CATALYST INSIDER BUYING FUND |
SCHEDULE OF INVESTMENTS (Unaudited) |
September 30, 2022 |
Shares | Fair Value | |||||||
COMMON STOCKS — 98.0% | ||||||||
APPAREL & TEXTILE PRODUCTS - 2.6% | ||||||||
5,530 | Crocs, Inc.(a) | $ | 379,690 | |||||
AUTOMOTIVE - 1.3% | ||||||||
705 | Tesla, Inc. (a) | 187,001 | ||||||
E-COMMERCE DISCRETIONARY - 4.2% | ||||||||
745 | MercadoLibre, Inc. (a) | 616,696 | ||||||
INSURANCE - 6.8% | ||||||||
76,690 | Ambac Financial Group, Inc.(a),(b) | 977,798 | ||||||
INTERNET MEDIA & SERVICES - 0.6% | ||||||||
305 | Alphabet, Inc., Class C (a) | 29,326 | ||||||
460 | Meta Platforms, Inc., Class A (a) | 62,413 | ||||||
91,739 | ||||||||
MEDICAL EQUIPMENT & DEVICES - 1.9% | ||||||||
670 | Repligen Corporation (a) | 125,364 | ||||||
290 | Thermo Fisher Scientific, Inc. | 147,085 | ||||||
272,449 | ||||||||
METALS & MINING - 22.7% | ||||||||
30,750 | Alliance Resource Partners, L.P. | 704,175 | ||||||
4,820 | Alpha Metallurgical Resources, Inc.(b) | 659,569 | ||||||
4,880 | Arch Resources, Inc.(b) | 578,768 | ||||||
28,400 | Peabody Energy Corporation(a),(b) | 704,888 | ||||||
23,300 | Warrior Met Coal, Inc. | 662,652 | ||||||
3,310,052 | ||||||||
OIL & GAS PRODUCERS - 21.4% | ||||||||
4,300 | Antero Resources Corporation(a) | 131,279 | ||||||
7,530 | Chesapeake Energy Corporation(b) | 709,401 | ||||||
17,450 | EQT Corporation(b) | 711,087 | ||||||
27,750 | Range Resources Corporation(b) | 700,965 | ||||||
114,200 | Southwestern Energy Company(a) | 698,904 | ||||||
6,600 | Vermilion Energy, Inc. | 141,372 | ||||||
3,093,008 |
CATALYST INSIDER BUYING FUND |
SCHEDULE OF INVESTMENTS (Unaudited) (Continued) |
September 30, 2022 |
Shares | Fair Value | |||||||
COMMON STOCKS — 98.0% (Continued) | ||||||||
RENEWABLE ENERGY - 5.0% | ||||||||
1,620 | Enphase Energy, Inc.(a) | $ | 449,501 | |||||
1,195 | SolarEdge Technologies, Inc.(a),(b) | 276,595 | ||||||
726,096 | ||||||||
SOFTWARE - 22.7% | ||||||||
270 | Crowdstrike Holdings, Inc., Class A(a) | 44,499 | ||||||
620 | Digital Turbine, Inc.(a) | 8,934 | ||||||
635 | DocuSign, Inc.(a),(b) | 33,953 | ||||||
450,920 | Hims & Hers Health, Inc.(a),(b) | 2,516,134 | ||||||
70 | Microsoft Corporation | 16,303 | ||||||
2,700 | Okta, Inc.(a) | 153,549 | ||||||
6,550 | RingCentral, Inc., Class A(a) | 261,738 | ||||||
325 | ServiceNow, Inc.(a) | 122,723 | ||||||
2,090 | Twilio, Inc., Class A(a) | 144,503 | ||||||
3,302,336 | ||||||||
SPECIALTY FINANCE - 2.8% | ||||||||
84,080 | SoFi Technologies, Inc.(a),(b) | 410,310 | ||||||
TRANSPORTATION & LOGISTICS - 4.4% | ||||||||
27,250 | ZIM Integrated Shipping Services Ltd.(b) | 640,375 | ||||||
WHOLESALE - CONSUMER STAPLES - 1.6% | ||||||||
2,900 | Archer-Daniels-Midland Company | 233,305 | ||||||
TOTAL COMMON STOCKS (Cost $16,410,552) | 14,240,855 | |||||||
SHORT-TERM INVESTMENT — 32.5% | ||||||||
COLLATERAL FOR SECURITIES LOANED - 32.5% | ||||||||
4,722,320 | Mount Vernon Liquid Assets Portfolio,3.18% (Cost $4,722,320)(c) (d) | 4,722,320 | ||||||
TOTAL INVESTMENTS - 130.5% (Cost $21,132,872) | $ | 18,963,175 | ||||||
LIABILITIES IN EXCESS OF OTHER ASSETS - (30.5)% | (4,437,108 | ) | ||||||
NET ASSETS - 100.0% | $ | 14,526,067 |
CATALYST INSIDER BUYING FUND |
SCHEDULE OF INVESTMENTS (Unaudited) (Continued) |
September 30, 2022 |
LP - Limited Partnership
LTD - Limited Company
(a) | Non-income producing security. |
(b) | All or a portion of the security is on loan. The total fair value of the securities on loan as of September 30, 2022 was $4,626,864. |
(c) | Rate disclosed is the seven day effective yield as of September 30, 2022. |
(d) | Mutual Fund Series Trusts 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/MILLBURN DYNAMIC COMMODITY STRATEGY FUND |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) |
September 30, 2022 |
Shares | Fair Value | |||||||
COMMON STOCKS — 21.4% | ||||||||
AUTOMOTIVE - 1.2% | ||||||||
22,827 | Sumitomo Electric Industries Ltd. | $ | 230,904 | |||||
CHEMICALS - 1.2% | ||||||||
989 | Air Liquide S.A. | 113,931 | ||||||
396 | Linde PLC | 106,758 | ||||||
220,689 | ||||||||
ELECTRIC UTILITIES - 1.3% | ||||||||
6,425 | Brookfield Renewable Partners, L.P. | 201,103 | ||||||
6,074 | Fusion Fuel Green PLC(a) | 30,309 | ||||||
231,412 | ||||||||
ELECTRICAL EQUIPMENT - 4.4% | ||||||||
1,791 | Bloom Energy Corporation, Class A(a) | 35,802 | ||||||
17,214 | Furukawa Electric Company Ltd. | 272,727 | ||||||
1,971 | Nexans S.A. | 177,496 | ||||||
3,462 | NKT A/S(a) | 164,637 | ||||||
6,850 | Prysmian SpA | 198,821 | ||||||
849,483 | ||||||||
INSTITUTIONAL FINANCIAL SERVICES - 6.0% | ||||||||
3,096 | Cboe Global Markets, Inc. | 363,378 | ||||||
1,574 | CME Group, Inc. | 278,803 | ||||||
7,526 | Hong Kong Exchanges & Clearing Ltd. | 258,483 | ||||||
2,907 | Intercontinental Exchange, Inc. | 262,647 | ||||||
1,163,311 | ||||||||
RENEWABLE ENERGY - 1.4% | ||||||||
5,503 | Ballard Power Systems, Inc.(a) | 33,678 | ||||||
27,434 | Cell Impact A.B.(a) | 30,724 | ||||||
6,361 | Ceres Power Holdings PLC(a) | 26,247 | ||||||
9,880 | FuelCell Energy, Inc.(a) | 33,691 | ||||||
19,771 | ITM Power PLC(a) | 23,094 | ||||||
4,411 | McPhy Energy S.A.(a) | 41,019 | ||||||
34,021 | NEL ASA(a) | 37,809 | ||||||
1,567 | Plug Power, Inc.(a) | 32,923 | ||||||
259,185 |
CATALYST/MILLBURN DYNAMIC COMMODITY STRATEGY FUND |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) (Continued) |
September 30, 2022 |
Shares | Fair Value | |||||||
COMMON STOCKS — 21.4% (Continued) | ||||||||
SPECIALTY REIT - 2.3% | ||||||||
21,144 | Farmland Partners, Inc. | $ | 267,894 | |||||
9,708 | Gladstone Land Corporation | 175,715 | ||||||
443,609 | ||||||||
TIMBER REIT - 3.6% | ||||||||
7,986 | PotlatchDeltic Corporation | 327,746 | ||||||
5,662 | Rayonier, Inc. | 169,690 | ||||||
6,357 | Weyerhaeuser Company | 181,556 | ||||||
678,992 | ||||||||
TOTAL COMMON STOCKS (Cost $4,762,302) | 4,077,585 | |||||||
EXCHANGE-TRADED FUNDS — 26.7% | ||||||||
EQUITY - 23.7% | ||||||||
17,199 | First Trust Global Wind Energy ETF | 260,116 | ||||||
2,799 | First Trust NASDAQ Clean Edge Smart Grid Infrastructure Index Fund | 210,597 | ||||||
10,001 | Global X US Infrastructure Development ETF | 230,623 | ||||||
2,367 | Invesco Solar ETF(a) | 174,235 | ||||||
3,859 | Invesco Water Resources ETF | 176,549 | ||||||
14,561 | iShares Emerging Markets Infrastructure ETF | 276,375 | ||||||
10,002 | iShares Global Clean Energy ETF | 190,938 | ||||||
7,226 | iShares Global Infrastructure ETF | 302,263 | ||||||
3,271 | iShares Global Timber & Forestry ETF | 214,022 | ||||||
20,205 | Utilities Select Sector SPDR Fund | 1,323,629 | ||||||
5,719 | VanEck Agribusiness ETF | 461,408 | ||||||
1,238 | VanEck Environmental Services ETF | 161,822 | ||||||
3,587 | VanEck Natural Resources ETF | 155,367 | ||||||
1,240 | VanEck Rare Earth/Strategic Metals ETF | 103,329 | ||||||
2,372 | VanEck Steel ETF | 113,263 | ||||||
4,050 | VanEck Uranium + Nuclear Energy ETF | 209,183 | ||||||
4,563,719 | ||||||||
FIXED INCOME - 3.0% | ||||||||
5,455 | iShares TIPS Bond ETF | 572,230 |
CATALYST/MILLBURN DYNAMIC COMMODITY STRATEGY FUND |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) (Continued) |
September 30, 2022 |
Shares | Fair Value | |||||||||||
TOTAL EXCHANGE-TRADED FUNDS (Cost $5,872,506) | $ | 5,135,949 | ||||||||||
Principal | Coupon Rate | |||||||||||
Amount ($) | (%) | Maturity | ||||||||||
U.S. GOVERNMENT & AGENCIES — 10.9% | ||||||||||||
U.S. TREASURY NOTES — 10.9% | ||||||||||||
700,000 | United States Treasury Note | 1.6250 | 11/15/22 | 698,756 | ||||||||
525,000 | United States Treasury Note | 2.0000 | 02/15/23 | 521,708 | ||||||||
525,000 | United States Treasury Note | 1.7500 | 05/15/23 | 517,551 | ||||||||
350,000 | United States Treasury Note | 2.5000 | 08/15/23 | 344,833 | ||||||||
2,082,848 | ||||||||||||
TOTAL U.S. GOVERNMENT & AGENCIES (Cost $2,099,118) | 2,082,848 | |||||||||||
Shares | ||||||||||||
SHORT-TERM INVESTMENTS — 25.2% | ||||||||||||
MONEY MARKET FUNDS - 25.2% | ||||||||||||
4,815,634 | First American Government Obligations Fund, Class U, 2.79% (Cost $4,815,634)(b) | 4,815,634 | ||||||||||
TOTAL INVESTMENTS - 84.2% (Cost $17,549,560) | $ | 16,112,016 | ||||||||||
OTHER ASSETS IN EXCESS OF LIABILITIES- 15.8% | 3,026,268 | |||||||||||
NET ASSETS - 100.0% | $ | 19,138,284 |
OPEN FUTURES CONTRACTS | ||||||||||||||
Number of Contracts | Open Long Futures Contracts | Expiration | Notional Amount(c) | Value and Unrealized Appreciation (Depreciation) | ||||||||||
17 | CBOT Corn Future(d) | 12/14/2022 | $ | 575,875 | $ | 31,050 | ||||||||
7 | CBOT Soybean Future(d) | 11/14/2022 | 477,663 | (34,112 | ) | |||||||||
9 | CBOT Soybean Meal Future(d) | 12/14/2022 | 362,700 | 4,740 | ||||||||||
7 | CBOT Soybean Oil Future(d) | 12/14/2022 | 258,552 | (10,050 | ) | |||||||||
2 | CBOT Wheat Future(d) | 12/14/2022 | 92,150 | 975 | ||||||||||
2 | CME Lean Hogs Future(d) | 12/14/2022 | 60,980 | (5,340 | ) | |||||||||
3 | CME Live Cattle Future(d) | 12/30/2022 | 176,460 | (4,810 | ) | |||||||||
4 | COMEX Copper Future(d) | 12/28/2022 | 341,250 | (463 | ) | |||||||||
2 | COMEX Gold 100 Troy Ounces Future(d) | 12/28/2022 | 334,400 | (12,960 | ) | |||||||||
2 | COMEX Silver Future(d) | 12/28/2022 | 190,390 | 250 | ||||||||||
12 | ICE Brent Crude Oil Future(d) | 10/31/2022 | 1,021,680 | (71,910 | ) | |||||||||
7 | ICE Gas Oil Future(d) | 11/10/2022 | 659,225 | (4,575 | ) |
CATALYST/MILLBURN DYNAMIC COMMODITY STRATEGY FUND |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) (Continued) |
September 30, 2022 |
OPEN FUTURES CONTRACTS (Continued) | ||||||||||||||
Number of Contracts | Open Long Futures Contracts | Expiration | Notional Amount(d) | Value and Unrealized Appreciation (Depreciation) | ||||||||||
4 | KCBT Hard Red Winter Wheat Future(d) | 12/14/2022 | $ | 198,300 | $ | 18,150 | ||||||||
3 | LME Lead Future(d) | 12/19/2022 | 143,250 | 1,144 | ||||||||||
1 | LME Nickel Future(d) | 12/19/2022 | 126,552 | (23,514 | ) | |||||||||
3 | LME Zinc Future(d) | 12/19/2022 | 223,725 | (26,025 | ) | |||||||||
2 | NYBOT CSC C Coffee Future(d) | 12/19/2022 | 166,163 | (4,181 | ) | |||||||||
3 | NYBOT CSC Cocoa Future(d) | 12/14/2022 | 70,620 | (150 | ) | |||||||||
4 | NYBOT CSC Number 11 World Sugar Future(d) | 02/28/2023 | 79,206 | (717 | ) | |||||||||
2 | NYBOT CTN Number 2 Cotton Future(d) | 12/07/2022 | 85,340 | (17,285 | ) | |||||||||
23 | NYMEX Henry Hub Natural Gas Futures(d) | 12/28/2022 | 1,666,810 | (336,750 | ) | |||||||||
16 | NYMEX Light Sweet Crude Oil Future(d) | 10/20/2022 | 1,271,839 | (63,651 | ) | |||||||||
3 | NYMEX NY Harbor ULSD Futures(d) | 10/31/2022 | 405,922 | (16,333 | ) | |||||||||
2 | NYMEX Platinum Future(d) | 01/27/2023 | 85,910 | (5,970 | ) | |||||||||
5 | NYMEX Reformulated Gasoline Blendstock for Oxygen Blending RBOB Future(d) | 10/31/2022 | 497,658 | (21,731 | ) | |||||||||
TOTAL FUTURES CONTRACTS | $ | (604,218 | ) |
A.B. - Aktiebolag
A/S - Anonim Sirketi
ETF - Exchange-Traded Fund
L.P. - Limited Partnership
Ltd. - Limited Company
PLC - Public Limited Company
REIT - Real Estate Investment Trust
S.A. - Société Anonyme
SpA - Società per azioni
SPDR - Standard & Poors Depositary Receipt
(a) | Non-income producing security. |
(b) | Rate disclosed is the seven-day effective yield as of September 30, 2022. |
(c) | The amounts shown are the underlying reference notional amounts to stock exchange indices and equities upon which the fair value of the futures contracts held by the Fund are based. Notional values do not represent the current fair value of and are not necessarily indicative of the future cash flows of the Funds futures contracts. Further, the underlying price changes in relation to the variables specified by the notional values affects the fair value of these derivative financial instruments. The notional values as set forth within this schedule do not purport to represent economic value at risk to the Fund. |
(d) | All or a portion of this investment is a holding of the CHCSF Fund Limited. |
CATALYST/WARRINGTON STRATEGIC PROGRAM FUND |
SCHEDULE OF INVESTMENTS (Unaudited) |
September 30, 2022 |
Principal | Coupon Rate | |||||||||||
Amount ($) | (%) | Maturity | Fair Value | |||||||||
U.S. GOVERNMENT & AGENCIES — 35.2% | ||||||||||||
U.S. TREASURY BILLS — 35.2% | ||||||||||||
13,000,000 | United States Treasury Bill(a) | 2.4192 | 11/03/22 | $ | 12,970,297 | |||||||
13,000,000 | United States Treasury Bill(a) | 3.3992 | 02/02/23 | 12,846,566 | ||||||||
13,000,000 | United States Treasury Bill(a),(e) | 3.4346 | 05/18/23 | 12,714,737 | ||||||||
13,000,000 | United States Treasury Bill(a),(e) | 3.6068 | 07/13/23 | 12,627,501 | ||||||||
TOTAL U.S. GOVERNMENT & AGENCIES (Cost $51,282,151) | 51,159,101 | |||||||||||
Shares | ||||||||||||
SHORT-TERM INVESTMENTS — 32.5% | ||||||||||||
MONEY MARKET FUNDS - 32.5% | ||||||||||||
47,282,282 | First American Government Obligations Fund, Class U, 2.79% (Cost $47,282,282)(b) | 47,282,282 | ||||||||||
TOTAL INVESTMENTS - 67.7% (Cost $98,564,433) | $ | 98,441,383 | ||||||||||
CALL OPTIONS WRITTEN - 0.0% (Proceeds - $22,095) | (9,243 | ) | ||||||||||
OTHER ASSETS IN EXCESS OF LIABILITIES- 32.3% | 46,870,922 | |||||||||||
NET ASSETS - 100.0% | $ | 145,303,062 |
Contracts(c) | Counterparty | Expiration Date | Exercise Price | Notional Value | Fair Value | |||||||||||||||
WRITTEN FUTURE OPTIONS - 0.0% (d) | ||||||||||||||||||||
CALL OPTIONS WRITTEN- 0.0%(d) | ||||||||||||||||||||
500 | S&P 500 Index E-mini Future, Maturing Dec. 2022 | ADM | 10/07/2022 | $ | 4,140 | $ | 103,500,000 | $ | 1,250 | |||||||||||
350 | S&P 500 Index E-mini Future, Maturing Dec. 2022 | FCS | 10/07/2022 | 4,140 | 72,450,000 | 875 | ||||||||||||||
175 | S&P 500 Index E-mini Future, Maturing Dec. 2022 | ADM | 10/07/2022 | 4,350 | 38,062,500 | 438 | ||||||||||||||
122 | S&P 500 Index E-mini Future, Maturing Dec. 2022 | FCS | 10/07/2022 | 4,350 | 26,535,000 | 305 | ||||||||||||||
500 | S&P 500 Index E-mini Future, Maturing Dec. 2022 | ADM | 10/14/2022 | 4,220 | 105,500,000 | 3,750 | ||||||||||||||
350 | S&P 500 Index E-mini Future, Maturing Dec. 2022 | FCS | 10/14/2022 | 4,220 | 73,850,000 | 2,625 | ||||||||||||||
TOTAL CALL OPTIONS WRITTEN (Proceeds - $22,095) | 9,243 |
ADM ADM Investor Services, Inc.
FCS StoneX Group, Inc.
(a) | Zero coupon bond. |
(b) | Rate disclosed is the seven day effective yield as of September 30, 2022. |
(c) | Each contract is equivalent to one futures contract. |
(d) | Percentage rounds to greater than (0.1%). |
(e) | Held as collateral for written options. |
CATALYST INSIDER INCOME FUND |
SCHEDULE OF INVESTMENTS (Unaudited) |
September 30, 2022 |
Principal | Coupon Rate | |||||||||||
Amount ($) | (%) | Maturity | Fair Value | |||||||||
CONVERTIBLE BONDS — 48.8% | ||||||||||||
ASSET MANAGEMENT — 14.2% | ||||||||||||
7,079,000 | Prospect Capital Corporation | 6.3750 | 03/01/25 | $ | 7,265,177 | |||||||
6,039,000 | RWT Holdings, Inc. | 5.7500 | 10/01/25 | 5,190,521 | ||||||||
12,455,698 | ||||||||||||
INSTITUTIONAL FINANCIAL SERVICES — 5.1% | ||||||||||||
6,700,000 | Coinbase Global, Inc. | 0.5000 | 06/01/26 | 4,458,850 | ||||||||
INTERNET MEDIA & SERVICES — 2.6% | ||||||||||||
4,000,000 | Opendoor Technologies, Inc.(a) | 0.2500 | 08/15/26 | 2,262,214 | ||||||||
SPECIALTY FINANCE — 26.9% | ||||||||||||
4,500,000 | Arbor Realty Trust, Inc.(a) | 7.5000 | 08/01/25 | 4,099,500 | ||||||||
4,620,000 | Redwood Trust, Inc. | 5.6250 | 07/15/24 | 4,192,490 | ||||||||
10,000,000 | SoFi Technologies, Inc.(a),(b) | 6.6000 | 10/15/26 | 6,927,270 | ||||||||
10,000,000 | Two Harbors Investment Corporation | 6.2500 | 01/15/26 | 8,368,999 | ||||||||
23,588,259 | ||||||||||||
TOTAL CONVERTIBLE BONDS (Cost $48,528,415) | 42,765,021 | |||||||||||
CORPORATE BONDS — 48.9% | ||||||||||||
AEROSPACE & DEFENSE — 5.0% | ||||||||||||
4,300,000 | TransDigm, Inc.(a) | 8.0000 | 12/15/25 | 4,367,682 | ||||||||
ASSET MANAGEMENT — 12.3% | ||||||||||||
4,180,000 | Ares Capital Corporation | 4.2500 | 03/01/25 | 3,953,578 | ||||||||
4,500,000 | Icahn Enterprises, L.P. / Icahn Enterprises Finance Corporation | 6.3750 | 12/15/25 | 4,268,732 | ||||||||
2,861,000 | Prospect Capital Corporation | 3.7060 | 01/22/26 | 2,481,894 | ||||||||
10,704,204 | ||||||||||||
GAS & WATER UTILITIES — 4.9% | ||||||||||||
4,400,000 | National Fuel Gas Company | 5.5000 | 01/15/26 | 4,327,518 | ||||||||
HEALTH CARE FACILITIES & SERVICES — 4.6% | ||||||||||||
4,407,000 | Centene Corporation | 4.2500 | 12/15/27 | 4,032,185 |
CATALYST INSIDER INCOME FUND |
SCHEDULE OF INVESTMENTS (Unaudited) (Continued) |
September 30, 2022 |
Principal | Coupon Rate | |||||||||||
Amount ($) | (%) | Maturity | Fair Value | |||||||||
CORPORATE BONDS — 48.9% (Continued) | ||||||||||||
HOME & OFFICE PRODUCTS — 5.0% | ||||||||||||
4,700,000 | Newell Brands, Inc. | 4.2000 | 04/01/26 | $ | 4,338,711 | |||||||
INTERNET MEDIA & SERVICES — 4.9% | ||||||||||||
4,300,000 | Netflix, Inc. | 5.8750 | 02/15/25 | 4,302,563 | ||||||||
REAL ESTATE INVESTMENT TRUSTS — 7.3% | ||||||||||||
725,000 | Omega Healthcare Investors, Inc. | 4.5000 | 01/15/25 | 707,317 | ||||||||
2,007,000 | Omega Healthcare Investors, Inc. | 4.5000 | 04/01/27 | 1,865,146 | ||||||||
4,110,000 | Sabra Health Care, L.P. | 5.1250 | 08/15/26 | 3,862,717 | ||||||||
6,435,180 | ||||||||||||
STEEL — 4.9% | ||||||||||||
4,400,000 | Steel Dynamics, Inc. | 5.0000 | 12/15/26 | 4,318,370 | ||||||||
TOTAL CORPORATE BONDS (Cost $45,476,401) | 42,826,413 | |||||||||||
TOTAL INVESTMENTS - 97.7% (Cost $94,004,816) | $ | 85,591,434 | ||||||||||
OTHER ASSETS IN EXCESS OF LIABILITIES - 2.3% | 1,980,090 | |||||||||||
NET ASSETS - 100.0% | $ | 87,571,524 |
L.P. - Limited Partnership
(a) | Security exempt from registration under Rule 144A or Section 4(2) of the Securities Act of 1933. The security may be resold in transactions exempt from registration, normally to qualified institutional buyers. As of September 30, 2022, the total market value of 144A securities is 17,656,666 or 20.2% of net assets. |
(b) | Zero coupon bond. Discount rate shown. |
CATALYST SYSTEMATIC ALPHA FUND |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) |
September 30, 2022 |
Principal | Coupon Rate | |||||||||||
Amount ($) | (%) | Maturity | Fair Value | |||||||||
CORPORATE BONDS — 64.5% | ||||||||||||
AEROSPACE & DEFENSE — 4.8% | ||||||||||||
225,000 | L3Harris Technologies, Inc. | 3.8500 | 06/15/23 | $ | 224,017 | |||||||
ASSET MANAGEMENT — 8.5% | ||||||||||||
225,000 | Ares Capital Corporation | 3.5000 | 02/10/23 | 223,894 | ||||||||
175,000 | Prospect Capital Corporation | 5.8750 | 03/15/23 | 174,792 | ||||||||
398,686 | ||||||||||||
BIOTECH & PHARMA — 4.8% | ||||||||||||
225,000 | Mylan, Inc.(a) | 3.1250 | 01/15/23 | 223,841 | ||||||||
HOME & OFFICE PRODUCTS — 6.4% | ||||||||||||
300,000 | NEWELL BRANDS, INC. | 4.1000 | 04/01/23 | 300,035 | ||||||||
HOME CONSTRUCTION — 2.9% | ||||||||||||
135,000 | Mohawk Industries, Inc. | 3.8500 | 02/01/23 | 134,918 | ||||||||
REAL ESTATE INVESTMENT TRUSTS — 4.8% | ||||||||||||
225,000 | American Tower Corporation | 3.0000 | 06/15/23 | 222,194 | ||||||||
RETAIL - DISCRETIONARY — 3.7% | ||||||||||||
175,000 | OReilly Automotive, Inc. | 3.8500 | 06/15/23 | 173,962 | ||||||||
SEMICONDUCTORS — 4.7% | ||||||||||||
225,000 | Skyworks Solutions, Inc. | 0.9000 | 06/01/23 | 218,368 | ||||||||
TECHNOLOGY HARDWARE — 4.8% | ||||||||||||
225,000 | Dell International, LLC / EMC Corporation | 5.4500 | 06/15/23 | 225,592 | ||||||||
TECHNOLOGY SERVICES — 19.1% | ||||||||||||
225,000 | Equifax, Inc. | 3.9500 | 06/15/23 | 223,906 | ||||||||
225,000 | Global Payments, Inc. | 4.0000 | 06/01/23 | 223,360 | ||||||||
225,000 | Leidos, Inc. | 2.9500 | 05/15/23 | 221,873 | ||||||||
225,000 | Western Union Company (The) | 4.2500 | 06/09/23 | 224,117 |
CATALYST SYSTEMATIC ALPHA FUND |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) (Continued) |
September 30, 2022 |
Shares | Fair Value | |||||||
CORPORATE BONDS— 64.5% (Continued) | ||||||||
TECHNOLOGY SERVICES — 19.1% (Continued) | ||||||||
$ | 893,256 | |||||||
TOTAL CORPORATE BONDS (Cost $3,034,646) | 3,014,869 | |||||||
SHORT-TERM INVESTMENTS — 7.9% | ||||||||
MONEY MARKET FUNDS – 7. 9% | ||||||||
371,005 | First American Government Obligations Fund, Class U, 2.79%(b) (c) (Cost $371,005) | 371,005 | ||||||
TOTAL INVESTMENTS – 72.4% (Cost $3,405,651) | $ | 3,385,874 | ||||||
OTHER ASSETS IN EXCESS OF LIABILITIES - 27.6% | 1,291,384 | |||||||
NET ASSETS - 100.0% | $ | 4,677,258 |
LLC - Limited Liability Company
(a) | Security exempt from registration under Rule 144A or Section 4(2) of the Securities Act of 1933. The security may be resold in transactions exempt from registration, normally to qualified institutional buyers. As of September 30, 2022 the total market value of 144A securities is 223,841 or 4.8% of net assets. |
(b) | Rate disclosed is the seven day effective yield as of June 30, 2022. |
(c) | All or part of this security is held by CSACS Fund Ltd. |
CATALYST SYSTEMATIC ALPHA FUND |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(Continued) |
September 30, 2022 |
TOTAL RETURN SWAP - (7.5) %
The BNP Paribas Catalyst Systematic Index (BNP CASA Index) is a rules based index designed to capitalize on structural inefficiencies and behavioral 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 | Frequency and Reference Entity | Amount | Counterparty | Maturity | Rate | Payments | Depreciation | |||||||||
1,617 | At Maturity BNP Paribas Catalyst Systematic Index + | 6,800,000 | BNP Paribas | 6/12/2023 | 0.5000% | — | $ | (349,244 | ) |
+ | This instrument is held by CSACS Fund Ltd. |
CATALYST SYSTEMATIC ALPHA FUND |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(Continued) |
September 30, 2022 |
BNP Paribas Catalyst Systematic Index Swap Holdings 1% of Notional ^
Value | ||||||||||||||||||||
Unrealized | ||||||||||||||||||||
Appreciation/ | ||||||||||||||||||||
Long Contracts | Counterparty | Notional Amount | Maturity | (Depreciation) | Weighted % | |||||||||||||||
OPEN LONG FUTURES CONTRACTS | ||||||||||||||||||||
2 | CMX Gold | BNP Paribas | $ | 252,608 | 12/31/2022 | $ | (7,931 | ) | 3.71 | % | ||||||||||
1 | CMX silver | BNP Paribas | 93,732 | 12/31/2022 | 6,065 | 1.38 | % | |||||||||||||
3 | ICE Brent Crude | BNP Paribas | 261,581 | 12/31/2022 | (25,184 | ) | 3.85 | % | ||||||||||||
3 | ICE Brent Crude | BNP Paribas | 257,261 | 2/28/2023 | (27,341 | ) | 3.78 | % | ||||||||||||
1 | ICE Gas Oil | BNP Paribas | 126,534 | 12/31/2022 | (12,880 | ) | 1.86 | % | ||||||||||||
1 | ICE Gas Oil | BNP Paribas | 127,365 | 3/31/2023 | (11,526 | ) | 1.87 | % | ||||||||||||
2 | Japenese Government Bond | BNP Paribas | 2,300,874 | 12/31/2022 | (10,195 | ) | 33.84 | % | ||||||||||||
2 | LME Aluminium HG | BNP Paribas | 110,035 | 12/31/2022 | (9,364 | ) | 1.62 | % | ||||||||||||
0 | LME Aluminium HG | BNP Paribas | 21,935 | 1/31/2023 | (1,814 | ) | 0.32 | % | ||||||||||||
0 | LME Aluminium HG | BNP Paribas | 21,870 | 4/30/2023 | (1,688 | ) | 0.32 | % | ||||||||||||
1 | LME Aluminium HG | BNP Paribas | 65,726 | 9/30/2023 | (4,354 | ) | 0.97 | % | ||||||||||||
1 | LME Copper | BNP Paribas | 149,797 | 11/30/2022 | (3,300 | ) | 2.20 | % | ||||||||||||
1 | LME Copper | BNP Paribas | 148,954 | 12/31/2022 | (4,118 | ) | 2.19 | % | ||||||||||||
1 | LME Copper | BNP Paribas | 149,489 | 1/31/2023 | (4,475 | ) | 2.20 | % | ||||||||||||
1 | LME Nickel | BNP Paribas | 78,337 | 12/31/2022 | (1,261 | ) | 1.15 | % | ||||||||||||
1 | LME Nickel | BNP Paribas | 78,370 | 2/28/2023 | (1,148 | ) | 1.15 | % | ||||||||||||
1 | LME Nickel | BNP Paribas | 98,056 | 3/31/2023 | (1,344 | ) | 1.44 | % | ||||||||||||
1 | LME Zinc | BNP Paribas | 93,579 | 1/31/2023 | (12,315 | ) | 1.38 | % | ||||||||||||
1 | LME Zinc | BNP Paribas | 94,360 | 2/28/2023 | (12,277 | ) | 1.39 | % | ||||||||||||
1 | LME Zinc | BNP Paribas | 93,125 | 3/31/2023 | (11,999 | ) | 1.37 | % | ||||||||||||
9 | Nikkei | BNP Paribas | 832,592 | 12/31/2022 | (55,626 | ) | 12.24 | % | ||||||||||||
84 | NYMEX Gasoline RBOB | BNP Paribas | 80,731 | 12/31/2022 | (2,708 | ) | 1.19 | % | ||||||||||||
81 | NYMEX Gasoline RBOB | BNP Paribas | 76,047 | 1/31/2023 | (3,391 | ) | 1.12 | % | ||||||||||||
15 | NYMEX Heating Oil | BNP Paribas | 19,589 | 12/31/2022 | (2,318 | ) | 0.29 | % | ||||||||||||
63 | NYMEX Heating Oil | BNP Paribas | 78,515 | 3/31/2023 | (8,768 | ) | 1.15 | % | ||||||||||||
79 | NYMEX Heating Oil | BNP Paribas | 95,668 | 4/30/2023 | (10,445 | ) | 1.41 | % | ||||||||||||
9 | NYMEX Natural Gas | BNP Paribas | 622,922 | 2/28/2023 | (143,480 | ) | 9.16 | % | ||||||||||||
9 | NYMEX Natural Gas | BNP Paribas | 570,489 | 3/31/2023 | (121,545 | ) | 8.39 | % | ||||||||||||
13 | NYMEX Natural Gas | BNP Paribas | 657,455 | 4/30/2023 | (115,179 | ) | 9.67 | % | ||||||||||||
4 | NYMEX WTI Crude | BNP Paribas | 291,427 | 2/28/2023 | (33,759 | ) | 4.29 | % | ||||||||||||
3 | NYMEX WTI Crude | BNP Paribas | 234,577 | 3/31/2023 | (28,065 | ) | 3.45 | % | ||||||||||||
4 | NYMEX WTI Crude | BNP Paribas | 291,205 | 4/30/2023 | (35,686 | ) | 4.28 | % | ||||||||||||
1 | NYMEX WTI Crude | BNP Paribas | 58,928 | 1/31/2023 | (6,578 | ) | 0.87 | % | ||||||||||||
NET UNREALIZED LOSS FROM OPEN LONG FUTURE CONTRACTS | $ | (725,997 | ) | |||||||||||||||||
Short Contracts | ||||||||||||||||||||
OPEN SHORT FUTURES CONTRACTS | ||||||||||||||||||||
(2 | ) | 3 Month SOFR | BNP Paribas | $ | (508,476 | ) | 12/31/2022 | $ | 2,905 | 7.48 | % | |||||||||
(2 | ) | 3 Month SOFR | BNP Paribas | (508,007 | ) | 1/31/2023 | 2,958 | 7.47 | % | |||||||||||
(2 | ) | 3 Month SOFR | BNP Paribas | (507,753 | ) | 3/31/2023 | 2,905 | 7.47 | % | |||||||||||
(2 | ) | 3 Month SOFR | BNP Paribas | (508,388 | ) | 9/30/2023 | 3,457 | 7.48 | % | |||||||||||
(1 | ) | 3 Month SOFR | BNP Paribas | (341,119 | ) | 12/31/2023 | 2,668 | 5.02 | % | |||||||||||
(1 | ) | 3 Month SOFR | BNP Paribas | (341,757 | ) | 3/31/2024 | 2,791 | 5.03 | % | |||||||||||
(1 | ) | 3 Month SOFR | BNP Paribas | (342,377 | ) | 6/30/2024 | 2,774 | 5.03 | % | |||||||||||
(1 | ) | 3 Month SOFR | BNP Paribas | (342,837 | ) | 9/30/2024 | 2,705 | 5.04 | % | |||||||||||
(2 | ) | 3 Months Euribor | BNP Paribas | (593,484 | ) | 12/31/2022 | 2,449 | 8.73 | % | |||||||||||
(2 | ) | 3 Months Euribor | BNP Paribas | (588,627 | ) | 1/31/2023 | 3,470 | 8.66 | % | |||||||||||
(2 | ) | 3 Months Euribor | BNP Paribas | (590,114 | ) | 3/31/2023 | 3,623 | 8.68 | % | |||||||||||
(2 | ) | 3 Months Euribor | BNP Paribas | (588,323 | ) | 9/30/2023 | 3,620 | 8.65 | % | |||||||||||
(2 | ) | 3 Months Euribor | BNP Paribas | (565,297 | ) | 12/31/2023 | 3,419 | 8.31 | % | |||||||||||
(2 | ) | 3 Months Euribor | BNP Paribas | (565,501 | ) | 3/31/2024 | 4,315 | 8.32 | % | |||||||||||
(2 | ) | 3 Months Euribor | BNP Paribas | (565,647 | ) | 6/30/2024 | 3,966 | 8.32 | % | |||||||||||
(2 | ) | 3 Months Euribor | BNP Paribas | (565,851 | ) | 9/30/2024 | 4,167 | 8.32 | % | |||||||||||
(23 | ) | CBOE VIX | BNP Paribas | (722,329 | ) | 10/31/2022 | (121,814 | ) | 10.62 | % | ||||||||||
(402 | ) | CMX Copper | BNP Paribas | (342,644 | ) | 12/31/2022 | 10,323 | 5.04 | % | |||||||||||
(5 | ) | ICE Brent Crude | BNP Paribas | (396,576 | ) | 1/31/2023 | 40,157 | 5.83 | % | |||||||||||
(2 | ) | ICE Gas Oil | BNP Paribas | (201,183 | ) | 11/30/2022 | 19,268 | 2.96 | % | |||||||||||
(3 | ) | LME Aluminium HG | BNP Paribas | (143,925 | ) | 11/30/2022 | 12,581 | 2.12 | % | |||||||||||
(1 | ) | LME Nickel | BNP Paribas | (186,840 | ) | 11/30/2022 | 3,029 | 2.75 | % | |||||||||||
(3 | ) | LME Zinc | BNP Paribas | (218,900 | ) | 11/30/2022 | 29,722 | 3.22 | % | |||||||||||
(124 | ) | NYMEX Gasoline RBOB | BNP Paribas | (123,343 | ) | 11/30/2022 | 935 | 1.81 | % | |||||||||||
(118 | ) | NYMEX Heating Oil | BNP Paribas | (159,059 | ) | 11/30/2022 | 17,074 | 2.34 | % | |||||||||||
(23 | ) | NYMEX Natural Gas | BNP Paribas | (1,564,967 | ) | 11/30/2022 | 412,658 | 23.01 | % | |||||||||||
(9 | ) | NYMEX WTI Crude | BNP Paribas | (746,051 | ) | 11/30/2022 | 79,943 | 10.97 | % | |||||||||||
