Indexed Bond  1.125%  02/15/40  1.31%   23,562 
 19,079   United States Treasury Inflation Indexed Bond  1.500%  01/15/29  1.22%   21,943 
 21,455   United States Treasury Inflation Indexed Bond  1.000%  02/15/48  1.18%   21,223 
 5,948   United States Treasury Inflation Indexed Bond  3.375%  04/15/32  0.43%   7,734 

 

^The make up of the underlying index and the total positions will not correlate to the unrealized presented for the total return swap due to timing of contracts opened and closed in the index.

 

 

CATALYST FUNDS
CATALYST MACRO STRATEGY FUND
CONSOLIDATED PORTFOLIO OF INVESTMENTS (Unaudited) (Continued)
September 30, 2018

  

BNP Paribas World Inflation-linked Bond Total Return Index Total Return Swap Top 50 Holdings ^ 
                  
LONG GOVERNMENT BONDS 
                  
Principal      Interest Rate  Maturity Date  Weighted %  Value 
$52,801   United States Treasury Inflation Indexed Bond  0.125%  04/15/20  2.59%  $52,125 
 47,864   United States Treasury Inflation Indexed Bond  0.125%  04/15/21  2.33%   46,892 
 47,632   United States Treasury Inflation Indexed Bond  0.125%  04/15/22  2.30%   46,288 
 45,029   United States Treasury Inflation Indexed Bond  0.625%  01/15/26  2.19%   44,075 
 44,155   United States Treasury Inflation Indexed Bond  0.125%  01/15/22  2.14%   43,068 
 44,453   United States Treasury Inflation Indexed Bond  0.250%  01/15/25  2.12%   42,666 
 43,237   United States Treasury Inflation Indexed Bond  0.625%  01/15/24  2.12%   42,666 
 43,715   United States Treasury Inflation Indexed Bond  0.125%  07/15/22  2.12%   42,666 
 44,063   United States Treasury Inflation Indexed Bond  0.125%  01/15/23  2.12%   42,666 
 43,510   United States Treasury Inflation Indexed Bond  0.375%  07/15/23  2.12%   42,666 
 44,402   United States Treasury Inflation Indexed Bond  0.125%  07/15/24  2.12%   42,666 
 44,054   United States Treasury Inflation Indexed Bond  0.375%  07/15/25  2.12%   42,666 
 42,138   United States Treasury Inflation Indexed Bond  0.500%  01/15/28  2.01%   40,452 
 41,932   United States Treasury Inflation Indexed Bond  0.375%  01/15/27  1.99%   40,050 
 40,217   United States Treasury Inflation Indexed Bond  0.375%  07/15/27  1.91%   38,440 
 40,754   United States Treasury Inflation Indexed Bond  0.125%  07/15/26  1.91%   38,440 
 38,006   United States Treasury Inflation Indexed Bond  1.125%  01/15/21  1.90%   38,238 
 37,325   United States Treasury Inflation Indexed Bond  0.675%  07/15/21  1.85%   37,232 
 34,857   United States Treasury Inflation Indexed Bond  0.675%  04/15/23  1.71%   34,414 
 33,224   United States Treasury Inflation Indexed Bond  1.250%  07/15/20  1.67%   33,609 
 26,780   United States Treasury Inflation Indexed Bond  2.375%  01/15/25  1.45%   29,182 
 26,161   United States Treasury Inflation Indexed Bond  0.750%  07/15/28  1.28%   25,761 
 20,475   United States Treasury Inflation Indexed Bond  2.125%  02/15/41  1.24%   24,956 
 22,717   French Republic Government Bond OAT  2.250%  07/25/20  1.22%   24,553 
 25,684   United States Treasury Inflation Indexed Bond  0.750%  02/15/42  1.20%   24,151 
 19,143   French Republic Government Bond OAT  1.850%  07/25/27  1.19%   23,949 
 26,303   United States Treasury Inflation Indexed Bond  0.675%  02/15/43  1.19%   23,949 
 22,316   United States Treasury Inflation Indexed Bond  1.375%  02/15/44  1.19%   23,949 
 25,713   United States Treasury Inflation Indexed Bond  0.750%  02/15/45  1.19%   23,949 
 20,727   French Republic Government Bond OAT  1.100%  07/25/22  1.14%   22,943 
 18,126   United Kingdom Gilt Inflation Linked Bond  1.875%  11/22/22  1.06%   21,333 
 14,186   United Kingdom Gilt Inflation Linked Bond  0.125%  03/22/44  1.06%   21,333 
 21,371   United States Treasury Inflation Indexed Bond  1.000%  02/15/46  1.05%   21,132 
 18,518   United Kingdom Gilt Inflation Linked Bond  0.125%  03/22/24  1.03%   20,729 
 19,267   United States Treasury Inflation Indexed Bond  2.000%  01/15/26  1.03%   20,729 
 15,772   United States Treasury Inflation Indexed Bond  3.875%  04/15/29  1.01%   20,327 
 17,055   French Republic Government Bond OAT  2.100%  07/25/23  0.99%   19,924 
 14,000   United Kingdom Gilt Inflation Linked Bond  0.750%  03/22/34  0.98%   19,723 
 19,580   United States Treasury Inflation Indexed Bond  1.375%  01/15/20  0.98%   19,723 
 17,890   French Republic Government Bond OAT  0.125%  07/25/24  0.97%   19,522 
 20,380   United States Treasury Inflation Indexed Bond  0.875%  02/15/47  0.97%   19,522 
 18,336   Deutsche Bundesrepublik Inflation Linked Bond  1.750%  04/15/20  0.96%   19,320 
 18,001   Deutsche Bundesrepublik Inflation Linked Bond  0.100%  04/15/23  0.96%   19,320 
 14,880   United Kingdom Gilt Inflation Linked Bond  1.250%  11/22/27  0.96%   19,320 
 16,083   United Kingdom Gilt Inflation Linked Bond  0.125%  03/22/29  0.96%   19,320 
 12,308   United Kingdom Gilt Inflation Linked Bond  0.675%  03/22/40  0.95%   19,119 
 12,551   United Kingdom Gilt Inflation Linked Bond  1.250%  11/22/32  0.91%   18,314 
 11,875   United Kingdom Gilt Inflation Linked Bond  0.125%  03/22/46  0.91%   18,314 
 15,912   United Kingdom Gilt Inflation Linked Bond  0.125%  03/22/26  0.91%   18,314 
 11,057   United Kingdom Gilt Inflation Linked Bond  1.125%  11/22/37  0.88%   17,710 

 

^The make up of the underlying index and the total positions will not correlate to the unrealized presented for the total return swaps due to timing of contracts opened and closed in the index.

 

 

CATALYST FUNDS
CATALYST MULTI STRATEGY FUND
CONSOLIDATED PORTFOLIO OF INVESTMENTS (Unaudited)
September 30, 2018

  

Principal      Interest Rate  Expiration Date  Value 
     U.S. GOVERNMENT - 8.4%           
     U.S. TREASURY NOTE - 8.4%           
$500,000   United States Treasury Note  1.25%  11/30/2018  $499,258 
     TOTAL U.S. GOVERNMENT (Cost - $499,299)           
                 
Shares              
     SHORT-TERM INVESTMENTS - 69.8%     
 4,178,789   Goldman Sachs Financial Square Funds Government Portfolio- Institutional Class 1.61% *     $4,178,789 
     TOTAL SHORT-TERM INVESTMENTS (Cost - $4,178,789)     
                 
     TOTAL INVESTMENTS - 78.2% (Cost - $4,678,089)  $4,678,047 
     OTHER ASSETS LESS LIABILITIES - 21.8%   1,306,455 
     NET ASSETS - 100.0%     $5,984,502 

 

 *Rate shown represents the rate at June 30, 2018, is subject to change and resets daily.

 

              Unrealized 
              Appreciation/ 
Long Contracts      Notional Amount   Maturity  (Depreciation) 
     OPEN LONG FUTURES CONTRACTS - 0.2%             
 5   E-mini Russell 2000 Index  $425,200   December-18  $(7,000)
 3   S&P 500 EMINI Index   437,850   December-18   1,148 
 4   Nikkei 225 Index   425,144   December-18   14,834 
 2   Brent Crude Oil +   165,460   December-18   4,263 
     NET UNREALIZED APPRECIATION FROM OPEN LONG FUTURE CONTRACTS           13,245 
                   
Short Contracts               
      OPEN SHORT FUTURES CONTRACTS - 0.4%               
 (58)  3 Month Euro Euribor   (16,789,553)  December-20   10,929 
 (33)  90 Day Eurodollar   (7,988,888)  December-20   187 
 (2)  Gold 100 oz. +   (239,240)  December-18   11,218 
 (6)  Japanese Yen   (664,050)  December-18   3,920 
     NET UNREALIZED APPRECIATION FROM OPEN SHORT FUTURE CONTRACTS          $26,254 

 

+All or a portion of this investment is a holding of the CAMFMSF Fund Limited CFC.

 

 

CATALYST FUNDS
CATALYST DYNAMIC ALPHA FUND
PORTFOLIO OF INVESTMENTS (Unaudited)
September 30, 2018

 

Shares      Value 
     COMMON STOCK - 98.3%     
     BANKS - 5.2%     
 315,000   Regions Financial Corp.  $5,780,250 
 268,000   SunTrust Banks, Inc.   17,899,720 
         23,679,970 
     BIOTECHNOLOGY - 5.6%     
 70,000   Illumina, Inc. *   25,694,200 
           
     CHEMICALS - 4.3%     
 122,000   Praxair, Inc.   19,609,060 
           
     COMMERCIAL SERVICES - 8.9%     
 235,000   PayPal Holdings, Inc. *   20,642,400 
 103,000   S&P Global, Inc.   20,125,170 
         40,767,570 
     COMPUTERS - 8.3%     
 90,000   Apple, Inc.   20,316,600 
 188,500   Fortinet, Inc. *   17,392,895 
         37,709,495 
     DISTRIBUTION/WHOLESALE - 3.5%     
 45,000   WW Grainger, Inc.   16,083,450 
           
     DIVERSIFIED FINANCIAL SERVICES - 4.0%     
 170,000   American Express Co.   18,103,300 
           
     HEALTHCARE-PRODUCTS - 5.2%     
 323,000   Abbott Laboratories   23,695,280 
           
     HEALTHCARE-SERVICES - 4.3%     
 58,000   Humana, Inc.   19,634,160 
           
     IRON/STEEL - 3.1%     
 950,000   Vale SA - ADR   14,098,000 
           
     MACHINERY-DIVERSIFIED - 2.5%     
 75,000   IDEX Corp.   11,299,500 
           
     MISCELLANEOUS MANUFACTURING - 4.3%     
 274,000   Textron, Inc.   19,582,780 
           
     OIL & GAS - 8.8%     
 290,000   ConocoPhillips   22,446,000 
 251,000   HollyFrontier Corp.   17,544,900 
         39,990,900 
     PHARMACEUTICALS - 1.9%     
 195,000   Pfizer, Inc.   8,593,650 
           
     RETAIL - 8.9%     
 178,000   Darden Restaurants, Inc.   19,791,820 
 278,000   Kohl’s Corp.   20,724,900 
         40,516,720 
     SEMICONDUCTORS - 4.9%     
 80,500   NVIDIA Corp.   22,622,110 
           
     SOFTWARE - 9.8%     
 152,000   Salesforce.com, Inc. *   24,172,560 
 131,000   Vmware, Inc. *   20,443,860 
         44,616,420 

 

 

CATALYST FUNDS
CATALYST DYNAMIC ALPHA FUND
PORTFOLIO OF INVESTMENTS (Unaudited) (Continued)
September 30, 2018

 

Shares      Value 
     COMMON STOCK - 98.3% (Continued)     
     TRANSPORTATION - 4.8%     
 133,000   Union Pacific Corp.  $21,656,390 
           
     TOTAL COMMON STOCK (Cost - $359,218,755)   447,952,955 
           
     TOTAL INVESTMENTS - 98.3% (Cost - $359,218,755)  $447,952,955 
     OTHER ASSETS LESS LIABILITIES - 1.7%   7,825,400 
     NET ASSETS - 100.0%  $455,778,355 

 

 *Non-income producing security.

 

 

CATALYST FUNDS
CATALYST BUYBACK STRATEGY FUND
PORTFOLIO OF INVESTMENTS (Unaudited)
September 30, 2018

 

Shares      Value 
     COMMON STOCK - 97.0%     
     AUTO PARTS & EQUIPMENT - 3.5%     
 16,000   Allison Transmission Holdings, Inc.  $832,160 
           
     BANKS - 3.1%     
 6,400   Signature Bank *   734,976 
           
     BIOTECHNOLOGY - 3.1%     
 2,100   Biogen, Inc. *   741,951 
           
     BUILDING MATERIALS - 6.3%     
 11,000   Armstrong World Industries, Inc. *   765,600 
 40,900   Quanex Building Products Corp.   744,380 
         1,509,980 
           
     COMMERCIAL SERVICES - 3.2%     
 22,700   Quanta Services, Inc. *   757,726 
           
     DIVERSIFIED FINANCIAL SERVICES - 3.3%     
 59,500   Navient Corp.   802,060 
           
     ELECTRONICS - 3.0%     
 16,100   Avnet, Inc.   720,797 
           
     HEALTHCARE PRODUCTS - 3.8%     
 7,400   Masimo Corp. *   921,596 
           
     HOMEBUILDERS - 2.7%     
 52,000   TRI Pointe Group, Inc. *   644,800 
           
     INSURANCE - 3.3%     
 19,000   Assured Guaranty Ltd.   802,370 
           
     IRON & STEEL - 6.4%     
 12,300   Nucor Corp.   780,435 
 17,000   Steel Dynamics, Inc.   768,230 
         1,548,665 
     MACHINERY - CONSTRUCTION & MINING - 3.2%     
 15,500   Astec Industries, Inc.   781,355 
           
     MACHINERY - DIVERSIFIED -3.4%     
 4,300   Rockwell Automation, Inc.   806,336 
           
     OIL & GAS - 6.1%     
 11,000   HollyFrontier Corp.   768,900 
 136,000   Southwestern Energy, Co. *   694,960 
         1,463,860 
     PHARMACEUTICALS - 3.2%     
 4,100   Allergan PLC   780,968 

 

 

CATALYST FUNDS
CATALYST BUYBACK STRATEGY FUND
PORTFOLIO OF INVESTMENTS (Unaudited) (Continued)
September 30, 2018

 

Shares      Value 
     COMMON STOCK - 97.0% (Continued)     
     RETAIL - 19.5%     
 1,025   AutoZone, Inc. *  $795,092 
 12,900   Dave & Buster’s Entertainment, Inc. *   854,238 
 46,600   Michaels Cos, Inc. *   756,318 
 12,600   Nordstrom, Inc.   753,606 
 8,700   Nu Skin Enterprises, Inc.   717,054 
 9,100   Yum! Brands, Inc.   827,281 
         4,703,589 
     SEMICONDUCTORS - 6.7%     
 11,700   QUALCOMM, Inc.   842,751 
 7,300   Texas Instruments, Inc.   783,217 
         1,625,968 
     SOFTWARE - 13.2%     
 20,000   CSG Systems International, Inc.   802,800 
 9,600   Fiserv, Inc. *   790,848 
 44,500   Nuance Communications, Inc. *   770,740 
 15,750   Oracle Corp.   812,070 
         3,176,458 
           
     TOTAL COMMON STOCK (Cost - $23,093,847)   23,355,615 
           
     TOTAL INVESTMENTS - 97.0% (Cost - $23,093,847)  $23,355,615 
     OTHER ASSETS LESS LIABILITIES - 3.0%   734,204 
     NET ASSETS - 100.0%  $24,089,819 

 

PLC - Public Limited Company

 

 *Non-income producing security.

 

 

CATALYST FUNDS
CATALYST/GROESBECK GROWTH OF INCOME FUND
PORTFOLIO OF INVESTMENTS (Unaudited)
September 30, 2018

 

Shares      Value 
     COMMON STOCK - 93.3%     
     BANKS - 4.9%     
 3,000   JPMorgan Chase & Co.  $338,520 
           
     BIOTECHNOLOGY - 4.3%     
 1,150   Amgen, Inc.   238,384 
 340   Shire PLC - ADR   61,632 
         300,015 
     CHEMICALS - 3.3%     
 2,400   Eastman Chemical Co.   229,728 
           
     DIVERSIFIED FINANCIAL SERVICES - 12.1%     
 600   BlackRock, Inc.   282,798 
 4,450   Intercontinental Exchange, Inc.   333,261 
 2,000   T Rowe Price Group, Inc.   218,360 
         834,419 
     ELECTRONICS - 3.4%     
 1,400   Honeywell International, Inc.   232,960 
           
     HAND/MACHINE TOOLS - 4.2%     
 1,580   Snap-on, Inc.   290,088 
           
     HEALTHCARE PRODUCTS - 5.9%     
 5,500   Abbott Laboratories   403,480 
           
     HEALTHCARE SERVICES - 5.4%     
 1,400   UnitedHealth Group, Inc.   372,456 
           
     HOME FURNISHINGS - 2.2%     
 1,300   Whirlpool Corp.   154,375 
           
     INTERNET - 3.2%     
 2,500   CDW Corp.   222,300 
           
     PHARMACEUTICALS - 8.7%     
 1,900   AbbVie, Inc.   179,702 
 2,800   CVS Health Corp.   220,416 
 1,500   McKesson Corp.   198,975 
         599,093 
     PIPELINES - 6.4%     
 8,100   Enterprise Products Partners LP   232,713 
 6,100   MPLX LP   211,548 
         444,261 
     REAL ESTATE - 2.9%     
 2,400   LCI Industries   198,720 
           
     REAL ESTATE INVESTMENT TRUSTS - 5.7%     
 3,100   Prologis, Inc.   210,149 
 8,500   Starwood Property Trust, Inc.   182,920 
         393,069 

 

 

CATALYST FUNDS
CATALYST/GROESBECK GROWTH OF INCOME FUND
PORTFOLIO OF INVESTMENTS (Unaudited)(Continued)
September 30, 2018

 

Shares      Value 
     COMMON STOCK - 93.3% (Continued)     
     RETAIL - 4.4%     
 1,000   Home Depot, Inc.  $207,150 
 1,700   Starbucks Corp.   96,628 
         303,778 
     SEMICONDUCTORS - 8.1%     
 1,200   Broadcom Ltd.   296,076 
 500   Lam Research Corp.   75,850 
 2,100   Skyworks Solutions, Inc.   190,491 
         562,417 
     TOYS/GAMES/HOBBIES - 3.5%     
 2,300   Hasbro, Inc.   241,776 
           
     TRANSPORTATION - 4.7%     
 1,350   FedEx Corp.   325,066 
           
     TOTAL COMMON STOCK (Cost - $5,070,781)   6,446,521 
           
     TOTAL INVESTMENTS - 93.3% (Cost - $5,070,781)  $6,446,521 
     OTHER ASSETS LESS LIABILITIES - 6.7%   460,513 
     NET ASSETS - 100.0%  $6,907,034 

 

ADR - American Depositary Receipt

 

LP - Limited Partnership

 

 

CATALYST FUNDS
CATALYST EXCEED DEFINED RISK FUND
PORTFOLIO OF INVESTMENTS (Unaudited)
September 30, 2018

 

Shares            Value 
     EXCHANGE TRADED FUNDS - 15.6%           
 19,398   iShares Short-Term Corporate Bond ETF        $1,005,398 
 1   SPDR S&P 500 ETF Trust         291 
 17,618   SPDR Portfolio Short Term Corporate Bond ETF         531,711 
 7,248   Vanguard Short-Term Corporate Bond ETF         566,504 
     TOTAL EXCHANGE TRADED FUNDS (Cost - $2,140,878)         2,103,904 
                 
Principal      Coupon Rate  Maturity     
     CORPORATE BONDS - 68.7%           
     AEROSPACE/DEFENSE - 3.0%           
$250,000   Boeing Co.  4.875%  2/15/2020   256,345 
 10,000   Lockheed Martin Corp.  4.250%  11/15/2019   10,140 
 134,000   Rockwell Collins, Inc.  5.250%  7/15/2019   136,413 
               402,898 
     AUTO MANUFACTURERS - 4.8%           
 250,000   Ford Motor Credit Co. LLC  2.597%  11/4/2019   248,048 
 250,000   General Motors Financial Co., Inc.  2.400%  5/9/2019   249,382 
 150,000   General Motors Financial Co., Inc.  2.350%  10/4/2019   149,068 
               646,498 
     BANKS - 13.7%           
 258,000   Bank of America Corp.  2.600%  1/15/2019   257,970 
 250,000   Citigroup, Inc.  2.050%  6/7/2019   248,810 
 75,000   Citigroup, Inc.  2.500%  7/29/2019   74,850 
 100,000   Citigroup, Inc.  5.375%  8/9/2020   103,747 
 200,000   Goldman Sachs Group, Inc.  2.550%  10/23/2019   199,148 
 250,000   HSBC USA, Inc.  2.350%  3/5/2020   247,312 
 250,000   JPMorgan Chase & Co.  2.200%  10/22/2019   248,332 
 100,000   KeyBank NA  2.250%  3/16/2020   98,734 
 262,000   Morgan Stanley  2.375%  7/23/2019   260,980 
 105,000   PNC Financial Services Group, Inc.  5.125%  2/8/2020   107,717 
               1,847,600 
     CHEMICALS - 0.5%           
 75,000   E.I. DuPont de Nemours & Co.  2.200%  5/1/2020   74,033 
                 
