NPORT-EX 2 catalystnport.htm CATALYST NQ
CATALYST FUNDS
CATALYST SMALL-CAP INSIDER BUYING FUND
PORTFOLIO OF INVESTMENTS (Unaudited)
September 30, 2020

 

Shares      Value 
     COMMON STOCK - 98.6%     
     AUTOMOTIVE - 7.8%     
 19,280   XPEL, Inc. * ^  $502,822 
           
     CONSUMER SERVICES - 4.9%     
 9,210   2U, Inc. * ^   311,851 
           
     E-COMMERCE DISCRETIONARY - 2.6%     
 6,200   Stitch Fix, Inc. * ^   168,206 
           
     ENGINEERING & CONSTRUCTION - 4.4%     
 3,900   Exponent, Inc.   280,917 
           
     ENTERTAINMENT CONTENT - 0.7%     
 280   Take-Two Interactive Software, Inc. *   46,262 
           
     INTERNET MEDIA & SERVICES - 5.2%     
 2,400   Fiverr International Ltd. *   333,552 
           
     MEDICAL EQUIPMENT & DEVICES - 4.4%     
 124   Repligen Corporation *   18,295 
 15,250   Zynex, Inc. * ^   266,112 
         284,407 
     METALS & MINING - 23.8%     
 23,800   Eldorado Gold Corporation *   251,090 
 47,500   Hecla Mining Company   241,300 
 59,000   IAMGOLD Corporation *   225,970 
 26,500   Osisko Gold Royalties Ltd.   313,495 
 59,450   Sandstorm Gold Ltd. *   501,758 
         1,533,613 
     SEMICONDUCTORS - 0.7%     
 400   Inphi Corporation *   44,900 
           
     SOFTWARE - 34.3%     
 3,650   Cerence, Inc. * ^   178,375 
 3,000   CyberArk Software Ltd. * ^   310,260 
 7,100   Digital Turbine, Inc. *   232,454 
 2,000   Everbridge, Inc. * ^   251,460 
 8,100   Mimecast Ltd. * ^   380,052 
 8,550   Nutanix, Inc. *   189,639 
 60   Paylocity Holding Corporation *   9,685 
 356   Red Violet, Inc. *   6,572 
 1,150   RingCentral, Inc. *   315,801 
 8,860   Upland Software, Inc. *   334,022 
         2,208,320 
     SPECIALTY FINANCE - 6.7%     
 75,960   Paysign, Inc. *   431,453 
           
     TECHNOLOGY HARDWARE - 2.8%     
 4,450   PAR Technology Corporation * ^   180,270 

 

 

CATALYST FUNDS
CATALYST SMALL-CAP INSIDER BUYING FUND
PORTFOLIO OF INVESTMENTS (Unaudited) (Continued)
September 30, 2020

 

Shares      Value 
     COMMON STOCK - 98.6% (Continued)     
     TELECOMMUNICATIONS - 0.3%     
 1,220   8x8, Inc. *  $18,971 
           
     TOTAL COMMON STOCK (Cost - $6,174,656)   6,345,544 
           
     COLLATERAL FOR SECURITIES LOANED - 30.8%     
 1,980,030   Mount Vernon Liquid Assets Portfolio LLC, 0.18% + #   1,980,030 
     TOTAL COLLATERAL FOR SECURITIES LOANED (Cost - $1,980,030)     
           
     TOTAL INVESTMENTS - 129.4% (Cost - $8,154,686)  $8,325,574 
     LIABILITIES IN EXCESS OF OTHER ASSETS - (29.4)%   (1,893,834)
     NET ASSETS - 100.0%  $6,431,740 

 

ADR - American Depositary Receipt

 

LLC - Limited Liability Company

 

PLC - Public Limited Company

 

*Non-income producing security.

 

+Variable rate security. Rate is as of September 30, 2020.

 

^All or a portion of these securities are on loan. Total loaned securities had a value of $1,925,442 at September 30, 2020.

 

#Mutual Fund Series Trust’s securities lending policies and procedures require that the borrower: (i) deliver cash or U.S. Government securities as collateral with respect to each new loan of U.S. securities, equal to at least 102% of the value of the portfolio securities loaned, and (ii) at all times thereafter mark-to-market the collateral on a daily basis so that the market value of such collateral is at least 100% of the value of securities loaned. From time to time the collateral may not be 102% due to end of day market movement. The next business day additional collateral is obtained/received from the borrower to replenish/reestablish 102%.

 

 

CATALYST FUNDS
CATALYST INSIDER BUYING FUND
PORTFOLIO OF INVESTMENTS (Unaudited)
September 30, 2020

 

Shares      Value 
     COMMON STOCK - 98.5%     
     BIOTECH & PHARMA - 0.6%     
 1,280   Seattle Genetics, Inc. *  $250,483 
           
     E-COMMERCE DISCRETIONARY - 4.5%     
 610   Amazon.com, Inc. *   1,920,725 
           
     ENTERTAINMENT CONTENT - 3.4%     
 4,200   Activision Blizzard, Inc.   339,990 
 15,800   Bilibili, Inc. - ADR * ^   657,280 
 1,000   Electronic Arts, Inc. *   130,410 
 2,000   Take-Two Interactive Software, Inc. *   330,440 
         1,458,120 
     HEALTH CARE FACILITIES & SERVICES - 4.6%     
 8,900   Teladoc Health, Inc. * ^   1,951,236 
           
     INSTITUTIONAL FINANCIAL SERVICES - 1.5%     
 6,200   Intercontinental Exchange, Inc.   620,310 
           
     INTERNET MEDIA & SERVICES - 6.3%     
 3,950   Netflix, Inc. * ^   1,975,119 
 2,750   Wix.com Ltd. * ^   700,837 
         2,675,956 
     LEISURE PRODUCTS - 1.2%     
 5,000   Peloton Interactive, Inc. *   496,200 
           
     METALS & MINING - 19.1%     
 6,400   Franco-Nevada Corporation   893,312 
 209,500   Kinross Gold Corporation *   1,847,790 
 37,350   Kirkland Lake Gold Ltd.   1,820,065 
 14,200   Royal Gold, Inc.   1,706,414 
 37,500   Wheaton Precious Metals Corporation   1,840,125 
         8,107,706 
     RENEWABLE ENERGY - 4.8%     
 8,450   SolarEdge Technologies, Inc. * ^   2,014,058 
           
     SOFTWARE - 46.3%     
 2,300   Adobe, Inc. *   1,127,989 
 2,300   Alteryx, Inc. * ^   261,165 
 14,600   Crowdstrike Holdings, Inc. *   2,004,872 
 17,650   DocuSign, Inc. *   3,798,986 
 145   Microsoft Corporation   30,498 
 9,400   Okta, Inc. * ^   2,010,190 
 11,300   RingCentral, Inc. *   3,103,093 
 4,150   ServiceNow, Inc. *   2,012,750 
 3,900   Splunk, Inc. *   733,707 
 4,900   Veeva Systems, Inc. *   1,377,831 
 6,800   Zoom Video Communications, Inc. *   3,196,748 
         19,657,829 

 

 

CATALYST FUNDS
CATALYST INSIDER BUYING FUND
PORTFOLIO OF INVESTMENTS (Unaudited) (Continued)
September 30, 2020

 

Shares      Value 
     COMMON STOCK - 98.5% (Continued)     
     TECHNOLOGY SERVICES - 6.2%     
 2,100   Mastercard, Inc.  $710,157 
 200   PayPal Holdings, Inc. *   39,406 
 8,800   Square, Inc. *   1,430,440 
 2,250   Visa, Inc. ^   449,933 
         2,629,936 
           
     TOTAL COMMON STOCK (Cost - $32,917,181)   41,782,559 
           
     COLLATERAL FOR SECURITIES LOANED - 22.0%     
 9,353,624   Mount Vernon Liquid Assets Portfolio LLC, 0.18% + #   9,353,624 
     TOTAL COLLATERAL FOR SECURITIES LOANED (Cost - $9,353,624)     
           
     TOTAL INVESTMENTS - 120.5% (Cost - $42,270,805)  $51,136,183 
     LIABILITIES IN EXCESS OF OTHER ASSETS - (20.5)%   (8,686,027)
     NET ASSETS - 100.0%  $42,450,156 

 

ADR - American Depositary Receipt

 

LLC - Limited Liability Company

 

PLC - Public Limited Company

 

*Non-income producing security.

 

+Variable rate security. Rate is as of September 30, 2020.

 

^All or a portion of these securities are on loan. Total loaned securities had a value of $9,268,729 at September 30, 2020.

 

#Mutual Fund Series Trust’s securities lending policies and procedures require that the borrower: (i) deliver cash or U.S. Government securities as collateral with respect to each new loan of U.S. securities, equal to at least 102% of the value of the portfolio securities loaned, and (ii) at all times thereafter mark-to-market the collateral on a daily basis so that the market value of such collateral is at least 100% of the value of securities loaned. From time to time the collateral may not be 102% due to end of day market movement. The next business day additional collateral is obtained/received from the borrower to replenish/reestablish 102%.

 

 

CATALYST FUNDS
CATALYST HEDGED COMMODITY STRATEGY FUND
CONSOLIDATED PORTFOLIO OF INVESTMENTS (Unaudited)
September 30, 2020

 

Contracts (a)      Counterparty  Notional Value   Expiration Date  Exercise Price   Value 
     OPTIONS PURCHASED - 19.5% *              
     CALL OPTIONS PURCHASED - 17.6%               
 200   Corn Future, Maturing December 2020 +  Wedbush  $3,200,000   11/20/2020  $320.00   $593,750 
 100   Corn Future, Maturing December 2020 +  Wedbush   2,000,000   11/20/2020   400.00    25,625 
 220   Corn Future, Maturing December 2020 +  Wedbush   4,620,000   11/20/2020   420.00    26,125 
 10   Crude Oil Future, Maturing November 2020 +  Wedbush   200,000   10/15/2020   20.00    202,300 
 250   Crude Oil Future, Maturing November 2020 +  Wedbush   11,000,000   10/15/2020   44.00    30,000 
 4   Crude Oil Future, Maturing November 2020 +  Wedbush   180,000   10/15/2020   45.00    320 
 102   Crude Oil Future, Maturing November 2020 +  Wedbush   3,825,000   10/15/2020   37.50    330,480 
 112   Crude Oil Future, Maturing November 2020 +  Wedbush   4,536,000   10/15/2020   40.50    118,720 
 41   Crude Oil Future, Maturing December 2020 +  Wedbush   1,230,000   11/17/2020   30.00    445,260 
 41   Crude Oil Future, Maturing December 2020 +  Wedbush   1,722,000   11/17/2020   42.00    63,140 
 1   Crude Oil Future, Maturing December 2020 +  Wedbush   45,000   11/17/2020   45.00    560 
 65   Crude Oil Future, Maturing December 2020 +  Wedbush   3,607,500   11/17/2020   55.50    2,600 
 30   Crude Oil Future, Maturing January 2021 +  Wedbush   1,170,000   12/16/2020   39.00    124,200 
 15   Crude Oil Future, Maturing January 2021 +  Wedbush   705,000   12/16/2020   47.00    9,900 
 15   Gold Future, Maturing November 2020 +  Wedbush   2,340,000   10/27/2020   1,560.00    504,150 
 26   Gold Future, Maturing November 2020 +  Wedbush   4,667,000   10/27/2020   1,795.00    280,280 
 15   Gold Future, Maturing November 2020 +  Wedbush   2,730,000   10/27/2020   1,820.00    129,150 
 151   Gold Future, Maturing November 2020 +  Wedbush   27,557,500   10/27/2020   1,825.00    1,238,200 
 26   Gold Future, Maturing November 2020 +  Wedbush   4,901,000   10/27/2020   1,885.00    105,820 
 151   Gold Future, Maturing November 2020 +  Wedbush   29,445,000   10/27/2020   1,950.00    241,600 
 101   Gold Future, Maturing December 2020 +  Wedbush   18,180,000   11/24/2020   1,800.00    1,190,790 
 101   Gold Future, Maturing December 2020 +  Wedbush   20,452,500   11/24/2020   2,025.00    225,230 
 51   Gold Future, Maturing February 2021 +  Wedbush   9,690,000   1/26/2021   1,900.00    446,250 
 51   Gold Future, Maturing February 2021 +  Wedbush   10,557,000   1/26/2021   2,070.00    200,430 
     TOTAL CALL OPTIONS PURCHASED (Cost - $6,126,589)    6,534,880 
                           
     PUT OPTIONS PURCHASED - 1.9%         
 300   Corn Future, Maturing November 2020 +  Wedbush   5,100,000   10/23/2020   340.00    3,750 
 125   Corn Future, Maturing November 2020 +  Wedbush   2,218,750   10/23/2020   355.00    5,469 
 125   Corn Future, Maturing November 2020 +  Wedbush   2,406,250   10/23/2020   385.00    71,094 
 200   Corn Future, Maturing December 2020 +  Wedbush   3,500,000   11/20/2020   350.00    17,500 
 200   Corn Future, Maturing December 2020 +  Wedbush   3,600,000   11/20/2020   360.00    36,250 
 200   Corn Future, Maturing December 2020 +  Wedbush   3,900,000   11/20/2020   390.00    185,000 
 150   Corn Future, Maturing March 2021 +  Wedbush   2,175,000   2/19/2021   290.00    4,687 
 150   Corn Future, Maturing March 2021 +  Wedbush   2,550,000   2/19/2021   340.00    18,750 
 2   Crude Oil Future, Maturing November 2020 +  Wedbush   86,000   10/15/2020   43.00    6,000 
 35   Gold Future, Maturing November 2020 +  Wedbush   5,215,000   10/27/2020   1,490.00    1,050 
 31   Gold Future, Maturing November 2020 +  Wedbush   5,068,500   10/27/2020   1,635.00    3,410 
 35   Gold Future, Maturing November 2020 +  Wedbush   5,915,000   10/27/2020   1,690.00    6,650 
 41   Gold Future, Maturing November 2020 +  Wedbush   7,380,000   10/27/2020   1,800.00    31,980 
 41   Gold Future, Maturing November 2020 +  Wedbush   7,769,500   10/27/2020   1,895.00    143,910 
 31   Gold Future, Maturing December 2020 +  Wedbush   4,603,500   11/24/2020   1,485.00    4,650 
 25   Gold Future, Maturing December 2020 +  Wedbush   3,925,000   11/24/2020   1,570.00    6,250 
 31   Gold Future, Maturing December 2020 +  Wedbush   5,239,000   11/24/2020   1,690.00    21,700 
 25   Gold Future, Maturing December 2020 +  Wedbush   4,700,000   11/24/2020   1,880.00    129,500 
     TOTAL PUT OPTIONS PURCHASED (Cost - $2,558,173)     697,600 
                           
     TOTAL OPTIONS PURCHASED (Cost - $8,684,762)   7,232,480 
                           
Principal         Coupon Rate (%)   Maturity          
     UNITED STATES GOVERNMENT SECURITIES - 26.5%         
$2,344,000   Resolution Funding Corp. Interest Strip  0.00%  10/15/2020        2,343,894 
 2,500,000   Resolution Funding Corp. Principal Strip   0.00%  10/15/2020        2,499,887 
 5,000,000   United States Treasury Note   1.75%  10/31/2020        5,006,763 
     TOTAL UNITED STATES GOVERNMENT SECURITIES (Cost - $9,841,527)    9,850,544 
                           
Shares                        
     SHORT-TERM INVESTMENTS - 58.0%          
 21,596,323   First American Government Obligations Portfolio - Institutional Class, 0.07% ** ^    21,596,323 
     TOTAL SHORT-TERM INVESTMENTS (Cost - $21,596,323)    21,596,323 
                           
                           
     TOTAL INVESTMENTS - 104.0% (Cost - $40,122,612)   $38,679,347 
     LIABILITIES IN EXCESS OF OTHER ASSETS - (4.0)%     (1,470,253)
     NET ASSETS - 100.0%    $37,209,094 

 

 

CATALYST FUNDS
CATALYST HEDGED COMMODITY STRATEGY FUND
CONSOLIDATED PORTFOLIO OF INVESTMENTS (Unaudited) (Continued)
September 30, 2020

 

Contracts (a)      Counterparty  Notional Value   Expiration Date  Exercise Price   Value 
     OPTIONS WRITTEN - (15.0)% *              
     CALL OPTIONS WRITTEN - (14.0)%              
 200   Corn Future, Maturing November 2020 +  Wedbush  $3,200,000   10/23/2020  $320.00   $591,250 
 100   Corn Future, Maturing November 2020 +  Wedbush   1,950,000   10/23/2020   390.00    20,625 
 100   Corn Future, Maturing November 2020 +  Wedbush   2,050,000   10/23/2020   410.00    6,250 
 59   Corn Future, Maturing December 2020 +  Wedbush   1,091,500   11/20/2020   370.00    47,569 
 20   Crude Oil Future, Maturing November 2020 +  Wedbush   600,000   10/15/2020   30.00    205,800 
 204   Crude Oil Future, Maturing November 2020 +  Wedbush   8,058,000   10/15/2020   39.50    342,720 
 35   Crude Oil Future, Maturing November 2020 +  Wedbush   1,907,500   10/15/2020   54.50    350 
 82   Crude Oil Future, Maturing December 2020 +  Wedbush   2,952,000   11/17/2020   36.00    452,640 
 2   Crude Oil Future, Maturing December 2020 +  Wedbush   86,000   11/17/2020   43.00    2,240 
 65   Crude Oil Future, Maturing December 2020 +  Wedbush   3,900,000   11/17/2020   60.00    1,300 
 1   Crude Oil Future, Maturing December 2020 +  Wedbush   46,500   11/17/2020   46.50    320 
 45   Crude Oil Future, Maturing January 2021 +  Wedbush   1,912,500   12/16/2020   42.50    94,950 
 15   Gold Future, Maturing November 2020 +  Wedbush   2,535,000   10/27/2020   1,690.00    311,100 
 14   Gold Future, Maturing November 2020 +  Wedbush   2,394,000   10/27/2020   1,710.00    262,920 
 52   Gold Future, Maturing November 2020 +  Wedbush   9,594,000   10/27/2020   1,845.00    345,800 
 302   Gold Future, Maturing November 2020 +  Wedbush   57,229,000   10/27/2020   1,895.00    1,075,120 
 202   Gold Future, Maturing December 2020 +  Wedbush   39,087,000   11/24/2020   1,935.00    894,860 
 102   Gold Future, Maturing February 2021 +  Wedbush   20,400,000   1/26/2021   2,000.00    551,820 
     TOTAL CALL OPTIONS WRITTEN (Premiums Received - $6,055,877)     5,207,634 
                           
     PUT OPTIONS WRITTEN - (1.0)%              
 301   Corn Future, Maturing November 2020 +  Wedbush   5,041,750   10/23/2020   335.00    3,763 
 100   Corn Future, Maturing November 2020 +  Wedbush   1,725,000   10/23/2020   345.00    1,875 
 25   Corn Future, Maturing November 2020 +  Wedbush   456,250   10/23/2020   365.00    2,813 
 125   Corn Future, Maturing November 2020 +  Wedbush   2,343,750   10/23/2020   375.00    35,937 
 200   Corn Future, Maturing December 2020 +  Wedbush   3,400,000   11/20/2020   340.00    8,750 
 400   Corn Future, Maturing December 2020 +  Wedbush   7,400,000   11/20/2020   370.00    142,500 
 150   Corn Future, Maturing March 2021 +  Wedbush   2,325,000   2/19/2021   310.00    7,500 
 150   Corn Future, Maturing March 2021 +  Wedbush   2,400,000   2/19/2021   320.00    9,375 
 2   Crude Oil Future, Maturing November 2020 +  Wedbush   80,000   10/15/2020   40.00    2,260 
 70   Gold Future, Maturing November 2020 +  Wedbush   11,130,000   10/27/2020   1,590.00    4,900 
 62   Gold Future, Maturing November 2020 +  Wedbush   10,757,000   10/27/2020   1,735.00    19,840 
 10   Gold Future, Maturing November 2020 +  Wedbush   1,835,000   10/27/2020   1,835.00    13,500 
 41   Gold Future, Maturing November 2020 +  Wedbush   7,626,000   10/27/2020   1,860.00    83,640 
 62   Gold Future, Maturing December 2020 +  Wedbush   9,858,000   11/24/2020   1,590.00    17,980 
 25   Gold Future, Maturing December 2020 +  Wedbush   4,062,500   11/24/2020   1,625.00    9,750 
 25   Gold Future, Maturing December 2020 +  Wedbush   4,312,500   11/24/2020   1,725.00    24,750 
     TOTAL PUT OPTIONS WRITTEN (Premiums Received - $2,543,484)     389,133 
                           
     TOTAL OPTIONS WRITTEN (Premiums Received - $8,599,361)    $5,596,767 
*Non-income producing security.

 

^All collateral for open options contracts consists of cash.

 

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

 

**Rate shown represents the rate at September 30, 2020, is subject to change and resets daily.

 

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

 

FUTURE CONTRACT   
    
                Unrealized 
      Number of  Expiration  Notional Amount/   Appreciation/ 
Description  Counterparty  Contracts  Date  Value   (Depreciation) 
Short                 
Gold 100 Ounce Future December 2020 +  Wedbush  1  12/29/2020  $189,550   $(10,726)
 Total                $(10,726)

 

 

CATALYST FUNDS
CATALYST/WARRINGTON STRATEGIC PROGRAM FUND
PORTFOLIO OF INVESTMENTS (Unaudited)
September 30, 2020

 

Contracts (a)      Counterparty  Notional   Expiration Date  Exercise Price   Value 
     PURCHASED OPTIONS - 1.0% *              
     CALL OPTIONS PURCHASED - 0.2%              
 320   S&P 500 Index Future, Maturing December 2020  ADM, Gain, RCG  $274,000,000   10/2/2020  $3,425   $296,000 
                           
     PUT OPTIONS PURCHASED - 0.8%              
 284   S&P 500 Index Future, Maturing December 2020  ADM, Gain, RCG   230,750,000   10/2/2020   3,250    298,200 
 142   S&P 500 Index Future, Maturing December 2020  ADM, Gain, RCG   118,215,000   10/2/2020   3,330    681,600 
                         979,800 
                           
     TOTAL PURCHASED OPTIONS (Cost - $1,439,050)     1,275,800 
                           
     PRIVATE INVESTMENT FUND - 11.1%       
     Prime Meridian Income QP Fund, LP # +     13,694,543 
     TOTAL PRIVATE INVESTMENT FUND (Cost - $12,746,749)     13,694,543 
                           
Shares                          
     SHORT-TERM INVESTMENTS - 8.1%       
     MONEY MARKET FUND - 8.1%       
 10,053,848   First American Government Obligations Portfolio- Institutional Class 0.07% ** 
     TOTAL SHORT-TERM INVESTMENTS (Cost - $10,053,848)     10,053,848 
                           
     TOTAL INVESTMENTS - 20.2% (Cost - $24,239,647)   $25,024,191 
     OTHER ASSETS LESS LIABILITIES - 79.8%    98,581,245 
     NET ASSETS - 100.0%    $123,605,436 
                           
Contracts (a)      Counterparty  Notional   Expiration Date  Exercise Price   Value 
     WRITTEN OPTIONS - 0.9% *          
     CALL OPTIONS WRITTEN - 0.1%          
 960   S&P 500 Index Future, Maturing December 2020  ADM, Gain, RCG   834,000,000   10/2/2020  $3,475    156,000 
                           
     PUT OPTIONS WRITTEN - 0.8%             
 136   S&P 500 Index Future, Maturing December 2020  ADM, Gain, RCG   102,680,000   10/2/2020   3,020    6,800 
 1,136   S&P 500 Index Future, Maturing December 2020  ADM, Gain, RCG   903,120,000   10/2/2020   3,180    298,200 
 284   S&P 500 Index Future, Maturing December 2020  ADM, Gain, RCG   233,590,000   10/2/2020   3,290    660,300 
                         965,300 
                           
     TOTAL OPTIONS WRITTEN (Premiums Received - $1,404,900)    1,121,300 

 

LP - Limited Partnership

 

ADM - ADM Investor Services, Inc.

 

Gain - Gain Capital Group, LLC

 

RCG - Rosenthal Collins Group

 

*Non-income producing security.

 

**Rate shown represents the rate at September 30, 2020, is subject to change and resets daily.

 

+Affiliated issuer.

 

#The security is illiquid; total illiquid securities represent 11.1% of net assets.

 

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

 

 

CATALYST FUNDS
CATALYST INSIDER INCOME FUND
PORTFOLIO OF INVESTMENTS (Unaudited)
September 30, 2020

 

Principal      Coupon Rate (%)  Maturity  Value 
     CORPORATE BONDS - 75.5%           
     AEROSPACE/DEFENSE - 4.0%           
$2,184,000   TransDigm, Inc.  6.500  7/15/2024  $2,183,869 
 150,000   TransDigm, Inc.  7.500  3/15/2027   156,000 
               2,339,869 
     ASSET MANAGEMENT - 5.7%           
 790,000   Icahn Enterprises LP/Icahn Enterprises Finance Corp.  6.375  12/15/2025   814,150 
 2,500,000   Oppenheimer Holdings, Inc. ^  5.500  10/1/2025   2,503,750 
               3,317,900 
     BIOTECH & PHARMACEUTICALS - 4.4%           
 2,500,000   AbbVie, Inc. ^  5.000  12/15/2021   2,607,486 
                 
     COMMERCIAL SUPPORT SERVICES - 7.7%           
 4,500,000   Waste Management, Inc.  4.600  3/1/2021   4,532,482 
                 
     HEALTHCARE - SERVICES - 5.3%           
 51,000   Centene Corp.  4.750  5/15/2022   51,663 
 2,400,000   Centene Corp.  4.250  12/15/2027   2,516,988 
 500,000   Universal Health Services, Inc. ^  5.000  6/1/2026   519,280 
               3,087,931 
     INSTITUTIONAL FINANCIAL SERVICES - 4.3%           
 2,500,000   Goldman Sachs Group, Inc.  3.000  4/26/2022   2,536,467 
                 
     INTERNET MEDIA & SERVICES - 8.5%           
 4,925,000   VeriSign, Inc.  4.625  5/1/2023   4,959,352 
                 
     REIT - 8.3%           
 2,400,000   CyrusOne LP/CyrusOne Finance Corp.  2.900  11/15/2024   2,548,644 
 2,110,000   Sabra Health Care LP  5.125  8/15/2026   2,284,406 
               4,833,050 
     RETAIL - 13.4%           
 303,000   Best Buy Co., Inc.  5.500  3/15/2021   306,116 
 7,233,000   Carvana Co. ^  8.875  10/1/2023   7,554,001 
               7,860,117 
     SEMICONDUCTORS - 4.4%           
 2,173,000   Broadcom Corp./Broadcom Cayman Finance Ltd.  3.875  1/15/2027   2,410,744 
 186,000   Broadcom Corp./Broadcom Cayman Finance Ltd.  3.125  1/15/2025   198,329 
               2,609,073 
     SOFTWARE - 4.9%           
 1,086,000   CA, Inc.  4.500  8/15/2023   1,151,664 
 1,500,000   VMware, Inc.  4.500  5/15/2025   1,700,508 
               2,852,172 
     TECHNOLOGY HARDWARE - 4.6%           
 2,450,000   Dell International LLC/EMC Corp. ^  5.450  6/15/2023   2,687,604 
                 
     TOTAL CORPORATE BONDS (Cost - $43,582,132)         44,223,503 

 

 

CATALYST FUNDS
CATALYST INSIDER INCOME FUND
PORTFOLIO OF INVESTMENTS (Unaudited) (Continued)
September 30, 2020

 

Principal      Coupon Rate (%)  Maturity  Value 
     CONVERTIBLE BONDS - 22.7%           
     BIOTECH & PHARMACEUTICALS - 2.0%           
$1,260,000   Ligand Pharmaceuticals, Inc.  0.750  5/1/2023  $1,145,776 
                 
     INTERNET - 20.7%           
 8,290,000   Arbor Realty Trust, Inc. ^  4.750  11/1/2022   7,916,729 
 1,531,000   EZCORP, Inc.  2.375  5/1/2025   1,208,585 
 3,000,000   Two Harbors Investment Corp.  6.250  1/15/2022   3,007,609 
               12,132,923 
                 
     TOTAL CONVERTIBLE BONDS (Cost - $12,687,917)     13,278,699 
                 
Shares               
     SHORT-TERM INVESTMENTS - 2.3%           
     MONEY MARKET FUND - 2.3%           
 1,348,433   First American Government Obligations Fund - Institutional Class, 0.07% *   1,348,433 
     TOTAL SHORT-TERM INVESTMENTS (Cost - $1,348,433)     1,348,433 
                 
     TOTAL INVESTMENTS - 100.5% (Cost - $57,618,482)     $58,850,635 
     LIABILITIES IN EXCESS OF OTHER ASSETS - (0.5)%      (318,656)
     NET ASSETS - 100.0%        $58,531,979 

 

LLC - Limited Liability Company

 

LP - Limited Partnership

 

REIT - Real Estate Investment Trust

 

^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, 2020, these securities amounted to $23,788,850 or 40.64% of net assets.

 

 

CATALYST FUNDS
CATALYST SYSTEMATIC ALPHA FUND
CONSOLIDATED PORTFOLIO OF INVESTMENTS (Unaudited)
September 30, 2020

 

Shares      Value 
     OPEN ENDED FUNDS - 74.1%     
     FIXED INCOME FUNDS - 74.1%     
 91,791   Catalyst Enhanced Income Strategy Fund, Class I +  $1,036,315 
 60,286   Rational Special Situations Income Fund, Institutional Class +   1,180,407 
     TOTAL OPEN ENDED FUNDS (Cost - $2,240,540)   2,216,722 
           
     SHORT-TERM INVESTMENT - 18.5%     
     MONEY MARKET FUND - 18.5%     
 555,714   First American Government Obligations Portfolio- Institutional Class 0.07% * ++   555,714 
     SHORT-TERM INVESTMENT (Cost - $555,714)   555,714 
           
     TOTAL INVESTMENTS - 92.6% (Cost - $2,796,254)  $2,772,436 
     OTHER ASSETS LESS LIABILITIES - 7.4%   220,916 
     NET ASSETS - 100.0%  $2,993,352 

 

*Rate shown represents the rate at September 30, 2020, is subject to change and resets daily

 

+Affiliated issuer.

 

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

 

TOTAL RETURN SWAPS - 0.4%

 

The BNP Paribas Catalyst Systematic Index (“BNP CASA Index”) is a rules based index designed to capitalize on structural inefficiencies and behavorial biases 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.

 

       Notional         Pay/Receive Fixed   Upfront  Unrealized 
Shares   Reference Entity  Amount   Counterparty  Maturity  Rate   Payments  Depreciation 
 823   BNP Paribas Catalyst Systematic Index ++   1,725,000   BNP Paribas  2/16/2021   0.5000%  —  $(106,917)
 1,028   BNP Paribas Catalyst Systematic Index ++   1,900,000   BNP Paribas  2/16/2021   0.5000%  —   118,794 
                           $11,877 

 

++This instrument is held by CSACS Fund Ltd.