NET UNREALIZED GAIN FROM OPEN SHORT FUTURE CONTRACTS | $ | 556,068 |
^ | The make up of the underlying index and the total positions will not correlate to the unrealized for the total return swap due to timing of contracts opened and closed in the index. |
CATALYST INCOME AND MULTI-STRATEGY FUND |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) |
September 30, 2022 |
Shares | Fair Value | |||||||
COMMON STOCKS — 19.9% | ||||||||
MORTGAGE FINANCE - 16.4% | ||||||||
6,520 | AGNC Investment Corporation | $ | 54,898 | |||||
3,015 | Annaly Capital Management, Inc. | 51,737 | ||||||
5,260 | Arbor Realty Trust, Inc. | 60,490 | ||||||
2,680 | Blackstone Mortgage Trust, Inc., Class A | 62,551 | ||||||
8,240 | Granite Point Mortgage Trust, Inc. | 53,066 | ||||||
4,030 | KKR Real Estate Finance Trust, Inc. | 65,488 | ||||||
7,030 | Ladder Capital Corporation | 62,989 | ||||||
7,289 | MFA Financial, Inc. | 56,708 | ||||||
27,890 | New York Mortgage Trust, Inc. | 65,263 | ||||||
5,290 | PennyMac Mortgage Investment Trust | 62,316 | ||||||
10,130 | Redwood Trust, Inc. | 58,146 | ||||||
8,340 | Rithm Capital Corporation | 61,049 | ||||||
3,390 | Starwood Property Trust, Inc. | 61,766 | ||||||
8,440 | TPG RE Finance Trust, Inc. | 59,080 | ||||||
16,110 | Two Harbors Investment Corporation | 53,485 | ||||||
889,032 | ||||||||
REAL ESTATE INVESTMENT TRUSTS - 3.5% | ||||||||
6,040 | Franklin BSP Realty Trust, Inc. | 65,051 | ||||||
1,950 | Hannon Armstrong Sustainable Infrastructure | 58,364 | ||||||
1,480 | NexPoint Residential Trust, Inc. | 68,390 | ||||||
191,805 | ||||||||
TOTAL COMMON STOCKS (Cost $1,611,716) | 1,080,837 | |||||||
EXCHANGE-TRADED FUNDS — 34.5% | ||||||||
FIXED INCOME - 34.5% | ||||||||
3,250 | iShares Convertible Bond ETF | 223,925 | ||||||
8,170 | iShares MBS ETF | 748,210 |
CATALYST INCOME AND MULTI-STRATEGY FUND |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) (Continued) |
September 30, 2022 |
Shares | Fair Value | |||||||
EXCHANGE-TRADED FUNDS — 34.5% (Continued) | ||||||||
FIXED INCOME - 34.5% (Continued) | ||||||||
2,340 | iShares Trust iShares 1-5 Year Investment Grade | $ | 115,315 | |||||
1,490 | Vanguard Intermediate-Term Corporate Bond ETF | 112,763 | ||||||
12,460 | Vanguard Mortgage-Backed Securities ETF | 561,821 | ||||||
1,550 | Vanguard Short-Term Corporate Bond ETF | 115,134 | ||||||
TOTAL EXCHANGE-TRADED FUNDS (Cost $2,166,192) | 1,877,168 | |||||||
OPEN END FUNDS — 9.9% | ||||||||
FIXED INCOME - 9.9% | ||||||||
26,993 | Catalyst Enhanced Income Strategy Fund, Class I(a) | 267,497 | ||||||
14,911 | Rational Special Situations Income Fund, Institutional Class(a) | 271,527 | ||||||
TOTAL OPEN END FUNDS (Cost $576,706) | 539,024 | |||||||
SHORT-TERM INVESTMENTS — 11.9% | ||||||||
MONEY MARKET FUNDS - 11.9% | ||||||||
649,333 | First American Government Obligations Fund, Class U, 2.79% (Cost $649,333)(b) | 649,333 | ||||||
TOTAL INVESTMENTS - 76.2% (Cost $5,003,947) | $ | 4,146,362 | ||||||
OTHER ASSETS IN EXCESS OF LIABILITIES- 23.8% | 1,296,005 | |||||||
NET ASSETS - 100.0% | $ | 5,442,367 |
OPEN FUTURES CONTRACTS | ||||||||||||||
Number of Contracts | Open Long Futures Contracts | Expiration | Notional Amount(c) | Value
and Unrealized Appreciation | ||||||||||
16 | CBOE Volatility Index Future | 12/21/2022 | $ | 480,760 | $ | 6,954 | ||||||||
TOTAL FUTURES CONTRACTS | ||||||||||||||
Number of Contracts | Open Short Futures Contracts | Expiration | Notional Amount(c) | Value
and Unrealized Appreciation/Depreciation | ||||||||||
9 | 3 Month Euro Euribor Future | 12/16/2024 | $ | 2,140,752 | $ | 15,902 | ||||||||
9 | CME 3 Month Eurodollar Future | 12/16/2024 | 2,161,238 | 25,612 | ||||||||||
5 | CME British Pound Currency Future | 12/19/2022 | 349,406 | 9,875 | ||||||||||
4 | CME Japanese Yen Currency Future | 12/19/2022 | 348,175 | 3,825 | ||||||||||
3 | CME Lean Hogs Future(d) | 12/14/2022 | 91,470 | 568 | ||||||||||
1 | COMEX Gold 100 Troy Ounces Future(d) | 12/28/2022 | 167,200 | (2,078 | ) | |||||||||
1 | ICE Brent Crude Oil Future(d) | 10/31/2022 | 85,140 | 5,220 | ||||||||||
2 | NYMEX Light Sweet Crude Oil Future(d) | 11/21/2022 | 157,440 | 5,656 | ||||||||||
6 | Three Month SONIA Index Futures | 03/18/2025 | 1,585,696 | 46,717 | ||||||||||
TOTAL FUTURES CONTRACTS | $ | 111,297 |
CATALYST INCOME AND MULTI-STRATEGY FUND |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) (Continued) |
September 30, 2022 |
ETF - Exchange-Traded Fund
(a) | Affiliated Company. |
(b) | Rate disclosed is the seven day effective yield as of September 30, 2022. |
(c) | The amounts shown are the underlying reference notional amounts to stock exchange indices and equities upon which the fair value of the futures contracts held by the Fund are based. Notional values do not represent the current fair value of, and are not necessarily indicative of the future cash flows of the Funds futures contracts. Further, the underlying price changes in relation to the variables specified by the notional values affects the fair value of these derivative financial instruments. The notional values as set forth within this schedule do not purport to represent economic value at risk to the Fund. |
(d) | All or a portion of this investment is a holding of the CAMFMSF Fund Limited. |
CATALYST ENERGY INFRASTRUCTURE |
SCHEDULE OF INVESTMENTS (Unaudited) |
September 30, 2022 |
Shares | Fair Value | |||||||
COMMON STOCKS — 99.9% | ||||||||
OIL & GAS PRODUCERS - 99.9% | ||||||||
151,883 | Cheniere Energy, Inc. | $ | 25,198,910 | |||||
149,052 | Crestwood Equity Partners, L.P. | 4,139,174 | ||||||
110,597 | DT Midstream, Inc. | 5,738,878 | ||||||
230,277 | Enbridge, Inc. | 8,543,277 | ||||||
1,961,630 | Energy Transfer, L.P. | 21,636,778 | ||||||
1,131,863 | EnLink Midstream, LLC | 10,062,262 | ||||||
416,493 | Enterprise Products Partners, L.P. | 9,904,204 | ||||||
1,026,278 | Equitrans Midstream Corporation | 7,676,559 | ||||||
259,726 | Gibson Energy, Inc. | 4,131,440 | ||||||
134,607 | Hess Midstream, L.P., A | 3,435,171 | ||||||
232,071 | Keyera Corporation | 4,778,664 | ||||||
532,732 | Kinder Morgan, Inc. | 8,864,660 | ||||||
32,136 | Kinetik Holdings, Inc. | 1,046,991 | ||||||
93,263 | Magellan Midstream Partners, L.P. | 4,430,925 | ||||||
24,010 | Marathon Petroleum Corporation | 2,384,913 | ||||||
126,740 | MPLX, L.P. | 3,803,467 | ||||||
2,239,658 | NextDecade Corporation(a) | 13,482,741 | ||||||
282,401 | NuStar Energy, L.P. | 3,812,414 | ||||||
312,778 | ONEOK, Inc. | 16,026,745 | ||||||
281,610 | Pembina Pipeline Corporation | 8,552,496 | ||||||
913,932 | Plains GP Holdings, L.P., A - Series MLP | 9,970,998 | ||||||
163,148 | Targa Resources Corporation - Series MLP | 9,844,350 | ||||||
205,012 | TC Energy Corporation | 8,259,933 | ||||||
155,792 | Western Midstream Partners, L.P. | 3,919,727 | ||||||
580,471 | Williams Companies, Inc. (The) | 16,618,885 | ||||||
216,264,562 | ||||||||
TOTAL COMMON STOCKS (Cost $189,686,273) | 216,264,562 | |||||||
TOTAL INVESTMENTS - 99.9% (Cost $189,686,273) | $ | 216,264,562 | ||||||
OTHER ASSETS IN EXCESS OF LIABILITIES- 0.1% | 132,930 | |||||||
NET ASSETS - 100.0% | $ | 216,397,492 |
LLC - Limited Liability Company
LP - Limited Partnership
(a) | Non-income producing security. |
CATALYST PIVOTAL GROWTH FUND |
SCHEDULE OF INVESTMENTS (Unaudited) |
September 30, 2022 |
Shares | Fair Value | |||||||
COMMON STOCKS — 99.6% | ||||||||
APPAREL & TEXTILE PRODUCTS - 3.6% | ||||||||
1,555 | NIKE, Inc., Class B | $ | 129,252 | |||||
BANKING - 5.1% | ||||||||
4,615 | Wells Fargo & Company | 185,615 | ||||||
BIOTECH & PHARMA - 4.8% | ||||||||
1,290 | AbbVie, Inc.(a) | 173,131 | ||||||
E-COMMERCE DISCRETIONARY - 13.6% | ||||||||
2,160 | Amazon.com, Inc.(b) | 244,079 | ||||||
460 | Etsy, Inc.(b) | 46,060 | ||||||
245 | MercadoLibre, Inc.(b) | 202,806 | ||||||
492,945 | ||||||||
ENTERTAINMENT CONTENT - 1.8% | ||||||||
1,145 | Sea Ltd. - ADR(a),(b) | 64,177 | ||||||
HEALTH CARE FACILITIES & SERVICES - 7.1% | ||||||||
510 | UnitedHealth Group, Inc. | 257,570 | ||||||
INTERNET MEDIA & SERVICES - 11.1% | ||||||||
1,800 | Alphabet, Inc., Class A(b) | 172,170 | ||||||
670 | Meta Platforms, Inc., Class A(b) | 90,906 | ||||||
315 | Netflix, Inc.(a),(b) | 74,164 | ||||||
1,150 | Roku, Inc.(b) | 64,860 | ||||||
402,100 | ||||||||
LEISURE FACILITIES & SERVICES - 4.3% | ||||||||
1,865 | Starbucks Corporation | 157,145 | ||||||
LEISURE PRODUCTS - 0.6% | ||||||||
3,400 | Peloton Interactive, Inc., Class A(b) | 23,562 | ||||||
SEMICONDUCTORS - 8.0% | ||||||||
2,300 | Advanced Micro Devices, Inc.(b) | 145,728 |
CATALYST PIVOTAL GROWTH FUND |
SCHEDULE OF INVESTMENTS (Unaudited) (Continued) |
September 30, 2022 |
Shares | Fair Value | |||||||
COMMON STOCKS — 99.6% (Continued) | ||||||||
SEMICONDUCTORS - 8.0% (Continued) | ||||||||
1,195 | NVIDIA Corporation | $ | 145,061 | |||||
290,789 | ||||||||
SOFTWARE - 19.1% | ||||||||
600 | Adobe, Inc. (b) | 165,120 | ||||||
700 | Bill.com Holdings, Inc. (b) | 92,659 | ||||||
1,310 | Crowdstrike Holdings, Inc., Class A(b) | 215,901 | ||||||
3,700 | Shopify, Inc., Class A(a),(b) | 99,678 | ||||||
1,270 | SS&C Technologies Holdings, Inc. | 60,643 | ||||||
797 | Zoom Video Communications, Inc., Class A (b) | 58,651 | ||||||
692,652 | ||||||||
TECHNOLOGY HARDWARE - 6.3% | ||||||||
1,655 | Apple, Inc. | 228,721 | ||||||
TECHNOLOGY SERVICES - 7.5% | ||||||||
950 | Block, Inc., Class A (b) | 52,241 | ||||||
1,240 | Visa, Inc., Class A(a) | 220,286 | ||||||
272,527 | ||||||||
TELECOMMUNICATIONS - 2.5% | ||||||||
2,395 | Verizon Communications, Inc. | 90,938 | ||||||
TRANSPORTATION & LOGISTICS - 4.2% | ||||||||
790 | Union Pacific Corporation | 153,908 | ||||||
TOTAL COMMON STOCKS (Cost $6,581,432) | 3,615,032 | |||||||
Shares | Fair Value | |||||||
SHORT-TERM INVESTMENTS — 14.6% | ||||||||
COLLATERAL FOR SECURITIES LOANED - 14.6% | ||||||||
570,737 | Mount Vernon Liquid Assets Portfolio, 3.18% (Cost $530,737)(c),(e) | 530,737 |
CATALYST PIVOTAL GROWTH FUND |
SCHEDULE OF INVESTMENTS (Unaudited) (Continued) |
September 30, 2022 |
Shares | Fair Value | |||||||
SHORT-TERM INVESTMENTS — 14.6% (Continued) | ||||||||
MONEY MARKET FUND - 0.0% (d) | ||||||||
1,027 | Federated Hermes Government Obligations Fund, Institutional Class, 2.81% (Cost $1,027)(c) | $ | 1,027 | |||||
TOTAL SHORT-TERM INVESTMENTS (Cost $531,764) | 531,764 | |||||||
TOTAL INVESTMENTS - 114.2% (Cost $7,113,196) | $ | 4,146,796 | ||||||
LIABILITIES IN EXCESS OF OTHER ASSETS - (14.2)% | (516,381 | ) | ||||||
NET ASSETS - 100.0% | $ | 3,630,415 |
ADR - American Depositary Receipt
ETF - Exchange-Traded Fund
LTD - Limited Company
(a) | All or a portion of this security is on loan. The total fair value of securities on loan at September 30, 2022 was $514,450. |
(b) | Non-income producing security. |
(c) | Rate disclosed is the seven day effective yield as of September 30, 2022. |
(d) | Percentage rounds to less than 0.1%. |
(e) | Mutual Fund Series Trusts 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 NASDAQ-100 HEDGED EQUITY FUND |
SCHEDULE OF INVESTMENTS (Unaudited) |
September 30, 2022 |
Shares | Fair Value | |||||||
COMMON STOCKS — 60.9% | ||||||||
AUTOMOTIVE - 3.1% | ||||||||
1,338 | Lucid Group, Inc.(a)(b) | $ | 18,692 | |||||
1,494 | Tesla, Inc.(a) | 396,283 | ||||||
414,975 | ||||||||
BEVERAGES - 2.0% | ||||||||
1,129 | Keurig Dr Pepper, Inc. | 40,441 | ||||||
420 | Monster Beverage Corporation(a)(b) | 36,523 | ||||||
1,100 | PepsiCo, Inc. | 179,586 | ||||||
256,550 | ||||||||
BIOTECH & PHARMA - 3.0% | ||||||||
427 | Amgen, Inc.(b) | 96,245 | ||||||
472 | AstraZeneca PLC - ADR(b) | 25,884 | ||||||
116 | Biogen, Inc.(a)(b) | 30,972 | ||||||
1,000 | Gilead Sciences, Inc. | 61,690 | ||||||
312 | Moderna, Inc.(a) | 36,894 | ||||||
85 | Regeneron Pharmaceuticals, Inc.(a)(b) | 58,554 | ||||||
147 | Seagen, Inc.(a) | 20,114 | ||||||
205 | Vertex Pharmaceuticals, Inc.(a)(b) | 59,356 | ||||||
389,709 | ||||||||
CABLE & SATELLITE - 1.2% | ||||||||
128 | Charter Communications, Inc., Class A(a)(b) | 38,829 | ||||||
3,512 | Comcast Corporation, Class A(b) | 103,007 | ||||||
3,106 | Sirius XM Holdings, Inc.(b) | 17,735 | ||||||
159,571 | ||||||||
COMMERCIAL SUPPORT SERVICES - 0.2% | ||||||||
81 | Cintas Corporation | 31,443 | ||||||
DIVERSIFIED INDUSTRIALS - 0.7% | ||||||||
537 | Honeywell International, Inc. | 89,663 | ||||||
E-COMMERCE DISCRETIONARY - 4.8% | ||||||||
4,897 | Amazon.com, Inc.(a) | 553,361 | ||||||
438 | eBay, Inc.(b) | 16,123 | ||||||
402 | JD.com, Inc. - ADR | 20,221 | ||||||
40 | MercadoLibre, Inc.(a)(b) | 33,111 |
CATALYST NASDAQ-100 HEDGED EQUITY FUND |
SCHEDULE OF INVESTMENTS (Unaudited) (Continued) |
September 30, 2022 |
Shares | Fair Value | |||||||
COMMON STOCKS — 60.9% (Continued) | ||||||||
E-COMMERCE DISCRETIONARY - 4.8% (Continued) | ||||||||
373 | Pinduoduo, Inc. - ADR(a) | $ | 23,343 | |||||
646,159 | ||||||||
ELECTRIC UTILITIES - 0.9% | ||||||||
410 | American Electric Power Company, Inc. | 35,445 | ||||||
260 | Constellation Energy Corporation | 21,629 | ||||||
792 | Exelon Corp. | 29,668 | ||||||
436 | Xcel Energy, Inc. | 27,904 | ||||||
114,646 | ||||||||
ENTERTAINMENT CONTENT - 0.6% | ||||||||
624 | Activision Blizzard, Inc. | 46,388 | ||||||
222 | Electronic Arts, Inc. | 25,688 | ||||||
130 | NetEase, Inc. - ADR(b) | 9,828 | ||||||
81,904 | ||||||||
FOOD - 0.7% | ||||||||
977 | Kraft Heinz Company (The) | 32,583 | ||||||
1,093 | Mondelez International, Inc., Class A | 59,929 | ||||||
92,512 | ||||||||
INDUSTRIAL SUPPORT SERVICES - 0.2% | ||||||||
458 | Fastenal Company | 21,086 | ||||||
INTERNET MEDIA & SERVICES - 7.6% | ||||||||
318 | Airbnb, Inc., Class A(a) | 33,403 | ||||||
2,882 | Alphabet, Inc., Class A(a) | 275,663 | ||||||
2,962 | Alphabet, Inc., Class C(a) | 284,796 | ||||||
145 | Baidu, Inc. - ADR(a)(b) | 17,036 | ||||||
32 | Booking Holdings, Inc.(a) | 52,583 | ||||||
226 | Match Group, Inc.(a) | 10,792 | ||||||
1,642 | Meta Platforms, Inc., Class A(a) | 222,787 | ||||||
355 | Netflix, Inc.(a)(b) | 83,581 | ||||||
86 | VeriSign, Inc.(a) | 14,938 | ||||||
995,579 | ||||||||
LEISURE FACILITIES & SERVICES - 0.9% | ||||||||
259 | Marriott International, Inc., Class A | 36,296 |
CATALYST NASDAQ-100 HEDGED EQUITY FUND |
SCHEDULE OF INVESTMENTS (Unaudited) (Continued) |
September 30, 2022 |
Shares | Fair Value | |||||||
COMMON STOCKS — 60.9% (Continued) | ||||||||
LEISURE FACILITIES & SERVICES - 0.9% (Continued) | ||||||||
915 | Starbucks Corporation | $ | 77,098 | |||||
113,394 | ||||||||
MEDICAL EQUIPMENT & DEVICES - 1.0% | ||||||||
62 | Align Technology, Inc.(a) | 12,841 | ||||||
313 | DexCom, Inc.(a) | 25,209 | ||||||
66 | IDEXX Laboratories, Inc.(a) | 21,503 | ||||||
125 | Illumina, Inc.(a) | 23,849 | ||||||
285 | Intuitive Surgical, Inc.(a) | 53,420 | ||||||
136,822 | ||||||||
RETAIL - CONSUMER STAPLES - 1.6% | ||||||||
353 | Costco Wholesale Corporation | 166,711 | ||||||
179 | Dollar Tree, Inc.(a)(b) | 24,362 | ||||||
689 | Walgreens Boots Alliance, Inc.(b) | 21,635 | ||||||
212,708 | ||||||||
RETAIL - DISCRETIONARY - 0.7% | ||||||||
98 | Lululemon Athletica, Inc.(a) | 27,397 | ||||||
50 | OReilly Automotive, Inc.(a) | 35,168 | ||||||
279 | Ross Stores, Inc. | 23,511 | ||||||
86,076 | ||||||||
SEMICONDUCTORS - 8.2% | ||||||||
1,287 | Advanced Micro Devices, Inc.(a) | 81,544 | ||||||
410 | Analog Devices, Inc. | 57,129 | ||||||
686 | Applied Materials, Inc. | 56,204 | ||||||
69 | ASML Holding N.V. - ADR | 28,659 | ||||||
323 | Broadcom, Inc. | 143,415 | ||||||
3,274 | Intel Corporation | 84,371 | ||||||
113 | KLA Corporation | 34,197 | ||||||
109 | Lam Research Corporation | 39,894 | ||||||
680 | Marvell Technology, Inc.(b) | 29,179 | ||||||
441 | Microchip Technology, Inc.(b) | 26,914 | ||||||
880 | Micron Technology, Inc. | 44,088 | ||||||
1,684 | NVIDIA Corporation | 204,421 | ||||||
209 | NXP Semiconductors N.V. | 30,830 | ||||||
896 | QUALCOMM, Inc. | 101,230 |
CATALYST NASDAQ-100 HEDGED EQUITY FUND |
SCHEDULE OF INVESTMENTS (Unaudited) (Continued) |
September 30, 2022 |
Shares | Fair Value | |||||||
COMMON STOCKS — 60.9% (Continued) | ||||||||
SEMICONDUCTORS - 8.2% (Continued) | ||||||||
128 | Skyworks Solutions, Inc. | $ | 10,915 | |||||
729 | Texas Instruments, Inc. | 112,835 | ||||||
1,085,825 | ||||||||
SOFTWARE - 10.4% | ||||||||
373 | Adobe, Inc.(a) | 102,650 | ||||||
69 | ANSYS, Inc.(a) | 15,297 | ||||||
116 | Atlassian Corp PLC, Class A(a) | 24,428 | ||||||
172 | Autodesk, Inc.(a)(b) | 32,130 | ||||||
218 | Cadence Design Systems, Inc.(a) | 35,628 | ||||||
171 | Crowdstrike Holdings, Inc., Class A(a) | 28,183 | ||||||
232 | Datadog, Inc.(a) | 20,597 | ||||||
159 | DocuSign, Inc.(a)(b) | 8,502 | ||||||
629 | Fortinet, Inc.(a) | 30,903 | ||||||
225 | Intuit, Inc. | 87,147 | ||||||
3,585 | Microsoft Corporation | 834,946 | ||||||
120 | Okta, Inc.(a) | 6,824 | ||||||
238 | Palo Alto Networks, Inc.(a) | 38,982 | ||||||
130 | Splunk, Inc.(a) | 9,776 | ||||||
122 | Synopsys, Inc.(a) | 37,272 | ||||||
160 | Workday, Inc., Class A(a)(b) | 24,355 | ||||||
200 | Zoom Video Communications, Inc., Class A(a) | 14,718 | ||||||
113 | Zscaler, Inc.(a) | 18,574 | ||||||
1,370,912 | ||||||||
TECHNOLOGY HARDWARE - 9.1% | ||||||||
7,725 | Apple, Inc. | 1,067,595 | ||||||
3,302 | Cisco Systems, Inc. | 132,080 | ||||||
1,199,675 | ||||||||
TECHNOLOGY SERVICES - 2.1% | ||||||||
331 | Automatic Data Processing, Inc. | 74,869 | ||||||
413 | Cognizant Technology Solutions Corporation, Class A | 23,723 | ||||||
510 | Fiserv, Inc.(a) | 47,721 | ||||||
287 | Paychex, Inc. | 32,204 | ||||||
922 | PayPal Holdings, Inc.(a) | 79,356 |
CATALYST NASDAQ-100 HEDGED EQUITY FUND |
SCHEDULE OF INVESTMENTS (Unaudited) (Continued) |
September 30, 2022 |
Shares | Fair Value | |||||||
COMMON STOCKS — 60.9% (Continued) | ||||||||
TECHNOLOGY SERVICES - 2.1% (Continued) | ||||||||
125 | Verisk Analytics, Inc. | $ | 21,316 | |||||
279,189 | ||||||||
TELECOMMUNICATIONS - 1.0% | ||||||||
1,000 | T-Mobile US, Inc.(a)(b) | 134,170 | ||||||
TRANSPORTATION & LOGISTICS - 0.5% | ||||||||
1,708 | CSX Corporation | 45,501 | ||||||
89 | Old Dominion Freight Line, Inc. | 22,141 | ||||||
67,642 | ||||||||
TRANSPORTATION EQUIPMENT - 0.2% | ||||||||
277 | PACCAR, Inc. | 23,182 | ||||||
WHOLESALE - DISCRETIONARY - 0.2% | ||||||||
190 | Copart, Inc.(a) | 20,216 | ||||||
TOTAL COMMON STOCKS (Cost $9,902,965) | 8,023,608 | |||||||
EXCHANGE-TRADED FUNDS — 19.2% | ||||||||
EQUITY - 19.2% | ||||||||
9,488 | Invesco QQQ Trust Series 1(b) | 2,535,763 | ||||||
TOTAL EXCHANGE-TRADED FUNDS (Cost $3,002,724) | 2,535,763 | |||||||
SHORT-TERM INVESTMENTS — 32.9% | ||||||||
COLLATERAL FOR SECURITIES LOANED - 27.0% | ||||||||
3,552,187 | Mount Vernon Liquid Assets Portfolio, LLC, 3.18% (Cost $3,552,187)(c),(d),(e) | 3,552,187 | ||||||
MONEY MARKET FUNDS - 5.9% | ||||||||
777,940 | First American Government Obligations Fund, Class U, 2.79% (Cost $777,940)(d) | 777,940 |
CATALYST NASDAQ-100 HEDGED EQUITY FUND |
SCHEDULE OF INVESTMENTS (Unaudited) (Continued) |
September 30, 2022 |
Fair Value | ||||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $4,330,127) | $ | 4,330,127 |
Contracts(f) | Counterparty | Expiration Date | Exercise Price | Notional Value | ||||||||||||||||
FUTURE OPTIONS PURCHASED - 5.1% | ||||||||||||||||||||
CALL OPTIONS PURCHASED - 0.1% | ||||||||||||||||||||
25 | S&P Emini 3rd Week Index Future | WED | 10/21/2022 | $ | 4,000 | $ | 4,501,875 | $ | 4,000 | |||||||||||
25 | S&P Emini Index Future | WED | 10/31/2022 | 3,900 | 4,501,875 | 19,375 | ||||||||||||||
TOTAL CALL OPTIONS PURCHASED (Cost - $101,876) | 23,375 | |||||||||||||||||||
PUT OPTIONS PURCHASED - 5.0% | ||||||||||||||||||||
50 | CME E-Mini NASDAQ 100 Index Future | WED | 12/16/2022 | 11,000 | 11,035,500 | 657,000 | ||||||||||||||
TOTAL PUT OPTIONS PURCHASED (Cost - $380,000) | ||||||||||||||||||||
TOTAL FUTURE OPTIONS PURCHASED (Cost - $481,876) | 680,375 | |||||||||||||||||||
TOTAL INVESTMENTS - 118.1% (Cost $17,717,692) | $ | 15,569,873 | ||||||||||||||||||
CALL OPTIONS WRITTEN - (0.7)% (Proceeds - $380,273) | (93,000 | ) | ||||||||||||||||||
PUT OPTIONS WRITTEN - (0.9)% (Proceeds - $66,500) | (123,000 | ) | ||||||||||||||||||
LIABILITIES IN EXCESS OF OTHER ASSETS - (16.5)% | (2,178,743 | ) | ||||||||||||||||||
NET ASSETS - 100.0% | $ | 13,175,130 | ||||||||||||||||||
Counterparty | Expiration Date | Exercise Price | Notional Value | |||||||||||||||||
WRITTEN FUTURE OPTIONS - (1.6)% | ||||||||||||||||||||
CALL OPTIONS WRITTEN- (0.7)% | ||||||||||||||||||||
50 | CME E-Mini NASDAQ 100 Index Future | WED | 12/16/2022 | $ | 12,800 | $ | 11,035,500 | $ | 89,750 | |||||||||||
50 | S&P Emini Index Future | WED | 10/21/2022 | 4,100 | 9,003,750 | 3,000 | ||||||||||||||
25 | S&P Emini Index Future | WED | 10/21/2022 | 4,300 | 4,501,875 | 250 | ||||||||||||||
TOTAL CALL OPTIONS WRITTEN (Proceeds - $380,273) | 93,000 | |||||||||||||||||||
PUT OPTIONS WRITTEN - (0.9)% | ||||||||||||||||||||
50 | CME E-Mini NASDAQ 100 Index Future | WED | 12/16/2022 | 8,800 | 11,035,500 | 123,000 | ||||||||||||||
TOTAL PUT OPTIONS WRITTEN (Proceeds - $66,500) | ||||||||||||||||||||
TOTAL FUTURE OPTIONS WRITTEN (Proceeds - $446,773) | $ | 216,000 |
CATALYST NASDAQ-100 HEDGED EQUITY FUND |
SCHEDULE OF INVESTMENTS (Unaudited) (Continued) |
September 30, 2022 |
OPEN FUTURES CONTRACTS | ||||||||||||||
Number of Contracts | Open Long Futures Contracts | Expiration | Notional Amount(g) | Value and Unrealized Appreciation (Depreciation) | ||||||||||
8 | CBOE Volatility Index Future | 10/19/2022 | $ | 252,128 | $ | 9,866 | ||||||||
2 | CME E-Mini NASDAQ 100 Index Future | 12/16/2022 | 441,420 | (39,780 | ) | |||||||||
TOTAL FUTURES CONTRACTS | $ | (29,914 | ) |
ADR - American Depositary Receipt
ETF - Exchange-Traded Fund
LLC - Limited Liability Company
N.V. - Naamioze Vennootschap
PLC - Public Limited Company
WED - Wedbush Securities
(a) | Non-income producing security. |
(b) | All or a portion of the security is on loan. The total fair value of the securities on loan as of September 30, 2022, was $3,423,254. |
(c) | Security was purchased with cash received as collateral for securities on loan on September 30, 2022. Total collateral had a value of $3,552,187 on September 30, 2022. |
(d) | Rate disclosed is the seven-day effective yield as of September 30, 2022. |
(e) | Mutual Fund Series Trusts securities lending policy 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%. |
(f) | Each contract is equivalent to one futures contract. |
(g) | The amounts shown are the underlying reference notional amounts to stock exchange indices and equities upon which the fair value of the futures contracts held by the Fund are based. Notional values do not represent the current fair value of and are not necessarily indicative of the future cash flows of the Funds futures contracts. Further, the underlying price changes in relation to the variables specified by the notional values affects the fair value of these derivative financial instruments. The notional values as set forth within this schedule do not purport to represent economic value at risk to the Fund. |
CATALYST/MAP GLOBAL EQUITY FUND |
SCHEDULE OF INVESTMENTS (Unaudited) |
September 30, 2022 |
Shares | Fair Value | |||||||
CLOSED END FUND — 3.4% | ||||||||
COMMODITY - 3.4% | ||||||||
144,000 | Sprott Physical Gold and Silver Trust(a) | $ | 2,242,080 | |||||
TOTAL CLOSED END FUND (Cost $1,917,569) | 2,242,080 | |||||||
Shares | Fair Value | |||||||
COMMON STOCKS — 91.2% | ||||||||
AEROSPACE & DEFENSE - 2.2% | ||||||||
143,840 | Kratos Defense & Security Solutions, Inc.(a) | 1,461,414 | ||||||
ASSET MANAGEMENT - 2.3% | ||||||||
21,800 | Groupe Bruxelles Lambert S.A.(b) | 1,535,506 | ||||||
BEVERAGES - 1.4% | ||||||||
2,200,000 | Thai Beverage PCL | 919,092 | ||||||
BIOTECH & PHARMA - 13.8% | ||||||||
13,900 | Johnson & Johnson | 2,270,704 | ||||||
35,680 | Novartis A.G. - ADR | 2,712,036 | ||||||
59,750 | Sanofi - ADR | 2,271,695 | ||||||
138,000 | Takeda Pharmaceutical Company Ltd. - ADR | 1,789,860 | ||||||
9,044,295 | ||||||||
CABLE & SATELLITE - 1.0% | ||||||||
102,000 | MultiChoice Group(b) | 651,713 | ||||||
CHEMICALS - 4.3% | ||||||||
59,465 | Mosaic Company (The) | 2,873,943 | ||||||
CONSTRUCTION MATERIALS - 3.6% | ||||||||
25,180 | Holcim Ltd.(b) | 1,045,796 | ||||||
46,800 | MDU Resources Group, Inc. | 1,279,980 | ||||||
2,325,776 | ||||||||
E-COMMERCE DISCRETIONARY - 1.4% | ||||||||
24,603 | eBay, Inc. | 905,636 |
CATALYST/MAP GLOBAL EQUITY FUND |
SCHEDULE OF INVESTMENTS (Unaudited) (Continued) |
September 30, 2022 |
Shares | Fair Value | |||||||
COMMON STOCKS — 91.2% (Continued) | ||||||||
ENGINEERING & CONSTRUCTION - 3.4% | ||||||||
16,925 | Tetra Tech, Inc. | $ | 2,175,371 | |||||
ENTERTAINMENT CONTENT - 4.4% | ||||||||
5,359 | Electronic Arts, Inc. | 620,090 | ||||||
239,280 | Vivendi S.A.(b) | 1,869,221 | ||||||
36,002 | Warner Bros Discovery, Inc.(a) | 414,023 | ||||||
2,903,334 | ||||||||
FOOD - 8.6% | ||||||||
29,082 | Campbell Soup Company | 1,370,344 | ||||||
169,700 | GrainCorp Ltd.(b) | 846,601 | ||||||
360,200 | Grupo Herdez S.A.B. de C.V. | 670,730 | ||||||
16,550 | Nestle S.A. - ADR | 1,780,946 | ||||||
471,260 | United Malt Grp Ltd. | 943,424 | ||||||
5,612,045 | ||||||||
GAS & WATER UTILITIES - 5.8% | ||||||||
39,270 | National Fuel Gas Company | 2,417,069 | ||||||
43,000 | UGI Corporation | 1,390,190 | ||||||
3,807,259 | ||||||||
HOUSEHOLD PRODUCTS - 1.3% | ||||||||
66,000 | Reckitt Benckiser Group plc - ADR | 877,140 | ||||||
INSTITUTIONAL FINANCIAL SERVICES - 0.7% | ||||||||
79,500 | JSE Ltd. | 444,173 | ||||||
INTERNET MEDIA & SERVICES - 0.4% | ||||||||
1,743 | Meta Platforms, Inc., Class A(a) | 236,490 | ||||||
MEDICAL EQUIPMENT & DEVICES - 1.6% | ||||||||
15,150 | Koninklijke Philips N.V. - ADR | 233,158 | ||||||
9,578 | Medtronic plc | 773,424 | ||||||
1,006,582 | ||||||||
METALS & MINING - 2.7% | ||||||||
42,000 | Anglo American plc - ADR | 630,000 | ||||||
13,000 | Anglo American PLC | 397,118 |
CATALYST/MAP GLOBAL EQUITY FUND |
SCHEDULE OF INVESTMENTS (Unaudited) (Continued) |
September 30, 2022 |
Shares | Fair Value | |||||||
COMMON STOCKS — 91.2% (Continued) | ||||||||
METALS & MINING - 2.7% (Continued) | ||||||||
25,755 | Freeport-McMoRan, Inc. | $ | 703,884 | |||||
1,731,002 | ||||||||
RETAIL - CONSUMER STAPLES - 1.4% | ||||||||
7,062 | Walmart, Inc. | 915,941 | ||||||
RETAIL - DISCRETIONARY - 1.9% | ||||||||
4,445 | Home Depot, Inc. (The) | 1,226,554 | ||||||
SEMICONDUCTORS - 5.1% | ||||||||
15,472 | Applied Materials, Inc. | 1,267,621 | ||||||
29,505 | Intel Corporation | 760,344 | ||||||
26,179 | Micron Technology, Inc. | 1,311,567 | ||||||
3,339,532 | ||||||||
SOFTWARE - 3.0% | ||||||||
8,500 | Microsoft Corporation | 1,979,650 | ||||||
TECHNOLOGY HARDWARE - 7.4% | ||||||||
10,300 | Apple, Inc. | 1,423,460 | ||||||
46,500 | Cisco Systems, Inc. | 1,860,000 | ||||||
365,550 | Nokia OYJ - ADR | 1,560,899 | ||||||
4,844,359 | ||||||||
TELECOMMUNICATIONS - 5.8% | ||||||||
59,000 | AT&T, Inc. | 905,060 | ||||||
204,606 | Orange S.A. - ADR | 1,839,408 | ||||||
92,930 | Vodafone Group plc - ADR | 1,052,897 | ||||||
3,797,365 | ||||||||
TOBACCO & CANNABIS - 3.3% | ||||||||
10,800,000 | Hanjaya Mandala Sampoerna Tbk P.T. | 645,390 | ||||||
71,000 | Imperial Brands plc - ADR | 1,478,220 | ||||||
2,123,610 |
CATALYST/MAP GLOBAL EQUITY FUND |
SCHEDULE OF INVESTMENTS (Unaudited) (Continued) |
September 30, 2022 |
Shares | Fair Value | |||||||
COMMON STOCKS — 91.2% (Continued) | ||||||||
WHOLESALE - CONSUMER STAPLES - 4.4% | ||||||||
35,060 | Bunge Ltd. | $ | 2,894,904 | |||||
TOTAL COMMON STOCKS (Cost $58,019,907) | $ | 59,632,686 | ||||||
TOTAL INVESTMENTS - 94.6% (Cost $59,937,476) | $ | 61,874,766 | ||||||
OTHER ASSETS IN EXCESS OF LIABILITIES- 5.4% | 3,548,735 | |||||||
NET ASSETS - 100.0% | $ | 65,423,501 |
ADR - American Depositary Receipt
LTD - Limited Company
OYJ - Julkinen osakeyhtiö
PLC - Public Limited Company
PT - Perseroan Terbatas
S/A - Société Anonyme
(a) | Non-income producing security. |
(b) | The value of this security has been determined in good faith under policies of the Board of Trustees. |