     COMMERCIAL SERVICES - 1.5%           
 200,000   The Western Union Co.  3.350%  5/22/2019   200,447 
                 
     COMPUTERS - 0.7%           
 100,000   International Business Machines Corp.  1.625%  5/15/2020   97,943 
                 
     COSMETICS/PERSONAL CARE - 2.5%           
 350,000   Unilever Capital Corp.  2.100%  7/30/2020   343,844 
                 
     DIVERSIFIED FINANCIAL SERVICES - 4.2%           
 15,000   American Express Credit Corp.  2.125%  3/18/2019   14,968 
 200,000   American Express Credit Corp.  2.250%  8/15/2019   199,082 
 40,000   Ameriprise Financial, Inc.  7.300%  6/28/2019   41,303 
 300,000   Charles Schwab Corp.  4.450%  7/22/2020   307,545 
               562,898 
     ELECTRIC - 6.3%           
 50,000   Consolidated Edison, Inc.  2.000%  3/15/2020   49,180 
 250,000   Duke Energy Florida LLC  1.850%  1/15/2020   246,243 
 79,000   NextEra Energy Capital Holdings, Inc.  2.300%  4/1/2019   78,856 
 225,000   Public Service Enterprise Group, Inc.  1.600%  11/15/2019   221,281 
 250,000   Southern Co.  1.850%  7/1/2019   248,160 
               843,720 
     ELECTRONICS - 1.1%           
 150,000   Amphenol Corp.  2.200%  4/1/2020   147,417 
                 
     FOOD - 5.4%           
 250,000   JM Smucker Co.  2.500%  3/15/2020   247,697 
 230,000   Kraft Heinz Foods Co.  5.375%  2/10/2020   236,615 
 144,000   Kroger Co.  1.500%  9/30/2019   142,005 
 100,000   Sysco Corp.  1.900%  4/1/2019   99,570 
               725,887 
     HEALTHCARE - PRODUCTS - 4.4%           
 36,000   Abbot Labratories  2.350%  11/22/2019   36,000 
 100,000   Abbot Labratories  2.000%  3/15/2020   98,794 
 100,000   Becton Dickinson & Co.  2.133%  6/6/2019   99,423 
 150,000   Becton Dickinson & Co.  2.675%  12/15/2019   149,202 
 200,000   Life Technologies Corp.  6.000%  3/1/2020   207,184 
               590,603 

 

 

CATALYST FUNDS
CATALYST EXCEED DEFINED RISK FUND
PORTFOLIO OF INVESTMENTS (Continued)(Unaudited)
September 30, 2018

  

Principal      Coupon Rate  Maturity  Value 
     CORPORATE BONDS (Continued) - 68.7%           
     HEALTHCARE - SERVICES - 2.3%           
$200,000   Anthem, Inc.  2.250%  8/15/2019  $198,954 
 100,000   Humana, Inc.  2.625%  10/1/2019   99,622 
               298,576 
     HOUSEWARES - 0.7%           
 100,000   Newell Brands, Inc.  2.600%  3/29/2019   99,866 
                 
     INSURANCE - 1.8%           
 135,000   Aflac, Inc.  2.400%  3/16/2020   133,759 
 100,000   Prudential Financial, Inc.  5.375%  6/21/2020   103,612 
               237,371 
     MEDIA - 2.3%           
 100,000   NBCUniversal Media LLC.  5.150%  4/30/2020   103,152 
 100,000   Viacom, Inc.  5.625%  9/15/2019   102,473 
 50,000   Walt Disney Co.  1.950%  3/4/2020   49,330 
 50,000   Walt Disney Co.  1.800%  6/5/2020   49,067 
               304,022 
     MISCELLANEOUS MANUFACTURING - 1.5%           
 200,000   General Electric Co.  5.550%  5/4/2020   207,277 
                 
     PHARMACEUTICALS - 4.2%           
 200,000   Cardinal Health, Inc.  2.400%  11/15/2019   198,506 
 225,000   Express Scripts Holding Co.  2.250%  6/15/2019   223,998 
 150,000   McKesson Corp.  2.284%  3/15/2019   149,697 
               572,201 
     RETAIL - 0.7%           
 100,000   McDonalds Corp.  1.875%  5/29/2019   99,446 
                 
     SOFTWARE - 1.8%           
 238,000   CA, Inc.  5.375%  12/1/2019   243,338 
                 
     TELECOMMUNICATIONS - 2.3%           
 150,000   AT&T, Inc.  5.875%  10/1/2019   154,291 
 150,000   AT&T, Inc.  5.200%  3/15/2020   154,432 
               308,723 
     TRANSPORTATION - 1.5%           
 200,000   Burlington Northern Santa Fe LLC  4.700%  10/1/2019   203,614 
                 
     TRUCKING & LEASING - 1.5%           
 200,000   GATX Corp.  2.500%  7/30/2019   199,376 
                 
     TOTAL CORPORATE BONDS (Cost - $9,319,318)         9,257,598 
                 
     UNITED STATES GOVERNMENT SECURITIES - 3.6%           
 500,000   United States Treasury Note/Bond +  0.750%  7/15/2019   493,027 
     TOTAL UNITED STATES GOVERNMENT SECURITIES (Cost - $493,275)         493,027 

 

Contracts (a)      Counterparty  Notional Value   Expiration Date - Exercise Price  Value 
     CALL OPTIONS PURCHASED - 14.1% *                
 119   SPDR S&P 500 ETF Trust  Pershing  $3,153,500   1/18/2019 - $265.00  $345,933 
 72   SPDR S&P 500 ETF Trust  Pershing   1,944,000   1/18/2019 - $270.00   177,912 
 40   SPDR S&P 500 ETF Trust  Pershing   1,040,000   3/15/2019 - $260.00   142,600 
 77   SPDR S&P 500 ETF Trust  Pershing   2,040,500   3/15/2019 - $265.00   240,433 
 20   SPDR S&P 500 ETF Trust  Pershing   520,000   6/21/2019 - $260.00   77,050 
 44   SPDR S&P 500 ETF Trust  Pershing   1,166,000   6/21/2019 - $265.00   151,052 
 80   SPDR S&P 500 ETF Trust  Pershing   2,160,000   6/21/2019 - $270.00   241,880 
 38   SPDR S&P 500 ETF Trust  Pershing   1,045,000   6/21/2019 - $275.00   99,788 
 40   SPDR S&P 500 ETF Trust  Pershing   1,080,000   9/20/2019 - $270.00   132,160 
 12   SPDR S&P 500 ETF Trust  Pershing   330,000   9/20/2019 - $275.00   35,148 
 93   SPDR S&P 500 ETF Trust  Pershing   2,697,000   9/20/2019 - $290.00   172,887 
 32   SPDR S&P 500 ETF Trust  Pershing   944,000   9/20/2019 - $295.00   49,632 
 9   SPDR S&P 500 ETF Trust  Pershing   261,000   12/20/2019 - $290.00   19,350 
 6   SPDR S&P 500 ETF Trust  Pershing   177,000   12/20/2019 - $295.00   10,962 
     TOTAL CALL OPTIONS PURCHASED (Cost - $1,255,639)   1,896,787 
                      
     TOTAL INVESTMENTS - 102.0% (Cost - $13,209,110)  $13,751,316 
     LIABILITIES IN EXCESS OF OTHER ASSETS - (2.0)%   (269,538)
     NET ASSETS - 100.0%  $13,481,778 

 

 

CATALYST FUNDS
CATALYST EXCEED DEFINED RISK FUND
PORTFOLIO OF INVESTMENTS (Continued)(Unaudited)
September 30, 2018

 

Contracts (a)      Counterparty  Notional Value   Expiration Date - Exercise Price  Value 
     TOTAL OPTIONS WRITTEN - (7.3)% *         
     CALL OPTIONS WRITTEN - (6.0)%         
 42   SPDR S&P 500 ETF Trust  Pershing  $1,176,000   1/18/2019 - $280.00  $67,620 
 149   SPDR S&P 500 ETF Trust  Pershing   4,246,500   1/18/2019 - $285.00   183,270 
 85   SPDR S&P 500 ETF Trust  Pershing   2,422,500   3/15/2019 - $285.00   125,375 
 32   SPDR S&P 500 ETF Trust  Pershing   928,000   3/15/2019 - $290.00   36,288 
 104   SPDR S&P 500 ETF Trust  Pershing   3,016,000   6/21/2019 - $290.00   159,224 
 78   SPDR S&P 500 ETF Trust  Pershing   2,301,000   6/21/2019 - $295.00   95,394 
 22   SPDR S&P 500 ETF Trust  Pershing   660,000   9/20/2019 - $300.00   27,698 
 63   SPDR S&P 500 ETF Trust  Pershing   1,953,000   9/20/2019 - $310.00   47,628 
 92   SPDR S&P 500 ETF Trust  Pershing   2,898,000   9/20/2019 - $315.00   51,428 
 6   SPDR S&P 500 ETF Trust  Pershing   186,000   12/20/2019 - $310.00   6,240 
 9   SPDR S&P 500 ETF Trust  Pershing   283,500   12/20/2019 - $315.00   7,344 
     TOTAL CALL OPTIONS WRITTEN (Premiums Received - $480,748)   807,509 
                      
     PUT OPTIONS WRITTEN - (1.3)%         
 123   SPDR S&P 500 ETF Trust  Pershing   2,952,000   1/18/2019 - $240.00   11,808 
 4   SPDR S&P 500 ETF Trust  Pershing   98,000   1/18/2019 - $245.00   456 
 37   SPDR S&P 500 ETF Trust  Pershing   869,500   3/15/2019 - $235.00   5,457 
 41   SPDR S&P 500 ETF Trust  Pershing   984,000   3/15/2019 - $240.00   7,175 
 22   SPDR S&P 500 ETF Trust  Pershing   517,000   6/21/2019 - $235.00   6,215 
 21   SPDR S&P 500 ETF Trust  Pershing   504,000   6/21/2019 - $240.00   6,741 
 79   SPDR S&P 500 ETF Trust  Pershing   1,935,500   6/21/2019 - $245.00   28,282 
 35   SPDR S&P 500 ETF Trust  Pershing   857,500   9/20/2019 - $245.00   17,973 
 45   SPDR S&P 500 ETF Trust  Pershing   1,170,000   9/20/2019 - $260.00   32,670 
 56   SPDR S&P 500 ETF Trust  Pershing   1,484,000   9/20/2019 - $265.00   45,248 
 6   SPDR S&P 500 ETF Trust  Pershing   156,000   12/20/2019 - $260.00   5,274 
 7   SPDR S&P 500 ETF Trust  Pershing   185,500   12/20/2019 - $265.00   6,818 
     TOTAL PUT OPTIONS WRITTEN (Premiums Received - $404,041)   174,117 
                      
     TOTAL OPTIONS WRITTEN (Premiums Received - $884,789)  $981,626 

 

ETF - Exchange Traded Fund

 

LLC - Limited Liability Company

 

+All or a portion of this security is segregated as collateral for options written.

 

 *Non income producing security.

 

(a)Each contract is equivalent to 100 shares of the underlying common stock.

 

 

CATALYST FUNDS
CATALYST/LYONS TACTICAL ALLOCATION FUND
PORTFOLIO OF INVESTMENTS (Unaudited)
September 30, 2018

 

Shares      Value 
     COMMON STOCK - 86.5%     
     AEROSPACE/DEFENSE - 7.8%     
 12,115   Boeing Co.  $4,505,569 
 13,424   Lockheed Martin Corp.   4,644,167 
         9,149,736 
     AIRLINES - 3.5%     
 71,458   Delta Air Lines, Inc.   4,132,416 
           
     AUTO PARTS & EQUIPMENT - 2.0%     
 15,974   Lear Corp.   2,316,230 
           
     BIOTECHNOLOGY - 3.1%     
 17,842   Amgen, Inc.   3,698,468 
           
     COMPUTERS - 7.9%     
 22,997   Apple, Inc.   5,191,343 
 161,113   HP, Inc.   4,151,882 
         9,343,225 
     DISTRIBUTION/WHOLESALE - 3.5%     
 11,604   WW Grainger, Inc.   4,147,386 
           
     ELECTRONICS - 4.1%     
 28,808   Honeywell International, Inc.   4,793,651 
           
     ENTERTAINMENT - 3.0%     
 12,867   Vail Resorts, Inc.   3,530,962 
           
     ENVIRONMENTAL CONTROL - 4.2%     
 54,715   Waste Management, Inc.   4,944,047 
           
     HEALTHCARE-SERVICES - 3.9%     
 17,307   UnitedHealth Group, Inc.   4,604,354 
           
     IRON/STEEL - 3.2%     
 83,858   Steel Dynamics, Inc.   3,789,543 
           
     MEDIA - 3.8%     
 38,018   The Walt Disney Co.   4,445,825 
           
     OIL & GAS - 3.4%     
 49,821   Marathon Petroleum Corp.   3,984,185 
           
     RETAIL - 18.2%     
 53,879   Best Buy Co., Inc.   4,275,838 
 37,820   Darden Resturants, Inc.   4,205,206 
 39,274   Dollar General Corp.   4,292,648 
 20,629   Home Depot, Inc.   4,273,297 
 39,779   The TJX Cos., Inc.   4,456,044 
         21,503,033 
     SEMICONDUCTORS - 3.4%     
 37,090   Texas Instruments, Inc.   3,979,386 

 

 

CATALYST FUNDS
CATALYST/LYONS TACTICAL ALLOCATION FUND
PORTFOLIO OF INVESTMENTS (Unaudited) (Continued)
September 30, 2018

 

Shares      Value 
     COMMON STOCK - 86.5% (Continued)     
     SOFTWARE - 8.2%     
 36,572   Broadridge Financial Solutions, Inc.  $4,825,676 
 42,190   Microsoft Corp.   4,825,270 
         9,650,946 
     TELECOMMUNICATIONS - 3.3%     
 71,906   Verizon Communications, Inc.   3,839,061 
           
     TOTAL COMMON STOCK (Cost - $77,878,392)   101,852,454 
           
Principal         
     UNITED STATES GOVERNMENT SECURITIES - 8.3%     
$5,000,000   United States Treasury Notes, 1.750%, 9/30/2019   4,955,566 
 5,000,000   United States Treasury Notes, 1.250%, 3/31/2021   4,808,008 
     TOTAL UNITED STATES GOVERNMENT SECURITIES (Cost - $9,772,553)   9,763,574 
           
     SHORT-TERM INVESTMENTS - 4.4%     
 5,000,000   United States Treasury Bill, 2.080%, 10/25/2018 #   4,993,079 
 200,000   United States Treasury Bill, 2.465%, 9/12/2019 #   195,233 
     TOTAL SHORT-TERM INVESTMENTS (Cost - $5,188,648)   5,188,312 
           
     TOTAL INVESTMENTS - 99.2% (Cost - $92,839,593)  $116,804,340 
     OTHER ASSETS LESS LIABILITIES - 0.8%   1,002,150 
     NET ASSETS - 100.0%  $117,806,490 

 

#Discount rate at time of purchase.

 

 

CATALYST FUNDS
CATALYST/MAP GLOBAL EQUITY FUND
PORTFOLIO OF INVESTMENTS (Unaudited)
September 30, 2018

 

Shares      Value 
     COMMON STOCK - 90.5%     
     AEROSPACE/DEFENSE - 4.5%     
 132,500   Kratos Defense & Security Solutions, Inc. * +  $1,958,350 
           
     AGRICULTURE - 5.4%     
 22,000   Bunge Ltd.   1,511,620 
 23,500   Imperial Brands PLC - ADR   815,568 
         2,327,188 
     BEVERAGES - 4.6%     
 68,600   Distell Group Holdings Ltd. *   516,224 
 800,000   Marston’s PLC   1,030,201 
 875,000   Thai Beverage PCL   435,467 
         1,981,892 
     CHEMICALS - 3.4%     
 45,000   Mosaic Co. +   1,461,600 
           
     ENTERTAINMENT - 3.3%     
 50,500   Parques Reunidos Servicios Centrales SAU *   674,542 
 23,500   SeaWorld Entertainment, Inc. * +   738,605 
         1,413,147 
     ENVIRONMENTAL CONTROL - 5.0%     
 31,954   Tetra Tech, Inc.   2,182,458 
           
     FOOD - 9.5%     
 39,950   Campbell Soup Co.   1,463,368 
 1,249,000   First Pacific Co. Ltd.   616,128 
 120,000   GrainCorp Ltd.   685,925 
 16,550   Nestle SA - ADR   1,376,960 
         4,142,381 
     HEALTHCARE-PRODUCT - 1.1%     
 896,589   Asaleo Care Ltd.   470,327 
           
     HOUSEHOLD PRODUCTS/WARES - 2.1%     
 50,000   Reckitt Benckiser Group PLC - ADR   917,000 
           
     INTERNET - 3.1%     
 41,500   eBay, Inc. *   1,370,330 
           
     INVESTMENT COMPANIES - 2.2%     
 12,000   Pargesa Holding SA   968,673 
           
     OIL & GAS - 3.9%     
 20,100   Exxon Mobil Corp.   1,708,902 
           
     PHARMACEUTICALS - 9.7%     
 9,800   Johnson & Johnson   1,354,066 
 16,550   Novartis AG - ADR   1,425,948 
 31,900   Sanofi - ADR   1,424,973 
         4,204,987 
     RETAIL - 3.8%     
 95,500   Wendy’s Co.   1,636,870 
           
     SEMICONDUCTORS - 7.4%     
 32,500   Micron Technology, Inc. *   1,469,975 
 38,500   Synaptics, Inc. * +   1,756,370 
         3,226,345 

 

 

CATALYST FUNDS
CATALYST/MAP GLOBAL EQUITY FUND
PORTFOLIO OF INVESTMENTS (Unaudited) (Continued)
September 30, 2018

 

Shares      Value 
     COMMON STOCK - 90.5% (Continued)     
     SOFTWARE - 4.6%     
 17,300   Microsoft Corp.  $1,978,601 
           
     TELECOMMUNICATIONS - 16.9%     
 58,000   Ciena Corp. * +   1,811,920 
 37,500   Cisco Systems, Inc.   1,824,375 
 232,000   Nokia OYJ - ADR +   1,294,560 
 70,000   Orange SA - ADR   1,112,300 
 59,000   Vodafone Group PLC - ADR +   1,280,300 
         7,323,455 
           
     TOTAL COMMON STOCK (Cost - $32,879,465)   39,272,506 
           
     MUTUAL FUND - 2.6%     
     CLOSED-END FUND - 2.6%     
 96,500   Sprott Physical Gold and Silver Trust   1,127,120 
     TOTAL MUTUAL FUND (Cost - $1,291,122)   1,127,120 
           
     TOTAL INVESTMENTS - 93.1% (Cost - $34,170,587)  $40,399,626 
     OTHER ASSETS LESS LIABILITIES - 6.9%   2,998,749 
     NET ASSETS - 100.0%  $43,398,375 

 

Contracts (a)      Counterparty  Expiration Date - Exercise Price  Notional Value   Value 
     CALL OPTIONS WRITTEN - (0.6)% *          
 60   Ciena Corp.  Pershing  1/18/2019 - $25.00  $150,000   $40,050 
 60   Ciena Corp.  Pershing  1/18/2019 - $26.00   156,000    35,550 
 300   Kratos Defense & Security Solutions, Inc.  Pershing  2/15/2019 - $15.00   450,000    45,750 
 60   Mosaic Co.  Pershing  1/18/2019 - $30.00   180,000    21,600 
 50   Mosaic Co.  Pershing  1/18/2019 - $32.00   160,000    12,150 
 150   Nokia OYJ  Pershing  10/19/2018 - $6.00   90,000    450 
 400   Nokia OYJ  Pershing  1/18/2019 - $6.00   240,000    9,200 
 350   Nokia OYJ  Pershing  1/18/2019 - $7.00   245,000    2,100 
 200   Nokia OYJ  Pershing  1/17/2020 - $7.00   140,000    8,000 
 160   SeaWorld Entertainment, Inc.  Pershing  1/18/2019 - $32.00   512,000    44,000 
 150   Synaptics, Inc.  Pershing  1/18/2019 - $50.00   750,000    33,375 
 85   Synaptics, Inc.  Pershing  1/18/2019 - $60.00   510,000    3,613 
 55   Vodafone Group PLC  Pershing  1/18/2019 - $25.00   137,500    550 
     TOTAL CALL OPTIONS WRITTEN (Premiums Received - $279,360)   $256,388 

 

ADR - American Depositary Receipt

 

PCL - Public Company Limited

 

PLC - Public Liability Company

 

 *Non-income producing security.

 

+All or a portion of this security is segregated as collateral for and is subject to call options written.

 

(a)One contract is equivalent to 100 shares of the underlying common stock.

