united states
securities and exchange commission
washington, d.c. 20549
form n-csr
certified shareholder report of registered management
investment companies
Investment Company Act file number 811-21872
Mutual Fund Series Trust
(Exact name of Registrant as specified in charter)
4221 North 203rd Street, Suite 100, Elkhorn, NE 68022
(Address of principal executive offices) (Zip code)
Ultimus Fund Solutions
80 Arkay Drive, Suite 110, Hauppauge, NY 11788
(Name and address of agent for service)
Registrant's telephone number, including area code: 402-895-1600
Date of fiscal year end: 6/30
Date of reporting period: 12/31/23
ITEM 1. REPORTS TO SHAREHOLDERS.
SEMI-ANNUAL REPORT
Catalyst Insider Income Fund
(IIXAX, IIXCX, IIXIX)
Catalyst Enhanced Income Strategy Fund
(EIXAX, EIXCX, EIXIX)
Catalyst/MAP Global Balanced Fund
(TRXAX, TRXCX, TRXIX)
Catalyst/CIFC Floating Rate Income Fund
(CFRAX, CFRCX, CFRIX)
Catalyst/SMH High Income Fund
(HIIFX, HIICX, HIIIX)
Catalyst/SMH Total Return Income Fund
(TRIFX, TRICX, TRIIX)
December 31, 2023
Mutual Fund Series Trust
CATALYST FUNDS
SEMI-ANNUAL REPORT
TABLE OF CONTENTS
Investment Review | Page 1 |
Schedules of Investments | Page 7 |
Statements of Assets and Liabilities | Page 49 |
Statements of Operations | Page 50 |
Statements of Changes in Net Assets | Page 51 |
Financial Highlights | Page 53 |
Notes to Financial Statements | Page 65 |
Expense Example | Page 78 |
Privacy Notice | Page 79 |
Catalyst Insider Income Fund
PORTFOLIO REVIEW (Unaudited)
December 31, 2023
The Fund’s performance figures* for each of the periods ended December 31, 2023, compared to its benchmark:
Annualized | Annualized | |||
6 Month Return | 1 Year Return | 5 Year Return | Since Inception** | |
Class A | 4.24% | 8.95% | 2.73% | 1.66% |
Class A with load | (0.72)% | 3.78% | 1.72% | 1.14% |
Class C | 3.85% | 8.15% | 1.98% | 0.94% |
Class I | 4.37% | 9.22% | 2.98% | 1.94% |
Bloomberg 1-3 Year U.S. Government/Credit Index(a) | 3.44% | 4.61% | 1.51% | 1.29% |
* | The performance data quoted here represents past performance. The performance comparison includes reinvestment of all dividends and capital gains and has been adjusted for the Class A maximum applicable sales charge of 4.75%. Current performance may be lower or higher than the performance data quoted above. Investment return and principal value will fluctuate, so that shares, when redeemed, may be worth more or less than their original cost. Class A shares may be subject to a 1.00% maximum deferred sales charge. The returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemptions of Fund shares. Past performance is no guarantee of future results. As disclosed in the Fund’s prospectus dated November 1, 2023, the Fund’s total gross annual operating expenses, are 1.39% for Class A, 2.14% for Class C and 1.14% for Class I shares. Please review the Fund’s most recent prospectus for more detail on the expense waiver. For performance information current to the most recent month-end, please call toll-free 1-866-447-4228. |
(a) | The Bloomberg 1-3 Year U.S. Government/Credit Index includes all medium and larger issues of U.S. government, investment-grade corporate, and investment-grade international dollar-denominated bonds that have maturities of between 1 and 3 years and are publicly issued. Investors cannot invest direct in an index. |
** | Inception date is July 29, 2014. |
Top 10 Holdings by Industry | % of Net Assets | |||
Specialty Finance | 35.1 | % | ||
Asset Management | 25.5 | % | ||
Insurance | 6.4 | % | ||
Real Estate Investment Trusts | 5.2 | % | ||
Aerospace & Defense | 4.6 | % | ||
Chemicals | 4.6 | % | ||
Internet Media & Services | 4.5 | % | ||
Health Care Facilities & Services | 3.4 | % | ||
Biotech & Pharma | 3.4 | % | ||
Gas & Water Utilities | 2.9 | % | ||
Other/Cash & Equivalents | 4.4 | % | ||
100.0 | % |
Please refer to the Schedule of Investments for a more detailed listing of the Fund’s assets.
1
Catalyst Enhanced Income Strategy Fund
PORTFOLIO REVIEW (Unaudited)
December 31, 2023
The Fund’s performance figures* for each of the periods ended December 31, 2023, compared to its benchmarks:
Annualized | ||||
6 Month Return | 1 Year Return | 5 Year Return | Since Inception** | |
Class A | (1.31)% | (2.33)% | 3.20% | 3.20% |
Class A with load | (6.98)% | (7.97)% | 1.99% | 1.99% |
Class C | (1.68)% | (3.06)% | 2.42% | 2.42% |
Class I | (1.19)% | (2.09)% | 3.45% | 3.45% |
Bloomberg U.S. Aggregate Bond Index(a) | 3.37% | 5.53% | 1.10% | 1.10% |
Bloomberg U.S. Mortgage Backed Securities (MBS) Index(b) | 3.12% | 5.05% | 0.25% | 0.25% |
* | The performance data quoted here represents past performance. The performance comparison includes reinvestment of all dividends and capital gains and has been adjusted for the Class A maximum applicable sales charge of 4.75%. Current performance may be lower or higher than the performance data quoted above. Investment return and principal value will fluctuate, so that shares, when redeemed, may be worth more or less than their original cost. Class A shares may be subject to a 1.00% maximum deferred sales charge. The returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemptions of Fund shares. Past performance is no guarantee of future results. As disclosed in the Fund’s prospectus dated November 1, 2023, the Fund’s total gross annual operating expenses, including the cost of underlying funds, are 2.03% for Class A, 2.78% for Class C and 1.78% for Class I shares. Please review the Fund’s most recent prospectus for more detail on the expense waiver. For performance information current to the most recent month-end, please call toll-free 1-866-447-4228. |
(a) | The Bloomberg U.S. Aggregate Bond Index is a broad-based index that measures the investment grade, US dollar-denominated, fix-rated taxable bond market. The index includes Treasuries, government-related and corporate securities, MBS (agency fixed-rate and hybrid ARM pass-throughs), ABS and CMBS (agency and non-agency). Investors cannot invest direct in an index. |
(b) | The Bloomberg U.S. Mortgage Backed Securities (MBS) Index tracks fixed-rate agency mortgage backed passthrough securities guaranteed by Ginnie Mae (GNMA), Fannie Mae (FNMA), and Freddie Mac (FHLMC). The index is constructed by grouping individual TBA-deliverable MBS pools into aggregates or generics based on program, coupon and vintage. Investors cannot invest direct in an index. |
** | Inception date is December 31, 2018. |
Top Holdings by Security Type | % of Net Assets | |||
Collateralized Mortgage Obligations | 32.5 | % | ||
Non Agency CMBS | 26.2 | % | ||
Home Equity | 17.5 | % | ||
Residential Mortgage | 12.9 | % | ||
U.S. Government & Agency Obligations | 9.0 | % | ||
Manufactured Housing | 0.3 | % | ||
Other/Cash & Equivalents | 1.6 | % | ||
100.0 | % |
Please refer to the Schedule of Investments for a more detailed listing of the Fund’s assets.
2
Catalyst/MAP Global Balanced Fund
PORTFOLIO REVIEW (Unaudited)
December 31, 2023
The Fund’s performance figures* for each of the periods ended December 31, 2023, compared to its benchmarks:
Annualized | Annualized | Annualized | |||
6 Month Return | 1 Year Return | 5 Year Return | 10 Year Return | Since Inception** | |
Class A | 1.99% | 5.23% | 4.29% | 3.65% | 4.71% |
Class A with load | (3.88)% | (0.82)% | 3.07% | 3.04% | 4.22% |
Class C | 1.64% | 4.46% | 3.54% | 2.88% | 3.93% |
Class I | 2.23% | 5.60% | 4.58% | N/A | 3.57% |
MSCI All Country World Stock Index(a) | 7.48% | 22.81% | 12.27% | 8.48% | 9.05% |
MSCI All Country World Stock Value Index Gross(b) | 7.61% | 12.68% | 9.05% | 6.23% | 7.25% |
ICE BofA ML A-AAA 1-3yr U.S. Corp. Index(c) | 3.85% | 5.41% | 2.08% | 1.77% | 1.83% |
50% MSCI ACWI/50% ICE BofA ML A-AAA 1-3yr U.S. Corp. Index(d) | 5.80% | 14.05% | 7.43% | 5.34% | 5.64% |
50% MSCI ACWI Value Index Gross/50% ICE BofA ML A-AAA 1-3yr U.S. Corp. Index(e) | 5.83% | 9.21% | 5.89% | 4.25% | 4.77% |
* | The performance data quoted here represents past performance. The performance comparison includes reinvestment of all dividends and capital gains and has been adjusted for the Class A maximum applicable sales charge of 5.75%. Current performance may be lower or higher than the performance data quoted above. Investment return and principal value will fluctuate, so that shares, when redeemed, may be worth more or less than their original cost. Class A shares may be subject to a 1.00% maximum deferred sales charge. The returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemptions of Fund shares. Past performance is no guarantee of future results. Performance figures for periods greater than 1 year are annualized. As disclosed in the Fund’s prospectus dated November 1, 2023, the Fund’s total gross annual operating expenses, including the cost of underlying funds, are 2.28% for Class A, 3.03% for Class C, and 2.03% for Class I shares. Please review the Fund’s most recent prospectus for more detail on the expense waiver. For performance information current to the most recent month-end, please call toll-free 1-866-447-4228. |
(a) | The MSCI All Country World Stock Index is maintained by Morgan Stanley Capital International, and is comprised of stocks from both developed and emerging markets. Investors cannot invest directly in an index. |
(b) | The MSCI All Country World Stock Value Index Gross captures large and mid cap securities exhibiting overall value style characteristics across 23 Developed Markets countries. The value investment style characteristics for index construction are defined using three variables: book value to price, 12-month forward earnings to price and dividend yield. Investors cannot invest directly in an index. |
(c) | The ICE BofA ML A-AAA 1-3yr U.S. Corp. Index includes publicly issued U.S. Treasury debt, U.S. government agency debt, taxable debt issued by U.S. states and territories and their political subdivisions, debt issued by U.S. and non-U.S. corporations, non-U.S. government debt and supranational debt. Investors cannot invest directly in an index. |
(d) | The 50% MSCI AWCI/50% ICE BofA ML A-AAA 1-3yr US Corp. Index. is made up of two indices; ICE BofA ML U.S. Corporate & Government 1-3yrs Index, and MSCI AC World Index. Investors cannot invest directly in an index. |
(e) | The 50% MSCI AWCI Value Index Gross/50% ICE BofA ML A-AAA 1-3yr U.S. Corp. Index. is made up of two indices; ICE BofA ML U.S. Corporate & Government 1-3yrs Index, and MSCI AC World Value Index Gross. Investors cannot invest directly in an index. |
** | Inception date is July 29, 2011 for Class A, Class C and the benchmark, and June 6, 2014, for Class I. |
Top 10 Holdings by Industry | % of Net Assets | |||
U.S. Government & Agencies | 9.0 | % | ||
Biotech & Pharma | 8.6 | % | ||
Banking | 8.0 | % | ||
Tobacco & Cannabis | 6.5 | % | ||
Technology Hardware | 5.7 | % | ||
Chemicals | 5.2 | % | ||
Semiconductors | 4.4 | % | ||
Automotive | 4.4 | % | ||
Transportation & Logistics | 3.4 | % | ||
Gas & Water Utilities | 3.3 | % | ||
Other/Cash & Equivalents | 41.5 | % | ||
100.0 | % |
Please refer to the Schedule of Investments for a more detailed listing of the Fund’s assets.