CATALYST/LYONS TACTICAL ALLOCATION FUND |
SCHEDULE OF INVESTMENTS (Unaudited) |
September 30, 2022 |
Principal | Coupon Rate | |||||||||||
Amount ($) | (%) | Maturity | Fair Value | |||||||||
U.S. GOVERNMENT & AGENCIES — 85.8% | ||||||||||||
U.S. TREASURY BILLS — 71.3% | ||||||||||||
3,046,000 | United States Treasury Bill(a) | 0.0000 | 06/15/23 | $ | 2,968,162 | |||||||
3,011,000 | United States Treasury Note | 2.5000 | 05/31/24 | 2,924,904 | ||||||||
2,804,000 | United States Treasury Note | 0.3750 | 07/15/24 | 2,619,111 | ||||||||
2,739,000 | United States Treasury Note | 1.5000 | 02/15/25 | 2,568,347 | ||||||||
2,826,000 | United States Treasury Note | 2.8750 | 06/15/25 | 2,726,648 | ||||||||
2,743,000 | United States Treasury Note | 0.8750 | 09/30/26 | 2,414,804 | ||||||||
2,903,000 | United States Treasury Note | 2.7500 | 04/30/27 | 2,741,861 | ||||||||
3,710,000 | United States Treasury Note | 0.5000 | 08/31/27 | 3,127,704 | ||||||||
4,017,000 | United States Treasury Note | 2.8750 | 04/30/29 | 3,752,129 | ||||||||
3,708,000 | United States Treasury Note | 2.8750 | 05/15/32 | 3,427,872 | ||||||||
29,271,542 | ||||||||||||
U.S. TREASURY NOTES — 14.5% | ||||||||||||
2,887,000 | United States Treasury Note | 0.7500 | 03/31/26 | 2,564,581 | ||||||||
3,960,000 | United States Treasury Note | 1.5000 | 02/15/30 | 3,363,061 | ||||||||
5,927,642 | ||||||||||||
TOTAL U.S. GOVERNMENT & AGENCIES (Cost $37,001,139) | 35,199,184 |
Contracts(b) | Broker/Counterparty | Expiration Date | Exercise Price | Notional Value | Fair Value | |||||||||||||||
INDEX OPTIONS PURCHASED - 0.0% (c) | ||||||||||||||||||||
CALL OPTIONS PURCHASED - 0.0%(c) | ||||||||||||||||||||
66 | S&P 500 INDEX SPX US 10/21/22 C4225 | USB | 10/21/2022 | $ | 4,225 | $ | 27,885,000 | $ | 2,145 | |||||||||||
125 | S&P 500 INDEX SPX US 10/21/22 C4325 | USB | 10/21/2022 | 4,325 | 54,062,500 | 2,813 | ||||||||||||||
TOTAL CALL OPTIONS PURCHASED (Cost - $278,382) | 4,958 | |||||||||||||||||||
TOTAL INDEX OPTIONS PURCHASED (Cost - $278,382) | 4,958 | |||||||||||||||||||
TOTAL INVESTMENTS - 85.8% (Cost $37,279,521) | $ | 35,204,142 | ||||||||||||||||||
OTHER ASSETS IN EXCESS OF LIABILITIES- 14.2% | 5,804,484 | |||||||||||||||||||
NET ASSETS - 100.0% | $ | 41,008,626 |
USB US Bank
(a) | Zero coupon bond. |
(b) | Each option contract allows the holder of the option to purchase or sell 100 shares of the underlying security. |
(c) | Percentage rounds to less than 0.1%. |
CATALYST/MAP GLOBAL BALANCED FUND |
SCHEDULE OF INVESTMENTS (Unaudited) |
September 30, 2022 |
Shares | Fair Value | |||||||
CLOSED END FUNDS — 2.4% | ||||||||
COMMODITY - 2.4% | ||||||||
23,500 | Sprott Physical Gold and Silver Trust(a) | $ | 365,895 | |||||
TOTAL CLOSED END FUNDS (Cost $336,373) | 365,895 | |||||||
COMMON STOCKS — 62.1% | ||||||||
ASSET MANAGEMENT - 2.4% | ||||||||
5,368 | Groupe Bruxelles Lambert S.A. | 378,101 | ||||||
BEVERAGES - 1.0% | ||||||||
375,000 | Thai Beverage PCL | 156,663 | ||||||
BIOTECH & PHARMA - 12.0% | ||||||||
2,900 | Johnson & Johnson | 473,744 | ||||||
6,900 | Novartis A.G. - ADR | 524,469 | ||||||
13,640 | Sanofi - ADR | 518,593 | ||||||
26,000 | Takeda Pharmaceutical Company Ltd. - ADR | 337,220 | ||||||
1,854,026 | ||||||||
CHEMICALS - 2.9% | ||||||||
9,250 | Mosaic Company | 447,052 | ||||||
CONSTRUCTION MATERIALS - 2.6% | ||||||||
3,930 | Holcim Ltd. | 163,224 | ||||||
9,000 | MDU Resources Group, Inc. | 246,150 | ||||||
409,374 | ||||||||
E-COMMERCE DISCRETIONARY - 0.8% | ||||||||
3,500 | eBay, Inc. | 128,835 | ||||||
ENGINEERING & CONSTRUCTION - 2.0% | ||||||||
2,440 | Tetra Tech, Inc. | 313,613 | ||||||
ENTERTAINMENT CONTENT - 0.8% | ||||||||
7,700 | Vivendi S.A. | 60,151 |
CATALYST/MAP GLOBAL BALANCED FUND |
SCHEDULE OF INVESTMENTS (Unaudited) (Continued) |
September 30, 2022 |
Shares | Fair Value | |||||||
COMMON STOCKS — 62.1% (Continued) | ||||||||
ENTERTAINMENT CONTENT - 0.8% (Continued) | ||||||||
5,279 | Warner Bros Discovery, Inc.(a) | $ | 60,709 | |||||
120,860 | ||||||||
FOOD - 4.5% | ||||||||
6,715 | Campbell Soup Company | 316,411 | ||||||
3,533 | Nestle S.A. - ADR | 380,186 | ||||||
696,597 | ||||||||
GAS & WATER UTILITIES - 5.1% | ||||||||
7,575 | National Fuel Gas Company | 466,241 | ||||||
10,000 | UGI Corporation | 323,300 | ||||||
789,541 | ||||||||
HOUSEHOLD PRODUCTS - 1.1% | ||||||||
3,800 | Unilever PLC - ADR | 166,592 | ||||||
MEDICAL EQUIPMENT & DEVICES - 0.9% | ||||||||
1,800 | Medtronic PLC | 145,350 | ||||||
METALS & MINING - 1.4% | ||||||||
7,000 | Anglo American PLC | 213,833 | ||||||
RETAIL - DISCRETIONARY - 1.1% | ||||||||
594 | Home Depot, Inc. | 163,908 | ||||||
SEMICONDUCTORS - 3.6% | ||||||||
1,400 | Applied Materials, Inc. | 114,702 | ||||||
4,915 | Intel Corporation | 126,660 | ||||||
6,120 | Micron Technology, Inc. | 306,613 | ||||||
547,975 | ||||||||
SOFTWARE - 3.0% | ||||||||
2,000 | Microsoft Corporation | 465,800 | ||||||
TECHNOLOGY HARDWARE - 3.5% | ||||||||
11,390 | Cisco Systems, Inc. | 455,600 | ||||||
20,500 | Nokia OYJ - ADR | 87,535 | ||||||
543,135 |
CATALYST/MAP GLOBAL BALANCED FUND |
SCHEDULE OF INVESTMENTS (Unaudited) (Continued) |
September 30, 2022 |
Shares | Fair Value | |||||||
COMMON STOCKS — 62.1% (Continued) | ||||||||
TELECOMMUNICATIONS - 5.6% | ||||||||
13,000 | AT&T, Inc. | $ | 199,420 | |||||
44,170 | Orange S.A. - ADR | 397,088 | ||||||
23,800 | Vodafone Group PLC - ADR | 269,654 | ||||||
866,162 | ||||||||
TOBACCO & CANNABIS - 4.4% | ||||||||
3,991,700 | Hanjaya Mandala Sampoerna Tbk P.T. | 238,537 | ||||||
22,000 | Imperial Brands PLC - ADR | 458,040 | ||||||
696,577 | ||||||||
WHOLESALE - CONSUMER STAPLES - 3.4% | ||||||||
6,275 | Bunge Ltd. | 518,127 | ||||||
TOTAL COMMON STOCKS (Cost $9,512,020) | 9,622,121 |
Principal | Coupon Rate | |||||||||||
Amount ($) | (%) | Maturity | ||||||||||
CONVERTIBLE BONDS — 1.7% | ||||||||||||
BIOTECH & PHARMA — 1.7% | ||||||||||||
275,000 | Ligand Pharmaceuticals, Inc. | 0.7500 | 05/15/23 | 267,438 | ||||||||
TOTAL CONVERTIBLE BONDS (Cost $270,176) | 267,438 | |||||||||||
CORPORATE BONDS — 21.6% | ||||||||||||
AUTOMOTIVE — 1.3% | ||||||||||||
200,000 | Ford Motor Credit Company, LLC | 3.3700 | 11/17/23 | 193,743 | ||||||||
BIOTECH & PHARMA — 4.1% | ||||||||||||
225,000 | Elanco Animal Health, Inc. | 5.7720 | 08/28/23 | 221,717 | ||||||||
165,000 | Teva Pharmaceutical Finance Company BV | 2.9500 | 12/18/22 | 163,730 | ||||||||
250,000 | Teva Pharmaceutical Finance Netherlands III BV | 2.8000 | 07/21/23 | 241,922 | ||||||||
627,369 | ||||||||||||
CABLE & SATELLITE — 1.4% | ||||||||||||
225,000 | Quebecor Media, Inc. | 5.7500 | 01/15/23 | 223,093 |
CATALYST/MAP GLOBAL BALANCED FUND |
SCHEDULE OF INVESTMENTS (Unaudited) (Continued) |
September 30, 2022 |
Principal | Coupon Rate | |||||||||||
Amount ($) | (%) | Maturity | Fair Value | |||||||||
CORPORATE BONDS — 21.6% (Continued) | ||||||||||||
CHEMICALS — 1.4% | ||||||||||||
225,000 | Sasol Financing International Ltd. | 4.5000 | 11/14/22 | $ | 224,146 | |||||||
ELECTRIC UTILITIES — 1.6% | ||||||||||||
250,000 | TransAlta Corporation | 4.5000 | 11/15/22 | 249,670 | ||||||||
LEISURE FACILITIES & SERVICES — 6.1% | ||||||||||||
375,000 | Brinker International, Inc. | 3.8750 | 05/15/23 | 368,796 | ||||||||
276,000 | Carnival Corporation | 7.2000 | 10/01/23 | 272,559 | ||||||||
225,000 | MGM Resorts International | 6.0000 | 03/15/23 | 225,353 | ||||||||
65,000 | Wyndham Destinations, Inc. | 3.9000 | 03/01/23 | 64,243 | ||||||||
930,951 | ||||||||||||
RETAIL - DISCRETIONARY — 1.6% | ||||||||||||
250,000 | QVC, Inc. | 4.3750 | 03/15/23 | 246,892 | ||||||||
SPECIALTY FINANCE — 0.6% | ||||||||||||
100,000 | Navient Corporation | 5.5000 | 01/25/23 | 99,532 | ||||||||
TECHNOLOGY HARDWARE — 2.2% | ||||||||||||
350,000 | Seagate HDD Cayman | 4.7500 | 06/01/23 | 345,638 | ||||||||
TELECOMMUNICATIONS — 1.3% | ||||||||||||
50,000 | CenturyLink, Inc. | 7.5000 | 04/01/24 | 51,531 | ||||||||
150,000 | Sprint Communications, Inc. | 6.0000 | 11/15/22 | 150,150 | ||||||||
201,681 | ||||||||||||
TOTAL CORPORATE BONDS (Cost $3,408,478) | 3,342,715 | |||||||||||
U.S. GOVERNMENT & AGENCIES — 8.1% | ||||||||||||
U.S. TREASURY INFLATION PROTECTED — 5.6% | ||||||||||||
443,000 | United States Treasury Inflation Indexed Bonds | 0.3750 | 01/15/27 | 508,468 | ||||||||
360,000 | United States Treasury Inflation Indexed Bonds | 0.1250 | 01/15/31 | 357,755 | ||||||||
$ | 866,223 |
CATALYST/MAP GLOBAL BALANCED FUND |
SCHEDULE OF INVESTMENTS (Unaudited) (Continued) |
September 30, 2022 |
Principal | Coupon Rate | |||||||||||
Amount ($) | (%) | Maturity | Fair Value | |||||||||
U.S. GOVERNMENT & AGENCIES — 8.1% (Continued) | ||||||||||||
U.S. TREASURY NOTES — 2.5% | ||||||||||||
405,000 | United States Treasury Note | 2.5000 | 01/31/25 | $ | 389,290 | |||||||
TOTAL U.S. GOVERNMENT & AGENCIES (Cost $1,423,035) | 1,255,513 | |||||||||||
TOTAL INVESTMENTS - 95.9% (Cost $14,950,082) | $ | 14,853,682 | ||||||||||
OTHER ASSETS IN EXCESS OF LIABILITIES- 4.1% | 638,488 | |||||||||||
NET ASSETS - 100.0% | $ | 15,492,170 |
ADR - American Depositary Receipt
BV - Besloten vennootschap
LLC. - Limited Liability Company
Ltd. - Limited Company
OYJ - Julkinen osakeyhtiö
PCL - Public Company Limited
PLC - Public Limited Company
P.T. - Perseroan Terbatas
S.A. - Société Anonyme
(a) | Non-income producing security. |
CATALYST/MILLBURN HEDGE STRATEGY FUND |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) |
September 30, 2022 |
Shares | Fair Value | |||||||
EXCHANGE-TRADED FUNDS — 45.0% | ||||||||
EQUITY - 45.0% | ||||||||
509,743 | iShares China Large-Cap ETF | $ | 13,181,954 | |||||
1,705,475 | iShares Core S&P Mid-Cap ETF | 373,942,448 | ||||||
2,613,357 | iShares Core S&P Small-Cap ETF | 227,858,596 | ||||||
680,168 | iShares MSCI Australia ETF | 13,344,896 | ||||||
69,759 | iShares MSCI Austria ETF | 1,082,178 | ||||||
17,648 | iShares MSCI Belgium ETF | 254,837 | ||||||
470,134 | iShares MSCI Brazil ETF | 13,930,070 | ||||||
433,526 | iShares MSCI Canada ETF | 13,335,260 | ||||||
275,240 | iShares MSCI Chile ETF | 6,605,760 | ||||||
343,997 | iShares MSCI France ETF | 9,219,120 | ||||||
513,226 | iShares MSCI Germany ETF | 10,131,081 | ||||||
718,697 | iShares MSCI Hong Kong ETF | 13,109,033 | ||||||
46,511 | iShares MSCI India ETF(a) | 1,896,719 | ||||||
27,623 | iShares MSCI Israel ETF | 1,582,715 | ||||||
172,822 | iShares MSCI Italy ETF | 3,715,673 | ||||||
279,826 | iShares MSCI Japan ETF | 13,669,500 | ||||||
221,114 | iShares MSCI Malaysia ETF | 4,464,292 | ||||||
265,891 | iShares MSCI Mexico ETF | 11,760,359 | ||||||
91,401 | iShares MSCI Netherlands ETF | 2,794,129 | ||||||
77,364 | iShares MSCI Peru ETF | 1,898,513 | ||||||
542,465 | iShares MSCI Singapore ETF | 9,281,576 | ||||||
153,516 | iShares MSCI South Africa ETF | 5,532,717 | ||||||
263,957 | iShares MSCI South Korea ETF | 12,501,004 | ||||||
387,032 | iShares MSCI Spain ETF | 7,670,974 | ||||||
144,048 | iShares MSCI Sweden ETF | 3,925,308 | ||||||
265,493 | iShares MSCI Switzerland ETF | 9,942,713 | ||||||
321,939 | iShares MSCI Taiwan ETF | 13,875,571 | ||||||
96,513 | iShares MSCI Thailand ETF | 6,272,380 | ||||||
243,470 | iShares MSCI Turkey ETF | 5,375,818 | ||||||
380,894 | iShares MSCI United Kingdom ETF | 9,983,232 | ||||||
1,630,230 | iShares Russell 1000 ETF, EQUITY | 321,693,285 | ||||||
1,642,226 | iShares Russell 2000 ETF | 270,835,911 | ||||||
1,433,724 | iShares Russell Mid-Cap ETF, EQUITY | 89,105,947 | ||||||
1,001,049 | Schwab U.S. REIT ETF | 18,709,606 |
CATALYST/MILLBURN HEDGE STRATEGY FUND |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) (Continued) |
September 30, 2022 |
Shares | Fair Value | |||||||
EXCHANGE-TRADED FUNDS — 45.0% (Continued) | ||||||||
EQUITY - 45.0% (Continued) | ||||||||
2,554,188 | Vanguard FTSE Emerging Markets ETF | $ | 93,202,320 | |||||
666,684 | Vanguard FTSE Europe ETF | 30,767,467 | ||||||
383,183 | Vanguard Large-Cap ETF | 62,673,411 | ||||||
711,771 | Vanguard Mid-Cap ETF | 133,798,713 | ||||||
1,791,548 | Vanguard Real Estate ETF | 143,628,403 | ||||||
217,151 | Vanguard S&P 500 ETF | 71,290,673 | ||||||
619,205 | Vanguard Small-Cap ETF | 105,828,327 | ||||||
372,646 | WisdomTree India Earnings Fund | 11,380,609 | ||||||
2,175,053,098 | ||||||||
TOTAL EXCHANGE-TRADED FUNDS (Cost $2,119,967,014) | 2,175,053,098 |
Principal | Coupon Rate | |||||||||||
Amount ($) | (%) | Maturity | Fair Value | |||||||||
U.S. GOVERNMENT & AGENCIES — 36.6% | ||||||||||||
U.S. TREASURY NOTES — 36.6% | ||||||||||||
414,400,000 | United States Treasury Note | 1.6250 | 11/15/22 | 413,664,021 | ||||||||
470,555,000 | United States Treasury Note | 2.0000 | 02/15/23 | 467,604,135 | ||||||||
404,710,000 | United States Treasury Note | 1.7500 | 05/15/23 | 398,967,582 | ||||||||
498,855,000 | United States Treasury Note | 2.5000 | 08/15/23 | 491,490,390 | ||||||||
1,771,726,128 | ||||||||||||
TOTAL U.S. GOVERNMENT & AGENCIES (Cost $1,782,263,403) | 1,771,726,128 | |||||||||||
TOTAL INVESTMENTS – 81.6% (Cost $3,902,230,417) | $ | 3,946,779,226 | ||||||||||
OTHER ASSETS IN EXCESS OF LIABILITIES- 18.4% | 888,601,160 | |||||||||||
NET ASSETS - 100.0% | $ | 4,835,380,386 |
CATALYST/MILLBURN HEDGE STRATEGY FUND |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) (Continued) |
September 30, 2022 |
OPEN FUTURES CONTRACTS | ||||||||||||||
Number of Contracts | Open Long Futures Contracts | Expiration | Notional Amount(b) | Value and Unrealized Appreciation (Depreciation) | ||||||||||
1 | CME E-Mini Standard & Poors MidCap 400 Index | 12/16/2022 | $ | 220,820 | $ | (330 | ) | |||||||
178 | CME Live Cattle Future(c) | 12/30/2022 | 10,469,960 | (24,220 | ) | |||||||||
716 | CME Mexican Peso Currency Future | 12/19/2022 | 17,545,580 | 204,635 | ||||||||||
70 | Euronext Amsterdam Index Future | 10/21/2022 | 8,788,927 | 126,631 | ||||||||||
1,719 | ICE Brent Crude Oil Future(c) | 10/31/2022 | 146,355,660 | (7,649,150 | ) | |||||||||
528 | ICE Brent Crude Oil Future(c) | 11/30/2022 | 44,098,560 | (2,222,850 | ) | |||||||||
160 | ICE Brent Crude Oil Future(c) | 12/29/2022 | 13,118,400 | (397,450 | ) | |||||||||
101 | ICE Brent Crude Oil Future(c) | 01/31/2023 | 8,151,710 | (174,280 | ) | |||||||||
53 | ICE Brent Crude Oil Future(c) | 02/28/2023 | 4,220,390 | (130,920 | ) | |||||||||
33 | ICE Brent Crude Oil Future(c) | 03/31/2023 | 2,598,090 | (77,730 | ) | |||||||||
81 | ICE Gas Oil Future(c) | 11/10/2022 | 7,186,725 | 6,425 | ||||||||||
610 | ICE Gas Oil Future(c) | 12/12/2022 | 57,446,750 | (575,300 | ) | |||||||||
337 | ICE Gas Oil Future(c) | 01/12/2023 | 30,405,825 | (126,500 | ) | |||||||||
454 | KCBT Hard Red Winter Wheat Future(c) | 12/14/2022 | 22,507,050 | 953,900 | ||||||||||
744 | Long Gilt Future | 12/28/2022 | 80,092,017 | 682,704 | ||||||||||
50 | Montreal Exchange S&P/TSX 60 Index Future | 12/15/2022 | 8,080,165 | (51,749 | ) | |||||||||
67 | NYBOT CSC Cocoa Future(c) | 12/14/2022 | 1,577,180 | 45,490 | ||||||||||
398 | NYBOT CSC Number 11 World Sugar Future(c) | 02/28/2023 | 7,881,037 | (86,643 | ) | |||||||||
44 | NYMEX Henry Hub Natural Gas Futures(c) | 12/28/2022 | 3,188,680 | (53,220 | ) | |||||||||
1,536 | NYMEX Light Sweet Crude Oil Future(c) | 10/20/2022 | 122,096,640 | (2,658,200 | ) | |||||||||
424 | NYMEX Light Sweet Crude Oil Future(c) | 11/21/2022 | 33,377,280 | (436,110 | ) | |||||||||
112 | NYMEX Light Sweet Crude Oil Future(c) | 12/20/2022 | 8,708,000 | (93,550 | ) | |||||||||
71 | NYMEX Light Sweet Crude Oil Future(c) | 01/20/2023 | 5,440,730 | (238,010 | ) | |||||||||
47 | NYMEX Light Sweet Crude Oil Future(c) | 02/21/2023 | 3,551,790 | (73,210 | ) | |||||||||
21 | NYMEX Light Sweet Crude Oil Future(c) | 03/21/2023 | 1,566,810 | (62,580 | ) | |||||||||
522 | NYMEX NY Harbor ULSD Futures(c) | 10/31/2022 | 70,630,358 | (470,652 | ) | |||||||||
184 | NYMEX NY Harbor ULSD Futures(c) | 11/30/2022 | 24,165,456 | 143,228 | ||||||||||
39 | NYMEX NY Harbor ULSD Futures(c) | 12/30/2022 | 5,034,393 | (35,860 | ) | |||||||||
20 | NYMEX NY Harbor ULSD Futures(c) | 01/31/2023 | 2,534,028 | 15,977 | ||||||||||
52 | NYMEX Platinum Future(c) | 01/27/2023 | 2,233,660 | (104,410 | ) | |||||||||
605 | NYMEX Reformulated Gasoline Blendstock for Oxygen(c) | 10/31/2022 | 60,216,618 | 62,055 | ||||||||||
323 | NYMEX Reformulated Gasoline Blendstock for Oxygen(c) | 11/30/2022 | 30,915,557 | (471,967 | ) | |||||||||
107 | NYMEX Reformulated Gasoline Blendstock for Oxygen(c) | 12/30/2022 | 10,051,280 | (221,483 | ) | |||||||||
40 | NYMEX Reformulated Gasoline Blendstock for Oxygen(c) | 01/31/2023 | 3,731,784 | (77,389 | ) | |||||||||
3 | SAFEX FTSE/JSE Top 40 Index Future | 12/15/2022 | 95,825 | 1,050 | ||||||||||
116 | SFE S&P ASX Share Price Index 200 Future | 12/15/2022 | 11,993,220 | (24,032 | ) | |||||||||
70 | TEF SET50 Index Future | 12/29/2022 | 352,016 | (6,422 | ) | |||||||||
65 | TSE Japanese 10 Year Bond Futures | 12/13/2022 | 66,603,330 | 30,885 | ||||||||||
TOTAL FUTURES CONTRACTS | $ | (14,271,237 | ) |
CATALYST/MILLBURN HEDGE STRATEGY FUND |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) (Continued) |
September 30, 2022 |
OPEN FUTURES CONTRACTS | ||||||||||||||
Number
of Contracts | Open Short Futures Contracts | Expiration | Notional Amount(b) | Value
and Unrealized Appreciation (Depreciation) | ||||||||||
595 | 3 Month Euro Euribor Future | 03/18/2024 | $ | 141,381,737 | $ | (82,400 | ) | |||||||
474 | 3 Month Euro Euribor Future | 06/19/2023 | 112,583,709 | 413,919 | ||||||||||
822 | 3 Month Euro Euribor Future | 06/17/2024 | 195,370,995 | 787,146 | ||||||||||
410 | 3 Month Euro Euribor Future | 09/18/2023 | 97,332,313 | (230,575 | ) | |||||||||
757 | 3 Month Euro Euribor Future | 09/16/2024 | 179,986,857 | 1,180,676 | ||||||||||
544 | 3 Month Euro Euribor Future | 12/18/2023 | 129,216,659 | 302,178 | ||||||||||
615 | 3 Month Euro Euribor Future | 12/16/2024 | 146,284,726 | 1,288,694 | ||||||||||
3,440 | BMF Ibovespa Index Future | 10/13/2022 | 70,489,157 | (915,723 | ) | |||||||||
275 | Carbon Emissions Future(c) | 12/19/2022 | 17,982,166 | (19,793 | ) | |||||||||
161 | CBOE Volatility Index Future(c) | 12/21/2022 | 4,837,648 | (94,648 | ) | |||||||||
278 | CBOE Volatility Index Future(c) | 11/16/2022 | 8,637,933 | (142,283 | ) | |||||||||
97 | CBOE Volatility Index Future(c) | 10/19/2022 | 3,057,052 | (30,952 | ) | |||||||||
873 | CBOT $5 Mini Dow Jones Industrial Average e-CBOT | 12/16/2022 | 125,716,365 | 3,512,780 | ||||||||||
5,572 | CBOT 10 Year US Treasury Note | 12/20/2022 | 624,412,250 | (1,131,625 | ) | |||||||||
4,526 | CBOT 2 Year US Treasury Note Future | 12/30/2022 | 929,595,139 | 103,393 | ||||||||||
8,495 | CBOT 5 Year US Treasury Note | 12/30/2022 | 913,280,460 | 8,831,057 | ||||||||||
1,819 | CBOT Corn Future(c) | 12/14/2022 | 61,618,625 | (197,313 | ) | |||||||||
1,271 | CBOT Soybean Future(c) | 11/14/2022 | 86,729,863 | 4,932,313 | ||||||||||
804 | CBOT Soybean Meal Future(c) | 12/14/2022 | 32,401,200 | 645,990 | ||||||||||
38 | CBOT Soybean Oil Future(c) | 12/14/2022 | 1,403,568 | 1,122 | ||||||||||
2,572 | CBOT US Long Bond Future | 12/20/2022 | 325,116,232 | 7,766,612 | ||||||||||
162 | CBOT Wheat Future(c) | 12/14/2022 | 7,464,150 | (100,538 | ) | |||||||||
2,340 | CME 3 Month Eurodollar Future | 03/18/2024 | 559,669,499 | 4,150,375 | ||||||||||
834 | CME 3 Month Eurodollar Future | 06/19/2023 | 198,773,475 | 931,950 | ||||||||||
2,178 | CME 3 Month Eurodollar Future | 06/17/2024 | 521,794,349 | 3,063,013 | ||||||||||
1,135 | CME 3 Month Eurodollar Future | 09/18/2023 | 270,754,250 | 1,656,975 | ||||||||||
1,993 | CME 3 Month Eurodollar Future | 09/16/2024 | 478,070,875 | 3,634,138 | ||||||||||
1,672 | CME 3 Month Eurodollar Future | 12/18/2023 | 399,231,800 | 2,451,563 | ||||||||||
1,993 | CME 3 Month Eurodollar Future | 12/16/2024 | 478,594,037 | 3,255,313 | ||||||||||
462 | CME Australian Dollar Currency Future | 12/19/2022 | 29,639,610 | 851,590 | ||||||||||
432 | CME British Pound Currency Future | 12/19/2022 | 30,188,700 | (86,081 | ) | |||||||||
1,067 | CME Canadian Dollar Currency Future | 12/20/2022 | 77,245,465 | 1,498,889 | ||||||||||
561 | CME E-Mini NASDAQ 100 Index Future | 12/16/2022 | 123,818,310 | 3,119,965 | ||||||||||
980 | CME E-mini Russell 2000 Index Futures | 12/16/2022 | 81,820,200 | 9,420,400 | ||||||||||
439 | CME E-Mini Standard & Poors 500 Index Future | 12/16/2022 | 79,052,925 | 2,617,200 | ||||||||||
464 | CME Euro Foreign Exchange Currency Future | 12/19/2022 | 57,196,700 | 166,788 | ||||||||||
684 | CME Japanese Yen Currency Future | 12/19/2022 | 59,537,925 | 296,619 | ||||||||||
209 | CME Lean Hogs Future(c) | 12/14/2022 | 6,372,410 | 119,150 | ||||||||||
219 | CME New Zealand Dollar Currency Future | 12/19/2022 | 12,293,565 | 252,075 | ||||||||||
282 | CME Swiss Franc Currency Future | 12/19/2022 | 36,004,350 | 402,356 | ||||||||||
1,368 | CME Ultra Long Term US Treasury Bond Future | 12/20/2022 | 187,416,000 | 5,486,063 | ||||||||||
445 | COMEX Copper Future(c) | 12/28/2022 | 37,964,063 | (437,850 | ) | |||||||||
827 | COMEX Gold 100 Troy Ounces Future(c) | 12/28/2022 | 138,274,400 | (674,350 | ) | |||||||||
15 | COMEX Silver Future(c) | 12/28/2022 | 1,427,925 | (2,025 | ) | |||||||||
2,957 | Eurex 10 Year Euro BUND Future | 12/08/2022 | 401,288,516 | 10,905,416 | ||||||||||
3,086 | Eurex 2 Year Euro SCHATZ Future | 12/08/2022 | 324,067,800 | (602,178 | ) | |||||||||
898 | Eurex 30 Year Euro BUXL Future | 12/08/2022 | 129,037,453 | 8,881,933 | ||||||||||
4,912 | Eurex 5 Year Euro BOBL Future | 12/08/2022 | 576,395,885 | (1,239,733 | ) |
CATALYST/MILLBURN HEDGE STRATEGY FUND |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) (Continued) |
September 30, 2022 |
OPEN FUTURES CONTRACTS (Continued) | ||||||||||||||
Number
of Contracts | Open Short Futures Contracts | Expiration | Notional Amount(b) | Value
and Unrealized Appreciation (Depreciation) | ||||||||||
686 | Eurex DAX Index Future | 12/16/2022 | $ | 203,917,785 | $ | 12,003,651 | ||||||||
3,015 | Eurex EURO STOXX 50 Future | 12/16/2022 | 97,939,490 | (828,782 | ) | |||||||||
2,491 | Euro-BTP Italian Bond Futures | 12/08/2022 | 273,338,736 | 7,241,495 | ||||||||||
928 | Euronext CAC 40 Index Future | 10/21/2022 | 52,410,858 | (353,886 | ) | |||||||||
3,633 | French Government Bond Futures | 12/08/2022 | 470,349,789 | 10,239,324 | ||||||||||
425 | FTSE 100 Index Future | 12/16/2022 | 32,816,252 | (14,569 | ) | |||||||||
576 | FTSE/MIB Index Future | 12/16/2022 | 57,935,835 | 3,260,761 | ||||||||||
554 | HKG Hang Seng China Enterprises Index Future | 10/28/2022 | 20,869,387 | 542,642 | ||||||||||
672 | HKG Hang Seng Index Future | 10/28/2022 | 73,666,282 | 1,953,698 | ||||||||||
1,781 | ICE US mini MSCI EAFE Index Futures | 12/16/2022 | 147,876,430 | 5,123,385 | ||||||||||
2,872 | ICE US MSCI Emerging Markets EM Index Futures | 12/16/2022 | 125,147,400 | 3,109,560 | ||||||||||
1,642 | KFE KOSPI 200 Index Future | 12/08/2022 | 80,412,323 | 3,365,743 | ||||||||||
61 | LME Copper Future(c) | 12/19/2022 | 11,557,975 | (188,196 | ) | |||||||||
21 | LME Lead Future(c) | 12/19/2022 | 1,002,750 | (12,972 | ) | |||||||||
33 | LME Nickel Future(c) | 12/19/2022 | 4,176,216 | 163,339 | ||||||||||
394 | LME Primary Aluminum Future(c) | 12/19/2022 | 21,285,850 | 720,822 | ||||||||||
74 | LME Zinc Future(c) | 12/19/2022 | 5,518,550 | 32,547 | ||||||||||
67 | MEFF Madrid IBEX 35 Index Future | 10/21/2022 | 4,834,373 | (11,276 | ) | |||||||||
509 | Montreal Exchange 10 Year Canadian Bond Future | 12/19/2022 | 45,546,722 | 403,015 | ||||||||||
145 | NYBOT CSC C Coffee Future(c) | 12/19/2022 | 12,046,781 | 85,613 | ||||||||||
206 | NYBOT CTN Number 2 Cotton Future(c) | 12/07/2022 | 8,790,020 | 125,415 | ||||||||||
65 | NYMEX Henry Hub Natural Gas Futures(c) | 01/27/2023 | 4,509,050 | 6,700 | ||||||||||
299 | NYMEX Henry Hub Natural Gas Futures(c) | 10/27/2022 | 20,230,340 | 430,340 | ||||||||||
178 | NYMEX Henry Hub Natural Gas Futures(c) | 11/28/2022 | 12,575,700 | 128,580 | ||||||||||
136 | OSE Nikkei 225 Index Future | 12/08/2022 | 24,375,320 | 631,961 | ||||||||||
1,608 | SFE 10 Year Australian Bond Future | 12/15/2022 | 120,449,834 | (399,055 | ) | |||||||||
1,045 | SFE 3 Year Australian Bond Future | 12/15/2022 | 71,223,190 | 14,335 | ||||||||||
3,448 | SGX FTSE China A50 Futures Contract | 10/28/2022 | 44,534,368 | 117,919 | ||||||||||
661 | SGX FTSE Taiwan Index Futures | 10/28/2022 | 30,868,700 | 688,920 | ||||||||||
258 | SGX Nifty 50 Index Futures | 10/27/2022 | 8,817,408 | (53,883 | ) | |||||||||
47 | SGX Nikkei 225 Stock Index Future | 12/08/2022 | 4,218,407 | 2,505 | ||||||||||
99 | Three Month SONIA Index Futures | 06/18/2024 | 26,072,779 | (18,788 | ) | |||||||||
131 | Three Month SONIA Index Futures | 09/19/2023 | 34,441,828 | (95,534 | ) | |||||||||
110 | Three Month SONIA Index Futures | 09/17/2024 | 28,994,322 | (31,213 | ) | |||||||||
155 | Three Month SONIA Index Futures | 12/19/2023 | 40,762,599 | (100,098 | ) | |||||||||
202 | Three Month SONIA Index Futures | 12/17/2024 | 53,303,331 | 518,977 | ||||||||||
206 | Three Month SONIA Index Futures | 03/19/2024 | 54,215,067 | (34,864 | ) | |||||||||
188 | Three Month SONIA Index Futures | 03/18/2025 | 49,685,144 | 263,799 | ||||||||||
397 | TSE TOPIX (Tokyo Price Index) Future | 12/08/2022 | 50,362,192 | 2,314,688 | ||||||||||
TOTAL FUTURES CONTRACTS | $ | 138,286,202 |
ETF - Exchange-Traded Fund
MSCI - Morgan Stanley Capital International
REIT - Real Estate Investment Trust
(a) | Non-income producing security. |
(b) | The amounts shown are the underlying reference notional amounts to stock exchange indices and equities upon which the fair value of the futures contracts held by the Fund are based. Notional values do not represent the current fair value of, and are not necessarily indicative of the future cash flows of the Funds futures contracts. Further, the underlying price changes in relation to the variables specified by the notional values affects the fair value of these derivative financial instruments. The notional values as set forth within this schedule do not purport to represent economic value at risk to the Fund. |
(c) | All or a portion of this investment is a holding of the CMHSF Fund Limited. |
CATALYST/MILLBURN HEDGE STRATEGY FUND |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) (Continued) |
September 30, 2022 |
Unrealized | ||||||||||||||||
Foreign Currency | Settlement Date | Counterparty | Local Currency | U.S. Dollar Value | Appreciation/(Depreciation) | |||||||||||
To Buy: | ||||||||||||||||
British Pound | 10/03/2022 | Bank Of America Merrill Lynch | 33,150,000 | $ | 37,018,840 | $ | 825,138 | |||||||||
Canadian Dollar | 10/03/2022 | Deutsche Bank | 42,790,000 | 30,981,205 | (212,086 | ) | ||||||||||
Euro | 10/03/2022 | Bank Of America Merrill Lynch | 59,410,000 | 58,216,561 | 354,149 | |||||||||||
Israeli Shekel | 10/03/2022 | Bank Of America Merrill Lynch | 39,310,000 | 11,023,865 | (8,198 | ) | ||||||||||
Japanese Yen | 10/03/2022 | Bank Of America Merrill Lynch | 3,358,999,999 | 23,208,734 | (32,276 | ) | ||||||||||
Mexican Peso | 10/03/2022 | Bank Of America Merrill Lynch | 454,040,000 | 22,545,869 | 30,026 | |||||||||||
New Zealand Dollar | 10/03/2022 | Deutsche Bank | 5,000,000 | 2,797,047 | (53,843 | ) | ||||||||||
Norwegian Krone | 10/03/2022 | Bank Of America Merrill Lynch | 122,970,000 | 11,294,438 | (171,808 | ) | ||||||||||
Polish Zloty | 10/03/2022 | Bank Of America Merrill Lynch | 32,430,000 | 6,542,131 | 18,673 | |||||||||||
South African Rand | 10/03/2022 | Bank Of America Merrill Lynch | 182,280,000 | 10,071,330 | (36,693 | ) | ||||||||||
Swedish Krona | 10/03/2022 | Deutsche Bank | 57,320,000 | 5,164,374 | 61,452 | |||||||||||
Swiss Franc | 10/03/2022 | Bank Of America Merrill Lynch | 5,810,000 | 5,888,374 | (38,144 | ) | ||||||||||
Australian Dollar | 10/04/2022 | Deutsche Bank | 19,310,000 | 12,350,495 | (176,701 | ) | ||||||||||
British Pound | 10/04/2022 | Bank Of America Merrill Lynch | 49,570,000 | 55,355,169 | 177,223 | |||||||||||