 

 

CATALYST FUNDS
CATALYST/MAP GLOBAL BALANCED FUND
PORTFOLIO OF INVESTMENTS (Unaudited)
September 30, 2018

 

Shares      Value 
    CLOSED-END FUND - 1.2%    
 23,500   Sprott Physical Gold and Silver Trust  $274,480 
     TOTAL CLOSED-END FUND (Cost - $336,373)   274,480 
           
     COMMON STOCK - 48.5%     
     AEROSPACE/DEFENSE - 0.4%     
 6,000   Kratos Defense & Security Solutions, Inc. *   88,680 
           
     AGRICULTURE - 3.3%     
 4,100   Bunge Ltd.   281,711 
 13,600   Imperial Brands PLC - ADR   471,988 
         753,699 
     BEVERAGES - 1.6%     
 280,649   Marston’s PLC   361,406 
           
     ENVIRONMENTAL CONTROL - 3.7%     
 12,271   Tetra Tech, Inc.   838,109 
           
     FOOD - 6.0%     
 15,450   Campbell Soup Co.   565,934 
 25,000   GrainCorp LTD   142,901 
 8,050   Nestle SA - ADR   669,760 
         1,378,595 
     HEALTHCARE PRODUCTS - 1.3%     
 548,000   Asaleo Care Ltd.   287,467 
           
     HOUSEHOLD PRODUCT/WARES - 1.4%     
 17,000   Reckitt Benckiser Group PLC - ADR   311,780 
           
     INVESTMENT COMPANIES - 2.6%     
 7,357   Pargesa Holding SA   593,877 
           
     OIL & GAS - 1.7%     
 4,500   Exxon Mobil Corp.   382,590 
           
     PHARMACEUTICALS - 9.2%     
 5,400   Johnson & Johnson   746,118 
 8,525   Novartis AG - ADR   734,514 
 13,500   Sanofi - ADR   603,045 
         2,083,677 
     RETAIL - 4.1%     
 54,400   Wendy’s Co.   932,416 
           
     SEMICONDUCTORS - 1.8%     
 9,000   Micron Technology, Inc. *   407,070 
           
     SOFTWARE - 1.2%     
 2,400   Microsoft Corp.   274,488 
           
     TELECOMMUNICATIONS - 10.2%     
 20,400   Cisco Systems, Inc.   992,460 
 40,000   Nokia OYJ - ADR +   223,200 
 37,500   Orange SA - ADR   595,875 
 23,290   Vodafone Group PLC - ADR   505,393 
         2,316,928 
           
     TOTAL COMMON STOCK (Cost - $9,691,817)   11,010,782 

 

 

CATALYST FUNDS
CATALYST/MAP GLOBAL BALANCED FUND
PORTFOLIO OF INVESTMENTS (Unaudited) (Continued)
September 30, 2018

 

Principal      Coupon Rate (%)  Maturity  Value 
     CONVERTIBLE BONDS - 3.0%           
     ENERGY-ALTERNATE SOURCES- 1.0%           
$227,000   Tesla Energy Operations, Inc.  2.750  11/1/2018  $223,879 
                 
     INTERNET- 2.0%           
 460,000   Twitter, Inc.  0.250  9/15/2019   446,541 
                 
     TOTAL CONVERTIBLE BONDS (Cost - $673,404)         670,420 
                 
     CORPORATE BONDS - 44.4%           
     AEROSPACE/DEFENSE - 1.1%           
 250,000   Embraer Overseas Ltd.  6.375  1/15/2020   259,377 
                 
     AUTO PARTS & EQUIPMENT - 3.2%           
 387,000   Cooper Tire & Rubber Co.  8.000  12/15/2019   407,801 
 295,000   Goodyear Tire & Rubber Co.  8.750  8/15/2020   322,287 
               730,088 
     CHEMICALS - 1.7%           
 367,000   CF Industries, Inc.  7.125  5/1/2020   388,102 
                 
     COMPUTERS - 0.8%           
 175,000   Dell, Inc.  5.875  6/15/2019   178,981 
                 
     DIVERSIFIED FINANCIAL SERVICES - 0.5%           
 99,000   Aircastle Ltd.  7.625  4/15/2020   104,823 
                 
     ENTERTAINMENT - 2.7%           
 586,000   International Game Technology  7.500  6/15/2019   606,510 
                 
     FOREST PRODUCTS & PAPER- 2.0%           
 432,000   Celulosa Arauco y Constitucion SA  7.250  7/29/2019   447,198 
                 
     HEALTHCARE SERVICES - 2.7%           
 45,000   HCA, Inc.  4.250  10/15/2019   45,450 
 566,000   Tenet Healthcare Corp.  5.500  3/1/2019   571,660 
               617,110 
     HOME BUILDERS - 1.7%           
 229,000   KB Home  4.750  5/15/2019   231,004 
 154,000   Tri Pointe Group, Inc.  4.375  6/15/2019   155,348 
               386,352 
     IRON/STEEL - 2.7%           
 576,000   United States Steel Corp.  7.375  4/1/2020   605,520 
                 
     LODGING - 3.1%           
 200,000   MGM Resort International  8.625  2/1/2019   204,000 
 497,000   MGM Resort International  5.250  3/31/2020   506,940 
               710,940 
     MACHINERY DIVERSIFIED - 0.2%           
 55,000   CNH Industrial Capital LLC  3.375  7/15/2019   55,093 
                 
     MEDIA - 0.7%           
 150,000   CSC Holdings LLC  8.625  2/15/2019   152,625 
                 
     OIL & GAS - 3.8%           
 324,000   Chesapeake Energy Corp.  7.250  12/15/2018   326,773 
 227,000   Ecopetrol SA  7.625  7/23/2019   235,808 
 300,000   Encana Corp.  6.500  5/15/2019   306,544 
               869,125 
     OIL & GAS SERVICES - 0.8%           
 177,000   SEACOR Holdings, Inc.  7.375  10/1/2019   183,195 
                 
     PHARMACEUTICALS - 0.5%           
 125,000   Teva Pharmaceutical Finance Netherlands III BV  1.700  7/19/2019   122,991 
                 
     PIPELINES - 2.9%           
 100,000   Andeavor Logistics LP/Tesoro Logistics Finance Corp.  5.500  10/15/2019   102,002 
 550,000   DCP Midstream Operating LP  2.700  4/1/2019   550,523 
               652,525 

 

 

CATALYST FUNDS
CATALYST/MAP GLOBAL BALANCED FUND
PORTFOLIO OF INVESTMENTS (Unaudited) (Continued)
September 30, 2018

  

Principal      Coupon Rate (%)  Maturity  Value 
     CORPORATE BONDS - 44.4% (Continued)           
     REIT - 0.4%           
$100,000   CoreCivic, Inc.  4.125  4/1/2020  $100,155 
                 
     RETAIL - 1.2%           
 263,000   L Brands, Inc.  7.000  5/1/2020   275,492 
                 
     SOFTWARE - 0.8%           
 177,000   CDK Global, Inc.  3.800  10/15/2019   177,531 
                 
     TELECOMMUNICATIONS - 10.9%           
 294,000   Anixter, Inc.  5.625  5/1/2019   298,410 
 50,000   Centel Capital Corp.  9.000  10/15/2019   52,263 
 73,000   CenturyLink, Inc.  6.150  9/15/2019   74,551 
 650,000   Frontier Communications Corp.  8.125  10/1/2018   650,000 
 275,000   Hughes Satellite Systems Corp.  6.500  6/15/2019   281,016 
 365,000   Nokia OYJ  5.375  5/15/2019   371,479 
 189,000   Sprint Capital Corp.  6.900  5/1/2019   192,544 
 540,000   Telecom Italia Capital SA  7.175  6/18/2019   550,800 
               2,471,063 
                 
     TOTAL CORPORATE BONDS (Cost - $10,117,607)         10,094,796 
                 
     TOTAL INVESTMENTS - 97.1% (Cost - $20,819,201)        $22,050,478 
     OTHER ASSETS LESS LIABILITIES - 2.9%         667,740 
     NET ASSETS - 100.0%        $22,718,218 

 

Contracts (a)      Counterparty  Expiration Date - Exercise Price  Notional Value   Value 
     CALL OPTIONS WRITTEN - (0.0)%*          
 400   Nokia OYJ  Pershing  1/18/2019 - $6.00  $240,000   $9,200 
     TOTAL CALL OPTIONS WRITTEN (Premium - $20,784)  

 

ADR - American Depositary Receipt

 

LLC - Limited Liability Company

 

LP - Limited Partnership

 

PLC - Public Limited Company

 

REIT - Real Estate Investment Trust

 

 *Non-income producing security.

 

+All or a portion of this security is segregated as collateral for options written.

 

(a)One contract is equivalent to 100 shares of the underlying common stock.

 

 

CATALYST FUNDS
CATALYST/MILLBURN HEDGE STRATEGY FUND
CONSOLIDATED PORTFOLIO OF INVESTMENTS (Unaudited)
September 30, 2018

  

Shares      Value 
     EXCHANGE TRADED FUNDS - 49.6%     
     EQUITY FUNDS - 49.6%     
 306,983   iShares China Large-Cap ETF  $13,145,012 
 1,813,968   iShares Core S&P Mid-Cap ETF   365,133,619 
 593,586   iShares MSCI Australia ETF   13,130,122 
 64,657   iShares MSCI Austria ETF   1,479,352 
 60,877   iShares MSCI Belgium ETF   1,167,012 
 393,070   iShares MSCI Brazil ETF   13,258,251 
 440,879   iShares MSCI Canada ETF   12,688,498 
 163,214   iShares MSCI Chile ETF   7,395,226 
 280,926   iShares MSCI France ETF   8,818,267 
 314,499   iShares MSCI Germany ETF   9,353,200 
 542,148   iShares MSCI Hong Kong ETF   12,968,180 
 25,885   iShares MSCI Israel ETF   1,449,819 
 281,507   iShares MSCI Italy ETF   7,786,484 
 220,636   iShares MSCI Japan ETF   13,288,906 
 209,769   iShares MSCI Malaysia ETF   6,786,027 
 246,196   iShares MSCI Mexico ETF   12,612,621 
 90,255   iShares MSCI Netherlands ETF   2,724,799 
 53,701   iShares MSCI Peru ETF   1,982,641 
 478,695   iShares MSCI Singapore ETF   11,617,928 
 129,902   iShares MSCI South Africa ETF   6,969,242 
 186,546   iShares MSCI South Korea ETF   12,735,496 
 310,357   iShares MSCI Spain ETF   9,189,671 
 156,301   iShares MSCI Sweden ETF   5,129,799 
 268,742   iShares MSCI Switzerland ETF   9,322,660 
 350,767   iShares MSCI Taiwan ETF   13,223,916 
 70,665   iShares MSCI Thailand ETF   6,663,710 
 271,805   iShares MSCI Turkey ETF   6,471,677 
 284,017   iShares MSCI United Kingdom ETF   9,690,660 
 1,988,837   iShares Russell 1000 ETF   321,614,831 
 2,138,215   iShares Russell 2000 ETF   360,396,138 
 367,664   iShares Russell Mid-Cap ETF   81,069,912 
 462,867   Schwab U.S. REIT ETF   19,315,440 
 619,233   VanEck Vectors Russia ETF   13,350,663 
 1,559,092   Vanguard FTSE Emerging Markets ETF   63,922,772 
 358,923   Vanguard FTSE Europe ETF   20,178,651 
 598,283   Vanguard Large-Cap ETF   79,876,763 
 837,533   Vanguard Mid-Cap ETF   137,514,543 
 1,607,723   Vanguard Real Estate ETF   129,711,092 
 202,063   Vanguard S&P 500 ETF   53,960,924 
 1,465,209   Vanguard Small-Cap ETF   238,213,679 
 520,169   WisdomTree India Earnings Fund   12,541,275 
     TOTAL EXCHANGE TRADED FUNDS (Cost - $1,846,370,212)   2,127,849,478 
Principal         
     UNITED STATES GOVERNMENT SECURITIES - 25.1%     
$277,520,000   United States Treasury Note, 1.250%, 11/15/2018 + ^   277,232,326 
 277,160,000   United States Treasury Note, 0.750%, 2/15/2019 + ^   275,514,362 
 252,220,000   United States Treasury Note, 0.875%, 05/15/2019 + ^   249,742,135 
 279,310,000   United States Treasury Note, 0.750%, 08/15/2019 + ^   274,869,407 
     TOTAL UNITED STATES GOVERNMENT SECURITIES (Cost - $1,078,431,016)   1,077,358,230 
           
     TOTAL INVESTMENTS - 74.7% (Cost - $2,924,801,228)  $3,205,207,708 
     OTHER ASSETS LESS LIABILITIES - 25.3%   1,082,947,538 
     NET ASSETS - 100.0%  $4,288,155,246 

 

ETF - Exchange Traded Fund

 

+All or a portion of this investment is a holding of the CMHSF Fund Limited CFC.

 

^All or a portion of this security is segregated as collateral for futures contracts.

 

 

CATALYST FUNDS
CATALYST/MILLBURN HEDGE STRATEGY FUND
CONSOLIDATED PORTFOLIO OF INVESTMENTS (Unaudited) (Continued)
September 30, 2018

 

              Unrealized 
              Appreciation 
Long Contracts      Notional   Maturity  (Depreciation) 
     OPEN LONG FUTURES CONTRACTS - 1.8%             
 687   Amsterdam Index Future   87,686,848   October-18  $1,102,164 
 2,768   Australian 10 Year Bond Future   258,065,115   December-18   (1,660,500)
 683   Australian 3 Year Bond Future   54,986,127   December-18   27,562 
 2,965   Brent Crude Future +   245,294,450   December-18   14,920,070 
 721   Brent Crude Future +   59,295,040   January-19   3,878,390 
 224   Brent Crude Future +   18,329,920   February-19   1,045,090 
 120   Brent Crude Future +   9,783,600   March-19   461,890 
 65   Brent Crude Future +   5,280,600   April-19   215,390 
 39   Brent Crude Future +   3,156,660   May-19   136,310 
 1,094   CAC 40 10 Euro Future   69,754,087   October-18   1,362,321 
 175   Cocoa Future +   3,599,750   December-18   (340,100)
 27   Cotton No. 2 Future +   1,030,995   December-18   (29,905)
 114   DAX Index Future   40,522,763   December-18   (590,884)
 408   Dija Mini E-CBOT Future   54,011,040   December-18   (50,550)
 364   E-mini Russell 2000 Future   30,954,560   December-18   (25,885)
 1,162   Euro-BTP Future   167,142,394   December-18   (3,941,769)
 902   Euro-Bund Future   166,360,123   December-18   236,065 
 1,343   Euro BUXL Future   271,921,018   December-18   (181,177)
 1,534   Euro-Oat Future   269,132,185   December-18   (1,871,111)
 4,514   FTSE 100 Index Future   440,691,890   December-18   11,039,056 
 62   FTSE China A50   738,575   October-18   4,415 
 738   Gasoline RBOB Future +   64,648,357   November-18   2,336,414 
 401   Gasoline RBOB Future +   34,958,939   December-18   909,497 
 43   Gasoline RBOB Future +   3,745,825   January-19   75,268 
 8   Gasoline RBOB Future +   698,981   February-19   9,555 
 4   IBEX 35 Future   435,238   October-18   (5,935)
 134   Japan 10 Year Bond Future   177,066,162   December-18   (89,499)
 1,665   KO SPI 2 Future   113,176,471   December-18   (131,403)
 205   Lean Hogs Future +   4,749,850   December-18   27,180 
 2   LME Copper Future +   313,125   December-18   (1,685)
 34   LME PRI Aluminum Future +   1,764,175   December-18   2,641 
 1,296   Low Sulphur Gasoil G Future +   93,862,800   November-18   2,794,200 
 918   Low Sulphur Gasoil G Future +   66,210,750   December-18   1,094,125 
 230   Low Sulphur Gasoil G Future +   16,548,500   January-19   183,500 
 175   MSCI Taiwan Index Future   7,185,500   October-18   (13,150)

 

 

CATALYST FUNDS
CATALYST/MILLBURN HEDGE STRATEGY FUND
CONSOLIDATED PORTFOLIO OF INVESTMENTS (Unaudited) (Continued)
September 30, 2018

 

              Unrealized 
              Appreciation 
Long Contracts      Notional   Maturity  (Depreciation) 
     OPEN LONG FUTURES CONTRACTS - 1.8% (Continued)             
 206   Natural Gas Future +   6,367,460   December-18  $(23,200)
 870   Natural Gas Future +   27,570,300   January-19   (486,280)
 69   Natural Gas Future +   2,016,870   March-19   (2,480)
 781   Nikkei 225 (OSE) Future   165,846,899   December-18   9,505,436 
 981   Nikkei 225 (SGX) Future   104,266,607   December-18   5,794,390 
 22   NY Harbor ULSD Future +   2,170,014   November-18   (6,069)
 243   NY Harbor ULSD Future +   24,010,636   December-18   379,835 
 113   NY Harbor ULSD Future +   11,179,678   January-19   386,450 
 61   NY Harbor ULSD Future +   6,027,617   February-19   255,809 
 1,110   OMXS30 Index Future   20,719,201   October-18   47,104 
 91   S&P Mid 400 E-Mini Future   18,429,320   December-18   (89,910)
 178   S&P/TSX 60 IX Future   26,172,582   December-18   (204,339)
 3,332   S&P 500 E-Mini Future   486,305,400   December-18   (207,663)
 323   SET50 Future   2,316,132   December-18   2,520 
 654   SPI 200 Future   73,275,283   December-18   347,890 
 2,423   TOPIX Index Future   387,709,865   December-18   20,496,957 
 2,452   WTI Crude Future +   179,609,000   November-18   5,678,670 
 808   WTI Crude Future +   59,032,480   December-18   1,989,580 
 237   WTI Crude Future +   17,274,930   January-19   568,460 
 126   WTI Crude Future +   9,160,200   February-19   353,690 
 72   WTI Crude Future +   5,220,720   March-19   179,390 
 44   WTI Crude Future +   3,181,640   April-19   119,380 
 9   WTI Crude Future +   648,810   May-19   25,130 
     Net Unrealized Gain From Open Long Futures Contracts          $78,038,300 
                   
(Short) Contracts                 
     OPEN SHORT FUTURES CONTRACTS - 0.6%             
 (2,824)  90-Day Euro$ Future   (684,890,600)  June-19   489,550 
 (4,739)  90-Day Euro$ Future   (1,148,259,700)  September-19   1,142,075 
 (5,900)  90-Day Euro$ Future   (1,428,685,000)  December-19   2,676,775 
 (5,848)  90-Day Euro$ Future   (1,415,727,700)  March-20   2,670,012 
 (5,447)  90-Day Euro$ Future   (1,318,582,525)  June-20   2,224,538 
 (4,637)  90-Day Euro$ Future   (1,122,559,738)  September-20   2,245,163 
 (3,942)  90-Day Euro$ Future   (954,308,925)  December-20   2,303,737 
 (236)  Canadian 10 Year Bond Future   (24,213,461)  September-18   (35,245)
 (1,622)  CBOE VIX Future   (22,667,450)  October-18   1,221,630 
 (655)  CBOE VIX Future   (9,808,625)  November-18   131,680 
 (205)  CBOE VIX Future   (3,121,125)  December-18   41,230 
 (124)  CBOE VIX Future   (1,949,900)  January-19   18,360 
 (34)  Coffee ‘C’ Future +   (1,306,238)  December-18   (56,100)
 (675)  Copper Future +   (47,334,375)  December-18   (129,025)
 (3,476)  Corn Future +   (61,916,250)  December-18   1,960,113 
 (616)  Euro BOBL Future   (93,513,831)  December-18   (223,826)
 (2,921)  Euro-Schatz Future   (379,223,972)  December-18   62,331 
 (136)  Euro Stoxx 50 Future   (5,350,245)  December-18   6,319 
 (234)  FTSE/JSE Top 40 Future   (8,287,498)  December-18   111,635 
 (124)  FTSE/MIB Index Future   (14,893,020)  December-18   82,795 
 (1,835)  Gold 100 oz. Future +   (219,502,700)  December-18   (64,900)
 (724)  Hang Seng Index Future   (128,966,172)  October-18   (739,302)
 (903)  HSCEI Future   (63,839,742)  October-18   (583,660)
 (400)  KC Red Wheat Future +   (10,225,000)  December-18   480,813 
 (23)  Live Cattle Future +   (1,093,420)  December-18   (1,370)
 (30)  LME Lead Future +   (1,526,813)  December-18   (23,069)
 (89)  LME Nickel Future +   (6,724,128)  December-18   (28,598)
 (134)  LME Zinc Future +   (8,783,700)  December-18   (498,080)
 (1,270)  Long Gilt Future   (200,294,194)  December-18   (642,698)
 (84)  MSCI EAFE Future   (8,297,100)  December-18   65,350 
 (279)  MSCI Emerging Market Future   (14,643,315)  December-18   (190)

 

 

CATALYST FUNDS
CATALYST/MILLBURN HEDGE STRATEGY FUND
CONSOLIDATED PORTFOLIO OF INVESTMENTS (Unaudited) (Continued)
September 30, 2018

 

              Unrealized 
              Appreciation 
(Short) Contracts      Notional   Maturity  (Depreciation) 
     OPEN SHORT FUTURES CONTRACTS - 0.6% (Continued)             
 (44)  Nasdaq 100 E-Mini Future   (6,736,620)  December-18  $10,575 
 (343)  Natural Gas Future +   (10,317,440)  November-18   (33,980)
 (570)  Natural Gas Future +   (17,584,500)  February-19   (800,070)
 (51)  Platinum Future +   (2,097,120)  January-19   (5,320)
 (306)  Silver Future +   (22,509,360)  December-18   (675,110)
 (813)  Soybean Future +   (34,369,575)  November-18   167,813 
 (90)  Soybean Meal Future +   (2,781,000)  December-18   16,960 
 (27)  Soybean Oil Future +   (469,638)  December-18   (3,936)
 (9,207)  US 10 Year Note (CBT)   (1,093,618,969)  December-18   1,179,594 
 (10,256)  US 2 Year Note (CBT)   (2,161,291,760)  December-18   2,355,753 
 (19,704)  US 5 Year Note (CBT)   (2,216,238,197)  December-18   7,879,373 
 (2,505)  US Long Bond Future   (351,952,500)  December-18   64,969 
 (1,174)  US Ultra Bond Future   (181,126,188)  December-18   (316,188)
 (461)  Wheat Future +   (11,732,450)  December-18   346,425 
 (497)  World Sugar #11 Future +   (6,234,368)  March-19   (127,859)
     Net Unrealized Gain From Open Short Futures Contracts          $24,967,042 
     Total Unrealized Gain From Open Futures Contracts          $103,005,342 

 

+All or a portion of this investment is a holding of the CMHSF Fund Limited CFC.