3
Catalyst/CIFC Floating Rate Income Fund
PORTFOLIO REVIEW (Unaudited)
December 31, 2023
The Fund’s performance figures* for each of the periods ended December 31, 2023, compared to its benchmark:
Annualized | Annualized | Annualized | ||||
6 Month Return | 1 Year Return | 5 Year Return | 10 Year Return | Since Inception** | Since Inception*** | |
Class A | 6.58% | 13.12% | 5.28% | 3.76% | 4.21% | N/A |
Class A with load | 1.54% | 7.79% | 4.26% | 3.26% | 3.75% | N/A |
Class C | 6.08% | 12.18% | 4.48% | 2.98% | 3.42% | N/A |
Class I | 6.59% | 13.27% | 5.51% | 4.02% | 4.46% | N/A |
Class C-1 | 6.16% | 12.33% | N/A | N/A | N/A | 11.94% |
S&P/LSTA U.S. Leveraged Loan 100 Index (a) | 6.42% | 13.11% | 5.78% | 4.00% | 4.10% | 12.89% |
* | The performance data quoted here represents past performance. The performance comparison includes reinvestment of all dividends and capital gains and has been adjusted for the Class A maximum applicable sales charge of 4.75%. Current performance may be lower or higher than the performance data quoted above. Investment return and principal value will fluctuate, so that shares, when redeemed, may be worth more or less than their original cost. Class A and Class C-1 shares may be subject to a 1.00% maximum deferred sales charge. The returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemptions of Fund shares. Past performance is no guarantee of future results. Performance figures for periods greater than 1 year are annualized. As disclosed in the Fund’s prospectus dated November 1, 2023, the Fund’s total gross annual operating expenses, including the cost of underlying funds are 1.58% for Class A and 2.33% for Class C, 2.54% for Class C-1 and 1.33% for Class I shares. Please review the Fund’s most recent prospectus for more detail on the expense waiver. For performance information current to the most recent month-end, please call toll-free 1-866-447-4228. |
Performance information for the period prior to November 2018 does not reflect the Fund’s current strategy and the Fund’s portfolio was not managed by the Fund’s current sub-advisor.
(a) | The S&P/LSTA U.S. Leveraged Loan 100 Index is a market value-weighted index designed to measure the performance of the U.S. leveraged loan market. The Index consists of 100 loan facilities drawn from a larger benchmark - the S&P/SLTA (Loan Syndications and Trading Association) Leveraged Loan Index (LLI). Investors cannot invest directly in an index. |
** | Inception date is December 31, 2012 for Class A, Class C and Class I. |
*** | Inception date is November 1, 2022 for Class C-1. |
Top Ten Holdings by Industry/Asset Type | % of Net Assets | |||
Software | 12.8 | % | ||
Insurance | 8.9 | % | ||
Technology Services | 7.5 | % | ||
Health Care Facilities & Services | 5.7 | % | ||
CLO | 5.6 | % | ||
Commercial Support Services | 5.0 | % | ||
Transportation & Logistics | 4.3 | % | ||
Retail - Discretionary | 4.1 | % | ||
Asset Management | 4.0 | % | ||
Leisure Facilities & Services | 3.7 | % | ||
Other/Cash & Equivalents | 38.4 | % | ||
100.0 | % |
Please refer to the Schedule of Investments for a more detailed listing of the Fund’s assets.
4
Catalyst/SMH High Income Fund
PORTFOLIO REVIEW (Unaudited)
December 31, 2023
The Fund’s performance figures* for each of the periods ended December 31, 2023, compared to its benchmark:
Annualized | Annualized | Annualized | Annualized | |||
6 Month Return | 1 Year Return | 5 Year Return | 10 Year Return | Since Inception ** | Since Inception *** | |
Class A | 10.09% | 16.43% | 5.34% | 1.67% | 3.25% | N/A |
Class A with load | 4.86% | 10.90% | 4.32% | 1.17% | 2.93% | N/A |
Class C | 9.64% | 15.51% | 4.54% | 0.92% | 2.49% | N/A |
Class I | 10.22% | 16.71% | 5.54% | 1.92% | N/A | 1.92% |
ICE BofA Merrill Lynch U.S. Cash Pay High Yield Index(a) | 7.68% | 13.47% | 5.24% | 4.52% | 6.38% | 4.85% |
* | The performance data quoted here represents past performance. The performance comparison includes reinvestment of all dividends and capital gains and has been adjusted for the Class A maximum applicable sales charge of 4.75%. Current performance may be lower or higher than the performance data quoted above. Investment return and principal value will fluctuate, so that shares, when redeemed, may be worth more or less than their original cost. Class A shares may be subject to a 1.00% maximum deferred sales charge. The returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemptions of Fund shares. Past performance is no guarantee of future results. As disclosed in the Fund’s prospectus dated November 1, 2023, the Fund’s total gross annual operating expenses are 2.36% for Class A, 3.11% for Class C and 2.11% for Class I shares. Please review the Fund’s most recent prospectus for more detail on the expense waiver. For performance information current to the most recent month-end, please call toll-free 1-866-447-4228. |
Performance information for the period prior to September 2013 does not reflect the Fund’s current strategy and the Fund’s portfolio was not managed by the Fund’s current sub-advisor.
(a) | The ICE BofA Merrill Lynch U.S. Cash Pay High Yield Index tracks the performance of U.S. dollar denominated below investment grade corporate debt, currently in a coupon paying period that is publicly-issued in the U.S. domestic market. Investors cannot invest directly in an index. |
** | Inception date is May 21, 2008 for Class A and Class C. |
*** | Inception date is July 1, 2013 for Class I. |
Top 10 Holdings by Industry | % of Net Assets | |||
Real Estate Investment Trusts | 14.2 | % | ||
Retail - Discretionary | 10.0 | % | ||
Metals & Mining | 7.2 | % | ||
Oil & Gas Services & Equipment | 6.7 | % | ||
Internet Media & Services | 6.5 | % | ||
Leisure Facilities & Services | 6.0 | % | ||
Real Estate Owners & Developers | 4.7 | % | ||
Steel | 4.4 | % | ||
Automotive | 4.2 | % | ||
Machinery | 3.8 | % | ||
Other/Cash & Equivalents | 32.3 | % | ||
100.0 | % |
Please refer to the Schedule of Investments for a more detailed listing of the Fund’s assets.
5
Catalyst/SMH Total Return Income Fund
PORTFOLIO REVIEW (Unaudited)
December 31, 2023
The Fund’s performance figures* for each of the periods ended December 31, 2023, compared to its benchmark:
Annualized | Annualized | Annualized | Annualized | |||
6 Month Return | 1 Year Return | 5 Year Return | 10 Year Return | Since Inception** | Since Inception*** | |
Class A | 9.70% | 14.47% | 9.36% | 3.29% | 3.35% | N/A |
Class A with load | 3.39% | 7.89% | 8.07% | 2.68% | 2.96% | N/A |
Class C | 9.29% | 13.62% | 8.55% | 2.52% | 2.58% | N/A |
Class I | 9.86% | 14.80% | 9.66% | 3.54% | N/A | 3.85% |
S&P 500 Total Return Index(a) | 8.04% | 26.29% | 15.69% | 12.03% | 10.40% | 12.98% |
ICE BofA Merrill Lynch U.S. Cash Pay High Yield Index(b) | 7.68% | 13.47% | 5.24% | 4.52% | 6.38% | 4.85% |
Blended Index (c) | 7.91% | 19.82% | 10.53% | 8.35% | 8.53% | 8.98% |
* | The performance data quoted here represents past performance. The performance comparison includes reinvestment of all dividends and capital gains and has been adjusted for the Class A maximum applicable sales charge of 5.75%. Current performance may be lower or higher than the performance data quoted above. Investment return and principal value will fluctuate, so that shares, when redeemed, may be worth more or less than their original cost. Class A shares may be subject to a 1.00% maximum deferred sales charge. The returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemptions of Fund shares. Past performance is no guarantee of future results. As disclosed in the Fund’s prospectus dated November 1, 2023, the Fund’s total gross annual operating expenses, including the cost of underlying funds, are 3.05% for Class A, 3.80% for Class C and 2.80% for Class I shares. Please review the Fund’s most recent prospectus for more detail on the expense waiver. For performance information current to the most recent month-end, please call toll-free 1-866-447-4228. |
Performance information for the period prior to September 2013 does not reflect the Fund’s current strategy and the Fund’s portfolio was not managed by the Fund’s current sub-advisor.
(a) | The S&P 500 Total Return Index, a registered trademark of McGraw-Hill Co., Inc., is a market capitalization-weighted index of 500 widely held common stocks. Investors cannot invest directly in an index. |
(b) | The ICE BofA Merrill Lynch U.S. Cash Pay High Yield Index tracks the performance of U.S. dollar denominated below investment grade corporate debt, currently in a coupon paying period that is publicly-issued in the U.S. domestic market. Investors cannot invest directly in an index. |
(c) | Blended Index reflects an unmanaged portfolio of 50% of the S&P 500 Total Return Index and 50% of the ICE BofA Merrill Lynch U.S. Cash Pay High Yield Index. Investors cannot invest directly in an index. |
** | Inception date is May 21, 2008 for Class A, Class C and the Benchmark. |
*** | Inception date is July 1, 2013 for Class I and the Benchmark. |
Top 10 Holdings by Industry | % of Net Assets | |||
Asset Management | 13.9 | % | ||
Oil & Gas Services & Equipment | 9.0 | % | ||
Real Estate Investment Trusts | 9.0 | % | ||
Specialty Finance | 7.5 | % | ||
Business Development Companies | 6.3 | % | ||
Automotive | 5.6 | % | ||
Internet Media & Services | 4.8 | % | ||
Retail - Discretionary | 4.3 | % | ||
Machinery | 4.0 | % | ||
Home Construction | 3.6 | % | ||
Other/Cash & Equivalents | 32.0 | % | ||
100.0 | % |
Please refer to the Schedule of Investments for a more detailed listing of the Fund’s assets.