Euro | 10/04/2022 | Bank Of America Merrill Lynch | 108,070,000 | 105,899,069 | 96,728 | |||||||||||
Japanese Yen | 10/04/2022 | Bank Of America Merrill Lynch | 1,718,000,000 | 11,870,380 | (2,472 | ) | ||||||||||
Mexican Peso | 10/04/2022 | Bank Of America Merrill Lynch | 392,570,000 | 19,493,509 | (25,057 | ) | ||||||||||
New Zealand Dollar | 10/04/2022 | Deutsche Bank | 64,030,000 | 35,818,975 | (345,809 | ) | ||||||||||
Norwegian Krone | 10/04/2022 | Bank Of America Merrill Lynch | 230,580,000 | 21,178,104 | (44,267 | ) | ||||||||||
Polish Zloty | 10/04/2022 | Bank Of America Merrill Lynch | 3,610,000 | 728,248 | (1,881 | ) | ||||||||||
Singapore Dollar | 10/04/2022 | Bank Of America Merrill Lynch | 440,000 | 306,364 | (325 | ) | ||||||||||
South African Rand | 10/04/2022 | Bank Of America Merrill Lynch | 215,460,000 | 11,904,591 | (84,525 | ) | ||||||||||
Swedish Krona | 10/04/2022 | Deutsche Bank | 429,250,000 | 38,674,237 | 49,138 | |||||||||||
Swiss Franc | 10/04/2022 | Bank Of America Merrill Lynch | 58,500,000 | 59,289,138 | (159,060 | ) | ||||||||||
Australian Dollar | 10/05/2022 | Deutsche Bank | 35,380,000 | 22,628,987 | (344,692 | ) | ||||||||||
Israeli Shekel | 10/06/2022 | Bank Of America Merrill Lynch | 6,190,000 | 1,736,206 | (1,875 | ) | ||||||||||
Australian Dollar | 10/19/2022 | Deutsche Bank | 330,800,000 | 211,614,428 | (9,482,738 | ) | ||||||||||
Brazilian Real | 10/19/2022 | Bank Of America Merrill Lynch | 805,070,000 | 148,735,171 | (6,171,331 | ) | ||||||||||
British Pound | 10/19/2022 | Bank Of America Merrill Lynch | 236,580,000 | 264,280,600 | (3,512,338 | ) | ||||||||||
Canadian Dollar | 10/19/2022 | Deutsche Bank | 198,620,000 | 143,800,252 | (5,032,499 | ) | ||||||||||
Chilean Peso | 10/19/2022 | Bank Of America Merrill Lynch | 11,341,000,000 | 11,688,352 | (157,973 | ) | ||||||||||
Euro | 10/19/2022 | Bank Of America Merrill Lynch | 445,520,000 | 437,035,247 | (6,447,898 | ) | ||||||||||
Indian Rupee | 10/19/2022 | Bank Of America Merrill Lynch | 7,748,679,999 | 94,822,673 | (1,982,726 | ) | ||||||||||
Israeli Shekel | 10/19/2022 | Bank Of America Merrill Lynch | 41,440,000 | 11,637,215 | (668,122 | ) | ||||||||||
Japanese Yen | 10/19/2022 | Bank Of America Merrill Lynch | 58,961,999,994 | 407,979,480 | (5,017,529 | ) | ||||||||||
Mexican Peso | 10/19/2022 | Bank Of America Merrill Lynch | 9,367,769,999 | 463,841,066 | 1,768,356 | |||||||||||
New Zealand Dollar | 10/19/2022 | Deutsche Bank | 267,650,000 | 149,732,298 | (11,189,257 | ) |
CATALYST/MILLBURN HEDGE STRATEGY FUND |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) (Continued) |
September 30, 2022 |
Unrealized | ||||||||||||||||
Foreign Currency | Settlement Date | Counterparty | Local Currency | U.S. Dollar Value | Appreciation/(Depreciation) | |||||||||||
To Buy: (Continued) | ||||||||||||||||
Norwegian Krone | 10/19/2022 | Bank Of America Merrill Lynch | 894,350,000 | $ | 82,154,170 | $ | (4,095,034 | ) | ||||||||
Polish Zloty | 10/19/2022 | Bank Of America Merrill Lynch | 505,110,000 | 101,645,560 | (4,548,055 | ) | ||||||||||
Singapore Dollar | 10/19/2022 | Bank Of America Merrill Lynch | 39,260,000 | 27,339,605 | (692,464 | ) | ||||||||||
South African Rand | 10/19/2022 | Bank Of America Merrill Lynch | 1,523,080,000 | 84,037,545 | (3,401,299 | ) | ||||||||||
South Korean Won | 10/19/2022 | Bank Of America Merrill Lynch | 91,537,999,999 | 63,512,637 | (2,457,331 | ) | ||||||||||
Swedish Krona | 10/19/2022 | Deutsche Bank | 1,403,080,000 | 126,500,184 | (2,566,885 | ) | ||||||||||
Swiss Franc | 10/19/2022 | Bank Of America Merrill Lynch | 266,170,000 | 270,128,415 | (5,166,107 | ) | ||||||||||
$ | 3,722,471,138 | $ | (70,948,415 | ) | ||||||||||||
To Sell: | ||||||||||||||||
British Pound | 10/03/2022 | Bank Of America Merrill Lynch | 33,150,000 | $ | 37,018,839 | $ | (339,690 | ) | ||||||||
Canadian Dollar | 10/03/2022 | Deutsche Bank | 42,790,000 | 30,981,204 | 129,262 | |||||||||||
Euro | 10/03/2022 | Bank Of America Merrill Lynch | 59,410,000 | 58,216,560 | (130,215 | ) | ||||||||||
Israeli Shekel | 10/03/2022 | Bank Of America Merrill Lynch | 39,310,000 | 11,023,863 | 66,279 | |||||||||||
Japanese Yen | 10/03/2022 | Bank Of America Merrill Lynch | 3,359,000,000 | 23,208,733 | 26,042 | |||||||||||
Mexican Peso | 10/03/2022 | Bank Of America Merrill Lynch | 454,040,000 | 22,545,870 | (53,499 | ) | ||||||||||
New Zealand Dollar | 10/03/2022 | Deutsche Bank | 5,000,000 | 2,797,046 | 46,372 | |||||||||||
Norwegian Krone | 10/03/2022 | Bank Of America Merrill Lynch | 122,970,000 | 11,294,439 | 129,498 | |||||||||||
Polish Zloty | 10/03/2022 | Bank Of America Merrill Lynch | 32,430,000 | 6,542,132 | (93,378 | ) | ||||||||||
South African Rand | 10/03/2022 | Bank Of America Merrill Lynch | 182,280,000 | 10,071,331 | 43,716 | |||||||||||
Swedish Krona | 10/03/2022 | Deutsche Bank | 57,320,000 | 5,164,373 | (42,812 | ) | ||||||||||
Swiss Franc | 10/03/2022 | Bank Of America Merrill Lynch | 5,810,000 | 5,888,375 | 32,018 | |||||||||||
Australian Dollar | 10/04/2022 | Deutsche Bank | 19,310,000 | 12,350,495 | 162,462 | |||||||||||
British Pound | 10/04/2022 | Bank Of America Merrill Lynch | 49,570,000 | 55,355,167 | (265,679 | ) | ||||||||||
Euro | 10/04/2022 | Bank Of America Merrill Lynch | 108,070,000 | 105,899,071 | (213,754 | ) | ||||||||||
Japanese Yen | 10/04/2022 | Bank Of America Merrill Lynch | 1,718,000,000 | 11,870,380 | 2,153 | |||||||||||
Mexican Peso | 10/04/2022 | Bank Of America Merrill Lynch | 392,570,000 | 19,493,507 | 44,143 | |||||||||||
New Zealand Dollar | 10/04/2022 | Deutsche Bank | 64,030,000 | 35,818,977 | 683,114 | |||||||||||
Norwegian Krone | 10/04/2022 | Bank Of America Merrill Lynch | 230,580,000 | 21,178,104 | 181,369 | |||||||||||
Polish Zloty | 10/04/2022 | Bank Of America Merrill Lynch | 3,610,000 | 728,248 | 2,172 | |||||||||||
Singapore Dollar | 10/04/2022 | Bank Of America Merrill Lynch | 440,000 | 306,364 | 331 | |||||||||||
South African Rand | 10/04/2022 | Bank Of America Merrill Lynch | 215,460,000 | 11,904,590 | 94,916 | |||||||||||
Swedish Krona | 10/04/2022 | Deutsche Bank | 429,250,000 | 38,674,236 | (97,892 | ) | ||||||||||
Swiss Franc | 10/04/2022 | Bank Of America Merrill Lynch | 58,500,000 | 59,289,135 | 336,210 | |||||||||||
Australian Dollar | 10/05/2022 | Deutsche Bank | 35,380,000 | 22,628,987 | 123,537 | |||||||||||
Israeli Shekel | 10/06/2022 | Bank Of America Merrill Lynch | 6,190,000 | 1,736,207 | 10,306 | |||||||||||
Australian Dollar | 10/19/2022 | Deutsche Bank | 583,050,000 | 372,980,023 | 14,760,100 |
CATALYST/MILLBURN HEDGE STRATEGY FUND |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) (Continued) |
September 30, 2022 (Unaudited) (Continued) |
Unrealized | ||||||||||||||||
Foreign Currency | Settlement Date | Counterparty | Local Currency | U.S. Dollar Value | Appreciation/(Depreciation) | |||||||||||
To Sell: (continued) | ||||||||||||||||
Brazilian Real | 10/19/2022 | Bank Of America Merrill Lynch | 1,081,640,000 | $ | 199,830,958 | $ | 1,853,411 | |||||||||
British Pound | 10/19/2022 | Bank Of America Merrill Lynch | 236,580,000 | 264,280,597 | 4,892,421 | |||||||||||
Canadian Dollar | 10/19/2022 | Deutsche Bank | 628,940,000 | 455,350,569 | 24,198,915 | |||||||||||
Chilean Peso | 10/19/2022 | Bank Of America Merrill Lynch | 11,546,999,999 | 11,900,662 | 622,728 | |||||||||||
Euro | 10/19/2022 | Bank Of America Merrill Lynch | 921,360,000 | 903,813,053 | 10,701,787 | |||||||||||
Indian Rupee | 10/19/2022 | Bank Of America Merrill Lynch | 10,533,650,000 | 128,903,103 | 1,062,793 | |||||||||||
Israeli Shekel | 10/19/2022 | Bank Of America Merrill Lynch | 142,270,000 | 39,952,383 | 1,000,348 | |||||||||||
Japanese Yen | 10/19/2022 | Bank Of America Merrill Lynch | 106,651,999,986 | 737,963,897 | 14,131,730 | |||||||||||
Mexican Peso | 10/19/2022 | Bank Of America Merrill Lynch | 4,062,619,999 | 201,158,865 | 178,137 | |||||||||||
New Zealand Dollar | 10/19/2022 | Deutsche Bank | 658,100,000 | 368,162,993 | 22,642,156 | |||||||||||
Norwegian Krone | 10/19/2022 | Bank Of America Merrill Lynch | 2,727,900,000 | 250,582,390 | 15,541,694 | |||||||||||
Polish Zloty | 10/19/2022 | Bank Of America Merrill Lynch | 578,610,000 | 116,436,297 | 3,925,825 | |||||||||||
Singapore Dollar | 10/19/2022 | Bank Of America Merrill Lynch | 117,560,000 | 81,865,614 | 1,439,545 | |||||||||||
South African Rand | 10/19/2022 | Bank Of America Merrill Lynch | 1,523,080,000 | 84,037,545 | 1,776,069 | |||||||||||
South Korean Won | 10/19/2022 | Bank Of America Merrill Lynch | 72,412,999,999 | 50,242,982 | 1,888,773 | |||||||||||
Swedish Krona | 10/19/2022 | Deutsche Bank | 3,286,349,999 | 296,293,783 | 7,040,204 | |||||||||||
Swiss Franc | 10/19/2022 | Bank Of America Merrill Lynch | 705,050,000 | 715,535,324 | 12,831,845 | |||||||||||
British Pound | 11/16/2022 | Bank Of America Merrill Lynch | 46,360,000 | 51,808,562 | (183,364 | ) | ||||||||||
$ | 5,953,085,833 | $ | 141,182,098 | |||||||||||||
Total | $ | 70,233,683 |
Local Currency | Local Currency | |||||||||||||||||||||||||
Settlement | Amount | Amount Purchased | U.S. Dollar Market | U.S. Dollar Market | Unrealized | |||||||||||||||||||||
Foreign Currency | Date | Counterparty | Purchased Sell | Sell | Value Buy | Value Sell | Appreciation/(Depreciation) | |||||||||||||||||||
To Buy: | To Sell: | |||||||||||||||||||||||||
Euro | Norwegian Krone | 10/19/2022 | Bank Of America Merrill Lynch | 106,410,000 | 1,092,693,004 | 104,383,462 | (100,373,782 | ) | $ | 4,009,680 | ||||||||||||||||
Euro | Polish Zloty | 10/19/2022 | Bank Of America Merrill Lynch | 44,390,000 | 213,810,897 | 43,544,610 | (43,026,134 | ) | 518,476 | |||||||||||||||||
Euro | Swedish Krona | 10/19/2022 | Bank Of America Merrill Lynch | 96,510,000 | 1,034,702,142 | 94,672,004 | (93,287,634 | ) | 1,384,370 | |||||||||||||||||
Norwegian Krone | Euro | 10/19/2022 | Bank Of America Merrill Lynch | 1,658,630,211 | 162,100,000 | 152,360,250 | (159,012,868 | ) | (6,652,618 | ) | ||||||||||||||||
Polish Zloty | Euro | 10/19/2022 | Bank Of America Merrill Lynch | 255,624,839 | 53,780,000 | 51,440,537 | (52,755,781 | ) | (1,315,244 | ) | ||||||||||||||||
Swedish Krona | Euro | 10/19/2022 | Bank Of America Merrill Lynch | 1,438,486,951 | 132,990,000 | 129,692,441 | (130,457,255 | ) | (764,814 | ) | ||||||||||||||||
3,600,052,001 | 2,690,076,043 | $ | 576,093,304 | $ | 578,913,454 | $ | (2,820,150 | ) | ||||||||||||||||||
Total | $ | (2,820,150 | ) |
CATALYST DYNAMIC ALPHA FUND |
SCHEDULE OF INVESTMENTS (Unaudited) |
September 30, 2022 |
Shares | Fair Value | |||||||
COMMON STOCKS — 99.4% | ||||||||
AEROSPACE & DEFENSE - 2.8% | ||||||||
41,900 | Raytheon Technologies Corporation | $ | 3,429,934 | |||||
ASSET MANAGEMENT - 4.2% | ||||||||
23,000 | LPL Financial Holdings, Inc.(a) | 5,025,040 | ||||||
BEVERAGES - 2.9% | ||||||||
15,500 | Constellation Brands, Inc., Class A | 3,560,040 | ||||||
BIOTECH & PHARMA - 6.6% | ||||||||
73,850 | AstraZeneca plc - ADR | 4,049,934 | ||||||
90,550 | Pfizer, Inc. | 3,962,468 | ||||||
8,012,402 | ||||||||
CHEMICALS - 6.2% | ||||||||
12,500 | Albemarle Corporation | 3,305,500 | ||||||
73,900 | Corteva, Inc. | 4,223,385 | ||||||
7,528,885 | ||||||||
ELECTRICAL EQUIPMENT - 2.0% | ||||||||
37,000 | Amphenol Corporation, Class A | 2,477,520 | ||||||
ENGINEERING & CONSTRUCTION - 5.4% | ||||||||
50,600 | Quanta Services, Inc.(a) | 6,445,934 | ||||||
FOOD - 4.2% | ||||||||
22,700 | Hershey Company (The) | 5,004,669 | ||||||
GAS & WATER UTILITIES - 2.5% | ||||||||
117,600 | NiSource, Inc. | 2,962,344 | ||||||
HEALTH CARE FACILITIES & SERVICES - 10.0% | ||||||||
32,250 | AmerisourceBergen Corporation | 4,364,393 | ||||||
15,250 | UnitedHealth Group, Inc. | 7,701,860 | ||||||
12,066,253 | ||||||||
INSURANCE - 5.8% | ||||||||
49,300 | MetLife, Inc. | 2,996,454 |
CATALYST DYNAMIC ALPHA FUND |
SCHEDULE OF INVESTMENTS (Unaudited) (Continued) |
September 30, 2022 |
Shares | Fair Value | |||||||
COMMON STOCKS — 99.4% (Continued) | ||||||||
INSURANCE - 5.8% (Continued) | ||||||||
26,750 | Travelers Companies, Inc. (The) | $ | 4,098,100 | |||||
7,094,554 | ||||||||
OIL & GAS PRODUCERS - 7.7% | ||||||||
86,300 | Devon Energy Corporation(a) | 5,189,219 | ||||||
144,600 | Williams Companies, Inc. (The) | 4,139,898 | ||||||
9,329,117 | ||||||||
RENEWABLE ENERGY - 3.5% | ||||||||
15,300 | Enphase Energy, Inc.(b) | 4,245,291 | ||||||
RETAIL - DISCRETIONARY - 3.0% | ||||||||
62,300 | Builders FirstSource, Inc.(a),(b) | 3,670,716 | ||||||
RETAIL REIT - 2.7% | ||||||||
173,300 | Kimco Realty Corporation | 3,190,453 | ||||||
SEMICONDUCTORS - 7.7% | ||||||||
10,325 | KLA Corporation | 3,124,654 | ||||||
98,850 | ON Semiconductor Corporation(a),(b) | 6,161,320 | ||||||
9,285,974 | ||||||||
SOFTWARE - 4.0% | ||||||||
16,025 | Synopsys, Inc.(b) | 4,895,798 | ||||||
SPECIALTY REITS - 2.2% | ||||||||
61,700 | Iron Mountain, Inc.(a) | 2,712,949 | ||||||
TECHNOLOGY HARDWARE - 2.9% | ||||||||
15,900 | Motorola Solutions, Inc. | 3,561,123 | ||||||
TECHNOLOGY SERVICES - 4.2% | ||||||||
23,800 | Booz Allen Hamilton Holding Corporation | 2,197,930 | ||||||
7,125 | FactSet Research Systems, Inc. | 2,850,784 | ||||||
5,048,714 |
CATALYST DYNAMIC ALPHA FUND |
SCHEDULE OF INVESTMENTS (Unaudited) (Continued) |
September 30, 2022 |
Shares | Fair Value | |||||||
COMMON STOCKS — 99.4% (Continued) | ||||||||
TELECOMMUNICATIONS - 3.5% | ||||||||
31,400 | T-Mobile US, Inc.(a),(b) | $ | 4,212,938 | |||||
TRANSPORTATION & LOGISTICS - 2.2% | ||||||||
13,500 | Union Pacific Corporation | 2,630,070 | ||||||
WHOLESALE - CONSUMER STAPLES - 3.2% | ||||||||
54,850 | Sysco Corporation | 3,878,444 | ||||||
TOTAL COMMON STOCKS (Cost $113,779,259) | 120,269,162 | |||||||
Shares | Fair Value | |||||||
SHORT-TERM INVESTMENTS — 22.0% | ||||||||
COLLATERAL FOR SECURITIES LOANED - 22.0% | ||||||||
26,555,228 | Mount Vernon Liquid Assets Portfolio, , 1.64% (Cost $26,555,228)(c),(d) | 26,555,228 | ||||||
TOTAL INVESTMENTS - 121.4% (Cost $140,334,487) | $ | 146,824,390 | ||||||
LIABILITIES IN EXCESS OF OTHER ASSETS - (21.4)% | (25,924,120 | ) | ||||||
NET ASSETS - 100.0% | $ | 120,900,270 |
ADR - American Depositary Receipt
PLC - Public Limited Company
REIT - Real Estate Investment Trust
(a) | All or a portion of this security is on loan. The total fair value of securities on loan at September 30, 2022 was $25,991,882. |
(b) | Non-income producing security. |
(c) | Rate disclosed is the seven day effective yield as of September 30, 2022. |
(d) | Mutual Fund Series Trusts 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/CIFC FLOATING RATE INCOME FUND |
SCHEDULE OF INVESTMENTS (Unaudited) |
September 30, 2022 |
Shares | Fair Value | |||||||||||||||
COMMON STOCK - 0.0% + | ||||||||||||||||
SOFTWARE - 0.0% + | ||||||||||||||||
7,832 | Avaya Holdings Corp. | $ | 12,453 | |||||||||||||
TOTAL COMMON STOCK (Cost - $198,736) | ||||||||||||||||
Principal | Coupon | |||||||||||||||
Amount ($) | Variable Rate | Rate (%) | Maturity | |||||||||||||
ASSET BACKED SECURITIES - 7.9% | ||||||||||||||||
COLLATERALIZED LOAN OBLIGATIONS - 7.9% | ||||||||||||||||
500,000 | Apidos CLO XX # | 3 Month LIBOR + 5.700% | 8.440 | * | 7/16/2031 | 392,949 | ||||||||||
500,000 | Apidos CLO XXX # | 3 Month LIBOR + 5.600% | 8.340 | * | 10/18/2031 | 403,826 | ||||||||||
500,000 | Apidos CLO XXXV # | 3 Month LIBOR + 5.750% | 8.460 | * | 4/20/2034 | 408,156 | ||||||||||
500,000 | ARES LII CLO Ltd. # | 3 Month LIBOR + 6.450% | 9.209 | * | 4/22/2031 | 401,782 | ||||||||||
500,000 | ARES XLVII CLO Ltd. # | 3 Month LIBOR + 5.500% | 8.012 | * | 4/15/2030 | 400,990 | ||||||||||
835,000 | BlueMountain CLO 2015-4 Ltd. # | 3 Month LIBOR + 2.950% | 5.660 | * | 4/20/2030 | 696,539 | ||||||||||
500,000 | BlueMountain CLO 2018-3 Ltd. # | 3 Month LIBOR + 5.950% | 8.733 | * | 10/25/2030 | 400,716 | ||||||||||
500,000 | BlueMountain CLO XXII Ltd. # | 3 Month LIBOR + 5.050% | 7.562 | * | 7/15/2031 | 392,303 | ||||||||||
500,000 | BlueMountain Fuji US CLO I Ltd. # | 3 Month LIBOR + 6.000% | 8.710 | * | 7/20/2029 | 422,523 | ||||||||||
500,000 | BlueMountain Fuji US CLO III Ltd. # | 3 Month LIBOR + 5.200% | 7.712 | * | 1/15/2030 | 391,319 | ||||||||||
750,000 | Burnham Park CLO Ltd. # | 3 Month LIBOR + 5.400% | 8.110 | * | 10/20/2029 | 613,591 | ||||||||||
500,000 | Canyon CLO 2018-1 Ltd. # | 3 Month LIBOR + 5.750% | 8.262 | * | 7/15/2031 | 408,105 | ||||||||||
500,000 | Carlyle Global Market Strategies CLO 2014-1 Ltd. # | 3 Month LIBOR + 5.400% | 8.140 | * | 4/17/2031 | 392,273 | ||||||||||
500,000 | Carlyle Global Market Strategies CLO 2017-1 Ltd. # | 3 Month LIBOR + 6.000% | 8.710 | * | 4/20/2031 | 408,873 | ||||||||||
500,000 | CARLYLE US CLO 2017-5 Ltd. # | 3 Month LIBOR + 5.300% | 8.010 | * | 1/20/2030 | 394,704 | ||||||||||
500,000 | Cook Park CLO Ltd. # | 3 Month LIBOR + 5.400% | 8.140 | * | 4/17/2030 | 399,770 | ||||||||||
500,000 | Flatiron CLO 17 Ltd. # | 3 Month LIBOR + 5.900% | 8.805 | * | 5/15/2030 | 439,766 | ||||||||||
500,000 | Galaxy XXI CLO Ltd. # | 3 Month LIBOR + 5.250% | 7.960 | * | 4/20/2031 | 418,022 | ||||||||||
500,000 | Goldentree Loan Management US CLO 1 Ltd. # | 3 Month LIBOR + 4.750% | 7.460 | * | 1/20/2033 | 398,140 | ||||||||||
500,000 | Goldentree Loan Management US ClO 2 Ltd. # | 3 Month LIBOR + 4.700% | 7.410 | * | 11/28/2030 | 409,426 | ||||||||||
750,000 | Goldentree Loan Opportunities X Ltd. # | 3 Month LIBOR + 5.650% | 8.360 | * | 7/20/2031 | 640,613 | ||||||||||
250,000 | Grippen Park CLO Ltd. # | 3 Month LIBOR + 5.700% | 8.410 | * | 1/20/2030 | 209,050 | ||||||||||
500,000 | Highbridge Loan Management 7-2015 Ltd. # | 3 Month LIBOR + 5.000% | 7.905 | * | 3/15/2027 | 462,788 | ||||||||||
500,000 | Jamestown CLO II Ltd. # | 3 Month LIBOR + 5.450% | 8.209 | * | 4/22/2030 | 404,575 | ||||||||||
500,000 | KKR CLO 13 Ltd. # | 3 Month LIBOR + 4.950% | 7.690 | * | 1/16/2028 | 467,926 | ||||||||||
500,000 | Magnetite XV Ltd. # | 3 Month LIBOR + 5.200% | 7.983 | * | 7/25/2031 | 411,500 | ||||||||||
500,000 | Neuberger Berman CLO XVIII Ltd. # | 3 Month LIBOR + 5.920% | 8.652 | * | 10/21/2030 | 417,573 | ||||||||||
500,000 | Octagon Investment Partners XXII Ltd. # | 3 Month LIBOR + 5.450% | 8.209 | * | 1/22/2030 | 406,042 | ||||||||||
500,000 | Octagon Investment Partners XVII Ltd. # | 3 Month LIBOR + 5.150% | 7.933 | * | 1/25/2031 | 392,402 | ||||||||||
500,000 | Octagon Investment Partners 18-R Ltd. # | 3 Month LIBOR + 2.700% | 5.440 | * | 4/16/2031 | 421,910 | ||||||||||
500,000 | Octagon Investment Partners 26 Ltd. # | 3 Month LIBOR + 5.400% | 7.912 | * | 7/15/2030 | 396,489 | ||||||||||
500,000 | Octagon Investment Partners 37 Ltd. # | 3 Month LIBOR + 5.400% | 8.183 | * | 7/25/2030 | 410,626 | ||||||||||
500,000 | OHA Credit Partners XV Ltd. # | 3 Month LIBOR + 5.300% | 8.010 | * | 1/20/2030 | 423,358 | ||||||||||
500,000 | Palmer Square CLO 2018-2 # | 3 Month LIBOR + 5.600% | 8.340 | * | 7/16/2031 | 430,404 | ||||||||||
500,000 | Regatta X Funding Ltd. # | 3 Month LIBOR + 5.550% | 8.290 | * | 1/17/2031 | 408,538 | ||||||||||
550,000 | Regatta XI Funding Ltd. # | 3 Month LIBOR + 5.500% | 8.240 | * | 7/17/2031 | 455,406 | ||||||||||
500,000 | RR 5 Ltd. # | 3 Month LIBOR + 5.750% | 8.262 | * | 10/15/2031 | 416,093 | ||||||||||
500,000 | Wellfleet CLO 2015-1 Ltd. # | 3 Month LIBOR + 7.050% | 9.760 | * | 7/20/2029 | 419,632 | ||||||||||
500,000 | Wellfleet CLO 2017-1 Ltd. # | 3 Month LIBOR + 6.050% | 8.760 | * | 4/20/2029 | 406,026 | ||||||||||
500,000 | Wellfleet CLO 2018-2 Ltd. # | 3 Month LIBOR + 6.070% | 8.780 | * | 10/20/2031 | 403,586 | ||||||||||
500,000 | Wellfleet CLO 2018-3 Ltd. # | 3 Month LIBOR + 6.250% | 8.960 | * | 1/20/2032 | 401,041 | ||||||||||
500,000 | Wellfleet CLO X LTD # | 3 Month LIBOR + 6.610% | 9.320 | * | 7/20/2032 | 393,106 | ||||||||||
1,500,000 | York CLO 1 Ltd. # | 3 Month LIBOR + 5.580% | 8.339 | * | 10/22/2029 | 1,319,931 | ||||||||||
TOTAL ASSET BACKED SECURITIES (Cost - $21,895,187) | 19,112,388 | |||||||||||||||
CORPORATE BONDS - 2.0% | ||||||||||||||||
CABLE & SATELLITE - 0.3% | ||||||||||||||||
27,000 | CCO Holdings, LLC / CCO Holdings Capital Corporation # | 6.375 | 9/1/2029 | 24,838 | ||||||||||||
750,000 | CCO Holdings, LLC / CCO Holdings Capital Corporation # | 4.750 | 3/1/2030 | 610,282 | ||||||||||||
635,120 | ||||||||||||||||
INSURANCE- 0.1% | ||||||||||||||||
243,000 | Alliant Holdings Intermediate LLC # | 6.750 | 10/15/2027 | 209,940 | ||||||||||||
LEISURE FACILITIES & SERVICES - 0.7% | ||||||||||||||||
999,000 | CDI Escrow Issuer, Inc. # | 5.750 | 4/1/2030 | 874,035 | ||||||||||||
1,000,000 | New Red Finance, Inc. # | 3.875 | 1/15/2028 | 871,895 | ||||||||||||
1,745,930 | ||||||||||||||||
REIT - 0.2% | ||||||||||||||||
700,000 | SBA Communications Corporation | 3.125 | 2/1/2029 | 564,518 | ||||||||||||
SOFTWARE- 0.0% | ||||||||||||||||
53,000 | NortonLifeLock, Inc. # | 6.750 | 9/30/2027 | 51,167 | ||||||||||||
53,000 | NortonLifeLock, Inc. # | 7.125 | 9/30/2030 | 51,378 | ||||||||||||
102,545 | ||||||||||||||||
TECHNOLOGY SERVICES - 0.4% | ||||||||||||||||
1,030,000 | MSCI, Inc. # | 3.875 | 2/15/2031 | 869,309 | ||||||||||||
WHOLESALE - CONSUMER STAPLES - 0.3% | ||||||||||||||||
875,000 | Performance Food Group, Inc. # | 4.250 | 8/1/2029 | 730,249 | ||||||||||||
TOTAL CORPORATE BONDS (Cost - $5,230,641) | 4,857,611 |
CATALYST/CIFC FLOATING RATE INCOME FUND |
SCHEDULE OF INVESTMENTS (Unaudited)(Continued) |
September 30, 2022 |
Principal | Coupon | |||||||||||||||
Amount ($) | Variable Rate | Rate (%) | Maturity | Fair Value | ||||||||||||
CORPORATE BONDS - 2.0% (Continued) | ||||||||||||||||
BANK LOANS - 79.1% | ||||||||||||||||
ADVERTISING & MARKETING - 0.3% | ||||||||||||||||
675,000 | ABG Intermediate Holdings 2, LLC | SOFRRATE + 6.000% | 9.134 | * | 12/10/2029 | $ | 639,562 | |||||||||
AEROSPACE & DEFENSE - 1.4% | ||||||||||||||||
2,447,513 | Dynasty Acquisition Co., Inc. | 3 Month LIBOR + 3.500% | 6.024 | * | 4/8/2026 | 2,266,751 | ||||||||||
1,316,637 | Standard Aero Ltd. | 3 Month LIBOR + 3.500% | 6.024 | * | 4/8/2026 | 1,219,397 | ||||||||||
3,486,148 | ||||||||||||||||
APPAREL & TEXTILE PRODUCTS - 0.1% | ||||||||||||||||
273,315 | Crocs, Inc. | SOFRRATE + 3.500% | 4.449 | * | 1/27/2029 | 258,112 | ||||||||||
ASSET MANAGEMENT - 1.8% | ||||||||||||||||
2,850,921 | Advisor Group Holdings, Inc. | 1 Month LIBOR + 4.500% | 7.024 | * | 7/31/2026 | 2,720,149 | ||||||||||
365,994 | Edelman Financial Center LLC | 1 Month LIBOR + 6.750% | 9.274 | * | 7/20/2026 | 325,735 | ||||||||||
1,306,623 | KPAE Finance Sub, Inc. | 3 Month LIBOR + 3.500% | 6.556 | * | 10/26/2027 | 1,242,377 | ||||||||||
1,240 | Nexus Buyer LLC | 1 Month LIBOR + 3.750% | 6.274 | * | 11/8/2026 | 1,195 | ||||||||||
4,289,456 | ||||||||||||||||
AUTOMOTIVE - 1.4% | ||||||||||||||||
3,462,663 | First Brands Group LLC | SOFRRATE + 5.000% | 8.368 | * | 3/24/2027 | 3,340,605 | ||||||||||
BIOTECH - 1.3% | ||||||||||||||||
1,038,398 | Curium Bidco Sarl Floating Rate | 3 Month LIBOR + 4.250% | 6.500 | * | 9/10/2027 | 987,776 | ||||||||||
2,200,000 | Jazz Financing Lux Sarl | 1 Month LIBOR + 3.500% | 6.024 | * | 4/22/2028 | 2,130,656 | ||||||||||
3,118,432 | ||||||||||||||||
BUSINESS AND DEVELOPMENT - 0.1% | ||||||||||||||||
245,000 | Garda World Security Corp. | SOFRRATE + 4.250% | 7.050 | * | 2/11/2029 | 228,870 | ||||||||||
CABLE & SATELLITE - 1.0% | ||||||||||||||||
2,481,755 | Directv Financing, LLC | 1 Month LIBOR + 5.000% | 7.524 | * | 7/22/2027 | 2,318,120 | ||||||||||
CHEMICALS - 1.6% | ||||||||||||||||
1,344,336 | Herens US Holdco Corp. | 3 Month LIBOR +4.000% | 6.250 | * | 4/30/2028 | 1,207,253 | ||||||||||
2,032,555 | Olympus Water US Holdings Corp. | 1 Month LIBOR + 3.750% | 6.063 | * | 10/1/2028 | 1,860,428 | ||||||||||
117,705 | Olympus Water US Holdings Corp. | SOFRRATE + 4.500% | 6.654 | * | 11/9/2028 | 109,208 | ||||||||||
647,870 | PQ Group Holdings, Inc. | 1 Month LIBOR + 3.500% | 5.803 | * | 4/30/2028 | 616,896 | ||||||||||
3,793,785 | ||||||||||||||||
COMMERCIAL SUPPORT SERVICES - 5.7% | ||||||||||||||||
3,962,392 | Allied Universal Holdco LLC | 1 Month LIBOR + 3.750% | 6.274 | * | 5/5/2028 | 3,494,335 | ||||||||||
725,000 | Amentum Government Services Holdings LLC | 3 Month LIBOR + 8.750% | 11.000 | * | 1/31/2028 | 670,625 | ||||||||||
1,447,000 | Amentum Government Services Holdings LLC | 3 Month LIBOR + 4.000% | 7.558 | * | 2/7/2029 | 1,385,502 | ||||||||||
1,086,225 | AVSC Holding Corporation | 6 Month LIBOR + 4.500% | 8.644 | * | 9/26/2026 | 967,761 | ||||||||||
2,481,502 | Conservice Midco LLC | 1 Month LIBOR + 4.250% | 6.774 | * | 5/7/2027 | 2,392,578 | ||||||||||
238,140 | Creative Artists Agency LLC | 1 Month LIBOR + 4.250% | 6.774 | * | 5/4/2026 | 235,287 | ||||||||||
122,000 | Creative Artists Agency, LLC | 1 Month LIBOR + 4.250% | 6.705 | * | 11/26/2026 | 120,932 | ||||||||||
2,228,490 | Dispatch Terra Acquisition LLC | 3 Month LIBOR + 4.250% | 6.500 | * | 3/25/2028 | 1,838,504 | ||||||||||
2,100,000 | Ensemble RCM, LLC | 3 Month LIBOR + 3.750% | 6.556 | * | 8/1/2026 | 2,054,073 | ||||||||||
736,875 | Stiphout Finance LLC | 1 Month LIBOR + 3.750% | 6.274 | * | 10/26/2025 | 716,611 | ||||||||||
13,876,208 | ||||||||||||||||
CONSUMER SERVICES - 1.2% | ||||||||||||||||
912,581 | Prometric Holdings, Inc. | 1 Month LIBOR + 3.000% | 5.530 | * | 1/19/2025 | 845,278 | ||||||||||
2,481,061 | Spin Holdco, Inc. | 3 Month LIBOR + 4.000% | 7.144 | * | 3/1/2028 | 2,186,435 | ||||||||||
3,031,713 | ||||||||||||||||
CONTAINERS & PACKAGING - 1.1% | ||||||||||||||||
2,433,096 | Mauser Packaging Solutions Holding Company | 1 Month LIBOR + 3.250% | 5.814 | * | 3/23/2024 | 2,276,477 | ||||||||||
465,808 | Pretium PKG Holdings, Inc. | 1 Month LIBOR + 4.000% | 6.372 | * | 9/22/2028 | 419,926 | ||||||||||
2,696,403 | ||||||||||||||||
ELECTRONICS - 0.5% | ||||||||||||||||
1,246,875 | Motus Operations, LLC | 3 Month LIBOR + 4.000% | 6.524 | * | 11/3/2028 | 1,165,828 | ||||||||||
ELECTRIC UTILITIES - 0.5% | ||||||||||||||||
1,214,785 | Granite Generation LLC | 3 Month LIBOR + 3.750% | 6.274 | * | 11/7/2026 | 1,165,653 | ||||||||||
ELECTRICAL EQUIPMENT - 0.3% | ||||||||||||||||
700,000 | Brookfield WEC Holdings, Inc. | 1 Month LIBOR + 3.750% | 6.190 | * | 8/1/2025 | 684,579 | ||||||||||
ENGINEERING & CONSTRUCTION - 0.1% | ||||||||||||||||
289,902 | PowerTeam Services LLC | 3 Month LIBOR + 7.250% | 9.500 | * | 3/6/2026 | 172,202 | ||||||||||
ENTERTAINMENT CONTENT - 1.4% | ||||||||||||||||
974,684 | AP Core Holdings II, LLC | 1 Month LIBOR + 5.500% | 8.024 | * | 9/1/2027 | 906,456 | ||||||||||
2,500,000 | AP Core Holdings II, LLC | 1 Month LIBOR + 5.500% | 8.024 | * | 9/1/2027 | 2,325,000 | ||||||||||
111,000 | Univision Communications, Inc. | SOFRRATE + 4.250% | 6.254 | * | 6/8/2029 | 108,502 | ||||||||||
3,339,958 |
CATALYST/CIFC FLOATING RATE INCOME FUND |
SCHEDULE OF INVESTMENTS (Unaudited)(Continued) |
September 30, 2022 |
Principal | Coupon | |||||||||||||||
Amount ($) | Variable Rate | Rate (%) | Maturity | Fair Value | ||||||||||||
BANK LOANS - 79.1% (Continued) | ||||||||||||||||
HEALTH CARE FACILITIES & SERVICES - 10.1% | ||||||||||||||||
6,781,312 | Aveanna Healthcare LLC | 1 Month LIBOR + 3.750% | 6.802 | * | 6/30/2028 | $ | 548,015 | |||||||||
220,243 | Aveanna Healthcare LLC | 1 Month LIBOR + 3.750% | 6.802 | * | 6/30/2028 | 201,685 | ||||||||||
827,361 | Bella Holding Co. LLC | 1 Month LIBOR + 3.750% | 6.274 | * | 4/1/2028 | 774,970 | ||||||||||
1,005,799 | Cano Health, LLC | SOFRRATE + 4.000% | 6.555 | * | 11/23/2027 | 978,140 | ||||||||||
36,613 | Change Healthcare Holdings LLC | 1 Month LIBOR + 2.500% | 4.872 | * | 2/3/2024 | 36,547 | ||||||||||
1,068,690 | Envision Healthcare Corp. | 1 Month LIBOR + 4.250% | 6.825 | * | 3/31/2027 | 496,941 | ||||||||||
1,879,688 | Eyecare Partners LLC | 3 Month LIBOR + 3.750% | 6.000 | * | 2/5/2027 | 1,711,691 | ||||||||||
604,788 | Eyecare Partners LLC | 3 Month LIBOR + 3.750% | 6.000 | * | 10/14/2028 | 566,989 | ||||||||||