 

 

CATALYST FUNDS
CATALYST/MILLBURN HEDGE STRATEGY FUND
CONSOLIDATED PORTFOLIO OF INVESTMENTS (Continued)
September 30, 2018

  

FORWARD FOREIGN CURRENCY CONTRACTS 
                     Unrealized 
   Settlement     Currency Amount   Cost of       Appreciation 
Foreign Currency  Date  Counterparty  Purchased   USD Sold   Fair Value   (Depreciation) 
To Buy:                          
British Pound  10/1/2018  BAML   70,930,000   $92,890,637   $92,496,358   $(394,279)
Canadian Dollar  10/1/2018  BAML   38,550,000    29,762,126    29,823,618    61,492 
Euro  10/1/2018  BAML   122,610,000    143,077,287    142,411,624    (665,663)
Mexican Peso  10/1/2018  BAML   275,520,000    14,654,130    14,734,280    80,150 
Mexican Peso  10/1/2018  MSSB   33,200,000    1,764,872    1,775,472    10,600 
New Zealand Dollar  10/1/2018  BAML   20,500,000    13,632,262    13,590,489    (41,773)
Norewegian Krone  10/1/2018  BAML   69,270,000    8,511,710    8,506,379    (5,331)
Polish Zloty  10/1/2018  BAML   61,070,000    16,708,846    16,567,645    (141,201)
Polish Zloty  10/1/2018  MSSB   5,660,000    1,547,801    1,535,498    (12,303)
Singapore Dollar  10/1/2018  BAML   4,740,000    3,468,234    3,469,097    863 
South African Rand  10/1/2018  BAML   5,730,000    407,029    404,911    (2,118)
Swedish Krona  10/1/2018  BAML   9,470,000    1,073,305    1,064,859    (8,446)
Swiss Franc  10/1/2018  BAML   21,750,000    22,270,491    22,266,584    (3,907)
Australian Dollar  10/2/2018  BAML   12,510,000    9,053,840    9,051,617    (2,223)
British Pound  10/2/2018  BAML   5,750,000    7,507,338    7,498,295    (9,043)
Euro  10/2/2018  BAML   94,880,000    110,189,837    110,203,205    13,368 
Israeli Shekel  10/2/2018  BAML   18,480,000    5,084,886    5,082,229    (2,657)
Israeli Shekel  10/2/2018  MSSB   5,280,000    1,462,037    1,452,065    (9,972)
New Zealand Dollar  10/2/2018  BAML   24,290,000    16,123,945    16,103,060    (20,885)
Norwegian Krone  10/2/2018  BAML   117,790,000    14,478,182    14,464,652    (13,530)
Polish Zloty  10/2/2018  BAML   32,940,000    8,944,767    8,936,274    (8,493)
Singapore Dollar  10/2/2018  BAML   12,330,000    9,021,863    9,024,042    2,179 
South African Rand  10/2/2018  BAML   24,720,000    1,749,618    1,746,842    (2,776)
Swedish Krona  10/2/2018  BAML   166,430,000    18,744,988    18,714,299    (30,689)
Swiss Franc  10/2/2018  BAML   31,650,000    32,390,851    32,401,719    10,868 
Australian Dollar  10/3/2018  BAML   25,570,000    18,441,213    18,501,586    60,373 
Australian Dollar  10/17/2018  BAML   591,450,000    428,042,947    427,997,964    (44,983)
Brazilian Real  10/17/2018  BAML   27,370,000    6,722,721    6,844,479    121,758 
Brazilian Real  10/17/2018  MSSB   972,910,000    239,295,016    243,297,874    4,002,858 
British Pound  10/17/2018  BAML   170,510,000    222,908,947    222,525,891    (383,056)
British Pound  10/17/2018  MSSB   10,550,000    13,736,195    13,768,390    32,195 
Canadian Dollar  10/17/2018  BAML   433,600,000    332,725,437    335,576,696    2,851,259 
Chilean Peso  10/17/2018  BAML   22,428,000,000    33,480,415    34,020,120    539,705 
Colombian Peso  10/17/2018  BAML   33,971,000,000    11,232,634    11,441,536    208,902 
Euro  10/17/2018  BAML   396,090,000    462,669,842    460,690,244    (1,979,598)
Indian Rupee  10/17/2018  MSSB   4,426,050,000    60,962,195    60,914,787    (47,408)
Israeli Shekel  10/17/2018  BAML   16,000,000    4,478,245    4,406,590    (71,655)
Israeli Shekel  10/17/2018  MSSB   4,360,000    1,223,394    1,200,796    (22,598)
Japanese Yen  10/17/2018  BAML   35,880,000,000    322,674,142    316,287,474    (6,386,668)
Mexican Peso  10/17/2018  BAML   2,512,450,000    131,504,437    133,958,216    2,453,779 
New Zealand Dollar  10/17/2018  BAML   302,900,000    200,891,757    200,829,412    (62,345)
Norwegian Krone  10/17/2018  BAML   1,026,280,000    124,648,119    126,116,876    1,468,757 
Polish Zloty  10/17/2018  BAML   262,080,000    71,142,843    71,124,527    (18,316)
Russian Ruble  10/17/2018  BAML   3,124,740,000    47,576,099    47,624,609    48,510 
Russian Ruble  10/17/2018  MSSB   11,112,650,000    165,487,923    169,369,489    3,881,566 
Singapore Dollar  10/17/2018  BAML   57,630,000    42,115,808    42,194,345    78,537 
South African Rand  10/17/2018  BAML   1,928,050,000    129,411,850    135,930,122    6,518,272 
South Korean Won  10/17/2018  BAML   39,400,000,000    35,256,161    35,532,184    276,023 
South Korean Won  10/17/2018  MSSB   3,633,000,000    3,231,794    3,276,356    44,562 
Swedish Krona  10/17/2018  BAML   1,140,810,000    127,481,508    128,461,971    980,463 
Swedish Krona  10/17/2018  MSSB   7,810,000    889,784    879,452    (10,332)
Swiss Franc  10/17/2018  BAML   132,470,000    137,369,103    135,828,122    (1,540,981)
Swiss Franc  10/17/2018  MSSB   21,800,000    22,681,705.00    22,352,631    (329,074)
Turkish Lira New  10/17/2018  BAML   465,150,000    72,668,401.00    76,563,333    3,894,932 
               4,055,471,517    4,070,841,185    15,369,668 

 

 

CATALYST FUNDS
CATALYST/MILLBURN HEDGE STRATEGY FUND
CONSOLIDATED PORTFOLIO OF INVESTMENTS (Continued)
September 30, 2018

  

                     Unrealized 
   Settlement     Currency Amount   Cost of       Appreciation 
Foreign Currency  Date  Counterparty  Purchased   USD Purchased   Fair Value   (Depreciation) 
To Sell:                          
British Pound  10/1/2018  BAML   (70,930,000)  $(93,089,860)  $(92,496,358)  $593,502 
Canadian Dollar  10/1/2018  BAML   (38,550,000)   (29,813,232)   (29,823,611)   (10,379)
Euro  10/1/2018  BAML   (122,610,000)   (143,404,112)   (142,411,624)   992,488 
Mexican Peso  10/1/2018  BAML   (308,720,000)   (16,418,395)   (16,509,753)   (91,358)
New Zealand Dollar  10/1/2018  BAML   (20,500,000)   (13,579,815)   (13,590,478)   (10,663)
Norwegian Krone  10/1/2018  BAML   (69,270,000)   (8,525,915)   (8,506,379)   19,536 
Polish Zloty  10/1/2018  BAML   (66,730,000)   (18,219,795)   (18,103,144)   116,651 
Singapore Dollar  10/1/2018  BAML   (4,740,000)   (3,470,855)   (3,469,097)   1,758 
South African Rand  10/1/2018  BAML   (5,730,000)   (408,108)   (404,911)   3,197 
Swedish Krona  10/1/2018  BAML   (9,470,000)   (1,070,299)   (1,064,859)   5,440 
Swiss Franc  10/1/2018  BAML   (21,750,000)   (22,274,172)   (22,266,585)   7,587 
Australian Dollar  10/2/2018  BAML   (12,510,000)   (9,029,342)   (9,051,610)   (22,268)
British Pound  10/2/2018  BAML   (5,750,000)   (7,501,650)   (7,498,295)   3,355 
Euro  10/2/2018  BAML   (94,880,000)   (110,039,986)   (110,203,205)   (163,219)
Israeli Shekel  10/2/2018  BAML   (23,760,000)   (6,549,836)   (6,534,294)   15,542 
New Zealand Dollar  10/2/2018  BAML   (24,290,000)   (16,072,427)   (16,103,060)   (30,633)
Norwegian Krone  10/2/2018  BAML   (117,790,000)   (14,442,881)   (14,464,652)   (21,771)
Polish Zloty  10/2/2018  BAML   (32,940,000)   (8,940,254)   (8,936,274)   3,980 
Singapore Dollar  10/2/2018  BAML   (12,330,000)   (9,015,859)   (9,024,042)   (8,183)
South African Rand  10/2/2018  BAML   (24,720,000)   (1,745,153)   (1,746,842)   (1,689)
Swedish Krona  10/2/2018  BAML   (166,430,000)   (18,736,350)   (18,714,299)   22,051 
Swiss Franc  10/2/2018  BAML   (31,650,000)   (32,424,214)   (32,401,720)   22,494 
Australian Dollar  10/3/2018  BAML   (25,570,000)   (18,495,548)   (18,501,588)   (6,040)
Australian Dollar  10/17/2018  BAML   (946,440,000)   (679,220,569)   (684,883,578)   (5,663,009)
Brazilian Real  10/17/2018  BAML   (246,990,000)   (61,262,342)   (61,765,366)   (503,024)
Brazilian Real  10/17/2018  MSSB   (1,000,280,000)   (242,226,467)   (250,142,355)   (7,915,888)
British Pound  10/17/2018  BAML   (620,160,000)   (803,824,049)   (809,346,410)   (5,522,361)
Canadian Dollar  10/17/2018  BAML   (670,550,000)   (510,096,784)   (518,959,765)   (8,862,981)
Chilean Peso  10/17/2018  BAML   (22,823,000,000)   (32,969,093)   (34,619,273)   (1,650,180)
Colombian Peso  10/17/2018  BAML   (21,817,000,000)   (7,076,601)   (7,348,031)   (271,430)
Euro  10/17/2018  BAML   (1,016,940,000)   (1,183,962,204)   (1,182,797,690)   1,164,514 
Indian Rupee  10/17/2018  BAML   (1,084,880,000)   (14,923,722)   (14,930,973)   (7,251)
Indian Rupee  10/17/2018  MSSB   (4,426,050,000)   (61,558,791)   (60,914,788)   644,003 
Israeli Shekel  10/17/2018  BAML   (99,980,000)   (27,857,126)   (27,535,689)   321,437 
Japanese Yen  10/17/2018  BAML   (137,776,000,000)   (1,236,053,269)   (1,214,515,693)   21,537,576 
Mexican Peso  10/17/2018  BAML   (381,600,000)   (20,161,901)   (20,346,059)   (184,158)
New Zealand Dollar  10/17/2018  BAML   (892,800,000)   (587,925,330)   (591,946,183)   (4,020,853)
Norwegian Krone  10/17/2018  BAML   (1,853,300,000)   (221,412,247)   (227,747,211)   (6,334,964)
Polish Zloty  10/17/2018  BAML   (377,160,000)   (101,533,402)   (102,355,489)   (822,087)
Russian Ruble  10/17/2018  MSSB   (11,527,310,000)   (169,845,313)   (175,689,380)   (5,844,067)
Singapore Dollar  10/17/2018  BAML   (55,280,000)   (40,327,947)   (40,473,770)   (145,823)
South African Rand  10/17/2018  BAML   (1,928,050,000)   (126,538,212)   (135,930,122)   (9,391,910)
South Korean Won  10/17/2018  BAML   (24,192,000,000)   (21,580,102)   (21,817,120)   (237,018)
Swedish Krona  10/17/2018  BAML   (2,249,700,000)   (247,750,139)   (253,329,565)   (5,579,426)
Swiss Franc  10/17/2018  BAML   (598,820,000)   (618,507,379)   (614,000,118)   4,507,261 
Turkish Lira New  10/17/2018  BAML   (20,480,000)   (2,980,631)   (3,370,992)   (390,361)
South African Rand  11/21/2018  BAML   (40,060,000)   (2,817,522)   (2,810,850)   6,672 
              $(7,625,679,204)  $(7,659,403,154)  $(33,723,950)
                           
Total Unrealized Depreciation        $(18,354,282)

 

BAML - Bank of America Merrill Lynch

 

MSSB - Morgan Stanley Smith Barney

 

 

CATALYST FUNDS
CATALYST/MILLBURN HEDGE STRATEGY FUND
CONSOLIDATED PORTFOLIO OF INVESTMENTS (Continued)
September 30, 2018

 

FORWARD FOREIGN CURRENCY CONTRACTS 
                    U.S. Dollar   U.S. Dollar   Unrealized 
      Settlement     Currency Amount   Currency Amount   Market Value   Market Value   Appreciation 
Foreign Currency     Date  Counterparty  Purchased Buy   Purchased Sell   Buy   Sell   (Depreciation) 
To Buy:  To Sell:                               
Euro  Norwegian Krone  10/17/2018  BAML   64,050,000    (621,644,682)   74,496,226    (76,392,296)  $(1,896,073)
Euro  Polish Zloty  10/17/2018  BAML   1,260,000    (5,465,235)   1,465,500    (1,483,182)   (17,682)
Euro  Polish Zloty  10/17/2018  MSSB   30,840,000    (132,253,945)   35,869,846    (35,891,710)   (21,864)
Euro  Swedish Krona  10/17/2018  BAML   135,140,000    (1,394,449,427)   157,180,640    (157,023,277)   157,366 
Euro  Swedish Krona  10/17/2018  MSSB   161,930,000    (1,690,788,652)   188,339,951    (190,392,832)   (2,052,881)
Norwegian Krone  Euro  10/17/2018  BAML   771,346,199    (80,210,000)   94,788,726    (93,291,839)   1,496,891 
Norwegian Krone  Euro  10/17/2018  MSSB   11,521,520    (1,180,000)   1,415,850    (1,372,452)   43,398 
Polish Zloty  Euro  10/17/2018  BAML   108,343,832    (25,350,000)   29,402,869    (29,484,455)   (81,586)
Polish Zloty  Euro  10/17/2018  MSSB   137,656,551    (32,100,000)   37,357,895    (37,335,345)   22,545 
Swedish Krona  Euro  10/17/2018  MSSB   2,047,277,512    (197,010,000)   230,535,592    (229,141,319)   1,394,273 
                      $850,853,093   $(851,808,706)  $(955,613)

 

BAML - Bank of America Merrill Lynch

 

MSSB - Morgan Stanley Smith Barney

 

 

CATALYST FUNDS
CATALYST MLP & INFRASTRUCTURE FUND
PORTFOLIO OF INVESTMENTS (Unaudited)
September 30, 2018

 

Shares      Value 
     COMMON STOCK - 100.0%     
     GAS - 3.2%     
 196,182   Western Gas Equity Partners LP  $5,873,689 
           
     OIL & GAS - 2.7%     
 836   Andeavor   128,326 
 8,917   EQT GP Holdings LP   185,741 
 40,842   Marathon Petroleum Corp.   3,266,135 
 12,408   Phillips 66   1,398,630 
 805   Valero Energy Corp.   91,569 
         5,070,401 
     OIL & GAS SERVICES - 3.9%     
 575,486   Archrock, Inc.   7,020,929 
 6,076   US Silica Holdings, Inc.   114,411 
         7,135,340 
     PIPELINES - 90.2%     
 169,920   Antero Midstream GP LP   2,875,046 
 1,399   Buckeye Partners LP   49,958 
 220,434   Cheniere Energy, Inc. *   15,317,959 
 219,257   Crestwood Equity Partners LP   8,057,695 
 246,961   Enbridge, Inc.   7,974,371 
 800,158   Energy Transfer Equity LP   13,946,754 
 518,313   EnLink Midstream LLC   8,526,249 
 184,303   Enterprise Products Partners LP   5,295,025 
 465,230   Kinder Morgan, Inc.   8,248,528 
 34,221   Magellan Midstream Partners LP   2,317,446 
 118,550   NuStar Energy LP   3,295,690 
 191,766   ONEOK, Inc.   12,999,817 
 255,180   Pembina Pipeline Corp.   8,673,568 
 597,206   Plains GP Holdings LP   14,649,463 
 358,292   SemGroup Corp.   7,900,339 
 372,179   Tallgrass Energy LP   8,775,981 
 261,534   Targa Resources Corp.   14,726,979 
 316,125   Tellurian, Inc. *   2,835,641 
 202,221   TransCanada Corp.   8,181,862 
 461,108   Williams Cos., Inc.   12,537,526 
         167,185,897 
           
     TOTAL COMMON STOCK (Cost - $182,347,933)   185,265,327 
           
     TOTAL INVESTMENTS - 100.0% (Cost - $182,347,933)  $185,265,327 
     OTHER ASSETS LESS LIABILITIES - 0.0%   40,016 
     NET ASSETS - 100.0%  $185,305,343 

 

LLC - Limited Liability Company

 

LP - Limited Partnership

 

 *Non-income producing security.

 

 

CATALYST FUNDS
CATALYST FLOATING RATE INCOME FUND
PORTFOLIO OF INVESTMENTS (Unaudited)
September 30, 2018

 

Shares                Value 
     COMMON STOCK - 0.3%                
     SOFTWARE - 0.3%                
 7,817   Avaya Holdings Corp.             $173,068 
     TOTAL COMMON STOCK (Cost - $198,736)            
                      
     EXCHANGE TRADED FUND - 3.2%          
 75,000   Invesco Senior Loan ETF              1,737,750 
     TOTAL EXCHANGE TRADED FUND (Cost - $1,737,051)            
                      
Principal      Variable Rate  Coupon Rate (%)   Maturity    
     CORPORATE BONDS - 7.0%             
     BANKS - 0.9%                
$500,000   Deutsche Bank  3 Month LIBOR + 1.230%   3.541 *  2/27/2023   488,452 
                      
     ENTERTAINMENT - 0.1%                
 50,000   Delta Merger Sub, Inc. #      6.000   9/15/2026   50,750 
                      
     ENVIRONMENTAL CONTROL - 1.7%             
 1,000,000   Hulk Finance Corp. #      7.000   6/1/2026   968,750 
                      
     HEALTHCARE-PRODUCTS - 0.5%             
 350,000   Mallinckrodt International Finance SA   4.750   4/15/2023   300,125 
                      
     MINING - 1.1%                
 500,000   HCA, Inc.      5.375   9/1/2026   506,250 
 100,000   HCA, Inc.      5.625   9/1/2028   100,750 
                    607,000 
     MACHINERY - DIVERSIFIED- 0.1%             
 50,000   Stevens Holding Co., Inc. #      6.125   10/1/2026   50,938 
                      
     MEDIA - 0.8%                
 500,000   McGraw-Hill Global Education Holdings LLC #   7.875   5/15/2024   450,000 
                      
     PHARMACEUTICALS - 0.9%             
 500,000   Bausch Health Cos., Inc. #      6.125   4/15/2025   476,250 
                      
     RETAIL - 0.9%                
 500,000   Party City Holdings, Inc. #      6.625   8/1/2026   507,500 
                      
     TOTAL CORPORATE BONDS (Cost - $3,914,252)           3,899,765 
                      
     COLLATERALIZED LOAN OBLIGATIONS - 3.6%             
 500,000   Carlyle US CLO 2017-1 Ltd. #  3 Month LIBOR + 6.000%   8.348 *  4/20/2031   503,751 
 1,000,000   Carlyle US CLO 2017-2 Ltd. #  3 Month LIBOR + 6.150%   8.498 *  7/20/2031   1,005,515 
 500,000   Octagon Investment Partners 37 Ltd. #  3 Month LIBOR + 5.400%   7.760 *  7/25/2030   496,689 
     TOTAL COLLATERALIZED LOAN OBLIGATIONS (Cost - $1,948,983)       2,005,955 

 

 

CATALYST FUNDS
CATALYST FLOATING RATE INCOME FUND
PORTFOLIO OF INVESTMENTS (Unaudited) (Continued)
September 30, 2018

 