 

 

CATALYST FUNDS
CATALYST SYSTEMATIC ALPHA FUND
CONSOLIDATED PORTFOLIO OF INVESTMENTS (Unaudited) (Continued)
September 30, 2020
 
BNP Paribas Catalyst Systematic Index Swap Holdings 1% of Notional ^

 

                     Unrealized     
                     Appreciation/     
Long Contracts      Counterparty  Notional Amount   Maturity      (Depreciation)   Weighted % 
     OPEN LONG FUTURES CONTRACTS               
26   10 Year US Future  BNP Paribas  $3,615,645   December-20       $7,303    21.43%
3   Aluminium HG Future  BNP Paribas   149,209   January-21        —    0.88%
2   Aluminium HG Future  BNP Paribas   104,280   June-21        —    0.62%
1   CMX Gold Future  BNP Paribas   150,138   April-21        (6,303)   0.89%
1   CMX Gold Future  BNP Paribas   124,815   December-20        (5,242)   0.74%
7   E10 Future  BNP Paribas   1,464,833   December-20        15,180    8.68%
3   Emerging Future  BNP Paribas   188,554   December-20        (1,666)   1.12%
2   ICE Brent Crude Future  BNP Paribas   101,164   December-23        (4,927)   0.60%
1   ICE Brent Crude Future  BNP Paribas   62,066   May-21        (4,151)   0.37%
0   JGB Future  BNP Paribas   165,621   December-20        667    0.98%
1   LME Copper Future  BNP Paribas   187,311   January-21        —    1.11%
1   LME Nickel Future  BNP Paribas   71,439   December-20        —    0.42%
2   LME Nickel Future  BNP Paribas   150,227   January-21        —    0.89%
4   LME Zinc Future  BNP Paribas   234,326   January-21        —    1.39%
7   Nikkei Future  BNP Paribas   821,583   December-20        6,603    4.87%
124   NYMEX Heating Oil Future  BNP Paribas   62,966   March-21        (5,197)   0.37%
4   NYMEX Natural Gas Future  BNP Paribas   144,322   January-21        (3,786)   0.86%
9   NYMEX Natural Gas Future  BNP Paribas   250,081   April-21        (2,218)   1.48%
2   NYMEX WTI Crude Future  BNP Paribas   62,258   March-21        (3,660)   0.37%
3   NYMEX WTI Crude Future  BNP Paribas   116,029   December-23        (5,864)   0.69%
7   S&P 500 Future  BNP Paribas   1,167,112   December-20        (45,667)   6.92%
    NET UNREALIZED GAIN FROM OPEN LONG FUTURE CONTRACTS   (58,928)     
                                
Short Contracts                              
     OPEN SHORT FUTURES CONTRACTS       
 (5)  CBOE VIX Future  BNP Paribas   (153,071)  October-20        13,130    0.91%
 (286)  CMX Copper Future  BNP Paribas   (213,940)  December-20        2,026    1.27%
 (1)  CMX Gold Future  BNP Paribas   (150,116)  February-21        6,340    0.89%
 (17)  Eurostoxx 50 Future  BNP Paribas   (636,326)  December-20        11,733    3.77%
 (6)  HSCEI Future  BNP Paribas   (368,246)  October-20        22,243    2.18%
 (3)  ICE Brent Crude Future  BNP Paribas   (117,166)  January-21        8,349    0.69%
 (1)  ICE Brent Crude Future  BNP Paribas   (62,069)  March-21        4,294    0.37%
 (1)  ICE Gas Oil Future  BNP Paribas   (39,072)  November-20        4,205    0.23%
 (6)  LME Aluminum HG Future  BNP Paribas   (272,290)  November-20        —    1.61%
 (3)  LME Nickel Future  BNP Paribas   (231,581)  November-20        —    1.37%
 (4)  LME Zinc Future  BNP Paribas   (249,752)  November-20        —    1.48%
 (127)  NYMEX Heating Oil Future  BNP Paribas   (63,146)  January-21        5,084    0.37%
 (16)  NYMEX Natural Gas Future  BNP Paribas   (415,952)  November-20        55,983    2.46%
 (3)  NYMEX WTI Crude Future  BNP Paribas   (135,084)  November-20        8,439    0.80%
 (2)  NYMEX WTI Crude Future  BNP Paribas   (62,229)  January-21        3,917    0.37%
     NET UNREALIZED LOSS FROM OPEN SHORT FUTURE CONTRACTS    145,743      
                                
Contracts                 Exercise Price    Value       
     OPTIONS PURCHASED               
     CALL OPTIONS PURCHASED                 
13   S&P 500 Index  BNP Paribas   45,340   10/16/2020  $3,360.55   $844    0.27%
51   S&P 500 Index  BNP Paribas   172,620   10/23/2020   3,361.00    3,913    1.02%
24   S&P 500 Index  BNP Paribas   79,605   10/30/2020   3,360.58    2,062    0.47%
                        6,819      
    PUT OPTIONS PURCHASED                   
45   S&P 500 Index  BNP Paribas   152,295   10/2/2020   3,363.00    1,073    0.90%
                               
    TOTAL OPTIONS PURCHASED       7,892      
                               
    OPTIONS WRITTEN               
    CALL OPTIONS WRITTEN              
(45)   S&P 500 Index  BNP Paribas   (152,295)  10/2/2020   3,363.00    (1,073)   0.90%
                               
    PUT OPTIONS WRITTEN               
(13)   S&P 500 Index  BNP Paribas   (45,340)  10/16/2020   3,360.55    (844)   0.27%
(51)   S&P 500 Index  BNP Paribas   (172,620)  10/23/2020   3,361.00    (3,913)   1.02%
(24)   S&P 500 Index  BNP Paribas   (79,605)  10/30/2020   3,360.58    (2,062)   0.47%
    TOTAL PUT OPTIONS WRITTEN    (6,819)     
                               
     TOTAL OPTIONS WRITTEN    (7,892)     

 

^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 MULTI STRATEGY FUND
CONSOLIDATED PORTFOLIO OF INVESTMENTS (Unaudited)
September 30, 2020

 

Shares      Value 
     REITS - 16.0%     
     REITS - 1.9%     
 680   Hannon Armstrong Sustainable Infrastructure Capital, Inc.  $28,744 
 720   NexPoint Residential Trust, Inc.   31,932 
         60,676 
     SPECIALTY FINANCE - 14.1%     
 2,100   AGNC Investment Corp.   29,211 
 4,000   Annaly Capital Management, Inc.   28,480 
 2,590   Arbor Realty Trust, Inc.   29,707 
 1,200   Blackstone Mortgage Trust, Inc.   26,364 
 4,780   Capstead Mortgage Corporation   26,864 
 4,500   Granite Point Mortgage Trust, Inc.   31,905 
 1,620   KKR Real Estate Finance Trust, Inc.   26,779 
 3,830   Ladder Capital Corp.   27,270 
 11,080   MFA Financial, Inc.   29,694 
 3,880   New Residential Investment Corp.   30,846 
 11,420   New York Mortgage Trust, Inc.   29,121 
 1,710   PennyMac Mortgage Investment Trust   27,480 
 4,170   Redwood Trust, Inc.   31,358 
 1,860   Starwood Property Trust, Inc.   28,067 
 3,350   TPG RE Finance Trust, Inc.   28,341 
 5,450   Two Harbors Investment Corp.   27,740 
         459,227 
           
     TOTAL REITS (Cost - $449,313)   519,903 
           
     EXCHANGE TRADED FUNDS - 27.2%     
     FIXED INCOME FUNDS - 27.2%     
 1,260   iShares Convertible Bond ETF   101,745 
 3,220   iShares MBS ETF   355,488 
 970   iShares Trust iShares 1-5 Year Investment Grade Corporate Bond ETF   53,263 
 550   Vanguard Intermediate-Term Corporate Bond ETF   52,690 
 4,910   Vanguard Mortgage-Backed Securities ETF   266,466 
 640   Vanguard Short-Term Corporate Bond ETF   53,024 
     TOTAL EXCHANGE TRADED FUNDS (Cost - $859,166)   882,676 
           
     OPEN ENDED FUNDS - 10.4%     
     FIXED INCOME FUNDS - 10.4%     
 11,094   AlphaCentric Income Opportunities Fund, Class I ^   117,928 
 9,727   Catalyst Enhanced Income Strategy Fund, Class I ^   109,917 
 5,557   Rational Special Situations Income Fund, Institutional Class ^   108,801 
     TOTAL OPEN ENDED FUNDS (Cost - $315,600)   336,646 
           
     SHORT-TERM INVESTMENT - 23.5%     
     MONEY MARKET FUND - 23.5%     
 764,389   First American Government Obligations Portfolio - Institutional Class, 0.07% * #   764,389 
     TOTAL SHORT-TERM INVESTMENTS (Cost - $764,389)     
           
     TOTAL INVESTMENTS - 77.1% (Cost - $2,388,469)  $2,503,614 
     OTHER ASSETS LESS LIABILITIES - 22.9%   743,959 
     NET ASSETS - 100.0%  $3,247,573 

 

*Rate shown represents the rate at September 30, 2020, is subject to change and resets daily.

 

#All or portion of this security is segregated as collateral for open future contracts.

 

^Affiliated

 

ETF - Exchanged Traded Fund

 

 

CATALYST FUNDS
CATALYST MULTI STRATEGY FUND
CONSOLIDATED PORTFOLIO OF INVESTMENTS (Unaudited) (Continued)
September 30, 2020

 

              Unrealized 
Long Contracts      Notional Amount   Maturity  Appreciation/ 
     OPEN LONG FUTURES CONTRACTS - 2.4%        
 16   90-Day Euro$ Future  $3,989,400   December-22  $800 
 22   90-Day Sterling Future   3,554,846   December-22   952 
 1   Japanese 10 Year Bond (OSE)   1,441,391   December-20   671 
 13   Soybean Future +   665,275   November-20   58,744 
 8   Wheat Future +   231,200   December-20   18,300 
     TOTAL UNREALIZED GAIN FROM OPEN FUTURES CONTRACTS   79,467 

 

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

 

 

CATALYST FUNDS
CATALYST DYNAMIC ALPHA FUND
PORTFOLIO OF INVESTMENTS (Unaudited)
September 30, 2020

 

Shares      Value 
     COMMON STOCK - 99.7%     
     ASSET MANAGEMENT - 4.3%     
 145,300   Blackstone Group, Inc. (The)  $7,584,660 
           
     BIOTECH & PHARMA - 10.4%     
 39,800   Eli Lilly and Company   5,891,196 
 90,700   Sanofi - ADR ^   4,550,419 
 28,850   Vertex Pharmaceuticals, Inc. *   7,850,662 
         18,292,277 
     E-COMMERCE DISCRETIONARY - 9.1%     
 3,200   Amazon.com, Inc. *   10,075,936 
 76,400   JD.com, Inc. - ADR *   5,929,404 
         16,005,340 
     ELECTRICAL EQUIPMENT - 2.4%     
 19,400   Rockwell Automation, Inc.   4,281,192 
           
     ENTERTAINMENT CONTENT - 5.4%     
 8,400   NetEase, Inc. - ADR   3,819,228 
 34,800   Take-Two Interactive Software, Inc. *   5,749,656 
         9,568,884 
     FOOD - 3.9%     
 112,400   General Mills, Inc.   6,932,832 
           
     HEALTH CARE FACILITIES & SERVICES - 5.7%     
 45,200   DaVita, Inc. *   3,871,380 
 19,600   UnitedHealth Group, Inc.   6,110,692 
         9,982,072 
     INTERNET MEDIA & SERVICES - 7.3%     
 15,300   Netflix, Inc. * ^   7,650,459 
 21,300   Spotify Technology S.A. * ^   5,166,741 
         12,817,200 
     MEDICAL EQUIPMENT & DEVICES - 4.4%     
 19,000   DexCom, Inc. *   7,832,370 
           
     RETAIL - CONSUMER STAPLES - 3.9%     
 43,900   Target Corporation   6,910,738 
           
     RETAIL - DISCRETIONARY - 4.9%     
 127,100   Builders FirstSource, Inc. *   4,146,002 
 27,500   Lowe’s Companies, Inc.   4,561,150 
         8,707,152 
     SEMICONDUCTORS - 8.4%     
 32,200   KLA Corporation   6,238,428 
 108,600   Teradyne, Inc. ^   8,629,356 
         14,867,784 
     SOFTWARE - 14.4%     
 51,800   Akamai Technologies, Inc. * ^   5,725,972 
 38,900   Citrix Systems, Inc.   5,356,919 
 66,300   DocuSign, Inc. *   14,270,412 
         25,353,303 
     TECHNOLOGY HARDWARE - 5.6%     
 85,100   Apple, Inc.   9,855,431 

 

 

CATALYST FUNDS
CATALYST DYNAMIC ALPHA FUND
PORTFOLIO OF INVESTMENTS (Unaudited) (Continued)
September 30, 2020

 

Shares      Value 
     COMMON STOCK - 99.7% (Continued)     
     TECHNOLOGY SERVICES - 6.3%     
 54,300   IHS Markit Ltd.  $4,263,093 
 23,800   Moody’s Corporation   6,898,430 
         11,161,523 
     TRANSPORTATION EQUIPMENT - 3.3%     
 67,800   PACCAR, Inc.   5,781,984 
           
     TOTAL COMMON STOCK (Cost - $134,969,384)   175,934,742 
           
     COLLATERAL FOR SECURITIES LOANED - 5.2%     
 9,216,592   Mount Vernon Liquid Assets Portfolio LLC, 0.18% + #   9,216,592 
     TOTAL COLLATERAL FOR SECURITIES LOANED (Cost - $9,216,592)     
           
     TOTAL INVESTMENTS - 104.9% (Cost - $144,185,976)  $185,151,334 
     LIABILITES IN EXCESS OF OTHER ASSETS - (4.9)%   (8,598,753)
     NET ASSETS - 100.0%  $176,552,581 

 

ADR - American Depositary Receipt

 

LLC - Limited Liability Company

 

*Non-income producing security.

 

+Variable rate security. Rate is as of September 30, 2020.

 

^All or a portion of these securities are on loan. Total loaned securities had a value of $9,126,425 at September 30, 2020.

 

#Mutual Fund Series Trust’s securities lending policies and procedures require that the borrower: (i) deliver cash or U.S. Government securities as collateral with respect to each new loan of U.S. securities, equal to at least 102% of the value of the portfolio securities loaned, and (ii) at all times thereafter mark-to-market the collateral on a daily basis so that the market value of such collateral is at least 100% of the value of securities loaned. From time to time the collateral may not be 102% due to end of day market movement. The next business day additional collateral is obtained/received from the borrower to replenish/reestablish 102%.

 

 

CATALYST FUNDS
CATALYST BUYBACK STRATEGY FUND
PORTFOLIO OF INVESTMENTS (Unaudited)
September 30, 2020

 

Shares      Value 
     COMMON STOCK - 98.0%     
     BIOTECH & PHARMA - 4.7%     
 1,090   Biogen, Inc. *  $309,211 
 3,000   Gilead Sciences, Inc.   189,570 
         498,781 
     CABLE & SATELLITE - 1.9%     
 38,015   Sirius XM Holdings, Inc. ^   203,760 
           
     COMMERCIAL SUPPORT SERVICES - 2.1%     
 3,800   TriNet Group, Inc. * ^   225,416 
           
     ENGINEERING & CONSTRUCTION - 2.4%     
 4,770   Quanta Services, Inc.   252,142 
           
     ENTERTAINMENT CONTENT - 3.1%     
 2,540   Electronic Arts, Inc. *   331,241 
           
     HEALTH CARE FACILITIES & SERVICES - 8.4%     
 380   Chemed Corporation ^   182,533 
 2,785   Providence Service Corporation (The) * ^   258,754 
 1,650   Quest Diagnostics, Inc.   188,909 
 12,210   Select Medical Holdings Corporation *   254,212 
         884,408 
     HOME CONSTRUCTION - 3.7%     
 95   NVR, Inc. *   387,896 
           
     HOUSEHOLD PRODUCTS - 2.8%     
 2,155   Procter & Gamble Company (The)   299,524 
           
     INDUSTRIAL SUPPORT SERVICES - 3.9%     
 10,135   Triton International Ltd. ^   412,191 
           
     INTERNET MEDIA & SERVICES - 5.8%     
 135   Alphabet, Inc. *   197,856 
 5,490   GoDaddy, Inc. *   417,075 
         614,931 
     LEISURE FACILITIES & SERVICES - 3.4%     
 845   Domino’s Pizza, Inc.   359,362 
           
     MEDICAL EQUIPMENT & DEVICES - 7.5%     
 1,400   Masimo Corporation *   330,484 
 1,690   West Pharmaceutical Services, Inc.   464,581 
         795,065 
     RETAIL - CONSUMER STAPLES - 9.0%     
 4,400   Big Lots, Inc. ^   196,240 
 1,000   Dollar General Corporation ^   209,620 
 6,920   Kroger Company (The)   234,657 
 2,240   Walmart, Inc.   313,398 
         953,915 
     SEMICONDUCTORS - 5.3%     
 4,305   Qorvo, Inc. *   555,388 

 

 

CATALYST FUNDS
CATALYST BUYBACK STRATEGY FUND
PORTFOLIO OF INVESTMENTS (Unaudited) (Continued)
September 30, 2020

 

Shares      Value 
     COMMON STOCK - 98.0% (Continued)     
     SOFTWARE - 12.8%     
 545   Cerner Corporation ^  $39,398 
 14,365   Dropbox, Inc. *   276,670 
 2,290   Microsoft Corporation   481,656 
 4,200   Oracle Corporation   250,740 
 1,385   Qualys, Inc. * ^   135,744 
 2,720   SS&C Technologies Holdings, Inc.   164,614 
         1,348,822 
     SPECIALTY FINANCE - 2.7%     
 12,975   Mr. Cooper Group, Inc. * ^   289,602 
           
     TECHNOLOGY HARDWARE - 9.2%     
 8,440   Apple, Inc.   977,437 
           
     TECHNOLOGY SERVICES - 4.1%     
 845   FactSet Research Systems, Inc.   282,974 
 355   Fair Isaac Corporation * ^   151,010 
         433,984 
     WHOLESALE - DISCRETIONARY - 5.2%     
 1,645   Pool Corporation   550,318 
           
     TOTAL COMMON STOCK (Cost - $8,619,005)   10,374,183 
           
     COLLATERAL FOR SECURITIES LOANED - 17.7%     
 1,878,998   Mount Vernon Liquid Assets Portfolio LLC, 0.18% + #   1,878,998 
     TOTAL COLLATERAL FOR SECURITIES LOANED (Cost - $1,878,998)     
           
     TOTAL INVESTMENTS - 115.7% (Cost - $10,498,003)  $12,253,181 
     LIABILITIES IN EXCESS OF OTHER ASSETS - (15.7)%   (1,662,392)
     NET ASSETS - 100.0%  $10,590,789 

 

LLC - Limited Liability Company

 

PLC - Public Limited Company

 

*Non-income producing security.

 

+Variable rate security. Rate is as of September 30, 2020.

 

^All or a portion of these securities are on loan. Total loaned securities had a value of $1,840,624 at September 30, 2020.

 

#Mutual Fund Series Trust’s securities lending policies and procedures require that the borrower: (i) deliver cash or U.S. Government securities as collateral with respect to each new loan of U.S. securities, equal to at least 102% of the value of the portfolio securities loaned, and (ii) at all times thereafter mark-to-market the collateral on a daily basis so that the market value of such collateral is at least 100% of the value of securities loaned. From time to time the collateral may not be 102% due to end of day market movement. The next business day additional collateral is obtained/received from the borrower to replenish/reestablish 102%.

 

 

CATALYST FUNDS
EAVOL NASDAQ-100 VOLATILITY OVERLAY FUND
PORTFOLIO OF INVESTMENTS (Unaudited)
September 30, 2020

 

Shares      Value 
     EXCHANGE TRADED FUND - 9.1%     
 17,968   PGIM Ultra Short Bond ETF  $896,963 
     TOTAL EXCHANGE TRADED FUND (Cost - $896,825)   896,963 
           
           
     TOTAL INVESTMENT - 9.1% (Cost - $896,825)  $896,963 
     OTHER ASSETS LESS LIABILITIES - 90.9%   9,003,882 
     NET ASSETS - 100.0%  $9,900,845 

 

ETF - Exchange Traded Fund

 

 

CATALYST FUNDS
CATALYST/LYONS TACTICAL ALLOCATION FUND
PORTFOLIO OF INVESTMENTS (Unaudited)
September 30, 2020

 

Shares      Value 
     COMMON STOCK - 97.3%     
     AEROSPACE & DEFENSE - 3.9%     
 3,868   Lockheed Martin Corporation  $1,482,527 
           
     BIOTECH & PHARMA - 3.6%     
 22,478   Bristol-Myers Squibb Company   1,355,199 
           
     COMMERCIAL SUPPORT SERVICES - 4.0%     
 13,207   Waste Management, Inc.   1,494,636 
           
     DIVERSIFIED INDUSTRIALS - 3.9%     
 9,050   Honeywell International, Inc.   1,489,721 
           
     FOOD - 4.3%     
 8,400   McCormick & Company, Inc.   1,630,440 
           
     HEALTH CARE FACILITIES & SERVICES - 9.2%     
 14,260   HCA Healthcare, Inc.   1,777,937 
 5,503   UnitedHealth Group, Inc.   1,715,670 
         3,493,607 
     INTERNET MEDIA & SERVICES - 2.5%     
 10,198   Expedia Group, Inc.   935,055 
           
     LEISURE FACILITIES & SERVICES - 19.9%     
 20,038   Darden Restaurants, Inc.   2,018,628 
 19,742   Dunkin’ Brands Group, Inc.   1,617,067 
 7,736   Marriott International, Inc.   716,199 
 7,206   McDonald’s Corporation   1,581,645 
 18,808   Starbucks Corporation   1,615,983 
         7,549,522 
     RETAIL - CONSUMER STAPLES - 9.8%     
 9,187   Dollar General Corporation   1,925,779 
 11,379   Target Corporation   1,791,282 
         3,717,061 
     RETAIL - DISCRETIONARY - 11.8%     
 9,857   Advance Auto Parts, Inc.   1,513,049 
 5,524   Home Depot, Inc. (The)   1,534,070 
 25,669   TJX Companies, Inc. (The)   1,428,480 
         4,475,599 
     SEMICONDUCTORS - 3.6%     
 4,138   Lam Research Corporation   1,372,781 
           
     SOFTWARE - 4.1%     
 7,311   Microsoft Corporation   1,537,723 
           
     TECHNOLOGY HARDWARE - 3.7%     
 12,128   Apple, Inc.   1,404,544 
           
     TECHNOLOGY SERVICES - 9.6%     
 6,301   Automatic Data Processing, Inc.   878,926 
 10,358   Broadridge Financial Solutions, Inc.   1,367,256 
 15,460   Leidos Holdings, Inc.   1,378,259 
         3,624,441 
     TRANSPORTATION EQUIPMENT - 3.4%     
 36,614   Allison Transmission Holdings, Inc.   1,286,616 
           
     TOTAL COMMON STOCK (Cost - $33,911,210)   36,849,472 

 

 

CATALYST FUNDS
CATALYST/LYONS TACTICAL ALLOCATION FUND
PORTFOLIO OF INVESTMENTS (Unaudited) (Continued)
September 30, 2020

 

Contracts (a)      Counterparty  Notional Value   Expiration Date - Exercise Price  Value 
     PUT OPTIONS PURCHASED - 0.2% *    
 12   S&P 500 Index  TradeStation  $3,720,000   11/20/2020 - $3,100.00  $72,180 
     TOTAL PUT OPTIONS PURCHASED (Cost - $90,750)
                      
     TOTAL INVESTMENTS - 97.5% (Cost - $34,001,960)  $36,921,652 
     OTHER ASSETS IN EXCESS OF LIABILITIES - 2.5%   948,327 
     NET ASSETS - 100.0%  $37,869,979 

 

*Non-income producing security.

 

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

 

 

CATALYST FUNDS
CATALYST/MAP GLOBAL EQUITY FUND
PORTFOLIO OF INVESTMENTS (Unaudited)
September 30, 2020

 

Shares      Value 
     COMMON STOCK - 88.0%     
     AEROSPACE & DEFENSE - 3.9%     
 100,000   Kratos Defense & Security Solutions, Inc. *  $1,928,000 
           
     ASSET MANAGEMENT - 3.9%     
 21,800   Groupe Bruxelles Lambert S.A.   1,967,900 
           
     BEVERAGES - 2.7%     
 128,500   Distell Group Holdings Ltd.   566,232 
 1,800,000   Thai Beverage PCL   797,744 
         1,363,976 
     BIOTECH & PHARMA - 13.4%     
 11,800   Johnson & Johnson   1,756,784 
 26,345   Novartis A.G. - ADR   2,290,961 
 34,650   Sanofi - ADR   1,738,391 
 52,000   Takeda Pharmaceutical Company Ltd. - ADR   927,680 
         6,713,816 
     CHEMICALS - 3.0%     
 83,070   Mosaic Company (The)   1,517,689 
           
     CONSTRUCTION MATERIALS - 0.4%     
 8,000   MDU Resources Group, Inc.   180,000 
           
     E-COMMERCE DISCRETIONARY - 4.7%     
 45,500   eBay, Inc.   2,370,550 
           
     ENGINEERING & CONSTRUCTION - 5.2%     
 27,000   Tetra Tech, Inc.   2,578,500 
           
     ENTERTAINMENT CONTENT - 1.5%     
 27,380   Vivendi S.A.   764,151 
           
     FOOD - 9.0%     
 21,360   Campbell Soup Company   1,033,183 
 198,000   GrainCorp Ltd. *   536,445 
 515,200   Grupo Herdez S.A.B. de C.V.   933,513 
 16,550   Nestle S.A. - ADR   1,973,670 
         4,476,811 
     GAS & WATER UTILITIES - 5.6%     
 41,855   National Fuel Gas Company   1,698,894 
 32,960   UGI Corporation   1,087,021 
         2,785,915 
     HOUSEHOLD PRODUCTS - 2.1%     
 53,988   Reckitt Benckiser Group plc - ADR   1,060,864 
           
     INSTITUTIONAL FINANCIAL SERVICES - 1.1%     
 79,500   JSE Ltd.   558,835 
           
     INTERNET MEDIA & SERVICES - 0.9%     
 1,743   Facebook, Inc. *   456,492 
           
     METALS & MINING - 0.6%     
 13,000   Anglo American plc   315,255 
           
     RETAIL - CONSUMER STAPLES - 0.5%     
 1,650   Walmart, Inc.   230,851 

 

 

CATALYST FUNDS
CATALYST/MAP GLOBAL EQUITY FUND
PORTFOLIO OF INVESTMENTS (Unaudited) (Continued)
September 30, 2020

 

Shares      Value 
     COMMON STOCK - 88.0% (Continued)     
     SEMICONDUCTORS - 4.5%     
 2,500   Applied Materials, Inc.  $148,625 
 9,000   Intel Corporation   466,020 
 35,000   Micron Technology, Inc. *   1,643,600 
         2,258,245 
     SOFTWARE - 3.6%     
 8,500   Microsoft Corporation   1,787,805 
           
     TECHNOLOGY HARDWARE - 7.3%     
 9,275   Apple, Inc.   1,074,138 
 46,500   Cisco Systems, Inc.   1,831,635 
 190,000   Nokia Oyj - ADR * +   742,900 
         3,648,673 
     TELECOMMUNICATIONS - 6.8%     
 156,106   Orange S.A. - ADR   1,620,380 
 19,915   Verizon Communications, Inc.   1,184,743 
 43,920   Vodafone Group plc   589,406 
         3,394,529 
     TOBACCO & CANNABIS - 2.8%     
 6,800,000   Hanjaya Mandala Sampoerna Tbk P.T.   639,785 
 44,420   Imperial Brands plc - ADR   786,234 
         1,426,019 
     WHOLESALE - CONSUMER STAPLES - 4.5%     
 49,300   Bunge Ltd.   2,253,010 
           
     TOTAL COMMON STOCK (Cost - $37,807,674)   44,037,886 
           
     CLOSED-END FUND - 5.3%     
 144,000   Sprott Physical Gold and Silver Trust   2,640,960 
     TOTAL CLOSED-END FUND (Cost - $1,917,569)     
           
     TOTAL INVESTMENTS - 93.3% (Cost - $39,725,243)  $46,678,846 
     OTHER ASSETS IN EXCESS OF LIABILITIES - 6.7%   3,368,741 
     NET ASSETS - 100.0%  $50,047,587 

 

ADR - American Depositary Receipt

 

PCL - Public Company Limited

 

PLC - Public Limited Company

 

*Non-income producing security.

 

Contracts (a)      Counterparty  Notional Value   Expiration Date - Exercise Price  Value 
     CALL OPTIONS WRITTEN - (0.0)% *        
 400   Nokia Oyj  Wall Street Access  $280,000   1/21/2022 - $7.00  $8,800 
     TOTAL CALL OPTIONS WRITTEN (Premiums Received - $13,587)    

 

*Non-income producing security.

 

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

 

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

 

 

CATALYST FUNDS
CATALYST/MAP GLOBAL BALANCED FUND
PORTFOLIO OF INVESTMENTS (Unaudited)
September 30, 2020

 

Shares              Value 
     COMMON STOCK - 62.6%        
     ASSET MANAGEMENT - 2.8%        
 6,895   Groupe Bruxelles Lambert SA     $622,416 
                   
     BEVERAGES - 0.8%        
 375,000   Thai Beverage PCL      166,197 
                   
     BIOTECH & PHARMACEUTICALS - 13.1%        
 5,400   Johnson & Johnson      803,952 
 8,525   Novartis AG - ADR      741,334 
 17,300   Sanofi - ADR      867,941 
 26,000   Takeda Pharmaceutical Co. Ltd. - ADR      463,840 
                 2,877,067 
     CHEMICALS - 0.8%        
 10,000   Mosaic Co.      182,700 
                   
     E-COMMERCE DISCRETIONARY - 1.3%        
 5,500   eBay, Inc.      286,550 
                   
     ENGINEERING & CONSTRUCTION - 5.3%        
 12,271   Tetra Tech, Inc.      1,171,880 
                   
     FOOD - 9.4%        
 9,326   Campbell Soup Co.      451,099 
 25,000   GrainCorp Ltd. *      67,733 
 197,800   Grupo Herdez SAB de CV      358,402 
 8,050   Nestle SA - ADR      960,003 
 20,000   Tiger Brands Ltd.      228,741 
                 2,065,978 
     GAS & WATER UTILITIES - 4.4%        
 15,820   National Fuel Gas Co.      642,134 
 10,000   UGI Corp.      329,800 
                 971,934 
     METALS & MINING - 0.8%        
 7,000   Anglo American PLC      169,752 
                   
     SEMICONDUCTORS - 2.8%        
 3,500   Intel Corp.      181,230 
 9,000   Micron Technology, Inc. *      422,640 
                 603,870 
     SOFTWARE - 2.3%        
 2,400   Microsoft Corp.      504,792 
                   
     TECHNOLOGY HARDWARE - 5.9%        
 20,400   Cisco Systems, Inc.      803,556 
 125,000   Nokia Oyj - ADR *      488,750 
                 1,292,306 
     TELECOMMUNICATIONS - 6.1%        
 64,500   Orange SA - ADR      669,510 
 7,500   Verizon communications, Inc.      446,175 
 15,790   Vodafone Group PLC - ADR      211,902 
                 1,327,587 
     TOBACCO & CANNABIS - 4.2%        
 3,991,700   Hanjaya Mandala Sampoerna Tbk PT      375,563 
 30,800   Imperial Brands PLC - ADR      545,160 
                 920,723 
     WHOLESALE - CONSUMER STAPLES - 2.6%        
 12,600   Bunge Ltd.      575,820 
                   
     TOTAL COMMON STOCK (Cost - $12,423,027)      13,739,572 
                   
Principal      Coupon Rate (%)  Maturity    
     CONVERTIBLE BONDS - 1.1%           
     BIOTECH & PHARMACEUTICALS - 1.1%           
$275,000   Ligand Pharmaceuticals, Inc.  0.750  5/15/2023   250,070 
     TOTAL CONVERTIBLE BONDS (Cost - $255,383)           
                 
     CORPORATE BONDS - 30.1%           
     AEROSPACE & DEFENSE - 1.6%           
 275,000   Boeing Co.  1.650  10/30/2020   275,171 
 76,000   Howmet Aerospace, Inc.  5.400  4/15/2021   77,061 
               352,232 
     AUTOMOTIVE - 4.7%           
 490,000   Ford Motor Co.  9.215  9/15/2021   523,320 
 250,000   Ford Motor Credit Co. LLC  2.343  11/2/2020   250,313 
 250,000   Ford Motor Credit Co. LLC  3.339  3/28/2022   249,494 
               1,023,127 
     CABLE & SATELLITE - 0.5%           
 110,000   DISH DBS Corp.  6.750  6/1/2021   112,860 

 

 

CATALYST FUNDS
CATALYST/MAP GLOBAL BALANCED FUND
PORTFOLIO OF INVESTMENTS (Unaudited) (Continued)
September 30, 2020

 

Principal      Coupon Rate (%)    Maturity       Value 
     CORPORATE BONDS - 30.1% (Continued)          
     CHEMICALS - 3.0%          
$624,000   Methanex Corp.  5.250    3/1/2022       $661,752 
                        
     COMMERCIAL SUPPORT SERVICES - 1.0%          
 225,000   RR Donnelley & Sons Co.  7.875    3/15/2021        229,191 
                        
     ELECTRIC UTILITIES - 1.2%          
 250,000   TransAlta Corp.  4.500    11/15/2022        257,371 
                        
     HOME & OFFICE PRODUCTS - 1.1%          
 250,000   Tupperware Brands Corp.  4.750    6/1/2021        238,412 
                        
     LEISURE FACILITIES & SERVICES - 3.3%          
 510,000   Royal Caribbean Cruises Ltd.  2.650    11/28/2020        508,725 
 225,000   Yum! Brands, Inc.  3.875    11/1/2020        225,394 
                      734,119 
     MACHINERY - 0.1%          
 250,000   Briggs & Stratton Corp.  6.875    12/15/2020        12,812 
                        
     METALS & MINING - 1.6%  
 40,000   AngloGold Ashanti Holdings PLC  5.125    8/1/2022        42,101 
 300,000   Freeport-McMoRan, Inc.  3.550    3/1/2022        305,834 
                      347,935 
     OIL & GAS PRODUCERS - 2.8%          
 222,000   Apache Corp.  3.625    2/1/2021        221,445 
 200,000   Buckeye Partners LP  4.875    2/1/2021        200,625 
 200,000   Murphy Oil Corp.  4.000    6/1/2022        193,623 
                      615,693 
     OIL & GAS SERVICES & EQUIPMENT - 3.0%  
 697,000   Transocean, Inc.  6.500    11/15/2020        658,665 
                        
     RETAIL - CONSUMER STAPLES - 0.8%  
 175,000   Safeway, Inc.  4.750    12/1/2021        177,822 
                        
     RETAIL - DISCRETIONARY - 2.3%  
 185,000   Foot Locker, Inc.  8.500    1/15/2022        197,945 
 300,000   L Brands, Inc.  5.625    2/15/2022        312,863 
                      510,808 
     TECHNOLOGY HARDWARE - 1.2%  
 250,000   Seagate HDD Cayman  4.250    3/1/2022        261,012 
                        
     TELECOMMUNICATIONS - 1.0%  
 200,000   Sprint Corp.  7.250    9/15/2021        209,500 
                        
     TRANSPORTATION & LOGISTICS - 0.9%  
 200,000   United Airlines Holdings, Inc.  6.000    12/1/2020        201,225 
                        
     TOTAL CORPORATE BONDS (Cost - $6,847,816)6,604,536 
                        
Shares                      
     CLOSED-END FUND - 2.0%  
 23,500   Sprott Physical Gold and Silver Trust430,990 
     TOTAL CLOSED-END FUND (Cost - $336,373)  
                        
     TOTAL INVESTMENTS - 95.8% (Cost - $19,862,599)       $21,025,168 
     OTHER ASSETS LESS LIABILITIES - 4.2%        911,122 
     NET ASSETS - 100.0%       $21,936,290 
                        
Contracts (a)      Counterparty  Notional Value   Expiration Date - Exercise Price  Value 
     OPTIONS WRITTEN - (0.5)% *        
     CALL OPTIONS WRITTEN - (0.5)% *
 55   eBay, Inc.  Pershing  $247,500   1/15/2021 - $45.00  $54,725 
 200   Nokia Oyj  Pershing   100,000   6/18/2021 - $5.00   5,800 
 300   Nokia Oyj  Pershing   210,000   6/18/2021 - $7.00   3,300 
 300   Nokia Oyj  Pershing   120,000   1/21/2022 - $4.00   23,700 
 425   Nokia Oyj  Pershing   212,500   1/21/2022 - $5.00   20,400 
     TOTAL OPTIONS WRITTEN (Premium - $63,915)  $107,925 
           

ADR - American Depositary Receipt

 

PCL - Public Company Limited

 

PLC - Public Limited Company

 

LLC - Limited Liability Company

 

LP - Limited Partnership

 

*Non-income producing security.