75,000 | Eyecare Partners LLC | 3 Month LIBOR + 3.750% | 7.621 | * | 11/1/2028 | 70,125 | ||||||||||
2,828,463 | FC Compassus, LLC | 6 Month LIBOR + 4.250% | 7.127 | * | 12/31/2026 | 2,546,805 | ||||||||||
1,398,467 | Heartland Dental LLC | 1 Month LIBOR + 3.500% | 6.024 | * | 4/19/2025 | 1,292,708 | ||||||||||
2,243,276 | Legacy LifePoint Health, LLC | 1 Month LIBOR + 3.750% | 6.871 | * | 11/16/2025 | 2,091,451 | ||||||||||
3,049,270 | MED ParentCo LP | 1 Month LIBOR + 4.250% | 6.774 | * | 8/2/2026 | 2,586,787 | ||||||||||
75,000 | MED ParentCo LP | 1 Month LIBOR + 8.250% | 10.774 | * | 8/30/2027 | 65,062 | ||||||||||
3,561,674 | Milano Acquisition Corporation | 3 Month LIBOR + 4.000% | 6.250 | * | 8/17/2027 | 3,403,180 | ||||||||||
3,134,183 | National Mentor Holdings, Inc. | 1 Month LIBOR + 3.750% | 7.430 | * | 2/18/2028 | 2,258,571 | ||||||||||
87,656 | National Mentor Holdings, Inc. | 3 Month LIBOR + 3.750% | 6.010 | * | 2/18/2028 | 63,167 | ||||||||||
1,326,925 | One Call Medical Co. | 3 Month LIBOR + 5.500% | 8.313 | * | 4/8/2027 | 988,559 | ||||||||||
1,798,915 | Upstream Newco, Inc. | SOFRRATE + 4.250% | 6.820 | * | 11/20/2026 | 1,674,493 | ||||||||||
1,797,896 | US Anesthesia Partners, Inc. | 6 Month LIBOR + 4.250% | 6.814 | * | 9/23/2028 | 1,693,878 | ||||||||||
711,512 | WP CityMD Bidco LLC | 6 Month LIBOR + 3.250% | 5.500 | * | 11/18/2028 | 681,941 | ||||||||||
24,731,705 | ||||||||||||||||
HOME & OFFICE PRODUCTS - 0.5% | ||||||||||||||||
1,235,715 | Osmosis Debt Merger Sub, Inc. | SOFRRATE + 3.750% | 6.345 | * | 6/17/2028 | 1,151,149 | ||||||||||
INSTITUTIONAL FINANCIAL SERVICES - 2.6% | ||||||||||||||||
1,266,724 | Aretec Group, Inc. | 1 Month LIBOR + 4.250% | 6.805 | * | 10/1/2025 | 1,246,621 | ||||||||||
1,632,693 | Armor Holdco, Inc. | 3 Month LIBOR + 4.500% | 6.750 | * | 10/29/2028 | 1,589,835 | ||||||||||
832,520 | Ascensus Holdings, Inc. | 3 Month LIBOR + 6.500% | 8.813 | * | 8/2/2029 | 753,430 | ||||||||||
2,994,911 | Deerfield Dakota Holding, LLC | SOFRRATE + 3.750% | 6.205 | * | 3/6/2027 | 2,832,692 | ||||||||||
6,422,578 | ||||||||||||||||
INSURANCE - 4.0% | ||||||||||||||||
915,531 | Acrisure LLC | 1 Month LIBOR + 3.500% | 6.024 | * | 1/31/2027 | 839,615 | ||||||||||
104,738 | AssuredPartners, Inc. | 1 Month LIBOR + 3.500% | 6.024 | * | 2/13/2027 | 418,570 | ||||||||||
1,088,826 | AssuredPartners, Inc. | SOFRRATE + 3.500% | 5.955 | * | 2/13/2027 | 99,403 | ||||||||||
600,000 | AssuredPartners, Inc. | 1 Month LIBOR + 3.500% | 6.024 | 2/13/2027 | 1,033,024 | |||||||||||
2,411,000 | Asurion LLC | 1 Month LIBOR + 5.250% | 7.774 | * | 1/29/2028 | 1,829,346 | ||||||||||
2,411,000 | Asurion LLC | 1 Month LIBOR + 4.000% | 6.401 | * | 8/17/2028 | 235,297 | ||||||||||
275,000 | Asurion LLC | 1 Month LIBOR + 5.250% | 7.774 | * | 1/14/2029 | 462,000 | ||||||||||
1,333,053 | Hyperion Insurance | 1 Month LIBOR + 3.250% | 5.812 | * | 11/12/2027 | 1,273,692 | ||||||||||
1,485,296 | OneDigital Borrower LLC | SOFRRATE + 4.250% | 6.977 | * | 11/16/2027 | 1,388,752 | ||||||||||
4,749 | Ryan Specialty Group LLC | SOFRRATE + 3.000% | 5.555 | * | 7/23/2027 | 4,607 | ||||||||||
989,744 | Sedgwick Claims Management Services, Inc. | 1 Month LIBOR + 4.250% | 6.774 | * | 9/3/2026 | 956,963 | ||||||||||
1,246,787 | Sedgwick Claims Management Services, Inc. | 1 Month LIBOR + 3.750% | 6.274 | * | 9/3/2026 | 1,194,185 | ||||||||||
9,735,454 | ||||||||||||||||
INTERNET MEDIA & SERVICES - 1.3% | ||||||||||||||||
2,740,914 | MH Sub I LLC | 1 Month LIBOR + 3.750% | 6.274 | * | 9/15/2024 | 2,618,943 | ||||||||||
550,000 | MH Sub I LLC | 1 Month LIBOR + 6.250% | 8.705 | * | 2/23/2029 | 519,294 | ||||||||||
3,138,237 | ||||||||||||||||
LEISURE FACILITIES & SERVICES - 3.6% | ||||||||||||||||
1,883,719 | AMC Entertainment Holdings, Inc. | 1 Month LIBOR + 3.000% | 5.756 | * | 4/22/2026 | 1,481,555 | ||||||||||
500,000 | Ballys Corporation | 1 Month LIBOR + 3.250% | 5.623 | * | 8/6/2028 | 452,950 | ||||||||||
2,169,185 | Fertitta Entertainment, LLC/NV | SOFRRATE + 4.000% | 6.455 | * | 1/13/2029 | 2,018,470 | ||||||||||
600,000 | Fitness International LLC | 3 Month LIBOR + 3.250% | 5.774 | * | 4/18/2025 | 553,500 | ||||||||||
463 | Motion Finco LLC | 3 Month LIBOR + 3.250% | 5.500 | * | 11/4/2026 | 424 | ||||||||||
705,155 | NEP Group, Inc. | 9.250 | * | 10/20/2025 | 657,557 | |||||||||||
1,257,470 | Playa Resorts Holding BV | 1 Month LIBOR + 2.750% | 5.270 | * | 4/27/2024 | 1,215,638 | ||||||||||
2,479,241 | Raptor Acquisition Corp. | 3 Month LIBOR + 4.000% | 7.602 | * | 11/1/2026 | 2,372,324 | ||||||||||
8,752,418 | ||||||||||||||||
MACHINERY - 0.0% | ||||||||||||||||
121,829 | Pro Mach Group, Inc. | 1 Month LIBOR + 4.000% | 7.115 | * | 8/13/2028 | 116,625 | ||||||||||
OIL & GAS PRODUCERS - 1.5% | ||||||||||||||||
847,036 | EG America LLC | 3 Month LIBOR + 4.000% | 6.250 | * | 2/5/2025 | 792,512 | ||||||||||
59,886 | Energy & Exploration Partners LLC ^ | 0.000 | 12/31/2049 | 299 | ||||||||||||
915,816 | GIP III Stetson I LP | 1 Month LIBOR + 4.250% | 6.774 | * | 7/18/2025 | 879,472 | ||||||||||
1,500,000 | M6 ETX Holdings II Midco, LLC | 1 Month LIBOR + 4.500% | 0.000 | @ | 8/11/2029 | 1,475,160 | ||||||||||
550,000 | Prairie ECI Acquiror LP | 1 Month LIBOR + 4.750% | 7.274 | * | 3/7/2026 | 516,255 | ||||||||||
3,663,698 | ||||||||||||||||
PUBLISHING & BROADCASTING - 1.9% | ||||||||||||||||
3,348,200 | Mav Acquisition Corporation | 6 Month LIBOR + 4.750% | 7.820 | * | 7/21/2028 | 3,096,047 | ||||||||||
1,577,120 | Sinclair Television Group, Inc. | SOFRRATE + 3.750% | 6.305 | * | 4/13/2029 | 1,495,630 | ||||||||||
4,591,677 |
CATALYST/CIFC FLOATING RATE INCOME FUND |
SCHEDULE OF INVESTMENTS (Unaudited)(Continued) |
September 30, 2022 |
Principal | Coupon | |||||||||||||||
Amount ($) | Variable Rate | Rate (%) | Maturity | Fair Value | ||||||||||||
BANK LOANS - 79.1% (Continued) | ||||||||||||||||
RETAIL - DISCRETIONARY - 4.2% | ||||||||||||||||
1,698,547 | Great Outdoors Group, LLC | 1 Month LIBOR + 3.750% | 6.865 | * | 3/5/2028 | $ | 1,575,403 | |||||||||
1,113,868 | LS Group OpCo AcquisItion LLC | 6 Month LIBOR + 3.250% | 6.580 | * | 11/2/2027 | 1,069,314 | ||||||||||
3,344,554 | Mavis Tire Express Services Corp. | SOFRRATE + 4.000% | 7.250 | * | 4/30/2028 | 3,148,078 | ||||||||||
1,727,050 | Michaels Companies, Inc. | 3 Month LIBOR + 4.250% | 6.500 | * | 4/9/2028 | 1,398,910 | ||||||||||
2,161,082 | PetSmart, Inc. | 6 Month LIBOR + 3.750% | 6.270 | * | 1/29/2028 | 2,052,585 | ||||||||||
1,080,457 | Staples, Inc. | 3 Month LIBOR + 5.000% | 7.782 | * | 4/9/2026 | 952,714 | ||||||||||
10,197,004 | ||||||||||||||||
SOFTWARE - 14.0% | ||||||||||||||||
17,413,189 | Boxer Parent Co., Inc. | 1 Month LIBOR + 3.750% | 6.274 | * | 10/2/2025 | 1,654,923 | ||||||||||
1,644,873 | Boxer Parent Co., Inc. | 3 Month LIBOR + 5.500% | 8.024 | * | 3/23/2026 | 1,536,928 | ||||||||||
2,482,911 | Central Parent, Inc. | 1 Month LIBOR + 4.500% | 6.610 | * | 6/9/2029 | 2,397,710 | ||||||||||
2,900,000 | Condor Merger Sub, Inc. | SOFRRATE + 4.000% | 6.362 | * | 2/3/2029 | 2,652,978 | ||||||||||
2,760,311 | Greeneden US Holdings II, LLC | 1 Month LIBOR + 4.000% | 6.524 | * | 10/8/2027 | 2,635,848 | ||||||||||
1,874,219 | HS Purchaser LLC | SOFRRATE + 4.000% | 6.559 | * | 11/30/2026 | 1,728,030 | ||||||||||
750,000 | HS Purchaser LLC | 9.305 | * | 11/19/2027 | 723,750 | |||||||||||
3,241,580 | Hyland Software, Inc. | 1 Month LIBOR + 3.500% | 6.024 | * | 7/1/2024 | 3,147,380 | ||||||||||
600,000 | Hyland Software, Inc. | 1 Month LIBOR + 6.250% | 8.774 | * | 7/10/2025 | 591,999 | ||||||||||
994,962 | Idera, Inc. | 1 Month LIBOR + 3.750% | 6.320 | * | 3/2/2028 | 926,971 | ||||||||||
1,500,000 | Imprivata, Inc. | 1 Month LIBOR + 4.250% | 6.709 | * | 12/1/2027 | 1,454,535 | ||||||||||
1,321,688 | Mediaocean, LLC | 1 Month LIBOR + 3.500% | 6.024 | * | 12/9/2028 | 1,243,483 | ||||||||||
1,745,625 | Mitchell International, Inc. | 3 Month LIBOR + 3.750% | 6.734 | * | 10/1/2028 | 1,586,773 | ||||||||||
475,000 | Mitchell International, Inc. | 1 Month LIBOR + 6.500% | 9.570 | * | 10/1/2029 | 445,906 | ||||||||||
995,000 | Project Sky Merger Sub, Inc. | 1 Month LIBOR + 3.750% | 6.274 | * | 8/10/2028 | 878,088 | ||||||||||
1,235,398 | Project Sky Merger Sub, Inc. | 1 Month LIBOR + 6.000% | 8.524 | * | 8/10/2029 | 1,050,088 | ||||||||||
76,587 | Quasar Intermediate Holdings Ltd. | SOFRRATE + 4.250% | 6.977 | * | 1/20/2029 | 57,057 | ||||||||||
3,259,952 | Solera LLC | 1 Month LIBOR + 4.000% | 6.524 | * | 6/4/2028 | 3,016,825 | ||||||||||
1,000,000 | TIBCO Software, Inc. | 1 Month LIBOR + 3.750% | 6.280 | * | 7/3/2026 | 998,250 | ||||||||||
1,000,000 | TIBCO Software, Inc. | 1 Month LIBOR + 7.250% | 9.780 | * | 3/4/2028 | 998,125 | ||||||||||
1,738,880 | UKG, Inc. | 3 Month LIBOR + 5.250% | 7.535 | * | 5/3/2027 | 1,653,388 | ||||||||||
763,838 | Ultimate Software Group, Inc. | 3 Month LIBOR + 3.750% | 6.274 | * | 4/8/2026 | 730,420 | ||||||||||
1,931,506 | Weld North Education LLC | 1 Month LIBOR + 3.750% | 6.274 | * | 12/17/2027 | 1,872,750 | ||||||||||
33,982,205 | ||||||||||||||||
SPECIALTY FINANCE - 0.8% | ||||||||||||||||
2,017,658 | Orion Advisor Solutions, Inc. | 3 Month LIBOR + 3.750% | 6.556 | * | 9/24/2027 | 1,910,046 | ||||||||||
TECHNOLOGY HARDWARE - 0.7% | ||||||||||||||||
1,004,446 | Atlas CC Acquisition Corporation | 1 Month LIBOR + 4.250% | 7.320 | * | 4/29/2028 | 884,164 | ||||||||||
204,294 | Atlas CC Acquisition Corporation | 1 Month LIBOR + 4.250% | 7.320 | * | 4/29/2028 | 179,830 | ||||||||||
713,500 | VeriFone Systems, Inc. | 3 Month LIBOR + 4.000% | 6.997 | * | 8/20/2025 | 643,266 | ||||||||||
1,707,260 | ||||||||||||||||
TECHNOLOGY SERVICES - 7.5% | ||||||||||||||||
923,922 | Acuris Finance US, Inc. | SOFRRATE + 4.000% | 6.204 | * | 2/4/2028 | 887,889 | ||||||||||
290,970 | Blackhawk Network Holdings, Inc. | 1 Month LIBOR + 7.000% | 9.500 | * | 5/22/2026 | 275,694 | ||||||||||
2,302,486 | Ensono Holdings, LLC | 1 Month LIBOR + 4.000% | 6.524 | * | 5/20/2028 | 2,026,188 | ||||||||||
748,111 | ION Trading Finance Ltd. | 3 Month LIBOR + 4.750% | 7.000 | * | 3/26/2028 | 696,491 | ||||||||||
2,471,325 | MPH Acquisition Holdings LLC | 3 Month LIBOR + 4.250% | 7.320 | * | 8/17/2028 | 2,291,005 | ||||||||||
3,174,069 | Netsmart, Inc. | 1 Month LIBOR + 4.000% | 6.524 | * | 10/1/2027 | 3,037,853 | ||||||||||
2,163,886 | Peraton Corp. | 1 Month LIBOR + 3.750% | 6.274 | * | 2/24/2028 | 2,056,504 | ||||||||||
242,702 | Peraton Corp. | 1 Month LIBOR + 7.750% | 10.568 | * | 2/1/2029 | 230,872 | ||||||||||
902,527 | Sabre GLBL, Inc. | 1 Month LIBOR + 5.000% | 7.555 | * | 6/30/2028 | 838,222 | ||||||||||
1,710,819 | Sitel Worldwide Corporation | 3 Month LIBOR + 3.750% | 6.010 | * | 7/29/2028 | 1,661,368 | ||||||||||
2,884,817 | TierPoint, LLC | 1 Month LIBOR + 3.750% | 6.274 | * | 5/1/2026 | 2,741,787 | ||||||||||
1,440,832 | Verscend Holding Corp. | 1 Month LIBOR + 4.000% | 6.524 | * | 8/27/2025 | 1,401,209 | ||||||||||
18,145,082 | ||||||||||||||||
TELECOMMUNICATIONS - 2.3% | ||||||||||||||||
1,976,283 | CCI Buyer, Inc. | SOFRRATE + 4.000% | 6.054 | * | 12/12/2027 | 1,868,081 | ||||||||||
2,515,017 | Metronet Systems Holdings LLC | SOFRRATE + 3.750% | 6.614 | * | 5/26/2028 | 2,371,976 | ||||||||||
1,637,625 | Xplornet Communications, Inc. | 1 Month LIBOR + 4.000% | 6.524 | * | 9/30/2028 | 1,449,503 | ||||||||||
5,689,560 | ||||||||||||||||
TRANSPORTATION & LOGISTICS - 3.2% | ||||||||||||||||
2,000,000 | AAdvantage Loyalty IP Ltd. | 3 Month LIBOR + 4.750% | 7.460 | * | 3/10/2028 | 1,943,000 | ||||||||||
1,075,000 | Brown Group Holding, LLC | SOFRRATE + 3.750% | 6.205 | * | 6/8/2029 | 1,044,986 | ||||||||||
66,000 | KKR Apple Bidco, LLC | 1 Month LIBOR + 4.000% | 7.064 | * | 9/23/2028 | 64,886 | ||||||||||
500,000 | KKR Apple Bidco, LLC | 1 Month LIBOR + 5.750% | 8.274 | * | 7/13/2029 | 480,833 | ||||||||||
2,595,018 | United Airlines, Inc. | 1 Month LIBOR + 3.750% | 6.533 | * | 4/14/2028 | 2,487,792 | ||||||||||
2,009,798 | WestJet Airlines Ltd. | 3 Month LIBOR + 3.000% | 5.993 | * | 10/8/2026 | 1,781,435 | ||||||||||
7,802,932 |
CATALYST/CIFC FLOATING RATE INCOME FUND |
SCHEDULE OF INVESTMENTS (Unaudited)(Continued) |
September 30, 2022 |
Principal | Coupon | |||||||||||||||
Amount ($) | Variable Rate | Rate (%) | Maturity | Fair Value | ||||||||||||
BANK LOANS - 79.1% (Continued) | ||||||||||||||||
WHOLESALE - CONSUMER STAPLES - 1.1% | ||||||||||||||||
1,243,523 | H-Food Holdings, LLC | 1 Month LIBOR + 3.690% | 6.211 | * | 5/17/2025 | $ | 980,518 | |||||||||
1,489,711 | H-Food Holdings, LLC | 1 Month LIBOR + 4.000% | 6.524 | * | 5/31/2025 | 1,200,461 | ||||||||||
565,321 | Quirch Foods Holdings LLC | SOFRRATE + 4.500% | 7.074 | * | 10/27/2027 | 530,695 | ||||||||||
2,711,674 | ||||||||||||||||
TOTAL BANK LOANS (Cost - $206,902,797) | 192,054,938 | |||||||||||||||
SHORT-TERM INVESTMENT - 5.2% | ||||||||||||||||
MONEY MARKET - 5.2% | ||||||||||||||||
12,697,020 | First American Government Obligations Fund - Class U, 2.79%** | 12,697,020 | ||||||||||||||
TOTAL SHORT-TERM INVESTMENT (Cost - $12,697,020) | ||||||||||||||||
TOTAL INVESTMENTS - 94.2% (Cost - $246,924,381) | $ | 228,734,410 | ||||||||||||||
OTHER ASSETS LESS LIABILITIES - 5.8% | 14,004,865 | |||||||||||||||
NET ASSETS - 100.0% | $ | 242,739,275 |
* | Variable rate; rate shown represents the rate on September 30, 2022. |
** | Rate disclosed is the seven day effective yield as of September 30, 2022. |
# | 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, 2022, these securities amounted to $23,405,481 or 9.6% 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. |
+ | Round to less than 0.1% |
LLC - Limited Liability Company.
LP - Limited Partnership.
REIT - Real Estate Investment Trust
SOFRRATE - Secured Overnight Financing Rate
CATALYST/SMH HIGH INCOME FUND |
SCHEDULE OF INVESTMENTS (Unaudited) |
September 30, 2022 |
Shares | Fair Value | |||||||||||
COMMON STOCKS — 1.3% | ||||||||||||
OIL & GAS SERVICES & EQUIPMENT - 1.3% | ||||||||||||
17,102 | PHI Group, Inc. (Cost $418,742) | $ | 218,051 | |||||||||
Coupon | ||||||||||||
Rate (%) | Maturity | |||||||||||
PREFERRED STOCKS — 2.8% | ||||||||||||
LEISURE FACILITIES & SERVICES — 2.8% | ||||||||||||
25,352 | FAT Brands, Inc. (b) (Cost $563,439) | 8.2500 | 12/31/49 | 455,575 | ||||||||
Principal | ||||||||||||
Amount ($) | ||||||||||||
CONVERTIBLE BONDS — 14.7% | ||||||||||||
ASSET MANAGEMENT — 4.5% | ||||||||||||
850,000 | WisdomTree Investments, Inc. (b) | 3.2500 | 06/15/26 | 762,025 | ||||||||
AUTOMOTIVE — 4.6% | ||||||||||||
1,000,000 | NIO, Inc. | 0.5000 | 02/01/27 | 755,500 | ||||||||
INTERNET MEDIA & SERVICES — 2.9% | ||||||||||||
1,000,000 | fuboTV, Inc. | 3.2500 | 02/15/26 | 485,500 | ||||||||
SPECIALTY FINANCE — 2.6% | ||||||||||||
500,000 | EZCORP, Inc. | 2.3750 | 05/01/25 | 429,750 | ||||||||
TOTAL CONVERTIBLE BONDS (Cost $3,016,577) | 2,432,775 | |||||||||||
CORPORATE BONDS — 77.2% | ||||||||||||
ASSET MANAGEMENT — 4.6% | ||||||||||||
850,000 | Icahn Enterprises, L.P. / Icahn Enterprises | 5.2500 | 05/15/27 | 747,826 |
CATALYST/SMH HIGH INCOME FUND |
SCHEDULE OF INVESTMENTS (Unaudited) (Continued) |
September 30, 2022 |
Principal | Coupon | |||||||||||
Amount ($) | Rate (%) | Maturity | Fair Value | |||||||||
CORPORATE BONDS — 77.2% (Continued) | ||||||||||||
AUTOMOTIVE — 4.0% | ||||||||||||
874,000 | American Axle & Manufacturing, Inc. (b) | 5.0000 | 10/01/29 | $ | 663,130 | |||||||
CHEMICALS — 5.2% | ||||||||||||
973,000 | Rayonier AM Products, Inc.(b)(c) | 7.6250 | 01/15/26 | 858,648 | ||||||||
HOME CONSTRUCTION — 4.0% | ||||||||||||
844,000 | Beazer Homes USA, Inc. (b) | 5.8750 | 10/15/27 | 653,513 | ||||||||
INTERNET MEDIA & SERVICES — 4.6% | ||||||||||||
755,000 | Uber Technologies, Inc.(c) | 8.0000 | 11/01/26 | 758,900 | ||||||||
MACHINERY — 5.3% | ||||||||||||
954,000 | Titan International, Inc. | 7.0000 | 04/30/28 | 877,556 | ||||||||
METALS & MINING — 5.7% | ||||||||||||
865,000 | Coeur Mining, Inc.(b) (c) | 5.1250 | 02/15/29 | 655,354 | ||||||||
300,000 | Hecla Mining Company | 7.2500 | 02/15/28 | 278,906 | ||||||||
934,260 | ||||||||||||
OIL & GAS PRODUCERS — 3.9% | ||||||||||||
325,000 | Occidental Petroleum Corporation | 6.6000 | 03/15/46 | 335,499 | ||||||||
316,000 | PBF Logistics, L.P. / PBF Logistics Finance | 6.8750 | 05/15/23 | 315,703 | ||||||||
651,202 | ||||||||||||
OIL & GAS SERVICES & EQUIPMENT — 6.4% | ||||||||||||
593,000 | Transocean, Inc.(c) | 11.5000 | 01/30/27 | 550,663 | ||||||||
1,017,000 | Transocean, Inc.(b) | 6.8000 | 03/15/38 | 505,408 | ||||||||
1,056,071 | ||||||||||||
REAL ESTATE INVESTMENT TRUSTS — 6.6% | ||||||||||||
900,000 | CoreCivic, Inc. (b) | 4.7500 | 10/15/27 | 727,641 | ||||||||
447,000 | Service Properties Trust | 5.2500 | 02/15/26 | 356,771 | ||||||||
1,084,412 | ||||||||||||
REAL ESTATE OWNERS & DEVELOPERS — 3.7% | ||||||||||||
840,000 | Howard Hughes Corporation (The)(c) | 4.3750 | 02/01/31 | 604,682 |
CATALYST/SMH HIGH INCOME FUND |
SCHEDULE OF INVESTMENTS (Unaudited) (Continued) |
September 30, 2022 |
Principal | Coupon | |||||||||||
Amount ($) | Rate (%) | Maturity | Fair Value | |||||||||
CORPORATE BONDS — 77.2% (Continued) | ||||||||||||
RETAIL - CONSUMER STAPLES — 4.2% | ||||||||||||
983,000 | Rite Aid Corporation(c) | 8.0000 | 11/15/26 | $ | 701,476 | |||||||
RETAIL - DISCRETIONARY — 9.9% | ||||||||||||
1,170,000 | BATH & BODY WORKS INC | 6.7500 | 07/01/36 | 965,981 | ||||||||
1,065,000 | Bed Bath & Beyond, Inc. | 5.1650 | 08/01/44 | 161,606 | ||||||||
825,000 | Nordstrom, Inc. | 5.0000 | 01/15/44 | 511,624 | ||||||||
1,639,211 | ||||||||||||
SPECIALTY FINANCE — 4.4% | ||||||||||||
836,000 | Enova International, Inc.(c) | 8.5000 | 09/15/25 | 734,058 | ||||||||
STEEL — 4.8% | ||||||||||||
966,000 | United States Steel Corporation | 6.6500 | 06/01/37 | 794,493 | ||||||||
TECHNOLOGY HARDWARE — 0%(b) | ||||||||||||
8,669,000 | ENERGY CONVERSION DEVICES INC (a),(c),(e),(f),(g) | 0.0000 | 12/15/49 | 0 | ||||||||
TOTAL CORPORATE BONDS (Cost $18,734,752) | 12,759,438 | |||||||||||
Shares | ||||||||||||
WARRANT — 1.0% | ||||||||||||
OIL & GAS SERVICES & EQUIPMENT - 1.0% | ||||||||||||
14,310 | PHI Group, Inc. (a),(g) (Cost $350,379) | 163,134 | ||||||||||
COLLATERAL FOR SECURITIES LOANED – 17.4% | ||||||||||||
2,881,770 | Mount Vernon Prime Portfolio, 3.18% (h),(i) (Cost $2,881,770) | 2,881,770 | ||||||||||
TOTAL INVESTMENTS – 114.4% (Cost $25,965,659) | $ | 18,910,743 | ||||||||||
LIABILITIES IN EXCESS OF OTHER ASSETS - (14.4)% | (2,385,013 | ) | ||||||||||
NET ASSETS - 100.0% | $ | 16,525,730 |
CATALYST/SMH HIGH INCOME FUND |
SCHEDULE OF INVESTMENTS (Unaudited) (Continued) |
September 30, 2022 |
(a) | Non-income producing security |
(b) | All or a portion of these securities are on loan. Total loaned securities had a value of $2,836,604 at September 30, 2022. |
(c) | Security exempt from registration under Rule 144A or Section 4(2) of the Securities Act of 1933. The security may be resold in transactions exempt from registration, normally to qualified institutional buyers. As of September 30, 2022 the total market value of 144A securities is 4,863,781 or 29.4% of net assets. |
(d) | Percentage rounds to less than 0.1%. |
(e) | Illiquid security. The total fair value of these securities as of September 30, 2022 was $0, representing 0% of net assets. |
(f) | Represents issuer in default on interest payments; non-income producing security. |
(g) | The value of this security has been determined in good faith under policies of the Board of Trustees. The total of these securities is $163,134 or 1.0% of net assets. |
(h) | Rate disclosed is the seven day effective yield as of September 30, 2022. |
(i) | Mutual Fund Series Trusts securities lending policy 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/SMH TOTAL RETURN INCOME FUND |
SCHEDULE OF INVESTMENTS (Unaudited) |
September 30, 2022 |
Shares | Fair Value | |||||||
CLOSED END FUNDS — 2.2% | ||||||||
MIXED ALLOCATION - 2.2% | ||||||||
28,217 | NexPoint Diversified Real Estate Trust (Cost $322,855) | $ | 354,123 | |||||
COMMON STOCKS — 37.8% | ||||||||
ASSET MANAGEMENT - 13.0% | ||||||||
3,300 | Apollo Global Management, Inc. | 153,450 | ||||||
37,930 | Compass Diversified Holdings | 685,015 | ||||||
116,675 | PennantPark Investment Corporation | 637,046 | ||||||
31,103 | Sculptor Capital Management, Inc. | 274,951 | ||||||
42,466 | SuRo Capital Corporation | 164,343 | ||||||
49,500 | US Global Investors, Inc., Class A | 142,065 | ||||||
2,056,870 | ||||||||
AUTOMOTIVE - 0.4% | ||||||||
6,200 | Ford Motor Company | 69,440 | ||||||
BUSINESS DEVELOPMENT COMPANIES - 4.3% | ||||||||
109,809 | Prospect Capital Corporation(b) | 680,816 | ||||||
ENTERTAINMENT CONTENT - 0.2% | ||||||||
3,386 | Warner Bros Discovery, Inc.(a) | 38,939 | ||||||
FOOD - 1.1% | ||||||||
5,284 | Kraft Heinz Company (The) | 176,221 | ||||||
HEALTH CARE FACILITIES & SERVICES – 1.0% | ||||||||
1,225 | Quest Diagnostics, Inc.(b) | 150,295 | ||||||
HOME CONSTRUCTION - 2.0% | ||||||||
4,665 | DR Horton, Inc.(b) | 314,188 |
CATALYST/SMH TOTAL RETURN INCOME FUND |
SCHEDULE OF INVESTMENTS (Unaudited) (Continued) |
September 30, 2022 |
Shares | Fair Value | |||||||
COMMON STOCKS — 37.8% (Continued) | ||||||||
INDUSTRIAL REIT - 1.3% | ||||||||
2,390 | Innovative Industrial Properties, Inc.(b) | $ | 211,515 | |||||
OIL & GAS PRODUCERS - 3.7% | ||||||||
1,491 | Chevron Corporation(b) | 214,212 | ||||||
4,177 | Exxon Mobil Corporation | 364,694 | ||||||
578,906 | ||||||||
REAL ESTATE INVESTMENT TRUSTS - 2.4% | ||||||||
15,250 | Americold Realty Trust, Inc.(b) | 375,150 | ||||||
TECHNOLOGY HARDWARE - 2.5% | ||||||||
8,890 | HP, Inc. | 221,539 | ||||||
47,154 | Pitney Bowes, Inc. | 109,869 | ||||||
4,612 | Xerox Holdings Corporation(b) | 60,325 | ||||||
391,733 | ||||||||
TECHNOLOGY SERVICES - 1.6% | ||||||||
2,161 | International Business Machines Corporation | 256,748 | ||||||
432 | Kyndryl Holdings, Inc.(a) | 3,573 | ||||||
260,321 | ||||||||
TELECOMMUNICATIONS - 1.8% | ||||||||
14,000 | AT&T, Inc. | 214,760 | ||||||
2,050 | Verizon Communications, Inc. | 77,839 | ||||||
292,599 | ||||||||
TRANSPORTATION & LOGISTICS - 2.5% | ||||||||
26,000 | AFC Gamma, Inc. | 397,800 | ||||||
TOTAL COMMON STOCKS (Cost $9,149,496) | 5,994,793 | |||||||
PREFERRED STOCKS — 0%(g) | ||||||||
ASSET MANAGEMENT — 0%(g) | ||||||||
1,389 | Pershing Square Tontine Holdings Ltd.(d),(e),(f) | 0 |
CATALYST/SMH TOTAL RETURN INCOME FUND |
SCHEDULE OF INVESTMENTS (Unaudited) (Continued) |
September 30, 2022 |
Principal | Coupon | |||||||||||
Amount ($) | Rate (%) | Maturity | Fair Value | |||||||||
CONVERTIBLE BONDS — 12.9% | ||||||||||||
AUTOMOTIVE — 3.3% | ||||||||||||
700,000 | NIO, Inc. | 0.5000 | 02/01/27 | $ | 528,850 | |||||||
INTERNET MEDIA & SERVICES — 5.7% | ||||||||||||
662,000 | fuboTV, Inc. | 3.2500 | 02/15/26 | 321,401 | ||||||||
618,000 | Hello Group, Inc. | 1.2500 | 07/01/25 | 580,151 | ||||||||
901,552 | ||||||||||||
SPECIALTY FINANCE —3.9% | ||||||||||||
717,000 | EZCORP, Inc. | 2.3750 | 05/01/25 | 616,262 | ||||||||
TOTAL CONVERTIBLE BONDS (Cost $2,429,551) | 2,046,664 | |||||||||||
CORPORATE BONDS — 45.1% | ||||||||||||
AUTOMOTIVE — 3.1% | ||||||||||||
639,000 | American Axle & Manufacturing, Inc.(b) | 5.0000 | 10/01/29 | 484,828 | ||||||||
HOME CONSTRUCTION —3. 1% | ||||||||||||
635,000 | Beazer Homes USA, Inc.(b) | 5.8750 | 10/15/27 | 491,684 | ||||||||
INTERNET MEDIA & SERVICES — 2.1% | ||||||||||||
332,000 | Uber Technologies, Inc.(c) | 8.0000 | 11/01/26 | 333,715 | ||||||||
MACHINERY — 4.0% | ||||||||||||
687,000 | Titan International, Inc. | 7.0000 | 04/30/28 | 631,951 | ||||||||
METALS & MINING — 2.6% | ||||||||||||
534,000 | Coeur Mining, Inc.(b)(c) | 5.1250 | 02/15/29 | 404,577 |
CATALYST/SMH TOTAL RETURN INCOME FUND |
SCHEDULE OF INVESTMENTS (Unaudited) (Continued) |
September 30, 2022 |
Principal | Coupon | |||||||||||
Amount ($) | Rate (%) | Maturity | Fair Value | |||||||||
CORPORATE BONDS — 45.1% (Continued) | ||||||||||||
OIL & GAS PRODUCERS —6.5% | ||||||||||||
350,000 | Occidental Petroleum Corporation | 6.6000 | 03/15/46 | $ | 361,307 | |||||||
671,000 | PBF Logistics, L.P. / PBF Logistics Finance | 6.8750 | 05/15/23 | 670,369 | ||||||||
1,031,676 | ||||||||||||
OIL & GAS SERVICES & EQUIPMENT —9. 7% | ||||||||||||
1,154,000 | Transocean, Inc.(c) | 11.5000 | 01/30/27 | 1,071,609 | ||||||||
953,000 | Transocean, Inc. | 6.8000 | 03/15/38 | 473,603 | ||||||||
1,545,212 | ||||||||||||
REAL ESTATE INVESTMENT TRUSTS —5. 6% | ||||||||||||
778,000 | CoreCivic, Inc.(b) | 4.7500 | 10/15/27 | 629,005 | ||||||||
332,000 | Service Properties Trust | 5.2500 | 02/15/26 | 264,984 | ||||||||
893,989 | ||||||||||||
REAL ESTATE OWNERS & DEVELOPERS — 2.0% | ||||||||||||
445,000 | Howard Hughes Corporation (The)(c) | 4.3750 | 02/01/31 | 320,338 | ||||||||
RETAIL - DISCRETIONARY — 2.8% | ||||||||||||
411,000 | BATH & BODY WORKS INC | 6.7500 | 07/01/36 | 339,332 | ||||||||
373,000 | Bed Bath & Beyond, Inc. | 5.1650 | 08/01/44 | 56,600 | ||||||||
74,000 | Kohls Corporation | 5.5500 | 07/17/45 | 44,414 | ||||||||
440,346 | ||||||||||||
SPECIALTY FINANCE — 3.6% | ||||||||||||
647,000 | Enova International, Inc.(b) (c) | 8.5000 | 09/15/25 | 568,105 | ||||||||
TECHNOLOGY HARDWARE —0.0%(g) | ||||||||||||
5,543,000 | EnergyConversion Devices , Inc.(c),(d),(e),(f) | 0.0000 | 12/15/49 | 0 | ||||||||
TOTAL CORPORATE BONDS (Cost $10,108,308) | 7,146,421 |
CATALYST/SMH TOTAL RETURN INCOME FUND |
SCHEDULE OF INVESTMENTS (Unaudited) (Continued) |
September 30, 2022 |
Shares | Fair Value | |||||||
COLLATERAL FOR SECURITIES LOANED – 19.8% | ||||||||
3,143,966 | Mount Vernon Prime Portfolio, 3.18% (h)(i)(Cost $ 3,143,966) | $ | 3,143,966 | |||||
TOTAL INVESTMENTS – 117.8% (Cost $25,154,176) | $ | 18,685,967 | ||||||
LIABILITIESIN EXCESS OF OTHER ASSETS - (17.8)% | (2,828,306 | ) | ||||||
NET ASSETS - 100.0% | $ | 15,857,661 | ||||||
LTD - Limited Company
REIT - Real Estate Investment Trust
(a) | All or a portion of these securities are on loan. Total loaned securities had a value of $3,092,124 at September 30, 2022. |
(b) | Non-income producing security. |
(c) | Security exempt from registration under Rule 144A or Section 4(2) of the Securities Act of 1933. The security may be resold in transactions exempt from registration, normally to qualified institutional buyers. As of September 30, 2022 the total market value of 144A securities is 2,698,344 or 17.0% of net assets. |
(d) | The security is illiquid; total illiquid securities represent 0.0% of net assets |
(e) | The value of this security has been determined in good faith under policies of the Board of Trustees. The total of these securities is $0 or 0.0% of net assets. |
(f) | Represents issuer in default on interest payments; non-income producing security. |
(g) | Percentage rounds to less than 0.1%. |
(h) | Rate disclosed is the seven day effective yield as of September 30, 2022. |
(i) | Mutual Fund Series Trusts securities lending policy and procedures require that the borrower: (i) deliver cash or U.S. Government securities as collateral with respect to each new loan of U.S. securities, equal to at least 102% of the value of the portfolio securities loaned, and (ii) at all times thereafter mark-to-market the collateral on a daily basis so that the market value of such collateral is at least 100% of the value of securities loaned. From time to time the collateral may not be 102% due to end of day market movement. The next business day additional collateral is obtained/received from the borrower to replenish/reestablish 102%. |
CATALYST INTEREST RATE OPPORTUNITY FUND |
SCHEDULE OF INVESTMENTS (Unaudited) |
September 30, 2022 |
Principal | Coupon | |||||||||||||
Amount ($) | Spread | Rate (%) | Maturity | Fair Value | ||||||||||
MORTGAGE-BACKED SECURITIES — 113.8% | ||||||||||||||
AGENCY CMBS — 4.0% | ||||||||||||||
97,533 | Fannie Mae-Aces 2006-M2 A2A(a) | 5.2710 | 10/25/32 | $ | 95,755 | |||||||||
18,886 | Freddie Mac Multifamily Structured Pass Through K095 A1 | 2.6300 | 11/25/28 | 17,750 | ||||||||||