6
CATALYST INSIDER INCOME FUND |
SCHEDULE OF INVESTMENTS (Unaudited) |
December 31, 2023 |
Principal | Coupon Rate | |||||||||||
Amount ($) | (%) | Maturity | Fair Value | |||||||||
CONVERTIBLE BONDS — 51.5% | ||||||||||||
ASSET MANAGEMENT — 16.4% | ||||||||||||
2,600,000 | New Mountain Finance Corporation | 7.5000 | 10/15/25 | $ | 2,653,300 | |||||||
4,079,000 | Prospect Capital Corporation | 6.3750 | 03/01/25 | 4,107,077 | ||||||||
3,039,000 | RWT Holdings, Inc. | 5.7500 | 10/01/25 | 2,854,761 | ||||||||
9,615,138 | ||||||||||||
SPECIALTY FINANCE — 35.1% | ||||||||||||
2,600,000 | Arbor Realty Trust, Inc. | 7.5000 | 08/01/25 | 2,649,400 | ||||||||
4,620,000 | Redwood Trust, Inc. | 5.6250 | 07/15/24 | 4,573,789 | ||||||||
8,000,000 | SoFi Technologies, Inc.(a),(b) | 8.4000 | 10/15/26 | 6,828,928 | ||||||||
7,000,000 | Two Harbors Investment Corporation | 6.2500 | 01/15/26 | 6,475,000 | ||||||||
20,527,117 | ||||||||||||
TOTAL CONVERTIBLE BONDS (Cost $30,919,349) | 30,142,255 | |||||||||||
CORPORATE BONDS — 44.6% | ||||||||||||
AEROSPACE & DEFENSE — 4.6% | ||||||||||||
2,700,000 | TransDigm, Inc.(a) | 6.2500 | 03/15/26 | 2,697,909 | ||||||||
ASSET MANAGEMENT — 9.1% | ||||||||||||
2,700,000 | Ares Capital Corporation | 4.2500 | 03/01/25 | 2,641,310 | ||||||||
2,861,000 | Prospect Capital Corporation | 3.7060 | 01/22/26 | 2,679,606 | ||||||||
5,320,916 | ||||||||||||
BIOTECH & PHARMA — 3.4% | ||||||||||||
2,000,000 | AbbVie, Inc. | 3.8000 | 03/15/25 | 1,974,689 | ||||||||
CHEMICALS — 4.6% | ||||||||||||
2,700,000 | Sherwin-Williams Company (The) | 3.1250 | 06/01/24 | 2,671,959 | ||||||||
GAS & WATER UTILITIES — 2.9% | ||||||||||||
1,700,000 | National Fuel Gas Company | 5.5000 | 01/15/26 | 1,703,734 | ||||||||
HEALTH CARE FACILITIES & SERVICES — 3.4% | ||||||||||||
2,000,000 | HCA, Inc. | 5.0000 | 03/15/24 | 1,996,552 | ||||||||
The accompanying notes are an integral part of these financial statements.
7
CATALYST INSIDER INCOME FUND |
SCHEDULE OF INVESTMENTS (Unaudited) (Continued) |
December 31, 2023 |
Principal | Coupon Rate | |||||||||||
Amount ($) | (%) | Maturity | Fair Value | |||||||||
CORPORATE BONDS — 44.6% (Continued) | ||||||||||||
INSURANCE — 6.4% | ||||||||||||
2,862,526 | Ambac Assurance Corporation(a) | 5.1000 | 06/07/69 | $ | 3,745,493 | |||||||
INTERNET MEDIA & SERVICES — 4.5% | ||||||||||||
2,612,000 | VeriSign, Inc. | 5.2500 | 04/01/25 | 2,615,018 | ||||||||
METALS & MINING — 0.5% | ||||||||||||
299,000 | Warrior Met Coal, Inc.(a) | 7.8750 | 12/01/28 | 297,844 | ||||||||
REAL ESTATE INVESTMENT TRUSTS — 5.2% | ||||||||||||
1,007,000 | Omega Healthcare Investors, Inc. | 4.5000 | 04/01/27 | 967,311 | ||||||||
2,100,000 | Sabra Health Care, LP | 5.1250 | 08/15/26 | 2,065,268 | ||||||||
3,032,579 | ||||||||||||
TOTAL CORPORATE BONDS (Cost $26,579,154) | 26,056,693 | |||||||||||
Shares | ||||||||
SHORT-TERM INVESTMENTS — 1.5% | ||||||||
MONEY MARKET FUNDS - 1.5% | ||||||||
872,554 | First American Treasury Obligations Fund, Class X, 5.28% (Cost $872,554)(c) | 872,554 | ||||||
TOTAL INVESTMENTS - 97.6% (Cost $58,371,057) | $ | 57,071,502 | ||||||
OTHER ASSETS IN EXCESS OF LIABILITIES - 2.4% | 1,399,082 | |||||||
NET ASSETS - 100.0% | $ | 58,470,584 | ||||||
LP - 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 December 31, 2023 the total market value of 144A securities is 13,570,174 or 23.2% of net assets. |
(b) | Zero coupon bond. |
(c) | Rate disclosed is the seven day effective yield as of December 31, 2023. |
The accompanying notes are an integral part of these financial statements.
8
CATALYST ENHANCED INCOME STRATEGY FUND |
SCHEDULE OF INVESTMENTS (Unaudited) |
December 31, 2023 |
Principal | Coupon Rate | |||||||||||||
Amount ($) | Spread | (%) | Maturity | Fair Value | ||||||||||
ASSET BACKED SECURITIES — 89.4% | ||||||||||||||
COLLATERALIZED MORTGAGE OBLIGATIONS — 32.5% | ||||||||||||||
149,761 | Alternative Loan Trust Series 2006-J3 4A2 | 5.7500 | 05/25/26 | $ | 141,966 | |||||||||
376,892 | Alternative Loan Trust Series 2005-J1 1A8 | 5.5000 | 02/25/35 | 349,674 | ||||||||||
232,384 | Alternative Loan Trust Series 2005-3CB 2A1 | 5.0000 | 03/25/35 | 210,964 | ||||||||||
106,228 | Alternative Loan Trust Series 2005-28CB 3A5 | 6.0000 | 08/25/35 | 46,260 | ||||||||||
2,381,985 | Alternative Loan Trust Series 2005-43 4A3(a) | 4.0160 | 10/25/35 | 1,937,237 | ||||||||||
1,838,833 | Alternative Loan Trust Series 2005-69 A1(b) | 12MTA + 1.000% | 3.1760 | 12/25/35 | 1,617,934 | |||||||||
527,674 | Alternative Loan Trust Series 2005-86CB A4 | 5.5000 | 02/25/36 | 309,837 | ||||||||||
162,474 | Alternative Loan Trust Series 2006-4CB 2A3 | 5.5000 | 04/25/36 | 125,622 | ||||||||||
1,071,954 | Alternative Loan Trust Series 2006-4CB 2A6 | 5.5000 | 04/25/36 | 828,812 | ||||||||||
1,827,765 | Alternative Loan Trust Series 2006-9T1 A7 | 5.2160 | 05/25/36 | 760,773 | ||||||||||
1,412,617 | Alternative Loan Trust Series 29T1 2A5 | 6.0000 | 10/25/36 | 799,185 | ||||||||||
412,707 | Alternative Loan Trust Series 2006-28CB A3 | 6.5000 | 10/25/36 | 230,247 | ||||||||||
547,229 | Alternative Loan Trust Series 2006-29T1 2A7 | 6.5000 | 10/25/36 | 328,942 | ||||||||||
1,655,581 | Alternative Loan Trust Series 2006-45T1 2A5 | 5.5530 | 02/25/37 | 918,965 | ||||||||||
641,264 | Alternative Loan Trust Series 2007-12T1 A3 | 6.0000 | 06/25/37 | 306,090 | ||||||||||
194,241 | Banc of America Alternative Loan Trust Series 2006-4 3CB4 | 6.0000 | 05/25/46 | 168,481 | ||||||||||
330,442 | Banc of America Alternative Loan Trust Series 2006-6 2A8 | 6.0000 | 07/25/46 | 276,288 | ||||||||||
458,302 | Banc of America Alternative Loan Trust Series 2006-6 2A10 | 6.0000 | 07/25/46 | 383,194 | ||||||||||
5,324 | Banc of America Funding Trust Series 2004-3 1A11 | 5.5000 | 10/25/34 | 5,122 | ||||||||||
210,729 | Banc of America Funding Trust Series 2005-H 1A1(a) | 5.6010 | 11/20/35 | 197,626 | ||||||||||
294,285 | Banc of America Funding Trust Series 2010-R8 1A4(c) | 5.7500 | 05/26/36 | 188,681 | ||||||||||
54,093 | Banc of America Funding Trust Series 2006-5 4A8 | 6.0000 | 09/25/36 | 44,389 | ||||||||||
851,745 | Banc of America Funding Trust Series 2007-5 CA4 | 6.0000 | 07/25/37 | 728,574 | ||||||||||
414,390 | Banc of America Funding Trust Series 2006-H 2A2(a) | 4.6560 | 09/20/46 | 337,238 | ||||||||||
41,228 | Banc of America Funding Trust Series 2006-J 2A3(a) | 4.0390 | 01/20/47 | 34,877 | ||||||||||
393,907 | Banc of America Funding Trust Series 2006-J 4A1(a) | 4.5810 | 01/20/47 | 337,713 | ||||||||||
131,323 | Banc of America Funding Trust Series 2007-A 2A2(b) | TSFR1M + 0.534% | 5.8920 | 02/20/47 | 107,942 | |||||||||
419,175 | Banc of America Funding Trust Series 2009-R9 3A3(a),(c) | 3.5080 | 11/25/56 | 297,082 | ||||||||||
108,208 | Banc of America Mortgage Trust Series 2005-A 1A1(a) | 3.2530 | 02/25/35 | 92,201 | ||||||||||
46,825 | Banc of America Mortgage Trust Series 2005-A 2A1(a) | 3.8160 | 02/25/35 | 44,948 | ||||||||||
12,104 | Banc of America Mortgage Trust Series 2005-G 4A2(a) | 4.3140 | 08/25/35 | 10,522 | ||||||||||
194,682 | Banc of America Mortgage Trust Series 2007-2 A6 | 5.7500 | 05/25/37 | 144,462 | ||||||||||
2,044,527 | Banc of America Mortgage Trust Series 2007-2 A1(b) | TSFR1M + 0.464% | 5.8200 | 05/25/37 | 1,366,404 | |||||||||
575,842 | Banc of America Mortgage Trust Series 2007-2 A3 | 6.0000 | 05/25/37 | 434,925 | ||||||||||
87,969 | Bear Stearns ALT-A Trust Series 2004-7 1A1(a) | 2.6250 | 10/25/34 | 59,600 | ||||||||||
774,967 | Bear Stearns ALT-A Trust Series 2005-4 23A2(a) | 4.4780 | 05/25/35 | 726,936 | ||||||||||
The accompanying notes are an integral part of these financial statements.