 

 

CATALYST FUNDS
CATALYST/MILLBURN HEDGE STRATEGY FUND
CONSOLIDATED PORTFOLIO OF INVESTMENTS (Unaudited)
September 30, 2020

 

Shares            Value 
     EXCHANGE TRADED FUNDS - 47.3%           
     EQUITY FUNDS - 47.3%           
 192,948   iShares China Large-Cap ETF        $8,103,816 
 1,257,730   iShares Core S&P Mid-Cap ETF         233,069,946 
 1,947,698   iShares Core S&P Small-Cap ETF         136,786,831 
 408,258   iShares MSCI Australia ETF         8,050,848 
 48,655   iShares MSCI Austria ETF         711,823 
 26,139   iShares MSCI Belgium ETF         445,670 
 296,120   iShares MSCI Brazil ETF         8,190,679 
 296,487   iShares MSCI Canada ETF         8,126,709 
 171,871   iShares MSCI Chile ETF         4,140,372 
 191,075   iShares MSCI France ETF         5,338,636 
 206,602   iShares MSCI Germany ETF         6,018,316 
 365,411   iShares MSCI Hong Kong ETF         8,009,809 
 23,496   iShares MSCI India ETF         795,575 
 19,116   iShares MSCI Israel ETF         1,002,252 
 97,584   iShares MSCI Italy ETF         2,379,098 
 143,495   iShares MSCI Japan ETF         8,476,250 
 153,306   iShares MSCI Malaysia ETF         4,015,084 
 223,836   iShares MSCI Mexico ETF         7,467,169 
 47,554   iShares MSCI Netherlands ETF         1,656,306 
 33,800   iShares MSCI Peru ETF         997,113 
 295,831   iShares MSCI Singapore ETF         5,537,956 
 102,728   iShares MSCI South Africa ETF         3,793,745 
 118,471   iShares MSCI South Korea ETF         7,740,895 
 265,781   iShares MSCI Spain ETF         5,783,395 
 64,898   iShares MSCI Sweden ETF         2,291,548 
 140,746   iShares MSCI Switzerland ETF         5,780,438 
 182,667   iShares MSCI Taiwan ETF         8,201,748 
 61,643   iShares MSCI Thailand ETF         3,867,482 
 156,158   iShares MSCI Turkey ETF         3,085,682 
 225,722   iShares MSCI United Kingdom ETF         5,753,654 
 1,055,808   iShares Russell 1000 ETF         197,594,467 
 1,123,517   iShares Russell 2000 ETF         168,291,611 
 1,006,995   iShares Russell Mid-Cap ETF         57,781,373 
 345,730   Schwab U.S. REIT ETF         12,228,470 
 375,822   VanEck Vectors Russia ETF         7,873,471 
 1,050,717   Vanguard FTSE Emerging Markets ETF         45,433,003 
 323,957   Vanguard FTSE Europe ETF         16,985,066 
 244,624   Vanguard Large-Cap ETF         38,268,979 
 470,140   Vanguard Mid-Cap ETF         82,866,876 
 1,041,266   Vanguard Real Estate ETF         82,218,363 
 143,162   Vanguard S&P 500 ETF         44,043,789 
 429,196   Vanguard Small-Cap ETF         66,010,345 
 320,161   WisdomTree India Earnings Fund         7,555,800 
     TOTAL EXCHANGE TRADED FUNDS (Cost - $1,149,940,689)         1,332,770,458 
                 
Principal      Coupon Rate (%)  Maturity     
     U.S. GOVERNMENT & AGENCIES - 27.5%           
     U.S. TREASURY NOTES - 27.5%           
$221,870,000   United States Treasury Note +^  1.750  11/15/2020   222,317,425 
 188,580,000   United States Treasury Note ^  2.250  2/15/2021   190,082,473 
 200,500,000   United States Treasury Note ^  2.625  5/15/2021   203,621,971 
 156,220,000   United States Treasury Note + ^  2.750  8/15/2021   159,809,847 
     TOTAL UNITED STATES GOVERNMENT SECURITIES (Cost - $775,713,499)   775,831,716 
                 
     TOTAL INVESTMENTS - 74.8% (Cost - $1,925,654,188)  $2,108,602,174 
     OTHER ASSETS LESS LIABILITIES - 25.2%   708,601,366 
     NET ASSETS - 100.0%        $2,817,203,540 

 

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, 2020

 

              Unrealized 
              Appreciation 
Long Contracts      Notional   Maturity  (Depreciation) 
     OPEN LONG FUTURES CONTRACTS - 0.9%             
 296   90-Day Euro$ Future  $73,859,400   June-21  $(8,262)
 2,005   90-Day Euro$ Future   500,297,625   September-21   15,450 
 814   90-Day Euro$ Future   203,031,950   June-22   (65,850)
 1,522   90-Day Euro$ Future   379,586,800   September-22   (101,262)
 396   Amsterdam Index Future   50,855,901   October-20   (356,609)
 2,668   Australian 3 Year Bond Future   436,654,722   December-20   594,468 
 3,886   Australian 10 Year Bond Future   809,957,531   December-20   3,243,629 
 587   Brent Crude Future +   24,830,100   December-20   (3,070)
 467   Brent Crude Future +   19,964,250   January-21   10,410 
 153   Brent Crude Future +   6,597,360   February-21   (4,560)
 70   Brent Crude Future +   3,042,200   March-21   (4,440)
 45   Brent Crude Future +   1,970,100   April-21   (3,360)
 28   Brent Crude Future +   1,234,520   May-21   (1,920)
 1,409   CAC 40 10 Euro Future   79,325,222   October-20   (232,484)
 1,073   Canadian 10 Year Bond Future   121,948,067   December-20   (165,188)
 145   CBOE VIX Future +   4,766,875   November-20   (1,825)
 48   CBOE VIX Future +   1,484,400   December-20   17,725 
 30   CBOE VIX Future +   896,250   January-21   18,775 
 251   Coffee ‘C’ Future +   10,443,169   December-20   73,556 
 802   Copper Future +   60,801,625   December-20   789,300 
 20   Cotton No. 2 Future +   657,900   December-20   (2,720)
 364   DAX Index Future   136,366,237   December-20   1,270,935 
 267   Dija Mini E-CBOT Future   36,931,440   December-20   152,235 
 1,334   E-mini Russell 2000 Future   100,343,480   December-20   1,258,230 
 10,059   Euro BOBL Future   1,594,423,613   December-20   85,227 
 2,454   Euro-BTP Future   424,688,655   December-20   4,797,210 
 4,839   Euro Bund Future   990,306,027   December-20   1,866,621 
 565   Euro BUXL Future   147,536,085   December-20   1,109,535 
 3,308   Euro-Oat Future   653,827,004   December-20   2,066,511 
 4,814   Euro Schatz Future   633,892,719   December-20   (62,025)
 3,901   Euro Stoxx 50 Future   146,109,837   December-20   1,422,520 
 1,910   FTSE 100 Index Future   144,241,188   December-20   (771,533)
 1,611   FTSE China A50   24,358,320   October-20   (114,075)
 491   FTSE/JSE Top 40 Future   14,830,673   December-20   (66,515)
 399   FTSE/MIB Index Future   44,367,437   December-20   109,289 
 190   Gasoline RBOB Future +   9,429,168   November-20   121,246 
 92   Gasoline RBOB Future +   4,502,333   December-20   60,560 
 720   Gold 100 oz. Future +   136,476,000   December-20   1,337,690 
 425   Hang Seng Index Future   64,243,548   October-20   (209,599)
 953   HSCEI Future   57,671,871   October-20   (51,700)
 169   IBEX 35 Index Future   13,338,168   October-20   92,287 
 420   Japan 10 Year Bond Future   605,384,251   December-20   720,715 
 83   LME Copper Future +   13,850,106   December-20   (28,014)
 44   LME Nickel Future +   3,831,960   December-20   7,055 
 170   LME PRI Aluminum Future +   7,498,063   December-20   (44,736)
 120   LME Zinc Future +   7,206,750   December-20   (193,940)
 2,855   Long Gilt Future   502,374,616   December-20   (499,946)
 467   MSCI EAFE Future   43,272,220   December-20   341,245 
 2,390   MSCI Emerging Market Future   130,075,750   December-20   674,255 
 684   MSCI Taiwan Index Future   33,721,200   October-20   142,440 
 522   Nasdaq 100 E-Mini Future   119,092,212   December-20   501,672 
 13   Nikkei 225 (OSE) Future   2,856,723   December-20   (37,241)
 43   Nikkei 225 (SGX) Future   4,727,637   December-20   (32,929)
 2,005   OMXS30 Index Future #   41,024,092   October-20   795,965 
 23   Platinum Future +   1,045,580   January-21   8,230 
 159   S&P 500 E-Mini Future   26,648,400   December-20   297,713 
 133   S&P Mid 400 E-Mini Future   24,683,470   December-20   426,590 

 

 

CATALYST FUNDS
CATALYST/MILLBURN HEDGE STRATEGY FUND
CONSOLIDATED PORTFOLIO OF INVESTMENTS (Unaudited) (Continued)
September 30, 2020

 

              Unrealized 
              Appreciation 
Long Contracts      Notional   Maturity  (Depreciation) 
     OPEN LONG FUTURES CONTRACTS - 0.9% (Continued)             
 184   S&P/TSX 60 IX Future  $26,489,388   December-20  $68,750 
 228   Silver Future +   26,783,160   December-20   104,960 
 1,635   Soybean Future +   83,671,125   November-20   1,502,175 
 975   Soybean Meal Future +   33,423,000   December-20   145,170 
 533   TAIEX Future   45,909,184   October-20   591,505 
 163   TOPIX Index Future   25,107,221   December-20   (193,168)
 3,318   US 2 Year Note (CBT)   733,145,280   December-20   127,398 
 7,107   US 5 Year Note (CBT)   895,702,317   December-20   442,466 
 5,231   US 10 Year Note (CBT)   729,886,661   December-20   1,175,052 
 1,408   US Long Bond (CBT) Future   248,203,648   December-20   681,054 
 384   US Ultra Bond Future   85,176,192   December-20   50,348 
 428   World Sugar #11 Future +   6,476,154   March-21   233,419 
     Net Unrealized Gain From Open Long Futures Contracts   26,294,615 
                   
              Unrealized 
              Appreciation 
Short Contracts      Notional   Maturity  (Depreciation) 
     OPEN SHORT FUTURES CONTRACTS - (0.1)%             
 521   90-Day Euro$ Future   129,976,475   December-21   (16,250)
 236   90-Day Euro$ Future   58,870,200   March-22   11,800 
 466   90-Day Euro$ Future   116,191,275   December-22   7,250 
 315   Bovedspa Index Future   5,286,112   October-20   12,068 
 584   CBOE VIX Future +   17,739,000   October-20   243,300 
 144   Cocoa Future +   3,666,240   December-20   97,730 
 238   Corn Future +   4,510,100   December-20   (182,787)
 16   Gasoline RBOB Future +   781,738   January-21   9,202 
 27   Gasoline RBOB Future +   1,330,636   February-21   (5,914)
 343   KC Red Wheat Future +   8,742,213   December-20   (595,638)
 88   Lean Hogs Future +   2,221,120   December-20   19,890 
 160   Live Cattle Future +   7,190,400   December-20   (18,230)
 6   LME Lead Future +   273,338   December-20   410 
 473   Low Sulphur Gasoil G Future +   15,786,375   November-20   (189,200)
 41   Low Sulphur Gasoil G Future +   1,385,800   December-20   (16,950)
 1,241   Natural Gas Future +   31,360,070   November-20   711,990 
 276   Natural Gas Future +   8,602,920   December-20   (36,160)
 383   Natural Gas Future +   12,512,610   January-21   75,400 
 340   Natural Gas Future +   10,951,400   February-21   108,080 
 98   Natural Gas Future +   3,037,020   March-21   40,940 
 76   NY Harbor ULSD Future +   3,677,822   November-20   (66,389)
 157   NY Harbor ULSD Future +   7,685,307   December-20   (97,642)
 22   NY Harbor ULSD Future +   1,091,152   January-21   (10,080)
 16   NY Harbor ULSD Future +   803,040   February-21   (9,547)
 2,306   SET50 Future   11,332,239   December-20   103,428 
 312   SGX Nifty 50   7,022,496   October-20   11,046 
 180   Soybean Oil Future +   3,578,040   December-20   (37,500)
 63   SPI 200 Future   6,549,772   December-20   3,154 
 284   Wheat Future +   8,207,600   December-20   (403,050)
 15   WTI Crude Future +   603,300   November-20   (2,400)
 230   WTI Crude Future +   9,308,100   December-20   (19,700)
 86   WTI Crude Future +   3,507,940   January-21   3,540 
 49   WTI Crude Future +   2,015,370   February-21   4,500 
 28   WTI Crude Future +   1,161,160   March-21   1,380 
 17   WTI Crude Future +   710,260   April-21   4,840 
     Net Unrealized Loss From Open Short Futures Contracts   (237,489)
     Total Unrealized Gain From Open Futures Contracts  $26,057,126 

 

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

 

#The security is illiquid; total illiquid securities represent 0.0% of net assets.

 

 

CATALYST FUNDS
CATALYST/MILLBURN HEDGE STRATEGY FUND
CONSOLIDATED PORTFOLIO OF INVESTMENTS (Unaudited) (Continued)
September 30, 2020

 

FORWARD FOREIGN CURRENCY CONTRACTS

 

                     Unrealized 
   Settlement     Currency Amount   Cost of   U.S. Dollar   Appreciation 
Foreign Currency  Date  Counterparty  Purchased   USD Sold   Market Value   (Depreciation) 
To Buy:                          
Australian Dollar  10/1/2020  Deutsche Bank   121,040,000   $85,946,134   $86,755,464   $809,330 
British Pound  10/1/2020  BAML   7,340,000    9,438,999    9,489,155    50,156 
British Pound  10/1/2020  Deutsche Bank   25,090,000    32,251,790    32,436,364    184,574 
Canadian Dollar  10/1/2020  Deutsche Bank   65,680,000    49,169,351    49,170,877    1,526 
Euro  10/1/2020  BAML   8,940,000    10,492,163    10,483,496    (8,667)
Euro  10/1/2020  Deutsche Bank   2,480,000    2,909,409    2,908,173    (1,236)
Israeli Shekel  10/1/2020  BAML   24,210,000    7,001,810    7,078,326    76,516 
Israeli Shekel  10/1/2020  Deutsche Bank   24,920,000    7,210,050    7,285,911    75,861 
Japanese Yen  10/1/2020  BAML   5,684,000,000    53,796,339    53,861,460    65,121 
Mexican Peso  10/1/2020  BAML   677,890,000    30,298,713    30,707,449    408,736 
New Zealand Dollar  10/1/2020  BAML   3,110,000    2,046,089    2,055,710    9,621 
New Zealand Dollar  10/1/2020  Deutsche Bank   18,120,000    11,922,594    11,977,320    54,726 
Norwegian Krone  10/1/2020  BAML   284,030,000    30,001,297    30,356,110    354,813 
Norwegian Krone  10/1/2020  Deutsche Bank   3,400,000    358,984    363,380    4,396 
Polish Zloty  10/1/2020  BAML   51,270,000    13,181,597    13,260,567    78,970 
Polish Zloty  10/1/2020  Deutsche Bank   8,250,000    2,114,923    2,133,796    18,873 
Singapore Dollar  10/1/2020  BAML   24,620,000    17,958,967    18,035,305    76,338 
Singapore Dollar  10/1/2020  Deutsche Bank   8,430,000    6,148,241    6,175,372    27,131 
South African Rand  10/1/2020  BAML   219,570,000    12,975,680    13,163,669    187,989 
Swedish Krona  10/1/2020  BAML   57,020,000    6,334,032    6,370,950    36,918 
Swedish Krona  10/1/2020  Deutsche Bank   260,600,000    28,934,453    29,117,318    182,865 
Swiss Franc  10/1/2020  BAML   17,640,000    19,129,188    19,199,999    70,811 
Swiss Franc  10/1/2020  Deutsche Bank   34,810,000    37,738,869    37,888,438    149,569 
Australian Dollar  10/2/2020  Deutsche Bank   155,470,000    110,931,244    111,433,168    501,924 
British Pound  10/2/2020  BAML   22,020,000    28,282,513    28,467,469    184,956 
British Pound  10/2/2020  Deutsche Bank   980,000    1,267,385    1,266,945    (440)
Euro  10/2/2020  BAML   15,290,000    17,931,346    17,929,825    (1,521)
Euro  10/2/2020  Deutsche Bank   3,030,000    3,553,783    3,553,130    (653)
Israeli Shekel  10/2/2020  BAML   32,060,000    9,308,343    9,373,448    65,105 
Israeli Shekel  10/2/2020  Deutsche Bank   15,230,000    4,426,022    4,452,827    26,805 
Japanese Yen  10/2/2020  BAML   8,992,000,000    85,146,917    85,207,982    61,065 
Mexican Peso  10/2/2020  BAML   987,030,000    44,689,344    44,711,049    21,705 
Mexican Peso  10/2/2020  Deutsche Bank   18,820,000    852,525    852,519    (6)
New Zealand Dollar  10/2/2020  BAML   3,720,000    2,455,915    2,458,920    3,005 
New Zealand Dollar  10/2/2020  Deutsche Bank   64,980,000    42,878,686    42,951,786    73,100 
Norwegian Krone  10/2/2020  BAML   271,760,000    28,731,654    29,044,737    313,083 
Polish Zloty  10/2/2020  BAML   103,310,000    26,706,814    26,720,295    13,481 
Polish Zloty  10/2/2020  Deutsche Bank   5,050,000    1,305,100    1,306,142    1,042 
Singapore Dollar  10/2/2020  BAML   20,530,000    14,999,291    15,039,188    39,897 
Singapore Dollar  10/2/2020  Deutsche Bank   8,720,000    6,369,145    6,387,811    18,666 
South African Rand  10/2/2020  BAML   266,610,000    15,964,268    15,983,813    19,545 
Swedish Krona  10/2/2020  BAML   70,960,000    7,890,717    7,928,493    37,776 
Swedish Krona  10/2/2020  Deutsche Bank   384,300,000    42,704,155    42,938,548    234,393 
Swiss Franc  10/2/2020  BAML   7,660,000    8,314,727    8,337,414    22,687 
Swiss Franc  10/2/2020  Deutsche Bank   3,120,000    3,401,385    3,395,918    (5,467)
Australian Dollar  10/21/2020  Deutsche Bank   925,800,000    666,436,505    663,594,852    (2,841,653)
Brazilian Real  10/21/2020  BAML   404,260,000    75,762,422    71,694,664    (4,067,758)
British Pound  10/21/2020  BAML   701,710,000    909,813,726    907,267,303    (2,546,423)
Canadian Dollar  10/21/2020  Deutsche Bank   631,400,000    475,783,550    472,723,501    (3,060,049)
Chilean Peso  10/21/2020  BAML   10,958,000,000    14,151,076    13,910,668    (240,408)
Colombian Peso  10/21/2020  BAML   60,000,000    15,603    15,551    (52)
Euro  10/21/2020  BAML   669,770,000    790,459,672    785,726,571    (4,733,101)
Indian Rupee  10/21/2020  BAML   5,450,770,000    74,029,201    73,733,288    (295,913)
Israeli Shekel  10/21/2020  BAML   351,710,000    103,018,486    102,852,066    (166,420)
Japanese Yen  10/21/2020  BAML   55,038,000,000    521,949,003    521,650,219    (298,784)
Mexican Peso  10/21/2020  BAML   3,172,070,000    145,097,796    143,353,467    (1,744,329)
New Zealand Dollar  10/21/2020  BAML   17,530,000    11,485,376    11,587,352    101,976 
New Zealand Dollar  10/21/2020  Deutsche Bank   425,020,000    283,104,111    280,938,747    (2,165,364)

 

 

CATALYST FUNDS
CATALYST/MILLBURN HEDGE STRATEGY FUND
CONSOLIDATED PORTFOLIO OF INVESTMENTS (Unaudited) (Continued)
September 30, 2020

 

                     Unrealized 
   Settlement     Currency Amount   Cost of   U.S. Dollar   Appreciation 
Foreign Currency  Date  Counterparty  Purchased   USD Sold   Market Value   (Depreciation) 
To Buy (Continued):                          
Norwegian Krone  10/21/2020  BAML   2,112,260,000    231,486,610    225,755,773    (5,730,837)
Polish Zloty  10/21/2020  BAML   625,080,000    164,364,885    161,677,687    (2,687,198)
Russian Ruble  10/21/2020  BAML   22,995,760,000    305,863,104    295,714,156    (10,148,948)
Russian Ruble  10/21/2020  Deutsche Bank   2,090,000    27,674    26,876    (798)
Singapore Dollar  10/21/2020  BAML   169,430,000   $124,242,647   $124,117,467   $(125,180)
South African Rand  10/21/2020  BAML   2,523,250,000    149,054,904    150,917,444    1,862,540 
South Korean Won  10/21/2020  BAML   23,362,000,000    19,838,214    19,976,052    137,838 
Swedish Krona  10/21/2020  Deutsche Bank   2,287,480,000    258,014,555    255,636,009    (2,378,546)
Swiss Franc  10/21/2020  BAML   654,800,000    717,035,831    713,103,326    (3,932,505)
Chilean Peso  11/18/2020  BAML   645,000,000    823,704    818,992    (4,712)
Norwegian Krone  11/18/2020  BAML   553,840,000    58,802,477    59,196,309    393,832 
Russian Ruble  11/18/2020  BAML   2,842,290,000    36,316,937    36,443,636    126,699 
              $7,122,449,020   $7,082,448,012   $(40,001,008)
                           
                     Unrealized 
   Settlement     Currency Amount   Cost of   U.S. Dollar   Appreciation 
Foreign Currency  Date  Counterparty  Sold   USD Purchased   Market Value   (Depreciation) 
To Sell:                          
Australian Dollar  10/1/2020  Deutsche Bank   (121,040,000)   (86,145,379)   (86,755,458)   (610,079)
British Pound  10/1/2020  BAML   (32,430,000)   (41,669,196)   (41,925,523)   (256,327)
Canadian Dollar  10/1/2020  Deutsche Bank   (65,680,000)   (49,354,143)   (49,170,878)   183,265 
Euro  10/1/2020  BAML   (11,420,000)   (13,387,100)   (13,391,668)   (4,568)
Israeli Shekel  10/1/2020  BAML   (49,130,000)   (14,250,493)   (14,364,237)   (113,744)
Japanese Yen  10/1/2020  BAML   (5,684,000,000)   (53,837,408)   (53,861,460)   (24,052)
Mexican Peso  10/1/2020  BAML   (677,890,000)   (30,307,399)   (30,707,450)   (400,051)
New Zealand Dollar  10/1/2020  Deutsche Bank   (21,230,000)   (13,968,200)   (14,033,033)   (64,833)
Norwegian Krone  10/1/2020  BAML   (287,430,000)   (30,354,625)   (30,719,492)   (364,867)
Polish Zloty  10/1/2020  BAML   (59,520,000)   (15,446,500)   (15,394,364)   52,136 
Singapore Dollar  10/1/2020  BAML   (33,050,000)   (24,144,355)   (24,210,681)   (66,326)
South African Rand  10/1/2020  BAML   (219,570,000)   (12,847,973)   (13,163,670)   (315,697)
Swedish Krona  10/1/2020  Deutsche Bank   (317,620,000)   (35,288,954)   (35,488,268)   (199,314)
Swiss Franc  10/1/2020  BAML   (52,450,000)   (57,020,166)   (57,088,435)   (68,269)
Australian Dollar  10/2/2020  Deutsche Bank   (155,470,000)   (111,416,021)   (111,433,171)   (17,150)
British Pound  10/2/2020  BAML   (23,000,000)   (29,555,231)   (29,734,402)   (179,171)
Euro  10/2/2020  BAML   (18,320,000)   (21,463,559)   (21,482,957)   (19,398)
Israeli Shekel  10/2/2020  BAML   (47,290,000)   (13,819,808)   (13,826,273)   (6,465)
Japanese Yen  10/2/2020  BAML   (8,992,000,000)   (85,185,396)   (85,207,998)   (22,602)
Mexican Peso  10/2/2020  BAML   (1,005,850,000)   (45,500,213)   (45,563,571)   (63,358)
New Zealand Dollar  10/2/2020  Deutsche Bank   (68,700,000)   (45,394,899)   (45,410,709)   (15,810)
Norwegian Krone  10/2/2020  BAML   (271,760,000)   (29,007,071)   (29,044,738)   (37,667)
Polish Zloty  10/2/2020  BAML   (108,360,000)   (28,067,449)   (28,026,433)   41,016 
Singapore Dollar  10/2/2020  BAML   (29,250,000)   (21,430,456)   (21,427,002)   3,454 
South African Rand  10/2/2020  BAML   (266,610,000)   (15,808,636)   (15,983,813)   (175,177)
Swedish Krona  10/2/2020  Deutsche Bank   (455,260,000)   (50,802,103)   (50,867,039)   (64,936)
Swiss Franc  10/2/2020  BAML   (10,780,000)   (11,711,813)   (11,733,334)   (21,521)
Australian Dollar  10/21/2020  Deutsche Bank   (845,190,000)   (611,756,289)   (605,815,221)   5,941,068 
Brazilian Real  10/21/2020  BAML   (1,412,130,000)   (261,108,972)   (250,438,291)   10,670,681 
British Pound  10/21/2020  BAML   (471,060,000)   (625,573,794)   (609,051,226)   16,522,568 
Canadian Dollar  10/21/2020  Deutsche Bank   (436,420,000)   (333,711,486)   (326,743,731)   6,967,755 
Chilean Peso  10/21/2020  BAML   (10,958,000,000)   (14,072,678)   (13,910,664)   162,014 
Colombian Peso  10/21/2020  BAML   (1,091,000,000)   (295,538)   (282,767)   12,771 
Euro  10/21/2020  BAML   (142,690,000)   (168,443,605)   (167,393,769)   1,049,836 
Indian Rupee  10/21/2020  BAML   (1,262,300,000)   (17,134,640)   (17,075,298)   59,342 
Israeli Shekel  10/21/2020  BAML   (256,860,000)   (74,907,209)   (75,114,674)   (207,465)
Japanese Yen  10/21/2020  BAML   (49,605,000,000)   (470,645,390)   (470,156,239)   489,151 
Mexican Peso  10/21/2020  BAML   (5,181,170,000)   (238,621,116)   (234,149,524)   4,471,592 
New Zealand Dollar  10/21/2020  Deutsche Bank   (196,080,000)   (131,628,647)   (129,609,123)   2,019,524 
Norwegian Krone  10/21/2020  BAML   (2,112,260,000)   (232,301,070)   (225,755,774)   6,545,296 
Polish Zloty  10/21/2020  BAML   (345,520,000)   (90,907,276)   (89,369,160)   1,538,116 

 

 

CATALYST FUNDS
CATALYST/MILLBURN HEDGE STRATEGY FUND
CONSOLIDATED PORTFOLIO OF INVESTMENTS (Unaudited) (Continued)
September 30, 2020

 

                     Unrealized 
   Settlement     Currency Amount   Cost of   U.S. Dollar   Appreciation 
Foreign Currency  Date  Counterparty  Sold   USD Purchased   Market Value   (Depreciation) 
To Sell (Continued):                          
Russian Ruble  10/21/2020  BAML   (22,997,850,000)  $(301,614,960)  $(295,741,035)  $5,873,925 
Singapore Dollar  10/21/2020  BAML   (113,300,000)   (82,692,951)   (82,998,931)   (305,980)
South African Rand  10/21/2020  BAML   (2,075,460,000)   (123,233,850)   (124,134,795)   (900,945)
South Korean Won  10/21/2020  BAML   (17,226,000,000)   (14,709,194)   (14,729,365)   (20,171)
Swedish Krona  10/21/2020  Deutsche Bank   (1,392,000,000)   (156,180,087)   (155,562,157)   617,930 
Swiss Franc  10/21/2020  BAML   (313,150,000)   (345,269,054)   (341,032,844)   4,236,210 
Russian Ruble  11/18/2020  BAML   (3,092,420,000)   (38,935,704)   (39,650,786)   (715,082)
              $(5,320,928,056)  $(5,258,731,431)  $62,196,625 

 

 

CATALYST FUNDS
CATALYST/MILLBURN HEDGE STRATEGY FUND
CONSOLIDATED PORTFOLIO OF INVESTMENTS (Unaudited) (Continued)
September 30, 2020

 

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  10/21/2020  BAML   104,670,000    (1,109,970,883)  $122,791,415   $(118,632,333)  $4,159,072 
Euro  Norwegian Krone  10/21/2020  Deutsche Bank   124,230,000    (1,335,715,858)   145,737,808    (142,759,675)   2,978,126 
Euro  Polish Zloty  10/21/2020  BAML   36,810,000    (164,527,663)   43,182,885    (42,555,273)   627,604 
Euro  Polish Zloty  10/21/2020  Deutsche Bank   13,960,000    (62,152,095)   16,376,875    (16,075,714)   301,168 
Euro  Swedish Krona  10/21/2020  BAML   216,540,000    (2,250,577,960)   254,029,346    (251,512,044)   2,517,300 
Euro  Swedish Krona  10/21/2020  Deutsche Bank   188,520,000    (1,965,669,566)   221,158,267    (219,672,266)   1,485,991 
Norwegian Krone  Euro  10/21/2020  BAML   2,435,996,745    (228,900,000)   260,356,369    (268,529,241)   (8,172,848)
Polish Zloty  Euro  10/21/2020  BAML   227,509,785    (50,770,000)   58,845,672    (59,559,757)   (714,079)
Swedish Krona  Euro  10/21/2020  BAML   3,154,867,974    (302,910,000)   352,570,466    (355,352,500)   (2,782,043)
Norwegian Krone  Euro  11/18/2020  BAML   527,337,704    (47,520,000)   56,363,648    (55,779,723)   583,928 
Polish Zloty  Euro  11/18/2020  BAML   25,951,673    (5,690,000)   6,712,877    (6,679,011)   33,865 
                      $1,538,125,628   $(1,537,107,537)  $1,018,084 
                                   
Total Unrealized Appreciation   $23,213,701 

 

BAML - Bank of America Merrill Lynch

 

 

CATALYST FUNDS
CATALYST ENERGY INFRASTRUCTURE FUND
PORTFOLIO OF INVESTMENTS (Unaudited)
September 30, 2020

 

Shares      Value 
     COMMON STOCK - 99.7%     
     GAS & WATER UTILITIES - 6.4%     
 7,888   Atmos Energy Corporation  $754,014 
 30,639   NiSource, Inc.   674,058 
 14,439   Northwest Natural Holding Company   655,386 
 10,773   ONE Gas, Inc.   743,445 
 36,130   South Jersey Industries, Inc.   696,225 
 15,097   Southwest Gas Holdings, Inc.   952,621 
 14,089   Spire, Inc.   749,535 
         5,225,284 
     OIL & GAS PRODUCERS - 93.3%     
 143,421   Cheniere Energy, Inc. *   6,636,090 
 32,595   Crestwood Equity Partners, L.P.   406,134 
 127,738   Enbridge, Inc.   3,729,949 
 957,505   Energy Transfer, L.P.   5,189,677 
 766,025   EnLink Midstream, LLC   1,800,159 
 507,108   Enterprise Products Partners, L.P.   8,007,235 
 399,273   Equitrans Midstream Corporation   3,377,850 
 213,292   Gibson Energy, Inc.   3,445,885 
 38,281   Hess Midstream, L.P.   578,043 
 283,821   Inter Pipeline Ltd.   2,777,122 
 193,242   Keyera Corporation   2,907,853 
 305,940   Kinder Morgan, Inc.   3,772,240 
 106,232   Magellan Midstream Partners, L.P.   3,633,134 
 40,593   Marathon Petroleum Corporation   1,190,999 
 13,236   MPLX, L.P.   208,335 
 91,261   NuStar Energy, L.P.   969,192 
 145,567   ONEOK, Inc.   3,781,831 
 285,885   Pembina Pipeline Corporation   6,069,338 
 208,444   Plains GP Holdings, L.P.   1,269,424 
 221,065   Targa Resources Corporation   3,101,542 
 84,667   TC Energy Corporation   3,557,707 
 4,778   Western Midstream Partners, L.P.   38,224 
 466,996   Williams Companies, Inc. (The)   9,176,471 
         75,624,434 
           
     TOTAL COMMON STOCK (Cost - $127,802,934)   80,849,718 
           
     TOTAL INVESTMENTS - 99.7% (Cost - $127,802,934)  $80,849,718 
     OTHER ASSETS IN EXCESS OF LIABILITIES - 0.3%   254,730 
     NET ASSETS - 100.0%  $81,104,448 

 

LLC - Limited Liability Company

 

LP - Limited Partnership

 

*Non-income producing security.