10,464 | Government National Mortgage Association 2019-2 A | 3.1500 | 08/16/51 | 10,295 | ||||||||||
123,800 | ||||||||||||||
COLLATERALIZED MORTGAGE OBLIGATIONS — 109.8% | ||||||||||||||
28,203 | Banc of America Funding 2004-1 Trust(b) | 0.0000 | 03/25/34 | 19,954 | ||||||||||
372,981 | Fannie Mae Interest Strip 359 18(c) | 6.0000 | 07/25/35 | 73,547 | ||||||||||
87,766 | Fannie Mae Interest Strip 383 46(c) | 6.0000 | 04/25/38 | 20,263 | ||||||||||
7,898 | Fannie Mae Interest Strip 383 89(c),(d) | 7.5000 | 09/25/37 | 1,694 | ||||||||||
164,144 | Fannie Mae Interest Strip 385 6(c) | 5.0000 | 01/25/38 | 33,043 | ||||||||||
302,936 | Fannie Mae Interest Strip 402 7(c) | 4.5000 | 11/25/39 | 71,125 | ||||||||||
143,897 | Fannie Mae Interest Strip 407 8(c) | 5.0000 | 03/25/41 | 30,461 | ||||||||||
454,324 | Fannie Mae Interest Strip 409 C22(c) | 4.5000 | 11/25/39 | 93,301 | ||||||||||
220,464 | Fannie Mae Interest Strip 413 80(c),(d) | 4.0000 | 07/25/32 | 26,096 | ||||||||||
305,447 | Fannie Mae REMIC Trust 2004-W10 PO(b) | 0.0000 | 08/25/34 | 267,070 | ||||||||||
6,870,915 | Fannie Mae REMIC Trust 2004-W4 IO1(c),(d) | 0.0880 | 06/25/34 | 17,177 | ||||||||||
64,744 | Fannie Mae REMIC Trust 2005-W2 PO(b) | 0.0000 | 05/25/35 | 56,954 | ||||||||||
12,903,405 | Fannie Mae REMICS 2002-33 IO(c),(d) | 0.2800 | 06/25/28 | 73,124 | ||||||||||
16,777 | Fannie Mae REMICS 2002-40 SK(a),(c) | US0001M + 8.000% | 4.9160 | 09/25/23 | 275 | |||||||||
252,863 | Fannie Mae REMICS 2002-90 DS(a),(c), | US0001M + 7.000% | 3.9160 | 09/25/32 | 26,106 | |||||||||
384,426 | Fannie Mae REMICS 2003-2 S(a),(c) | US0001M + 7.750% | 4.6660 | 02/25/33 | 51,225 | |||||||||
125,973 | Fannie Mae REMICS 2003-33 IA(c) | 6.5000 | 05/25/33 | 22,871 | ||||||||||
744,863 | Fannie Mae REMICS 2003-48 SI(a),(c) | US0001M + 8.250% | 5.1660 | 06/25/33 | 105,574 | |||||||||
136,181 | Fannie Mae REMICS 2004-17 ST(a),(c) | US0001M + 7.600% | 4.5160 | 04/25/34 | 15,624 | |||||||||
10,251 | Fannie Mae REMICS 2004-51 SY(a) | US0001M + 14.240% | 8.0720 | 07/25/34 | 9,584 | |||||||||
363,445 | Fannie Mae REMICS 2004-70 XJ(c),(d) | 5.0000 | 10/25/34 | 64,347 | ||||||||||
339,097 | Fannie Mae REMICS 2004-72 BS(a),(c) | US0001M + 6.500% | 3.4160 | 09/25/34 | 21,578 | |||||||||
497,149 | Fannie Mae REMICS 2005-89 S(a),(c) | US0001M + 6.700% | 3.6160 | 10/25/35 | 40,324 | |||||||||
259,265 | Fannie Mae REMICS 2005-93 SI(a),(c) | US0001M + 6.100% | 3.0160 | 10/25/35 | 21,436 | |||||||||
201,744 | Fannie Mae REMICS 2007-44 SA(a),(c) | US0001M + 6.780% | 3.6960 | 05/25/37 | 24,010 | |||||||||
238,484 | Fannie Mae REMICS 2007-60 AX(a),(c) | US0001M + 7.150% | 4.0660 | 07/25/37 | 32,081 | |||||||||
831,927 | Fannie Mae REMICS 2010-52 S(a),(c) | US0001M + 6.350% | 3.2660 | 05/25/40 | 70,571 | |||||||||
563,720 | Fannie Mae REMICS 2010-58 SA(a),(c) | US0001M + 6.450% | 3.3660 | 06/25/40 | 52,956 |
CATALYST INTEREST RATE OPPORTUNITY FUND |
SCHEDULE OF INVESTMENTS (Unaudited) (Continued) |
September 30, 2022 |
Principal | Coupon | |||||||||||||
Amount ($) | Spread | Rate (%) | Maturity | Fair Value | ||||||||||
MORTGAGE-BACKED SECURITIES — 113.8% (Continued) | ||||||||||||||
COLLATERALIZED MORTGAGE OBLIGATIONS — 109.8% (Continued) | ||||||||||||||
128,454 | Fannie Mae REMICS 2011-127 TE(a),(c) | US0001M + 6.45% | 4.5000 | 12/25/41 | $ | 22,903 | ||||||||
49,957 | Fannie Mae REMICS 2012-106 SA(a),(c) | US0001M + 6.160% | 3.0760 | 10/25/42 | 4,273 | |||||||||
679,856 | Fannie Mae REMICS 2012-98 WS(a),(c) | US0001M + 6.550% | 3.4660 | 09/25/42 | 87,714 | |||||||||
202,902 | Fannie Mae REMICS 2013-10 JS(a),(c) | US0001M + 6.150% | 3.0660 | 02/25/43 | 22,076 | |||||||||
214,709 | Fannie Mae REMICS 2016-78 CS(a),(c) | US0001M + 6.100% | 3.0160 | 05/25/39 | 16,172 | |||||||||
88,695 | Fannie Mae Trust 2005-W3 2AF(a) | US0001M + 0.220% | 3.3040 | 03/25/45 | 88,494 | |||||||||
187,462 | Freddie Mac REMICS 2470 SR(a),(c) | US0001M + 8.000% | 5.1820 | 12/15/31 | 18,378 | |||||||||
222,563 | Freddie Mac REMICS 2479 SA(a),(c) | US0001M + 8.100% | 5.2820 | 08/15/32 | 12,468 | |||||||||
38,329 | Freddie Mac REMICS 3034 LA | 5.0000 | 09/15/35 | 38,235 | ||||||||||
856,024 | Freddie Mac REMICS 3055 CS(a),(c) | US0001M + 6.590% | 3.7720 | 10/15/35 | 80,542 | |||||||||
482,467 | Freddie Mac REMICS 3147 LS(a),(c) | US0001M + 6.650% | 3.8320 | 04/15/36 | 50,181 | |||||||||
473,575 | Freddie Mac REMICS 3218 AS(a),(c) | US0001M + 6.580% | 3.7620 | 09/15/36 | 48,811 | |||||||||
374,834 | Freddie Mac REMICS 3347 SY(a),(c) | US0001M + 6.500% | 3.6820 | 02/15/36 | 36,911 | |||||||||
652,904 | Freddie Mac REMICS 3365 SC(a),(c) | US0001M + 6.000% | 3.1820 | 02/15/36 | 52,146 | |||||||||
386,618 | Freddie Mac REMICS 3424 XI(a),(c) | US0001M + 6.570% | 3.7520 | 05/15/36 | 28,944 | |||||||||
905,209 | Freddie Mac REMICS 3428 SL(a),(c) | US0001M + 6.060% | 3.2420 | 07/15/36 | 76,002 | |||||||||
440,027 | Freddie Mac REMICS 3457 SB(a),(c) | US0001M + 5.950% | 3.1320 | 12/15/36 | 35,009 | |||||||||
58,818 | Freddie Mac REMICS 3820 HI(c) | 4.5000 | 05/15/40 | 2,131 | ||||||||||
11,552 | Freddie Mac REMICS 3967 AI(c) | 5.0000 | 03/15/41 | 225 | ||||||||||
175,614 | Freddie Mac REMICS 3997 SK(a),(c) | US0001M + 6.600% | 3.7820 | 11/15/41 | 9,908 | |||||||||
150,705 | Freddie Mac REMICS 4001 MY(c) | 4.0000 | 08/15/40 | 10,486 | ||||||||||
212,036 | Freddie Mac REMICS 4185 ES(a) | US0001M + 6.000% | 1.7730 | 03/15/43 | 142,901 | |||||||||
389,997 | Freddie Mac REMICS 4320 SD(a),(c) | US0001M + 6.100% | 3.2820 | 07/15/39 | 30,217 | |||||||||
2,018,936 | Freddie Mac REMICS 4603 KI(a),(c) | US0001M + 1.295% | 0.1880 | 01/15/43 | 34,499 | |||||||||
6,092,239 | Freddie Mac REMICS 4605 KI(a),(c) | US0001M + 1.170% | 0.1700 | 08/15/43 | 20,413 | |||||||||
1,077,817 | Freddie Mac REMICS 4995 KI(c) | 5.5000 | 12/25/43 | 210,169 | ||||||||||
166,000 | Freddie Mac REMICS 5135 ML | 2.5000 | 08/25/51 | 108,500 | ||||||||||
780,830 | Freddie Mac Strips 240 S16(a),(c) | US0001M + 6.500% | 3.6820 | 07/15/36 | 94,861 | |||||||||
507,540 | Freddie Mac Strips 240 S30(a),(c) | US0001M + 7.700% | 4.8820 | 07/15/36 | 70,984 | |||||||||
254,157 | Freddie Mac Strips 242 S54(a),(c) | US0001M + 8.600% | 5.7820 | 11/15/36 | 60,112 | |||||||||
106,817 | Freddie Mac Strips 244 S14(a),(c) | US0001M + 6.600% | 3.7820 | 12/15/36 | 8,587 |
CATALYST INTEREST RATE OPPORTUNITY FUND |
SCHEDULE OF INVESTMENTS (Unaudited) (Continued) |
September 30, 2022 |
Principal | Coupon | |||||||||||||
Amount ($) | Spread | Rate (%) | Maturity | Fair Value | ||||||||||
MORTGAGE-BACKED SECURITIES — 113.8% (Continued) | ||||||||||||||
COLLATERALIZED MORTGAGE OBLIGATIONS — 109.8% (Continued) | ||||||||||||||
30,844 | Government National Mortgage Association 2014-131 BW(d) | 3.0410 | 05/20/41 | $ | 30,940 | |||||||||
9,482 | Government National Mortgage Association 2015-10 SL(a) | US0001M + 4.100% | 1.0860 | 02/20/42 | 6,337 | |||||||||
1,834,567 | Government National Mortgage Association 2016-17 GI(a),(c) | US0001M + 2.625% | 0.3810 | 08/20/45 | 31,784 | |||||||||
234,189 | Government National Mortgage Association 2018-67 SC(a),(c) | US0001M + 6.200% | 3.1860 | 05/20/48 | 19,863 | |||||||||
1,375,237 | Government National Mortgage Association 2021-154 GI(c) | 2.5000 | 09/20/51 | 140,920 | ||||||||||
76,896 | Government National Mortgage Association 2021-176 EZ | 3.0000 | 10/20/51 | 41,285 | ||||||||||
14,897,885 | Government National Mortgage Association 2021-87 SA(a),(c) | SOFR30A + 3.200% | 0.9160 | 05/20/51 | 228,611 | |||||||||
3,365,363 | ||||||||||||||
TOTAL MORTGAGE-BACKED SECURITIES (Cost $5,189,841) | 3,489,163 | |||||||||||||
U.S. GOVERNMENT & AGENCIES — 0.0%(e) | ||||||||||||||
AGENCY FIXED RATE — 0.0%(e) | ||||||||||||||
4 | Freddie Mac Gold Pool G60687 (Cost$5) | 8.5000 | 05/01/31 | 4 | ||||||||||
TOTAL INVESTMENTS -113.8% (Cost $5,189, 846) | $ | 3,489,167 | ||||||||||||
LIABILITIES IN EXCESS OF OTHER ASSETS -(13.8)% | (421,831 | ) | ||||||||||||
NET ASSETS -100.0% | $ | 3,067,336 | ||||||||||||
REMIC - Real Estate Mortgage Investment Conduit
SOFR30A United States 30 Day Average SOFR Secured Overnight Financing Rate
US0001M ICE LIBOR USD 1 Month
(a) | Variable rate security; the rate shown represents the rate on September 30, 2022. |
(b) | Zero coupon bond. |
(c) | Interest only securities. |
(d) | 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. |
(e) | Percentage rounds to less than 0.1%. |
CATALYST BUFFERED SHIELD FUND |
SCHEDULE OF INVESTMENTS (Unaudited) |
September 30, 2022 |
Shares | Fair Value | |||||||||||||||||||
EXCHANGE-TRADED FUNDS — 100.2% | ||||||||||||||||||||
FIXED INCOME - 100.2% | ||||||||||||||||||||
278,764 | iShares Trust iShares 1-5 Year Investment Grade Corporate Bond ETF | $ | 13,737,490 | |||||||||||||||||
309,165 | PGIM Ultra Short Bond ETF(a) | 15,173,818 | ||||||||||||||||||
226,723 | Vanguard Short-Term Corporate Bond ETF | 16,840,985 | ||||||||||||||||||
45,752,293 | ||||||||||||||||||||
TOTAL EXCHANGE-TRADED FUNDS (Cost $49,083,332) | 45,752,293 | |||||||||||||||||||
Contracts(b) | Counterparty | Expiration Date | Exercise Price | Notional Value | ||||||||||||||||
EQUITY OPTIONS PURCHASED - 16.3% | ||||||||||||||||||||
CALL OPTIONS PURCHASED - 2.6% | ||||||||||||||||||||
198 | SPDR S&P 500 ETF Trust | FCS | 12/16/2022 | $ | 425 | $ | 7,072,164 | $ | 14,850 | |||||||||||
170 | SPDR S&P 500 ETF Trust | FCS | 01/20/2023 | 430 | 6,072,060 | 20,740 | ||||||||||||||
25 | SPDR S&P 500 ETF Trust | FCS | 01/20/2023 | 445 | 892,950 | 1,425 | ||||||||||||||
125 | SPDR S&P 500 ETF Trust | FCS | 03/17/2023 | 430 | 4,464,750 | 36,750 | ||||||||||||||
25 | SPDR S&P 500 ETF Trust | FCS | 03/17/2023 | 435 | 892,950 | 6,250 | ||||||||||||||
120 | SPDR S&P 500 ETF Trust | FCS | 03/17/2023 | 440 | 4,286,160 | 23,640 | ||||||||||||||
50 | SPDR S&P 500 ETF Trust | FCS | 03/17/2023 | 445 | 1,785,900 | 7,850 | ||||||||||||||
250 | SPDR S&P 500 ETF Trust | FCS | 06/16/2023 | 365 | 8,929,500 | 783,750 | ||||||||||||||
45 | SPDR S&P 500 ETF Trust | FCS | 06/16/2023 | 400 | 1,607,310 | 66,870 | ||||||||||||||
70 | SPDR S&P 500 ETF Trust | FCS | 06/16/2023 | 410 | 2,500,260 | 84,350 | ||||||||||||||
125 | SPDR S&P 500 ETF Trust | FCS | 09/15/2023 | 415 | 4,464,750 | 194,125 | ||||||||||||||
TOTAL CALL OPTIONS PURCHASED (Cost - $3,725,626) | 1,240,600 | |||||||||||||||||||
PUT OPTIONS PURCHASED - 13.7% | ||||||||||||||||||||
198 | SPDR S&P 500 ETF Trust | FCS | 12/16/2022 | 415 | 7,072,164 | 1,148,400 | ||||||||||||||
120 | SPDR S&P 500 ETF Trust | FCS | 01/20/2023 | 415 | 4,286,160 | 703,200 | ||||||||||||||
75 | SPDR S&P 500 ETF Trust | FCS | 01/20/2023 | 425 | 2,678,850 | 509,175 | ||||||||||||||
320 | SPDR S&P 500 ETF Trust | FCS | 03/17/2023 | 415 | 11,429,760 | 1,828,480 | ||||||||||||||
45 | SPDR S&P 500 ETF Trust | FCS | 06/16/2023 | 370 | 1,607,310 | 151,110 | ||||||||||||||
30 | SPDR S&P 500 ETF Trust | FCS | 06/16/2023 | 375 | 1,071,540 | 104,760 | ||||||||||||||
250 | SPDR S&P 500 ETF Trust | FCS | 06/16/2023 | 380 | 8,929,500 | 961,500 | ||||||||||||||
70 | SPDR S&P 500 ETF Trust | FCS | 06/16/2023 | 390 | 2,500,260 | 307,790 | ||||||||||||||
125 | SPDR S&P 500 ETF Trust | FCS | 09/15/2023 | 385 | 4,464,750 | 556,250 | ||||||||||||||
TOTAL PUT OPTIONS PURCHASED (Cost - $3,113,830) | 6,270,665 | |||||||||||||||||||
TOTAL EQUITY OPTIONS PURCHASED (Cost - $6,839,456) | 7,511,265 |
CATALYST BUFFERED SHIELD FUND |
SCHEDULE OF INVESTMENTS (Unaudited) (Continued) |
September 30, 2022 |
Fair Value | ||||||||||||||||||||
TOTAL INVESTMENTS - 116.5% (Cost $55,922,788) | $ | 53,263,558 | ||||||||||||||||||
CALL OPTIONS WRITTEN - (0.4)% (Proceeds - $2,166,628) | (228,665 | ) | ||||||||||||||||||
PUT OPTIONS WRITTEN - (16.5)% (Proceeds - $4,984,649) | (7,537,438 | ) | ||||||||||||||||||
OTHER ASSETS IN EXCESS OF LIABILITIES- 0.4% | 162,563 | |||||||||||||||||||
NET ASSETS - 100.0% | $ | 45,660,018 | ||||||||||||||||||
Contracts(b) | Counterparty | Expiration Date | Exercise Price | Notional Value | ||||||||||||||||
WRITTEN EQUITY OPTIONS - (16.9)% | ||||||||||||||||||||
CALL OPTIONS WRITTEN- (0.4)% | ||||||||||||||||||||
198 | SPDR S&P 500 ETF Trust | FCS | 12/16/2022 | $ | 490 | $ | 7,072,164 | $ | 990 | |||||||||||
195 | SPDR S&P 500 ETF Trust | FCS | 01/20/2023 | 500 | 6,965,010 | 1,170 | ||||||||||||||
100 | SPDR S&P 500 ETF Trust | FCS | 03/17/2023 | 470 | 3,571,800 | 5,500 | ||||||||||||||
95 | SPDR S&P 500 ETF Trust | FCS | 03/17/2023 | 475 | 3,393,210 | 4,180 | ||||||||||||||
125 | SPDR S&P 500 ETF Trust | FCS | 03/17/2023 | 480 | 4,464,750 | 4,500 | ||||||||||||||
30 | SPDR S&P 500 ETF Trust | FCS | 06/16/2023 | 405 | 1,071,540 | 39,900 | ||||||||||||||
20 | SPDR S&P 500 ETF Trust | FCS | 06/16/2023 | 445 | 714,360 | 9,260 | ||||||||||||||
125 | SPDR S&P 500 ETF Trust | FCS | 06/16/2023 | 450 | 4,464,750 | 44,375 | ||||||||||||||
190 | SPDR S&P 500 ETF Trust | FCS | 06/16/2023 | 455 | 6,786,420 | 60,040 | ||||||||||||||
125 | SPDR S&P 500 ETF Trust | FCS | 09/15/2023 | 460 | 4,464,750 | 58,750 | ||||||||||||||
TOTAL CALL OPTIONS WRITTEN (Proceeds - $2,166,628) | 228,665 | |||||||||||||||||||
PUT OPTIONS WRITTEN - (16.5)% | ||||||||||||||||||||
198 | SPDR S&P 500 ETF Trust | FCS | 12/16/2022 | 425 | 7,072,164 | 1,335,708 | ||||||||||||||
170 | SPDR S&P 500 ETF Trust | FCS | 01/20/2023 | 430 | 6,072,060 | 1,232,670 | ||||||||||||||
25 | SPDR S&P 500 ETF Trust | FCS | 01/20/2023 | 445 | 892,950 | 204,450 | ||||||||||||||
125 | SPDR S&P 500 ETF Trust | FCS | 03/17/2023 | 430 | 4,464,750 | 901,250 | ||||||||||||||
25 | SPDR S&P 500 ETF Trust | FCS | 03/17/2023 | 435 | 892,950 | 176,000 | ||||||||||||||
120 | SPDR S&P 500 ETF Trust | FCS | 03/17/2023 | 440 | 4,286,160 | 971,040 | ||||||||||||||
50 | SPDR S&P 500 ETF Trust | FCS | 03/17/2023 | 445 | 1,785,900 | 425,800 | ||||||||||||||
250 | SPDR S&P 500 ETF Trust | FCS | 06/16/2023 | 365 | 8,929,500 | 755,250 | ||||||||||||||
45 | SPDR S&P 500 ETF Trust | FCS | 06/16/2023 | 400 | 1,607,310 | 226,620 | ||||||||||||||
30 | SPDR S&P 500 ETF Trust | FCS | 06/16/2023 | 405 | 1,071,540 | 156,000 | ||||||||||||||
70 | SPDR S&P 500 ETF Trust | FCS | 06/16/2023 | 410 | 2,500,260 | 391,650 | ||||||||||||||
125 | SPDR S&P 500 ETF Trust | FCS | 09/15/2023 | 415 | 4,464,750 | 761,000 | ||||||||||||||
TOTAL PUT OPTIONS WRITTEN (Proceeds - $4,984,649) | 7,537,438 | |||||||||||||||||||
TOTAL EQUITY OPTIONS WRITTEN (Proceeds - $7,151,277) | $ | 7,766,103 |
ETF - Exchange-Traded Fund
SPDR - Standard & Poors Depositary Receipt FCS - StoneX Group, Inc.
(a) | All or a portion of this security is segregated as collateral for options written. |
(b) | Each option contract allows the holder of the option to purchase or sell 100 shares of the underlying security. |
CATALYST ENHANCED INCOME STRATEGY FUND |
SCHEDULE OF INVESTMENTS (Unaudited) |
September 30, 2022 |
Principal | Coupon | |||||||||||||
Amount ($) | Spread | Rate (%) | Maturity | Fair Value | ||||||||||
ASSET BACKED SECURITIES — 87.0% | ||||||||||||||
COLLATERALIZED MORTGAGE OBLIGATIONS — 32.8% | ||||||||||||||
4,353,103 | Adjustable Rate Mortgage Trust 2005-12(a) | US0001M + 0.500% | 3.5840 | 03/25/36 | $ | 1,557,008 | ||||||||
1,638,741 | Adjustable Rate Mortgage Trust 2007-3(b),(c) | 5.7530 | 11/25/37 | 1,210,627 | ||||||||||
803,453 | Alternative Loan Trust 2004-25CB | 6.0000 | 12/25/34 | 701,519 | ||||||||||
412,606 | Alternative Loan Trust 2005-11CB 2A1 | 5.5000 | 06/25/35 | 339,478 | ||||||||||
721,810 | Alternative Loan Trust 2005-11CB 2A6 | 5.5000 | 06/25/25 | 593,881 | ||||||||||
113,178 | Alternative Loan Trust 2005-28CB | 6.0000 | 08/25/35 | 56,192 | ||||||||||
136,520 | Alternative Loan Trust 2005-3CB 1A4 | 5.2500 | 03/25/35 | 116,279 | ||||||||||
246,424 | Alternative Loan Trust 2005-3CB 2A1 | 5.0000 | 03/25/35 | 227,965 | ||||||||||
2,467,187 | Alternative Loan Trust 2005-43(c) | 2.5390 | 10/25/35 | 2,100,230 | ||||||||||
940,462 | Alternative Loan Trust 2005-46CB | 5.5000 | 10/25/35 | 693,166 | ||||||||||
1,774,587 | Alternative Loan Trust 2005-64CB 1A15 | 5.5000 | 12/25/35 | 1,567,460 | ||||||||||
723,419 | Alternative Loan Trust 2005-64CB 1A3 | 6.0000 | 12/25/35 | 645,954 | ||||||||||
459,339 | Alternative Loan Trust 2005-65CB | 6.0000 | 01/25/36 | 337,221 | ||||||||||
1,999,669 | Alternative Loan Trust 2005-69(a) | 12MTA + 1.000% | 1.8590 | 12/25/35 | 1,785,978 | |||||||||
1,744,834 | Alternative Loan Trust 2005-84(c) | 2.6790 | 02/25/36 | 1,564,195 | ||||||||||
573,662 | Alternative Loan Trust 2005-86CB | 5.5000 | 02/25/36 | 375,756 | ||||||||||
421,792 | Alternative Loan Trust 2005-J1 | 5.5000 | 02/25/35 | 398,624 | ||||||||||
1,369,098 | Alternative Loan Trust 2005-J12(d) | 5.9150 | 11/25/35 | 744,380 | ||||||||||
921,042 | Alternative Loan Trust 2005-J13 | 5.5000 | 11/25/35 | 658,204 | ||||||||||
2,708,277 | Alternative Loan Trust 2006-16CB | 6.0000 | 06/25/36 | 1,701,293 | ||||||||||
5,437,774 | Alternative Loan Trust 2006-20CB A5(a),(e) | US0001M + 7.150% | 4.0660 | 07/25/36 | 857,213 | |||||||||
6,293,563 | Alternative Loan Trust 2006-20CB A7(a),(e) | US0001M + 5.500% | 2.4160 | 07/25/36 | 586,204 | |||||||||
832,556 | Alternative Loan Trust 2006-23CB | 6.0000 | 08/25/36 | 771,341 | ||||||||||
429,023 | Alternative Loan Trust 2006-28CB | 6.5000 | 10/25/36 | 251,550 | ||||||||||
560,758 | Alternative Loan Trust 2006-29T1 | 6.5000 | 10/25/36 | 378,069 | ||||||||||
1,034,640 | Alternative Loan Trust 2006-32CB | 6.0000 | 11/25/36 | 649,234 | ||||||||||
504,506 | Alternative Loan Trust 2006-42 | 6.0000 | 01/25/47 | 314,166 | ||||||||||
1,658,497 | Alternative Loan Trust 2006-45T1 | 6.0000 | 02/25/37 | 964,227 | ||||||||||
183,312 | Alternative Loan Trust 2006-4CB 2A3 | 5.5000 | 04/25/36 | 146,503 | ||||||||||
1,209,437 | Alternative Loan Trust 2006-4CB 2A6 | 5.5000 | 04/25/36 | 966,578 | ||||||||||
1,861,144 | Alternative Loan Trust 2006-9T1 | 6.0000 | 05/25/36 | 896,192 | ||||||||||
290,438 | Alternative Loan Trust 2006-J3 | 5.7500 | 05/25/26 | 269,845 | ||||||||||
1,708,120 | Alternative Loan Trust 2006-J4 | 6.0000 | 07/25/36 | 1,115,733 | ||||||||||
675,296 | Alternative Loan Trust 2007-12T1 A3 | 6.0000 | 06/25/37 | 347,412 | ||||||||||
2,001,341 | Alternative Loan Trust 2007-23CB | 6.5000 | 09/25/37 | 1,235,357 | ||||||||||
7,500,000 | American Home Mortgage Investment Trust 2004-4(d) | 6.0000 | 02/25/45 | 6,634,024 |
CATALYST ENHANCED INCOME STRATEGY FUND |
SCHEDULE OF INVESTMENTS (Unaudited) (Continued) |
September 30, 2022 |
Principal | Coupon | |||||||||||||
Amount ($) | Spread | Rate (%) | Maturity | Fair Value | ||||||||||
ASSET BACKED SECURITIES — 87.0% (Continued) | ||||||||||||||
COLLATERALIZED MORTGAGE OBLIGATIONS — 32.8% (Continued) | ||||||||||||||
228,444 | Banc of America Alternative Loan Trust 2006-4 | 6.0000 | 05/25/46 | $ | 196,400 | |||||||||
281,396 | Banc of America Alternative Loan Trust 2006-5 | 6.0000 | 06/25/46 | 248,432 | ||||||||||
676,785 | Banc of America Alternative Loan Trust 2006-6 2A10 | 6.0000 | 07/25/46 | 540,863 | ||||||||||
487,971 | Banc of America Alternative Loan Trust 2006-6 2A8 | 6.0000 | 07/25/46 | 389,970 | ||||||||||
5,591 | Banc of America Funding 2004-3 Trust | 5.5000 | 10/25/34 | 5,179 | ||||||||||
141,902 | Banc of America Funding 2005-5 Trust | 5.5000 | 09/25/35 | 133,828 | ||||||||||
251,613 | Banc of America Funding 2005-H Trust(c) | 2.5640 | 11/20/35 | 239,022 | ||||||||||
47,357 | Banc of America Funding 2006 J Trust 2A3(c) | 3.1390 | 01/20/47 | 41,995 | ||||||||||
387,792 | Banc of America Funding 2006 J Trust 4A1(c) | 3.5100 | 01/20/47 | 362,733 | ||||||||||
64,347 | Banc of America Funding 2006-5 Trust | 6.0000 | 09/25/36 | 56,065 | ||||||||||
451,973 | Banc of America Funding 2006-H Trust(c) | 3.5300 | 09/20/46 | 393,393 | ||||||||||
465,712 | Banc of America Funding 2007-4 Trust(d) | 5.7740 | 05/25/37 | 431,101 | ||||||||||
2,183,484 | Banc of America Funding 2007-4 Trust | 6.0000 | 06/25/37 | 1,914,477 | ||||||||||
151,672 | Banc of America Funding 2007-A Trust(a) | US0001M + 0.420% | 3.4130 | 02/20/47 | 131,521 | |||||||||
430,085 | Banc of America Funding 2009-R9 Trust(b),(c) | 3.5510 | 11/25/56 | 305,641 | ||||||||||
368,715 | Banc of America Funding 2010-R8 Trust(b) | 5.7500 | 05/26/36 | 264,815 | ||||||||||
112,423 | Banc of America Mortgage 2005-A Trust 1A1(c) | 2.5690 | 02/25/35 | 96,913 | ||||||||||
64,684 | Banc of America Mortgage 2005-A Trust 2A1(c) | 2.5410 | 02/25/35 | 62,820 | ||||||||||
13,941 | Banc of America Mortgage 2005-G Trust(c) | 3.7610 | 08/25/35 | 12,576 | ||||||||||
621,869 | Banc of America Mortgage 2006-A Trust(c) | 2.7580 | 02/25/36 | 574,671 | ||||||||||
2,237,119 | Banc of America Mortgage 2007-2 Trust A1(a) | US0001M + 0.350% | 3.4340 | 05/25/37 | 1,645,260 | |||||||||
630,086 | Banc of America Mortgage 2007-2 Trust A3 | 6.0000 | 05/25/37 | 486,774 | ||||||||||
213,021 | Banc of America Mortgage 2007-2 Trust A6 | 5.7500 | 05/25/37 | 162,711 | ||||||||||
862,489 | Bear Stearns ALT-A Trust 2005-4(c) | 2.8330 | 05/25/35 | 818,923 | ||||||||||
537,467 | Bear Stearns ALT-A Trust 2005-5(c) | 3.5050 | 07/25/35 | 467,884 | ||||||||||
189,841 | Bear Stearns ALT-A Trust 2005-7(c) | 3.5230 | 09/25/35 | 122,990 | ||||||||||
2,081,256 | Bear Stearns ALT-A Trust 2006-6(c) | 3.1730 | 11/25/36 | 1,185,376 | ||||||||||
94,474 | Bear Stearns ARM Trust 2004-7(c) | 2.6250 | 10/25/34 | 79,238 | ||||||||||
148,818 | Bear Stearns ARM Trust 2005-12(c) | 3.5350 | 02/25/36 | 131,399 | ||||||||||
66,853 | Bear Stearns ARM Trust 2006-2(c) | 3.4400 | 07/25/36 | 60,681 | ||||||||||
257,615 | Bear Stearns ARM Trust 2006-4(c) | 3.1590 | 10/25/36 | 233,437 | ||||||||||
197,527 | Bear Stearns Asset Backed Securities I Trust 2006-AC3(a) | US0001M + 0.400% | 3.4840 | 05/25/36 | 71,341 | |||||||||
991,857 | Cascade MH Asset Trust 2022-MH1(b),(d) | 4.2500 | 08/25/54 | 868,004 | ||||||||||
193,181 | Chase Mortgage Finance Trust Series 2005-S2 | 5.5000 | 10/25/35 | 178,754 | ||||||||||
472,859 | Chase Mortgage Finance Trust Series 2006-S2 | 6.2500 | 10/25/36 | 212,828 | ||||||||||
328,036 | Chase Mortgage Finance Trust Series 2006-S3 | 6.0000 | 11/25/36 | 155,472 |
CATALYST ENHANCED INCOME STRATEGY FUND |
SCHEDULE OF INVESTMENTS (Unaudited) (Continued) |
September 30, 2022 |
Principal | Coupon | |||||||||||||
Amount ($) | Spread | Rate (%) | Maturity | Fair Value | ||||||||||
ASSET BACKED SECURITIES — 87.0% (Continued) | ||||||||||||||
COLLATERALIZED MORTGAGE OBLIGATIONS — 32.8% (Continued) | ||||||||||||||
631,365 | Chase Mortgage Finance Trust Series 2006-S4 | 6.0000 | 12/25/36 | $ | 316,355 | |||||||||
2,534,508 | ChaseFlex Trust Series 2005-1 | 6.0000 | 02/25/35 | 2,058,279 | ||||||||||
225,256 | ChaseFlex Trust Series 2005-2 | 6.5000 | 06/25/35 | 143,601 | ||||||||||
103,503 | ChaseFlex Trust Series 2006-1(c) | 6.3000 | 06/25/36 | 85,364 | ||||||||||
343,676 | ChaseFlex Trust Series 2007-1 | 6.5000 | 02/25/37 | 136,689 | ||||||||||
115,074 | Chevy Chase Funding, LLC Mortgage-Backed Certificates Series 2004- 1(a),(b) | US0001M + 0.330% | 3.4140 | 01/25/35 | 108,859 | |||||||||
674,663 | CHL Mortgage Pass-Through Trust 2003-46(c) | 4.0200 | 01/19/34 | 641,893 | ||||||||||
89,031 | CHL Mortgage Pass-Through Trust 2003-56(c) | 4.2710 | 12/25/33 | 92,293 | ||||||||||
434,683 | CHL Mortgage Pass-Through Trust 2004-5 | 5.2500 | 05/25/34 | 411,248 | ||||||||||
659,797 | CHL Mortgage Pass-Through Trust 2004-HYB6(c) | 3.3030 | 11/20/34 | 629,465 | ||||||||||
300,066 | CHL Mortgage Pass-Through Trust 2005-18 | 5.5000 | 10/25/35 | 180,343 | ||||||||||
1,044,118 | CHL Mortgage Pass-Through Trust 2005-21 | 5.5000 | 10/25/35 | 691,066 | ||||||||||
288,429 | CHL Mortgage Pass-Through Trust 2005-24 | 5.5000 | 11/25/35 | 168,635 | ||||||||||
87,889 | CHL Mortgage Pass-Through Trust 2005-HYB2(c) | 3.1760 | 05/20/35 | 82,704 | ||||||||||
538,940 | CHL Mortgage Pass-Through Trust 2005-HYB9(a) | US0012M + 1.750% | 1.9910 | 02/20/36 | 503,689 | |||||||||
963,810 | CHL Mortgage Pass-Through Trust 2006-12 | 6.0000 | 07/25/36 | 563,134 | ||||||||||
3,103,655 | CHL Mortgage Pass-Through Trust 2006-17 | 6.0000 | 12/25/36 | 1,453,500 | ||||||||||
415,710 | CHL Mortgage Pass-Through Trust 2006-HYB2(c) | 3.2820 | 04/20/36 | 340,088 | ||||||||||
114,755 | CHL Mortgage Pass-Through Trust 2006-J4 | 6.2500 | 09/25/36 | 47,434 | ||||||||||
831,392 | CHL Mortgage Pass-Through Trust 2007-17 | 6.7500 | 10/25/37 | 262,099 | ||||||||||
328,374 | CHL Mortgage Pass-Through Trust 2007-8 | 6.0000 | 01/25/38 | 165,432 | ||||||||||
777,870 | CHL Mortgage Pass-Through Trust 2007-HY3(c) | 3.6420 | 06/25/47 | 763,059 | ||||||||||
299,730 | CHL Mortgage Pass-Through Trust 2007-J2 1A1 | 6.0000 | 07/25/37 | 256,493 | ||||||||||
166,873 | CHL Mortgage Pass-Through Trust 2007-J2 2A5 | 6.0000 | 07/25/37 | 71,489 | ||||||||||
724,474 | Citicorp Mortgage Securities Trust Series 2006-3 | 6.2500 | 06/25/36 | 644,286 | ||||||||||
384,671 | Citicorp Mortgage Securities Trust Series 2007-7 | 6.0000 | 08/25/37 | 373,609 | ||||||||||
5,210,672 | Citicorp Mortgage Securities Trust Series 2008-1 | 6.2500 | 02/25/38 | 4,690,583 | ||||||||||
161,233 | Citigroup Mortgage Loan Trust 2005-3(c) | 3.7930 | 08/25/35 | 138,664 | ||||||||||
409,257 | Citigroup Mortgage Loan Trust 2006-AR5(c) | 3.1990 | 07/25/36 | 437,923 | ||||||||||
337,062 | Citigroup Mortgage Loan Trust 2007-6(c) | 2.4070 | 03/25/37 | 285,746 | ||||||||||
37,264 | Citigroup Mortgage Loan Trust 2009-6(b),(c) | 6.0000 | 10/25/22 | 37,197 | ||||||||||
362,210 | Citigroup Mortgage Loan Trust, Inc. 2004-1(a),(b) | US0001M + 0.350% | 3.4340 | 02/25/31 | 353,235 | |||||||||
783,638 | Citigroup Mortgage Loan Trust, Inc. 2005-5(c) | 3.0300 | 10/25/35 | 474,041 | ||||||||||
3,129,692 | Citigroup Mortgage Loan Trust, Inc. 2007 AR-7(c) | 2.9150 | 05/25/47 | 2,751,557 | ||||||||||
561,200 | CitiMortgage Alternative Loan Trust Series 2007-A1 1A3 | 6.0000 | 01/25/37 | 491,385 | ||||||||||
892,629 | CitiMortgage Alternative Loan Trust Series 2007-A1 1A5 | 6.0000 | 01/25/37 | 781,583 |
CATALYST ENHANCED INCOME STRATEGY FUND |
SCHEDULE OF INVESTMENTS (Unaudited) (Continued) |
September 30, 2022 |
Principal | Coupon | |||||||||||||
Amount ($) | Spread | Rate (%) | Maturity | Fair Value | ||||||||||
ASSET BACKED SECURITIES — 87.0% (Continued) | ||||||||||||||
COLLATERALIZED MORTGAGE OBLIGATIONS — 32.8% (Continued) | ||||||||||||||
141,998 | CitiMortgage Alternative Loan Trust Series 2007-A4 1A6 | 5.7500 | 04/25/37 | $ | 126,359 | |||||||||
554,815 | Credit Suisse First Boston Mortgage Securities | 5.5000 | 04/25/33 | 528,015 | ||||||||||
288,182 | Credit Suisse First Boston Mortgage Securities 2003-AR28 6M3(a) | US0001M + 2.750% | 5.8340 | 12/25/33 | 292,221 | |||||||||
294,334 | Credit Suisse First Boston Mortgage Securities 2005-11 8A4 | 6.0000 | 12/25/35 | 235,355 | ||||||||||
698,571 | Credit Suisse First Boston Mortgage Securities 2005-12 1A1 | 6.5000 | 01/25/36 | 192,943 | ||||||||||
396,686 | Credit Suisse First Boston Mortgage Securities 2005-5 6A3 | 5.0000 | 07/25/35 | 372,755 | ||||||||||
2,797,968 | Credit Suisse First Boston Mortgage Securities 2005-8 2A1 | 6.0000 | 09/25/35 | 1,118,350 | ||||||||||
33,709 | CSFB Mortgage-Backed Pass-Through Certificates Series 2003-29 | 6.5000 | 12/25/33 | 30,636 | ||||||||||
9,804 | CSFB Mortgage-Backed Pass-Through Certificates Series 2004-AR5(c) | 2.8020 | 06/25/34 | 9,776 | ||||||||||
1,402,771 | CSFB Mortgage-Backed Pass-Through Certificates Series 2005-10 3A3 | 5.5000 | 11/25/35 | 853,884 | ||||||||||
220,569 | CSFB Mortgage-Backed Pass-Through Certificates Series 2005-10 6A3 | 5.7500 | 11/25/35 | 112,284 | ||||||||||
582,408 | CSFB Mortgage-Backed Pass-Through Certificates Series 2005-4 | 5.5000 | 06/25/35 | 443,879 | ||||||||||
6,504,880 | CSMC Mortgage-Backed Trust 2006-3 1A3(d) | 6.8100 | 04/25/36 | 698,810 | ||||||||||
2,008,353 | CSMC Mortgage-Backed Trust 2006-3 1A4B(d) | 6.6640 | 04/25/36 | 215,999 | ||||||||||
4,842,627 | CSMC Mortgage-Backed Trust 2006-3 5A7 | 6.0000 | 04/25/36 | 1,618,480 | ||||||||||
1,864,437 | CSMC Mortgage-Backed Trust 2006-5 3A1 | 6.5000 | 06/25/36 | 436,318 | ||||||||||