9
CATALYST ENHANCED INCOME STRATEGY FUND |
SCHEDULE OF INVESTMENTS (Unaudited) (Continued) |
December 31, 2023 |
Principal | Coupon Rate | |||||||||||||
Amount ($) | Spread | (%) | Maturity | Fair Value | ||||||||||
ASSET BACKED SECURITIES — 89.4% (Continued) | ||||||||||||||
COLLATERALIZED MORTGAGE OBLIGATIONS — 32.5% (Continued) | ||||||||||||||
395,374 | Bear Stearns ALT-A Trust Series 2005-5 24A1(a) | 4.3480 | 07/25/35 | $ | 340,035 | |||||||||
65,920 | Bear Stearns ALT-A Trust Series 2005-12 13A1(a) | 4.8050 | 02/25/36 | 49,370 | ||||||||||
62,288 | Bear Stearns ALT-A Trust Series 2006-2 3A2(a) | 4.2130 | 07/25/36 | 55,155 | ||||||||||
224,763 | Bear Stearns ALT-A Trust Series 2006-4 2A1(a) | 4.4250 | 10/25/36 | 199,644 | ||||||||||
951,919 | BRAVO Residential Funding Trust Series NQM4 A2(c),(d) | 6.5870 | 05/25/63 | 954,429 | ||||||||||
179,228 | Chase Mortgage Finance Trust Series 2005-S2 A1 | 5.5000 | 10/25/35 | 172,162 | ||||||||||
453,519 | Chase Mortgage Finance Trust Series 2006-S2 1A19 | 6.2500 | 10/25/36 | 188,808 | ||||||||||
318,488 | Chase Mortgage Finance Trust Series 2006-S3 1A6 | 6.0000 | 11/25/36 | 133,301 | ||||||||||
631,365 | Chase Mortgage Finance Trust Series 2006-S4 A5 | 6.0000 | 12/25/36 | 285,048 | ||||||||||
203,167 | ChaseFlex Trust Series 2005-2 2A2 | 6.5000 | 06/25/35 | 107,447 | ||||||||||
90,121 | ChaseFlex Trust Series 2006-1 A4(a) | 6.3000 | 06/25/36 | 77,543 | ||||||||||
70,528 | Chevy Chase Funding, LLC Mortgage-Backed Certificates Series 2004-1A A2(b),(c) | TSFR1M + 0.444% | 5.8000 | 01/25/35 | 66,672 | |||||||||
616,058 | CHL Mortgage Pass-Through Trust Series 2003-46 6A1(a) | 5.4800 | 01/19/34 | 572,853 | ||||||||||
72,771 | CHL Mortgage Pass-Through Trust Series 2005-HYB2 1A4(a) | 4.4040 | 05/20/35 | 68,539 | ||||||||||
294,423 | CHL Mortgage Pass-Through Trust Series 2005-18 A1 | 5.5000 | 10/25/35 | 169,530 | ||||||||||
392,511 | CHL Mortgage Pass-Through Trust Series 2006-HYB2 1A1(a) | 4.5240 | 04/20/36 | 343,129 | ||||||||||
928,204 | CHL Mortgage Pass-Through Trust Series 2006-12 A1 | 6.0000 | 07/25/36 | 486,009 | ||||||||||
3,030,440 | CHL Mortgage Pass-Through Trust Series 2006-17 A6 | 4.4290 | 12/25/36 | 1,237,593 | ||||||||||
207,114 | CHL Mortgage Pass-Through Trust Series 2007-J2 1A1 | 6.0000 | 07/25/37 | 180,718 | ||||||||||
165,390 | CHL Mortgage Pass-Through Trust Series 2007-J2 2A5 | 6.0000 | 07/25/37 | 61,345 | ||||||||||
825,742 | CHL Mortgage Pass-Through Trust Series 2007-17 3A1 | 2.6730 | 10/25/37 | 209,447 | ||||||||||
696,851 | CHL Mortgage Pass-Through Trust Series 2007-HY3 4A1(a) | 4.7520 | 06/25/47 | 690,464 | ||||||||||
336,167 | Citicorp Mortgage Securities Trust Series 2007-7 1A2 | 6.0000 | 08/25/37 | 337,549 | ||||||||||
4,716,363 | Citicorp Mortgage Securities Trust Series 2008-1 1A1 | 6.2500 | 02/25/38 | 4,362,867 | ||||||||||
340,532 | Citigroup Mortgage Loan Trust Series 2006-AR5 2A4A(a) | 4.4590 | 07/25/36 | 379,025 | ||||||||||
299,800 | Citigroup Mortgage Loan Trust Series 2007-6 1A1A(a) | 3.7200 | 03/25/37 | 259,941 | ||||||||||
2,939,376 | Citigroup Mortgage Loan Trust, Inc. Series 2007-AR7 A3A(a) | 3.3440 | 05/25/47 | 2,243,097 | ||||||||||
127,044 | CitiMortgage Alternative Loan Trust Series 2007-A4 1A6 | 5.7500 | 04/25/37 | 115,929 | ||||||||||
268,588 | Credit Suisse First Boston Mortgage Securities Corporation Series 2005-5 6A3 | 5.0000 | 07/25/35 | 260,494 | ||||||||||
2,747,263 | Credit Suisse First Boston Mortgage Securities Corporation Series 2005-8 2A1 | 4.9960 | 09/25/35 | 849,535 | ||||||||||
285,225 | Credit Suisse First Boston Mortgage Securities Corporation Series 2005-11 8A4 | 6.0000 | 12/25/35 | 222,801 | ||||||||||
695,709 | Credit Suisse First Boston Mortgage Securities Corporation Series 2005-12 1A1 | 3.5380 | 01/25/36 | 166,885 | ||||||||||
31,331 | CSFB Mortgage-Backed Pass-Through Certificates Series 2003-29 Series 2003-29 7A1 | 6.5000 | 12/25/33 | 31,535 | ||||||||||
The accompanying notes are an integral part of these financial statements.
10
CATALYST ENHANCED INCOME STRATEGY FUND |
SCHEDULE OF INVESTMENTS (Unaudited) (Continued) |
December 31, 2023 |
Principal | Coupon Rate | |||||||||||||
Amount ($) | Spread | (%) | Maturity | Fair Value | ||||||||||
ASSET BACKED SECURITIES — 89.4% (Continued) | ||||||||||||||
COLLATERALIZED MORTGAGE OBLIGATIONS — 32.5% (Continued) | ||||||||||||||
1,316,576 | CSFB Mortgage-Backed Pass-Through Certificates Series 2005-10 3A3 | 4.4050 | 11/25/35 | $ | 736,955 | |||||||||
220,569 | CSFB Mortgage-Backed Pass-Through Certificates Series 2005-10 6A3 | 5.7500 | 11/25/35 | 94,339 | ||||||||||
27,456 | CSMC Mortgage-Backed Trust Series 2007-5 8A2 | 6.0000 | 10/25/24 | 26,197 | ||||||||||
4,842,627 | CSMC Mortgage-Backed Trust Series 2006-3 5A7 | 3.4050 | 04/25/36 | 1,306,267 | ||||||||||
1,705,594 | CSMC Mortgage-Backed Trust Series 2006-5 3A6 | 4.1520 | 06/25/36 | 325,973 | ||||||||||
1,878,842 | CSMC Mortgage-Backed Trust Series 2006-5 3A1 | 4.3190 | 06/25/36 | 372,941 | ||||||||||
1,582,908 | CSMC Mortgage-Backed Trust Series 2006-5 3A3 | 4.3190 | 06/25/36 | 314,199 | ||||||||||
669,585 | CSMC Mortgage-Backed Trust Series 2006-5 3A4 | 4.3190 | 06/25/36 | 132,909 | ||||||||||
2,999,258 | CSMC Mortgage-Backed Trust Series 2006-7 9A5 | 3.5150 | 08/25/36 | 565,924 | ||||||||||
5,253,139 | CSMC Mortgage-Backed Trust Series 2006-9 4A1 | 6.0000 | 11/25/36 | 3,424,334 | ||||||||||
3,190,521 | Deutsche Alt-A Securities Mortgage Loan Trust Series 2007-1 1A4A(b) | TSFR1M + 0.224% | 5.5800 | 08/25/37 | 2,762,139 | |||||||||
101,658 | Deutsche Mortgage Securities Inc Mortgage Loan Trust Series 2004-2 M1(d) | 5.5900 | 01/25/34 | 95,626 | ||||||||||
394,344 | DSLA Mortgage Loan Trust Series 2004-AR2 A2B(b) | TSFR1M + 0.914% | 6.2700 | 11/19/44 | 369,994 | |||||||||
36,175 | First Horizon Alternative Mortgage Securities Trust Series 2004-AA3 A1(a) | 5.9430 | 09/25/34 | 34,936 | ||||||||||
8,155 | First Horizon Alternative Mortgage Securities Trust Series 2005-AA6 2A1(a) | 6.1300 | 08/25/35 | 5,983 | ||||||||||
16,001 | First Horizon Mortgage Pass-Through Trust Series 2000-H 2B1(a) | 5.8710 | 05/25/30 | 15,828 | ||||||||||
147,118 | First Horizon Mortgage Pass-Through Trust Series 2007-AR3 2A2(a) | 5.6740 | 11/25/37 | 113,788 | ||||||||||
17,799 | GMACM Mortgage Loan Trust Series 2005-AR1 4A(a) | 4.9620 | 03/18/35 | 17,561 | ||||||||||
329,780 | GMACM Mortgage Loan Trust Series 2006-J1 A2 | 5.7500 | 04/25/36 | 284,406 | ||||||||||
91,570 | GSMPS Mortgage Loan Trust Series 1998-5 A(a),(c) | 7.5000 | 06/19/27 | 88,914 | ||||||||||
163,339 | GSMPS Mortgage Loan Trust Series 1999-2 A(a),(c) | 8.0000 | 09/19/27 | 160,407 | ||||||||||
169,644 | GSR Mortgage Loan Trust Series 2003-5F 2A1 | 4.0000 | 08/25/32 | 159,237 | ||||||||||
19,835 | GSR Mortgage Loan Trust Series 2004-2F 6A1 | 7.0000 | 01/25/34 | 20,021 | ||||||||||
39,019 | GSR Mortgage Loan Trust Series 2004-6F 1A2 | 5.0000 | 05/25/34 | 37,687 | ||||||||||
42,171 | GSR Mortgage Loan Trust Series 2004-14 3A2(a) | 5.2760 | 12/25/34 | 37,974 | ||||||||||
907,976 | GSR Mortgage Loan Trust Series 2005-3F 1A3 | 5.5000 | 03/25/35 | 774,763 | ||||||||||
105,931 | GSR Mortgage Loan Trust Series 2005-AR4 4A1(a) | 5.3750 | 07/25/35 | 102,141 | ||||||||||
400,346 | GSR Mortgage Loan Trust Series 2006-2F 2A1 | 5.7500 | 02/25/36 | 358,198 | ||||||||||
253,261 | GSR Mortgage Loan Trust Series 2006-3F 2A7 | 5.7500 | 03/25/36 | 223,455 | ||||||||||
511,472 | GSR Mortgage Loan Trust Series 2006-9F 4A1 | 3.9880 | 10/25/36 | 235,881 | ||||||||||
104,313 | HomeBanc Mortgage Trust Series 2004-2 A1(b) | TSFR1M + 0.854% | 6.2100 | 12/25/34 | 97,952 | |||||||||
473,202 | HSI Asset Loan Obligation Trust Series 2007-2 3A6 | 6.0000 | 09/25/37 | 158,226 | ||||||||||
249,350 | Impac CMB Trust Series 2004-9 1A2(b) | TSFR1M + 0.994% | 6.3500 | 01/25/35 | 230,711 | |||||||||
335,804 | Impac CMB Trust Series 2005-5 M1(b) | TSFR1M + 0.624% | 6.2350 | 08/25/35 | 299,264 |
The accompanying notes are an integral part of these financial statements.