 

 

CATALYST FUNDS
CATALYST/CIFC FLOATING RATE INCOME FUND
PORTFOLIO OF INVESTMENTS (Unaudited)
September 30, 2020

 

Shares               Value 
     COMMON STOCK - 0.1%              
     SOFTWARE - 0.1%              
 7,817   Avaya Holdings Corp.           $118,818 
     TOTAL COMMON STOCK (Cost - $198,736)        
                    
Principal      Variable Rate  Coupon Rate (%)  Maturity  Value 
     ASSET BACKED SECURITIES - 2.1%              
     CLO - 2.1%              
$500,000   CARLYLE US CLO 2017-1 Ltd. #  3 Month LIBOR + 6.000%  6.272 * 4/20/2031  $395,301 
 1,000,000   Neuberger Berman CLO XVI-S Ltd. #  3 Month LIBOR + 5.400%  5.675 * 1/15/2028   918,535 
 500,000   Octagon Investment Partners 37 Ltd. #  3 Month LIBOR + 5.400%  5.645 * 7/25/2030   428,931 
 500,000   Sound Point CLO X Ltd. #  3 Month LIBOR + 5.250%  5.522 * 1/20/2028   437,966 
     TOTAL ASSET BACKED SECURITIES (Cost - $2,482,977)     2,180,733 
             
     CORPORATE BONDS - 3.3%              
     AUTOMOTIVE - 0.4%              
 384,000   Clarios Global LP #     8.500  5/15/2027   397,114 
                    
     CABLE & SATELLITE - 0.2%              
 164,000   Sirius XM Radio, Inc. #     5.000  8/1/2027   171,210 
 96,000   Sirius XM Radio, Inc. #     4.125  7/1/2030   97,920 
                  269,130 
     CHEMICALS - 0.3%              
 155,000   Element Solutions, Inc. #     3.875  9/1/2028   152,384 
 155,000   Valvoline, Inc. #     4.250  2/15/2030   158,332 
                  310,716 
     CONSTRUCTION MATERIALS - 0.2%              
 160,000   Standard Industries, Inc. #     4.375  7/15/2030   164,288 
 32,000   Standard Industries, Inc. #     3.375  1/15/2031   31,644 
                  195,932 
     CONTAINERS & PACKAGING - 0.4%              
 336,000   Ardagh Packaging Finance PLC #     4.125  8/15/2026   341,040 
 86,000   Silgan Holdings, Inc.     4.750  3/15/2025   87,774 
                  428,814 
     ENTERTAINMENT CONTENT - 0.2%              
 214,000   Univision Communications, Inc. #     5.125  2/15/2025   203,166 
                    
     FOOD - 0.1%              
 91,000   Post Holdings, Inc. #     4.625  4/15/2030   93,730 
                    
     HEALTH CARE FACILITIES & SERVICES - 0.2%              
 163,000   DaVita, Inc. #     3.750  2/15/2031   157,466 
 45,000   Encompass Health Corp.     4.625  4/1/2031   45,000 
                  202,466 
     LEISURE FACILITIES & SERVICES - 0.1%              
 89,000   Yum! Brands, Inc.     3.625  3/15/2031   89,167 
                    
     METALS & MINING - 0.1%              
 80,000   Novelis Corp. #     5.875  9/30/2026   82,300 
                    
     PUBLISHING & BROADCASTING - 0.3%              
 69,000   Gray Television, Inc. #     5.875  7/15/2026   71,717 
 245,000   Nexstar Broadcasting, Inc. #     5.625  7/15/2027   257,727 
                  329,444 
     REITS - 0.2%              
 80,000   Iron Mountain, Inc. #     4.875  9/15/2029   81,480 
 91,000   Iron Mountain, Inc. #     4.500  2/15/2031   92,026 
                  173,506 
     RETAIL - CONSUMER STAPLES - 0.3%              
 371,000   Albertsons Cos., Inc. #     3.500  3/15/2029   360,798 
                    
     RETAIL - DISCRETIONARY - 0.1%              
 109,000   Builders FirstSource, Inc. #     6.750  6/1/2027   116,902 
 45,000   Lithia Motors, Inc. #     4.375  1/15/2031   45,000 
                  161,902 
     SPECIALTY FINANCE - 0.0%              
 43,000   Genworth Mortgage Holdings, Inc. #     6.500  8/15/2025   45,030 
                    
     TECHNOLOGY HARDWARE - 0.1%              
 86,000   NCR Corp. #     5.250  10/1/2030   86,161 
                    
     TELECOMMUNICATIONS - 0.1%              
 56,000   CenturyLink, Inc.     6.875  1/15/2028   63,000 
                    
     TOTAL CORPORATE BONDS (Cost - $3,476,950)     3,492,376 

 

 

CATALYST FUNDS
CATALYST/CIFC FLOATING RATE INCOME FUND
PORTFOLIO OF INVESTMENTS (Unaudited) (Continued)
September 30, 2020

 

Principal      Variable Rate  Coupon Rate (%)   Maturity  Value 
     BANK LOANS - 90.7%               
     ADVERTISING & MARKETING - 1.3%               
$994,937   Red Ventures LLC  1 Month LIBOR + 2.500%  2.647  * 11/8/2024  $958,124 
 65,000   Terrier Media Buyer, Inc.  1 Month LIBOR + 4.250%  4.397  * 12/17/2026   63,456 
 372,813   Terrier Media Buyer, Inc.  1 Month LIBOR + 4.250%  4.397  * 12/17/2026   364,625 
                   1,386,205 
     AEROSPACE & DEFENSE - 0.5%               
 552,514   Dynasty Acquisition Co., Inc.  3 Month LIBOR + 3.500%  3.720  * 4/6/2026   490,851 
                     
     ASSET MANAGEMENT - 4.2%               
 500,000   Advisor Group Holdings, Inc.  1 Month LIBOR + 5.000%  5.147  * 7/31/2026   485,625 
 611,966   Edelman Financial Center LLC  1 Month LIBOR + 3.000%  3.145  * 7/21/2025   592,509 
 525,000   Edelman Financial Center LLC  1 Month LIBOR + 6.750%  6.895  * 7/20/2026   504,494 
 598,496   First Eagle Holdings, Inc.  3 Month LIBOR + 2.500%  2.720  * 2/1/2027   585,832 
 500,000   Nexus Buyer LLC  1 Month LIBOR + 3.750%  3.901  * 11/9/2026   498,072 
 1,334,978   NFP Corp.  1 Month LIBOR + 3.250%  3.397  * 2/15/2027   1,285,477 
 446,712   Russell Investments US Institutional Holdco, Inc.  6 Month LIBOR + 2.750%  3.750  * 6/1/2023   444,898 
                   4,396,907 
     AUTOMOTIVE - 0.1%               
 100,000   First Brands Group LLC  3 Month LIBOR + 7.500%  8.500  * 2/2/2024   98,250 
                     
     BIOTECH & PHARMA - 0.8%               
 864,010   Endo International PLC  3 Month LIBOR + 4.250%  5.000  * 4/29/2024   826,739 
                     
     CABLE & SATELLITE - 1.2%               
 498,734   CSC Holdings LLC  1 Month LIBOR + 2.250%  2.402  * 1/15/2026   483,355 
 393,000   Newco Financing Partnership        *@ 1/31/2029   382,782 
 393,000   UPC Financing Partnership        *@ 1/31/2029   382,782 
                   1,248,919 
     CHEMICALS - 0.8%               
 847,797   Nouryon USA LLC  1 Month LIBOR + 3.000%  3.151  * 10/1/2025   823,576 
                     
     COMMERCIAL SUPPORT SERVICES - 6.3%               
 997,494   Allied Universal Holdco LLC  1 Month LIBOR + 4.250%  4.397  * 7/10/2026   988,676 
 500,000   Amentum Government Services Holdings LLC  1 Month LIBOR + 3.500%  3.646  * 1/29/2027   495,210 
 58,000   Bifm CA Buyer, Inc.  3 Month LIBOR + 3.500%  3.756  * 6/1/2026   57,130 
 498,715   CHG Healthcare Services, Inc.  6 Month LIBOR + 3.000%  4.000  * 6/7/2023   491,279 
 900,000   Conservice Midco LLC  3 Month LIBOR + 4.250%  4.470  * 5/13/2027   892,125 
 243,000   Creative Artists Agency LLC  1 Month LIBOR + 4.250%  5.250  * 11/27/2026   234,222 
 840,340   Packers Holdings LLC  1 Month LIBOR + 3.000%  4.000  * 12/4/2024   827,734 
 2,050,865   Prime Security Services Borrower LLC  1 Month LIBOR + 3.250%  4.250  * 9/23/2026   2,037,957 
 383,232   Stiphout Finance LLC  1 Month LIBOR + 3.750%  4.750  * 10/26/2022   380,120 
 206,768   Vistra Group  1 Month LIBOR + 3.750%  4.750   10/27/2025   205,089 
                   6,609,542 
     CONSUMER SERVICES - 1.8%               
 9,000   Alterra Mountain Co.  1 Month LIBOR + 2.750%  2.928  * 7/31/2024   8,715 
 206,279   Prometric Holdings, Inc.  1 Month LIBOR + 3.000%  4.000  * 1/29/2025   192,871 
 1,243,590   Spin Holdco, Inc.  3 Month LIBOR + 3.250%  4.250  * 11/14/2022   1,221,274 
 438,726   University Support Services LLC  1 Month LIBOR + 3.250%  4.250  * 7/17/2025   430,499 
                   1,853,359 
     CONTAINERS & PACKAGING - 1.3%               
 527,920   Mauser Packaging Solutions Holding Co.  3 Month LIBOR + 3.250%  3.480  * 4/3/2024   497,456 
 614,867   Reynolds Group Holdings, Inc.  1 Month LIBOR + 2.750%  2.897  * 2/5/2023   608,836 
 187,000   Reynolds Group Holdings, Inc.        *@ 2/5/2026   184,195 
                   1,290,487 
     ELECTRIC UTILITIES - 3.0%               
 355,748   APLP Holdings LP  1 Month LIBOR + 2.500%  3.500  * 4/14/2025   355,598 
 575,000   Calpine Corp.  1 Month LIBOR + 2.250%  2.400  * 1/15/2024   560,524 
 498,741   Calpine Corp.  1 Month LIBOR + 2.250%  2.400  * 4/5/2026   486,549 
 396,977   Edgewater Generation LLC  1 Month LIBOR + 3.750%  3.897  * 12/13/2025   386,557 
 1,352,201   Granite Generation LLC  1 Month & 3 Month Libor + 3.750%  4.750  * 11/9/2026   1,348,192 
                   3,137,420 
     ELECTRICAL EQUIPMENT - 3.6%               
 669,925   Belfor Holdings, Inc.  1 Month LIBOR + 4.000%  4.147  * 4/6/2026   670,762 
 1,650,000   Brookfield WEC Holdings, Inc.  1 Month LIBOR + 3.000%  3.750  * 8/1/2025   1,612,281 
 1,000,000   Mirion Technologies, Inc.  6 Month LIBOR + 4.000%  4.269  * 3/6/2026   996,125 
 500,000   Vertiv Group Corp.  1 Month LIBOR + 3.000%  3.157  * 3/2/2027   493,875 
                   3,773,043 
     ENGINEERING & CONSTRUCTION - 1.2%               
 335,000   PowerTeam Services LLC  3 Month LIBOR + 7.250%  8.250  * 3/6/2026   299,267 
 995,016   USIC Holdings, Inc.  1 Month LIBOR + 3.250%  4.250  * 12/8/2023   981,539 
                   1,280,806 

 

 

CATALYST FUNDS
CATALYST/CIFC FLOATING RATE INCOME FUND
PORTFOLIO OF INVESTMENTS (Unaudited) (Continued)
September 30, 2020

 

Principal      Variable Rate  Coupon Rate (%)   Maturity  Value 
     BANK LOANS - 90.7% (Continued)               
     ENTERTAINMENT CONTENT - 1.6%               
$53,000   Alchemy Copyrights LLC  PRIME + 2.250%  5.500  * 8/16/2027  $53,000 
 1,354,997   Univision Communications, Inc.  1 Month LIBOR + 2.750%  3.750  * 3/15/2024   1,308,304 
 339,859   Univision Communications, Inc.  1 Month LIBOR + 3.750%  4.750  * 3/15/2026   331,758 
                   1,693,062 
     FOOD - 2.8%               
 850,000   Froneri US, Inc.  1 Month LIBOR + 2.250%  2.397  * 1/29/2027   818,886 
 200,000   Froneri US, Inc.  1 Month LIBOR + 5.750%  5.897  * 1/31/2028   199,500 
 700,000   Shearer’s Foods LLC  3 Month LIBOR + 4.000%  4.750  * 9/23/2027   696,503 
 1,250,000   Utz Quality Foods LLC  1 Month LIBOR + 3.500%  3.647  * 11/21/2024   1,242,975 
                   2,957,864 
     HEALTH CARE FACILITIES & SERVICES - 10.8%               
 990,025   Brightspring Health  1 Month LIBOR + 3.250%  3.401  * 3/5/2026   967,749 
 825,000   Change Healthcare Holdings LLC  3 Month LIBOR + 2.500%  3.500  * 3/1/2024   808,954 
 940,097   ExamWorks Group, Inc.  6 Month LIBOR + 3.250%  4.250  * 7/27/2023   935,397 
 42,026   Eyecare Partners LLC  1 Month LIBOR + 3.750%  3.897  * 2/18/2027   39,754 
 9,831   Eyecare Partners LLC  3 Month LIBOR + 3.750%  3.750  * 2/18/2027   9,299 
 498,747   Gentiva Health Services, Inc.  1 Month LIBOR + 3.250%  3.438  * 7/2/2025   489,374 
 551,159   Heartland Dental LLC  1 Month LIBOR + 3.500%  3.647  * 4/30/2025   509,516 
 983,773   Jaguar Holding Co. II  1 Month LIBOR + 2.500%  3.500  * 8/18/2022   981,668 
 1,000,000   Milano Acquisition Corp,.        *@ 10/1/2027   991,875 
 951,851   National Mentor Holdings, Inc.  1 Month LIBOR + 4.250%  4.400  * 3/9/2026   940,348 
 43,339   National Mentor Holdings, Inc.  1 Month LIBOR + 4.250%  4.400  * 3/9/2026   42,815 
 259,975   Phoenix Guarantor, Inc.  1 Month LIBOR + 3.250%  3.401  * 3/5/2026   254,126 
 339,552   Radnet Management, Inc.  6 Month LIBOR + 3.750%  4.750  * 6/30/2023   335,945 
 1,250,000   RegionalCare Hospital Partners Holdings, Inc.  1 Month LIBOR + 3.750%  3.897  * 11/16/2025   1,216,925 
 1,323,273   Upstream Newco, Inc.  1 Month LIBOR + 4.500%  4.647  * 11/20/2026   1,248,839 
 750,000   US Anesthesia Partners, Inc.  6 Month LIBOR + 3.000%  4.000  * 6/23/2024   711,296 
 750,000   WP CityMD Bidco LLC  3 Month LIBOR + 4.500%  5.500  * 8/13/2026   747,540 
                   11,231,420 
     HOME & OFFICE PRODUCTS - 0.9%               
 342,893   AI Aqua Merger Sub, Inc.  1 Month LIBOR + 3.250%  4.250  * 12/13/2023   336,036 
 598,714   AI Aqua Merger Sub, Inc.  1 Month LIBOR + 5.250%  6.250  * 12/13/2023   597,217 
                   933,253 
     HOME CONSTRUCTION - 0.3%               
 324,548   APi Group DE, Inc.  1 Month LIBOR + 2.500%  2.647  * 10/1/2026   318,935 
                     
     INSTITUTIONAL FINANCIAL SERVICES - 0.9%               
 90,318   AqGen Ascensus, Inc.  3 Month LIBOR + 4.000%  5.000  * 12/5/2022   90,318 
 816,566   Aretec Group, Inc.  1 Month LIBOR + 4.250%  4.397  * 10/1/2025   781,862 
 113,430   Jane Street Group LLC  1 Month LIBOR + 3.000%  3.147  * 1/31/2025   112,828 
                   985,008 
     INSURANCE - 11.3%               
 1,246,875   Acrisure LLC  1 Month LIBOR + 3.500%  3.647  * 2/15/2027   1,207,686 
 500,000   AmWINS Group, Inc.  1 Week & 2 Week LIBOR + 2.750%  3.750  * 1/25/2024   496,617 
 1,000,000   AssuredPartners, Inc.  1 Month LIBOR + 3.500%  3.647  * 2/12/2027   972,855 
 450,000   AssuredPartners, Inc.  1 Month LIBOR + 4.500%  5.500  * 2/12/2027   450,000 
 650,000   Asurion LLC  1 Month LIBOR + 3.000%  3.147  * 8/4/2022   643,770 
 533,667   Asurion LLC  1 Month LIBOR + 6.500%  6.647  * 8/4/2025   535,612 
 997,500   BroadStreet Partners, Inc.  1 Month LIBOR + 3.250%  3.397  * 1/27/2027   973,685 
 300,000   BroadStreet Partners, Inc.  1 Month LIBOR + 3.750%  4.750  * 1/27/2027   297,750 
 500,000   Confie Seguros Holding II Co.  1 Month LIBOR + 4.750%  5.750  * 4/19/2022   485,312 
 300,000   Confie Seguros Holding II Co.  1 Month LIBOR + 8.500%  8.657  * 10/31/2025   234,000 
 1,042,283   HUB International Ltd.  3 Month LIBOR + 4.000%  5.000  * 4/25/2025   1,041,470 
 1,450,000   Hyperion Insurance Group Ltd.  1 Month LIBOR + 3.500%  4.500  * 12/20/2024   1,444,062 
 500,000   Ryan Specialty Group LLC  1 Month LIBOR + 3.250%  4.000  * 7/23/2027   496,253 
 1,750,000   Sedgwick Claims Management Services, Inc.  1 Month LIBOR + 3.250%  3.397  * 12/31/2025   1,692,040 
 833,738   USI, Inc.  3 Month LIBOR + 3.000%  3.220  * 5/16/2024   808,029 
                   11,779,141 
     INTERNET MEDIA & SERVICES - 2.1%               
 874,856   Buzz Merger Sub Ltd.  1 Month LIBOR + 2.750%  2.897  * 1/29/2027   858,452 
 227,682   Hoya Midco LLC  6 Month LIBOR + 3.500%  4.500  * 6/30/2024   196,945 
 698,205   MH Sub I LLC  1 Month LIBOR + 3.500%  3.647  * 9/13/2024   681,274 
 500,000   MH Sub I LLC  1 Month LIBOR + 3.750%  4.750  * 9/13/2024   495,467 
                   2,232,138 
     LEISURE FACILITIES & SERVICES - 2.9%               
 366,637   Alterra Mountain Co.  1 Month LIBOR + 2.750%  2.897  * 7/31/2024   355,025 
 29,706   Alterra Mountain Co.  1 Month LIBOR + 2.750%  2.897  * 7/31/2024   28,765 
 407,610   Crown Finance US, Inc.  6 Month LIBOR + 2.500%  2.769  * 9/30/2026   272,131 
 604,154   Delta 2 Lux Sarl  1 Month LIBOR + 2.500%  3.500  * 2/1/2024   588,549 
 645   Motion Finco LLC  3 Month LIBOR + 3.250%  3.470  * 11/4/2026   600 
 1,000,000   Restaurant Brands International, Inc.  1 Month LIBOR + 1.750%  1.897  * 11/19/2026   961,040 
 753,018   UFC Holdings LLC  6 Month LIBOR + 3.250%  4.250  * 4/29/2026   741,960 
 108,316   William Morris Endeavor Entertainment LLC  1 Month LIBOR + 2.750%  2.897  * 5/18/2025   93,242 
                   3,041,312 

 

 

CATALYST FUNDS
CATALYST/CIFC FLOATING RATE INCOME FUND
PORTFOLIO OF INVESTMENTS (Unaudited) (Continued)
September 30, 2020

 

Principal      Variable Rate  Coupon Rate (%)   Maturity  Value 
     BANK LOANS - 90.7% (Continued)               
     MACHINERY - 2.3%               
$250,000   Engineered Machinery Holdings, Inc.  3 Month LIBOR + 4.250%  5.250  * 7/19/2024  $246,875 
 53,000   Gardner Denver, Inc.  1 Month LIBOR + 2.750%  2.897  * 3/1/2027   52,437 
 881,851   Restaurant Technologies, Inc.  1 Month LIBOR + 3.250%  3.397  * 10/1/2025   849,884 
 1,057,262   WASH Multifamily Laundry Systems LLC  1 Month LIBOR + 3.250%  4.250  * 5/16/2022   1,041,504 
 163,818   WASH Multifamily Laundry Systems LLC  1 Month LIBOR + 3.250%  4.250  * 5/16/2022   161,376 
                   2,352,076 
     MEDICAL EQUIPMENT & DEVICES - 1.2%               
 1,300,000   athenahealth, Inc.  3 Month LIBOR + 4.500%  4.750  * 2/11/2026   1,285,375 
                     
     OIL & GAS PRODUCERS - 1.3%               
 240,942   Crestwood Holdings LLC  1 Month LIBOR + 7.500%  7.660  * 3/6/2023   158,359 
 59,886   Energy & Exploration Partners LLC ^     5.000   5/13/2022   299 
 441,668   GIP III Stetson I LP  1 Month LIBOR + 4.250%  4.395  * 7/18/2025   296,677 
 418,680   Lower Cadence Holdings LLC  1 Month LIBOR + 4.000%  4.147  * 5/22/2026   388,640 
 583,021   Prairie ECI Acquiror LP  1 Month LIBOR + 4.750%  4.897  * 3/11/2026   528,363 
                   1,372,338 
     PUBLISHING & BROADCASTING - 2.2%               
 479,312   Nexstar Broadcasting, Inc.  1 Month LIBOR + 1.750%  1.905  * 10/26/2023   475,717 
 500,000   Nexstar Broadcasting, Inc.  1 Month LIBOR + 2.750%  2.905  * 9/18/2026   490,105 
 98,000   Recorded Books, Inc.        *@ 8/29/2025   97,020 
 498,708   Sinclair Television Group, Inc.  1 Month LIBOR + 2.250%  2.400  * 1/3/2024   487,382 
 698,241   Sinclair Television Group, Inc.  1 Month LIBOR + 2.500%  2.650  * 9/30/2026   683,055 
                   2,233,279 
     REAL ESTATE OWNERS & DEVELOPERS - 0.5%               
 534,583   Cushman & Wakefield U.S. Borrower, LLC  1 Month LIBOR + 2.750%  2.897  * 8/21/2025   517,495 
                     
     REAL ESTATE SERVICES - 0.2%               
 263,417   Cushman & Wakefield U.S. Borrower, LLC  1 Month LIBOR + 2.750%  2.897  * 8/21/2025   254,997 
                     
     RETAIL - CONSUMER STAPLES - 0.2%               
 250,000   H-Food Holdings LLC  1 Month LIBOR + 5.000%  6.000  * 5/23/2025   248,958 
                     
     RETAIL - DISCRETIONARY - 3.0%               
 349,100   Bass Pro Group LLC  3 Month LIBOR + 5.000%  5.750  * 9/25/2024   346,695 
 748,075   Harbor Freight Tools USA, Inc.  1 Month LIBOR + 2.500%  3.250  * 8/18/2023   738,665 
 1,282,117   Staples, Inc.  3 Month LIBOR + 5.000%  5.251  * 4/16/2026   1,195,972 
 888,673   Wand NewCo 3, Inc.  1 Month LIBOR + 3.000%  3.147  * 2/5/2026   859,791 
                   3,141,123 
     SOFTWARE - 7.6%               
 500,000   Camelot Finance SA  1 Month LIBOR + 3.250%  3.401  * 3/5/2026   488,750 
 500,577   Castle US Holding Corp.  3 Month LIBOR + 3.750%  3.970  * 1/29/2027   482,611 
 1,000,000   Dcert Buyer, Inc.  1 Month LIBOR + 4.000%  4.147  * 10/16/2026   989,845 
 497,481   Helios Software Holdings, Inc.  6 Month LIBOR + 4.250%  4.519  * 10/24/2025   491,576 
 176,649   Ivanti Software, Inc.  1 Month LIBOR + 9.000%  10.000  * 1/20/2025   171,645 
 843,844   Mitchell International, Inc.  1 Month LIBOR + 3.250%  3.397  * 11/29/2024   809,272 
 450,000   Mitchell International, Inc.  1 Month LIBOR + 4.250%  4.750  * 11/29/2024   442,408 
 250,000   Navicure, Inc.  1 Month LIBOR + 4.000%  4.147  * 10/22/2026   244,949 
 53,000   Navicure, Inc.  1 Month LIBOR + 4.000%  4.750  * 10/22/2026   52,669 
 849,548   Quest Software US Holdings, Inc.  3 Month LIBOR + 4.250%  8.511  * 5/16/2025   834,329 
 250,000   Quest Software US Holdings, Inc.  3 Month LIBOR + 8.250%  4.511  * 5/18/2026   235,125 
 1,210,376   TIBCO Software, Inc.  1 Month LIBOR + 3.750%  3.900  * 6/30/2026   1,184,655 
 1,500,000   Ultimate Software Group, Inc.  1 Month LIBOR + 3.750%  3.897  * 5/4/2026   1,489,792 
                   7,917,626 
     SPECIALTY FINANCE - 0.4%               
 400,000   GT Polaris, Inc.  3 Month LIBOR + 4.000%  5.000  * 9/24/2027   397,750 
                     
     TECHNOLOGY HARDWARE - 0.9%               
 289,523   Global Tel*Link Corp.  1 Month LIBOR + 4.250%  4.397  * 11/28/2025   253,423 
 87,982   Global Tel*Link Corp.  1 Month LIBOR + 8.250%  8.397  * 11/30/2026   61,455 
 654,580   VeriFone Systems, Inc.  3 Month LIBOR + 4.000%  4.253  * 8/20/2025   588,507 
                   903,385 
     TECHNOLOGY SERVICES - 3.9%               
 500,000   Blackhawk Network Holdings, Inc.  1 Month LIBOR + 7.000%  7.188  * 6/15/2026   460,000 
 997,500   Dun & Bradstreet Corp.  1 Month LIBOR + 3.750%  3.895  * 2/6/2026   989,021 
 1,705,807   Refinitiv US Holdings, Inc.  1 Month LIBOR + 3.250%  3.397  * 10/1/2025   1,690,728 
 883,329   Verscend Holding Corp.  1 Month LIBOR + 4.500%  4.647  * 8/27/2025   877,477 
                   4,017,226 
     TELECOMMUNICATIONS - 3.1%               
 489,924   Altice France SA  1 Month LIBOR + 3.688%  3.840  * 1/31/2026   473,695 
 1,309,554   CenturyLink, Inc.  1 Month LIBOR + 2.500%  2.397  * 3/15/2027   1,261,035 
 1,500,000   Zayo Group Holdings, Inc.  1 Month LIBOR + 3.000%  3.147  * 3/9/2027   1,459,020 
                   3,193,750 

 

 

CATALYST FUNDS
CATALYST/CIFC FLOATING RATE INCOME FUND
PORTFOLIO OF INVESTMENTS (Unaudited) (Continued)
September 30, 2020

 

Principal      Variable Rate  Coupon Rate (%)   Maturity  Value 
     BANK LOANS - 90.7% (Continued)               
     TRANSPORTATION & LOGISTICS - 3.3%               
$393,750   American Airlines, Inc.  1 Month LIBOR + 2.000%  2.152  * 12/15/2023  $325,470 
 521,158   Atlantic Aviation FBO, Inc.  1 Month LIBOR + 3.750%  3.900  * 12/6/2025   511,170 
 831,093   Lineage Logistics LLC  1 Month LIBOR + 3.000%  4.000  * 2/27/2025   821,614 
 120,000   SkyMiles IP Ltd.  3 Month LIBOR + 3.750%  4.750  * 10/20/2027   121,029 
 297,486   Standard Aero Limited  3 Month LIBOR + 3.500%  3.720  * 4/6/2026   264,285 
 1,611,655   WestJet Airlines Ltd.  6 Month LIBOR + 3.000%  4.000  * 12/11/2026   1,404,735 
                   3,448,303 
     WHOLESALE - CONSUMER STAPLES - 0.9%               
 1,000,000   H-Food Holdings LLC  1 Month LIBOR + 3.688%  3.834  * 5/23/2025   975,000 
                     
     TOTAL BANK LOANS (Cost - $95,895,700)     94,646,918 
                     
     SHORT-TERM INVESTMENT - 6.2%       
     MONEY MARKET - 6.2%               
 6,421,101   First American Government Obligations Fund - Institutional Class 0.07%   6,421,101 
     TOTAL SHORT-TERM INVESTMENT (Cost - $6,421,101)       
                     
     TOTAL INVESTMENTS - 102.4% (Cost - 108,475,464)    $106,859,946 
     LIABILITIES LESS OTHER ASSETS - (2.4)%     (2,503,271)
     NET ASSETS - 100.0%            $104,356,675 

 

*Floating Rate, rate shown represents the rate at September 30, 2020.

 

#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, 2020, these securities amounted to $5,388,168 or 5.16% of net assets.

 

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

 

@Security has not settled. Interest rate will be set at settlement.

 

LLC - Limited Liability Company.

 

LP - Limited Partnership.

 

PLC - Public Limited Company.