Principal      Variable Rate  Coupon Rate (%)   Maturity  Value 
     BANK LOANS - 84.5%                
     AEROSPACE & DEFENSE - 1.8%                
$497,500   Transdigm  1 Month LIBOR + 2.500%   4.742 *  8/22/2024  $499,565 
 498,750   Transdigm  1 Month LIBOR + 2.500%   4.742 *  5/30/2025   500,740 
                    1,000,305 
     AIR TRANSPORT - 1.4%                
 250,000   American Airlines, Inc.  1 Month LIBOR + 2.000%   4.318 *  10/10/2021   250,351 
 500,000   Lineage Logistics, LLC  1 Month LIBOR + 3.000%   5.242 *  2/16/2025   500,105 
                    750,456 
     AUTOMOTIVE - 0.6%                
 86,000   Altra Industrial Motion  1 Month LIBOR + 2.500%   5.000 *  9/21/2025   86,336 
 250,000   Garrett Motion Inc.  3 Month LIBOR + 2.500%   4.890 *  9/21/2025   250,625 
                    336,961 
     BUILDING & DEVELOPMENT - 3.1%                
 480,480   Capital Automotive L.P.  1 Month LIBOR + 2.500%   4.750 *  3/25/2024   481,781 
 1,000,000   Cushman Wakefield  1 Month LIBOR + 3.250%   5.492 *  8/15/2025   1,005,625 
 250,000   Hillman Group, Inc.  1 Month LIBOR + 4.000%   6.242 *  5/30/2025   247,594 
                    1,735,000 
     BUSINESS EQUIPMENT & SERVICES - 7.7%                
 500,000   Alight Solutions  1 Month LIBOR + 2.750%   5.242 *  5/1/2024   502,545 
 350,000   Allied Universal  3 Month LIBOR + 3.750%   6.136 *  7/28/2022   345,406 
 500,000   Blackhawk Network Holdings, Inc.  3 Month LIBOR + 3.000%   4.992 *  6/15/2025   503,707 
 494,937   Change Healthcare  1 Month LIBOR + 2.750%   4.992   3/1/2024   497,142 
 429,210   Digicert Inc.  3 Month LIBOR + 3.750%   6.061 *  10/31/2024   430,955 
 492,121   EIG Investors Corp.  3 Month LIBOR + 3.500%   5.886 *  5/23/2025   496,691 
 500,000   Insight Global, Inc.  1 Month LIBOR + 1.750%   3.992 *  1/2/2026   505,000 
 498,750   Iron Mountain Incorporated  1 Month LIBOR + 3.000%   5.242 *  5/1/2024   494,541 
 500,000   Vistra Group  1 Month LIBOR + 3.000%   5.242 *  10/26/2022   503,125 
                    4,279,112 
     CABLE & SATELLITE TELEVISION - 1.8%                
 500,000   SFR Group S.A  1 Month LIBOR + 3.688%   5.846 *  1/31/2026   495,135 
 500,000   Telenet Financing USD LLC  1 Month LIBOR + 2.250%   4.408 *  8/15/2026   498,555 
                    993,690 
     CHEMICAL & PLASTICS - 0.5%                
 250,000   Addivant (SI Group)  3 Month LIBOR + 4.750%   7.186 *  8/21/2025   251,563 
                      
     CLOTHING & TEXTILES - 0.7%                
 400,000   Hercules Achievement, Inc.  1 Month LIBOR + 3.500%   5.742 *  12/16/2024   401,624 
                      
     CONTAINERS & GLASS PRODUCTS - 1.1%                
 625,000   Prolamina-Ampac  3 Month LIBOR + 3.500%   5.841 *  11/20/2023   628,281 
                      
     DIVERSIFIED INSURANCE - 2.7%                
 500,000   Assured Partners  1 Month LIBOR + 3.250%   3.496 *  10/22/2024   501,875 
 500,000   Sedgwick Claims Management Services, Inc.  1 Month LIBOR + 3.000%   5.000 *  2/28/2022   502,815 
 500,000   USI Inc. (Compass Investors)  3 Month LIBOR + 3.000%   5.386 *  5/16/2024   500,813 
                    1,505,503 
     DRUGS - 1.8%                
 500,000   Albany Molecular Research, Inc.  1 Month LIBOR + 3.250%   5.492 *  8/28/2024   501,437 
 500,000   Amneal Pharmaceuticals LLC  1 Month LIBOR + 3.500%   5.750 *  5/4/2025   505,313 
                    1,006,750 

 

 

CATALYST FUNDS
CATALYST FLOATING RATE INCOME FUND
PORTFOLIO OF INVESTMENTS (Unaudited) (Continued)
September 30, 2018

  

Principal      Variable Rate  Coupon Rate (%)   Maturity  Value 
     BANK LOANS - 84.5% (Continued)             
     ECOLOGICAL SERVICES & EQUIPMENT - 0.6%             
$350,000   Gopher Resource  1 Month LIBOR + 3.250%   5.492 *  2/9/2025  $351,969 
                      
     ELECTRONICS/ELECTRICAL - 11.6%             
 1,000,000   BMC Software Inc.  1 Month LIBOR + 3.000%   5.000 *  10/2/2025   1,010,905 
 427,403   BMC Software Inc.  1 Month LIBOR + 3.250%   5.492 *  10/2/2025   432,121 
 250,000   McAfee  1 Month LIBOR + 8.500%   10.742 *  9/29/2025   255,625 
 497,494   McAfee  1 Month LIBOR + 4.500%   6.742 *  9/29/2025   502,203 
 750,000   Micro Focus  1 Month LIBOR + 2.250%   4.492 *  11/19/2021   747,844 
 500,000   Qlik Technologies  6 Month LIBOR + 3.500%   5.990 *  4/26/2024   500,730 
 500,000   Quest/One Identity  3 Month LIBOR + 4.250%   6.572 *  5/16/2025   504,842 
 250,000   Quest/One Identity  3 Month LIBOR + 8.250%   10.572 *  5/18/2026   248,751 
 500,000   SolarWinds Inc.  1 Month LIBOR + 3.000%   5.000 *  2/5/2024   503,507 
 353,642   SS&C Technologies Inc  1 Month LIBOR + 2.250%   4.492 *  4/16/2025   354,417 
 137,567   SS&C Technologies Inc  1 Month LIBOR + 3.000%   5.000 *  4/16/2025   138,555 
 750,000   Verifone, Inc.  1 Month LIBOR + 4.000%   6.322 *  8/20/2025   755,719 
 500,000   Verra Mobility  1 Month LIBOR + 3.750%   6.045 *  2/28/2025   503,125 
                    6,458,344 
     FINANCIAL INTERMEDIARIES - 4.1%             
 873,940   First Data Corporation  1 Month LIBOR + 2.000%   4.212 *  4/26/2024   875,653 
 1,000,000   Russell Investments  1 Month LIBOR + 3.250%   5.492 *  10/1/2025   998,960 
 400,000   Thomson Reuters Financial & Risk  1 Month LIBOR + 3.750%   6.052 *  6/1/2023   402,550 
                    2,277,163 
     FOOD PRODUCTS - 3.2%          
 500,000   C.H. Guenther (CHG)  1 Month LIBOR + 2.750%   4.992 *  3/31/2025   501,250 
 500,000   Flora Food Group  3 Month LIBOR + 3.000%   5.398 *  7/2/2025   501,115 
 300,000   Hearthside Food Solutions, LLC  1 Month LIBOR + 3.000%   5.242 *  5/23/2025   299,411 
 500,000   Nomad Foods  1 Month LIBOR + 2.250%   4.408 *  5/23/2025   499,140 
                    1,800,916 
     FOOD SERVICE - 1.8%       
 492,710   Del Frisco’s Restaurant Group, Inc  1 Month LIBOR + 2.250%   4.492 *  2/16/2024   493,572 
 500,000   Restaurant Brands International, Inc.  1 Month LIBOR + 6.000%   8.250 *  6/27/2025   495,000 
                    988,572 
     FOOD/DRUG RETAILERS - 3.0%       
 678,686   Albertson’s LLC  1 Month LIBOR + 2.750%   4.992 *  8/25/2021   680,169 
 1,000,000   BJ’s Wholesale Club Inc  1 Month LIBOR + 3.000%   5.280  *  2/3/2024   1,007,430 
                    1,687,599 
     HEALTHCARE - 4.9%       
 500,000   Concentra Inc.  1 Month LIBOR + 2.750%   4.860 *  6/1/2022   504,062 
 350,000   Mallinckrodt  1 Month LIBOR + 2.750%   4.860 *  6/1/2022   348,749 
 375,000   Parexel  1 Month LIBOR + 3.000%   5.000 *  9/27/2024   373,125 
 500,000   US Anesthesia Partners  1 Month LIBOR + 3.000%   5.242 *  6/23/2024   503,438 
 1,000,000   Verscend Holding Corp.  1 Month LIBOR + 4.500%   6.742 *  8/27/2025   1,010,210 
                    2,739,584 
     INDUSTRIAL EQUIPMENT - 1.4%       
 350,000   Culligan  1 Month LIBOR + 3.250%   5.326 *  12/13/2023   350,875 
 451,313   Westinghouse Electric Company LLC  1 Month LIBOR + 3.750%   5.992 *  8/1/2025   457,435 
                    808,310 
     LEISURE GOODS/ACTIVITIES/MOVIES - 4.5%       
 375,000   Alterra  1 Month LIBOR + 3.000%   5.242 *  7/31/2024   376,125 
 1,000,000   Constellation Merger Sub Inc.  3 Month LIBOR + 2.750%   5.136 *  9/18/2024   996,965 
 375,000   LA Fitness  1 Month LIBOR + 3.250%   5.492 *  4/13/2025   376,266 
 375,000   Prometric Holdings, Inc.  1 Month LIBOR + 3.000%   5.250 *  1/29/2025   375,861 
 350,000   Vivid Seats      0.000   6/30/2024   348,687 
                    2,473,904 

 

 

CATALYST FUNDS
CATALYST FLOATING RATE INCOME FUND
PORTFOLIO OF INVESTMENTS (Unaudited) (Continued)
September 30, 2018

 

Principal      Variable Rate  Coupon Rate (%)   Maturity  Value 
     BANK LOANS - 84.5% (Continued)          
     LODGING & CASINOS - 1.8%          
$997,503   Scientific Games Corp.  2 Month LIBOR + 2.750%   5.044 *  8/14/2024  $997,114 
                      
     OIL & GAS - 3.6%                
 250,000   Crestwood Holdings LLC  1 Month LIBOR + 7.500%   9.640 *  3/6/2023   251,500 
 56,906   Energy & Exploration Partners      5.000   5/13/2022   285 
 498,750   McDermott International, Inc.  1 Month LIBOR + 5.000%   7.076 *  5/12/2025   506,127 
 500,000   Oryx Southern Delaware Holdings LLC  1 Month LIBOR + 3.250%   5.492 *  2/28/2025   493,437 
 750,000   Stetson Midstream  1 Month LIBOR + 4.250%   6.583 *  7/18/2025   755,392 
                    2,006,741 
     PROPERTY & CASUALTY INSURANCE - 1.0%        
 500,000   Asurion, LLC  1 Month LIBOR + 3.000%   5.242 *  11/3/2023   504,298 
 25,000   Asurion, LLC  1 Month LIBOR + 6.500%   8.742 *  8/4/2025   25,742 
                    530,040 
     PUBLISHING - 4.5%                
 602,102   Harland Clarke Holdings Corp.  3 Month LIBOR + 4.750%   7.136 *  11/3/2023   579,900 
 500,000   Houghton Mifflin Harcourt  1 Month LIBOR + 3.000%   5.242 *  5/28/2021   472,500 
 500,000   McGraw-Hill Global Education Holdings, LLC  1 Month LIBOR + 4.000%   6.242 *  5/2/2022   486,770 
 500,000   McGraw-Hill Global Education Holdings, LLC  1 Month LIBOR + 2.000%   4.133 *  10/4/2023   500,117 
 425,000   Springer Science & Business Media  3 Month LIBOR + 3.500%   5.886 *  8/15/2022   427,352 
                    2,466,639 
     RADIO & TELEVISION - 1.8%       
 997,282   Univision Communications, Inc.  1 Month LIBOR + 2.750%   4.992 *  3/15/2024   971,726 
                      
     RETAILERS - 1.8%                
 500,000   Men’s Wearhouse  1 Month LIBOR + 3.250%   5.506 *  4/9/2025   502,032 
 498,750   Michaels Stores, Inc.  1 Month LIBOR + 2.500%   4.712 *  1/30/2023   496,466 
                    998,498 
     SURFACE TRANSPORT - 1.6%          
 500,000   Ceva Group PLC  3 Month LIBOR + 3.750%   6.136 *  7/25/2025   503,230 
 375,000   Omnitracs, Inc.  3 Month LIBOR + 2.750%   5.123 *  3/20/2025   374,415 
                    877,645 
     TELECOMMUNICATIONS - 5.7%       
 500,000   CenturyLink  1 Month LIBOR + 2.750%   4.992 *  11/1/2022   500,250 
 1,239   Consolidated Communications, Inc.  1 Month LIBOR + 3.000%   5.250 *  10/5/2023   1,224 
 750,000   GTT Communications, Inc.  1 Month LIBOR + 2.750%   4.990 *  5/31/2025   744,949 
 400,000   Securus Technologies Inc  1 Month LIBOR + 3.000%   5.000 *  11/1/2024   400,668 
 500,000   Virgin Media  1 Month LIBOR + 2.500%   4.658 *  10/10/2024   501,393 
 500,000   West Corporation  1 Month LIBOR + 4.000%   6.242 *  10/10/2024   499,112 
 500,000   West Corporation  1 Month LIBOR + 3.500%   5.742   10/10/2024   496,460 
                    3,144,056 
     UTILITIES - 4.4%                
 500,000   Compass Power Generation  3 Month LIBOR + 4.000%   5.742 *  12/20/2024   503,250 
 325,000   Frontera Generation Holdings LLC  1 Month LIBOR + 3.000%   5.000 *  4/25/2025   327,641 
 644,890   Helix Generation, LLC  3 Month LIBOR + 3.500%   5.992 *  6/3/2024   607,170 
 481,703   Lightstone Generation LLC  3 Month LIBOR + 3.250%   5.992 *  1/30/2024   479,070 
 500,000   Talen Energy Supply, LLC  1 Month LIBOR + 4.000%   6.302 *  7/15/2023   503,160 
                    2,420,291 
                      
     TOTAL BANK LOANS (Cost - $46,794,284)       46,888,355 
                      
     TOTAL INVESTMENTS - 98.6% (Cost - $54,593,306)      $54,704,893 
     OTHER ASSETS LESS LIABILITIES - 1.4%      791,703 
     NET ASSETS - 100.0%     $55,496,596 

 

 *Floating Rate, rate shown represents the rate at September 30, 2018.

 

^Represents issuer in default on interest payments; non-income producing security

 

#Securities exempt from registration under Rule 144A of Securities Act of 1933. These securities may be resold in transactions exempt from registration to qualified institutional buyers. At September 30, 2018, these securities amounted to $4,510,143 or 8.1% of net assets.

 

ETF - Exchange Traded Fund

 

LLC - Limited Liability Company.

 

PLC - Public Limited Company.

 

 

CATALYST FUNDS
CATALYST/SMH HIGH INCOME FUND
PORTFOLIO OF INVESTMENTS (Unaudited)
September 30, 2018

 

Principal      Coupon Rate (%)   Maturity  Value 
     CONVERTIBLE BONDS - 23.6%             
     BIOTECHNOLOGY - 6.5%             
$1,872,000   PDL BioPharma, Inc.   2.750   12/1/2021  $1,856,790 
                   
     ELECTRONICS - 8.3%             
 2,734,000   Fluidigm Corp.   2.750   2/1/2034   2,374,668 
                   
     INVESTMENT COMPANIES - 3.6%             
 1,055,000   Prospect Capital Corp.   4.950   7/15/2022   1,045,994 
                   
     REAL ESTATE INVESTMENT TRUSTS - 4.1%             
 159,000   Apollo Commercial Real Estate Finance, Inc.   5.500   3/15/2019   172,775 
 1,069,000   Colony NorthStar, Inc.   5.000   4/15/2023   1,002,187 
                 1,174,962 
     RETAIL - 1.1%             
 334,000   EZCORP, Inc.   2.125   6/15/2019   331,804 
                   
     TOTAL CONVERTIBLE BONDS - (Cost - $6,160,358)           6,784,218 
                   
     CORPORATE BONDS - 70.7%             
     AIRLINES - 3.6%             
 1,128,000   Southwest Airlines Co.   3.000   11/15/2026   1,044,041 
                   
     APPAREL - 5.9%             
 1,910,000   Under Armour, Inc.   3.250   6/15/2026   1,686,030 
                   
     AUTO PARTS & EQUIPMENT - 2.7%             
 791,000   Dana, Inc.   5.500   12/15/2024   786,254 
                   
     BUILDING MATERIALS - 1.6%             
 439,000   US Concrete, Inc.   6.375   6/1/2024   446,331 
                   
     DIVERSIFIED FINANCIAL SERVICES - 3.0%             
 1,096,000   Community Choice Financial, Inc.   10.750   5/1/2019   860,360 
                   
     HOME BUILDERS - 3.3%             
 78,000   Beazer Homes USA, Inc.   7.250   2/1/2023   77,220 
 865,000   TRI Pointe Group, Inc.   5.875   6/15/2024   861,756 
                 938,976 
     MINING - 4.0%             
 1,129,000   Hecla Mining Co.   6.875   5/1/2021   1,135,351 
 3,290,219   MolyCorp., Inc. +   10.000   6/1/2020   33 
                 1,135,384 
     OFFICE/BUSINESS EQUIPMENT - 4.0%             
 1,281,000   Pitney Bowes, Inc.   4.625   3/15/2024   1,156,243 
                   
     OIL & GAS - 8.1%             
 1,431,000   Northern Oil and Gas, Inc.   8.000   6/1/2020   1,431,000 
 1,017,000   Transocean, Inc.   6.800   3/15/2038   884,790 
                 2,315,790 
     OIL & GAS SERVICES - 10.9%             
 1,902,000   Era Group, Inc.   7.750   12/15/2022   1,885,358 
 1,298,000   PHI, Inc.   5.250   3/15/2019   1,242,835 
                 3,128,193 

 

 

CATALYST FUNDS
CATALYST/SMH HIGH INCOME FUND
PORTFOLIO OF INVESTMENTS (Unaudited)(Continued)
September 30, 2018

 

Principal      Coupon Rate (%)   Maturity  Value 
     CORPORATE BONDS - 70.7% (Continued)             
     PRIVATE EQUITY - 3.8%             
$1,086,000   Icahn Enterprises Finance Corp.   5.875   2/1/2022  $1,103,648 
                   
     REAL ESTATE INVESTMENT TRUSTS - 6.5%             
 832,000   DDR Corp.   4.250   2/1/2026   813,778 
 1,048,000   The GEO Group, Inc.   5.875   1/15/2022   1,058,480 
                 1,872,258 
     RETAIL - 6.8%             
 940,000   Kohl’s Corp.   3.250   2/1/2023   907,465 
 1,270,000   L Brands, Inc.   6.750   7/1/2036   1,054,100 
                 1,961,565 
     SEMICONDUCTORS - 6.5%             
 838,000   Advanced Micro Devices, Inc.   7.500   8/15/2022   945,926 
 916,000   Amkor Technology, Inc.   6.375   10/1/2022   934,503 
 8,669,000   Energy Conversion Devices, Inc. ^+#           — 
                 1,880,429 
                   
     TOTAL CORPORATE BONDS (Cost - $26,315,276)           20,315,502 
                   
     TOTAL INVESTMENTS - 94.3% (Cost - $32,475,634)          $27,099,720 
     OTHER ASSETS LESS LIABILITIES - 5.7%           1,634,480 
     NET ASSETS - 100.0%          $28,734,200 

 

^The security is illiquid; total illiquid securities represent 0.00% of net assets.

 

+Represents issuer in default on interest payments; non-income producing security.

 

#The value of this security has been determined in good faith under policies of the Board of Trustees. The total of these securities is $0 or 0.0% of net assets.