11
CATALYST ENHANCED INCOME STRATEGY FUND |
SCHEDULE OF INVESTMENTS (Unaudited) (Continued) |
December 31, 2023 |
Principal | Coupon Rate | |||||||||||||
Amount ($) | Spread | (%) | Maturity | Fair Value | ||||||||||
ASSET BACKED SECURITIES — 89.4% (Continued) | ||||||||||||||
COLLATERALIZED MORTGAGE OBLIGATIONS — 32.5% (Continued) | ||||||||||||||
2,010,073 | IndyMac IMSC Mortgage Loan Trust Series 2007-F2 1A4 | 6.0000 | 07/25/37 | $ | 1,451,379 | |||||||||
516,585 | IndyMac INDA Mortgage Loan Trust Series 2006-AR1 A3(a) | 3.6740 | 08/25/36 | 409,851 | ||||||||||
148,079 | IndyMac INDX Mortgage Loan Trust Series 2005-AR3 3A1(a) | 3.6640 | 04/25/35 | 138,664 | ||||||||||
90,227 | IndyMac INDX Mortgage Loan Trust Series 2005-AR5 4A1(a) | 4.0120 | 05/25/35 | 66,410 | ||||||||||
1,088,624 | IndyMac INDX Mortgage Loan Trust Series AR3 3A1B(a) | 3.3280 | 04/25/36 | 956,150 | ||||||||||
1,358,253 | JP Morgan Alternative Loan Trust 2005-S1 Series 2005-S1 1A6 | 6.5000 | 12/25/35 | 536,442 | ||||||||||
137,977 | JP Morgan Mortgage Trust Series 2004-S1 1A7 | 5.0000 | 09/25/34 | 140,011 | ||||||||||
32,830 | JP Morgan Mortgage Trust Series 2005-A1 4A1(a) | 6.0400 | 02/25/35 | 31,662 | ||||||||||
30,170 | JP Morgan Mortgage Trust Series 2006-A2 2A2(a) | 4.2030 | 04/25/36 | 26,466 | ||||||||||
223,224 | JP Morgan Mortgage Trust Series 2007-S1 2A10 | 6.0000 | 03/25/37 | 93,219 | ||||||||||
405,929 | JP Morgan Mortgage Trust Series 2007-A3 1A1(a) | 4.1440 | 05/25/37 | 351,542 | ||||||||||
4,832 | Lehman Mortgage Trust Series 2007-9 1A1 | 6.0000 | 10/25/37 | 4,459 | ||||||||||
9,615 | MASTR Adjustable Rate Mortgages Trust Series 2003-5 4A1(a) | 2.5760 | 11/25/33 | 8,556 | ||||||||||
22,623 | MASTR Adjustable Rate Mortgages Trust Series 2004-4 4A1(a) | 4.6020 | 05/25/34 | 20,585 | ||||||||||
378,723 | MASTR Adjustable Rate Mortgages Trust Series 2005-2 3A1(a) | 3.9210 | 03/25/35 | 341,799 | ||||||||||
182,652 | MASTR Adjustable Rate Mortgages Trust Series 2006-2 1A1(a) | 4.8720 | 04/25/36 | 172,330 | ||||||||||
133,616 | MASTR Alternative Loan Trust Series 2005-5 2A3 | 5.5000 | 07/25/25 | 126,421 | ||||||||||
6,274 | MASTR Alternative Loan Trust Series 2004-5 1A1 | 5.5000 | 06/25/34 | 6,131 | ||||||||||
73,190 | MASTR Alternative Loan Trust Series 2005-3 2A1 | 6.0000 | 03/25/35 | 66,541 | ||||||||||
104,209 | MASTR Alternative Loan Trust Series 2005-6 3A1 | 5.5000 | 12/25/35 | 82,457 | ||||||||||
351 | MASTR Asset Securitization Trust Series 2005-1 1A1(g) | 5.0000 | 168 | |||||||||||
683,364 | MASTR Asset Securitization Trust Series 2004-3 4A10 | 5.5000 | 03/25/34 | 603,599 | ||||||||||
685,659 | Merrill Lynch Alternative Note Asset Trust Series 2007-A2 A3D(b) | TSFR1M + 0.714% | 0.8130 | 03/25/37 | 28,151 | |||||||||
1,040,517 | Merrill Lynch Mortgage Investors Trust Series 2006-AF2 AF1 | 2.0840 | 10/25/36 | 442,158 | ||||||||||
55,029 | Morgan Stanley Mortgage Loan Trust Series 2004-5AR 1A1(a) | 4.9850 | 07/25/34 | 54,522 | ||||||||||
267,676 | Morgan Stanley Mortgage Loan Trust Series 2006-2 2A4 | 5.7500 | 02/25/36 | 242,630 | ||||||||||
566,690 | Morgan Stanley Mortgage Loan Trust Series 2006-8AR 3A(a) | 4.6810 | 06/25/36 | 424,632 | ||||||||||
4,917 | MortgageIT Trust Series 2005-1 2M1(b) | TSFR1M + 1.364% | 6.7070 | 02/25/35 | 4,733 | |||||||||
906,905 | NAAC Reperforming Loan REMIC Trust Certificates Series 2004-R3 A1(c) | 6.5000 | 02/25/35 | 760,882 | ||||||||||
2,208,000 | New Century Alternative Mortgage Loan Trust Series 2006-ALT2 AF6B(d) | 0.8740 | 10/25/36 | 135,716 | ||||||||||
1,197,223 | Nomura Asset Acceptance Corp Alternative Loan Trust Series 2005-AP3 A3(a) | 1.6270 | 08/25/35 | 548,161 | ||||||||||
581,847 | Nomura Asset Acceptance Corp Alternative Loan Trust Series 2005-AR4 5A3(b) | TSFR1M + 0.694% | 2.1650 | 08/25/35 | 286,559 | |||||||||
860,846 | Nomura Asset Acceptance Corp Alternative Loan Trust Series 2005-AR5 2A1(a) | 4.2700 | 10/25/35 | 472,832 | ||||||||||
11,168,477 | Nomura Asset Acceptance Corp Alternative Loan Trust Series 2006-AR2 3A1(b) | TSFR1M + 0.514% | 1.0560 | 04/25/36 | 2,527,783 | |||||||||
The accompanying notes are an integral part of these financial statements.
12
CATALYST ENHANCED INCOME STRATEGY FUND |
SCHEDULE OF INVESTMENTS (Unaudited) (Continued) |
December 31, 2023 |
Principal | Coupon Rate | |||||||||||||
Amount ($) | Spread | (%) | Maturity | Fair Value | ||||||||||
ASSET BACKED SECURITIES — 89.4% (Continued) | ||||||||||||||
COLLATERALIZED MORTGAGE OBLIGATIONS — 32.5% (Continued) | ||||||||||||||
991,711 | OBX Trust Series NQM10 A2(c),(d) | 6.9200 | 10/25/63 | $ | 1,004,821 | |||||||||
54,593 | Prime Mortgage Trust Series 2004-1 1A6 | 5.2500 | 08/25/34 | 52,032 | ||||||||||
286,839 | RALI Trust Series 2005-QO1 A2(b) | 12MTA + 1.500% | 6.4290 | 08/25/35 | 234,969 | |||||||||
3,752,667 | RALI Trust Series 2006-QO2 A2(b) | TSFR1M + 0.654% | 2.5460 | 02/25/46 | 766,905 | |||||||||
2,563,837 | RALI Trust Series 2006-QO3 A2(b) | TSFR1M + 0.634% | 3.3510 | 04/25/46 | 745,737 | |||||||||
77,498 | RALI Trust Series 2006-QS17 A4 | 6.0000 | 12/25/36 | 63,273 | ||||||||||
285,060 | Residential Asset Securitization Trust Series 2004-A7 A2 | 5.5000 | 10/25/34 | 270,707 | ||||||||||
6,153,256 | Residential Asset Securitization Trust Series 2005-A11 2A1 | 4.8500 | 10/25/35 | 2,316,583 | ||||||||||
484,783 | Residential Asset Securitization Trust Series 2006-A1 1A1 | 6.0000 | 04/25/36 | 212,477 | ||||||||||
3,655,241 | Residential Asset Securitization Trust Series 2006-A6 1A13 | 2.4720 | 07/25/36 | 1,077,552 | ||||||||||
2,823,089 | Residential Asset Securitization Trust Series 2006-A6 1A14 | 2.4720 | 07/25/36 | 832,235 | ||||||||||
737,375 | Residential Asset Securitization Trust Series 2006-A6 1A1 | 2.6780 | 07/25/36 | 228,479 | ||||||||||
593,909 | Residential Asset Securitization Trust Series 2006-A8 2A2 | 6.7500 | 08/25/36 | 177,919 | ||||||||||
894,796 | Residential Asset Securitization Trust Series 2006-A13 A1 | 4.9600 | 12/25/36 | 321,801 | ||||||||||
4,298,064 | Residential Asset Securitization Trust Series 2007-A1 A9 | 2.8390 | 03/25/37 | 1,374,899 | ||||||||||
�� | 362,157 | Residential Asset Securitization Trust Series 2007-A7 A6 | 6.0000 | 07/25/37 | 146,922 | |||||||||
2,436,141 | Residential Asset Securitization Trust Series 2007-A8 3A1(a) | 2.8180 | 08/25/37 | 1,143,365 | ||||||||||
212,717 | Residential Asset Securitization Trust Series 2007-A8 1A2 | 6.0000 | 08/25/37 | 113,731 | ||||||||||
1,503,365 | Residential Asset Securitization Trust Series 2007-A9 A7 | 3.3360 | 09/25/37 | 637,115 | ||||||||||
1,344,290 | Residential Asset Securitization Trust Series 2007-A9 A3 | 3.3360 | 09/25/37 | 569,700 | ||||||||||
44,601 | RFMSI Trust Series 2006-S3 A2 | 5.5000 | 03/25/36 | 36,226 | ||||||||||
1,423,877 | RFMSI Trust Series 2006-SA4 2A1(a) | 5.5550 | 11/25/36 | 1,243,318 | ||||||||||
361,903 | STARM Mortgage Loan Trust Series 2007-2 3A3(a) | 4.1500 | 04/25/37 | 219,188 | ||||||||||
157,382 | Structured Adjustable Rate Mortgage Loan Trust Series 2004-17 A1(a) | 4.1650 | 11/25/34 | 140,941 | ||||||||||
203,818 | Structured Adjustable Rate Mortgage Loan Trust Series 2004-19 1A2(a) | 4.1450 | 01/25/35 | 192,703 | ||||||||||
67,420 | Structured Adjustable Rate Mortgage Loan Trust Series 2005-7 3A1(a) | 5.4900 | 04/25/35 | 66,456 | ||||||||||
187,130 | Structured Asset Mortgage Investments II Trust Series 2007-AR3 2A1(b) | TSFR1M + 0.304% | 5.6600 | 09/25/47 | 167,274 | |||||||||
1,503,685 | Structured Asset Securities Corporation Series 1998-RF1 A(a),(c) | 3.9090 | 04/15/27 | 1,500,942 | ||||||||||
1,176,270 | SunTrust Alternative Loan Trust Series 2006-1F 2A | 6.5000 | 04/25/36 | 473,230 | ||||||||||
4,633,297 | TBW Mortgage-Backed Trust Series 2006-3 3A | 1.8440 | 07/25/36 | 1,034,558 | ||||||||||
164,504 | TBW Mortgage-Backed Trust Series 2006-2 3A1 | 5.5000 | 07/25/36 | 12,470 | ||||||||||
1,963,000 | TBW Mortgage-Backed Trust Series 2007-2 A2B(a) | 1.2960 | 07/25/37 | 129,104 | ||||||||||
1,525,000 | TBW Mortgage-Backed Trust Series 2007-2 A3B(a) | 1.2960 | 07/25/37 | 100,139 | ||||||||||
3,295,120 | TBW Mortgage-Backed Trust Series 2007-2 A6B(d) | 1.2960 | 07/25/37 | 214,775 | ||||||||||
The accompanying notes are an integral part of these financial statements.