 

 

CATALYST FUNDS
CATALYST/SMH HIGH INCOME FUND
PORTFOLIO OF INVESTMENTS (Unaudited)
September 30, 2020

 

Shares            Value 
     COMMON STOCK - 0.7%           
     OIL & GAS SERVICES & EQUIPMENT - 0.7%           
 17,102   PHI Group, Inc. ^#*        $119,714 
                 
     SPECIALTY FINANCE - 0.0%           
 3,588   Community Choice Financial, Inc. (a) ^#*         — 
                 
     TOTAL COMMON STOCK (Cost - $418,742)         119,714 
                 
Principal      Coupon Rate (%)  Maturity     
     CONVERTIBLE BONDS - 14.2%           
     ASSET MANAGEMENT - 3.9%           
$671,000   Prospect Capital Corp.  4.950  7/15/2022   678,662 
                 
     BIOTECH & PHARMA - 4.1%           
 649,000   PDL BioPharma, Inc.  2.750  12/1/2021   714,711 
                 
     ENGINEERING & CONSTRUCTION - 1.8%           
 308,000   Tutor Perini Corp.  2.875  6/15/2021   307,038 
                 
     REIT - 4.4%           
 769,000   Colony Capital, Inc.  5.000  4/15/2023   748,914 
                 
     TOTAL CONVERTIBLE BONDS - (Cost - $2,346,167)         2,449,325 
                 
     CORPORATE BONDS - 83.2%           
     APPAREL & TEXTILE PRODUCTS - 4.4%           
 797,000   Under Armour, Inc. ^^  3.250  6/15/2026   752,667 
                 
     ASSET MANAGEMENT - 2.1%           
 360,000   Ares Capital Corp.  3.250  7/15/2025   357,143 
                 
     AUTOMOTIVE - 9.2%           
 787,000   American Axle & Manufacturing, Inc. ^^  6.250  4/1/2025   778,898 
 791,000   Dana, Inc.  5.500  12/15/2024   808,798 
               1,587,696 
     CONSTRUCTION MATERIALS - 4.5%           
 748,000   US Concrete, Inc. ^^  6.375  6/1/2024   772,778 
                 
     HOME CONSTRUCTION - 7.9%           
 844,000   Beazer Homes USA, Inc. ^^  5.875  10/15/2027   856,133 
 465,000   TRI Pointe Group, Inc. ^^  5.875  6/15/2024   503,653 
               1,359,786 
     INTERNET MEDIA & SERVICES - 0.9%           
 155,000   Uber Technologies, Inc. (a)  8.000  11/1/2026   165,352 
                 
     MACHINERY - 3.4%           
 789,000   Titan International, Inc.  6.500  11/30/2023   593,056 
                 
     METALS & MINING - 5.4%           
 604,000   Coeur Mining, Inc.  5.875  6/1/2024   604,692 
 300,000   Hecla Mining Co.  7.250  2/15/2028   325,575 
               930,267 
     OIL & GAS PRODUCERS - 3.7%           
 750,000   Occidental Petroleum Corp. ^^  6.600  3/15/2046   647,344 
                 
     OIL & GAS SERVICES & EQUIPMENT - 0.8%           
 791,000   PHI, Inc. (a) ^#+  5.250  3/15/2021   — 
 1,017,000   Transocean, Inc.  6.800  3/15/2038   139,837 
               139,837 

 

 

CATALYST FUNDS
CATALYST/SMH HIGH INCOME FUND
PORTFOLIO OF INVESTMENTS (Unaudited) (Continued)
September 30, 2020

 

Principal      Coupon Rate (%)  Maturity  Value 
     CORPORATE BONDS - 83.2% (Continued)           
     REITS - 8.3%           
$382,000   SITE Centers Corp.  4.250  2/1/2026  $409,567 
 1,048,000   The GEO Group, Inc.  5.875  1/15/2022   1,018,336 
               1,427,903 
     RETAIL - DISCRETIONARY - 12.9%           
 670,000   Kohl’s Corp.  3.250  2/1/2023   670,290 
 1,270,000   L Brands, Inc.  6.750  7/1/2036   1,246,981 
 450,000   Nordstrom, Inc.  5.000  1/15/2044   320,775 
               2,238,046 
     SEMICONDUCTORS - 3.8%           
 588,000   Advanced Micro Devices, Inc.  7.500  8/15/2022   654,885 
                 
     SPECIALTY FINANCE - 4.3%           
 1,382,395   Community Choice Financial, Inc. (a)^ ~  10.750  12/15/2023   4,147 
 786,000   Enova International, Inc. (a)  8.500  9/15/2025   744,735 
               748,882 
     TECHNOLOGY HARDWARE - 7.1%           
 8,669,000   Energy Conversion Devices, Inc. (a) ^+#  —  Perpetual   — 
 1,281,000   Pitney Bowes, Inc.  4.625  3/15/2024   1,225,757 
               1,225,757 
     TRANSPORTATION & LOGISTICS - 4.5%           
 713,000   Bristow Group, Inc. ^^  7.750  12/15/2022   684,551 
 100,000   Southwest Airlines Co. ^^  3.000  11/15/2026   100,930 
               785,481 
                 
     TOTAL CORPORATE BONDS (Cost - $18,705,261)     14,386,880 
                 
Shares               
     WARRANT - 0.6%           
 14,310   PHI Group, Inc. ^ #*         100,170 
     TOTAL WARRANTS (Cost - $350,379)           
                 
     COLLATERAL FOR SECURITIES LOANED - 23.5%        
 4,071,405   Mount Vernon Prime Portfolio, 0.18% ++ **         4,071,405 
     TOTAL COLLATERAL FOR SECURITIES LOANED (Cost - $4,071,405)     
                 
     TOTAL INVESTMENTS - 122.2% (Cost - $25,891,954)    $21,127,494 
     LIABILITIES LESS OTHER ASSETS - (22.2)%         (3,836,404)
     NET ASSETS - 100.0%        $17,291,090 

 

^The security is illiquid; total illiquid securities represent 1.30% of net assets.

 

^^All or a portion of these securities are on loan. Total loaned securities had a value of $3,984,865 at September 30, 2020.

 

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

 

++Variable rate security. Interest rate is as of September 30, 2020.

 

~Pay in kind rate security.

 

*Non-Income Producing Security.

 

**Mutual Fund Series Trust’s securities lending policies and procedures require that the borrower: (i) deliver cash or U.S. Government securities as collateral with respect to each new loan of U.S. securities, equal to at least 102% of the value of the portfolio securities loaned, and (ii) at all times thereafter mark-to-market the collateral on a daily basis so that the market value of such collateral is at least 100% of the value of securities loaned. From time to time the collateral may not be 102% due to end of day market movement. The next business day additional collateral is obtained/received from the borrower to replenish/reestablish 102%.

 

#The value of this security has been determined in good faith under policies of the Board of Trustees. The total of these securities is $219,884 or 1.3% of net assets.

 

(a)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, 2020, these securities amounted to $914,234 or 5.30% of net assets.

 

 

CATALYST FUNDS
CATALYST/SMH TOTAL RETURN INCOME FUND
PORTFOLIO OF INVESTMENTS (Unaudited)
September 30, 2020

 

Shares      Value 
     BUSINESS DEVELOPMENT COMPANIES - 10.5%     
     ASSET MANAGEMENT - 10.5%     
 38,487   Apollo Investment Corp. ^^  $318,288 
 116,675   PennantPark Investment Corp.   372,193 
 126,900   Prospect Capital Corp. ^^   638,307 
 8,470   Solar Capital Ltd.   134,249 
     TOTAL BUSINESS DEVELOPMENT COMPANIES (Cost - $4,018,248)   1,463,037 
           
     COMMON STOCK - 20.5%     
     ASSET MANAGEMENT - 7.1%     
 12,500   Pershing Square Tontine Holdings Ltd. *   283,625 
 34,803   Sculptor Capital Management, Inc.   408,587 
 26,600   SuRo Capital Corp. ^^   288,344 
         980,556 
     FOOD - 1.1%     
 5,284   Kraft Heinz Co.   158,256 
           
     LEISURE FACILITIES & SERVICES - 1.5%     
 36,174   FAT Brands, Inc. * ^^   204,021 
           
     OIL & GAS PRODUCERS - 2.6%     
 1,491   Chevron Corp.   107,352 
 2,177   Exxon Mobile Corp.   74,737 
 6,282   Marathon Petroleum Corp.   184,314 
         366,403 
     SPECIALTY FINANCE - 0.0%     
 4,515   Community Choice Financial, Inc. (a) ^#*   — 
           
     TECHNOLOGY HARDWARE - 5.4%     
 8,890   HP, Inc.   168,821 
 94,307   Pitney Bowes, Inc. ^^   500,770 
 4,612   Xerox Holdings Corp.   86,567 
         756,158 
     TECHNOLOGY SERVICES - 1.9%     
 2,161   International Business Machines Corp.   262,929 
           
     TELECOMMUNICATIONS - 0.9%     
 2,050   Verizon Communications, Inc.   121,955 
           
     TOTAL COMMON STOCK (Cost - $3,669,833)   2,850,278 
           
     PARTNERSHIP SHARES - 4.2%     
     ASSET MANAGEMENT - 4.2%     
 30,291   Compass Diversified Holdings ^^     
     TOTAL PARTNERSHIP SHARES (Cost - $528,955)   577,346 
           
     REITS - 4.4%     
     REITS - 4.4%     
 10,370   Iron Mountain, Inc. ^^   277,812 
 19,300   Jernigan Capital, Inc. ^^   330,802 
     TOTAL REITS (Cost - $603,926)   608,614 
           
     EXCHANGE TRADED FUND - 3.2%     
     EQUITY FUND - 3.2%     
 16,895   iShares Mortgage Real Estate ETF   435,215 
     TOTAL EXCHANGE TRADED FUND (Cost - $857,029)     

 

 

CATALYST FUNDS
CATALYST/SMH TOTAL RETURN INCOME FUND
PORTFOLIO OF INVESTMENTS (Unaudited) (Continued)
September 30, 2020

 

Principal      Coupon Rate (%)  Maturity  Value 
     CONVERTIBLE BONDS - 7.9%           
     BIOTECH & PHARMA - 3.9%           
$486,000   PDL BioPharma, Inc. ^^  2.750  12/1/2021   535,208 
                 
     SPECIALTY FINANCE - 4.2%           
 717,000   EZCORP, Inc.  2.375  5/1/2025   566,006 
                 
     TOTAL CONVERTIBLE BONDS (Cost - $1,116,988)     1,101,214 
                 
     CORPORATE BONDS - 46.3%           
     APPAREL & TEXTILE PRODUCTS - 2.7%           
$397,000   Under Armour, Inc. ^^  3.250  6/15/2026  $374,917 
                 
     AUTOMOTIVE - 4.0%           
 554,000   American Axle & Manufacturing, Inc. ^^  6.250  4/1/2025   548,297 
                 
     CONSTRUCTION MATERIALS - 4.0%           
 540,000   US Concrete, Inc. ^^  6.375  6/1/2024   557,888 
                 
     HOME CONSTRUCTION - 4.6%           
 635,000   Beazer Homes USA, Inc.  5.875  10/15/2027   644,128 
                 
     INTERNET MEDIA & SERVICES - 2.6%           
 332,000   Uber Technologies, Inc. (a)  8.000  11/1/2026   354,174 
                 
     MACHINERY - 2.2%           
 415,000   Titan International, Inc.  6.500  11/30/2023   311,937 
                 
     OIL & GAS PRODUCERS - 2.2%           
 350,000   Occidental Petroleum Corp. ^^  6.600  3/15/2046   302,094 
                 
     OIL & GAS SERVICES & EQUIPMENT - 0.9%           
 953,000   Transocean, Inc.  6.800  3/15/2038   131,038 
                 
     REIT - 2.5%           
 350,000   EPR Properties  5.250  7/15/2023   350,311 
                 
     RETAIL - DISCRETIONARY - 7.4%           
 274,000   Kohl’s Corp.  5.550  7/17/2045   252,784 
 789,000   L Brands, Inc.  6.750  7/1/2036   774,699 
               1,027,483 
     SEMICONDUCTORS - 5.9%           
 731,000   Advanced Micro Devices, Inc.  7.500  8/15/2022   814,151 
                 
     SPECIALTY FINANCE - 3.9%           
 1,739,345   Community Choice Financial, Inc. (a)^ ~  10.750  12/15/2023   5,218 
 566,000   Enova International, Inc. (a)  8.500  9/15/2025   536,285 
               541,503 
     TECHNOLOGY HARDWARE - 0.0%           
 5,543,000   Energy Conversion Devices, Inc. (a) ^+#  —  Perpetual   — 
                 
     TRANSPORTATION & LOGISTICS - 3.4%           
 461,000   Southwest Airlines Co.  3.000  11/15/2026   465,286 
                 
     TOTAL CORPORATE BONDS (Cost - $10,063,294)     6,423,207 

 

 

CATALYST FUNDS
CATALYST/SMH TOTAL RETURN INCOME FUND
PORTFOLIO OF INVESTMENTS (Unaudited) (Continued)
CATALYST FUNDS

 

Shares      Value 
     WARRANT - 0.1%     
     ASSET MANAGEMENT - 0.1%     
 1,389   Pershing Square Tontine Holdings Ltd.   9,959 
     TOTAL WARRANTS (Cost - $8,509)     
           
     COLLATERAL FOR SECURITIES LOANED - 30.2%     
 4,195,921   Mount Vernon Prime Portfolio, 0.18% ++ **   4,195,921 
     TOTAL COLLATERAL FOR SECURITIES LOANED (Cost - $4,195,921)     
           
     TOTAL INVESTMENTS - 127.3% (Cost - $25,062,703)  $17,664,791 
     LIABILITIES LESS OTHER ASSETS - (27.3)%   (3,789,387)
     NET ASSETS - 100.0%  $13,875,404 

 

ETF - Exchange Traded Fund

 

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

 

^^All or a portion of these securities are on loan. Total loaned securities had a value of $3,988,656 at September 30, 2020.

 

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

 

++Variable rate security. Interest rate is as of September 30, 2020.

 

*Non-Income Producing Security.

 

**The Mutual Fund Series Trust’s securities lending policies and procedures require that the borrower: (i) deliver cash or U.S. Government securities as collateral with respect to each new loan of U.S. securities, equal to at least 102% of the value of the portfolio securities loaned, and (ii) at all times thereafter mark-to-market the collateral on a daily basis so that the market value of such collateral is at least 100% of the value of securities loaned. From time to time the collateral may not be 102% due to end of day market movement. The next business day additional collateral is obtained/received from the borrower to replenish/reestablish 102%.

 

~Pay in kind rate 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.

 

(a)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, 2020, these securities amounted to $895,677 or 6.46% of net assets.

 

 

CATALYST FUNDS
CATALYST/STONE BEACH INCOME OPPORTUNITY FUND
PORTFOLIO OF INVESTMENTS (Unaudited)
September 30, 2020

 

Shares                Value 
     REITS - 2.1%               
     SPECIALTY FINANCE - 2.1%       
 34,000   AGNC Investment Corp.    $472,940 
 30,000   Annaly Capital Management, Inc. +     213,600 
     TOTAL REITS (Cost - $703,249)     686,540 
                     
     EXCHANGE TRADED FUNDS - 4.1%       
     EQUITY FUND - 1.1%       
 15,000   iShares Mortgage Real Estate ETF +     386,400 
                     
     FIXED INCOME FUND - 3.0%               
 27,000   iShares Preferred & Income Securities ETF     984,150 
                     
     TOTAL EXCHANGE TRADED FUNDS (Cost - $1,369,701)     1,370,550 
                     
        Variable Rate  Coupon Rate (%)   Maturity     
     PREFERRED STOCK - 2.4%               
     COMMERCIAL SUPPORT SERVICES - 0.6%               
 8,000   Franchise Group, Inc.     7.500   Perpetual   199,280 
                     
     REIT - 0.3%               
 4,400   Public Storage     4.750   Perpetual   120,164 
                     
     SPECIALTY FINANCE - 1.5%               
 25,981   New Residential Investment Corp.  (-1xlibor03m)+497bps  6.375  * Perpetual   489,742 
                     
     TOTAL PREFERRED STOCK (Cost - $750,532)             809,186 
                     
     ASSET BACKED SECURITIES - 3.2%               
     NON AGENCY CMBS (a) - 0.1%               
$50,000   GS Mortgage Securities Trust 2017-GS5     3.218   3/10/2050   50,780 
                     
     CMO (a) - 3.1%               
 280,497   Fannie Mae REMIC Trust 2004-W4 PO     —   6/25/2034   273,236 
 505,366   Fannie Mae REMIC Trust 2004-W10 PO     —   8/25/2034   497,526 
 103,243   Fannie Mae REMIC Trust 2005-W2 PO     —   5/25/2035   102,758 
 140,233   Fannie Mae Trust 2005-W3 2AF  (-1xlibor01m)+22bps  0.368  * 3/25/2045   139,831 
                   1,013,351 
                     
     TOTAL ASSET BACKED SECURITIES (Cost - $977,533)             1,064,131 
                     
     COLLATERALIZED MORTGAGE OBLIGATIONS - 52.2%               
     AGENCY CMBS (a) - 3.2%               
 45   Freddie Mac Multifamily Structured Pass Through Certificates K010 A2     4.333  ** 10/25/2020   45 
 19,580   Freddie Mac Multifamily Structured Pass Through Certificates K095 A1     2.630   11/25/2028   21,435 
 383,000   FREMF 2015-K50 Mortgage Trust #     3.908  ** 10/25/2048   420,279 
 273,660   Government National Mortgage Association 2007-15 Z     4.297  ** 3/16/2047   290,233 
 73,641   Government National Mortgage Association 2013-32 A     1.900   6/16/2036   73,839 
 175,632   Government National Mortgage Association 2014-143 AB     2.500   3/16/2040   177,231 
 60,392   Government National Mortgage Association 2019-2A     3.150   8/16/2051   62,861 
                   1,045,923 
     CMO (a) - 49.0%               
 15,919   Fannie Mae Interest Strip 153 2     7.500   7/25/2022   792 
 51,092   Fannie Mae Interest Strip 264 2     8.000   7/25/2024   6,008 
 75,950   Fannie Mae Interest Strip 274 2     8.500   10/25/2025   9,927 
 582,842   Fannie Mae Interest Strip 359 18     6.000   7/25/2035   128,718 
 1,655,503   Fannie Mae Interest Strip 362 7     5.000  ** 8/25/2035   347,558 
 12,873   Fannie Mae Interest Strip 383 89     7.500  ** 9/25/2037   3,195 
 286,722   Fannie Mae Interest Strip 385 6     5.000   1/25/2038   49,953 
 537,821   Fannie Mae Interest Strip 402 7     4.500   11/25/2039   91,435 
 283,607   Fannie Mae Interest Strip 407 8     5.000   3/25/2041   56,606 
 832,030   Fannie Mae Interest Strip 408 C3     5.000   11/25/2040   161,080 
 878,224   Fannie Mae Interest Strip 409 C22     4.500   11/25/2039   132,844 
 925,934   Fannie Mae REMIC Trust 2004-W5 S1  (-1xlibor01m)+705bps  6.902  * 2/25/2047   231,186 
 17,244,964   Fannie Mae REMICS 2002-33 IO     0.282  ** 6/25/2028   160,088 
 91,788   Fannie Mae REMICS 2002-40 SK  (-1xlibor01m)+800bps  7.852  * 9/25/2023   9,054 
 297,242   Fannie Mae REMICS 2002-8 SC  (-1xlibor01m)+775bps  5.264  * 3/25/2032   66,760 
 418,181   Fannie Mae REMICS 2002-90 DS  (-1xlibor01m)+700bps  6.852  * 9/25/2032   89,573 
 655,674   Fannie Mae REMICS 2003-2 S  (-1xlibor01m)+775bps  7.602  * 2/25/2033   163,509 
 125,574   Fannie Mae REMICS 2003-33 IA     6.500   5/25/2033   27,410 
 1,191,924   Fannie Mae REMICS 2003-48 SI  (-1xlibor01m)+825bps  8.102  * 6/25/2033   318,517 
 218,840   Fannie Mae REMICS 2004-17 ST  (-1xlibor01m)+760bps  7.452  * 4/25/2034   55,747 
 16,229   Fannie Mae REMICS 2004-51 SY  (-1xlibor01m)+1424bps  13.944  * 7/25/2034   20,788 
 609,924   Fannie Mae REMICS 2004-70 XJ     5.000  ** 10/25/2034   102,245 
 602,323   Fannie Mae REMICS 2004-72 BS  (-1xlibor01m)+650bps  6.352  * 9/25/2034   105,149 
 807,770   Fannie Mae REMICS 2005-89 S  (-1xlibor01m)+670bps  6.552  * 10/25/2035   160,392 
 577,478   Fannie Mae REMICS 2006-109 SG  (-1xlibor01m)+663bps  6.482  * 11/25/2036   139,675 
 360,760   Fannie Mae REMICS 2007-44 SA  (-1xlibor01m)+678bps  6.632  * 5/25/2037   82,940 
 369,224   Fannie Mae REMICS 2007-60 AX  (-1xlibor01m)+715bps  7.002  * 7/25/2037   95,143 
 198,012   Fannie Mae REMICS 2007-75 ID  (-1xlibor01m)+587bps  5.722  * 8/25/2037   41,426 
 908,615   Fannie Mae REMICS 2010-58 SA  (-1xlibor01m)+645bps  6.302  * 6/25/2040   194,533 
 270,177   Fannie Mae REMICS 2011-127 TE  (-90xlibor01m)+53550bps  4.500  * 12/25/2041   53,379 
 82,489   Fannie Mae REMICS 2012-106 SA  (-1xlibor01m)+616bps  6.012  * 10/25/2042   17,297 

 

 

CATALYST FUNDS
CATALYST/STONE BEACH INCOME OPPORTUNITY FUND
PORTFOLIO OF INVESTMENTS (Unaudited) (Continued)
September 30, 2020

 

Principal      Variable Rate  Coupon Rate (%)   Maturity  Value 
     COLLATERALIZED MORTGAGE OBLIGATIONS - 52.2% (Continued)               
     CMO (a) - 49.0% (Continued)               
 50,805   Fannie Mae REMICS 2012-52 NB     3.500   12/25/2039  $51,289 
 1,504,625   Fannie Mae REMICS 2012-98 WS  (-1xlibor01m)+655bps  6.402  * 9/25/2042   332,868 
 427,843   Fannie Mae REMICS 2013-10 JS  (-1xlibor01m)+615bps  6.002  * 2/25/2043   78,269 
 27,191   Fannie Mae REMICS 2013-13 YB     2.500   11/25/2042   27,478 
 3,626,769   Fannie Mae REMICS 2013-3 IO     3.000   2/25/2033   382,446 
 755,819   Fannie Mae REMICS 2013-80 HS  (-1xlibor01m)+1300bps  12.407  * 7/25/2043   983,900 
 3,881,674   Fannie Mae REMICS 2016-32 IG  (-1xlibor01m)+180bps  1.707  * 1/25/2043   172,516 
 348,097   Fannie Mae REMICS 2016-32 IG  (-1xlibor01m)+610bps  5.952  * 5/25/2039   68,679 
 128,152   Fannie Mae REMICS 2018-75 DA     4.000   11/25/2042   128,507 
 1,367,156   Fannie Mae REMICS 2019-68 IO  (-1xlibor01m)+400bps  3.852  * 6/25/2043   205,757 
 2,315,323   Fannie Mae Trust 2003-W6 5S  (-1xlibor01m)+760bps  7.452  * 9/25/2042   539,053 
 209,027   Freddie Mac REMICS 2385 SB  (-1xlibor01m)+787bps  7.718  * 5/15/2029   39,362 
 321,121   Freddie Mac REMICS 2470 SR  (-1xlibor01m)+800bps  6.235  * 12/15/2031   72,643 
 498,262   Freddie Mac REMICS 2479 SA  (-1xlibor01m)+810bps  7.948  * 8/15/2032   79,992 
 749,961   Freddie Mac REMICS 2530 QI  (-1xlibor01m)+700bps  6.848  * 1/15/2032   169,143 
 51,438   Freddie Mac REMICS 2611 SQ  (-1xlibor01m)+1300bps  12.695  * 5/15/2033   70,394 
 47,429   Freddie Mac REMICS 2795 SY  (-1xlibor01m)+1440bps  14.034  * 12/15/2032   64,940 
 145,341   Freddie Mac REMICS 2979 BS  (-1xlibor01m)+2427bps  23.715  * 5/15/2035   249,890 
 88,536   Freddie Mac REMICS 3034 LA     5.000   9/15/2035   97,723 
 1,422,412   Freddie Mac REMICS 3055 CS  (-1xlibor01m)+659bps  6.438  * 10/15/2035   338,971 
 724,865   Freddie Mac REMICS 3147 LS  (-1xlibor01m)+665bps  6.498  * 4/15/2036   172,600 
 708,043   Freddie Mac REMICS 3218 AS  (-1xlibor01m)+658bps  6.428  * 9/15/2036   168,115 
 182,000   Freddie Mac REMICS 3237 CE     5.500   11/15/2036   232,520 
 625,041   Freddie Mac REMICS 3347 SY  (-1xlibor01m)+650bps  6.348  * 2/15/2036   141,606 
 1,088,726   Freddie Mac REMICS 3365 SC  (-1xlibor01m)+600bps  5.848  * 2/15/2036   232,158 
 238,436   Freddie Mac REMICS 3415 IP     6.500   12/15/2037   51,215 
 571,738   Freddie Mac REMICS 3424 XI  (-1xlibor01m)+657bps  6.418  * 5/15/2036   129,128 
 1,542,251   Freddie Mac REMICS 3428 SL  (-1xlibor01m)+606bps  5.908  * 7/15/2036   319,024 
 766,184   Freddie Mac REMICS 3457 SB  (-1xlibor01m)+595bps  5.798  * 12/15/2036   154,258 
 375,351   Freddie Mac REMICS 3744 SC  (-1xlibor01m)+980bps  9.495  * 10/15/2040   509,644 
 123,010   Freddie Mac REMICS 3772 SA  (-1xlibor01m)+1491bps  14.453  * 12/15/2040   233,513 
 201,844   Freddie Mac REMICS 3820 HI     4.500   5/15/2040   12,987 
 261,573   Freddie Mac REMICS 3828 SW  (-1xlibor01m)+1320bps  12.743  * 2/15/2041   431,586 
 139,411   Freddie Mac REMICS 3967 AI     5.000   3/15/2041   12,997 
 1,015,557   Freddie Mac REMICS 3984 QS  (-1xlibor01m)+660bps  6.448  * 12/15/2039   62,612 
 350,772   Freddie Mac REMICS 3997 SK  (-1xlibor01m)+660bps  6.448  * 11/15/2041   47,267 
 305,100   Freddie Mac REMICS 4001 MY     4.000   8/15/2040   23,879 
 440,440   Freddie Mac REMICS 4238 YX  (-1xlibor01m)+1297bps  12.470  * 8/15/2043   615,956 
 194,661   Freddie Mac REMICS 4437 AO     —   2/15/2045   194,115 
 3,106,828   Freddie Mac REMICS 4603 KI  (-1xlibor01m)+130bps  1.228  * 1/15/2043   182,892 
 9,883,758   Freddie Mac REMICS 4605 KI  (-1xlibor01m)+117bps  1.109  * 8/15/2043   403,343 
 218,105   Freddie Mac REMICS 4711 CI     3.500   11/15/2042   1,276 
 1,564,011   Freddie Mac REMICS 4776 XT     4.000   7/15/2042   1,604,788 
 193,855   Freddie Mac REMICS 4784 EA     4.500   11/15/2042   195,313 
 718,597   Freddie Mac REMICS 4784 ED     4.000   6/15/2044   730,313 
 226,926   Freddie Mac REMICS 4794 DA     4.500   8/15/2044   229,680 
 347,862   Freddie Mac REMICS 4881 PB     3.000   1/15/2047   355,915 
 149,588   Freddie Mac Strips 183 IO     7.000   4/1/2027   21,153 
 1,330,341   Freddie Mac Strips 240 S16  (-1xlibor01m)+650bps  6.348  * 7/15/2036   309,503 
 864,722   Freddie Mac Strips 240 S30  (-1xlibor01m)+770bps  7.548  * 7/15/2036   226,673 
 444,764   Freddie Mac Strips 242 S54  (-1xlibor01m)+860bps  8.448  * 11/15/2036   132,449 
 185,992   Freddie Mac Strips 244 S14  (-1xlibor01m)+660bps  6.448  * 12/15/2036   38,287 
 85,023   Government National Mortgage Association 2004-1 TE     5.000   6/20/2033   93,303 
 188,576   Government National Mortgage Association 2013-22 GA     2.500   10/20/2041   192,354 
 55,925   Government National Mortgage Association 2014-131 BW     2.868  ** 5/20/2041   58,508 
 73,702   Government National Mortgage Association 2015-10 SL  (-1xlibor01m)+410bps  3.944  * 2/20/2042   76,865 
 2,248,257   Government National Mortgage Association 2016-17 GI  (-1xlibor01m)+263bps  2.488  * 8/20/2045   277,053 
                   16,151,595 
                     
     TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost - $15,763,232)   17,197,518 
                     
     U.S. GOVERNMENT & AGENCIES - 23.2%       
     AGENCY FIXED RATE (a) - 22.7%               
 6,000,000   Fannie Mae or Freddie Mac 2 10/20     2.000   4/25/2050   6,203,906 
 4,993   Fannie Mae Pool AM6381     3.290   8/1/2026   5,603 
 1,095,144   Freddie Mac Gold Pool G60687     8.500   5/1/2031   1,266,878 
                   7,476,387 
     AGENCY MBS OTHER (a) - 0.5%               
 130,050   Fannie Mae Pool AM2788     2.800   3/1/2023   135,311 
 31,445   Fannie Mae Pool FN0003     4.297  ** 1/1/2021   31,437 
                   166,748 
                     
     TOTAL U.S. GOVERNMENT & AGENCIES (Cost - $7,616,002)     7,643,135 

 

 

CATALYST FUNDS
CATALYST/STONE BEACH INCOME OPPORTUNITY FUND
PORTFOLIO OF INVESTMENTS (Unaudited) (Continued)
September 30, 2020

 

Contracts (b)      Counterparty  Notional   Expiration Date  Exercise Price  Value 
     PURCHASED OPTIONS - 0.2% ^                   
     PUT OPTIONS PURCHASED - 0.2%                   
 307   Annaly Capital Management, Inc.  Interactive Brokers   245,600   10/19/2020  8.00  $27,323 
 150   iShares Mortgage Real Estate  Interactive Brokers   405,000   10/19/2020  27.00   22,500 
     TOTAL PUT OPTIONS PURCHASED (Cost - $47,578)     49,823 
                         
Shares                       
     SHORT-TERM INVESTMENT - 3.3%       
     MONEY MARKET FUND - 3.3%       
 1,077,357   Fidelity Investments Money Market Funds - Institutional Class, 0.01% *     1,077,357 
     TOTAL SHORT TERM INVESTMENT (Cost $1,077,357)       
                         
     TOTAL INVESTMENTS - 90.7% (Cost - $28,305,184)    $29,898,240 
     OTHER ASSETS LESS LIABILITIES - 9.3%     3,063,116 
     NET ASSETS - 100.0%                $32,961,356 
                         
                      Unrealized 
Short Contracts      Counterparty  Notional Amount   Maturity     Depreciation 
     OPEN SHORT FUTURES CONTRACTS - (0.0)%                   
 24   US 5 Year Note (CBT)  Wedbush  $3,024,744   December-20      (5,994)
 14   US 10 Year Note (CBT)  Wedbush   1,953,434   December-20      (8,809)
     NET UNREALIZED DEPRECIATION FROM OPEN SHORT FUTURE CONTRACTS     (14,803)
                         
Contracts (b)      Counterparty  Notional   Expiration Date  Exercise Price  Value 
     WRITTEN OPTIONS - 0.0% ^          
     CALL OPTIONS WRITTEN - 0.0%       
 2,216   Annaly Capital Management, Inc.  Interactive Brokers   1,772,800   10/19/2020  8.00   2,216 
 152   iShares Mortgage Real Estate  Interactive Brokers   410,400   10/19/2020  27.00   3,496 
     TOTAL CALL OPTIONS WRITTEN (Premiums Received - $10,659)     5,712 

 

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

 

*Floating or variable rate security; rate shown represents the rate at September 30, 2020.

 

**Variable or floating rate security, the interest rate of which adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets.

 

^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, 2020, these securities amounted to $420,279 or 1.28% of net assets.