1,570,770 | CSMC Mortgage-Backed Trust 2006-5 3A3 | 6.5000 | 06/25/36 | 367,594 | ||||||||||
664,451 | CSMC Mortgage-Backed Trust 2006-5 3A4 | 6.5000 | 06/25/36 | 155,496 | ||||||||||
1,693,275 | CSMC Mortgage-Backed Trust 2006-5 3A6 | 6.2500 | 06/25/36 | 402,101 | ||||||||||
3,002,923 | CSMC Mortgage-Backed Trust 2006-7 9A5 | 6.5000 | 08/25/36 | 641,259 | ||||||||||
4,371,620 | CSMC Mortgage-Backed Trust 2006-9 4A1 | 6.0000 | 11/25/36 | 3,035,198 | ||||||||||
2,847,561 | CSMC Mortgage-Backed Trust 2007-1 5413 | 6.0000 | 02/25/37 | 1,774,857 | ||||||||||
522,312 | CSMC Mortgage-Backed Trust 2007-1 5A4 | 6.0000 | 02/25/37 | 325,176 | ||||||||||
50,543 | CSMC Mortgage-Backed Trust 2007-5 8A2 | 6.0000 | 10/25/24 | 47,883 | ||||||||||
2,300,000 | Deephaven Residential Mortgage Trust 2021-2(b),(c) | 2.2170 | 04/25/66 | 1,678,180 | ||||||||||
3,551,514 | Deutsche Alt-A Securities Mortgage Loan Trust(a) | US0001M + 0.110% | 3.1940 | 08/25/37 | 3,162,040 | |||||||||
582,585 | Deutsche Mortgage Securities Inc Mortgage Loan Trust 2004-4(c) | 3.7460 | 06/25/34 | 557,536 | ||||||||||
101,658 | Deutsche Mortgage Securities Inc Mortgage Loan Trust Series 2004-2(d) | 5.5900 | 01/25/34 | 91,114 | ||||||||||
513,532 | DSLA Mortgage Loan Trust 2004-AR2(a) | US0001M + 0.800% | 3.7930 | 11/19/44 | 478,421 | |||||||||
67,558 | First Horizon Alternative Mortgage Securities 2004-AA3(c) | 3.7290 | 09/25/34 | 62,297 | ||||||||||
10,021 | First Horizon Alternative Mortgage Securities 2005-AA6(c) | 3.5450 | 08/25/35 | 8,188 | ||||||||||
28,620 | First Horizon Mortgage Pass-Through Trust 2000-H(c) | 3.7310 | 05/25/30 | 28,150 | ||||||||||
275,689 | First Horizon Mortgage Pass-Through Trust 2007-AR3(c) | 3.4760 | 11/25/37 | 245,788 | ||||||||||
430,814 | Flagstar Mortgage Trust 2017-1(b),(c) | 3.5000 | 03/25/47 | 389,694 | ||||||||||
995,843 | GCAT 2022-NQM4 Trust(b),(d) | 5.7300 | 09/25/67 | 955,876 | ||||||||||
51,150 | GMACM Mortgage Loan Trust 2005-AR1(c) | 2.9180 | 03/18/35 | 49,941 |
CATALYST ENHANCED INCOME STRATEGY FUND |
SCHEDULE OF INVESTMENTS (Unaudited) (Continued) |
September 30, 2022 |
Principal | Coupon | |||||||||||||
Amount ($) | Spread | Rate (%) | Maturity | Fair Value | ||||||||||
ASSET BACKED SECURITIES — 87.0% (Continued) | ||||||||||||||
COLLATERALIZED MORTGAGE OBLIGATIONS — 32.8% (Continued) | ||||||||||||||
381,679 | GMACM Mortgage Loan Trust 2006-J1 | 5.7500 | 04/25/36 | $ | 324,510 | |||||||||
111,123 | GSMPS Mortgage Loan Trust 1998-5 A(b),(c) | 7.5000 | 06/19/27 | 106,132 | ||||||||||
200,807 | GSMPS Mortgage Loan Trust 1999-2 A(b),(c) | 8.0000 | 09/19/27 | 195,221 | ||||||||||
180,916 | GSR Mortgage Loan Trust 2003-5F 2A1 | 4.0000 | 08/25/32 | 167,328 | ||||||||||
48,217 | GSR Mortgage Loan Trust 2004-14 3A2(c) | 2.7300 | 12/25/34 | 44,696 | ||||||||||
54,371 | GSR Mortgage Loan Trust 2004-2F 6A1 | 7.0000 | 01/25/34 | 54,828 | ||||||||||
46,521 | GSR Mortgage Loan Trust 2004-6F 1A2 | 5.0000 | 05/25/34 | 43,383 | ||||||||||
488,261 | GSR Mortgage Loan Trust 2005-3F 1A3 | 5.5000 | 03/25/35 | 438,190 | ||||||||||
114,544 | GSR Mortgage Loan Trust 2005-AR4 4A1(c) | 3.3750 | 07/25/35 | 111,061 | ||||||||||
441,866 | GSR Mortgage Loan Trust 2006-2F 2A1 | 5.7500 | 02/25/36 | 389,277 | ||||||||||
279,351 | GSR Mortgage Loan Trust 2006-3F 2A7 | 5.7500 | 03/25/36 | 271,963 | ||||||||||
518,183 | GSR Mortgage Loan Trust 2006-9F 4A1 | 6.5000 | 10/25/36 | 254,845 | ||||||||||
127,176 | GSR Mortgage Loan Trust 2006-AR1 2A1(c) | 2.8700 | 01/25/36 | 125,203 | ||||||||||
269,637 | GSR Mortgage Loan Trust 2007-1F 3A1 | 6.0000 | 01/25/37 | 185,731 | ||||||||||
3,273,873 | HarborView Mortgage Loan Trust 2005-16(a) | US0001M + 0.500% | 3.4930 | 01/19/36 | 2,050,907 | |||||||||
128,393 | HomeBanc Mortgage Trust 2004-2(a) | US0001M + 0.740% | 3.8240 | 12/25/34 | 120,961 | |||||||||
476,113 | HSI Asset Loan Obligation Trust 2007-2 | 6.0000 | 09/25/37 | 178,653 | ||||||||||
1,247,133 | Impac CMB Trust Series 2004-10 1A1(a) | US0001M + 0.640% | 3.7240 | 03/25/35 | 1,153,684 | |||||||||
166,314 | Impac CMB Trust Series 2004-10 4A1(a) | US0001M + 0.740% | 3.8240 | 03/25/35 | 154,198 | |||||||||
300,612 | Impac CMB Trust Series 2004-9 1A2(a) | US0001M + 0.880% | 3.9640 | 01/25/35 | 278,100 | |||||||||
789,196 | Impac CMB Trust Series 2004-9 M2(a) | US0001M + 0.975% | 4.0590 | 01/25/35 | 735,375 | |||||||||
1,228,123 | Impac CMB Trust Series 2005-1 M2(a) | US0001M + 0.750% | 3.8340 | 04/25/35 | 1,138,149 | |||||||||
472,655 | Impac CMB Trust Series 2005-4 1M2(a) | US0001M + 0.460% | 3.7740 | 05/25/35 | 433,081 | |||||||||
306,754 | Impac CMB Trust Series 2005-5(a) | US0001M + 0.510% | 3.8490 | 08/25/35 | 279,231 | |||||||||
490,509 | Imperial Fund Mortgage Trust(b),(d) | 6.2500 | 08/25/67 | 473,882 | ||||||||||
2,114,370 | IndyMac IMSC Mortgage Loan Trust 2007-F2 | 6.0000 | 07/25/37 | 1,622,699 | ||||||||||
586,037 | IndyMac INDA Mortgage Loan Trust 2006-AR1(c) | 3.4030 | 08/25/36 | 490,640 | ||||||||||
1,110,563 | IndyMac INDX Mortgage Loan Trust 2004-AR2(c) | 2.8400 | 06/25/34 | 887,568 | ||||||||||
159,048 | IndyMac INDX Mortgage Loan Trust 2005-AR3(c) | 2.6590 | 04/25/35 | 152,108 | ||||||||||
129,751 | IndyMac INDX Mortgage Loan Trust 2005-AR5(c) | 2.8080 | 05/25/35 | 97,223 | ||||||||||
1,380,993 | JP Morgan Alternative Loan Trust 2005-S1 | 6.5000 | 12/25/35 | 592,132 | ||||||||||
257,749 | JP Morgan Alternative Loan Trust 2006-S1 | 6.0000 | 03/25/36 | 150,543 | ||||||||||
5,674 | JP Morgan Mortgage Trust 2004-A3 2A1(c) | 3.3650 | 07/25/34 | 5,513 | ||||||||||
487,946 | JP Morgan Mortgage Trust 2004-A6(c) | 2.4580 | 12/25/34 | 446,852 | ||||||||||
137,977 | JP Morgan Mortgage Trust 2004-S1 1A7 | 5.0000 | 09/25/34 | 139,368 | ||||||||||
41,461 | JP Morgan Mortgage Trust 2005-A1 4A1(c) | 3.5110 | 02/25/35 | 40,374 |
CATALYST ENHANCED INCOME STRATEGY FUND |
SCHEDULE OF INVESTMENTS (Unaudited) (Continued) |
September 30, 2022 |
Principal | Coupon | |||||||||||||
Amount ($) | Spread | Rate (%) | Maturity | Fair Value | ||||||||||
ASSET BACKED SECURITIES — 87.0% (Continued) | ||||||||||||||
COLLATERALIZED MORTGAGE OBLIGATIONS — 32.8% (Continued) | ||||||||||||||
830,215 | JP Morgan Mortgage Trust 2005-A4 B1(c) | 3.3460 | 07/25/35 | $ | 768,182 | |||||||||
152,455 | JP Morgan Mortgage Trust 2005-A6 1A2(c) | 4.1100 | 09/25/35 | 144,094 | ||||||||||
981,657 | JP Morgan Mortgage Trust 2005-S3 1A1 | 6.5000 | 01/25/36 | 553,171 | ||||||||||
790,564 | JP Morgan Mortgage Trust 2006-A2 2A1(c) | 2.9610 | 04/25/36 | 731,864 | ||||||||||
34,576 | JP Morgan Mortgage Trust 2006-A2 2A2(c) | 2.9610 | 04/25/36 | 32,591 | ||||||||||
337,966 | JP Morgan Mortgage Trust 2007-A1 5A4(c) | 2.4940 | 07/25/35 | 320,188 | ||||||||||
467,378 | JP Morgan Mortgage Trust 2007-A3(c) | 3.2150 | 05/25/37 | 418,384 | ||||||||||
224,075 | JP Morgan Mortgage Trust 2007-S1 2A10 | 6.0000 | 03/25/37 | 104,863 | ||||||||||
275,357 | JP Morgan Mortgage Trust 2016-1(b),(c) | 3.5000 | 05/25/46 | 248,777 | ||||||||||
17,916 | Lehman Mortgage Trust 2007-9 | 6.0000 | 10/25/37 | 21,230 | ||||||||||
10,869 | MASTR Adjustable Rate Mortgages Trust 2003-5(c) | 1.4950 | 11/25/33 | 9,881 | ||||||||||
28,475 | MASTR Adjustable Rate Mortgages Trust 2004-4(c) | 2.5770 | 05/25/34 | 27,086 | ||||||||||
502,579 | MASTR Adjustable Rate Mortgages Trust 2005-2(c) | 2.8760 | 03/25/35 | 467,662 | ||||||||||
199,170 | MASTR Adjustable Rate Mortgages Trust 2006-2(c) | 2.6480 | 04/25/36 | 185,773 | ||||||||||
7,300 | MASTR Alternative Loan Trust 2004-5 | 5.5000 | 06/25/34 | 6,951 | ||||||||||
88,154 | MASTR Alternative Loan Trust 2005-3 | 6.0000 | 03/25/35 | 79,254 | ||||||||||
214,379 | MASTR Alternative Loan Trust 2005-5 | 5.5000 | 07/25/25 | 200,247 | ||||||||||
110,515 | MASTR Alternative Loan Trust 2005-6 | 5.5000 | 12/25/35 | 78,309 | ||||||||||
916,373 | MASTR Asset Securitization Trust 2004-3 | 5.5000 | 03/25/34 | 826,449 | ||||||||||
351 | MASTR Asset Securitization Trust 2005-1(h) | 5.0000 | 05/25/20 | 159 | ||||||||||
820,610 | MASTR Reperforming Loan Trust 2005-1(b) | 8.0000 | 08/25/34 | 678,164 | ||||||||||
7,465,699 | MASTR Reperforming Loan Trust 2006-2(b),(c) | 4.0470 | 05/25/36 | 6,032,441 | ||||||||||
685,659 | Merrill Lynch Alternative Note Asset Trust Series 2007-A2(a) | US0001M + 0.600% | 3.6840 | 03/25/37 | 32,336 | |||||||||
10,396 | Merrill Lynch Mortgage Investors Trust MLMI Series 2002-A3(c) | 2.8750 | 09/25/32 | 9,965 | ||||||||||
292,335 | Merrill Lynch Mortgage Investors Trust Series 2006-AF2 | 6.2500 | 10/25/36 | 151,338 | ||||||||||
1,074,481 | Merrill Lynch Mortgage Investors Trust Series MLCC(a) | US0001M + 1.125% | 4.2090 | 04/25/28 | 933,924 | |||||||||
199,305 | Merrill Lynch Mortgage Investors Trust Series MLMI 2005-A1-1A(c) | 3.8910 | 12/25/34 | 197,614 | ||||||||||
72,084 | Morgan Stanley Mortgage Loan Trust 2004-5AR(c) | 2.4820 | 07/25/34 | 72,212 | ||||||||||
1,000,000 | Morgan Stanley Mortgage Loan Trust 2005-6AR(a) | US0001M + 2.025% | 5.1090 | 11/25/35 | 992,795 | |||||||||
294,518 | Morgan Stanley Mortgage Loan Trust 2006-2 2A4 | 5.7500 | 02/25/36 | 259,172 | ||||||||||
920,125 | Morgan Stanley Mortgage Loan Trust 2006-2 6A | 6.5000 | 02/25/36 | 477,014 | ||||||||||
657,412 | Morgan Stanley Mortgage Loan Trust 2006-7 4A7 | 6.0000 | 06/25/36 | 377,385 | ||||||||||
578,961 | Morgan Stanley Mortgage Loan Trust 2006-8AR(c) | 3.7470 | 06/25/36 | 455,723 | ||||||||||
314,465 | MortgageIT Trust 2004-2(a) | US0001M + 1.800% | 4.8840 | 12/25/34 | 296,178 | |||||||||
7,046 | MortgageIT Trust 2005-1(a) | US0001M + 1.250% | 3.8140 | 02/25/35 | 6,802 | |||||||||
1,211,088 | MRFC Mortgage Pass-Through Trust Series 1999-TBC2 Class A-1(a) | US0001M + 0.480% | 3.2980 | 06/15/30 | 1,163,657 |
CATALYST ENHANCED INCOME STRATEGY FUND |
SCHEDULE OF INVESTMENTS (Unaudited) (Continued) |
September 30, 2022 |
Principal | Coupon | |||||||||||||
Amount ($) | Spread | Rate (%) | Maturity | Fair Value | ||||||||||
ASSET BACKED SECURITIES — 87.0% (Continued) | ||||||||||||||
COLLATERALIZED MORTGAGE OBLIGATIONS — 32.8% (Continued) | ||||||||||||||
1,070,821 | NAAC Reperforming Loan REMIC Trust Certificates(b) | 6.5000 | 02/25/35 | $ | 945,466 | |||||||||
1,712,416 | New Century Alternative Mortgage Loan Trust 2006-ALT1 AF2(c) | 5.9090 | 07/25/36 | 431,143 | ||||||||||
628,096 | New Century Alternative Mortgage Loan Trust 2006-ALT2 AF4(d) | 4.6920 | 10/25/36 | 138,621 | ||||||||||
2,208,000 | New Century Alternative Mortgage Loan Trust 2006-ALT2 AF6B(d) | 4.6920 | 10/25/36 | 132,897 | ||||||||||
498,388 | Nomura Asset Acceptance Corp Alternative Loan Trust Series 2004-AP2(d) | 6.0000 | 07/25/34 | 430,154 | ||||||||||
1,262,773 | Nomura Asset Acceptance Corp Alternative Loan Trust Series 2005-AP3(c) | 5.3180 | 08/25/35 | 658,472 | ||||||||||
597,973 | Nomura Asset Acceptance Corp Alternative Loan Trust Series 2005-AR4(a) | US0001M + 0.580% | 3.6640 | 08/25/35 | 306,907 | |||||||||
1,036,444 | Nomura Asset Acceptance Corp Alternative Loan Trust Series 2005-AR5(c) | 2.8610 | 10/25/35 | 671,355 | ||||||||||
11,540,645 | Nomura Asset Acceptance Corp Alternative Loan Trust Series 2006-AR2(a) | US0001M + 0.400% | 3.4840 | 04/25/36 | 3,261,888 | |||||||||
2,179,951 | Nomura Asset Acceptance Corp Alternative Loan Trust Series 2007-3A1(a) | US0001M + 0.260% | 3.3440 | 07/25/37 | 2,208,422 | |||||||||
460,104 | OBX 2021-NQM1 Trust(b),(c) | 1.0720 | 02/25/66 | 372,660 | ||||||||||
742,686 | OBX 2022-NQM7 Trust(b),(d) | 5.7000 | 08/25/62 | 714,935 | ||||||||||
133,942 | Prime Mortgage Trust 2004-1 | 5.2500 | 08/25/34 | 122,135 | ||||||||||
9,908 | Prime Mortgage Trust 2006-CL1(a) | US0001M + 0.500% | 3.5840 | 02/25/35 | 9,823 | |||||||||
918,199 | Prime Mortgage Trust 2007-1 | 6.0000 | 03/25/37 | 761,554 | ||||||||||
325,447 | RALI Series 2005-QO1 Trust(a) | 12MTA + 1.500% | 2.3590 | 08/25/35 | 273,028 | |||||||||
3,752,667 | RALI Series 2006-QO2 Trust(a) | US0001M + 0.540% | 3.6240 | 02/25/46 | 864,879 | |||||||||
2,563,837 | RALI Series 2006-QO3 Trust(a) | US0001M + 0.520% | 3.6040 | 04/25/46 | 814,797 | |||||||||
84,767 | RALI Series 2006-QS17 Trust | 6.0000 | 12/25/36 | 69,825 | ||||||||||
423,419 | RALI Series 2006-QS5 Trust | 6.0000 | 05/25/36 | 347,379 | ||||||||||
605,204 | RAMP Series 2004-SL1 Trust | 6.5000 | 11/25/31 | 552,426 | ||||||||||
296,420 | Residential Asset Securitization Trust 2004-A7 A2 | 5.5000 | 10/25/34 | 263,209 | ||||||||||
6,382,154 | Residential Asset Securitization Trust 2005-A11CB 2A1 | 4.8500 | 10/25/35 | 2,987,427 | ||||||||||
128,740 | Residential Asset Securitization Trust 2005-A4 A1(a) | US0001M + 0.450% | 3.5340 | 04/25/35 | 73,578 | |||||||||
485,425 | Residential Asset Securitization Trust 2006-A1 1A1 | 6.0000 | 04/25/36 | 244,615 | ||||||||||
894,783 | Residential Asset Securitization Trust 2006-A13 A1 | 6.2500 | 12/25/36 | 345,394 | ||||||||||
740,817 | Residential Asset Securitization Trust 2006-A6 1A1 | 6.5000 | 07/25/36 | 240,175 | ||||||||||
3,672,290 | Residential Asset Securitization Trust 2006-A6 1A13 | 6.0000 | 07/25/36 | 1,134,178 | ||||||||||
2,836,271 | Residential Asset Securitization Trust 2006-A6 1A14 | 6.0000 | 07/25/36 | 875,974 | ||||||||||
600,078 | Residential Asset Securitization Trust 2006-A8 | 6.7500 | 08/25/36 | 206,242 | ||||||||||
4,298,560 | Residential Asset Securitization Trust 2007-A1 A9 | 5.7500 | 03/25/37 | 1,484,291 | ||||||||||
468,125 | Residential Asset Securitization Trust 2007-A2 | 6.0000 | 04/25/37 | 291,573 | ||||||||||
3,017,705 | Residential Asset Securitization Trust 2007-A2 1A2 | 6.0000 | 04/25/37 | 1,879,600 | ||||||||||
1,272,968 | Residential Asset Securitization Trust 2007-A5 2A5 | 6.0000 | 05/25/37 | 760,745 |
CATALYST ENHANCED INCOME STRATEGY FUND |
SCHEDULE OF INVESTMENTS (Unaudited) (Continued) |
September 30, 2022 |
Principal | Coupon | |||||||||||||
Amount ($) | Spread | Rate (%) | Maturity | Fair Value | ||||||||||
ASSET BACKED SECURITIES — 87.0% (Continued) | ||||||||||||||
COLLATERALIZED MORTGAGE OBLIGATIONS — 32.8% (Continued) | ||||||||||||||
361,368 | Residential Asset Securitization Trust 2007-A7 A6 | 6.0000 | 07/25/37 | $ | 149,455 | |||||||||
215,076 | Residential Asset Securitization Trust 2007-A8 1A2 | 6.0000 | 08/25/37 | 134,134 | ||||||||||
2,377,945 | Residential Asset Securitization Trust 2007-A8 3A1(c) | 6.2280 | 08/25/37 | 1,460,643 | ||||||||||
441,368 | Residential Asset Securitization Trust 2007-A9 | 6.2500 | 09/25/37 | 197,089 | ||||||||||
1,344,269 | Residential Asset Securitization Trust 2007-A9 A3 | 6.2500 | 09/25/37 | 600,271 | ||||||||||
21,161 | RFMSI Series 2005-SA3 3A Trust(c) | 3.7490 | 08/25/35 | 19,247 | ||||||||||
51,408 | RFMSI Series 2006-S3 A2 Trust | 5.5000 | 03/25/36 | 41,539 | ||||||||||
1,640,468 | RFMSI Series 2006-SA4 Trust(c) | 4.8260 | 11/25/36 | 1,384,076 | ||||||||||
1,382,884 | RFMSI Series 2007-S1 A4 Trust | 6.0000 | 01/25/37 | 1,129,293 | ||||||||||
696,651 | RFMSI Series 2007-S1 A5 Trust | 6.0000 | 01/25/37 | 568,902 | ||||||||||
200,912 | RFMSI Series 2007-S6 1A16 Trust | 6.0000 | 06/25/37 | 165,452 | ||||||||||
420,528 | STARM Mortgage Loan Trust 2007-2(c) | 2.2790 | 04/25/37 | 263,434 | ||||||||||
183,624 | Structured Adjustable Rate Mortgage Loan Trust 2004-17 A1(c) | 1.5820 | 11/25/34 | 163,129 | ||||||||||
217,829 | Structured Adjustable Rate Mortgage Loan Trust 2004-19 1A2(c) | 2.3890 | 01/25/35 | 208,443 | ||||||||||
207,745 | Structured Adjustable Rate Mortgage Loan Trust 2005-7 3A1(c) | 3.2860 | 04/25/35 | 201,031 | ||||||||||
326,458 | Structured Asset Mortgage Investments II Trust(a) | US0001M + 0.190% | 3.2740 | 09/25/47 | 299,266 | |||||||||
1,755,698 | Structured Asset Securities Corporation 1998-RF1 A(b),(c) | 4.0780 | 04/15/27 | 1,754,226 | ||||||||||
1,207,708 | SunTrust Alternative Loan Trust 2006-1F | 6.5000 | 04/25/36 | 547,575 | ||||||||||
20,785,000 | TBW Mortgage-Backed Trust 2006-5 A4(d) | 6.7000 | 11/25/36 | 3,288,293 | ||||||||||
616,973 | TBW Mortgage-Backed Trust 2006-6 A2A(a) | US0001M + 0.360% | 3.4440 | 01/25/37 | 178,236 | |||||||||
893,406 | TBW Mortgage-Backed Trust 2006-6 A3(d) | 6.2500 | 01/25/37 | 297,439 | ||||||||||
1,963,000 | TBW Mortgage-Backed Trust 2007-2 A2B(c) | 5.9100 | 07/25/37 | 138,297 | ||||||||||
1,525,000 | TBW Mortgage-Backed Trust 2007-2 A3B(c) | 6.0430 | 07/25/37 | 105,159 | ||||||||||
3,295,120 | TBW Mortgage-Backed Trust 2007-2 A6B(d) | 6.6530 | 07/25/37 | 228,950 | ||||||||||
164,504 | TBW Mortgage-Backed Trust Series 2006-2 3A1 | 5.5000 | 07/25/36 | 15,794 | ||||||||||
4,633,297 | TBW Mortgage-Backed Trust Series 2006-3 3A | 6.5000 | 07/25/36 | 1,278,670 | ||||||||||
5,758,004 | Thornburg Mortgage Securities Trust 2006-3(c) | 2.6420 | 06/25/46 | 4,042,028 | ||||||||||
12,199 | Thornburg Mortgage Securities Trust 2006-4(c) | 3.1620 | 07/25/36 | 10,278 | ||||||||||
2,095,467 | Thornburg Mortgage Securities Trust 2007-2(a) | US0012M + 1.250% | 6.0500 | 06/25/37 | 1,931,735 | |||||||||
336,472 | Thornburg Mortgage Securities Trust 2007-3(a) | US0012M + 1.250% | 6.0500 | 06/25/47 | 272,935 | |||||||||
975,173 | Verus Securitization Trust 2022-7(b),(c) | 5.3500 | 07/25/67 | 937,216 | ||||||||||
99,702 | WaMu Mortgage Pass-Through Certificates Series 2003-AR9 Trust(c) | 4.0240 | 09/25/33 | 88,914 | ||||||||||
27,336 | WaMu Mortgage Pass-Through Certificates Series 2004-CB2 Trust | 5.0000 | 07/25/34 | 26,618 | ||||||||||
220,789 | WaMu Mortgage Pass-Through Certificates Series 2005-AR16 Trust(c) | 2.7310 | 12/25/35 | 206,187 | ||||||||||
89,981 | WaMu Mortgage Pass-Through Certificates Series 2005-AR18 Trust(c) | 3.1830 | 01/25/36 | 81,703 | ||||||||||
771,925 | WaMu Mortgage Pass-Through Certificates Series 2007-HY3 Trust(c) | 2.9200 | 03/25/37 | 626,979 |
CATALYST ENHANCED INCOME STRATEGY FUND |
SCHEDULE OF INVESTMENTS (Unaudited) (Continued) |
September 30, 2022 |
Principal | Coupon | |||||||||||||
Amount ($) | Spread | Rate (%) | Maturity | Fair Value | ||||||||||
ASSET BACKED SECURITIES — 87.0% (Continued) | ||||||||||||||
COLLATERALIZED MORTGAGE OBLIGATIONS — 32.8% (Continued) | ||||||||||||||
693,385 | Washington Mutual Mortgage Pass-Through Certificates(a) | US0001M + 0.700% | 3.7840 | 03/25/36 | $ | 640,094 | ||||||||
1,193,811 | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2006-7 Trust(d) | 4.0510 | 09/25/36 | 358,888 | ||||||||||
354,349 | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2005-10 Trust | 6.0000 | 11/25/35 | 327,456 | ||||||||||
229,041 | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2005-4 Trust | 5.5000 | 06/25/35 | 206,572 | ||||||||||
1,275,546 | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2006-8 Trust(d) | 4.1740 | 10/25/36 | 486,809 | ||||||||||
239,990 | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2007-4 Trust | 5.5000 | 06/25/37 | 217,068 | ||||||||||
42,645 | Wells Fargo Alternative Loan 2007-PA2 Trust(a) | US0001M + 0.430% | 3.5140 | 06/25/37 | 34,506 | |||||||||
3,806,855 | Wells Fargo Alternative Loan 2007-PA3 Trust | 6.5000 | 07/25/37 | 3,279,526 | ||||||||||
264,198 | Wells Fargo Mortgage Backed Securities 2006-7 Trust | 6.0000 | 06/25/36 | 220,752 | ||||||||||
1,568,816 | Wells Fargo Mortgage Backed Securities 2006-AR5 Trust(c) | 2.7350 | 04/25/36 | 1,496,259 | ||||||||||
177,300,195 | ||||||||||||||
HOME EQUITY — 13.9% | ||||||||||||||
111,914 | ABFC 2003-AHL1 Trust A1(d) | 4.1840 | 03/25/33 | 107,065 | ||||||||||
5,392 | ABFC 2003-AHL1 Trust M1(a) | US0001M + 1.275% | 4.3590 | 03/25/33 | 5,133 | |||||||||
1,955,532 | ABFC 2004-OPT4 Trust(a) | US0001M + 1.770% | 4.8540 | 12/25/33 | 1,808,272 | |||||||||
1,901,212 | ABFC 2006-HE1 Trust(a) | US0001M + 0.220% | 3.3040 | 01/25/37 | 1,157,055 | |||||||||
7,772,092 | ACE Securities Corp Home Equity Loan Trust Series 2007-HE5(a) | US0001M + 0.360% | 3.4440 | 07/25/37 | 3,354,899 | |||||||||
78,848 | AFC Home Equity Loan Trust 1998-1(a) | US0001M + 0.660% | 3.7440 | 04/25/28 | 78,073 | |||||||||
326,580 | AFC Home Equity Loan Trust 1998-2(a) | US0001M + 0.550% | 3.6340 | 06/25/28 | 315,150 | |||||||||
2,060,544 | AFC Home Equity Loan Trust 1999-2(a) | US0001M + 0.650% | 3.7340 | 06/25/29 | 1,540,641 | |||||||||
73,969 | Ameriquest Mortgage Securities Asset-Backed Pass-Through 2002- AR1(a) | US0001M + 1.950% | 3.6810 | 09/25/32 | 72,718 | |||||||||
167,056 | Amresco Residential Securities Corp Mortgage Loan Trust 1997-3(c) | 5.2210 | 09/25/27 | 147,678 | ||||||||||
602,433 | Bayview Financial Acquisition Trust(a) | US0001M + 0.525% | 3.6380 | 05/28/37 | 526,287 | |||||||||
1,167,021 | Bayview Financial Mortgage Pass-Through Trust 2004-B A1(a),(b) | US0001M + 1.000% | 4.1130 | 05/28/39 | 1,011,771 | |||||||||
1,500,000 | Bayview Financial Mortgage Pass-Through Trust 2005-C M4(a) | US0001M + 1.200% | 3.9130 | 06/28/44 | 1,468,784 | |||||||||
3,019,369 | Bayview Financial Mortgage Pass-Through Trust 2007-B A3(a) | US0001M + 1.275% | 4.3880 | 08/28/47 | 1,068,285 | |||||||||
988,726 | Bayview Financial Mortgage Pass-Through Trust 2007-B A4(a) | US0001M + 1.050% | 4.1630 | 08/28/47 | 349,834 | |||||||||
334,034 | Bear Stearns Asset Backed Securities I Trust 2004-FR2(a) | US0001M + 2.625% | 4.7360 | 06/25/34 | 300,644 | |||||||||
219,677 | Bear Stearns Asset Backed Securities I Trust 2004-FR3 M2(a) | US0001M + 1.755% | 4.8390 | 09/25/34 | 214,164 | |||||||||
412,395 | Bear Stearns Asset Backed Securities I Trust 2004-FR3 M5(a) | US0001M + 2.850% | 5.9340 | 09/25/34 | 361,070 | |||||||||
984,306 | Bear Stearns Asset Backed Securities I Trust 2004-HE6(a) | US0001M + 1.875% | 4.9590 | 08/25/34 | 975,196 | |||||||||
166,185 | Bear Stearns Asset Backed Securities I Trust 2004-HE7 M1(a) | US0001M + 0.900% | 3.9840 | 08/25/34 | 158,140 | |||||||||
111,644 | Bear Stearns Asset Backed Securities I Trust 2004-HE7 M5(a) | US0001M + 2.925% | 6.0090 | 08/25/34 | 103,727 | |||||||||
457,270 | Bear Stearns Asset Backed Securities Trust 2004-HE3(a) | US0001M + 2.775% | 4.8650 | 04/25/34 | 423,164 |
CATALYST ENHANCED INCOME STRATEGY FUND |
SCHEDULE OF INVESTMENTS (Unaudited) (Continued) |
September 30, 2022 |
Principal | Coupon | |||||||||||||
Amount ($) | Spread | Rate (%) | Maturity | Fair Value | ||||||||||
ASSET BACKED SECURITIES — 87.0% (Continued) | ||||||||||||||
HOME EQUITY — 13.9% (Continued) | ||||||||||||||
11,570 | Centex Home Equity Loan Trust 2002-A | 5.5400 | 01/25/32 | $ | 11,315 | |||||||||
317,642 | Centex Home Equity Loan Trust 2004-C(a) | US0001M + 1.005% | 4.0890 | 06/25/34 | 295,810 | |||||||||
180,852 | CHEC Loan Trust 2004-2(a) | US0001M + 0.960% | 4.0440 | 06/25/34 | 175,902 | |||||||||
4,725,000 | Credit Suisse Seasoned Loan Trust 2006-1(a),(b) | US0001M + 0.825% | 3.9090 | 10/25/34 | 4,478,111 | |||||||||
606,627 | CWHEQ Revolving Home Equity Loan Trust Series(a) | US0001M + 0.140% | 2.9580 | 01/15/37 | 556,582 | |||||||||
436,565 | Delta Funding Home Equity Loan Trust 1998-1(a) | US0001M + 1.890% | 4.9740 | 05/25/30 | 419,351 | |||||||||
718,820 | Delta Funding Home Equity Loan Trust 1999-3(a) | US0001M + 0.820% | 3.6380 | 09/15/29 | 663,501 | |||||||||
765,466 | EMC Mortgage Loan Trust 2001-A(a),(b) | US0001M + 0.740% | 3.8240 | 05/25/40 | 709,392 | |||||||||
4,245,000 | EMC Mortgage Loan Trust 2004-B(a),(b) | US0001M + 3.375% | 6.4590 | 01/25/41 | 3,813,844 | |||||||||
120,820 | GE Mortgage Services, LLC(c) | 6.6450 | 09/25/28 | 114,852 | ||||||||||
494,909 | GSAA Home Equity Trust 2005-12 AF3(c) | 5.0690 | 09/25/35 | 339,747 | ||||||||||
147,967 | GSAA Home Equity Trust 2005-3 B2(a) | US0001M + 1.950% | 5.0340 | 12/25/34 | 141,639 | |||||||||
1,630,118 | GSAA Home Equity Trust 2006-15 AF6(d) | 6.3760 | 09/25/36 | 480,500 | ||||||||||
2,076,558 | GSAA Home Equity Trust 2006-18 AF3B(c) | 5.8220 | 11/25/36 | 130,778 | ||||||||||
1,427,020 | GSAA Home Equity Trust 2006-18 AF4B(d) | 6.5220 | 11/25/36 | 89,038 | ||||||||||
1,655,000 | GSAA Home Equity Trust 2006-18 AF5B(d) | 6.5900 | 11/25/36 | 103,169 | ||||||||||
11,286,673 | GSAA Home Equity Trust 2006-3 A4(a) | US0001M + 0.700% | 3.7840 | 03/25/36 | 965,512 | |||||||||
204,230 | GSAA Home Equity Trust 2006-6 AF4(d) | 6.6210 | 03/25/36 | 63,391 | ||||||||||
3,155,264 | GSR Mortgage Loan Trust 2005-AR3 6A1(c) | 3.0350 | 05/25/35 | 2,730,612 | ||||||||||
257,420 | Home Equity Asset Trust(a) | US0001M + 1.500% | 4.5840 | 06/25/33 | 253,417 | |||||||||
44,563 | Home Equity Asset Trust(a) | US0001M + 2.370% | 5.4540 | 08/25/33 | 43,032 | |||||||||
2,769,518 | Home Equity Asset Trust(a) | US0001M + 1.950% | 5.0340 | 11/25/34 | 2,740,406 | |||||||||
735,695 | Home Equity Asset Trust(a) | US0001M + 1.600% | 4.6840 | 03/25/35 | 674,855 | |||||||||
3,972,085 | Home Equity Loan Trust 2006-HSA2(c) | 4.7740 | 03/25/36 | 1,217,444 | ||||||||||
120,060 | Home Equity Mortgage Loan Asset-Backed Trust Series SPMD 2003-A(a) | US0001M + 0.860% | 3.9440 | 10/25/33 | 118,391 | |||||||||
184,628 | Home Equity Mortgage Loan Asset-Backed Trust Series SPMD 2004-C(a) | US0001M + 2.625% | 3.9430 | 03/25/35 | 151,867 | |||||||||
313,129 | Home Equity Mortgage Loan Asset-Backed Trust Series SPMD 2004-C(a) | US0001M + 0.975% | 4.0590 | 03/25/35 | 266,126 | |||||||||
35,084 | Irwin Home Equity Loan Trust 2004-1(a) | US0001M + 3.075% | 6.1590 | 12/25/34 | 34,506 | |||||||||
968,136 | Mastr Asset Backed Securities Trust 2003-OPT2(a) | US0001M + 5.775% | 8.8590 | 05/25/33 | 790,340 | |||||||||
534,733 | Mastr Asset Backed Securities Trust 2004-HE1(a) | US0001M + 2.475% | 5.5590 | 09/25/34 | 493,193 | |||||||||
134,581 | Mastr Asset Backed Securities Trust 2005-WMC1(a) | US0001M + 0.945% | 4.0290 | 03/25/35 | 136,010 | |||||||||
5,471,223 | Mastr Asset Backed Securities Trust 2006-WMC2(a) | US0001M + 0.500% | 3.5840 | 04/25/36 | 1,486,782 | |||||||||
411,932 | Meritage Mortgage Loan Trust 2004-1(a) | US0001M + 0.750% | 3.8340 | 07/25/34 | 396,898 | |||||||||
664,986 | Merrill Lynch Mortgage Investors Trust Series 2004-HE1(a) | US0001M + 2.250% | 5.3340 | 04/25/35 | 610,647 | |||||||||
516,885 | Merrill Lynch Mortgage Investors Trust Series 2006-AR1(a) | US0001M + 0.330% | 3.4140 | 03/25/37 | 198,258 | |||||||||
64,641 | Morgan Stanley A.B.S Capital I Inc Trust 2004-HE1(a) | US0001M + 2.625% | 5.7090 | 01/25/34 | 62,354 |
CATALYST ENHANCED INCOME STRATEGY FUND |
SCHEDULE OF INVESTMENTS (Unaudited) (Continued) |
September 30, 2022 |
Principal | Coupon | |||||||||||||
Amount ($) | Spread | Rate (%) | Maturity | Fair Value | ||||||||||
ASSET BACKED SECURITIES — 87.0% (Continued) | ||||||||||||||
HOME EQUITY — 13.9% (Continued) | ||||||||||||||
435,326 | Morgan Stanley A.B.S Capital I Inc Trust 2004-SD2(a) | US0001M + 0.930% | 4.0140 | 04/25/34 | $ | 427,563 | ||||||||
175,628 | Morgan Stanley A.B.S Capital I Inc Trust 2007-HE5(a) | US0001M + 0.250% | 0.6720 | 03/25/37 | 80,352 | |||||||||
2,136,266 | Morgan Stanley Mortgage Loan Trust 2006-17XS A2B(d) | 6.1240 | 10/25/46 | 114,343 | ||||||||||
5,243,857 | Morgan Stanley Mortgage Loan Trust 2006-17XS A3B(d) | 6.2410 | 10/25/46 | 280,697 | ||||||||||
7,146,801 | Morgan Stanley Mortgage Loan Trust 2007-7AX 2A4(a) | US0001M + 0.640% | 3.7240 | 04/25/37 | 305,889 | |||||||||
4,580,762 | Morgan Stanley Mortgage Loan Trust 2007-7AX 2A6(a) | US0001M + 0.640% | 3.7240 | 04/25/37 | 196,060 | |||||||||
575,175 | New Century Home Equity Loan Trust(a),(b) | US0001M + 1.125% | 3.3720 | 10/25/33 | 559,094 | |||||||||
849,135 | Nomura Home Equity Loan Inc Home Equity Loan Trust Series 2006- AF1(a) | US0001M + 0.330% | 3.4140 | 10/25/36 | 197,344 | |||||||||
351,509 | NovaStar Mortgage Funding Trust Series 2003-1 M1(a) | US0001M + 1.425% | 4.5090 | 05/25/33 | 336,008 | |||||||||
845,629 | NovaStar Mortgage Funding Trust Series 2004-1 M3(a) | US0001M + 0.825% | 3.9090 | 06/25/34 | 828,229 | |||||||||
167,479 | NovaStar Mortgage Funding Trust Series 2004-1 M4(a) | US0001M + 1.463% | 4.5470 | 06/25/34 | 157,432 | |||||||||
911,080 | NovaStar Mortgage Funding Trust Series 2006-4 A2C(a) | US0001M + 0.300% | 3.3840 | 09/25/36 | 411,919 | |||||||||
2,151,906 | NovaStar Mortgage Funding Trust Series 2006-6 A2B(a) | US0001M + 0.100% | 3.1840 | 01/25/37 | 785,795 | |||||||||