13
CATALYST ENHANCED INCOME STRATEGY FUND |
SCHEDULE OF INVESTMENTS (Unaudited) (Continued) |
December 31, 2023 |
Principal | Coupon Rate | |||||||||||||
Amount ($) | Spread | (%) | Maturity | Fair Value | ||||||||||
ASSET BACKED SECURITIES — 89.4% (Continued) | ||||||||||||||
COLLATERALIZED MORTGAGE OBLIGATIONS — 32.5% (Continued) | ||||||||||||||
10,368 | Thornburg Mortgage Securities Trust Series 2006-4 A2B(a) | 5.3090 | 07/25/36 | $ | 8,454 | |||||||||
1,903,153 | Thornburg Mortgage Securities Trust Series 2007-2 A2A(b) | TSFR12M + 1.965% | 3.4280 | 06/25/37 | 1,645,519 | |||||||||
5,493,131 | Thornburg Mortgage Securities Trust Series 2006-3 A1(a) | 4.0310 | 06/25/46 | 3,609,297 | ||||||||||
303,536 | Thornburg Mortgage Securities Trust Series 2007-3 3A1(b) | TSFR12M + 1.965% | 6.8150 | 06/25/47 | 255,681 | |||||||||
885,392 | Verus Securitization Trust Series 2023-4 A2(c),(d) | 6.1160 | 05/25/27 | 881,294 | ||||||||||
911,826 | Verus Securitization Trust Series 2023-5 A2(c),(d) | 6.7590 | 06/25/68 | 917,813 | ||||||||||
13,549 | WaMu Mortgage Pass-Through Certificates Series 2004-CB2 1A | 5.0000 | 07/25/34 | 13,296 | ||||||||||
190,100 | WaMu Mortgage Pass-Through Certificates Series 2005-AR16 1A3(a) | 3.9470 | 12/25/35 | 169,723 | ||||||||||
59,493 | WaMu Mortgage Pass-Through Certificates Series 2005-AR18 2A1(a) | 3.7340 | 01/25/36 | 52,207 | ||||||||||
200,733 | Washington Mutual Mortgage Pass-Through Certificates Series 2005-4 CB11 | 5.5000 | 06/25/35 | 173,076 | ||||||||||
571,403 | Washington Mutual Mortgage Pass-Through Certificates Series 2006-2 1A4(b) | TSFR1M + 0.814% | 6.0000 | 03/25/36 | 517,596 | |||||||||
35,194 | Wells Fargo Alternative Loan Trust Series 2007-PA2 2A1(b) | TSFR1M + 0.544% | 5.9000 | 06/25/37 | 28,622 | |||||||||
250,379 | Wells Fargo Mortgage Backed Securities Series 2006-7 2A1 | 6.0000 | 06/25/36 | 213,431 | ||||||||||
82,635,898 | ||||||||||||||
HOME EQUITY — 17.5% | ||||||||||||||
2,247 | ABFC 2003-AHL1 Trust Series 2003-AHL1 M1(b) | TSFR1M + 1.389% | 6.7450 | 03/25/33 | 2,507 | |||||||||
7,154,331 | ACE Securities Corp Home Equity Loan Trust Series 2007-HE5 A2C(b) | TSFR1M + 0.474% | 1.4840 | 07/25/37 | 2,782,014 | |||||||||
42,461 | AFC Home Equity Loan Trust Series 1998-1 1A1(b) | TSFR1M + 0.774% | 6.1170 | 04/25/28 | 42,270 | |||||||||
73,969 | Ameriquest Mortgage Securities Asset-Backed Pass-Through Ctfs Series 2002-AR1 M2(b) | TSFR1M + 2.064% | 3.7310 | 09/25/32 | 65,444 | |||||||||
167,056 | Amresco Residential Securities Corp Mortgage Loan Trust Series 1997-3 M2F(a) | 4.6510 | 09/25/27 | 157,042 | ||||||||||
507,934 | Bayview Financial Acquisition Trust Series 2007-A 2A(b) | TSFR1M + 0.639% | 5.9960 | 05/28/37 | 446,973 | |||||||||
2,827,467 | Bayview Financial Mortgage Pass-Through Trust Series 2007-B 2A3(b) | TSFR1M + 1.389% | 1.2050 | 08/28/47 | 849,051 | |||||||||
925,886 | Bayview Financial Mortgage Pass-Through Trust Series 2007-B 2A4(b) | TSFR1M + 1.164% | 1.2050 | 08/28/47 | 278,037 | |||||||||
334,034 | Bear Stearns Asset Backed Securities I Trust Series 2004-FR2 M5(b) | TSFR1M + 2.739% | 5.2880 | 06/25/34 | 304,686 | |||||||||
111,644 | Bear Stearns Asset Backed Securities I Trust Series 2004-HE7 M5(b) | TSFR1M + 3.039% | 8.3950 | 08/25/34 | 104,887 | |||||||||
915,923 | Bear Stearns Asset Backed Securities Trust Series 2 M2(b) | TSFR1M + 2.964% | 7.7030 | 08/25/34 | 905,569 | |||||||||
457,270 | Bear Stearns Asset Backed Securities Trust Series 2004-HE3 M5(b) | TSFR1M + 2.889% | 5.4900 | 04/25/34 | 443,033 | |||||||||
8,280 | Centex Home Equity Loan Trust Series 2002-A AF6 | 5.5400 | 01/25/32 | 8,123 | ||||||||||
180,852 | CHEC Loan Trust Series 2004-2 M1(b) | TSFR1M + 1.074% | 6.4300 | 06/25/34 | 179,367 | |||||||||
4,691,454 | Credit Suisse Seasoned Loan Trust Series 2006-1 M1(b),(c) | TSFR1M + 0.939% | 3.1360 | 10/25/34 | 4,595,605 | |||||||||
415,795 | Delta Funding Home Equity Loan Trust Series 1998-1 B1A(b) | TSFR1M + 2.004% | 7.3600 | 05/25/30 | 404,721 | |||||||||
596,848 | EMC Mortgage Loan Trust Series 2001-A A(b),(c) | TSFR1M + 0.854% | 6.2100 | 05/25/40 | 588,423 | |||||||||
The accompanying notes are an integral part of these financial statements.
14
CATALYST ENHANCED INCOME STRATEGY FUND |
SCHEDULE OF INVESTMENTS (Unaudited) (Continued) |
December 31, 2023 |
Principal | Coupon Rate | |||||||||||||
Amount ($) | Spread | (%) | Maturity | Fair Value | ||||||||||
ASSET BACKED SECURITIES — 89.4% (Continued) | ||||||||||||||
HOME EQUITY — 17.5% (Continued) | ||||||||||||||
4,245,000 | EMC Mortgage Loan Trust Series 2004-B M2(b),(c) | TSFR1M + 3.489% | 8.8450 | 01/25/41 | $ | 4,035,862 | ||||||||
88,314 | GE Mortgage Services, LLC Series 1998-HE2 A6(a) | 6.6450 | 09/25/28 | 85,362 | ||||||||||
11,286,673 | GSAA Home Equity Trust Series 2006-3 A4(b) | TSFR1M + 0.814% | 1.4380 | 03/25/36 | 991,944 | |||||||||
1,427,020 | GSAA Home Equity Trust Series 2006-18 AF4B(d) | 1.1180 | 11/25/36 | 73,021 | ||||||||||
2,076,558 | GSAA Home Equity Trust Series 2006-18 AF3B(a) | 1.1180 | 11/25/36 | 107,313 | ||||||||||
1,655,000 | GSAA Home Equity Trust Series 2006-18 AF5B(d) | 1.1180 | 11/25/36 | 84,608 | ||||||||||
2,894,268 | GSR Mortgage Loan Trust Series 2005-AR3 6A1(a) | 3.9700 | 05/25/35 | 2,375,389 | ||||||||||
44,563 | Home Equity Asset Trust Series 2003-3 M2(b) | TSFR1M + 2.484% | 7.8400 | 08/25/33 | 41,528 | |||||||||
2,769,946 | Home Equity Asset Trust Series 2004-5 M6(b) | TSFR1M + 2.064% | 4.8160 | 11/25/34 | 2,696,253 | |||||||||
735,695 | Home Equity Asset Trust Series 2004-8 M5(b) | TSFR1M + 1.714% | 7.0700 | 03/25/35 | 678,838 | |||||||||
3,972,085 | Home Equity Loan Trust Series 2006-HSA2 AI3(a) | 1.4570 | 03/25/36 | 197,659 | ||||||||||
72,462 | Home Equity Mortgage Loan Asset-Backed Trust Series 2003-A AV2(b) | TSFR1M + 0.974% | 4.6930 | 10/25/33 | 72,259 | |||||||||
313,129 | Home Equity Mortgage Loan Asset-Backed Trust Series SPMD Series 2004-C M3(b) | TSFR1M + 1.089% | 4.6520 | 03/25/35 | 271,962 | |||||||||
184,628 | Home Equity Mortgage Loan Asset-Backed Trust Series SPMD 2004-C M7(b) | TSFR1M + 2.739% | 4.6520 | 03/25/35 | 146,528 | |||||||||
930,786 | Mastr Asset Backed Securities Trust Series 2003-OPT2 M4(b) | TSFR1M + 5.889% | 2.7770 | 05/25/33 | 768,562 | |||||||||
1,476 | Mastr Asset Backed Securities Trust Series 2005-WMC1 M4(b) | TSFR1M + 1.059% | 6.4150 | 03/25/35 | 1,573 | |||||||||
5,231,268 | Mastr Asset Backed Securities Trust Series 2006-WMC2 A5(b) | TSFR1M + 0.614% | 1.1900 | 04/25/36 | 1,244,189 | |||||||||
316,626 | Meritage Mortgage Loan Trust Series 2004-1 M1(b) | TSFR1M + 0.864% | 6.2200 | 07/25/34 | 315,868 | |||||||||
664,985 | Merrill Lynch Mortgage Investors Trust Series 2004-HE1 M2(b) | TSFR1M + 2.364% | 4.2690 | 04/25/35 | 619,361 | |||||||||
502,060 | Merrill Lynch Mortgage Investors Trust Series 2006-AR1 A1(b) | TSFR1M + 0.444% | 5.8000 | 03/25/37 | 176,643 | |||||||||
58,606 | Morgan Stanley A.B.S Capital I Inc Trust Series 2004-HE1 B1(b) | TSFR1M + 2.739% | 8.0950 | 01/25/34 | 59,613 | |||||||||
827,018 | Nomura Home Equity Loan Inc Home Equity Loan Trust Series 2006-AF1 A4(b) | TSFR1M + 0.774% | 1.1290 | 10/25/36 | 184,443 | |||||||||
351,509 | NovaStar Mortgage Funding Trust Series 2003-1 M1(b) | TSFR1M + 1.539% | 4.1210 | 05/25/33 | 334,454 | |||||||||
167,479 | NovaStar Mortgage Funding Trust Series 2004-1 M4(b) | TSFR1M + 1.577% | 6.9330 | 06/25/34 | 160,414 | |||||||||
2,976,132 | NovaStar Mortgage Funding Trust Series 2006-6 A2B(b) | TSFR1M + 0.314% | 0.5980 | 01/25/37 | 1,051,222 | |||||||||
254,492 | RASC Trust Series 2004-KS10 M4(b) | TSFR1M + 2.589% | 7.9450 | 11/25/34 | 240,786 | |||||||||
19,817 | Renaissance Home Equity Loan Trust Series 2002-4 M2(d) | 6.5430 | 03/25/33 | 14,165 | ||||||||||
270,813 | Renaissance Home Equity Loan Trust Series 2003-2 M1(b) | TSFR1M + 1.352% | 4.1560 | 08/25/33 | 251,038 | |||||||||
330,202 | Renaissance Home Equity Loan Trust Series 2007-2 AF2(d) | 5.6750 | 06/25/37 | 87,519 | ||||||||||
174,963 | Renaissance Home Equity Loan Trust Series 2007-3 AF3(d) | 7.2380 | 09/25/37 | 74,666 | ||||||||||
10,873,252 | Renaissance Home Equity Loan Trust Series 2007-1 AF3(d) | 4.3710 | 04/25/37 | 2,951,762 | ||||||||||
431,110 | Renaissance Home Equity Loan Trust Series 2007-1 AF5(d) | 4.6030 | 04/25/37 | 123,256 | ||||||||||
628,724 | Saxon Asset Sec Trust Mtg Ln Asset Bk Cert Series 2000-1 BF1(a) | 3.9710 | 02/25/30 | 746,686 | ||||||||||
3,392,722 | Structured Asset Securities Corp Mortgage Loan Series 2005-NC2 M7(b) | TSFR1M + 1.164% | 4.4410 | 05/25/35 | 2,991,647 |
The accompanying notes are an integral part of these financial statements.