 

ETF - Exchange Traded Fund.

 

(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)Each contract is equivalent to one futures contract.

 

 

CATALYST FUNDS
CATALYST/EXCEED DEFINED SHIELD FUND
PORTFOLIO OF INVESTMENTS (Unaudited)
September 30, 2020

 

Shares            Value 
     EXCHANGE TRADED FUNDS - 49.7%           
 22,000   iShares 0-5 Year Investment Grade Corporate Bond ETF        $1,146,640 
 140,744   iShares Short-Term Corporate Bond ETF         7,728,253 
 41,948   JPMorgan Ultra-Short Income ETF         2,130,749 
 214,073   PGIM Ultra Short Bond ETF         10,686,524 
 94,990   Vanguard Short-Term Corporate Bond ETF         7,869,921 
     TOTAL EXCHANGE TRADED FUNDS (Cost - $29,315,578)     29,562,087 
                 
Principal      Coupon Rate (%)  Maturity     
     CORPORATE BONDS - 42.0%           
     ADVERTISING - 0.7%           
$400,000   Interpublic Group of Cos., Inc.  3.750  10/1/2021   412,774 
                 
     AEROSPACE/DEFENSE - 1.8%           
 750,000   Northrop Grumman Corp.  3.500  3/15/2021   761,081 
 300,000   Textron, Inc.  3.650  3/1/2021   303,615 
               1,064,696 
     AUTOMOTIVE - 1.3%           
 500,000   Ford Motor Credit Co. LLC  3.470  4/5/2021   500,312 
 250,000   General Motors Financial Co., Inc.  3.700  11/24/2020   250,372 
               750,684 
     BANKS - 14.4%           
 250,000   Bank of America Corp. ^  2.738  1/23/2022   251,783 
 350,000   Bank of Montreal  2.900  3/26/2022   363,256 
 250,000   Barclays Bank PLC  2.650  1/11/2021   251,029 
 600,000   Citigroup, Inc.  2.700  3/30/2021   607,152 
 250,000   Citigroup, Inc.  2.900  12/8/2021   256,882 
 250,000   Citizens Bank NA  2.250  10/30/2020   250,108 
 400,000   Citizens Bank NA  2.550  5/13/2021   404,757 
 250,000   Credit Agricole SA  3.375  1/10/2022   258,301 
 650,000   Credit Suisse Group Funding Guernsey Ltd.  3.125  12/10/2020   653,411 
 400,000   Fifth Third Bank NA  2.250  6/14/2021   404,876 
 250,000   Huntington Bancshares, Inc.  7.000  12/15/2020   253,317 
 350,000   ING Groep NV  3.150  3/29/2022   363,238 
 500,000   Lloyds Banking Group PLC  3.000  1/11/2022   514,651 
 300,000   Mitsubishi UFJ Financial Group, Inc.  2.190  9/13/2021   305,304 
 250,000   Mitsubishi UFJ Financial Group, Inc.  3.218  3/7/2022   259,513 
 600,000   MUFG Americas Holdings Corp.  3.500  6/18/2022   629,077 
 400,000   Santander UK Group Holdings PLC  3.125  1/8/2021   402,896 
 100,000   Skandinaviska Enskilda Banken AB  1.875  9/13/2021   101,531 
 250,000   Societe Generale SA  5.200  4/15/2021   256,758 
 500,000   Sumitomo Mitsui Financial Group, Inc.  2.442  10/19/2021   510,989 
 300,000   Truist Bank ^  3.525  10/26/2021   300,612 
 400,000   Truist Financial Corp.  2.150  2/1/2021   401,892 
 300,000   Truist Financial Corp.  2.700  1/27/2022   308,891 
 250,000   Wells Fargo & Co.  3.000  1/22/2021   252,144 
               8,562,368 
     BEVERAGES - 1.1%           
 50,000   Molson Coors Beverage Co.  2.100  7/15/2021   50,609 
 350,000   Molson Coors Beverage Co.  3.500  5/1/2022   363,977 
 250,000   Pernod Ricard SA  5.750  4/7/2021   256,810 
               671,396 
     BIOTECH & PHARMACEUTICALS - 1.6%           
 603,000   AbbVie, Inc.  3.375  11/14/2021   623,324 
 300,000   GlaxoSmithKline Capital PLC  3.125  5/14/2021   305,167 
               928,491 
     CHEMICALS - 1.4%           
 500,000   Eastman Chemical Co.  4.500  1/15/2021   500,720 
 325,000   Sherwin-Williams Co.  4.200  1/15/2022   337,318 
               838,038 
     COMMERCIAL SUPPORT SERVICES - 0.4%           
 250,000   Block Financial LLC  4.125  10/1/2020   250,000 
                 
     E-COMMERCE DISCRETIONARY - 0.7%           
 425,000   eBay, Inc.  3.800  3/9/2022   444,491 
                 
     ELECTRIC UTILITIES - 2.1%           
 250,000   Berkshire Hathaway Energy Co.  2.375  1/15/2021   251,514 
 600,000   NV Energy, Inc.  6.250  11/15/2020   604,274 
 400,000   Southern Co.  2.350  7/1/2021   405,343 
               1,261,131 
     ELECTRICAL EQUIPMENT - 0.9%           
 250,000   Roper Technologies, Inc.  3.000  12/15/2020   250,762 
 300,000   Tyco Electronics Group SA  4.875  1/15/2021   303,628 
               554,390 
     ENTERTAINMENT CONTENT - 0.1%           
 50,000   Electronic Arts, Inc.  3.700  3/1/2021   50,544 

 

 

CATALYST FUNDS
CATALYST/EXCEED DEFINED SHIELD FUND
PORTFOLIO OF INVESTMENTS (Unaudited) (Continued)
September 30, 2020

 

Principal      Coupon Rate (%)  Maturity  Value 
     CORPORATE BONDS (Continued) - 42.0%           
     HEALTH CARE FACILITIES & SERVICES - 1.5%           
$150,000   CVS Health Corp.  2.125  6/1/2021  $151,594 
 400,000   Express Scripts Holding Co.  2.600  11/30/2020   401,420 
 100,000   Laboratory Corp of America Holdings  3.200  2/1/2022   103,493 
 250,000   Quest Diagnostics, Inc.  4.700  4/1/2021   255,215 
               911,722 
     INSTITUTIONAL FINANCIAL SERVICES - 1.6%           
 230,000   Goldman Sachs Group, Inc.  2.625  4/25/2021   232,489 
 250,000   Goldman Sachs Group, Inc.  5.750  1/24/2022   267,163 
 200,000   Morgan Stanley  5.750  1/25/2021   203,437 
 250,000   Morgan Stanley  5.500  7/28/2021   260,527 
               963,616 
     INSURANCE - 1.7%           
 250,000   American International Group, Inc.  6.400  12/15/2020   253,043 
 300,000   Lincoln National Corp.  4.200  3/15/2022   317,274 
 400,000   Progressive Corp.  3.750  8/23/2021   412,399 
               982,716 
     LEISURE FACILITIES & SERVICES - 0.4%           
 250,000   Marriott International, Inc.  3.125  10/15/2021   253,460 
                 
     MACHINERY - 2.3%           
 250,000   Caterpillar Financial Services Corp.  1.700  8/9/2021   253,231 
 250,000   John Deere Capital Corp.  3.200  1/10/2022   259,205 
 350,000   John Deere Capital Corp.  2.950  4/1/2022   363,797 
 200,000   Stanley Black & Decker, Inc.  3.400  12/1/2021   205,436 
 250,000   Xylem, Inc.  4.875  10/1/2021   261,024 
               1,342,693 
     MEDICAL EQUIPMENT & DEVICES - 1.3%           
 250,000   Baxter International, Inc.  1.700  8/15/2021   252,612 
 500,000   Becton Dickinson and Co.  3.125  11/8/2021   514,002 
               766,614 
     OIL & GAS PRODUCERS - 1.4%           
 500,000   BP Capital Markets PLC  4.500  10/1/2020   500,000 
 300,000   Williams Cos., Inc.  7.875  9/1/2021   319,887 
               819,887 
     SEMICONDUCTORS - 0.1%           
 50,000   Lam Research Corp.  2.800  6/15/2021   50,780 
                 
     SPECIALTY FINANCE - 2.8%           
 500,000   Ally Financial, Inc.  4.250  4/15/2021   508,593 
 250,000   American Express Co.  3.000  2/22/2021   252,098 
 205,000   American Express Co.  3.375  5/17/2021   208,361 
 400,000   Capital One Financial Corp.  3.450  4/30/2021   406,451 
 300,000   Capital One Financial Corp.  4.750  7/15/2021   310,476 
               1,685,979 
     TECHNOLOGY HARDWARE - 0.6%           
 375,000   Hewlett Packard Enterprise Co.  3.500  10/5/2021   385,742 
                 
     TECHNOLOGY SERVICES - 0.7%           
 400,000   Equifax, Inc.  3.600  8/15/2021   410,797 
                 
     TRANSPORTATION & LOGISTICS - 1.1%           
 250,000   Delta Air Lines, Inc.  2.600  12/4/2020   250,335 
 400,000   FedEx Corp.  3.400  1/14/2022   414,794 
               665,129 
                 
     TOTAL CORPORATE BONDS (Cost - $24,771,681)         25,028,138 

 

 

Contracts (a)      Counterparty  Notional Value   Expiration Date - Exercise Price    
     OPTIONS PURCHASED - 12.7% *                
     CALL OPTIONS PURCHASED - 8.2% *                
 18   SPDR S&P 500 ETF Trust  Interactive Brokers  $581,400   10/16/2020 - $323.00  $25,056 
 43   SPDR S&P 500 ETF Trust  Interactive Brokers   1,397,500   10/16/2020 - $325.00   53,879 
 35   SPDR S&P 500 ETF Trust  Interactive Brokers   1,218,000   10/16/2020 - $348.00   4,375 
 17   SPDR S&P 500 ETF Trust  Interactive Brokers   605,200   10/16/2020 - $356.00   680 
 6   SPDR S&P 500 ETF Trust  Interactive Brokers   184,200   11/20/2020 - $307.00   19,470 
 68   SPDR S&P 500 ETF Trust  Interactive Brokers   2,176,000   11/20/2020 - $320.00   158,236 
 60   SPDR S&P 500 ETF Trust  Interactive Brokers   1,938,000   11/20/2020 - $323.00   135,420 
 10   SPDR S&P 500 ETF Trust  Interactive Brokers   324,000   11/20/2020 - $324.00   20,180 
 29   SPDR S&P 500 ETF Trust  Interactive Brokers   913,500   12/18/2020 - $315.00   85,202 
 47   SPDR S&P 500 ETF Trust  Interactive Brokers   1,536,900   12/18/2020 - $327.00   103,870 
 57   SPDR S&P 500 ETF Trust  Interactive Brokers   1,920,900   12/18/2020 - $337.00   85,386 
 61   SPDR S&P 500 ETF Trust  Interactive Brokers   2,122,800   12/18/2020 - $348.00   55,632 
 133   SPDR S&P 500 ETF Trust  Interactive Brokers   4,256,000   1/15/2021 - $320.00   388,094 
 88   SPDR S&P 500 ETF Trust  Interactive Brokers   2,842,400   1/15/2021 - $323.00   237,952 

 

 

CATALYST FUNDS
CATALYST/EXCEED DEFINED SHIELD FUND
PORTFOLIO OF INVESTMENTS (Unaudited) (Continued)
September 30, 2020

 

Contracts (a)      Counterparty  Notional Value   Expiration Date - Exercise Price  Value 
     OPTIONS PURCHASED - 12.7% * (Continued)       
     CALL OPTIONS PURCHASED - 8.2% * (Continued)       
 43   SPDR S&P 500 ETF Trust  Interactive Brokers  $1,397,500   1/15/2021 - $325.00  $104,060 
 25   SPDR S&P 500 ETF Trust  Interactive Brokers   830,000   1/15/2021 - $332.00   49,500 
 10   SPDR S&P 500 ETF Trust  Interactive Brokers   293,000   3/19/2021 - $293.00   51,460 
 28   SPDR S&P 500 ETF Trust  Interactive Brokers   823,200   3/19/2021 - $294.00   149,156 
 35   SPDR S&P 500 ETF Trust  Interactive Brokers   1,064,000   3/19/2021 - $304.00   150,605 
 83   SPDR S&P 500 ETF Trust  Interactive Brokers   2,539,800   3/19/2021 - $306.00   364,951 
 10   SPDR S&P 500 ETF Trust  Interactive Brokers   313,000   3/19/2021 - $313.00   36,475 
 70   SPDR S&P 500 ETF Trust  Interactive Brokers   2,324,000   3/19/2021 - $332.00   184,450 
 40   SPDR S&P 500 ETF Trust  Interactive Brokers   1,332,000   3/19/2021 - $333.00   92,840 
 20   SPDR S&P 500 ETF Trust  Interactive Brokers   674,000   3/19/2021 - $337.00   45,220 
 81   SPDR S&P 500 ETF Trust  Interactive Brokers   2,826,900   3/19/2021 - $349.00   125,145 
 15   SPDR S&P 500 ETF Trust  Interactive Brokers   451,500   6/18/2021 - $301.00   73,215 
 80   SPDR S&P 500 ETF Trust  Interactive Brokers   2,440,000   6/18/2021 - $305.00   389,200 
 35   SPDR S&P 500 ETF Trust  Interactive Brokers   1,120,000   6/18/2021 - $320.00   130,025 
 125   SPDR S&P 500 ETF Trust  Interactive Brokers   4,050,000   6/18/2021 - $324.00   411,313 
 10   SPDR S&P 500 ETF Trust  Interactive Brokers   325,000   6/18/2021 - $325.00   33,500 
 20   SPDR S&P 500 ETF Trust  Interactive Brokers   646,000   9/17/2021 - $323.00   72,810 
 250   SPDR S&P 500 ETF Trust  Interactive Brokers   8,225,000   9/17/2021 - $329.00   817,250 
 25   SPDR S&P 500 ETF Trust  Interactive Brokers   835,000   9/17/2021 - $334.00   76,475 
 25   SPDR S&P 500 ETF Trust  Interactive Brokers   837,500   9/17/2021 - $335.00   72,300 
 30   SPDR S&P 500 ETF Trust  Interactive Brokers   1,050,000   9/17/2021 - $350.00   65,400 
     TOTAL CALL OPTIONS PURCHASED (Cost - $4,025,745)   4,868,782 
                      
     PUT OPTIONS PURCHASED - 4.5% *     
 113   SPDR S&P 500 ETF Trust  Interactive Brokers   3,695,100   10/16/2020 - $327.00   47,573 
 144   SPDR S&P 500 ETF Trust  Interactive Brokers   4,680,000   11/20/2020 - $325.00   145,728 
 194   SPDR S&P 500 ETF Trust  Interactive Brokers   6,169,200   12/18/2020 - $318.00   232,218 
 289   SPDR S&P 500 ETF Trust  Interactive Brokers   9,103,500   1/15/2021 - $315.00   377,723 
 377   SPDR S&P 500 ETF Trust  Interactive Brokers   12,064,000   3/19/2021 - $320.00   716,300 
 265   SPDR S&P 500 ETF Trust  Interactive Brokers   8,215,000   6/18/2021 - $310.00   550,140 
 20   SPDR S&P 500 ETF Trust  Interactive Brokers   570,000   9/17/2021 - $285.00   32,740 
 250   SPDR S&P 500 ETF Trust  Interactive Brokers   7,250,000   9/17/2021 - $290.00   442,000 
 15   SPDR S&P 500 ETF Trust  Interactive Brokers   442,500   9/17/2021 - $295.00   29,490 
 25   SPDR S&P 500 ETF Trust  Interactive Brokers   745,000   9/17/2021 - $298.00   50,625 
 10   SPDR S&P 500 ETF Trust  Interactive Brokers   300,000   9/17/2021 - $300.00   21,270 
 30   SPDR S&P 500 ETF Trust  Interactive Brokers   930,000   9/17/2021 - $310.00   70,200 
     TOTAL PUT OPTIONS PURCHASED (Cost - $2,464,081)   2,716,007 
                      
     TOTAL OPTIONS PURCHASED (Cost - $6,489,826)   7,584,789 
                      
     TOTAL INVESTMENTS - 104.4% (Cost - $60,577,085)  $62,175,014 
     LIABILITIES IN EXCESS OF OTHER ASSETS - (4.4)%   (2,655,572)
     NET ASSETS - 100.0%  $59,519,442 
                      
Contracts (a)      Counterparty  Notional Value   Expiration Date - Exercise Price    
     OPTIONS WRITTEN - (7.7)% *     
     CALL OPTIONS WRITTEN - (1.8)% *     
 113   SPDR S&P 500 ETF Trust  Interactive Brokers  $4,271,400   10/16/2020 - $378.00  $791 
 40   SPDR S&P 500 ETF Trust  Interactive Brokers   1,472,000   11/20/2020 - $368.00   5,680 
 104   SPDR S&P 500 ETF Trust  Interactive Brokers   3,920,800   11/20/2020 - $377.00   8,112 
 47   SPDR S&P 500 ETF Trust  Interactive Brokers   1,729,600   12/18/2020 - $368.00   16,826 
 147   SPDR S&P 500 ETF Trust  Interactive Brokers   5,439,000   12/18/2020 - $370.00   46,893 
 43   SPDR S&P 500 ETF Trust  Interactive Brokers   1,578,100   1/15/2021 - $367.00   22,403 
 126   SPDR S&P 500 ETF Trust  Interactive Brokers   4,662,000   1/15/2021 - $370.00   47,628 
 120   SPDR S&P 500 ETF Trust  Interactive Brokers   4,452,000   1/15/2021 - $371.00   43,560 
 377   SPDR S&P 500 ETF Trust  Interactive Brokers   14,401,400   3/19/2021 - $382.00   159,094 
 265   SPDR S&P 500 ETF Trust  Interactive Brokers   10,070,000   6/18/2021 - $380.00   202,725 
 20   SPDR S&P 500 ETF Trust  Interactive Brokers   712,000   9/17/2021 - $356.00   36,270 
 145   SPDR S&P 500 ETF Trust  Interactive Brokers   5,220,000   9/17/2021 - $360.00   250,850 
 130   SPDR S&P 500 ETF Trust  Interactive Brokers   4,745,000   9/17/2021 - $365.00   190,450 
 25   SPDR S&P 500 ETF Trust  Interactive Brokers   925,000   9/17/2021 - $370.00   33,700 
 30   SPDR S&P 500 ETF Trust  Interactive Brokers   1,155,000   9/17/2021 - $385.00   26,520 
     TOTAL CALL OPTIONS WRITTEN (Premiums Received - $1,592,644)   1,091,502 

 

 

CATALYST FUNDS
CATALYST/EXCEED DEFINED SHIELD FUND
PORTFOLIO OF INVESTMENTS (Unaudited) (Continued)
September 30, 2020

 

Contracts (a)      Counterparty  Notional Value   Expiration Date - Exercise Price  Value 
     OPTIONS WRITTEN - (7.7)% * (Continued)                
     PUT OPTIONS WRITTEN - (5.9)% *                
 18   SPDR S&P 500 ETF Trust  Interactive Brokers  $581,400   10/16/2020 - $323.00  $5,868 
 43   SPDR S&P 500 ETF Trust  Interactive Brokers   1,397,500   10/16/2020 - $325.00   15,738 
 35   SPDR S&P 500 ETF Trust  Interactive Brokers   1,218,000   10/16/2020 - $348.00   47,705 
 17   SPDR S&P 500 ETF Trust  Interactive Brokers   605,200   10/16/2020 - $356.00   35,071 
 6   SPDR S&P 500 ETF Trust  Interactive Brokers   184,200   11/20/2020 - $307.00   3,066 
 68   SPDR S&P 500 ETF Trust  Interactive Brokers   2,176,000   11/20/2020 - $320.00   58,548 
 60   SPDR S&P 500 ETF Trust  Interactive Brokers   1,938,000   11/20/2020 - $323.00   56,640 
 10   SPDR S&P 500 ETF Trust  Interactive Brokers   324,000   11/20/2020 - $324.00   9,750 
 29   SPDR S&P 500 ETF Trust  Interactive Brokers   913,500   12/18/2020 - $315.00   32,219 
 47   SPDR S&P 500 ETF Trust  Interactive Brokers   1,536,900   12/18/2020 - $327.00   68,009 
 57   SPDR S&P 500 ETF Trust  Interactive Brokers   1,920,900   12/18/2020 - $337.00   106,248 
 61   SPDR S&P 500 ETF Trust  Interactive Brokers   2,122,800   12/18/2020 - $348.00   142,557 
 133   SPDR S&P 500 ETF Trust  Interactive Brokers   4,256,000   1/15/2021 - $320.00   196,441 
 88   SPDR S&P 500 ETF Trust  Interactive Brokers   2,842,400   1/15/2021 - $323.00   132,792 
 43   SPDR S&P 500 ETF Trust  Interactive Brokers   1,397,500   1/15/2021 - $325.00   66,994 
 25   SPDR S&P 500 ETF Trust  Interactive Brokers   830,000   1/15/2021 - $332.00   46,625 
 10   SPDR S&P 500 ETF Trust  Interactive Brokers   293,000   3/19/2021 - $293.00   11,925 
 28   SPDR S&P 500 ETF Trust  Interactive Brokers   823,200   3/19/2021 - $294.00   34,020 
 35   SPDR S&P 500 ETF Trust  Interactive Brokers   1,064,000   3/19/2021 - $304.00   51,013 
 83   SPDR S&P 500 ETF Trust  Interactive Brokers   2,539,800   3/19/2021 - $306.00   125,413 
 10   SPDR S&P 500 ETF Trust  Interactive Brokers   313,000   3/19/2021 - $313.00   17,075 
 70   SPDR S&P 500 ETF Trust  Interactive Brokers   2,324,000   3/19/2021 - $332.00   165,340 
 40   SPDR S&P 500 ETF Trust  Interactive Brokers   1,332,000   3/19/2021 - $333.00   89,320 
 20   SPDR S&P 500 ETF Trust  Interactive Brokers   674,000   3/19/2021 - $337.00   49,000 
 81   SPDR S&P 500 ETF Trust  Interactive Brokers   2,826,900   3/19/2021 - $349.00   252,639 
 15   SPDR S&P 500 ETF Trust  Interactive Brokers   451,500   6/18/2021 - $301.00   27,240 
 80   SPDR S&P 500 ETF Trust  Interactive Brokers   2,440,000   6/18/2021 - $305.00   147,440 
 35   SPDR S&P 500 ETF Trust  Interactive Brokers   1,120,000   6/18/2021 - $320.00   80,150 
 125   SPDR S&P 500 ETF Trust  Interactive Brokers   4,050,000   6/18/2021 - $324.00   316,875 
 10   SPDR S&P 500 ETF Trust  Interactive Brokers   325,000   6/18/2021 - $325.00   25,710 
 20   SPDR S&P 500 ETF Trust  Interactive Brokers   646,000   9/17/2021 - $323.00   57,590 
 250   SPDR S&P 500 ETF Trust  Interactive Brokers   8,225,000   9/17/2021 - $329.00   739,000 
 25   SPDR S&P 500 ETF Trust  Interactive Brokers   835,000   9/17/2021 - $334.00   81,350 
 25   SPDR S&P 500 ETF Trust  Interactive Brokers   837,500   9/17/2021 - $335.00   79,925 
 30   SPDR S&P 500 ETF Trust  Interactive Brokers   1,050,000   9/17/2021 - $350.00   115,350 
     TOTAL PUT OPTIONS WRITTEN (Premiums Received - $4,281,208)   3,490,646 
                      
     TOTAL OPTIONS WRITTEN (Premiums Received - $5,873,852)  $4,582,148 

 

ETF - Exchange Traded Fund

 

LLC - Limited Liability Company

 

PLC - Public Limited Company

 

SPDR - Standard & Poor’s Depositary Receipts

 

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

 

^Floating Rate, rate shown represents the rate at September 30, 2020.

 

*Non income producing security.

 

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

 

 

CATALYST FUNDS
CATALYST ENHANCED INCOME STRATEGY FUND
PORTFOLIO OF INVESTMENTS (Unaudited)
September 30, 2020

 

Principal      Variable Rate  Coupon Rate (%)    Maturity  Value 
     COLLATERALIZED MORTGAGE OBLIGATIONS - 94.2 %                
$27,443   ABFC 2003-AHL1 Trust  1 Month LIBOR + 1.275 %  1.423 *  3/25/2033  $27,888 
 379,127   ABFC 2005-AQ1 Trust     4.631 #  6/25/2035   402,642 
 649,704   ABFC 2006-HE1 Trust  1 Month LIBOR + 0.220 %  0.368 *  1/25/2037   470,900 
 202,297   ABFS Mortgage Loan Trust 2000-3     8.110 #  9/15/2031   200,609 
 158,581   Accredited Mortgage Loan Trust 2003-2  1 Month LIBOR + 0.740 %  0.888 *  10/25/2033   154,805 
 378,174   Accredited Mortgage Loan Trust 2003-3  1 Month LIBOR + 0.760 %  0.908 *  1/25/2034   358,366 
 375,167   Accredited Mortgage Loan Trust 2004-3     6.000 #  10/25/2034   385,154 
 1,012,529   Adjustable Rate Mortgage Trust 2005-12  1 Month LIBOR + 0.500 %  0.648 *  3/25/2036   517,110 
 1,976,678   AFC Home Equity Loan Trust  1 Month LIBOR + 0.650 %  0.798 *  6/25/2029   1,629,584 
 233,109   AFC Home Equity Loan Trust 1998-1  1 Month LIBOR + 0.660 %  0.808 *  4/25/2028   230,945 
 332,159   AFC Home Equity Loan Trust 1998-2  1 Month LIBOR + 0.550 %  0.698 *  6/25/2028   326,433 
 149,649   Alternative Loan Trust 2005-28CB     6.000    8/25/2035   101,734 
 321,275   Alternative Loan Trust 2005-3CB     5.000    3/25/2035   313,537 
 386,898   Alternative Loan Trust 2005-7CB     5.500    3/25/2035   390,925 
 666,256   Alternative Loan Trust 2006-12CB     6.000    5/25/2036   532,064 
 2,178,758   Alternative Loan Trust 2006-45T1     6.000    2/25/2037   1,641,074 
 1,750,483   Alternative Loan Trust 2006-9T1     6.000    5/25/2036   1,226,111 
 1,026,206   Alternative Loan Trust 2006-J7     6.250    11/25/2036   721,406 
 14,021   Alternative Loan Trust 2006-J8     6.000    2/25/2037   9,247 
 3,014,144   Alternative Loan Trust 2007-12T1     6.000    6/25/2037   2,234,015 
 73,969   Ameriquest Mort Sec Inc Asset Bckd Ps Thr Cert Ser 2002-AR1  1 Month LIBOR + 1.950 %  2.098 *  9/25/2032   75,000 
 1,532,381   Amresco Residential Securities Corp. Mort Loan Trust 1999-1  1 Month LIBOR + 1.250 %  1.398 *  11/25/2029   1,510,297 
 167,056   AMRESCO Residential Securities Corp. Mortgage Loan Trust 1997-3     5.660 +  9/25/2027   170,553 
 58,650   Argent Securities Inc Asset-Backed Pass-Through Certificates Series 2003-W7  1 Month LIBOR + 2.700 %  2.848 *  9/25/2033   58,864 
 92,930   Argent Securities Trust 2006-W1  1 Month LIBOR + 0.300 %  0.448 *  3/25/2036   87,359 
 3,409,661   Asset-Backed Pass-Through Certificates Series 2004-R12  1 Month LIBOR + 1.680 %  1.828 *  1/25/2035   3,370,480 
 529,493   Asset-Backed Pass-Through Certificates Series 2004-R2  1 Month LIBOR + 0.720 %  0.868 *  4/25/2034   511,265 
 90,165   Banc of America Alternative Loan Trust 2005-12     5.250    1/25/2021   84,585 
 375,216   Banc of America Alternative Loan Trust 2006-1     6.500    2/25/2036   371,518 
 335,462   Banc of America Alternative Loan Trust 2006-4     6.000    5/25/2046   334,919 
 13,473   Banc of America Funding 2004-3 Trust     5.500    10/25/2034   13,525 
 280,324   Banc of America Funding 2005-5 Trust     5.500    9/25/2035   300,212 
 398,904   Banc of America Funding 2005-H Trust     3.572 +  11/20/2035   377,236 
 73,251   Banc of America Funding 2006 J Trust     3.785 +  1/20/2047   69,692 
 76,936   Banc of America Funding 2006 J Trust     4.199 +  1/20/2047   74,940 
 195,267   Banc of America Funding 2006-5 Trust     6.000    9/25/2036   191,701 
 956,571   Banc of America Funding 2006-H Trust     3.246 +  9/20/2046   882,021 
 148,330   Banc of America Funding 2007-2 Trust     4.123 +  3/25/2037   147,907 
 470,736   Banc of America Funding 2007-4 Trust     5.774 #  5/25/2037   491,378 
 1,331,983   Banc of America Funding 2007-7 Trust     6.000    8/25/2037   1,335,850 
 281,178   Banc of America Funding 2007-A Trust  1 Month LIBOR + 0.210 %  0.366 *  2/20/2047   256,657 
 647,672   Banc of America Funding 2009-R9 Trust ^     4.743 +  11/26/2021   602,157 
 240,501   Banc of America Mortgage 2005-A Trust     3.514 +  2/25/2035   213,300 
 14,129   Banc of America Mortgage 2005-A Trust     3.711 +  2/25/2035   14,113 
 26,937   Banc of America Mortgage 2005-G Trust     3.027 +  8/25/2035   25,699 
 415,272   Banc of America Mortgage 2006-2 Trust  1 Month LIBOR + 6.000 %  6.000 *  7/25/2046   402,760 
 541,780   Banc of America Mortgage 2006-A Trust     3.689 +  2/25/2036   511,530 
 274,008   Banc of America Mortgage 2007-1 Trust     6.000    1/25/2037   274,374 
 775,755   Bayview Financial Mortgage Pass-Through Trust 2007-B  1 Month LIBOR + 0.850 %  0.995 *  8/28/2047   353,560 
 233,000   Bayview Financial Mortgage Pass-Through Trust 2007-B  1 Month LIBOR + 0.700 %  0.845 *  8/28/2047   104,932 
 1,420,764   BCMSC Trust 1999-B     7.300 +  12/15/2029   369,462 
 1,611,849   BCMSC Trust 2000-A     8.290 +  6/15/2030   534,430 
 144,757   Bear Stearns ALT-A Trust 2005-4     3.659 +  5/25/2035   144,293 
 567,316   Bear Stearns ALT-A Trust 2006-6     3.485 +  11/25/2036   373,785 
 116,030   Bear Stearns ALT-A Trust 2006-8     3.517 +  8/25/2046   92,163 
 47,636   Bear Stearns ARM Trust 2004-10     3.618 +  1/25/2035   45,522 
 117,506   Bear Stearns ARM Trust 2004-7     2.625 +  10/25/2034   118,203 
 54,246   Bear Stearns ARM Trust 2006-2     3.348 +  7/25/2036   51,903 
 502,093   Bear Stearns ARM Trust 2006-4     3.409 +  10/25/2036   477,761 
 172,103   Bear Stearns Asset Backed Securities I Trust 2004-FR2  1 Month LIBOR + 2.625 %  2.773 *  6/25/2034   158,601 
 236,573   Bear Stearns Asset Backed Securities I Trust 2004-FR3  1 Month LIBOR + 1.755 %  1.903 *  9/25/2034   236,687 
 63,047   Bear Stearns Asset Backed Securities I Trust 2004-HE10  1 Month LIBOR + 2.025 %  2.173 *  12/25/2034   65,007 
 233,443   Bear Stearns Asset Backed Securities I Trust 2004-HE7  1 Month LIBOR + 0.900 %  1.048 *  8/25/2034   225,689 
 111,644   Bear Stearns Asset Backed Securities I Trust 2004-HE7  1 Month LIBOR + 2.925 %  3.073 *  8/25/2034   103,416 
 229,753   Bear Stearns Asset Backed Securities I Trust 2006-AC3  1 Month LIBOR + 0.400 %  0.548 *  5/25/2036   97,231 
 457,270   Bear Stearns Asset Backed Securities Trust 2004-HE3  1 Month LIBOR + 2.775 %  2.923 *  4/25/2034   426,317 
 858,395   Bear Stearns Asset Backed Securities Trust 2004-SD2     4.539 +  3/25/2044   823,312 
 33,552   Bear Stearns Asset Backed Securities Trust 2004-SD4  1 Month LIBOR + 0.900 %  1.048 *  8/25/2044   33,283 
 157,863   Bear Stearns Asset Backed Securities Trust 2006-SD3     3.550 +  7/25/2036   158,457 
 127,232   Carrington Mortgage Loan Trust Series 2004-NC2  1 Month LIBOR + 1.035 %  1.183 *  8/25/2034   125,669 
 2,313,041   Carrington Mortgage Loan Trust Series 2006-FRE2  1 Month LIBOR + 0.080 %  0.228 *  3/25/2035   1,961,937 