 

 

CATALYST FUNDS
CATALYST/SMH TOTAL RETURN INCOME FUND
PORTFOLIO OF INVESTMENTS (Unaudited)
September 30, 2018

 

Shares             Value 
     COMMON STOCK - 46.8%             
     COMPUTERS - 3.1%             
 4,041   International Business Machines Corp.          $611,040 
                   
     DIVERSIFIED FINANCIAL SERVICES - 2.8%             
 348,029   Och-Ziff Capital Management Group LLC           515,083 
 505   PJT Partners, Inc.           26,437 
                 541,520 
     INVESTMENT COMPANIES - 28.5%             
 115,463   Apollo Investment Corp.           628,119 
 31,478   Ares Capital Corp.           541,107 
 19,263   Compass Diversified Holdings           349,623 
 19,956   Oaktree Capital Group LLC           826,178 
 201,359   Oaktree Specialty Lending Corp.           998,741 
 116,675   PennantPark Investment Corp.           870,395 
 126,900   Prospect Capital Corp.           930,177 
 19,200   Solar Capital Ltd.           410,496 
                 5,554,836 
     OIL & GAS - 0.5%             
 1,230   Exxon Mobile Corp.           104,575 
                   
     PRIVATE EQUITY - 11.3%             
 23,549   Apollo Global Management LLC           813,618 
 20,211   Blackstone Group LP           769,635 
 22,801   KKR & Co. LP           621,783 
                 2,205,036 
     TELECOMMUNICATIONS - 0.6%             
 2,050   Verizon Communications, Inc.           109,449 
                   
     TOTAL COMMON STOCK (Cost - $11,081,340)           9,126,456 
                   
     EXCHANGE TRADED FUNDS - 3.8%             
     EQUITY FUNDS - 3.8%             
 16,895   iShares Mortgage Real Estate ETF           735,946 
     TOTAL EXCHANGE TRADED FUNDS (Cost - $857,029)             
                   
Principal      Coupon Rate (%)   Maturity     
     CONVERTIBLE BONDS - 11.8%             
     BIOTECHNOLOGY - 6.2%             
$1,226,000   PDL BioPharma, Inc.   2.750   12/1/2021   1,216,039 
                   
     ELECTRONICS - 5.6%             
 1,250,000   Fluidigm Corp.   2.750   2/1/2034   1,085,711 
                   
     TOTAL CONVERTIBLE BONDS (Cost - $2,010,616)           2,301,750 
                   
     CORPORATE BONDS - 30.5%             
     AIRLINES - 2.2%             
 461,000   Southwest Airlines Co.   3.000   11/15/2026   426,687 
                   
     APPAREL - 4.3%             
 955,000   Under Armour, Inc.   3.250   6/15/2026   843,015 

 

 

CATALYST FUNDS
CATALYST/SMH TOTAL RETURN INCOME FUND
PORTFOLIO OF INVESTMENTS (Unaudited)(Continued)
September 30, 2018

 

Principal      Coupon Rate (%)   Maturity  Value 
     CORPORATE BONDS - 30.5% (Continued)             
     DIVERSIFIED FINANCIAL SERVICES - 5.5%             
$1,379,000   Community Choice Financial, Inc.   10.750   5/1/2019  $1,082,515 
                   
     HOME BUILDERS - 0.2%             
 35,000   Beazer Homes USA, Inc.   7.250   2/1/2023   34,650 
                   
     MINING - 0.0%             
 2,334,145   Molycorp, Inc. +   10.000   6/1/2020   23 
                   
     OIL & GAS - 4.2%             
 953,000   Transocean, Inc.   6.800   3/15/2038   829,110 
                   
     REAL ESTATE INVESTEMENT TRUST - 2.8%             
 563,000   DDR Corp.   4.250   2/1/2026   550,670 
                   
     RETAIL - 3.4%             
 789,000   L Brands, Inc.   6.750   7/1/2036   654,870 
                   
     SEMICONDUCTORS - 4.2%             
 731,000   Advanced Micro Devices, Inc.   7.500   8/15/2022   825,145 
 5,543,000   Energy Conversion Devices, Inc. ^+#           — 
                 825,145 
     TELECOMMUNICATIONS - 3.7%             
 633,000   Sprint Capital Corp.   8.750   3/15/2032   713,708 
                   
     TOTAL CORPORATE BONDS (Cost - $9,835,285)           5,960,393 
                   
     TOTAL INVESTMENTS - 92.9% (Cost - $23,784,270)          $18,124,545 
     OTHER ASSETS LESS LIABILITIES - 7.1%           1,387,832 
     NET ASSETS - 100.0%          $19,512,377 

 

ETF - Exchange Traded Fund

 

LLC - Limited Liability Company

 

LP - Limited Partnership

 

^The security is illiquid; total illiquid securities represent 0.00% of net assets.

 

+Represents issuer in default on interest payments; non-income producing security.

 

#The value of this security has been determined in good faith under policies of the Board of Trustees. The total of these securities is $0 or 0.0% of net assets.

 

 

CATALYST FUNDS
CATALYST/STONE BEACH INCOME OPPORTUNITY FUND
PORTFOLIO OF INVESTMENTS (Unaudited)
September 30, 2018

  

Principal      Variable Rate  Coupon Rate (%)   Maturity  Value 
     U.S. GOVERNMENT AGENCY OBLIGATIONS - 29.4%     
     FEDERAL HOME LOAN MORTGAGE ASSOCIATION (a) - 6.9%     
$41,164   Freddie Mac REMICS      3.000   9/15/2025  $41,192 
 69,243   Freddie Mac REMICS  (-2.4xlibor01m)+1440bps   9.220 *    12/15/2032   78,428 
 978,626   Freddie Mac REMICS (b)  (-1xlibor01m)+665bps   4.492 *  4/15/2036   139,755 
 951,316   Freddie Mac REMICS (b)  (-1xlibor01m)+658bps   4.422 *  9/15/2036   149,809 
 331,994   Freddie Mac REMICS (b)      6.500   12/15/2037   80,001 
 21,536   Freddie Mac REMICS (b)  (-1xlibor01m)+680bps   4.642 *  9/15/2039   2,291 
 2,461,571   Freddie Mac REMICS (b)  (-1xlibor01m)+660bps   4.442 *  12/15/2039   237,669 
 56,672   Freddie Mac REMICS (b)      4.000   8/15/2040   7,212 
 162,215   Freddie Mac Strips (b)      7.000   4/1/2027   36,214 
                    772,571 
     FEDERAL NATIONAL MORTGAGE ASSOCIATION (a) - 20.3%     
 55,127   Fannie Mae Interest Strip (b)      7.500   7/25/2022   5,666 
 39,382   Fannie Mae Interest Strip (b)      8.000   7/25/2024   6,609 
 54,167   Fannie Mae Interest Strip (b)      8.500   10/25/2025   9,991 
 408,873   Fannie Mae Interest Strip (b)      6.000   7/25/2035   107,241 
 2,620,733   Fannie Mae Interest Strip (b)      5.000   8/25/2035   594,877 
 18,108   Fannie Mae Interest Strip (b)      7.500   9/25/2037   4,711 
 415,962   Fannie Mae Interest Strip (b)      5.000   1/25/2038   89,923 
 79,741   Fannie Mae Interest Strip (b)      4.500   11/25/2039   18,319 
 1,202,632   Fannie Mae Interest Strip (b)      4.500   11/25/2039   274,624 
 334,922   Fannie Mae Interest Strip (b)      5.000   11/25/2040   79,332 
 23,923   Fannie Mae Interest Strip (b)      5.000   3/25/2041   5,636 
 210,136   Fannie Mae REMICS (b)  (-1xlibor01m)+800bps   5.784 *  9/25/2023   19,941 
 456,545   Fannie Mae REMICS (b)      3.000   2/25/2033   61,883 
 147,624   Fannie Mae REMICS (b)      6.500   5/25/2033   35,450 
 1,756,013   Fannie Mae REMICS (b)  (-1xlibor01m)+825bps   6.034 *  6/25/2033   388,746 
 301,683   Fannie Mae REMICS (b)  (-1xlibor01m)+760bps   5.384 *  4/25/2034   62,427 
 23,412   Fannie Mae REMICS  (-2xlibor01m)+1424bps   9.808 *  7/25/2034   26,334 
 506,950   Fannie Mae REMICS (b)  (-1xlibor01m)+715bps   4.934 *  7/25/2037   92,890 
 284,170   Fannie Mae REMICS (b)  (-1xlibor01m)+587bps   3.654 *  8/25/2037   36,755 
 46,808   Fannie Mae REMICS (b)  (-90xlibor01m)+5355bps   4.500 *  12/25/2041   11,226 
 118,410   Fannie Mae REMICS (b)  (-1xlibor01m)+616bps   3.944 *  10/25/2042   16,966 
 153,401   Fannie Mae REMIC Trust 2005-W2      0.000   5/25/2035   137,825 
 196,160   Fannie Mae Trust 2005-W3  (1xlibor01m)+22bps   2.436 *  3/25/2045   195,366 
                    2,282,738 
     GOVERNMENT NATIONAL MORTGAGE ASSOCIATION - 2.2%     
 8,040   Government National Mortgage Association  (-3.25xlibor01m)+2633bps   19.310 *  11/16/2024   9,911 
 33,403   Government National Mortgage Association  (-.996554xlibor01m)+898bps   6.823 *  4/20/2034   33,912 
 21,871   Government National Mortgage Association (b)   5.000   3/20/2039   1,323 
 759,997   Government National Mortgage Association (b)   4.000   4/20/2042   203,215 
                    248,361 
                      
     TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS (Cost - $3,196,171)   3,303,670 
                      
     PRIVATE COLLATERALIZED MORTGAGE OBLIGATIONS - 40.9%     
 450,000   FREMF 2010-K9 Mortgage Trust #      5.373   9/25/2045   463,870 
 2,655,000   FREMF 2012-K710 Mortgage Trust #      3.941   6/25/2047   2,664,572 
 1,085,000   FREMF 2013-K712 Mortgage Trust #      3.473   5/25/2045   1,085,110 
 383,000   FREMF 2015-K50 Mortgage Trust #      3.908   10/25/2048   372,405 
 1,842   ML Trust XLIV      9.000   8/20/2020   1,891 
     TOTAL PRIVATE COLLATERALIZED MORTGAGE OBLIGATIONS (Cost - $4,628,451)   4,587,848 

 

 

CATALYST FUNDS
CATALYST/STONE BEACH INCOME OPPORTUNITY FUND
PORTFOLIO OF INVESTMENTS (Unaudited) (Continued)
September 30, 2018

 

Principal      Coupon%   Maturity Date  Value 
     MORTGAGE NOTES - 3.9%             
$105,000   ORL1111-17+^   8.000   10/1/2018  $105,000 
 150,000   SPD0400-16+^   8.000   12/1/2018   150,000 
 97,500   LAN0136-17+^   8.000   5/1/2019   97,500 
 84,500   ADL1084-17+^   8.000   9/1/2019   84,500 
     TOTAL MORTGAGE NOTES (Cost - $437,000)   437,000 
                   
     TOTAL INVESTMENTS - 74.2% (Cost - $8,261,622)    $8,328,518 
     OTHER ASSETS LESS LIABILITIES - 25.8%           2,896,089 
     NET ASSETS - 100.0%          $11,224,607 

 

*Floating or variable rate security; rate shown represents the rate at September 30, 2018.

 

+The value of these securities have been determined in good faith under policies of The Board of Trustees. The total of these securities is $437,000 or 3.9% of net assets.

 

#Securities exempt from registration under Rule 144A of Securities Act of 1933. These securities may be resold in transactions exempt from registration to qualified institutional buyers. At September 30, 2018, these securities amounted to $4,585,957 or 40.9% of net assets.

 

^The security is illiquid; total illiquid securities represent 3.9% of net assets.

 

REMICS - Real Estate Mortgage Investment Conduit.

 

(a)Issuer operates under a Congressional charter; its securities are neither issued nor guaranteed by the U.S. government. The Federal National Mortgage Association and the Federal Home Loan Mortgage Corporation currently operate under a federal conservatorship.

 

(b)IO- Interest Only.

 

 

CATALYST FUNDS
CATALYST/STONE BEACH INCOME OPPORTUNITY FUND
PORTFOLIO OF INVESTMENTS (Unaudited) (Continued)
September 30, 2018

 

Long         Notional      Unrealized 
Contracts      Counterparty  Value ($)   Maturity Date  Depreciation 
     LONG FUTURES CONTRACTS - (0.1)%                
 25   US 10 Year Note (CBT) Future  Wedbush   2,969,531   December-2018  $(7,234)
     Net Unrealized Depreciation from Open Long Futures Contracts   (7,234)
                      
Short         Notional      Unrealized 
Contracts      Counterparty  Value ($)   Maturity Date  Appreciation 
     SHORT FUTURES CONTRACTS - 0.1%                
 (12)  90 Day Euro$ Future  Wedbush   (2,920,200)  December-2018   513 
 (12)  90 Day Euro$ Future  Wedbush   (2,914,800)  March-2019   1,288 
 (12)  90 Day Euro$ Future  Wedbush   (2,910,300)  June-2019   2,388 
 (12)  90 Day Euro$ Future  Wedbush   (2,907,600)  September-2019   400 
 (20)  90 Day Euro$ Future  Wedbush   (4,843,000)  December-2019   313 
 (20)  90 Day Euro$ Future  Wedbush   (4,841,750)  March-2020   1,013 
 (20)  90 Day Euro$ Future  Wedbush   (4,841,500)  June-2020   1,550 
 (20)  90 Day Euro$ Future  Wedbush   (4,841,750)  September-2020   2,425 
 (2)  90 Day Euro$ Future  Wedbush   (484,175)  December-2020   725 
 (2)  90 Day Euro$ Future  Wedbush   (484,275)  March-2021   675 
 (2)  90 Day Euro$ Future  Wedbush   (484,350)  June-2021   575 
 (2)  90 Day Euro$ Future  Wedbush   (484,400)  September-2021   494 
 (1)  90 Day Euro$ Future  Wedbush   (242,188)  December-2021   263 
 (1)  90 Day Euro$ Future  Wedbush   (242,213)  March-2022   238 
 (1)  90 Day Euro$ Future  Wedbush   (242,213)  June-2022   238 
 (1)  90 Day Euro$ Future  Wedbush   (242,213)  September-2022   188 
     Net Unrealized Appreciation from Open Short Futures Contracts  $13,281 

 

 

CATALYST EXCEED DEFINED SHIELD FUND
PORTFOLIO OF INVESTMENTS (Unaudited)
September 30, 2018

 

Shares             Value 
     EXCHANGE TRADED FUNDS - 9.5%             
 28,338   iShares Short-Term Corporate Bond ETF          $1,468,759 
 100   SPDR S&P 500 ETF Trust           29,072 
 20,500   Vanguard Short-Term Corporate Bond ETF           1,602,280 
     TOTAL EXCHANGE TRADED FUNDS (Cost - $3,160,163)           3,100,111 
                   
Principal      Coupon Rate   Maturity     
     CORPORATE BONDS - 76.4%             
     AEROSPACE/DEFENSE - 5.7%             
$700,000   Lockheed Martin Corp.   1.850%  11/23/2018   699,200 
 350,000   Raytheon Co.   4.400%  2/15/2020   356,687 
 352,000   Rockwell Collins, Inc.   1.950%  7/15/2019   349,695 
 450,000   United Technologies Corp.   1.900%  5/4/2020   441,023 
                 1,846,605 
     AUTO MANUFACTURERS - 4.7%             
 200,000   Ford Motor Credit Co. LLC   2.943%  1/8/2019   200,211 
 75,000   Ford Motor Credit Co. LLC   1.897%  8/12/2019   74,205 
 300,000   Ford Motor Credit Co. LLC   2.681%  1/9/2020   296,970 
 321,000   General Motors Financial Co., Inc.   3.500%  7/10/2019   322,448 
 250,000   General Motors Financial Co., Inc.   2.350%  10/4/2019   248,446 
 375,000   Hyundai Captial America   2.400%  10/30/2018   374,985 
                 1,517,265 
     BANKS - 13.8%             
 300,000   Bank of America Corp.   2.600%  1/15/2019   299,965 
 87,000   Bank of America Corp.   5.490%  3/15/2019   88,084 
 200,000   Bank of America Corp.   7.625%  6/1/2019   206,194 
 222,000   Citigroup, Inc.   2.050%  12/7/2018   221,808 
 250,000   Citigroup, Inc.   2.050%  6/7/2019   248,810 
 153,000   Citigroup, Inc.   2.500%  7/29/2019   152,694 
 150,000   Citigroup, Inc.   2.400%  2/18/2020   148,628 
 200,000   Goldman Sachs Group, Inc.   2.550%  10/23/2019   199,148 
 250,000   Goldman Sachs Group, Inc.   6.000%  6/15/2020   261,428 
 325,000   HSBC USA, Inc.   2.350%  3/5/2020   321,505 
 150,000   HSBC USA, Inc.   2.750%  8/7/2020   148,797 
 400,000   JPMorgan Chase & Co.   2.200%  10/22/2019   397,331 
 500,000   KeyBank NA   2.250%  3/16/2020   493,669 
 400,000   Morgan Stanley   7.300%  5/13/2019   410,712 
 500,000   PNC Financial Services Group, Inc.   5.125%  2/8/2020   512,936 
 375,000   Wells Fargo & Co.   2.600%  7/22/2020   371,377 
                 4,483,086 
     BEVERAGES - 2.2%             
 458,000   Constellation Brands, Inc.   3.875%  11/15/2019   461,903 
 260,000   Molson Coors Brewing Co.   1.450%  7/15/2019   256,999 
                 718,902 
     BIOTECHNOLOGY - 2.9%             
 543,000   Amgen, Inc.   2.200%  5/11/2020   535,460 
 400,000   Celgene Corp.   2.875%  8/15/2020   397,553 
                 933,013 
     CHEMICALS - 2.8%             
 150,000   Dow Chemical Co.   8.550%  5/15/2019   155,146 
 375,000   E.I. DuPont de Nemours & Co.   2.200%  5/1/2020   370,163 
 400,000   Sherwin-Williams Co.   2.250%  5/15/2020   394,293 
                 919,602 
     COMMERCIAL SERVICES - 0.9%             
 300,000   The Western Union Co.   3.350%  5/22/2019   300,670 
                   
     COMPUTERS - 2.0%             
 400,000   Dell International LLC   3.480%  6/1/2019   401,076 
 250,000   International Business Machines Corp.   1.625%  5/15/2020   244,857 
                 645,933 
     COSMETICS/PERSONAL CARE- 1.4%             
 330,000   Estee Lauder Cos., Inc.   1.800%  2/7/2020   325,405 
 150,000   Unilever Capital Corp.   2.100%  7/30/2020   147,362 
                 472,767 
     DIVERSIFIED FINANCIAL SERVICES - 2.8%             
 400,000   Charles Schwab Corp.   4.450%  7/22/2020   410,060 
 500,000   International Lease Finance Corp.   5.875%  4/1/2019   506,963 
                 917,023 

 

 

CATALYST EXCEED DEFINED SHIELD FUND
PORTFOLIO OF INVESTMENTS (Unaudited) (Continued)
September 30, 2018

 

Principal      Coupon Rate   Maturity  Value 
     CORPORATE BONDS (Continued)- 76.4%             
     ELECTRIC - 8.3%             
$600,000   Consolidated Edison, Inc.   2.000%  3/15/2020  $590,166 
 400,000   Dominion Energy, Inc. ^   2.962%  7/1/2019   399,873 
 182,000   Dominion Energy, Inc.   1.600%  8/15/2019   179,940 
 250,000   Duke Energy Carolinas LLC   4.300%  6/15/2020   255,737 
 250,000   Edison International   2.125%  4/15/2020   245,214 
 250,000   Georgia Power Co.   2.000%  3/30/2020   245,445 
 150,000   NextEra Energy Capital Holdings, Inc.   2.300%  4/1/2019   149,727 
 200,000   Public Service Co. of Oklahoma   5.150%  12/1/2019   204,706 
 450,000   Public Service Enterprise Group, Inc.   1.600%  11/15/2019   442,562 
                 2,713,370 
     ELECTRONICS - 1.4%             
 450,000   Amphenol Corp.   2.200%  4/1/2020   442,251 
                   
     FOOD - 0.8%             
 100,000   Kroger Co.   1.500%  9/30/2019   98,615 
 160,000   Sysco Corp.   1.900%  4/1/2019   159,312 
                 257,927 
     HEALTHCARE/PRODUCTS - 3.1%             
 400,000   Abbot Labratories   2.000%  3/15/2020   395,176 
 425,000   Becton Dickinson and Co.   2.675%  12/15/2019   422,738 
 200,000   Life Technologies Corp.   6.000%  3/1/2020   207,184 
                 1,025,098 
     HEALTHCARE/SERVICES - 5.6%             
 749,000   Anthem, Inc.   2.250%  8/15/2019   745,083 
 250,000   Anthem, Inc.   4.350%  8/15/2020   255,202 
 325,000   Humana, Inc.   2.625%  10/1/2019   323,771 
 500,000   UnitedHealth Group, Inc.   2.700%  7/15/2020   496,986 
                 1,821,042 
     HOUSEWARES - 0.3%             
 115,000   Newell Brands, Inc.   2.600%  3/29/2019   114,846 
                   
     INSURANCE - 2.4%             
 200,000   MetLife Global Funding I   1.950%  12/3/2018   199,803 
 300,000   Protective Life Corp.   7.375%  10/15/2019   312,657 
 250,000   Prudential Financial, Inc.   5.375%  6/21/2020   259,029 
                 771,489 
     MACHINERY-CONSTRUCTION & MINING - 0.8%             
 250,000   Caterpillar Financial Services Corp.   2.100%  6/9/2019   248,986 
                   
     MACHINERY-DIVERSIFIED - 1.5%             
 500,000   John Deere Capital Corp.   2.300%  9/16/2019   498,427 
                   
     MEDIA - 3.7%             
 300,000   Comcast Corp.   5.700%  7/1/2019   306,214 
 500,000   NBCUniversal Media LLC   5.150%  4/30/2020   515,760 
 4,000   Viacom, Inc.   5.625%  9/15/2019   4,099 
 175,000   Walt Disney Co.   1.950%  3/4/2020   172,656 
 200,000   Walt Disney Co.   1.800%  6/5/2020   196,266 
                 1,194,995 
     MINING - 0.7%             
 220,000   Newmont Mining Corp.   5.125%  10/1/2019   224,450 
                   
     MISCELLANEOUS MANUFACTURING - 1.3%             
 200,000   General Electric Co.   6.000%  8/7/2019   205,208 
 200,000   General Electric Co.   5.550%  5/4/2020   207,277 
                 412,485 
     PHARMACEUTICALS - 2.0%             
 260,000   Cardinal Health, Inc.   1.948%  6/14/2019   258,584 
 400,000   Express Scripts Holding Co.   2.250%  6/15/2019   398,219 
                 656,803 
     REITS - 0.6%             
 200,000   Weyerhaeuser Co.   7.375%  10/1/2019   208,395 
                   
     RETAIL -1.8%             
 378,000   McDonald’s Corp.   2.100%  12/7/2018   377,776 
 200,000   McDonald’s Corp.   1.875%  5/29/2019   198,893 
                 576,669 
     TELECOMMUNICATIONS- 1.5%             
 500,000   AT&T, Inc.   5.800%  2/15/2019   505,863 
                   
     TRANSPORTATION - 1.4%             
 200,000   Burlington Northern Santa Fe LLC   4.700%  10/1/2019   203,614 
 250,000   Norfolk Southern Corp.   5.900%  6/15/2019   254,949 
                 458,563 
                   
     TOTAL CORPORATE BONDS (Cost - $25,003,328)           24,886,525 

 

 

CATALYST EXCEED DEFINED SHIELD FUND
PORTFOLIO OF INVESTMENTS (Unaudited) (Continued)
September 30, 2018