15
CATALYST ENHANCED INCOME STRATEGY FUND |
SCHEDULE OF INVESTMENTS (Unaudited) (Continued) |
December 31, 2023 |
Principal | Coupon Rate | |||||||||||||
Amount ($) | Spread | (%) | Maturity | Fair Value | ||||||||||
ASSET BACKED SECURITIES — 89.4% (Continued) | ||||||||||||||
HOME EQUITY — 17.5% (Continued) | ||||||||||||||
6,807 | Terwin Mortgage Trust Series 2004-7HE M1(b),(c) | TSFR1M + 1.389% | 6.7450 | 07/25/34 | $ | 6,454 | ||||||||
23,587,000 | Terwin Mortgage Trust Series 2006-3 2A3(b),(c) | TSFR1M + 0.734% | 1.7850 | 04/25/37 | 7,574,402 | |||||||||
43,995,001 | ||||||||||||||
MANUFACTURED HOUSING — 0.3% | ||||||||||||||
1,420,764 | BCMSC Trust Series 1999-B A4(a) | 7.3000 | 12/15/29 | 162,377 | ||||||||||
1,611,849 | BCMSC Trust Series 2000-A A4(a) | 8.2900 | 06/15/30 | 205,746 | ||||||||||
500,000 | Cascade MH Asset Trust Series 2019-MH1 M(a),(c) | 5.9850 | 11/01/44 | 479,410 | ||||||||||
847,533 | ||||||||||||||
NON AGENCY CMBS — 26.2% | ||||||||||||||
2,869,000 | CFCRE Commercial Mortgage Trust Series 2011-C2 E(a),(c) | 5.2490 | 12/15/47 | 2,354,604 | ||||||||||
6,357,126 | Citigroup Commercial Mortgage Trust Series 2014-GC21 E(a),(c) | 3.5880 | 05/10/47 | 4,480,207 | ||||||||||
3,100,000 | Citigroup Commercial Mortgage Trust Series 2014-GC21 D(a),(c) | 4.9370 | 05/10/47 | 2,398,344 | ||||||||||
4,565,000 | Citigroup Commercial Mortgage Trust Series 2015-GC35 D | 3.2360 | 11/10/48 | 2,967,907 | ||||||||||
5,000,000 | Citigroup Commercial Mortgage Trust Series 2015-GC35 C(a) | 4.4580 | 11/10/48 | 3,889,933 | ||||||||||
4,108,000 | COMM Mortgage Trust Series 2013-CR12 C(a) | 4.8940 | 10/10/46 | 874,206 | ||||||||||
2,964,000 | Commercial Mortgage Pass Through Certificates Series 2012-LTRT B(c) | 3.8000 | 10/05/30 | 2,394,908 | ||||||||||
6,190,897 | GS Mortgage Securities Corporation II Floating Rate Series 2018-SRP5 A(b),(c) | TSFR1M + 1.914% | 7.2760 | 09/15/31 | 4,447,007 | |||||||||
2,622,300 | GS Mortgage Securities Trust Series 2014-GC22 D(a),(c) | 4.6850 | 06/10/47 | 1,544,361 | ||||||||||
5,726,000 | GS Mortgage Securities Trust Series 2014-GC22 E(c) | 3.5820 | 06/10/47 | 2,952,315 | ||||||||||
1,350,000 | HMH Trust Series 2017-NSS E(c) | 6.2920 | 07/05/31 | 651,330 | ||||||||||
6,505,000 | JP Morgan Chase Commercial Mortgage Securities Trust Series 2011-C3 C(a),(c) | 5.3600 | 02/15/46 | 5,514,443 | ||||||||||
1,250,000 | JPMBB Commercial Mortgage Securities Trust Series 2015-C32 D(a) | 4.1540 | 11/15/48 | 440,625 | ||||||||||
2,626,409 | Morgan Stanley Capital I Trust Series 2006-HQ10 B(a) | 5.4480 | 11/12/41 | 2,204,290 | ||||||||||
5,000,000 | Morgan Stanley Capital I Trust Series 2012-C4 E(a),(c) | 5.1640 | 03/15/45 | 3,083,984 | ||||||||||
2,740,000 | Morgan Stanley Capital I Trust Series 2006-T21 C(a),(c) | 5.1850 | 10/12/52 | 2,614,544 | ||||||||||
3,800,000 | MSBAM Commercial Mortgage Securities Trust Series 2012-CKSV B(c) | 4.0880 | 10/15/30 | 2,736,323 | ||||||||||
13,533,384 | Starwood Retail Property Trust Series 2014-STAR A(b),(c) | PRIME + 0.000% | 8.5000 | 11/15/27 | 9,749,715 | |||||||||
443,088 | Velocity Commercial Capital Loan Trust Series 2022-3 M1(a),(c) | 6.1300 | 06/25/52 | 432,448 | ||||||||||
1,988,591 | Wachovia Bank Commercial Mortgage Trust Series 2006-C24 E(a) | 5.3990 | 03/15/45 | 1,861,851 | ||||||||||
3,106,000 | Wells Fargo Commercial Mortgage Trust Series 2015-SG1 D(a) | 4.4520 | 12/15/47 | 2,185,259 | ||||||||||
6,000,000 | WFRBS Commercial Mortgage Trust Series 2013-C14 D(a),(c) | 3.8360 | 06/15/46 | 2,675,250 | ||||||||||
6,546,000 | WFRBS Commercial Mortgage Trust Series 2013-C15 D(a),(c) | 4.2040 | 08/15/46 | 2,683,860 | ||||||||||
3,000,000 | WFRBS Commercial Mortgage Trust Series 2014-C22 E(c) | 3.4550 | 09/15/57 | 1,165,944 | ||||||||||
66,303,658 | ||||||||||||||
The accompanying notes are an integral part of these financial statements.
16
CATALYST ENHANCED INCOME STRATEGY FUND |
SCHEDULE OF INVESTMENTS (Unaudited) (Continued) |
December 31, 2023 |
Principal | Coupon Rate | |||||||||||||
Amount ($) | Spread | (%) | Maturity | Fair Value | ||||||||||
ASSET BACKED SECURITIES — 89.4% (Continued) | ||||||||||||||
RESIDENTIAL MORTGAGE — 12.9% | ||||||||||||||
452,197 | Bear Stearns Asset Backed Securities Trust Series 2003-SD2 B1(a) | 5.3440 | 06/25/43 | $ | 393,531 | |||||||||
61,763 | Bear Stearns Asset Backed Securities Trust Series 2004-SD4 A1(b) | TSFR1M + 1.014% | 6.3700 | 08/25/44 | 58,506 | |||||||||
89,877 | Carrington Mortgage Loan Trust Series 2004-NC2 M1(b) | TSFR1M + 1.149% | 6.5050 | 08/25/34 | 88,254 | |||||||||
5,428,415 | Carrington Mortgage Loan Trust Series 2006-FRE2 A5(b) | TSFR1M + 0.194% | 2.8550 | 03/25/35 | 4,205,843 | |||||||||
9,414,494 | Carrington Mortgage Loan Trust Series 2006-FRE2 A2(b) | TSFR1M + 0.234% | 2.8560 | 10/25/36 | 7,297,235 | |||||||||
2,260,725 | Carrington Mortgage Loan Trust Series 2006-FRE2 A3(b) | TSFR1M + 0.274% | 2.8560 | 10/25/36 | 1,752,818 | |||||||||
350,305 | Chase Funding Trust Series 2003-3 2M2(b) | TSFR1M + 1.959% | 7.3150 | 11/25/32 | 347,344 | |||||||||
37,734 | Credit-Based Asset Servicing and Securitization, LLC Series 2002-CB4 B1(b) | US0001M + 2.850% | 8.3200 | 02/25/33 | 38,587 | |||||||||
18,606 | Credit-Based Asset Servicing and Securitization, LLC Series 2004-CB6 M2(b) | TSFR1M + 1.839% | 5.1240 | 07/25/35 | 17,280 | |||||||||
1,727,392 | Credit-Based Asset Servicing and Securitization, LLC Series 2004-CB8 M3(b) | TSFR1M + 1.614% | 3.7860 | 12/25/35 | 1,508,984 | |||||||||
626,282 | Encore Credit Receivables Trust Series 2005-1 M4(b) | TSFR1M + 1.134% | 6.4900 | 07/25/35 | 550,856 | |||||||||
655,785 | Equity One Mortgage Pass-Through Trust Series 2004-3 M2(d) | 3.8840 | 07/25/34 | 558,959 | ||||||||||
778,830 | Equity One Mortgage Pass-Through Trust Series 2002-4 M2(a) | 0.5450 | 02/25/33 | 649,603 | ||||||||||
246,381 | Finance America Mortgage Loan Trust Series 2004-3 M4(b) | TSFR1M + 1.494% | 6.8500 | 11/25/34 | 192,779 | |||||||||
139,492 | Fremont Home Loan Trust Series 2004-2 M6(b) | TSFR1M + 2.139% | 7.4950 | 07/25/34 | 112,357 | |||||||||
8,207,920 | GE-WMC Mortgage Securities Trust Series 2006-1 A2B(b) | TSFR1M + 0.414% | 1.3690 | 08/25/36 | 3,412,980 | |||||||||
3,201,671 | GE-WMC Mortgage Securities Trust Series 2006-1 A2C(b) | TSFR1M + 0.594% | 1.3710 | 08/25/36 | 1,331,256 | |||||||||
2,393,124 | GSRPM Mortgage Loan Trust Series 2007-1 A(b),(c) | TSFR1M + 0.514% | 3.3370 | 10/25/46 | 2,145,222 | |||||||||
80,470 | Home Equity Mortgage Loan Asset-Backed Trust Series 2006-D 2A3(b) | TSFR1M + 0.274% | 5.6300 | 11/25/36 | 70,402 | |||||||||
399,668 | IXIS Real Estate Capital Trust Series 2006-HE2 A3(b) | TSFR1M + 0.434% | 5.7900 | 08/25/36 | 113,538 | |||||||||
381,474 | Lehman XS Trust Series 2007-3 1BA1(b) | TSFR1M + 0.434% | 5.7900 | 03/25/37 | 363,157 | |||||||||
358,721 | Lehman XS Trust Series 2007-3 1BA2(b) | TSFR6M + 0.928% | 6.2990 | 03/25/37 | 351,957 | |||||||||
24,969 | Long Beach Mortgage Loan Trust Series 2004-3 M1(b) | TSFR1M + 0.969% | 6.3250 | 07/25/34 | 24,494 | |||||||||
44,650,621 | Merrill Lynch Mortgage Investors Trust Series 2006-RM2 A1B(b) | TSFR1M + 0.584% | 0.6990 | 05/25/37 | 1,966,159 | |||||||||
39,783 | Morgan Stanley A.B.S Capital I Inc Trust Series 2004-NC8 M4(b) | TSFR1M + 1.614% | 6.9700 | 09/25/34 | 41,223 | |||||||||
8,875,000 | Morgan Stanley A.B.S Capital I Inc Trust Series 2007-SEA1 2A4(b),(c) | TSFR1M + 3.914% | 1.1930 | 02/25/47 | 706,777 | |||||||||
3,173,453 | Park Place Securities Inc Asset-Backed Pass-Through Certificates Series 2004-WCW2 M6(b) | TSFR1M + 2.289% | 3.8260 | 10/25/34 | 2,634,428 | |||||||||
2,034,195 | RAMP Trust Series 2007-RS1 A3(b) | TSFR1M + 0.454% | 5.8100 | 02/25/37 | 513,927 | |||||||||
538,077 | Specialty Underwriting & Residential Finance Trust Series 2007-AB1 A2D(b) | TSFR1M + 0.464% | 5.8200 | 03/25/37 | 293,232 | |||||||||
201,347 | Structured Asset Investment Loan Trust Series 2004-5 M5(b) | TSFR1M + 1.839% | 7.1950 | 05/25/34 | 178,008 | |||||||||
645,730 | Structured Asset Investment Loan Trust Series 2004-11 M2(b) | TSFR1M + 1.089% | 6.4450 | 01/25/35 | 583,975 | |||||||||
278,525 | Structured Asset Securities Corp Series 2005-WF1 M8(b) | TSFR1M + 2.169% | 7.5250 | 02/25/35 | 275,910 | |||||||||
32,779,581 | ||||||||||||||
The accompanying notes are an integral part of these financial statements.