 

 

CATALYST FUNDS
CATALYST ENHANCED INCOME STRATEGY FUND
PORTFOLIO OF INVESTMENTS (Unaudited) (Continued)
September 30, 2020

 

Principal      Variable Rate  Coupon Rate (%)    Maturity  Value 
     COLLATERALIZED MORTGAGE OBLIGATIONS (Continued) - 94.2 %                
$3,387,400   Carrington Mortgage Loan Trust Series 2006-NC4  1 Month LIBOR + 0.240 %  0.388 *  10/25/2036  $2,772,003 
 500,000   Cascade MH Asset Trust 2019-MH1 ^     5.985 +  11/1/2044   505,508 
 738,964   C-BASS 2007-CB1 TRUST     3.380 #  1/25/2037   336,068 
 22,411   CDC Mortgage Capital Trust 2003-HE4  1 Month LIBOR + 0.620 %  0.768 *  3/25/2034   21,421 
 24,656   Centex Home Equity Loan Trust 2002-A     5.540    1/25/2032   25,509 
 1,219   Chase Funding Trust Series 2002-3     5.907 #  6/25/2032   1,225 
 1,360,195   Chase Funding Trust Series 2003-6  1 Month LIBOR + 0.750 %  0.898 *  11/25/2034   1,361,579 
 374,117   Chase Mortgage Finance Trust Series 2006-S4     6.000    12/25/2036   266,918 
 132   Chase Mortgage Finance Trust Series 2007-A1     3.784 +  2/25/2037   131 
 281,056   ChaseFlex Trust Series 2005-2     6.500    6/25/2035   237,997 
 189,099   CHEC Loan Trust 2004-2  1 Month LIBOR + 0.640 %  0.788 *  6/25/2034   183,661 
 108,557   Chevy Chase Funding LLC Mortgage-Backed Certificates Series 2004-1 ^  1 Month LIBOR + 0.330 %  0.478 *  1/25/2035   107,731 
 145,154   CHL Mortgage Pass-Through Trust 2003-56     4.778 +  12/25/2033   142,353 
 702,326   CHL Mortgage Pass-Through Trust 2004-HYB6     3.177 +  11/20/2034   707,139 
 823,949   CHL Mortgage Pass-Through Trust 2005-HYB9  12 Month LIBOR + 1.750 %  3.793 *  2/20/2036   799,135 
 842,449   CHL Mortgage Pass-Through Trust 2006-12     6.000    7/25/2036   678,911 
 19   CHL Mortgage Pass-Through Trust 2006-17     6.000    12/25/2036   13 
 3,446,456   CHL Mortgage Pass-Through Trust 2006-3  1 Month LIBOR + 0.250 %  0.398 *  2/25/2036   3,106,645 
 158,855   CHL Mortgage Pass-Through Trust 2006-J4     6.250    9/25/2036   109,222 
 2,209,826   CHL Mortgage Pass-Through Trust 2007-1     6.000    3/25/2037   1,801,341 
 508,003   CHL Mortgage Pass-Through Trust 2007-5     5.750    5/25/2037   400,673 
 880,329   CHL Mortgage Pass-Through Trust 2007-HY3     3.881 +  6/25/2047   882,370 
 198,556   CHL Mortgage Pass-Through Trust 2007-J2     6.000    7/25/2037   124,438 
 1,813,475   Citicorp Mortgage Securities Trust Series 2006-3     6.000    6/25/2036   1,850,462 
 1,141,747   Citicorp Mortgage Securities Trust Series 2006-3     6.250    6/25/2036   1,176,141 
 1,578,887   Citicorp Mortgage Securities Trust Series 2006-5     6.000    10/25/2036   1,601,161 
 735,352   Citicorp Mortgage Securities Trust Series 2007-7     6.000    8/25/2037   737,444 
 811,523   Citigroup Mortgage Loan Trust 2006-AR5     3.233 +  7/25/2036   741,404 
 103,745   Citigroup Mortgage Loan Trust 2006-WF1     4.841 #  3/25/2036   67,802 
 995,109   Citigroup Mortgage Loan Trust 2006-WF1     4.841 #  3/25/2036   650,217 
 77   Citigroup Mortgage Loan Trust 2007-AR5     4.028 +  4/25/2037   73 
 43,411   Citigroup Mortgage Loan Trust 2007-FS1 ^     5.750 #  10/25/2037   45,939 
 943,689   Citigroup Mortgage Loan Trust 2013-A ^     4.095 +  5/25/2042   935,138 
 5,113,634   Citigroup Mortgage Loan Trust 2018-A ^     4.000 +  1/25/2068   5,145,369 
 635,144   Citigroup Mortgage Loan Trust, Inc. ^  1 Month LIBOR + 0.350 %  0.498 *  2/25/2031   594,709 
 48,987   Citigroup Mortgage Loan Trust, Inc.     5.000    7/25/2034   49,063 
 4,368,590   Citigroup Mortgage Loan Trust, Inc.     3.008 +  5/25/2047   4,104,817 
 155,257   Countrywide Asset-Backed Certificates     5.115 #  2/25/2035   155,336 
 65,633   Countrywide Asset-Backed Certificates  1 Month LIBOR + 1.500 %  1.648 *  3/25/2033   65,599 
 339,466   Countrywide Asset-Backed Certificates ^  1 Month LIBOR + 0.330 %  0.478 *  7/25/2036   325,977 
 367,050   Credit Suisse First Boston Mortgage Securities Corp.     5.000    7/25/2035   370,677 
 3,399,297   Credit Suisse First Boston Mortgage Securities Corp.     6.000    9/25/2035   2,090,333 
 69   Credit Suisse First Boston Mortgage Securities Corp.     4.500    7/25/2021   68 
 826,523   Credit Suisse First Boston Mortgage Securities Corp.     6.500    1/25/2036   430,925 
 404,416   Credit Suisse First Boston Mortgage Securities Corp.     6.000    12/25/2035   406,142 
 37,734   Credit-Based Asset Servicing and Securitization LLC  1 Month LIBOR + 1.900 %  2.048 *  2/25/2033   38,675 
 144,661   Credit-Based Asset Servicing and Securitization LLC  1 Month LIBOR + 0.780 %  0.928 *  7/25/2033   140,571 
 31,950   Credit-Based Asset Servicing and Securitization LLC  1 Month LIBOR + 1.725 %  1.873 *  7/25/2035   31,781 
 52,062   CSFB Mortgage-Backed Pass-Through Certificates Series 2003-29     6.500    12/25/2033   54,138 
 44,141   CSFB Mortgage-Backed Pass-Through Certificates Series 2004-AR5     3.511 +  6/25/2034   44,243 
 230,483   CSFB Mortgage-Backed Pass-Through Certificates Series 2005-10     5.750    11/25/2035   171,171 
 1,463,322   CSMC 2018-RPL2 Trust ^     4.309 #  8/25/2062   1,477,084 
 731,862   CSMC 2019-RPL8 Trust ^     3.322 +  10/25/2058   738,875 
 3,015,468   CSMC Mortgage-Backed Trust 2006-7     6.500    8/25/2036   1,027,503 
 829,631   CWABS Asset-Backed Certificates Trust 2006-9     4.087 +  10/25/2046   802,840 
 425,212   Delta Funding Home Equity Loan Trust 1999-3  1 Month LIBOR + 0.820 %  0.972 *  9/15/2029   417,047 
 798,919   Deutsche Mortgage Securities, Inc. Mortgage Loan Trust 2004-4     3.878 +  6/25/2034   800,476 
 101,658   Deutsche Mortgage Securities, Inc. Mortgage Loan Trust Series 2004-2     5.590 #  1/25/2034   105,998 
 231,985   EMC Mortgage Loan Trust 2001-A ^  1 Month LIBOR + 0.740 %  0.888 *  5/25/2040   226,577 
 450,158   Encore Credit Receivables Trust 2005-1  1 Month LIBOR + 1.020 %  1.168 *  7/25/2035   429,541 
 246,381   Finance America Mortgage Loan Trust 2004-3  1 Month LIBOR + 1.380 %  1.528 *  11/25/2034   230,928 
 304,347   First Franklin Mortgage Loan Trust 2003-FF5     2.623 *  3/25/2034   309,477 
 250,541   First Franklin Mortgage Loan Trust 2005-FF1  1 Month LIBOR + 1.125 %  1.273 *  12/25/2034   251,143 
 62,096   First Horizon Alternative Mortgage Securities Trust 2004-AA3     2.474 +  9/25/2034   60,611 
 17,623   First Horizon Alternative Mortgage Securities Trust 2005-AA6     2.778 +  8/25/2035   16,482 
 46,408   First Horizon Mortgage Pass-Through Trust 2000-H     2.849 +  5/25/2030   45,723 
 420,804   First Horizon Mortgage Pass-Through Trust 2007-AR3     3.441 +  11/25/2037   395,533 
 85,000   First Investors Auto Owner Trust 2017-2 ^     3.560    9/15/2023   87,456 
 4,639   Fremont Home Loan Trust 2003-A  1 Month LIBOR + 2.588 %  2.736 *  8/25/2033   5,152 
 197,784   Fremont Home Loan Trust 2004-2  1 Month LIBOR + 2.025 %  2.173 *  7/25/2034   191,185 

 

 

CATALYST FUNDS
CATALYST ENHANCED INCOME STRATEGY FUND
PORTFOLIO OF INVESTMENTS (Unaudited) (Continued)
September 30, 2020

 

Principal      Variable Rate  Coupon Rate (%)    Maturity  Value 
     COLLATERALIZED MORTGAGE OBLIGATIONS (Continued) - 94.2 %                
$104,065   Fremont Home Loan Trust 2006-2  1 Month LIBOR + 0.170 %  0.318 *  2/25/2036  $100,181 
 2,709,054   Fremont Home Loan Trust 2006-B  1 Month LIBOR + 0.240 %  0.415 *  8/25/2036   1,216,837 
 195,988   GE Mortgage Services LLC     6.645 +  9/25/2028   202,400 
 2,640,033   GE-WMC Mortgage Securities Trust 2006-1  1 Month LIBOR + 0.150 %  0.298 *  8/25/2036   1,648,015 
 112   GMACM Mortgage Loan Trust 2003-GH2     5.500 #  10/25/2033   115 
 128,215   GMACM Mortgage Loan Trust 2005-AR1     4.389 +  3/18/2035   128,432 
 114,865   GSAA Home Equity Trust 2005-12     5.069 +  9/25/2035   99,434 
 72,991   GSAA Home Equity Trust 2005-3  1 Month LIBOR + 1.950 %  2.098 *  12/25/2034   70,430 
 298,860   GSAA Home Equity Trust 2006-1  1 Month LIBOR + 0.330 %  0.478 *  1/25/2036   180,280 
 320,148   GSAA Home Equity Trust 2006-13     6.040 +  7/25/2036   151,779 
 256,420   GSAA Home Equity Trust 2006-15     5.876 #  9/25/2036   108,697 
 1,427,020   GSAA Home Equity Trust 2006-18     6.022 #  11/25/2036   155,935 
 838,895   GSAA Home Equity Trust 2006-18     5.682 #  11/25/2036   340,203 
 2,076,658   GSAA Home Equity Trust 2006-18     5.822 +  11/25/2036   227,490 
 1,655,000   GSAA Home Equity Trust 2006-18     6.090 #  11/25/2036   180,578 
 533,216   GSAA Home Equity Trust 2006-3  1 Month LIBOR + 0.300 %  0.448 *  3/25/2036   367,829 
 481,967   GSAA Trust     6.220 #  3/25/2046   298,707 
 16,542,673   GSAA Trust  1 Month LIBOR + 0.280 %  0.428 *  5/25/2047   1,254,251 
 349,424   GSAMP Trust 2007-FM2  1 Month LIBOR + 0.060 %  0.208 *  1/25/2037   255,992 
 147,841   GSAMP Trust 2007-FM2  1 Month LIBOR + 0.090 %  0.238 *  1/25/2037   108,838 
 182,545   GSMPS Mortgage Loan Trust ^     7.500 +  6/19/2027   182,671 
 476,837   GSR Mortgage Loan Trust 2003-5F     4.000    8/25/2032   500,863 
 109,497   GSR Mortgage Loan Trust 2004-14     4.038 +  12/25/2034   111,973 
 141,652   GSR Mortgage Loan Trust 2004-2F     7.000    1/25/2034   152,365 
 100,226   GSR Mortgage Loan Trust 2004-6F     5.000    5/25/2034   98,758 
 798,626   GSR Mortgage Loan Trust 2005-AR3     3.667 +  5/25/2035   761,678 
 218,079   GSR Mortgage Loan Trust 2005-AR4     3.619 +  7/25/2035   218,331 
 408,555   GSR Mortgage Loan Trust 2006-3F     5.750    3/25/2036   444,199 
 29,598   GSR Mortgage Loan Trust 2006-AR1     3.807 +  1/25/2036   29,496 
 428,063   GSR Mortgage Loan Trust 2007-1F     6.000    1/25/2037   380,190 
 48,349   HarborView Mortgage Loan Trust 2004-6     2.573 +  8/19/2034   49,402 
 44,563   Home Equity Asset Trust  1 Month LIBOR + 2.370 %  2.518 *  8/25/2033   44,942 
 38,440   Home Equity Asset Trust  1 Month LIBOR + 1.900 %  2.048 *  11/25/2032   36,828 
 78,667   Home Equity Asset Trust  1 Month LIBOR + 2.100 %  2.248 *  7/25/2034   76,141 
 65,666   Home Equity Mortgage Loan Asset-Backed Trust Series SPMD 2002-B  1 Month LIBOR + 1.425 %  1.573 *  10/25/2033   66,707 
 324,613   Home Equity Mortgage Loan Asset-Backed Trust Series SPMD 2003-A  1 Month LIBOR + 0.860 %  1.008 *  10/25/2033   322,622 
 473,894   Home Equity Mortgage Loan Asset-Backed Trust Series SPMD 2004-C  1 Month LIBOR + 2.625 %  2.773 *  3/25/2035   473,555 
 10,629,117   Home Equity Mortgage Trust 2006-6  1 Month LIBOR + 0.200 %  0.348 *  3/25/2037   1,053,207 
 9,265,809   Home Equity Mortgage Trust 2006-6  1 Month LIBOR + 0.420 %  0.568 *  3/25/2037   959,956 
 233,145   HomeBanc Mortgage Trust 2004-2     0.888 *  12/25/2034   237,163 
 129,771   HomeBanc Mortgage Trust 2005-5  1 Month LIBOR + 0.340 %  0.488 *  1/25/2036   125,809 
 562,064   HSI Asset Loan Obligation Trust 2007-2     6.000    9/25/2037   311,219 
 767,935   Impac CMB Trust Series 2004-10  1 Month LIBOR + 0.640 %  0.788 *  3/25/2035   755,435 
 199,599   Impac CMB Trust Series 2004-10  1 Month LIBOR + 0.740 %  0.888 *  3/25/2035   190,921 
 579,431   Impac CMB Trust Series 2004-9  1 Month LIBOR + 0.880 %  1.028 *  1/25/2035   567,719 
 1,452,178   Impac CMB Trust Series 2004-9  1 Month LIBOR + 0.975 %  1.123 *  1/25/2035   1,401,819 
 130,953   Impac CMB Trust Series 2005-4  1 Month LIBOR + 0.690 %  0.838 *  5/25/2035   122,132 
 28,547   IndyMac INDX Mortgage Loan Trust 2004-AR6     3.481 +  10/25/2034   27,802 
 116,134   IndyMac INDX Mortgage Loan Trust 2005-AR3     3.382 +  4/25/2035   115,331 
 152,290   IndyMac INDX Mortgage Loan Trust 2005-AR5     3.281 +  5/25/2035   116,707 
 30,481   Irwin Home Equity Loan Trust 2004-1  1 Month LIBOR + 2.050 %  2.198 *  12/25/2034   30,504 
 235,180   IXIS Real Estate Capital Trust 2005-HE2  1 Month LIBOR + 0.930 %  1.078 *  9/25/2035   247,646 
 452,553   IXIS Real Estate Capital Trust 2006-HE2  1 Month LIBOR + 0.160 %  0.308 *  8/25/2036   178,966 
 1,126,587   JP Morgan Alternative Loan Trust     6.500    12/25/2035   698,221 
 174,087   JP Morgan Mortgage Acquisition Trust 2007-CH2     4.602 #  10/25/2030   131,006 
 27,531   JP Morgan Mortgage Trust 2004-A3     3.850 +  7/25/2034   27,627 
 265,186   JP Morgan Mortgage Trust 2004-S1     5.000    9/25/2034   270,473 
 38,561   JP Morgan Mortgage Trust 2005-A1     3.488 +  2/25/2035   38,168 
 82,384   JP Morgan Mortgage Trust 2005-A6     2.957 +  9/25/2035   82,692 
 1,387,563   JP Morgan Mortgage Trust 2006-A2     3.578 +  4/25/2036   1,360,734 
 61,076   JP Morgan Mortgage Trust 2006-A2     3.578 +  4/25/2036   60,929 
 702,797   JP Morgan Mortgage Trust 2007-A1     3.750 +  7/25/2035   682,436 
 135,777   JP Morgan Mortgage Trust 2007-A1     3.750 +  7/25/2035   137,793 
 3,174,854   Legacy Mortgage Asset Trust 2019-GS2 ^     3.750 #  1/25/2059   3,251,787 
 3,936,219   Legacy Mortgage Asset Trust 2019-GS6 ^     3.000 #  6/25/2059   3,956,763 
 976,307   Legacy Mortgage Asset Trust 2020-GS2 ^     2.750 #  3/25/2060   975,059 
 227,541   Lehman Mortgage Trust 2005-3     6.000    1/25/2036   108,004 
 71,767   Lehman Mortgage Trust 2007-9     6.000    10/25/2037   77,734 
 800,186   Lehman XS Trust 2007-3  1 Month LIBOR + 0.160 %  0.308 *  3/25/2037   773,737 
 91,751   Long Beach Mortgage Loan Trust 2001-4  1 Month LIBOR + 1.425 %  1.573 *  3/25/2032   90,792 

 

 

CATALYST FUNDS
CATALYST ENHANCED INCOME STRATEGY FUND
PORTFOLIO OF INVESTMENTS (Unaudited) (Continued)
September 30, 2020

 

Principal      Variable Rate  Coupon Rate (%)    Maturity  Value 
     COLLATERALIZED MORTGAGE OBLIGATIONS (Continued) - 94.2 %                
$918,049   Long Beach Mortgage Loan Trust 2002-1     3.898 *  5/25/2032  $937,501 
 34,110   Long Beach Mortgage Loan Trust 2004-3  1 Month LIBOR + 0.855 %  1.003 *  7/25/2034   32,750 
 1,909   Long Beach Mortgage Loan Trust 2004-3  1 Month LIBOR + 2.925 %  3.073 *  7/25/2034   1,921 
 14,113   MASTR Adjustable Rate Mortgages Trust 2003-5     2.805 +  11/25/2033   13,663 
 46,142   MASTR Adjustable Rate Mortgages Trust 2004-4     3.425 +  5/25/2034   46,988 
 300,122   MASTR Adjustable Rate Mortgages Trust 2006-2     3.937 +  4/25/2036   304,157 
 14,690   MASTR Alternative Loan Trust 2004-5     5.500    6/25/2034   15,178 
 49,243   Mastr Asset Backed Securities Trust 2003-WMC2  1 Month LIBOR + 6.000 %  4.210 *  8/25/2033   47,673 
 6,489,970   Mastr Asset Backed Securities Trust 2005-NC2  1 Month LIBOR + 0.500 %  0.648 *  11/25/2035   4,928,069 
 553,987   Mastr Asset Backed Securities Trust 2005-WMC1  1 Month LIBOR + 0.945 %  1.093 *  3/25/2035   558,502 
 2,233,541   Mastr Asset Backed Securities Trust 2006-NC2  1 Month LIBOR + 0.110 %  0.258 *  8/25/2036   1,217,978 
 1,344,288   MASTR Asset Securitization Trust 2004-11     5.750    12/25/2034   1,383,201 
 1,534,738   MASTR Asset Securitization Trust 2004-3     5.500    3/25/2034   1,557,064 
 173   MASTR Seasoned Securitization Trust 2004-1     3.561 +  10/25/2032   173 
 527,752   Meritage Mortgage Loan Trust 2004-1  1 Month LIBOR + 0.750 %  0.898 *  7/25/2034   513,822 
 64,986   Merrill Lynch Mortgage Investors Trust MLMI Series 2002-A3     3.892 +  9/25/2032   64,441 
 228,314   Merrill Lynch Mortgage Investors Trust Series MLMI 2005-A1     3.459 +  12/25/2034   235,560 
 182,276   Morgan Stanley ABS Capital I, Inc. Trust 2004-NC5  1 Month LIBOR + 0.900 %  1.048 *  5/25/2034   180,493 
 83,324   Morgan Stanley ABS Capital I, Inc. Trust 2004-NC8  1 Month LIBOR + 1.500 %  1.648 *  9/25/2034   82,956 
 117,247   Morgan Stanley ABS Capital I, Inc. Trust 2006-HE7  1 Month LIBOR + 0.160 %  0.308 *  9/25/2036   68,442 
 208,932   Morgan Stanley ABS Capital I, Inc. Trust 2007-HE5  1 Month LIBOR + 0.250 %  0.672 *  3/25/2037   109,086 
 738,757   Morgan Stanley ABS Capital I, Inc. Trust Series 2004-SD2  1 Month LIBOR + 0.930 %  1.078 *  4/25/2034   728,978 
 267,865   Morgan Stanley Dean Witter Capital I, Inc. Trust 2002-AM1  1 Month LIBOR + 1.530 %  1.678 *  1/25/2032   281,765 
 269,472   Morgan Stanley Dean Witter Capital I, Inc. Trust 2003-HYB1     2.646 +  3/25/2033   266,361 
 42,913   Morgan Stanley Mortgage Loan Trust 2004-5AR     3.274 +  7/25/2034   43,437 
 500,706   Morgan Stanley Mortgage Loan Trust 2006-2     6.500    2/25/2036   379,992 
 718,046   Morgan Stanley Mortgage Loan Trust 2006-8AR     3.728 +  6/25/2036   620,974 
 17,218   MortgageIT Trust 2005-1  1 Month LIBOR + 1.250 %  1.407 *  2/25/2035   17,021 
 1,649,484   MRFC Mortgage Pass-Through Trust Series 1999-TBC2  1 Month LIBOR + 0.480 %  0.632 *  6/15/2030   1,625,237 
 2,117,469   New Century Alternative Mortgage Loan Trust 2006-ALT1     5.909 +  7/25/2036   893,631 
 738,237   New Century Alternative Mortgage Loan Trust 2006-ALT2     5.044 #  10/25/2036   274,740 
 721,676   New Century Alternative Mortgage Loan Trust 2006-ALT2     5.044 #  10/25/2036   268,804 
 1,841,735   New Residential Mortgage LLC ^     5.437    6/25/2025   1,859,286 
 991,914   New Residential Mortgage Loan Trust 2020-RPL2 ^     3.578 +  8/25/2025   993,394 
 689,474   Nomura Asset Acceptance Corp Alternative Loan Trust Series 2004-AP2     6.000 #  7/25/2034   678,842 
 567,630   Nomura Asset Acceptance Corp Alternative Loan Trust Series 2005-AP3     5.318 +  8/25/2035   350,337 
 547,357   Nomura Asset Acceptance Corp Alternative Loan Trust Series 2005-AR5     2.744 +  10/25/2035   530,534 
 293,694   Nomura Asset Acceptance Corp Alternative Loan Trust Series 2005-AR6     4.097 +  12/25/2035   297,405 
 926,125   Nomura Home Equity Loan Inc Home Equity Loan Trust Series 2006-AF1  1 Month LIBOR + 0.330 %  0.478 *  10/25/2036   268,367 
 351,509   NovaStar Mortgage Funding Trust Series 2003-1  1 Month LIBOR + 1.425 %  1.573 *  5/25/2033   347,097 
 75,468   NovaStar Mortgage Funding Trust Series 2003-4  1 Month LIBOR + 1.065 %  1.213 *  2/25/2034   75,285 
 1,481,403   NovaStar Mortgage Funding Trust Series 2004-1     0.973 *  6/25/2034   1,448,678 
 516,800   NovaStar Mortgage Funding Trust Series 2004-1  1 Month LIBOR + 1.463 %  1.611 *  6/25/2034   512,554 
 277,836   NovaStar Mortgage Funding Trust Series 2004-2  1 Month LIBOR + 1.020 %  1.168 *  9/25/2034   265,581 
 776,301   NovaStar Mortgage Funding Trust Series 2006-4  1 Month LIBOR + 0.150 %  0.298 *  9/25/2036   464,703 
 1,328,041   Option One Mortgage Loan Trust 2007-FXD2     5.680 #  3/25/2037   1,363,655 
 251,880   Popular ABS Mortgage Pass-Through Trust 2005-B  1 Month LIBOR + 1.250 %  1.398 *  8/25/2035   252,685 
 971,618   Pretium Mortgage Credit Partners I 2020-NPL2 LLC ^     3.721 #  2/27/2060   974,890 
 27,856   Prime Mortgage Trust 2006-CL1  1 Month LIBOR + 0.500 %  0.648 *  2/25/2035   26,548 
 177,845   RAMP Series 2002-RS3 Trust  1 Month LIBOR + 0.975 %  1.123 *  6/25/2032   147,609 
 89,333   RAMP Series 2003-RS9 Trust  1 Month LIBOR + 2.700 %  2.848 *  10/25/2033   89,733 
 2,434,143   RAMP Series 2004-KR1 Trust ^  1 Month LIBOR + 0.870 %  1.018 *  4/25/2034   2,421,821 
 391,269   RAMP Series 2004-RS8 Trust  1 Month LIBOR + 0.900 %  1.048 *  8/25/2034   390,974 
 1,345,275   RAMP Series 2007-RS1 Trust  1 Month LIBOR + 0.170 %  0.318 *  2/25/2037   743,377 
 713,082   RASC Series 2003-KS11 Trust     1.948 *  1/25/2034   701,484 
 218,028   RASC Series 2003-KS4 Trust     5.110 #  6/25/2033   224,570 
 254,492   RASC Series 2004-KS10 Trust     2.623 *  11/25/2034   260,341 
 2,122,101   Renaissance Home Equity Loan Trust     6.254 #  8/25/2036   1,342,694 
 431,110   Renaissance Home Equity Loan Trust     5.909 #  4/25/2037   194,299 
 27,711   Renaissance Home Equity Loan Trust 2002-4     6.543 #  3/25/2033   27,733 
 506,056   Renaissance Home Equity Loan Trust 2004-2     5.914 #  7/25/2034   515,636 
 94,757   Renaissance Home Equity Loan Trust 2004-2     6.011 #  7/25/2034   96,205 
 330,202   Renaissance Home Equity Loan Trust 2007-2     5.675 #  6/25/2037   124,303 
 199,052   Renaissance Home Equity Loan Trust 2007-3     7.238 #  9/25/2037   116,779 
 442,242   Residential Asset Securitization Trust 2004-A7     5.500    10/25/2034   446,910 
 7,402,012   Residential Asset Securitization Trust 2005-A11CB     4.850    10/25/2035   4,626,199 
 161,025   Residential Asset Securitization Trust 2005-A4  1 Month LIBOR + 0.450 %  0.598 *  4/25/2035   101,103 
 4,349   Residential Asset Securitization Trust 2005-A8CB     5.375    7/25/2035   3,863 
 581,829   Residential Asset Securitization Trust 2006-A1     6.000    4/25/2036   419,324 

 

 

CATALYST FUNDS
CATALYST ENHANCED INCOME STRATEGY FUND
PORTFOLIO OF INVESTMENTS (Unaudited) (Continued)
September 30, 2020

 

Principal      Variable Rate  Coupon Rate (%)    Maturity  Value 
     COLLATERALIZED MORTGAGE OBLIGATIONS (Continued) - 94.2 %                
$423,696   Residential Asset Securitization Trust 2006-A6     6.000    7/25/2036  $155,516 
 1,541,626   Residential Asset Securitization Trust 2007-A1     5.750    3/25/2037   878,385 
 254,172   Residential Asset Securitization Trust 2007-A8     6.000    8/25/2037   210,240 
 23,152   RFMSI Series 2005-SA3 Trust     3.305 +  8/25/2035   21,491 
 1,132,105   RFMSI Series 2006-S11 Trust     6.000    11/25/2036   1,111,611 
 90,323   RFMSI Series 2006-S3 Trust     5.500    3/25/2036   87,607 
 2,260,558   RFMSI Series 2007-S1 Trust     6.000    1/25/2037   2,227,024 
 87,320   RFMSI Series 2007-S6 Trust     6.000    6/25/2037   86,458 
 1,008,343   Saxon Asset Sec Trust 2000 1 Mtg Ln Asset Bk Cert Ser 2000 1     9.760 +  2/25/2030   1,099,910 
 98,371   Saxon Asset Securities Trust 2004-2     6.000 #  8/25/2035   96,531 
 40,875   SCF Equipment Leasing 2017-1 LLC ^     3.770    1/20/2023   41,029 
 40,049   Securitized Asset Backed Receivables LLC Trust 2005-FR2  1 Month LIBOR + 0.975 %  1.123 *  3/25/2035   40,070 
 419,159   Specialty Underwriting & Residential Finance Trust Series 2006-BC5  1 Month LIBOR + 0.100 %  0.248 *  11/25/2037   285,710 
 330,074   Structured Adjustable Rate Mortgage Loan Trust     2.520 +  1/25/2035   319,164 
 445,835   Structured Adjustable Rate Mortgage Loan Trust     3.686 +  4/25/2035   443,791 
 235,708   Structured Asset Investment Loan Trust 2004-5  1 Month LIBOR + 1.725 %  1.873 *  5/25/2034   231,921 
 217,813   Structured Asset Investment Loan Trust 2004-9  1 Month LIBOR + 1.950 %  2.098 *  10/25/2034   213,229 
 658,134   Structured Asset Securities Corp. ^     4.747 +  4/15/2027   653,627 
 15,658   Structured Asset Securities Corp. Mor Cer Ser 2003-31A     3.384 +  10/25/2033   15,557 
 10,628   Structured Asset Securities Corp. Mortgage Pass-through Certificates 2004-S2  1 Month LIBOR + 3.225 %  3.373 *  6/25/2034   10,644 
 181,855   Structured Asset Securities Corp. Mortgage Pass-Through Ctfs Ser 2003-34A     3.847 +  11/25/2033   175,747 
 247,513   TBW Mortgage-Backed Trust Series 2006-2     5.500    7/25/2036   117,796 
 5,491,757   TBW Mortgage-Backed Trust Series 2006-3     6.500    7/25/2036   2,616,104 
 650,629   Terwin Mortgage Trust 2004-1HE ^  1 Month LIBOR + 2.475 %  2.623 *  2/25/2034   619,377 
 115,815   Terwin Mortgage Trust 2004-7HE ^  1 Month LIBOR + 0.850 %  0.998 *  7/25/2034   112,287 
 6,520,420   Terwin Mortgage Trust 2006-3 ^  1 Month LIBOR + 0.310 %  0.458 *  4/25/2037   2,012,089 
 1,250,000   Theorem Funding Trust 2020-1 ^     3.950    10/15/2026   1,259,633 
 24,440   Thornburg Mortgage Securities Trust 2006-4     3.572 +  7/25/2036   22,641 
 2,408,353   Thornburg Mortgage Securities Trust 2007-2  12 Month LIBOR + 1.250 %  1.622 *  6/25/2037   2,253,376 
 383,898   Truman Capital Mortgage Loan Trust ^  1 Month LIBOR + 2.550 %  2.698 *  1/25/2034   381,895 
 249,879   WaMu Mortgage Pass-Through Certificates Series 2003-AR9 Trust     3.012 +  9/25/2033   234,469 
 132,680   WaMu Mortgage Pass-Through Certificates Series 2004-AR14 Trust     3.829 +  1/25/2035   133,964 
 24,011,857   WaMu Mortgage Pass-Through Certificates Series 2005-AR15 Trust     2.437 +  11/25/2045   1,444,431 
 352,975   WaMu Mortgage Pass-Through Certificates Series 2005-AR16 Trust     3.731 +  12/25/2035   346,484 
 91,201   Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2006-1 Trust     5.500    2/25/2021   90,636 
 1,341,011   Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2006-7 Trust     6.086 #  9/25/2036   580,086 
 1,505,773   Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2006-9 Trust     4.568 #  10/25/2036   605,206 
 912,590   Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2006-9 Trust     4.568 #  10/25/2036   369,179 
 516,894   Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2007-3 Trust     6.000    4/25/2037   497,693 
 70,491   Wells Fargo Alternative Loan 2007-PA2 Trust  1 Month LIBOR + 0.430 %  0.578 *  6/25/2037   56,541 
 43,841   Wells Fargo Mortgage Backed Securities 2006-AR12 Trust     2.963 +  9/25/2036   39,281 
     TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost - $163,283,085)              169,750,279 
     U.S. GOVERNMENT AGENCY OBLIGATIONS - 3.7 %                
     INTEREST ONLY FEDERAL HOME LOAN MORTGAGE ASSOCIATION - 0.9 %                
 653,627   Freddie Mac REMICS 4205 AI     2.500    5/15/2028   35,660 
 807,864   Freddie Mac REMICS 3349 SM  1 Month LIBOR + 6.000 %  5.848 *  7/15/2037   148,431 
 5,125,942   Freddie Mac REMICS 4175 ES  1 Month LIBOR + 6.150 %  5.998 *  6/15/2038   237,342 
 65,378   Freddie Mac REMICS 4679 DI     3.500    10/15/2038   105 
 9,690,019   Freddie Mac REMICS 4199 SD  1 Month LIBOR + 6.200 %  6.048 *  6/15/2039   307,208 
 1,337,852   Freddie Mac REMICS 4103 DS  1 Month LIBOR + 6.150 %  5.998 *  9/15/2040   105,525 
 1,514,865   Freddie Mac REMICS 4535 HI     3.000    3/15/2041   44,031 
 469,192   Freddie Mac REMICS 3980 TS  1 Month LIBOR + 6.500 %  6.348 *  9/15/2041   80,606 
 1,657,659   Freddie Mac REMICS 4680 LI     4.000    10/15/2043   95,364 
 206,384   Freddie Mac REMICS 4449 PI     4.000    11/15/2043   17,771 
 6,635,516   Freddie Mac REMICS 4672 AI     4.500    3/15/2045   405,448 
 1,095,557   Freddie Mac REMICS 4818 BI     4.000    3/15/2045   55,751 
 299,739   Freddie Mac REMICS 4840 IA     4.000    9/15/2045   1,758 
 235,869   Freddie Mac REMICS 4840 GI     4.000    5/15/2046   2,334 
                    1,537,334 