 

Contracts (a)      Counterparty    Expiration Date - Exercise Price    Notional Value     Value 
     TOTAL OPTIONS PURCHASED - 10.6% *         
     CALL OPTIONS PURCHASED - 9.4% *         
 185   SPDR S&P 500 ETF Trust  Interactive Brokers  1/18/2019 - $265.00  $4,902,500   $537,795 
 108   SPDR S&P 500 ETF Trust  Interactive Brokers  1/18/2019 - $270.00   2,916,000    266,868 
 65   SPDR S&P 500 ETF Trust  Interactive Brokers  3/15/2019 - $260.00   1,690,000    231,725 
 108   SPDR S&P 500 ETF Trust  Interactive Brokers  3/15/2019 - $265.00   2,862,000    337,230 
 36   SPDR S&P 500 ETF Trust  Interactive Brokers  6/21/2019 - $260.00   936,000    138,690 
 61   SPDR S&P 500 ETF Trust  Interactive Brokers  6/21/2019 - $265.00   1,616,500    209,413 
 129   SPDR S&P 500 ETF Trust  Interactive Brokers  6/21/2019 - $270.00   3,483,000    390,031 
 70   SPDR S&P 500 ETF Trust  Interactive Brokers  6/21/2019 - $275.00   1,925,000    183,820 
 60   SPDR S&P 500 ETF Trust  Interactive Brokers  9/20/2019 - $270.00   1,620,000    198,240 
 27   SPDR S&P 500 ETF Trust  Interactive Brokers  9/20/2019 - $275.00   742,500    79,083 
 154   SPDR S&P 500 ETF Trust  Interactive Brokers  9/20/2019 - $290.00   4,466,000    286,286 
 100   SPDR S&P 500 ETF Trust  Interactive Brokers  9/20/2019 - $295.00   2,950,000    155,100 
 19   SPDR S&P 500 ETF Trust  Interactive Brokers  12/20/2019 - $290.00   551,000    40,850 
 10   SPDR S&P 500 ETF Trust  Interactive Brokers  12/20/2019 - $295.00   295,000    18,270 
     TOTAL CALL OPTIONS PURCHASED (Cost - $2,073,209)        3,073,401 
                      
     PUT OPTIONS PURCHASED - 1.2% *          
 84   SPDR S&P 500 ETF Trust  Interactive Brokers  10/08/2018 - $255.00   2,142,000    504 
 87   SPDR S&P 500 ETF Trust  Interactive Brokers  1/18/2019 - $230.00   2,001,000    6,090 
 206   SPDR S&P 500 ETF Trust  Interactive Brokers  1/18/2019 - $235.00   4,841,000    16,686 
 133   SPDR S&P 500 ETF Trust  Interactive Brokers  3/15/2019 - $235.00   3,125,500    19,618 
 41   SPDR S&P 500 ETF Trust  Interactive Brokers  3/15/2019 - $240.00   984,000    7,175 
 57   SPDR S&P 500 ETF Trust  Interactive Brokers  6/21/2019 - $225.00   1,282,500    12,540 
 39   SPDR S&P 500 ETF Trust  Interactive Brokers  6/21/2019 - $230.00   897,000    9,828 
 53   SPDR S&P 500 ETF Trust  Interactive Brokers  6/21/2019 - $240.00   1,272,000    17,013 
 146   SPDR S&P 500 ETF Trust  Interactive Brokers  6/21/2019 - $245.00   3,577,000    52,268 
 10   SPDR S&P 500 ETF Trust  Interactive Brokers  9/20/2019 - $230.00   230,000    3,650 
 77   SPDR S&P 500 ETF Trust  Interactive Brokers  9/20/2019 - $235.00   1,809,500    31,570 
 5   SPDR S&P 500 ETF Trust  Interactive Brokers  9/20/2019 - $255.00   127,500    3,232 
 250   SPDR S&P 500 ETF Trust  Interactive Brokers  9/20/2019 - $260.00   6,500,000    181,500 
 6   SPDR S&P 500 ETF Trust  Interactive Brokers  12/20/2019 - $255.00   153,000    4,740 
 25   SPDR S&P 500 ETF Trust  Interactive Brokers  12/20/2019 - $260.00   650,000    21,975 
     TOTAL PUT OPTIONS PURCHASED (Cost - $874,920)        388,389 
                      
     TOTAL OPTIONS PURCHASED (Cost - $2,948,129)        3,461,790 
                      
Principal         Coupon Rate     Maturity          
     UNITED STATES GOVERNMENT SECURITIES - 4.7%                    
$400,000   United States Treasury Note     1.250%   11/15/2018        399,585 
 250,000   United States Treasury Note     0.750%   7/15/2019        246,514 
 400,000   United States Treasury Note     1.500%   4/15/2020        392,422 
 500,000   United States Treasury Note     1.500%   5/31/2020        489,580 
     TOTAL UNITED STATES GOVERNMENT SECURITIES (Cost - $1,529,831)        1,528,101 
                      
     TOTAL INVESTMENTS - 101.2% (Cost - $32,641,451)       $32,976,527 
     LIABILITIES IN EXCESS OF OTHER ASSETS - (1.2)%        (408,211)
     NET ASSETS - 100.0%       $32,568,316 

 

 

CATALYST EXCEED DEFINED SHIELD FUND
PORTFOLIO OF INVESTMENTS (Unaudited) (Continued)
September 30, 2018

 

Contracts (a)      Counterparty  Expiration Date - Exercise Price  Notional Value   Value 
     TOTAL OPTIONS WRITTEN - (3.8)% *          
     CALL OPTIONS WRITTEN - (1.2)% *          
 75   SPDR S&P 500 ETF Trust  Interactive Brokers  1/18/2019 - $300.00  $2,250,000   $23,175 
 218   SPDR S&P 500 ETF Trust  Interactive Brokers  1/18/2019 - $305.00   6,649,000    34,444 
 65   SPDR S&P 500 ETF Trust  Interactive Brokers  3/15/2019 - $300.00   1,950,000    35,425 
 108   SPDR S&P 500 ETF Trust  Interactive Brokers  3/15/2019 - $305.00   3,294,000    36,396 
 39   SPDR S&P 500 ETF Trust  Interactive Brokers  6/21/2019 - $300.00   1,170,000    35,763 
 58   SPDR S&P 500 ETF Trust  Interactive Brokers  6/21/2019 - $305.00   1,769,000    39,092 
 99   SPDR S&P 500 ETF Trust  Interactive Brokers  6/21/2019 - $310.00   3,069,000    47,718 
 100   SPDR S&P 500 ETF Trust  Interactive Brokers  6/21/2019 - $315.00   3,150,000    31,350 
 60   SPDR S&P 500 ETF Trust  Interactive Brokers  9/20/2019 - $310.00   1,860,000    45,360 
 27   SPDR S&P 500 ETF Trust  Interactive Brokers  9/20/2019 - $315.00   850,500    15,093 
 214   SPDR S&P 500 ETF Trust  Interactive Brokers  9/20/2019 - $335.00   7,169,000    29,318 
 40   SPDR S&P 500 ETF Trust  Interactive Brokers  9/20/2019 - $340.00   1,360,000    3,820 
 19   SPDR S&P 500 ETF Trust  Interactive Brokers  12/20/2019 - $335.00   636,500    5,035 
 10   SPDR S&P 500 ETF Trust  Interactive Brokers  12/20/2019 - $340.00   340,000    1,930 
     TOTAL CALL OPTIONS WRITTEN (Premiums Received - $233,033)    383,919 
                      
     PUT OPTIONS WRITTEN - (2.6)% *          
 185   SPDR S&P 500 ETF Trust  Interactive Brokers  1/18/2019 - $265.00   4,902,500    43,105 
 108   SPDR S&P 500 ETF Trust  Interactive Brokers  1/18/2019 - $270.00   2,916,000    30,024 
 65   SPDR S&P 500 ETF Trust  Interactive Brokers  3/15/2019 - $260.00   1,690,000    20,800 
 109   SPDR S&P 500 ETF Trust  Interactive Brokers  3/15/2019 - $265.00   2,888,500    40,875 
 35   SPDR S&P 500 ETF Trust  Interactive Brokers  6/21/2019 - $260.00   910,000    18,830 
 61   SPDR S&P 500 ETF Trust  Interactive Brokers  6/21/2019 - $265.00   1,616,500    37,363 
 126   SPDR S&P 500 ETF Trust  Interactive Brokers  6/21/2019 - $270.00   3,402,000    86,814 
 73   SPDR S&P 500 ETF Trust  Interactive Brokers  6/21/2019 - $275.00   2,007,500    58,911 
 60   SPDR S&P 500 ETF Trust  Interactive Brokers  9/20/2019 - $270.00   1,620,000    55,500 
 27   SPDR S&P 500 ETF Trust  Interactive Brokers  9/20/2019 - $275.00   742,500    27,486 
 154   SPDR S&P 500 ETF Trust  Interactive Brokers  9/20/2019 - $290.00   4,466,000    224,224 
 101   SPDR S&P 500 ETF Trust  Interactive Brokers  9/20/2019 - $295.00   2,979,500    163,620 
 19   SPDR S&P 500 ETF Trust  Interactive Brokers  12/20/2019 - $290.00   551,000    31,027 
 12   SPDR S&P 500 ETF Trust  Interactive Brokers  12/20/2019 - $295.00   354,000    21,882 
     TOTAL PUT OPTIONS WRITTEN (Premiums Received - $1,788,459)        860,461 
                      
     TOTAL OPTIONS WRITTEN (Premiums Received - $2,021,492)       $1,244,380 

 

ETF - Exchange Traded Fund

 

LLC - Limited Liability Company

 

+All or a portion of this security is segregated as collateral for options written.

 

^Step coupon.

 

*Non income producing security.

 

(a)Each contract is equivalent to 100 shares of the underlying common stock.

 

 

CATALYST FUNDS
NOTES TO PORTFOLIOS OF INVESTMENTS (Unaudited)
September 30, 2018

 

The following is a summary of significant accounting policies followed by the Fund in preparation of its financial statements. These policies are in conformity with accounting principles generally accepted in the United States of America (“GAAP”). The preparation of financial statements requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of income and expenses for the year. Actual results could differ from those estimates. The Fund is an investment company and accordingly follows the investment company accounting and reporting guidance of the Financial Accounting Standards Board (FASB) Accounting Standard Codification Topic 946 “Financial Services – Investment Companies.”

 

Securities Valuation – Securities listed on an exchange are valued at the last reported sale price at the close of the regular trading session of the exchange on the business day the value is being determined, or in the case of securities listed on NASDAQ, at the NASDAQ Official Closing Price (“NOCP”). In the absence of a sale, such securities shall be valued at the last bid price on the day of valuation. Debt securities including Bank Loans (other than short-term obligations) are valued each day by an independent pricing service approved by the Board of Trustees (the “Board”) using methods which include current market quotations from a major market maker in the securities and based on methods which include the consideration of yields or prices of securities of comparable quality, coupon, maturity and type. The Funds may invest in portfolios of open-end or closed-end investment companies (the “underlying funds”). Open-end funds are valued at their respective net asset values as reported by such investment companies. The underlying funds value securities in their portfolios for which market quotations are readily available at their market values (generally the last reported sale price) and all other securities and assets at their fair value by the methods established by the Boards of Directors of the open-end funds. The shares of many closed-end investment companies, after their initial public offering, frequently trade at a price per share, which is different than the net asset value per share. The difference represents a market premium or market discount of such shares. There can be no assurances that the market discount or market premium on shares of any closed-end investment company purchased by the Funds will not change. Short-term debt obligations having 60 days or less remaining until maturity, at time of purchase, may be valued at amortized cost, provided each such valuations represent fair value. Options are valued at their closing price on the exchange they are traded on. When no closing price is available, options are valued at their mean price. Futures, which are traded on an exchange, are valued at the settlement price determined by the exchange. Swap transactions are valued through an independent pricing service or at fair value based on daily price reporting from the swap counterparty issuing the swap. Foreign currency and forward currency exchange contracts are valued daily at the London Stock Exchange close each day.

 

In unusual circumstances, instead of valuing securities in the usual manner, the Funds may value securities at “fair value” as determined in good faith by the Funds’ Board of Trustees (the “Board”), pursuant to the procedures (the “Procedures”) approved by the Board. The Procedures consider, among others, the following factors to determine a security’s fair value: the nature and pricing history (if any) of the security; whether any dealer quotations for the security are available; and possible valuation methodologies that could be used to determine the fair value of the security. Fair value may also be used by the Board if extraordinary events occur after the close of the relevant world market but prior to the NYSE close.

 

Valuation of Prime Meridian Income QP Fund (“Prime Meridian Fund”) – The Hedged Commodity Fund and the Hedged Futures Fund (the “Funds”) invests a portion of their assets in the Prime Meridian Fund. The Prime Meridian Fund measures their investment assets at fair value, and report a net asset value (“NAV”) or pro rata interest in the members’ capital as a practical expedient on a monthly basis. In accordance with Accounting Standards Codification (‘ASC”) 820, the Funds have elected to apply the practical expedient to value its investment in the Prime Meridian Fund at the respective NAV each month. For non-month ends, the Valuation Committee estimates the fair value of Prime Meridian based on valuation estimates provided by a third party valuation service that has transparency to all the holdings of the Prime Meridian Fund. As of March 31, 2018, the Funds’ investments in the Prime Meridian Fund were valued at the NAV of the Prime Meridian Fund. The Prime Meridian Fund invests in Loans issued by LendingClub Corporation and values its underlying investments in accordance with policies established by the General Partner, which ordinarily values holdings using an income approach. The General Partner estimates fair value of holding is determined after analysis of various inputs including quantitative information about current discount rates and expected cash flows, adjusted for anticipated credit losses and expected prepayments based on published information for similar underlying notes as published by trading platforms. These estimated fair values may differ significantly from the values that would have been used had a market for loans existed. The Funds have no unfunded commitments to purchase Prime Meridian.

 

Each Fund utilizes various methods to measure the fair value of most of its investments on a recurring basis. GAAP establishes a hierarchy that prioritizes inputs to valuation methods. The three levels of input are:

 

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

 

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

 

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

 

The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

 

The following table summarizes the inputs used as of September 30, 2018, for each Funds’ assets and liabilities measured at fair value:

 

Small-Cap Insider Buying Fund 
Assets(a,b)  Level 1   Level 2   Level 3   Total 
Common Stock  $20,251,188   $—   $—   $20,251,188 
Total Assets  $20,251,188   $—   $—   $20,251,188 
                     
Insider Buying Fund                    
Assets(a,b)  Level 1   Level 2   Level 3   Total 
Common Stock  $58,452,776   $—   $—   $58,452,776 
Total Assets  $58,452,776   $—   $—   $58,452,776 

 

 

CATALYST FUNDS
NOTES TO PORTFOLIOS OF INVESTMENTS (Unaudited) (Continued)
September 30, 2018

 

Insider Long/Short Fund 
Assets(a,b)  Level 1   Level 2   Level 3   Total 
Common Stock  $1,666,857   $—   $—   $1,666,857 
Total Assets  $1,666,857   $—   $—   $1,666,857 
Liabilities(a,b)     
Common Stock Sold Short  $706,826   $—   $—   $706,826 
Total Liabilities  $706,826   $—   $—   $706,826 
                     
Hedged Commodity Strategy Fund 
Assets(a,b)  Level 1   Level 2   Level 3   Total 
Call Options Purchased  $16,216,353    —    —   $16,216,353 
Put Options Purchased   15,031,595    —    —    15,031,595 
Prime Meridian Income QP Fund (1)   3,266,372    —    —    3,266,372 
United States Government Securities   —    40,842,659    —    40,842,659 
Total Assets  $34,514,320   $40,842,659   $—   $75,356,979 
Liabilities(a,b)        
Call Options Written  $15,699,644   $—   $—   $15,699,644 
Put Options Written   17,389,520    —    —    17,389,520 
Total Liabilities  $33,089,164   $—   $—   $33,089,164 
                     
Hedged Futures Strategy Fund 
Assets(a,b)  Level 1   Level 2   Level 3   Total 
Call Options Purchased  $51,312,500   $—   $—   $51,312,500 
Put Options Purchased   13,706,250    —    —    13,706,250 
Prime Meridian Income QP Fund (1)   69,509,607    —    —    69,509,607 
U.S. Government Securities        274,704,341    —    274,704,341 
Short-Term Investments   185,386,693         —    185,386,693 
Total Assets  $319,915,050   $274,704,341   $—   $594,619,391 
Liabilities(a,b)       
Call Options Written  $77,881,250   $—   $—   $77,881,250 
Put Options Written   15,568,750    —    —    15,568,750 
Total Liabilities  $93,450,000   $—   $—   $93,450,000 
                     
Insider Income Fund 
Assets(a,b)  Level 1   Level 2   Level 3   Total 
Convertible Bonds  $—   $405,149   $—   $405,149 
Corporate Bonds   —    2,450,041    —    2,450,041 
Total Assets  $—   $2,855,190   $—   $2,855,190 
                     
Systematic Alpha Fund 
Assets(a,b)  Level 1   Level 2   Level 3   Total 
Exchange Traded Funds  $2,322,657   $—   $—   $2,322,657 
Open Ended Fund   391,836    —    —    391,836 
Total Assets  $2,714,493   $—   $—   $2,714,493 
Derivatives(a,b) 
Liabilities         
Total Return Swaps  $—   $303,684   $—   $303,684 
Total Derivatives  $—   $303,684   $—   $303,684 
                     
IPOx Allocation Fund 
Assets(a,b)  Level 1   Level 2   Level 3   Total 
Common Stock  $2,711,132   $—   $—   $2,711,132 
Total Assets  $2,711,132   $—   $—   $2,711,132 

 

 

CATALYST FUNDS
NOTES TO PORTFOLIOS OF INVESTMENTS (Unaudited) (Continued)
September 30, 2018

 

Macro Strategy Fund 
Assets(a,b)  Level 1   Level 2   Level 3   Total 
Put Options Purchased  $1,135,448   $3,110,202    —   $4,245,650 
Call Options Purchased   73,181    1,259,167    —    1,332,348 
Total Assets  $1,208,629   $4,369,369   $—   $5,577,998 
Liabilities(a,b)       
Put Options Written  $—   $282   $—   $282 
Call Options Written   457,815    557,021    —    1,014,836 
Total Liabilities  $457,815   $557,303   $—   $1,015,118 
Derivatives(a,b) 
Liabilities      
Total Return Swaps  $—   $1,249   $—   $1,249 
Total Derivatives  $—   $1,249   $—   $1,249 
                     
Multi Strategy Fund 
Assets(a,b)  Level 1   Level 2   Level 3   Total 
U.S. Government  $—   $499,258   $—   $499,258 
Short-Term Investments   4,178,789        $—    4,178,789 
Total Assets  $4,178,789   $499,258   $—   $4,678,047 
Derivatives(a,b) 
Assets     
Futures Contracts  $46,499   $—   $—   $46,499 
Liabilities                    
Futures Contracts   7,000    —    —    7,000 
Total Derivatives  $39,499   $—   $—   $39,499 
                     
Dynamic Alpha Fund 
Assets(a,b)  Level 1   Level 2   Level 3   Total 
Common Stock  $447,952,955   $—   $—   $447,952,955 
Total Assets  $447,952,955   $—   $—   $447,952,955 
                     
Buyback Strategy Fund 
Assets(a,b)  Level 1   Level 2   Level 3   Total 
Common Stock  $23,355,615   $—   $—   $23,355,615 
Total Assets  $23,355,615   $—   $—   $23,355,615 
                     
Growth of Income Fund 
Assets(a,b)  Level 1   Level 2   Level 3   Total 
Common Stock  $6,446,521   $—   $—   $6,446,521 
Total Assets  $6,446,521   $—   $—   $6,446,521 
                     
Exceed Defined Risk Fund 
Assets(a,b)  Level 1   Level 2   Level 3   Total 
Exchange Traded Funds  $2,103,904   $—   $—   $2,103,904 
Corporate Bonds   —    9,257,598    —    9,257,598 
United States Government Securities   —    493,027    —    493,027 
Call Options Purchased   776,676    1,120,111    —    1,896,787 
Total Assets  $2,880,580   $10,870,736   $—   $13,751,316 
Liabilities(a,b)        
Call Options Written  $748,737   $58,772   $—   $807,509 
Put Options Written   144,472    29,645    —    174,117 
Total Liabilities  $893,209   $88,417   $—   $981,626 
                     
Lyons Tactical Allocation Fund 
Assets(a,b)  Level 1   Level 2   Level 3   Total 
Common Stock  $101,852,454   $—   $—   $101,852,454 
United States Government Securities   —    9,763,574    —    9,763,574 
Short-Term Investments   —    5,188,312    —    5,188,312 
Total Assets  $101,852,454   $14,951,886   $—   $116,804,340 

 

 

CATALYST FUNDS
NOTES TO PORTFOLIOS OF INVESTMENTS (Unaudited) (Continued)
September 30, 2018

 

MAP Global Equity Fund 
Assets(a,b)  Level 1   Level 2   Level 3   Total 
Common Stock  $39,272,506   $—   $—   $39,272,506 
Mutual Fund   1,127,120    —    —    1,127,120 
Total Assets  $40,399,626   $—   $—   $40,399,626 
Liabilities(a,b)                    
Call Options Written  $256,388   $—   $—   $256,388 
Total Liabilities  $256,388   $—   $—   $256,388 
                     