780,379 | Option One Mortgage Loan Trust 2007-FXD2(d) | 5.6800 | 03/25/37 | 737,213 | ||||||||||
2,967,624 | RAMP Series 2004-KR1 Trust(a),(b) | US0001M + 0.580% | 3.6640 | 04/25/34 | 2,880,832 | |||||||||
747,374 | RASC Series 2003-KS11 MII2 Trust(a) | US0001M + 1.200% | 4.8840 | 01/25/34 | 721,904 | |||||||||
497,522 | RASC Series 2004-KS10 M3 Trust(a) | US0001M + 1.950% | 5.0340 | 11/25/34 | 477,461 | |||||||||
254,492 | RASC Series 2004-KS10 M4 Trust(a) | US0001M + 2.475% | 5.5590 | 11/25/34 | 245,534 | |||||||||
19,817 | Renaissance Home Equity Loan Trust 2002-4 M2(d) | 6.5430 | 03/25/33 | 14,374 | ||||||||||
345,101 | Renaissance Home Equity Loan Trust 2003-2 M1(a) | US0001M + 1.238% | 4.3220 | 08/25/33 | 328,052 | |||||||||
67,320 | Renaissance Home Equity Loan Trust 2005-2 AF4(d) | 4.9340 | 08/25/35 | 65,269 | ||||||||||
2,062,139 | Renaissance Home Equity Loan Trust 2006-2 AF5(d) | 6.2540 | 08/25/36 | 919,159 | ||||||||||
10,873,252 | Renaissance Home Equity Loan Trust 2007-1 AF3(d) | 5.6120 | 04/25/37 | 3,413,682 | ||||||||||
2,781,357 | Renaissance Home Equity Loan Trust 2007-1 AF4(d) | 5.7610 | 04/25/37 | 856,193 | ||||||||||
431,110 | Renaissance Home Equity Loan Trust 2007-1 AF5(d) | 5.9090 | 04/25/37 | 142,316 | ||||||||||
330,202 | Renaissance Home Equity Loan Trust 2007-2 AF2(d) | 5.6750 | 06/25/37 | 103,636 | ||||||||||
180,913 | Renaissance Home Equity Loan Trust 2007-3 AF3(d) | 7.2380 | 09/25/37 | 87,067 | ||||||||||
693,739 | Saxon Asset Sec Trust 2000 1 Mtg Ln Asset Bk Cert Ser 2000 1(c) | 9.7600 | 02/25/30 | 748,911 | ||||||||||
166,291 | Security National Mortgage Loan Trust 2006-1(b),(c) | 6.4500 | 09/25/36 | 164,434 | ||||||||||
3,392,722 | Structured Asset Securities Corp Mortgage Loan(a) | US0001M + 1.050% | 4.1340 | 05/25/35 | 3,029,736 | |||||||||
1,752,237 | Structured Asset Securities Corp Trust 2005-SC1(b),(c) | 6.6000 | 05/25/31 | 1,443,258 | ||||||||||
33,562 | Terwin Mortgage Trust 2004-7HE(a),(b) | US0001M + 1.275% | 4.3590 | 07/25/34 | 31,126 | |||||||||
1,043,933 | Terwin Mortgage Trust 2005-11(b),(c) | 4.5000 | 11/25/36 | 1,005,055 | ||||||||||
23,587,000 | Terwin Mortgage Trust 2006-3(a),(b) | US0001M + 0.620% | 3.7040 | 04/25/37 | 7,342,982 | |||||||||
407,263 | Terwin Mortgage Trust Series TMTS 2003-4HE(a) | US0001M + 1.125% | 4.2090 | 09/25/34 | 396,644 | |||||||||
3,002,389 | Terwin Mortgage Trust Series TMTS 2005-6HE(a) | US0001M + 1.200% | 4.2840 | 04/25/36 | 2,728,175 |
CATALYST ENHANCED INCOME STRATEGY FUND |
SCHEDULE OF INVESTMENTS (Unaudited) (Continued) |
September 30, 2022 |
Principal | Coupon | |||||||||||||
Amount ($) | Spread | Rate (%) | Maturity | Fair Value | ||||||||||
ASSET BACKED SECURITIES — 87.0% (Continued) | ||||||||||||||
HOME EQUITY — 13.9% (Continued) | ||||||||||||||
$ | 74,069,060 | |||||||||||||
MANUFACTURED HOUSING — 0.3% | ||||||||||||||
1,420,764 | BCMSC Trust 1999-B(c) | 7.3000 | 12/15/29 | 228,220 | ||||||||||
1,611,849 | BCMSC Trust 2000-A(c) | 8.2900 | 06/15/30 | 268,480 | ||||||||||
500,000 | Cascade MH Asset Trust 2019-MH1 M(b),(c) | 5.9850 | 11/01/44 | 462,580 | ||||||||||
834,992 | UCFC Manufactured Housing Contract(c) | 6.9800 | 07/15/29 | 778,993 | ||||||||||
1,738,273 | ||||||||||||||
NON AGENCY CMBS — 27.2% | ||||||||||||||
2,841,000 | Bayview Commercial Asset Trust 2006-SP1(a),(b) | US0001M + 1.650% | 4.7340 | 04/25/36 | 2,733,361 | |||||||||
1,561,004 | Bayview Commercial Asset Trust 2007-2(a),(b) | US0001M + 0.370% | 3.4540 | 07/25/37 | 1,334,940 | |||||||||
11,519,337 | Bayview Commercial Asset Trust 2007-6(a),(b) | US0001M + 1.500% | 4.5840 | 12/25/37 | 10,586,434 | |||||||||
6,550,000 | CG-CCRE Commercial Mortgage Trust 2014-FL1(a),(b) | US0001M + 2.750% | 5.5680 | 06/15/31 | 4,781,500 | |||||||||
3,000,000 | Citigroup Commercial Mortgage Trust 2014-GC21 D(b),(c) | 5.1100 | 05/10/47 | 2,694,962 | ||||||||||
6,357,126 | Citigroup Commercial Mortgage Trust 2014-GC21 E(b),(c) | 3.5880 | 05/10/47 | 4,884,563 | ||||||||||
5,000,000 | Citigroup Commercial Mortgage Trust 2015-GC35 C(c) | 4.6100 | 11/10/48 | 4,409,527 | ||||||||||
4,565,000 | Citigroup Commercial Mortgage Trust 2015-GC35 D | 3.2360 | 11/10/48 | 3,063,570 | ||||||||||
4,108,000 | COMM 2013-CCRE12 Mortgage Trust(c) | 5.2160 | 10/10/46 | 2,847,560 | ||||||||||
1,500,000 | COMM 2013-CCRE9 Mortgage Trust(b),(c) | 4.4330 | 07/10/45 | 1,438,170 | ||||||||||
1,550,000 | COMM 2015-DC1 Mortgage Trust(c) | 4.4410 | 02/10/48 | 1,427,284 | ||||||||||
5,400,000 | Commercial Mortgage Pass Through Certificates 2012-LTRT A2(b) | 3.4000 | 10/05/30 | 5,097,586 | ||||||||||
2,964,000 | Commercial Mortgage Pass Through Certificates 2012-LTRT B(b) | 3.8000 | 10/05/30 | 2,718,540 | ||||||||||
11,536 | Credit Suisse First Boston Mortgage Securities 1998-C1 H(b) | 6.0000 | 05/17/40 | 11,672 | ||||||||||
2,750,000 | CSAIL 2015-C1 D Commercial Mortgage Trust(b),(c) | 3.9010 | 04/15/50 | 1,859,122 | ||||||||||
6,000,000 | CSAIL 2015-C2 C Commercial Mortgage Trust(c) | 4.3170 | 06/15/57 | 5,283,810 | ||||||||||
4,177,000 | CSAIL 2015-C2 D Commercial Mortgage Trust(c) | 4.3170 | 06/15/57 | 3,012,864 | ||||||||||
6,391,446 | GS Mortgage Securities Corporation II(a),(b) | US0001M + 1.800% | 4.6180 | 09/15/31 | 5,433,911 | |||||||||
3,322,000 | GS Mortgage Securities Trust 2011-GC5 C(b),(c) | 5.3020 | 08/10/44 | 2,778,360 | ||||||||||
360,000 | GS Mortgage Securities Trust 2013-GC13(b),(c) | 4.2090 | 07/10/46 | 331,382 | ||||||||||
3,327,300 | GS Mortgage Securities Trust 2014-GC22 D(b),(c) | 4.8430 | 06/10/47 | 2,973,071 | ||||||||||
5,726,000 | GS Mortgage Securities Trust 2014-GC22 E(b) | 3.5820 | 06/10/47 | 4,075,904 | ||||||||||
3,000,000 | GS Mortgage Securities Trust 2014-GC24(c) | 4.6440 | 09/10/47 | 2,816,299 | ||||||||||
1,350,000 | HMH Trust 2017-NSS(b) | 6.2920 | 07/05/31 | 1,250,375 | ||||||||||
2,820,245 | JP Morgan Chase Commercial Mortgage Securities(b) | 3.9100 | 05/05/30 | 2,284,399 | ||||||||||
7,005,000 | JP Morgan Chase Commercial Mortgage Securities(b),(c) | 5.3600 | 02/15/46 | 6,553,146 | ||||||||||
140,000 | JP Morgan Chase Commercial Mortgage Securities 2012-LC9 C(b),(c) | 4.4720 | 12/15/47 | 138,575 |
CATALYST ENHANCED INCOME STRATEGY FUND |
SCHEDULE OF INVESTMENTS (Unaudited) (Continued) |
September 30, 2022 |
Principal | Coupon | |||||||||||||
Amount ($) | Spread | Rate (%) | Maturity | Fair Value | ||||||||||
ASSET BACKED SECURITIES — 87.0% (Continued) | ||||||||||||||
NON AGENCY CMBS — 27.2% (Continued) | ||||||||||||||
2,512,644 | JP Morgan Chase Commercial Mortgage Securities(c) | 7.0510 | 02/15/51 | $ | 2,354,768 | |||||||||
3,880,000 | JPMBB Commercial Mortgage Securities Trust 2013-C14(c) | 4.6990 | 08/15/46 | 3,657,281 | ||||||||||
1,250,000 | JPMBB Commercial Mortgage Securities Trust 2015-C32(c) | 4.3050 | 11/15/48 | 588,174 | ||||||||||
1,305,000 | Morgan Stanley Bank of America Merrill Lynch Trust 2012-C6(b),(c) | 4.6940 | 11/15/45 | 1,156,230 | ||||||||||
4,056,000 | Morgan Stanley Bank of America Merrill Lynch Trust 2013-C12(b),(c) | 4.9140 | 10/15/46 | 3,728,315 | ||||||||||
4,150,000 | Morgan Stanley Bank of America Merrill Lynch Trust 2013-C7(c) | 4.2220 | 02/15/46 | 4,011,981 | ||||||||||
3,500,000 | Morgan Stanley Bank of America Merrill Lynch Trust 2016-C31(b),(c) | 3.0000 | 11/15/49 | 2,376,427 | ||||||||||
2,626,409 | Morgan Stanley Capital I Trust 2006-HQ10(c) | 5.4480 | 11/12/41 | 2,450,555 | ||||||||||
2,740,000 | Morgan Stanley Capital I Trust 2006-TOP21(b),(c) | 5.2270 | 10/12/52 | 2,706,778 | ||||||||||
4,000,000 | Morgan Stanley Capital I Trust 2012-C4(b),(c) | 5.3360 | 03/15/45 | 3,106,708 | ||||||||||
3,800,000 | MSBAM Commercial Mortgage Securities Trust 2012-CKSV B(b) | 4.0880 | 10/15/30 | 3,495,593 | ||||||||||
235,000 | MSBAM Commercial Mortgage Securities Trust 2012-CKSV C(b),(c) | 4.4230 | 10/15/30 | 192,572 | ||||||||||
11,093,922 | Starwood Retail Property Trust 2014-STAR(a),(b) | US0001M + 1.470% | 4.2880 | 11/15/27 | 7,765,745 | |||||||||
7,767,000 | UBS-Barclays Commercial Mortgage Trust 2012-C2 D(b),(c) | 4.8700 | 05/10/63 | 2,365,052 | ||||||||||
2,233,138 | Wachovia Bank Commercial Mortgage Trust Series 2006-C24(c) | 5.6590 | 03/15/45 | 2,208,136 | ||||||||||
3,000,000 | Wells Fargo Commercial Mortgage Trust 2013-LC12(c) | 4.4320 | 07/15/46 | 2,621,285 | ||||||||||
3,106,000 | Wells Fargo Commercial Mortgage Trust 2015-SG1 D(c) | 4.6020 | 12/15/47 | 2,258,339 | ||||||||||
139,294 | WFRBS Commercial Mortgage Trust 2012-C7 B(c) | 4.7490 | 06/15/45 | 139,483 | ||||||||||
700,000 | WFRBS Commercial Mortgage Trust 2012-C7 D(b),(c) | 4.8140 | 06/15/45 | 269,500 | ||||||||||
6,000,000 | WFRBS Commercial Mortgage Trust 2013-C14(b),(c) | 4.0900 | 06/15/46 | 5,371,559 | ||||||||||
6,546,000 | WFRBS Commercial Mortgage Trust 2013-C15(b),(c) | 4.6710 | 08/15/46 | 4,708,800 | ||||||||||
3,000,000 | WFRBS Commercial Mortgage Trust 2014-C22(b) | 3.4550 | 09/15/57 | 1,949,319 | ||||||||||
146,303,487 | ||||||||||||||
RESIDENTIAL MORTGAGE — 12.8% | ||||||||||||||
3,409,661 | Ameriquest Mortgage Securities Asset-Backed Pass-Thorugh 2004- R12(a) | US0001M + 1.680% | 4.7640 | 01/25/35 | 2,892,482 | |||||||||
4,000,000 | Ameriquest Mortgage Securities Trust 2006-R2(a) | US0001M + 0.570% | 3.6540 | 04/25/36 | 3,421,996 | |||||||||
487,056 | Bear Stearns Asset Backed Securities Trust 2003-SD2(c) | 3.7020 | 06/25/43 | 439,271 | ||||||||||
75,623 | Bear Stearns Asset Backed Securities Trust 2004-SD4(a) | US0001M + 0.900% | 3.9840 | 08/25/44 | 72,449 | |||||||||
39,379 | Bear Stearns Asset Backed Securities Trust 2006-SD3(c) | 3.1080 | 07/25/36 | 39,031 | ||||||||||
97,271 | Carrington Mortgage Loan Trust Series 2004-NC2 M1(a) | US0001M + 1.035% | 4.1190 | 08/25/34 | 87,926 | |||||||||
10,359,045 | Carrington Mortgage Loan Trust Series 2006-FRE2 A2(a) | US0001M + 0.120% | 3.2040 | 10/25/36 | 8,658,391 | |||||||||
2,487,543 | Carrington Mortgage Loan Trust Series 2006-FRE2 A3(a) | US0001M + 0.160% | 3.2440 | 10/25/36 | 2,079,272 | |||||||||
4,581,256 | Carrington Mortgage Loan Trust Series 2006-FRE2 A5(a) | US0001M + 0.080% | 3.1640 | 03/25/35 | 3,828,902 | |||||||||
1,004,264 | Carrington Mortgage Loan Trust Series 2006-NC3(a) | US0001M + 0.150% | 3.2340 | 08/25/36 | 948,834 | |||||||||
4,059,344 | C-BASS 2007-CB1 TRUST AF1B(d) | 3.1220 | 01/25/37 | 1,419,857 |
CATALYST ENHANCED INCOME STRATEGY FUND |
SCHEDULE OF INVESTMENTS (Unaudited) (Continued) |
September 30, 2022 |
Principal | Coupon | |||||||||||||
Amount ($) | Spread | Rate (%) | Maturity | Fair Value | ||||||||||
ASSET BACKED SECURITIES — 87.0% (Continued) | ||||||||||||||
RESIDENTIAL MORTGAGE — 12.8% (Continued) | ||||||||||||||
2,716,098 | C-BASS 2007-CB1 TRUST AF2(d) | 5.7210 | 01/25/37 | $ | 950,647 | |||||||||
2,690,390 | C-BASS 2007-CB1 TRUST AF3(d) | 3.1220 | 01/25/37 | 941,614 | ||||||||||
2,927,667 | C-BASS 2007-CB1 TRUST AF6(d) | 5.8350 | 01/25/37 | 1,024,426 | ||||||||||
350,305 | Chase Funding Trust Series 2003-3(a) | US0001M + 1.845% | 4.9290 | 11/25/32 | 335,639 | |||||||||
665,014 | Citigroup Mortgage Loan Trust 2006-WF2(d) | 6.3520 | 05/25/36 | 253,563 | ||||||||||
573,059 | Countrywide Asset-Backed Certificates(a) | US0001M + 2.175% | 5.2590 | 08/25/34 | 489,738 | |||||||||
292,420 | Countrywide Asset-Backed Certificates(a) | US0001M + 0.975% | 4.0590 | 12/25/34 | 287,433 | |||||||||
245,763 | Countrywide Asset-Backed Certificates(a),(b) | US0001M + 0.660% | 3.7440 | 07/25/36 | 238,300 | |||||||||
37,734 | Credit-Based Asset Servicing and Securitization, LLC 2002-CB4 B1(a) | US0001M + 2.850% | 5.9340 | 02/25/33 | 37,101 | |||||||||
24,212 | Credit-Based Asset Servicing and Securitization, LLC 2004-CB6 M2(a) | US0001M + 1.725% | 3.9540 | 07/25/35 | 23,797 | |||||||||
1,727,392 | Credit-Based Asset Servicing and Securitization, LLC 2004-CB8 M3(a) | US0001M + 1.500% | 3.3630 | 12/25/35 | 1,553,182 | |||||||||
462,654 | CWABS Asset-Backed Certificates Trust 2005-17(d) | 6.5470 | 05/25/36 | 359,220 | ||||||||||
312,110 | CWABS Asset-Backed Certificates Trust 2006-11(d) | 6.4000 | 09/25/46 | 231,383 | ||||||||||
626,282 | Encore Credit Receivables Trust 2005-1(a) | US0001M + 1.020% | 4.1040 | 07/25/35 | 572,216 | |||||||||
208,879 | Equity One Mortgage Pass-Through Trust 2003-1(c) | 4.8600 | 08/25/33 | 203,158 | ||||||||||
655,785 | Equity One Mortgage Pass-Through Trust 2004-3(d) | 4.0200 | 07/25/34 | 536,076 | ||||||||||
246,381 | Finance America Mortgage Loan Trust 2004-3(a) | US0001M + 1.380% | 4.4640 | 11/25/34 | 212,836 | |||||||||
280,256 | First Franklin Mortgage Loan Trust 2003-FF5(a) | US0001M + 2.475% | 5.5590 | 03/25/34 | 264,548 | |||||||||
727,035 | First Franklin Mortgage Loan Trust 2004-FF4(a) | US0001M + 1.875% | 4.9590 | 06/25/34 | 703,553 | |||||||||
292,770 | First Franklin Mortgage Loan Trust 2004-FF7(a) | US0001M + 1.800% | 4.8840 | 09/25/34 | 284,780 | |||||||||
167,962 | Fremont Home Loan Trust 2004-2(a) | US0001M + 2.025% | 5.1090 | 07/25/34 | 146,845 | |||||||||
2,873,835 | Fremont Home Loan Trust 2006-3(a) | US0001M + 0.340% | 3.4240 | 02/25/37 | 1,085,683 | |||||||||
2,399,698 | Fremont Home Loan Trust 2006-B(a) | US0001M + 0.480% | 3.3240 | 08/25/36 | 867,499 | |||||||||
8,508,189 | GE-WMC Mortgage Securities Trust 2006-1 A2B(a) | US0001M + 0.300% | 3.3840 | 08/25/36 | 4,016,703 | |||||||||
3,318,797 | GE-WMC Mortgage Securities Trust 2006-1 A2C(a) | US0001M + 0.480% | 3.5640 | 08/25/36 | 1,566,732 | |||||||||
283,870 | GSAMP Trust 2007-FM2 A2A(a) | US0001M + 0.060% | 3.1440 | 01/25/37 | 177,242 | |||||||||
120,105 | GSAMP Trust 2007-FM2 A2B(a) | US0001M + 0.090% | 3.1740 | 01/25/37 | 74,991 | |||||||||
2,639,214 | GSRPM Mortgage Loan Trust 2007-1(a),(b) | US0001M + 0.400% | 3.4840 | 10/25/46 | 2,283,833 | |||||||||
94,639 | Home Equity Mortgage Loan Asset-Backed Trust Series INABS 2006-D(a) | US0001M + 0.160% | 3.2440 | 11/25/36 | 81,750 | |||||||||
412,234 | IXIS Real Estate Capital Trust 2006-HE2(a) | US0001M + 0.320% | 3.4040 | 08/25/36 | 121,398 | |||||||||
128,936 | JP Morgan Mortgage Acquisition Trust 2007-CH2(d) | 4.4260 | 10/25/30 | 72,540 | ||||||||||
471,291 | Lehman XS Trust 2007-3 1BA1(a) | US0001M + 0.320% | 3.4040 | 03/25/37 | 454,055 | |||||||||
443,180 | Lehman XS Trust 2007-3 1BA2(a) | US0006M + 0.500% | 3.8410 | 03/25/37 | 434,205 | |||||||||
918,049 | Long Beach Mortgage Loan Trust 2002-1(a) | US0001M + 3.750% | 6.8340 | 05/25/32 | 897,636 | |||||||||
27,694 | Long Beach Mortgage Loan Trust 2004-3(a) | US0001M + 0.855% | 3.9390 | 07/25/34 | 26,204 | |||||||||
44,650,621 | Merrill Lynch Mortgage Investors Trust Series 2006-RM2 A1B(a) | US0001M + 0.470% | 3.5540 | 05/25/37 | 1,890,485 |
CATALYST ENHANCED INCOME STRATEGY FUND |
SCHEDULE OF INVESTMENTS (Unaudited) (Continued) |
September 30, 2022 |
Principal | Coupon | |||||||||||||
Amount ($) | Spread | Rate (%) | Maturity | Fair Value | ||||||||||
ASSET BACKED SECURITIES — 87.0% (Continued) | ||||||||||||||
RESIDENTIAL MORTGAGE — 12.8% (Continued) | ||||||||||||||
214,269 | Morgan Stanley A.B.S Capital I Inc Trust 2004-NC5(a) | US0001M + 0.900% | 3.9840 | 05/25/34 | $ | 198,981 | ||||||||
263,133 | Morgan Stanley A.B.S Capital I Inc Trust 2004-NC8(a) | US0001M + 1.500% | 4.5840 | 09/25/34 | 260,185 | |||||||||
8,875,000 | Morgan Stanley A.B.S Capital I Inc Trust 2007-SEA1(a),(b) | US0001M + 1.900% | 4.9840 | 02/25/47 | 848,021 | |||||||||
3,173,453 | Park Place Securities Inc Asset-Backed Pass-Through Certificates(a) | US0001M + 2.175% | 5.2590 | 10/25/34 | 2,681,305 | |||||||||
2,036,609 | RAMP Series 2007-RS1 Trust(a) | US0001M + 0.340% | 3.4240 | 02/25/37 | 615,176 | |||||||||
10,389,363 | Securitized Asset Backed Receivables, LLC Trust 2006-FR4(a) | US0001M + 0.340% | 3.4240 | 08/25/36 | 3,494,184 | |||||||||
5,921,825 | Securitized Asset Backed Receivables, LLC Trust 2007-BR5(a) | US0001M + 0.130% | 3.2140 | 05/25/37 | 4,664,909 | |||||||||
13,059,034 | Securitized Asset Backed Receivables, LLC Trust 2007-HE1(a) | US0001M + 0.220% | 3.3040 | 12/25/36 | 3,532,162 | |||||||||
1,229,619 | Specialty Underwriting & Residential Finance Trust Series 2006-BC5 A2C(a) | US0001M + 0.100% | 3.2840 | 11/25/37 | 769,173 | |||||||||
3,663,963 | Specialty Underwriting & Residential Finance Trust Series 2006-BC5 A2E(a) | US0001M + 0.210% | 3.5040 | 11/25/37 | 2,308,474 | |||||||||
582,166 | Specialty Underwriting & Residential Finance Trust Series 2007-AB1 A2D(a) | US0001M + 0.350% | 3.4340 | 03/25/37 | 367,793 | |||||||||
645,730 | Structured Asset Investment Loan Trust 2004-11(a) | US0001M + 0.975% | 4.0590 | 01/25/35 | 589,821 | |||||||||
202,841 | Structured Asset Investment Loan Trust 2004-5(a) | US0001M + 1.725% | 4.8090 | 05/25/34 | 186,218 | |||||||||
278,525 | Structured Asset Securities Corp 2005-WF1(a) | US0001M + 2.055% | 5.1390 | 02/25/35 | 255,299 | |||||||||
472,911 | WaMu Asset-Backed Certificates WaMu Series 2007-HE1 Trust(a) | US0001M + 0.150% | 3.2340 | 01/25/37 | 410,771 | |||||||||
68,771,894 | ||||||||||||||
TOTAL ASSET BACKED SECURITIES (Cost $525,990,068) | 468,182,909 | |||||||||||||
U.S. GOVERNMENT & AGENCY OBLIGATIONS — 8.9% | ||||||||||||||
1,080,443 | Fannie Mae REMICS 2011-124 NS(a),(e) | US0001M + 6.500% | 3.4160 | 12/25/41 | 107,305 | |||||||||
412,045 | Fannie Mae REMICS 2012-126 DI(e) | 3.0000 | 11/25/27 | 22,862 | ||||||||||
378,084 | Fannie Mae REMICS 2012-88 SB(a),(e) | US0001M + 6.670% | 3.5860 | 07/25/42 | 33,959 | |||||||||
1,040,457 | Fannie Mae REMICS 2012-94 YS(a),(e) | US0001M + 6.650% | 3.5660 | 06/25/39 | 27,561 | |||||||||
82,590 | Fannie Mae REMICS 2013-42 PD | 1.2500 | 05/25/43 | 68,353 | ||||||||||
327,877 | Fannie Mae REMICS 2016-3 NI(e) | 6.0000 | 02/25/46 | 64,236 | ||||||||||
1,056,782 | Fannie Mae REMICS 2017-112 SC(a),(e) | US0001M + 6.150% | 3.0660 | 01/25/48 | 117,624 | |||||||||
1,527,493 | Fannie Mae REMICS 2017-30 MI(e) | 4.0000 | 02/25/44 | 122,300 | ||||||||||
748,260 | Fannie Mae REMICS 2017-38 S(a),(e) | US0001M + 6.100% | 3.0160 | 05/25/47 | 81,809 | |||||||||
45,221 | Fannie Mae REMICS 2017-6 MI(e) | 4.0000 | 08/25/44 | 3,276 | ||||||||||
20,353,834 | Fannie Mae REMICS 2018-28 ID(c),(e) | 0.0001 | 05/25/48 | 860,273 | ||||||||||
1,222,858 | Fannie Mae REMICS 2019-34 KI(e) | 4.0000 | 07/25/49 | 192,471 | ||||||||||
976,221 | Fannie Mae REMICS 2019-37 CI(e) | 4.5000 | 09/25/48 | 228,779 |
CATALYST ENHANCED INCOME STRATEGY FUND |
SCHEDULE OF INVESTMENTS (Unaudited) (Continued) |
September 30, 2022 |
Principal | Coupon | |||||||||||||
Amount ($) | Spread | Rate (%) | Maturity | Fair Value | ||||||||||
U.S. GOVERNMENT & AGENCY OBLIGATIONS — 8.9% (Continued) | ||||||||||||||
1,062,550 | Fannie Mae REMICS 2020-14 BI(e) | 4.0000 | 03/25/50 | $ | 133,096 | |||||||||
320,800 | Fannie Mae REMICS 2020-16 SJ(a),(e) | US0001M + 6.050% | 2.9660 | 03/25/50 | 29,757 | |||||||||
802,226 | Fannie Mae REMICS 2020-20 IA(e) | 3.0000 | 04/25/50 | 107,865 | ||||||||||
4,338,902 | Fannie Mae REMICS 2020-25 PI(e) | 3.0000 | 03/25/50 | 766,120 | ||||||||||
3,559,343 | Fannie Mae REMICS 2020-28 IK(e) | 3.0000 | 10/25/49 | 417,027 | ||||||||||
3,400,387 | Fannie Mae REMICS 2020-95 IB(e) | 2.5000 | 01/25/51 | 540,090 | ||||||||||
17,553,545 | Fannie Mae REMICS 2020-95 IU(e) | 1.5000 | 01/25/51 | 3,000,983 | ||||||||||
9,015,147 | Fannie Mae REMICS 2021-34 MI(e) | 2.5000 | 03/25/51 | 1,296,730 | ||||||||||
8,044,233 | Fannie Mae REMICS 2021-45 JI(e) | 2.5000 | 07/25/51 | 1,329,068 | ||||||||||
3,040,478 | Fannie Mae REMICS 2021-56 IM(a),(e) | SOFR30A + 2.200% | 0.6780 | 09/25/51 | 112,287 | |||||||||
6,817,136 | Fannie Mae REMICS 2021-69 IK(e) | 2.0000 | 05/25/51 | 1,236,288 | ||||||||||
23,904,693 | Fannie Mae REMICS 2021-69 JS(a),(e) | SOFR30A + 2.550% | 0.2690 | 10/25/51 | 582,677 | |||||||||
14,655,206 | Fannie Mae REMICS 2021-80 IA(e) | 2.0000 | 11/25/51 | 1,964,092 | ||||||||||
192,448 | Freddie Mac REMICS 3980TS(a),(e) | US0001M + 6.500% | 3.6820 | 09/15/41 | 20,838 | |||||||||
1,024,255 | Freddie Mac REMICS 4100 JI(e) | 3.5000 | 10/15/41 | 141,647 | ||||||||||
112,633 | Freddie Mac REMICS 4103 DS(a),(e) | US0001M + 6.150% | 3.3320 | 09/15/40 | 671 | |||||||||
320,947 | Freddie Mac REMICS 4205 AI(e) | 2.5000 | 05/15/28 | 14,773 | ||||||||||
5,234,449 | Freddie Mac REMICS 4226 IM(e) | 3.5000 | 09/15/31 | 189,850 | ||||||||||
5,250,294 | Freddie Mac REMICS 4239 NI(a),(e) | US0001M + 29.458% | 3.2080 | 07/15/43 | 702,246 | |||||||||
430,835 | Freddie Mac REMICS 4314 SE(a),(e) | US0001M + 6.050% | 3.2320 | 03/15/44 | 43,510 | |||||||||
442,675 | Freddie Mac REMICS 4431 ST(a),(e) | US0001M + 6.100% | 3.2820 | 01/15/45 | 40,553 | |||||||||
84,011 | Freddie Mac REMICS 4449 PI(e) | 4.0000 | 11/15/43 | 8,759 | ||||||||||
1,001,356 | Freddie Mac REMICS 4580 MI(e) | 3.5000 | 02/15/43 | 44,197 | ||||||||||
10,598,537 | Freddie Mac REMICS 4639 GS(a),(e) | 0.0001 | 03/15/36 | 648,989 | ||||||||||
660,563 | Freddie Mac REMICS 4672 AI(e) | 4.5000 | 03/15/45 | 32,158 | ||||||||||
260,165 | Freddie Mac REMICS 4680 LI(e) | 4.0000 | 10/15/43 | 10,523 | ||||||||||
194,378 | Freddie Mac REMICS 4818 BI(e) | 4.0000 | 03/15/45 | 16,697 | ||||||||||
1,293,540 | Freddie Mac REMICS 4891 PI(e) | 4.0000 | 06/15/49 | 204,695 | ||||||||||
399,000 | Freddie Mac REMICS 5050 GL | 1.2500 | 12/25/50 | 194,079 | ||||||||||
980,532 | Freddie Mac REMICS 5071 IF(e) | 2.0000 | 02/25/51 | 87,799 | ||||||||||
6,468,544 | Freddie Mac REMICS 5071 IS(e) | 2.0000 | 02/25/51 | 797,086 | ||||||||||
5,155,279 | Freddie Mac REMICS 5071 KI(e) | 2.0000 | 02/25/51 | 526,599 | ||||||||||
20,300,765 | Freddie Mac REMICS 5090 SA(a),(e) | SOFR30A + 1.550% | 0.0001 | 03/25/51 | 103,838 | |||||||||
15,692,378 | Freddie Mac REMICS 5177 AS(a),(e) | SOFR30A + 3.150% | 0.8690 | 12/25/51 | 428,956 | |||||||||
795,937 | Government National Mortgage Association 2004-56 S(a),(e) | US0001M + 7.650% | 4.6360 | 06/20/33 | 21,276 | |||||||||
56,775 | Government National Mortgage Association 2010-131 SB(a),(e) | US0001M + 6.050% | 3.1110 | 04/16/40 | 105 |
CATALYST ENHANCED INCOME STRATEGY FUND |
SCHEDULE OF INVESTMENTS (Unaudited) (Continued) |
September 30, 2022 |
Principal | Coupon | |||||||||||||
Amount ($) | Spread | Rate (%) | Maturity | Fair Value | ||||||||||
U.S. GOVERNMENT & AGENCY OBLIGATIONS — 8.9% (Continued) | ||||||||||||||
214,622 | Government National Mortgage Association 2012-36 QS(a),(e) | US0001M + 6.620% | 3.6060 | 03/20/42 | $ | 16,986 | ||||||||
691,621 | Government National Mortgage Association 2014-118 AI(e) | 3.5000 | 05/16/40 | 45,787 | ||||||||||
6,282,508 | Government National Mortgage Association 2015-3 DS(a),(e) | US0001M + 5.600% | 2.5860 | 11/20/41 | 145,123 | |||||||||
253,943 | Government National Mortgage Association 2016-1 ST(a),(e) | US0001M + 6.200% | 3.1860 | 01/20/46 | 26,232 | |||||||||
694,497 | Government National Mortgage Association 2018-154 DI(e) | 4.0000 | 01/20/45 | 49,766 | ||||||||||
5,471,527 | Government National Mortgage Association 2018-154 SP(a),(e) | US0001M + 6.150% | 3.1360 | 11/20/48 | 551,037 | |||||||||
3,300,925 | Government National Mortgage Association 2019-110 SE(a),(e) | US0001M + 6.100% | 3.0860 | 09/20/49 | 260,415 | |||||||||
23,496,856 | Government National Mortgage Association 2019-112 AS(a),(e) | US0001M + 3.410% | 0.3960 | 09/20/49 | 345,448 | |||||||||
14,713,206 | Government National Mortgage Association 2019-20 ES(a),(e) | US0001M + 3.790% | 0.7760 | 02/20/49 | 200,347 | |||||||||
4,750,090 | Government National Mortgage Association 2020-122 YI(e) | 2.5000 | 08/20/50 | 658,248 | ||||||||||
952,000 | Government National Mortgage Association 2020-141 ML | 1.5000 | 09/20/50 | 506,853 | ||||||||||
16,393,714 | Government National Mortgage Association 2020-33 AI(e) | 3.0000 | 03/20/50 | 2,542,682 | ||||||||||
1,786,915 | Government National Mortgage Association 2020-61 SF(a),(e) | US0001M + 6.440% | 3.4260 | 07/20/43 | 175,310 | |||||||||
321,967 | Government National Mortgage Association 2020-62 GI(e) | 4.5000 | 05/20/50 | 40,320 | ||||||||||
12,344,054 | Government National Mortgage Association 2021-105 EI(e) | 2.5000 | 05/20/51 | 1,753,880 | ||||||||||
15,330,123 | Government National Mortgage Association 2021-117 PI(e) | 2.5000 | 07/20/51 | 1,716,422 | ||||||||||
5,464,501 | Government National Mortgage Association 2021-118 GI(e) | 2.5000 | 07/20/51 | 768,232 | ||||||||||
11,546,935 | Government National Mortgage Association 2021-156 BI(e) | 2.5000 | 09/20/51 | 1,800,445 | ||||||||||
7,478,157 | Government National Mortgage Association 2021-156 QI(e) | 2.5000 | 09/20/51 | 938,935 | ||||||||||
18,305,740 | Government National Mortgage Association 2021-177 MI(e) | 2.5000 | 10/20/51 | 2,448,577 | ||||||||||
22,438,794 | Government National Mortgage Association 2021-194 TI(e) | 3.0000 | 11/20/51 | 3,328,931 | ||||||||||
2,868,574 | Government National Mortgage Association 2021-196 PI(e) | 2.5000 | 09/20/51 | 357,037 | ||||||||||
4,151,524 | Government National Mortgage Association 2021-214 HI(e) | 2.5000 | 12/20/51 | 542,841 | ||||||||||
1,705,801 | Government National Mortgage Association 2021-226 HL | 1.5000 | 12/20/51 | 1,056,290 | ||||||||||
18,563,577 | Government National Mortgage Association 2021-24 IH(e) | 2.5000 | 02/20/50 | 2,394,554 | ||||||||||
8,797,252 | Government National Mortgage Association 2021-24 LI(e) | 2.5000 | 01/20/51 | 1,312,374 | ||||||||||
10,528,738 | Government National Mortgage Association 2021-41 BI(e) | 2.0000 | 03/20/51 | 1,439,457 | ||||||||||
3,782,047 | Government National Mortgage Association 2021-49 IP(e) | 2.5000 | 01/20/51 | 439,364 | ||||||||||
3,971,683 | Government National Mortgage Association 2021-83 EI(e) | 2.5000 | 05/20/51 | 555,654 | ||||||||||
290,582 | Government National Mortgage Association 2021-89 JL | 1.5000 | 05/20/51 | 159,872 | ||||||||||
49,793,153 | Government National Mortgage Association 2022-121 SA(a),(e) | SOFR30A + 3.690% | 1.4060 | 07/20/52 | 846,912 | |||||||||
18,965,496 | Government National Mortgage Association 2022-22 PS(a),(e) | SOFR30A + 3.650% | 1.3660 | 08/20/51 | 562,833 | |||||||||
12,085,808 | Government National Mortgage Association 2022-69 QI(e) | 4.0000 | 04/20/52 | 1,746,979 | ||||||||||
19,728,446 | Government National Mortgage Association 2022-83 SJ(a),(e) | SOFR30A + 3.200% | 0.9160 | 05/20/52 | 325,257 | |||||||||
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS | ||||||||||||||
(Cost $48,201,271) | 47,786,132 |
CATALYST ENHANCED INCOME STRATEGY FUND |
SCHEDULE OF INVESTMENTS (Unaudited) (Continued) |
September 30, 2022 |
Shares | Fair Value | |||||||
SHORT-TERM INVESTMENTS — 4.0% | ||||||||
MONEY MARKET FUNDS - 4.0% | ||||||||
21,713,506 | First American Government Obligations Fund, Class U, 2.79% (Cost $21,713,506)(f) | $ | 21,713,506 | |||||
TOTAL INVESTMENTS - 99.9% (Cost $595,904,845) | $ | 537,682,547 | ||||||
OTHER ASSETS IN EXCESS OF LIABILITIES- 0.1% | 429,706 | |||||||
NET ASSETS - 100.0% | $ | 538,112,253 | ||||||
LLC - Limited Liability Company
REMIC - Real Estate Mortgage Investment Conduit
12MTA - Federal Reserve US 12 Month Cumulative Avg 1 Year CMT
SOFR30A - United States 30 Day Average SOFR Secured Overnight Financing Rate
US0001M - ICE LIBOR USD 1 Month
US0006M - ICE LIBOR USD 6 Month
US0012M - ICE LIBOR USD 12 Month
(a) | Variable rate security: the rate shown represents the rate on September 30, 2022. |
(b) | Security exempt from registration under Rule 144A or Section 4(2) of the Securities Act of 1933. The security may be resold in transactions exempt from registration, normally to qualified institutional buyers. As of September 30, 2022, the total market value of 144A securities is 149,056,452 or 27.7% of net assets. |
(c) | 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. |
(d) | Step bond. Coupon rate is fixed rate that changes on a specified date. The rate shown is the current rate at September 30, 2022. |
(e) | Interest only securities. |
(f) | Rate disclosed is the seven-day effective yield as of September 30, 2022. |
(h) | Maturity not determined on this security; maturity will occur based on the maturity of the underlying bonds. |