 

 

CATALYST FUNDS
CATALYST ENHANCED INCOME STRATEGY FUND
PORTFOLIO OF INVESTMENTS (Unaudited) (Continued)
September 30, 2020

 

Principal      Variable Rate  Coupon Rate (%)    Maturity  Value 
     U.S. GOVERNMENT AGENCY OBLIGATIONS (Continued) - 3.7 %                
     FEDERAL NATIONAL MORTGAGE ASSOCIATION - 0.2 %                
$207,394   Fannie Mae REMICS 2013-42 PD     1.250    5/25/2043  $209,772 
 208,035   Fannie Mae REMICS 2017-96 KT  1 Month LIBOR + 16.000 %  4.000 *  12/25/2057   208,835 
                    418,607 
     INTEREST ONLY FEDERAL NATIONAL MORTGAGE ASSOCIATION - 2.1 %                
 859,975   Fannie Mae REMICS 2012-126 DI     3.000    11/25/2027   58,433 
 1,586,914   Fannie Mae REMICS 2013-109 AS  1 Month LIBOR + 6.150 %  6.002 *  11/25/2030   81,072 
 218,965   Fannie Mae REMICS 2012-47 QH     4.000    5/25/2038   757 
 4,406,764   Fannie Mae REMICS 2012-99 AI     3.500    5/25/2039   157,713 
 375,015   Fannie Mae REMICS 2012-103 LI     4.500    5/25/2039   2,706 
 4,321,844   Fannie Mae REMICS 2012-94 YS  1 Month LIBOR + 6.650 %  6.502 *  6/25/2039   541,061 
 1,137,821   Fannie Mae REMICS 2012-111 JS  1 Month LIBOR + 6.100 %  5.952 *  7/25/2040   60,691 
 1,700,924   Fannie Mae REMICS 2010-135 MS  1 Month LIBOR + 5.950 %  5.802 *  12/25/2040   273,070 
 2,455,345   Fannie Mae REMICS 2011-124 NS  1 Month LIBOR + 6.500 %  6.352 *  12/25/2041   460,466 
 150,051   Fannie Mae REMICS 2012-88 SB  1 Month LIBOR + 6.670 %  6.522 *  7/25/2042   28,375 
 5,837,368   Fannie Mae REMICS 2017-30 MI     4.000    2/25/2044   582,540 
 132,137   Fannie Mae REMICS 2017-6 MI     4.000    8/25/2044   10,216 
 542,994   Fannie Mae REMICS 2016-3 NI     6.000    2/25/2046   121,471 
 1,812,509   Fannie Mae REMICS 2017-112 SC  1 Month LIBOR + 6.150 %  6.002 *  1/25/2048   329,084 
 2,158,934   Fannie Mae REMICS 2019-37 CI     4.500    9/25/2048   369,387 
 5,734,893   Fannie Mae REMICS 2019-34 KI     4.000    7/25/2049   415,117 
 2,582,083   Fannie Mae REMICS 2020-14 BI     4.000    3/25/2050   320,866 
                    3,813,025 
     INTEREST ONLY GOVERNMENT NATIONAL MORTGAGE ASSOCIATION - 0.5 %                
 1,296,675   Government National Mortgage Association 2004-56 S  1 Month LIBOR + 7.65 %  7.494 *  6/20/2033   245,214 
 167,169   Government National Mortgage Association 2018-1 IA     4.500    1/20/2035   1,010 
 2,491,719   Government National Mortgage Association 2019-58 IO     2.193 +  10/20/2039   160,775 
 2,473,991   Government National Mortgage Association 2010-131 SB  1 Month LIBOR + 6.05 %  5.898 *  4/16/2040   164,391 
 1,723,481   Government National Mortgage Association 2014-118 AI     3.500    5/16/2040   107,017 
 361,181   Government National Mortgage Association 2012-36 QS  1 Month LIBOR + 6.62 %  6.464 *  3/20/2042   63,673 
 3,373,149   Government National Mortgage Association 2018-154 DI     4.000    1/20/2045   241,028 
                    983,108 
     TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS (Cost - $7,845,557)     6,752,074 
                      
Shares                    
     SHORT-TERM INVESTMENT - 1.8 %                
     MONEY MARKET FUND - 1.8 %                
 3,169,919   First American Government Obligations Fund - Institutional Class 0.07 % **              3,169,919 
     TOTAL SHORT-TERM INVESTMENT (Cost - $3,169,919)                
                      
     TOTAL INVESTMENTS - 99.7 % (Cost - $174,298,561)             $179,672,272 
     OTHER ASSETS LESS LIABILITIES - 0.3 %              503,510 
     NET ASSETS - 100.0 %             $180,175,782 

 

*Floating Rate, rate shown represents the rate at September 30, 2020.

 

#Variable or Floating rate security, the interest rate of which adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets.

 

+Step Rate, rate shown represents the rate at September 30, 2020.

 

**Rate shown represents the rate at September 30, 2020, is subject to change and resets daily.

 

^Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be sold in transactions exempt from registration, normally to qualified institutional buyers. As of September 30, 2020 the total market value of 144A securities is $30,522,750 or 16.94% of net assets.

 

 

CATALYST FUNDS
CATALYST/TEZA ALGORITHMIC ALLOCATION FUND
CONSOLIDATED PORTFOLIO OF INVESTMENTS (Unaudited)
September 30, 2020

 

Shares             Value 
     EXCHANGE TRADED FUNDS - 43.4 %     
     DEBT FUNDS - 43.4 %     
 4,400   iShares Aaa - A Rated Corporate Bond ETF  $254,452 
 4,300   iShares Broad USD Investment Grade Corporate Bond ETF   261,354 
 5,900   iShares iBoxx $ Investment Grade Corporate Bond ETF   794,789 
 2,300   PIMCO Investment Grade Corporate Bond Index Exchange-Traded Fund   263,718 
 7,100   SPDR Portfolio Intermediate Term Corporate Bond ETF   260,996 
 16,200   SPDR Portfolio Short Term Corporate Bond ETF   508,194 
 8,200   Vanguard Intermediate-Term Corporate Bond ETF   785,560 
 4,700   WisdomTree Yield Enhanced US Aggregate Bond Fund   252,954 
     TOTAL EXCHANGE TRADED FUNDS (Cost - $3,252,506)   3,382,017 
                   
     SHORT-TERM INVESTMENT - 18.3 %     
     MONEY MARKET FUND - 18.3 %     
 1,427,779   First American Government Obligations Fund - Institutional Class, 0.07% *   1,427,779 
     TOTAL SHORT-TERM INVESTMENT (Cost - $1,427,779)     
                   
Principal      Coupon Rate (%)   Maturity     
     UNITED STATES GOVERNMENT SECURITY - 5.1 %             
$400,000   United States Treasury Bill ^   0.100   12/10/2020   399,934 
     TOTAL UNITED STATES GOVERNMENT SECURITY (Cost - $399,920)     
                   
     TOTAL INVESTMENTS - 66.8 % (Cost - $5,080,205)          $5,209,730 
     OTHER ASSETS LESS LIABILITIES - 33.2 %           2,591,005 
     NET ASSETS - 100.0 %          $7,800,735 
                   
                Unrealized 
                Appreciation 
Contracts      Notional    Maturity  (Depreciation) 
     OPEN LONG FUTURES CONTRACTS - 0.5 %             
 26   Australian 10 Year Bond Future  $2,784,011   December-20  $11,302 
 10   CAC 40 10 Euro Future   562,989   October-20   (11,135)
 90   CBOT 10 Year US Treasury Note   12,557,790   December-20   (2,429)
 6   CBOT Soybean Future +   307,050   November-20   17,213 
 4   CBOT Soybean Meal Future +   137,120   December-20   4,230 
 4   CBOT Soybean Oil Future +   79,512   December-20   1,902 
 24   CBOT US Long Bond Future   4,230,744   December-20   (6,912)
 2   CME Lean Hogs Future +   50,480   December-20   (860)
 6   DAX Mini Future   449,559   December-20   (3,767)
 10   E-Mini Russell 2000 Index Future   752,200   December-20   7,335 
 8   FTSE 100 Index Future   604,152   December-20   (8,837)
 44   FTSE China A50 Future   665,280   October-20   (3,350)
 8   Japan 10 Year Bond Future   11,531,129   December-20   7,126 
 67   Montreal Exchange 10 Year Canadian Bond Future   7,614,651   December-20   (7,962)
 3   NASDAQ 100 E-Mini Index Future   684,438   December-20   17,328 
 7   NYBOT CSC Cocoa Future +   178,220   December-20   (1,070)
 2   NYBOT CSC Number 11 World Sugar Future +   30,262   February-21   392 
 2   NYMEX Platinum Future +   90,920   January-21   3,170 
 4   NYMEX Reformulated Gasoline Blendstock for Oxygen Blending RBOB Future +   198,509   October-20   (286)
 8   S&P/TSX 60 IX Future   1,151,713   December-20   (3,330)
 5   S&P 500 E-Mini Future   838,000   December-20   13,538 
 6   SPI 200 Future   623,788   December-20   (8,125)
 30   WCE Canola Future +   233,756   November-20   7,778 
 9   YEN DENOM NIKKEI Index Future   992,064   December-20   8,076 
     Net Unrealized Gain From Open Long Futures Contracts          $41,327 

 

 

CATALYST FUNDS
CATALYST/TEZA ALGORITHMIC ALLOCATION FUND
CONSOLIDATED PORTFOLIO OF INVESTMENTS (Unaudited) (Continued)
September 30, 2020

 

              Unrealized 
              Appreciation 
Contracts      Notional   Maturity  (Depreciation) 
     OPEN SHORT FUTURES CONTRACTS - 0.5 %             
 6   CBOT Corn Future +  $113,700   December-20  $(7,738)
 7   CBOT Wheat Future +   202,300   December-20   (14,663)
 4   CME Live Cattle Future +   179,760   December-20   (2,930)
 1   COMEX Copper Future +   75,813   December-20   (1,125)
 1   COMEX Gold 100 Troy Ounces Future +   189,550   December-20   (490)
 1   ICE Brent Crude Oil Future +   42,300   October-20   260 
 4   ICE Gas Oil Future +   131,800   October-20   (2,350)
 3   KCBT Hard Red Winter Wheat Future +   76,462   December-20   (7,162)
 5   NYBOT CTN Number 2 Cotton Future +   164,475   December-20   (1,355)
 2   NYMEX NY Harbor ULSD Futures +   96,785   October-20   126 
     Net Unrealized Gain From Open Short Futures Contracts          $(37,427)
     Total Unrealized Gain From Open Futures Contracts          $3,900 

 

*Rate shown represents the rate at September 30, 2020, is subject to change, and resets daily.

 

+All of this investment is a holding of the CTAAIF Fund Limited.

 

 

CATALYST FUNDS
NOTES TO PORTFOLIOS OF INVESTMENTS (Unaudited)
September 30, 2020

 

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 Warrington Strategic Program Fund (the “Fund”) invests a portion of its 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 September 30, 2020, 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, 2020, for each Fund’s assets and liabilities measured at fair value:

 

Small-Cap Insider Buying Fund 
Assets(a)  Level 1   Level 2   Level 3   Total 
Common Stock  $6,345,544   $—   $—   $6,345,544 
Collateral for Securities Loaned   —    1,980,030    —    1,980,030 
Total Assets  $6,345,544   $1,980,030   $—   $8,325,574 
                     
Insider Buying Fund 
Assets(a)  Level 1   Level 2   Level 3   Total 
Common Stock  $41,782,559   $—   $—   $41,782,559 
Collateral for Securities Loaned   —    9,353,624    —    9,353,624 
Total Assets  $41,782,559   $9,353,624   $—   $51,136,183 
                     
Hedged Commodity Strategy Fund 
Assets(a)  Level 1   Level 2   Level 3   Total 
Call Options Purchased  $6,534,880   $—   $—   $6,534,880 
Put Options Purchased   697,600    —    —    697,600 
United States Government Securities   —    9,850,544    —    9,850,544 
Short-Term Investments   21,596,323    —    —    21,596,323 
Total Assets  $28,828,803   $9,850,544   $—   $38,679,347 
Liabilities(a)     
Call Options Written  $5,207,634   $—   $—   $5,207,634 
Futures Contracts   10,726    —    —    10,726 
Put Options Written   389,133    —    —    389,133 
Total Liabilities  $5,607,493   $—   $—   $5,607,493 

 

 

CATALYST FUNDS
NOTES TO PORTFOLIOS OF INVESTMENTS (Unaudited) (Continued)
September 30, 2020

 

Warrington Strategic Program Fund 
Assets(a)  Level 1   Level 2   Level 3   Other   Total 
Call Options Purchased  $296,000   $—   $—   $—   $296,000 
Put Options Purchased   979,800    —    —    —    979,800 
Prime Meridian Income QP Fund (1)  $—   $—   $—   $13,694,543   $13,694,543 
Short-Term Investments   10,053,848    —    —    —    10,053,848 
Total Assets  $11,329,648   $—   $—   $13,694,543   $25,024,191 
Liabilities(a)       
Call Options Written  $156,000   $—   $—   $—   $156,000 
Put Options Written   965,300    —    —    —    965,300 
Total Liabilities  $1,121,300   $—   $—   $—   $1,121,300 
                          
Insider Income Fund         
Assets(a)  Level 1   Level 2   Level 3   Total         
Convertible Bonds  $—   $13,278,699   $—   $13,278,699         
Corporate Bonds   —    44,223,503    —    44,223,503         
Short-Term Investments   1,348,433    —    —    1,348,433         
Total Assets  $1,348,433   $57,502,202   $—   $58,850,635         
                             
Systematic Alpha Fund         
Assets(a)  Level 1   Level 2   Level 3   Total         
Open Ended Fund  $2,216,722    —    —   $2,216,722         
Short-Term Investments   555,714    —    —    555,714         
Total Assets  $2,772,436   $—   $—   $2,772,436         
Derivatives(a)                
Assets(a)              
Total Return Swaps  $—   $11,877   $—   $11,877         
Total Derivatives  $—   $11,877   $—   $11,877         
                             
Multi Strategy Fund         
Assets(a)  Level 1   Level 2   Level 3   Total         
REITS  $519,903   $—   $—   $519,903         
Exchange Traded Funds   882,676    —    —    882,676         
Open Ended Fund   336,646    —    —    336,646         
Short-Term Investments   764,389    —    —    764,389         
Total Assets  $2,503,614   $—   $—   $2,503,614         
Derivatives(a)              
Assets                            
Futures Contracts  $79,467   $—   $—   $79,467         
Total Derivatives  $79,467   $—   $—   $79,467         
                             
Dynamic Alpha Fund         
Assets(a)  Level 1   Level 2   Level 3   Total         
Common Stock  $175,934,742   $—   $—   $175,934,742         
Collateral for Securities Loaned   —    9,216,592    —    9,216,592         
Total Assets  $175,934,742   $9,216,592   $—   $185,151,334         
                             
Buyback Strategy Fund         
Assets(a)  Level 1   Level 2   Level 3   Total         
Common Stock  $10,374,183   $—   $—   $10,374,183         
Collateral for Securities Loaned   —    1,878,998    —    1,878,998         
Total Assets  $10,374,183   $1,878,998   $—   $12,253,181         
                             
EAVOL NASDAQ-100 Volatility Overlay Fund         
Assets(a)  Level 1   Level 2   Level 3   Total         
Exchange Traded Fund  $896,963   $—   $—   $896,963         
Total Assets  $896,963   $—   $—   $896,963         
                             
Lyons Tactical Allocation Fund         
Assets(a)  Level 1   Level 2   Level 3   Total         
Common Stock  $36,849,472   $—   $—   $36,849,472         
Put Options Purchased   72,180    —    —    72,180         
Total Assets  $36,921,652   $—   $—   $36,921,652         
                             
MAP Global Equity Fund         
Assets(a)  Level 1   Level 2   Level 3   Total         
Common Stock  $44,037,886   $—   $—   $44,037,886         
Closed-End Fund   2,640,960    —    —    2,640,960         
Total Assets  $46,678,846   $—   $—   $46,678,846         
Liabilities(a)           
Call Options Written  $8,800   $—   $—   $8,800         
Total Liabilities  $8,800   $—   $—   $8,800         

 

 

CATALYST FUNDS
NOTES TO PORTFOLIOS OF INVESTMENTS (Unaudited) (Continued)
September 30, 2020

 

MAP Global Balanced Fund 
Assets(a)  Level 1   Level 2   Level 3   Total 
Common Stock  $13,739,572   $—   $—   $13,739,572 
Convertible Bonds   —    250,070    —    250,070 
Corporate Bonds   —    6,604,536    —    6,604,536 
Mutual Fund   430,990    —    —    430,990 
Total Assets  $14,170,562   $6,854,606   $—   $21,025,168 
Liabilities(a,b)        
Call Options Written  $107,925   $—   $—   $107,925 
Total Liabilities  $107,925   $—   $—   $107,925 
                     
Millburn Hedge Strategy Fund 
Assets(a)  Level 1   Level 2   Level 3   Total 
Exchange Traded Funds  $1,332,770,458   $—   $—   $1,332,770,458 
U.S. Government & Agencies   —    775,831,716    —    775,831,716 
Total Assets  $1,332,770,458   $775,831,716   $—   $2,108,602,174 
Derivatives(a) 
Assets       
Futures Contracts  $31,021,534   $—   $—   $31,021,534 
Forward Contracts   —    87,330,664    —    87,330,664 
Total  $31,021,534   $87,330,664   $—   $118,352,198 
Liabilities       
Futures Contracts  $4,964,408   $—   $—   $4,964,408 
Forward Contracts   —    64,116,963    —    64,116,963 
Total  $4,964,408   $64,116,963   $—   $69,081,371 
                     
Energy Infrastructure Fund 
Assets(a)  Level 1   Level 2   Level 3   Total 
Common Stock  $80,849,718   $—   $—   $80,849,718 
Total Assets  $80,849,718   $—   $—   $80,849,718 
                     
Floating Rate Income Fund 
Assets(a)  Level 1   Level 2   Level 3   Total 
Common Stock  $118,818   $—   $—   $118,818 
Asset Backed Securities   —    2,180,733    —    2,180,733 
Corporate Bonds   —    3,492,376    —    3,492,376 
Bank Loans   —    94,646,918    —    94,646,918 
Short-Term Investments   6,421,101    —    —    6,421,101 
Total Assets  $6,539,919   $100,320,027   $—   $106,859,946 
                     
High Income Fund 
Assets(a)  Level 1   Level 2   Level 3   Total 
Common Stock  $—   $—   $119,714   $119,714 
Convertible Bonds   —    2,449,325    —    2,449,325 
Corporate Bonds   —    14,386,880    —    14,386,880 
Warrant   —    —    100,170    100,170 
Collateral for Securities Loaned   4,071,405    —    —    4,071,405 
Total Assets  $4,071,405   $16,836,205   $219,884   $21,127,494 
                     
Total Return Income Fund 
Assets(a)  Level 1   Level 2   Level 3   Total 
Business Development Companies  $1,463,037   $—   $—   $1,463,037 
Common Stock   2,850,278    —    —    2,850,278 
Partnership Shares   577,346    —    —    577,346 
REITs   608,614    —    —    608,614 
Exchanged Traded Funds   435,215    —    —    435,215 
Convertible Bonds   —    1,101,214    —    1,101,214 
Corporate Bonds   —    6,423,207    —    6,423,207 
Warrant   9,959    —    —    9,959 
Collateral for Securities Loaned   4,195,921    —    —    4,195,921 
Total Assets  $10,140,370   $7,524,421   $—   $17,664,791 
                     
Stone Beach Income Opportunity Fund 
Assets(a)  Level 1   Level 2   Level 3   Total 
REITS  $686,540   $—   $—   $686,540 
Exchanged Traded Funds   1,370,550    —    —    1,370,550 
Preferred Stock   809,186    —    —    809,186 
Asset Backed Securities   —    1,064,131    —    1,064,131 
Collateralized Mortgage Obligations   —    17,197,518    —    17,197,518 
U.S. Government & Agencies   —    7,643,135    —    7,643,135 
Put Options Purchased   49,823    —    —    49,823 
Short-Term Investments   1,077,357    —    —    1,077,357 
Total Assets  $3,993,456   $25,904,784   $—   $29,898,240 
Derivatives(a) 
Liabilities       
Futures Contracts  $14,803   $—   $—   $14,803 
Call Options Written   5,712    —    —    5,712 
Total  $20,515   $—   $—   $20,515 

 

 

CATALYST FUNDS
NOTES TO PORTFOLIOS OF INVESTMENTS (Unaudited) (Continued)
September 30, 2020

 

Exceed Defined Shield Fund                
Assets(a)  Level 1   Level 2   Level 3   Total 
Exchange Traded Funds  $29,562,087   $—   $—   $29,562,087 
Corporate Bonds   —    25,028,138    —    25,028,138 
Call Options Purchased   3,143,344    1,725,438    —    4,868,782 
Put Options Purchased   2,136,377    579,630    —    2,716,007 
Total Assets  $34,841,808   $27,333,206   $—   $62,175,014 
Liabilities(a)       
Call Options Written  $1,055,232   $36,270   $—   $1,091,502 
Put Options Written   2,571,146    919,500    —    3,490,646 
Total Liabilities  $3,626,378   $955,770   $—   $4,582,148 
                     
Enhanced Income Fund                
Assets(a)  Level 1   Level 2   Level 3   Total 
Collateralized Loan Obligations  $—   $169,750,279   $—   $169,750,279 
U.S. Government Agency Obligations   —    6,752,074    —    6,752,074 
Short-Term Investment   3,169,919    —    —    3,169,919 
Total Assets  $3,169,919   $176,502,353   $—   $179,672,272 
                     
Teza Algorithmic Allocation Income Fund                
Assets(a)  Level 1   Level 2   Level 3   Total 
Exchange Traded Funds  $3,382,017   $—   $—   $3,382,017 
U.S. Government Securities   —    399,934    —    399,934 
Short-Term Investments   1,427,779    —    —    1,427,779 
Total Assets  $4,809,796   $399,934   $—   $5,209,730 
Derivatives(a) 
Assets       
Futures Contracts  $3,900   $—   $—   $3,900 
Total  $3,900   $—   $—   $3,900 

 

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

 

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

 

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.

 

The High Income Fund and Total Return Income 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 for which Level 3 inputs were used in determining value:

 

   High Income          High Income          High Income 
   Energy Conversion Devices, Inc.   PHI Group, Inc.   PHI Group, Inc. 
Beginning balance June 30, 2020  $0   $71,550   $85,510 
Total realized gain/(loss)   —    —    — 
Change in unrealized appreciation   —    28,620    34,204 
Capital distribution   —    —    — 
Tax basis adjustment   —    —    — 
Net transfers in/(out) of Level 3               
Ending balance September 30, 2020  $—   $100,170   $119,714 
                
   Total Return Income   Total Return Income     
   Energy Conversion   Community Choice     
   Devices, Inc.   Financial, Inc.     
Beginning balance June 30, 2020  $0   $0      
Total realized gain/(loss)   —    —      
Change in unrealized appreciation   —    —      
Capital distribution   —    —      
Tax basis adjustment   —    —      
Net transfers in/(out) of Level 3   —           
Ending balance September 30, 2020  $—   $—      

 

Quantitative disclosures of unobservable inputs and assumptions used by High Income Fund and Total Return Income Fund.

 

Fund Investment Type Fair Value Valuation
Methodology		 Unobservable Input Type Market Value
impact if input
increases
High Income Corporate Bonds $0 Bankruptcy Potential Future Cash Payments Increase
High Income Warrant $100,170 No executable broker quote N/A Increase
High Income Common Stock $119,714 No executable broker quote N/A Increase
Total Return Income Common Stock $0 Bankruptcy Potential Future Cash Payments Increase
Total Return Income Corporate Bonds $0 Bankruptcy Potential Future Cash Payments Increase

 

Fair value securities as a percent of net assets at September 30, 2020, were 1.3% and 0.0% for High Income and Total Return Income, respectively.

 

 

CATALYST FUNDS
NOTES TO PORTFOLIOS OF INVESTMENTS (Unaudited) (Continued)
September 30, 2020

 

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

 

Derivatives Risk – The use of derivative instruments, such as forwards, interest rate swaps, futures and options, involves risks different from, or possibly greater than, the risks associated with investing directly in securities and other traditional investments. These risks include (i) the risk that the counterparty to a derivative transaction may not fulfill its contractual obligations; (ii) risk of mispricing or improper valuation; and (iii) the risk that changes in the value of the derivative may not correlate perfectly with the underlying asset, rate or index. Derivative prices are highly volatile and may fluctuate substantially during a short period of time. Such prices are influenced by numerous factors that affect the markets, including, but not limited to: changing supply and demand relationships; government programs and policies; national and international political and economic events, changes in interest rates, inflation and deflation and changes in supply and demand relationships. Trading derivative instruments involves risks different from, or possibly greater than, the risks associated with investing directly in securities.

 

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.

 

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.

 

Securities Lending – The Funds have entered into a Securities Lending Agreement (“Agreement”) with the Bank. Each participating fund can lend their securities to brokers, dealers and other financial institutions approved by the Board to earn additional income. Loans are collateralized at a value at least equal to 105% of the then current Market Value of any loaned security that are foreign, or 102% of the then current market value of any other loaned security. All interest and dividend payments received on securities which are held as collateral, provided that there is no material default, will be paid to the respective Fund. A portion of the income generated by the investment in the collateral, net of any rebates paid by the Bank to the borrowers is remitted to the Bank as lending agent and the remainder is paid to the Fund(s).

 

Although risk is mitigated by the collateral, the Fund could experience a delay in recovering its securities and possible loss of income or value if the Borrower fails to return them. Should the borrower of the securities fail financially, each Fund has the right to repurchase the securities using the collateral in the open market.

 

 

CATALYST FUNDS
NOTES TO PORTFOLIOS OF INVESTMENTS (Unaudited) (Continued)
September 30, 2020

 

The following is a summary of unrealized appreciation/depreciation on the derivative instruments utilized by the Funds as of September 30, 2020, categorized by risk exposure:

 

Fund  Derivative  Risk type  Unrealized 
Hedged Commodity Strategy Fund  Purchased Options  Commodity   (1,452,282)
   Written Options  Commodity   3,002,594 
   Futures  Commodity   (10,726)
Warrington Strategic Program Fund  Purchased Options  Equity   (163,250)
   Written Options  Equity   283,600 
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 
Systematic Alpha Fund  Swap  Total Return Swap   11,877 
Multi Strategy Fund  Futures  Commodity   77,044 
      Interest Rate   2,422 
MAP Global Balanced Fund  Written Options  Equity   (44,010)
Lyons Tactical Allocation  Purchased Options  Equity   (18,570)
MAP Global Equity Fund  Written Options  Equity   (4,787)
Millburn Hedge Strategy Fund  Futures  Commodity   3,493,726 
      Equity   6,487,449 
      Interest Rate   16,075,951 
   Forward Contracts  Foreign Exchange   23,213,701 
Stone Beach Income Opportunity Fund  Futures  Interest Rate   (14,803)
   Purchased Options  Equity   2,245 
   Written Options  Equity   4,947 
Exceed Defined Shield Fund  Purchased Options  Equity   1,094,963 
   Written Options  Equity   1,291,704 
Teza Algorithmic Allocation Income Fund  Futures  Commodity   (4,958)
      Equity   7,733 
      Interest Rate   1,125 

 

The amounts of derivative instruments disclosed on the Portfolio of Investments at September 30, 2020, 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, 2020		    % of Net Assets as
of September 30,
2020		  
  Hedged Commodity – CFC    6/25/2015    $5,726,305    15.39%  
  Multi Strategy – CFC    6/25/2015    680,134    20.94%  
  Systematic – CFC    12/19/2017    741,890    24.78%  
  Millburn – CFC    11/2/2015    144,597,709    5.13%  
  Teza – CFC    12/31/2019    274,772    3.52%  

 

 

CATALYST FUNDS
NOTES TO PORTFOLIOS OF INVESTMENTS (Unaudited) (Continued)
September 30, 2020

 

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   8,168,897    694,188    (537,511)   156,677 
Insider Buying Fund   42,567,412    9,460,845    (892,074)   8,568,771 
Hedged Commodity Strategy Fund   31,523,251    5,434,261    (3,885,658)   1,548,603 
Warrington Strategic Program Fund   22,834,747    2,243,588    (1,175,444)   1,068,144 
Insider Income Fund   57,652,887    1,380,325    (182,577)   1,197,748 
Systematic Alpha Fund   2,796,254    19,582    (31,523)   (11,941)
Multi Strategy Fund   2,620,311    199,003    (236,233)   (37,230)
Dynamic Alpha Fund   144,378,724    41,580,841    (808,231)   40,772,610 
Buyback Strategy Fund   10,593,224    1,930,032    (270,075)   1,659,957 
EAVOL NASDAQ-100 Volatility Overlay Fund   896,825    138    —    138 
Lyons Tactical Allocation Fund   34,144,018    4,658,792    (1,881,158)   2,777,634 
MAP Global Equity Fund   40,268,573    10,458,533    (4,048,260)   6,410,273 
MAP Global Balanced Fund   19,933,608    2,829,985    (1,846,350)   983,635 
Millburn Hedge Strategy Fund   1,938,181,456    323,371,155    (103,679,610)   219,691,545 
Energy Infrastructure Fund   139,883,752    161,129    (59,195,163)   (59,034,034)
Floating Rate Income Fund   108,588,366    477,901    (2,206,321)   (1,728,420)
High Income Fund   25,891,954    606,598    (5,371,058)   (4,764,460)
Total Return Income Fund   25,062,703    747,837    (8,145,749)   (7,397,912)
Stone Beach Income Opportunity Fund   27,297,743    2,137,970    (635,345)   1,502,625 
Exceed Defined Shield Fund   54,703,233    3,443,716    (554,083)   2,889,633 
Enhanced Income Fund   174,354,035    8,149,791    (2,831,554)   5,318,237 
Teza Algorithmic Allocation Income Fund   5,080,205    145,216    (11,791)   133,425