MAP Global Balanced Fund 
Assets(a,b)  Level 1   Level 2   Level 3   Total 
Closed-End Fund  $274,480   $—   $—   $274,480 
Common Stock   11,010,782    —    —    11,010,782 
Convertible Bonds   —    670,420    —    670,420 
Corporate Bonds   —    10,094,796    —    10,094,796 
Total Assets  $11,285,262   $10,765,216   $—   $22,050,478 
Liabilities(a,b)        
Call Options Written  $9,200   $—   $—   $9,200 
Total Liabilities  $9,200   $—   $—   $9,200 
                     
Millburn Hedge Strategy Fund 
Assets(a,b)  Level 1   Level 2   Level 3   Total 
Exchange Traded Funds  $2,127,849,478   $—   $—   $2,127,849,478 
United States Government Securities   —    1,077,358,230    —    1,077,358,230 
Total Assets  $2,127,849,478   $1,077,358,230   $—   $3,205,207,708 
Derivatives(a,b) 
Assets        
Futures Contracts  $117,947,362   $—   $—   $117,947,362 
Forward Contracts   —    60,745,488    —    60,745,488 
Total  $117,947,362   $60,745,488   $—   $178,692,850 
Liabilities        
Futures Contracts  $14,942,020   $—   $—   $14,942,020 
Forward Contracts   —    80,055,383    —    80,055,383 
Total  $14,942,020   $80,055,383   $—   $94,997,403 
                     
MLP & Infrastructure Fund 
Assets(a,b)  Level 1   Level 2   Level 3   Total 
Common Stock  $185,265,327   $—   $—   $185,265,327 
Total Assets  $185,265,327   $—   $—   $185,265,327 
                     
Floating Rate Income Fund 
Assets(a,b)  Level 1   Level 2   Level 3   Total 
Common Stock  $173,068   $—   $—   $173,068 
Exchange Traded Fund   1,737,750    —    —   $1,737,750 
Corporate Bonds   —    3,899,765    —    3,899,765 
Collateralized Loan Obligations   —    2,005,955    —    2,005,955 
Bank Loans   —    46,888,355    —    46,888,355 
Total Assets  $1,910,818   $52,794,075   $—   $54,704,893 
                     
High Income Fund 
Assets(a,b)  Level 1   Level 2   Level 3   Total 
Convertible Bonds  $—   $6,784,218    —   $6,784,218 
Corporate Bonds   —    20,315,502    —    20,315,502 
Total Assets  $—   $27,099,720   $—   $27,099,720 
                     
Total Return Income Fund 
Assets(a,b)  Level 1   Level 2   Level 3   Total 
Common Stock  $9,126,456   $—   $—   $9,126,456 
Exchanged Traded Funds   735,946    —    —    735,946 
Convertible Bonds   —    2,301,750    —    2,301,750 
Corporate Bonds   —    5,960,393    —    5,960,393 
Total Assets  $9,862,402   $8,262,143   $—   $18,124,545 

 

 

CATALYST FUNDS
NOTES TO PORTFOLIOS OF INVESTMENTS (Unaudited) (Continued)
September 30, 2018

 

Stone Beach Income Opportunity Fund 
Assets(a,b)  Level 1   Level 2   Level 3   Total 
U.S. Government Agencies  $—   $3,303,670   $—   $3,303,670 
Private Collateralized Mortgage Obligations   —    4,587,848    —    4,587,848 
Mortgage Notes   —    —    437,000    437,000 
Total Assets  $—   $7,891,518   $437,000   $8,328,518 
Derivatives(a,b)    
Assets        
Futures Contracts  $13,281   $—   $—   $13,281 
      
Liabilities        
Futures Contracts  $7,234   $—   $—   $7,234 
                     
Exceed Defined Shield Fund 
Assets(a,b)  Level 1   Level 2   Level 3   Total 
Exchange Traded Funds  $3,100,111   $—   $—   $3,100,111 
Corporate Bonds   —    24,886,525    —    24,886,525 
Call Options Purchased   1,305,169    1,768,232    —    3,073,401 
Put Options Purchased   365,539    22,850    —    388,389 
United States Government Securities   —    1,528,101    —    1,528,101 
Short-Term Investments   —    —    —    — 
Total Assets  $4,770,819   $28,205,708   $—   $32,976,527 
Liabilities(a,b)     
Call Options Written  $263,316   $120,603   $—   $383,919 
Put Options Written   659,478    200,983    —    860,461 
Total Liabilities  $922,794   $321,586   $—   $1,244,380 

 

*Please refer to the Portfolio of Investments for industry classifications.

 

(a)Refer to the Portfolio of Investments for security classifications.

 

(b)There were no transfers into or out of Level 1 and Level 2 during the period. It is each Fund’s policy to recognize transfers into or out of Level 1 and Level 2 at the end of the reporting period.

 

1)Management has elected to adopt ASU 2015-07, Disclosures for Investments in Certain Entities That Calculate Net Asset Value per Share (or Its Equivalent) — a consensus of the Emerging Issues Task Force issued, on May 1, 2015. In accordance with Subtopic 820-10, certain investments that are measured at fair value using the net asset value per share (or its equivalent) have not been classified in the fair value hierarchy. The fair value amount presented in this table is intended to permit reconciliation of the fair value hierarchy to the amounts presented in the statement of assets and liabilities.

 

There were no transfers into or out of Level 1 and Level 2 during the current period presented. It is the Funds’ policy to record transfers into or out of Level 1 and Level 2 at the end of the period.

 

The High Income Fund, Total Return Income Fund and Income Opportunity Fund were the only Funds to hold Level 3 securities during the period. Therefore, a reconciliation of assets in which significant unobservable inputs (Level 3) were used in determining fair value is shown for these Funds.

 

The following is a reconciliation of Energy Conversion Devices, Inc., (High Income Fund and Total Return Income Fund), for which Level 3 inputs were used in determining value:

 

   High Income   Total Return 
   Fund   Income Fund 
   Energy Conversion Devices, Inc.   Energy Conversion Devices, Inc. 
Beginning balance June 30, 2017  $—   $— 
Total realized gain/(loss)   —    — 
Change in unrealized appreciation   —    — 
Capital distribution   —    — 
Tax basis adjustment   —    — 
Net transfers in/(out) of Level 3   —      
Ending balance March 31, 2018  $—   $— 
           
The following is a reconciliation of Mortgage Notes (Income Opportunity Fund), for which Level 3 inputs were used in determining value:
           
   Stone Beach Income     
   Opportunity    
   Fund    
   Mortgage Notes    
Beginning balance June 30, 2018  $767,000     
Cost of purchases   —      
Total realized gain (loss)   —      
Change in unrealized appreciation   —      
Reinvestment of dividends   —      
Proceeds from sales/maturities/calls   (330,000)     
Net transfer in/out of level 3   —      
Ending balance September 30, 2018  $437,000     

 

 

CATALYST FUNDS
NOTES TO PORTFOLIOS OF INVESTMENTS (Unaudited) (Continued)
September 30, 2018

 

Quantitative disclosures of unobservable inputs and assumptions used by High Income Fund and Total Return Income Fund.
Investments in Securities:            
              
High Income Fund            
              
Convertible Bonds            
Energy Conversion Devices, Inc.    —   Bankruptcy  Expected future cash payments
   Total Fair Value Securities  $—       
Total Return Income Fund              
               
Convertible Bonds              
Energy Conversion Devices, Inc.      —   Bankruptcy  Expected future cash payments
   Total Fair Value Securities  $—       
Income Opportunity              
               
Mortgage Notes     $437,000   Cost Approach  No Impairments
   Total Fair Value Securities  $437,000       

 

Fair value securities as a percent of Net Assets 0.00%, 0.00% and 3.9% for High Income Fund, Total Return Income Fund and Income Opportunity respectively.

 

Certain Funds invest in affiliated underlying funds (the “Catalyst Advised Funds”), unaffiliated underlying funds, or a combination of both. The Advisor, therefore, is subject to conflicts of interest in allocating the Fund’s assets among the underlying funds. The Advisor will receive more revenue to the extent it selects a Catalyst Advised Fund rather than an unaffiliated fund for inclusion in the Fund’s portfolio. In addition, the Advisor may have an incentive to allocate the Fund’s assets to those Catalyst Advised Funds for which the net advisory fees payable to the Advisor are higher than the fees payable by other Catalyst Advised Funds

 

The Funds are subject to equity price risks in the normal course of pursuing their investment objective and may purchase or sell options to help hedge against risk. When the Funds write a call option, an amount equal to the premium received is included in the Statements of Assets and Liabilities as a liability. The amount of the liability is subsequently marked-to-market to reflect the current market value of the option. If an option expires on its stipulated expiration date or if the Funds enter into a closing purchase transaction, a gain or loss is realized. If a written call option is exercised, a gain or loss is realized for the sale of the underlying security and the proceeds from the sale are increased by the premium originally received. As writer of an option, the Funds have no control over whether the option will be exercised and, as a result, retains the market risk of an unfavorable change in the price of the security underlying the written option.

 

The Funds may purchase put and call options. Put options are purchased to hedge against a decline in the value of securities held in the Funds’ portfolio. If such a decline occurs, the put options will permit the Funds to sell the securities underlying such options at the exercise price, or to close out the options at a profit. The premium paid for a put or call option plus any transaction costs will reduce the benefit, if any, realized by the Funds upon exercise of the option, and, unless the price of the underlying security rises or declines sufficiently, the option may expire worthless to the Funds. In addition, in the event that the price of the security in connection with which an option was purchased moves in a direction favorable to the Funds, the benefits realized by the Funds as a result of such favorable movement will be reduced by the amount of the premium paid for the option and related transaction costs. Written and purchased options are non-income producing securities. With purchased options, there is minimal counterparty risk to the Funds since these options are exchange traded and the exchange’s clearinghouse, as counterparty to all exchange traded options, guarantees against a possible default. At March 31, 2018, the Hedged Insider Fund, Insider Buying Fund, Insider Long/Short Fund, Hedged Futures Strategy Fund, Intelligent Alternative Fund, Macro Strategy Fund, Hedged Premium Return Fund, Global Capital Appreciation Fund, Global Total Return Income Fund, Total Return Income Fund and Time Value Trading Fund, were permitted to invest in options.

 

Structured Notes – The values of structured notes are based on the price movements of a reference security or index. Upon termination, a Fund will receive a payment from the issuer based on the value of the referenced instrument (notional amount multiplied by price of the referenced instrument) and record a realized gain or loss.

 

The Funds may sell securities short or purchase ETFs that sell securities short. A short sale is a transaction in which the Fund sells securities it does not own in anticipation of a decline in the market price of the securities. To deliver the securities to the buyer, the Fund must arrange through a broker to borrow the securities and, in so doing, the Fund becomes obligated to replace the securities borrowed at their market price at the time of replacement, whatever that price may be. The Fund will make a profit or incur a loss as a result of a short sale depending on whether the price of the securities decreases or increases between the date of the short sale and the date on which the Fund purchases the security to replace the borrowed securities that have been sold. The amount of any loss would be increased (and any gain decreased) by any premium or interest the Fund is required to pay in connection with a short sale.

 

Each Fund may invest in a range of exchange-traded funds (“ETFs”). An ETF is an investment company that offers investors a proportionate share in a portfolio of stocks, bonds, commodities, currencies or other securities. Like individual equity securities, ETFs are traded on a stock exchange and can be bought and sold throughout the day. Traditional ETFs attempt to achieve the same investment return as that of a particular market index, such as the Standard & Poor’s 500 Index. To mirror the performance of a market index, an ETF invests either in all of the securities in the index or a representative sample of securities in the index. Some ETFs also invest in futures contracts or other derivative instruments to track their benchmark index. Unlike traditional indexes, which generally weight their holdings based on relative size (market capitalization), enhanced or fundamentally weighted indexes use weighting structures that include other criteria such as earnings, sales, growth, liquidity, book value or dividends. Some ETFs also use active investment strategies instead of tracking broad market indexes. Investments in ETFs are considered to be investment companies. When a Fund invests in ETFs, it is subject to the specific risks of the underlying investment of the ETF.

 

 

CATALYST FUNDS
NOTES TO PORTFOLIOS OF INVESTMENTS (Unaudited) (Continued)
September 30, 2018

 

Each Fund may purchase and sell futures contracts. A Fund may use futures contracts to gain exposure to, or hedge against changes in the value of equities, interest rates or foreign currencies. Upon entering into a contract, the Fund deposits and maintains as collateral such initial margin as required by the exchange on which the transaction is affected. Pursuant to the contract, the Fund agrees to receive from or pay to the broker an amount of cash equal to the daily fluctuation in value of the contract. Such receipts or payments are known as “variation margin” and are recorded by the Fund as unrealized gains and losses. When the contract is closed, the Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. As collateral for futures contracts, the Fund is required under the 1940 Act to maintain assets consisting of cash, cash equivalents or liquid securities. This collateral is required to be adjusted daily to reflect the market value of the purchase obligation for long futures contracts or the market value of the instrument underlying the contract, but not less than the market price at which the futures contract was established, for short futures contracts.

 

Swap Agreements – The Systematic Alpha Fund and Macro Strategy Fund has entered into various swap transactions for investment purposes. These are two-party contracts entered into primarily to exchange the returns (or differentials in rates of returns) earned or realized on particular pre-determined investments or instruments.

 

The gross returns to be exchanged or “swapped” between parties are calculated with respect to a notional amount, i.e., the return on or increase in value of a particular dollar amount invested at a particular interest rate, in a particular foreign currency, or in a “basket” of securities representing a particular index or market segment. Changes in the value of swap agreements are recognized as unrealized gains or losses in the Statements of Operations by “marking to market” on a daily basis to reflect the value of the swap agreement at the end of each trading day. Payments received or paid at the beginning of the agreement are reflected as such on the Statements of Assets and Liabilities and may be referred to as upfront payments. The Portfolios amortize upfront payments and/or accrue for the fixed payment stream on swap agreements on a daily basis with the net amount recorded as a component of unrealized gain or loss on the Statements of Operations. A liquidation payment received or made at the termination of the swap agreement is recorded as a realized gain or loss on the Statements of Operations. The Portfolios segregate liquid securities having a value at least equal to the amount of their current obligation under any swap transaction. Entering into these agreements involves, to varying degrees, lack of liquidity and elements of credit, market, and counterparty risk in excess of amounts recognized on the Statements of Assets and Liabilities. The Portfolios’ maximum risk of loss from counterparty credit risk is the discounted net value of the cash flows to be received from the counterparty over the contract’s remaining life, to the extent that that amount is positive.

 

The following is a summary of unrealized appreciation/depreciation on the derivative instruments utilized by the Funds as of September 30, 2018, categorized by risk exposure:

 

Fund  Derivative  Risk type  Unrealized 
Hedged Commodity Strategy Fund  Purchased Options  Commodity   7,164,152 
   Written Options  Commodity   (3,984,710)
Hedged Futures Strategy Fund  Purchased Options  Equity   1,878,607 
   Written Options  Equity   16,336,524 
Macro Strategy Fund  Purchased Options  Equity   (1,724,801)
   Written Options  Equity   649,783 
   Swap  Commodity   (113,543)
   Swap  Foreign Exchange   (31,243)
   Swap  Interest Rate   217,061 
Millburn Hedge Strategy Fund  Futures  Commodity   37,660,902 
      Equity   48,748,956 
      Interest Rate   16,595,484 
   Forward Contracts  Foreign Exchange   10,086,256 
Systematic Alpha Fund  Swap  Total Return Swap   (133,703)
            
Fund  Derivative  Risk type   Unrealized 
Multi Strategy Fund  Futures  Commodity   15,481 
      Equity   15,982 
      Foreign Exchange   3,920 
      Interest Rate   11,116 
Exceed Defined Risk Fund  Purchased Options  Equity   641,148 
   Written Options  Equity   (96,837)
MAP Global Equity Fund  Written Options  Equity   22,972 
MAP Global Balanced Fund  Written Options  Equity   11,584 
Stone Beach Income Opportunity Fund  Futures  Interest Rate   6,047 
Exceed Defined Shield Fund  Purchased Options  Equity   513,661 
   Written Options  Equity   777,112 

 

The amounts of derivative instruments disclosed on the Portfolio of Investments at September 30, 2018, is a reflection of the volume of derivative activity for the Funds.

 

Consolidation of Subsidiaries – CHCSF Fund Limited (Hedged Commodity-CFC), CAMFMSF Fund Limited (Multi Strategy-CFC), CMHSF Fund Limited (Millburn-CFC) and CSACS Fund Limited (Systematic – CFC) the (“CFCs”) The Consolidated Portfolios of Investments include the accounts of Hedged Commodity, Multi Strategy and Millburn Hedge Strategy, which include the accounts of Hedged Commodity-CFC, Multi Strategy-CFC Millburn-CFC and Systematic-CFC, respectively which all are wholly-owned and controlled foreign subsidiaries. All inter-company accounts and transactions have been eliminated in consolidation.

 

The Funds may invest up to 25% of their total assets in a controlled foreign corporation (“CFC”), which acts as an investment vehicle in order to affect certain investments consistent with the Funds’ investment objectives and policies.

 

A summary of the each Funds’ investment in their respective CFC is as follows:

 

       Inception Date of CFC    CFC Net Assets as of
September 30, 2018		    % of Net Assets as
of September 30,
2018		  
  Hedged Commodity – CFC    6/25/2015    $8,956,684    16.40%  
  Multi Strategy –CFC    6/25/2015    1,133,335    18.94%  
  Millburn - CFC    11/2/2015    245,021,843    5.71%  
  Systematic – CFC    12/19/2017    601,947    16.54%  
  Macro Strategy - CFC    3/28/2018    2,364,595    22.50%  

 

For tax purposes, the CFCs are exempted Cayman investment companies. The CFCs have received an undertaking from the Government of the Cayman Islands exempting it from all local income, profits and capital gains taxes. No such taxes are levied in the Cayman Islands at the present time. For U.S. income tax purposes, the CFCs are a Controlled Foreign Corporation which generates and is allocated no income which is considered effectively connected with U.S. trade of business and as such is not subject to U.S. income tax. However, as a wholly-owned Controlled Foreign Corporation, the CFCs net income and capital gain, to the extent of its earnings and profits, will be included each year in the respective Fund’s investment company taxable income.

 

 

Agreggate Unrealized Appreciation and Depreciation - Tax Basis  
   
            Gross    Gross    Net Unrealized  
            Unrealized    Unrealized    Appreciation  
  Fund    Tax Cost    Appreciation    Depreciation    (Depreciation)  
  Small-Cap Insider Buying Fund    18,401,898    2,320,154    (470,864)    1,849,290  
  Insider Buying Fund    48,527,975    9,952,785    (27,984)    9,924,801  
  Insider Long/Short Fund    499,218    541,879    (81,066)    460,813  
  Hedged Commodity Strategy Fund    39,716,699    20,506,032    (17,954,916)    2,551,116  
  Hedged Futures Strategy Fund    479,826,139    39,927,414    (18,584,162)    21,343,252  
  Insider Income Fund    2,806,800    59,902    (11,512)    48,390  
  Systematic Alpha Fund    2,709,227    10,625    (5,359)    5,266  
  IPOx Allocation Fund    2,578,061    250,986    (117,915)    133,071  
  Macro Strategy Fund    3,084,314    4,678,836    (3,200,269)    1,478,567  
  Multi Strategy Fund    4,688,896    —    (10,849)    (10,849)  
  Dynamic Alpha Fund    359,218,755    88,986,236    (252,036)    88,734,200  
  Buyback Strategy Fund    23,088,732    730,435    (463,552)    266,883  
  Growth of Income Fund    5,081,324    1,556,477    (191,280)    1,365,197  
  Exceed Defined Risk Fund    12,324,321    896,731    (451,362)    445,369  
  Lyons Tactical Allocation Fund    92,859,074    24,622,113    (676,847)    23,945,266  
  MAP Global Equity Fund    34,030,113    8,841,867    (2,728,742)    6,113,125  
  MAP Global Balanced Fund    20,918,461    2,305,115    (1,182,298)    1,122,817  
  Millburn Hedge Strategy Fund    2,925,758,846    464,847,743    (101,703,434)    363,144,309  
  MLP & Infrastructure Fund    180,977,669    26,663,523    (22,375,865)    4,287,658  
  Floating Rate Income Fund    54,593,316    367,988    (256,411)    111,577  
  High Income Fund    32,489,259    1,048,217    (6,437,756)    (5,389,539)  
  Total Return Income Fund    23,912,688    1,296,998    (7,085,141)    (5,788,143)  
  Stone Beach Income Opportunity Fund    8,262,950    311,254    (239,639)    71,615  
  Exceed Defined Shield Fund    30,619,959    1,990,016    (877,828)    1,112,188  

 

 

Item 2.Controls and Procedures.

 

(a)The registrant's principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant's disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”)) were effective, as of a date within 90 days of the filing date of this report based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act and Rule 15d-15(b) under the Securities Exchange Act of 1934, as amended.

 

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

 

Item 3.Exhibits.

 

(a)A certification for the Principal Executive Officer of the registrant is attached hereto as part of EX-99.cert.

 

(b)A certification for the Principal Financial Officer of the registrant is attached hereto as part of EX-99.cert.

 

 

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) Mutual Fund Series Trust

 

By: /s/ Jerry Szilagyi  
Name: Jerry Szilagyi
Title: President
Date: November 28, 2018

 

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

indicated.

 

By: /s/ Jerry Szilagyi
Name: Jerry Szilagyi
Title: President
Date: November 28, 2018
   
   
By:  /s/ Erik Naviloff
Name:  Erik Naviloff
Title:  Treasurer
Date: November 28, 2018