17
CATALYST ENHANCED INCOME STRATEGY FUND |
SCHEDULE OF INVESTMENTS (Unaudited) (Continued) |
December 31, 2023 |
Principal | Coupon Rate | |||||||||||||
Amount ($) | Spread | (%) | Maturity | Fair Value | ||||||||||
TOTAL ASSET BACKED SECURITIES (Cost $286,196,224) | $ | 226,561,671 | ||||||||||||
U.S. GOVERNMENT & AGENCY OBLIGATIONS — 9.0% | ||||||||||||||
245,597 | Fannie Mae REMICS Series 2012-126 DI(e) | 3.0000 | 11/25/27 | 9,786 | ||||||||||
292,988 | Fannie Mae REMICS Series 2012-94 YS(b),(e) | SOFR30A + 6.536% | 1.1980 | 06/25/39 | 2,119 | |||||||||
886,549 | Fannie Mae REMICS Series 2011-124 NS NS(b),(e) | SOFR30A + 6.386% | 1.0480 | 12/25/41 | 103,583 | |||||||||
70,940 | Fannie Mae REMICS Series 2013-42 PD | 1.2500 | 05/25/43 | 58,735 | ||||||||||
968,832 | Fannie Mae REMICS Series 2017-30 MI(e) | 4.0000 | 02/25/44 | 44,461 | ||||||||||
34,371 | Fannie Mae REMICS Series 2017-6 MI(e) | 4.0000 | 08/25/44 | 2,313 | ||||||||||
627,481 | Fannie Mae REMICS Series 2017-38 S(b),(e) | SOFR30A + 5.986% | 0.6480 | 05/25/47 | 74,156 | |||||||||
920,333 | Fannie Mae REMICS Series 2017-112 SC(b),(e) | SOFR30A + 6.036% | 0.6980 | 01/25/48 | 123,374 | |||||||||
15,669,029 | Fannie Mae REMICS Series 2018-28 ID(a),(e) | 0.0001 | 05/25/48 | 996,259 | ||||||||||
791,208 | Fannie Mae REMICS Series 2019-37 CI(e) | 4.5000 | 09/25/48 | 137,450 | ||||||||||
259,754 | Fannie Mae REMICS Series 2020-16 SJ(b),(e) | SOFR30A + 5.936% | 0.5980 | 03/25/50 | 29,097 | |||||||||
3,113,513 | Fannie Mae REMICS Series 2020-95 IB(e) | 2.5000 | 01/25/51 | 483,762 | ||||||||||
6,817,131 | Fannie Mae REMICS Series 2021-69 IK(e) | 2.0000 | 05/25/51 | 1,160,622 | ||||||||||
7,522,318 | Fannie Mae REMICS Series 2021-45 JI(e) | 2.5000 | 07/25/51 | 1,151,220 | ||||||||||
3,040,471 | Fannie Mae REMICS Series 2021-56 IM(b),(e) | SOFR30A + 2.200% | 0.0001 | 09/25/51 | 101,306 | |||||||||
21,567,859 | Fannie Mae REMICS Series 2021-69 JS(b),(e) | SOFR30A + 2.550% | 0.0001 | 10/25/51 | 514,370 | |||||||||
12,392,845 | Fannie Mae REMICS Series 2021-80 IA(e) | 2.0000 | 11/25/51 | 1,608,308 | ||||||||||
215,670 | Freddie Mac REMICS Series 4205 AI(e) | 2.5000 | 05/15/28 | 7,484 | ||||||||||
2,030,804 | Freddie Mac REMICS Series 4226 IM(e) | 3.5000 | 09/15/31 | 32,181 | ||||||||||
8,333,596 | Freddie Mac REMICS Series 4639 GS(b),(e) | 0.0001 | 03/15/36 | 359,754 | ||||||||||
811,471 | Freddie Mac REMICS Series 3852 SW(b),(e) | SOFR30A + 5.886% | 0.5470 | 05/15/41 | 81,402 | |||||||||
147,903 | Freddie Mac REMICS Series 3980 TS(b),(e) | SOFR30A + 6.386% | 1.0470 | 09/15/41 | 18,153 | |||||||||
803,853 | Freddie Mac REMICS Series 4100 JI(e) | 3.5000 | 10/15/41 | 96,914 | ||||||||||
597,915 | Freddie Mac REMICS Series 4580 MI(e) | 3.5000 | 02/15/43 | 18,488 | ||||||||||
5,250,294 | Freddie Mac REMICS Series 4239 NI(b),(e) | SOFR30A + 28.791% | 0.0001 | 07/15/43 | 917,566 | |||||||||
99,507 | Freddie Mac REMICS Series 4680 LI(e) | 4.0000 | 10/15/43 | 1,498 | ||||||||||
65,121 | Freddie Mac REMICS Series 4449 PI(e) | 4.0000 | 11/15/43 | 6,352 | ||||||||||
467,456 | Freddie Mac REMICS Series 4314 SE(b),(e) | SOFR30A + 5.936% | 0.5970 | 03/15/44 | 54,866 | |||||||||
362,033 | Freddie Mac REMICS Series 4431 ST(b),(e) | SOFR30A + 5.986% | 0.6470 | 01/15/45 | 40,154 | |||||||||
The accompanying notes are an integral part of these financial statements.
18
CATALYST ENHANCED INCOME STRATEGY FUND |
SCHEDULE OF INVESTMENTS (Unaudited) (Continued) |
December 31, 2023 |
Principal | Coupon Rate | |||||||||||||
Amount ($) | Spread | (%) | Maturity | Fair Value | ||||||||||
U.S. GOVERNMENT & AGENCY OBLIGATIONS — 9.0% (Continued) | ||||||||||||||
90,364 | Freddie Mac REMICS Series 4818 BI(e) | 4.0000 | 03/15/45 | $ | 2,657 | |||||||||
342,021 | Freddie Mac REMICS Series 4672 AI(e) | 4.5000 | 03/15/45 | 5,919 | ||||||||||
399,000 | Freddie Mac REMICS Series 5050 GL | 1.2500 | 12/25/50 | 185,269 | ||||||||||
5,887,907 | Freddie Mac REMICS Series 5071 IS(e) | 2.0000 | 02/25/51 | 688,651 | ||||||||||
834,624 | Freddie Mac REMICS Series 5071 IF(e) | 2.0000 | 02/25/51 | 70,183 | ||||||||||
19,153,779 | Freddie Mac REMICS Series 5090 SA(b),(e) | SOFR30A + 1.550% | 0.0001 | 03/25/51 | 96,041 | |||||||||
15,298,390 | Freddie Mac REMICS Series 5177 AS(b),(e) | SOFR30A + 3.150% | 0.0001 | 12/25/51 | 296,576 | |||||||||
434,492 | Government National Mortgage Association Series 2014-118 AI(e) | 3.5000 | 05/16/40 | 18,100 | ||||||||||
4,312,220 | Government National Mortgage Association Series 2015-3 DS(b),(e) | TSFR1M + 5.486% | 0.1280 | 11/20/41 | 77,975 | |||||||||
188,708 | Government National Mortgage Association Series 2012-36 QS(b),(e) | TSFR1M + 6.506% | 1.1480 | 03/20/42 | 14,686 | |||||||||
388,156 | Government National Mortgage Association Series 2018-154 DI(e) | 4.0000 | 01/20/45 | 14,633 | ||||||||||
604,027 | Government National Mortgage Association Series 2016-147 PI(e) | 3.5000 | 06/20/45 | 65,272 | ||||||||||
218,562 | Government National Mortgage Association Series 2016-1 ST(b),(e) | TSFR1M + 6.086% | 0.7280 | 01/20/46 | 23,213 | |||||||||
4,727,252 | Government National Mortgage Association Series 2018-154 SP(b),(e) | TSFR1M + 6.036% | 0.6780 | 11/20/48 | 486,300 | |||||||||
12,452,003 | Government National Mortgage Association Series 2019-20 ES(b),(e) | TSFR1M + 3.676% | 0.0001 | 02/20/49 | 329,159 | |||||||||
20,792,897 | Government National Mortgage Association Series 2019-112 AS(b),(e) | TSFR1M + 3.296% | 0.0001 | 09/20/49 | 356,933 | |||||||||
4,281,609 | Government National Mortgage Association Series 2020-122 YI(e) | 2.5000 | 08/20/50 | 569,209 | ||||||||||
952,000 | Government National Mortgage Association Series 2020-141 ML | 1.5000 | 09/20/50 | 471,115 | ||||||||||
6,560,012 | Government National Mortgage Association Series 2021-49 IP(e) | 2.5000 | 01/20/51 | 712,438 | ||||||||||
8,182,154 | Government National Mortgage Association Series 2021-24 LI(e) | 2.5000 | 01/20/51 | 1,218,208 | ||||||||||
9,691,240 | Government National Mortgage Association Series 2021-41 BI(e) | 2.0000 | 03/20/51 | 1,308,224 | ||||||||||
290,582 | Government National Mortgage Association Series 2021-89 JL | 1.5000 | 05/20/51 | 159,838 | ||||||||||
3,636,372 | Government National Mortgage Association Series 2021-83 EI(e) | 2.5000 | 05/20/51 | 478,892 | ||||||||||
16,544,382 | Government National Mortgage Association Series 2022-22 PS(b),(e) | SOFR30A + 3.650% | 0.0001 | 08/20/51 | 413,762 | |||||||||
6,689,965 | Government National Mortgage Association Series 2021-156 QI(e) | 2.5000 | 09/20/51 | 761,084 | ||||||||||
10,479,684 | Government National Mortgage Association Series 2021-156 BI(e) | 2.5000 | 09/20/51 | 1,605,818 | ||||||||||
1,705,801 | Government National Mortgage Association Series 2021-226 HL | 1.5000 | 12/20/51 | 1,032,502 | ||||||||||
10,199,622 | Government National Mortgage Association Series 2022-69 QI(e) | 4.0000 | 04/20/52 | 1,391,980 | ||||||||||
16,615,912 | Government National Mortgage Association Series 2022-93 AS(b),(e) | SOFR30A + 4.150% | 0.0001 | 05/20/52 | 635,195 | |||||||||
17,910,226 | Government National Mortgage Association Series 2022-83 SJ(b),(e) | SOFR30A + 3.200% | 0.0001 | 05/20/52 | 218,277 | |||||||||
45,688,506 | Government National Mortgage Association Series 2022-121 SA(b),(e) | SOFR30A + 3.690% | 0.0001 | 07/20/52 | 772,054 | |||||||||
TOTAL U.S. GOVERNMENT & AGENCY OBLIGATIONS (Cost $29,047,424) | 22,715,896 | |||||||||||||
The accompanying notes are an integral part of these financial statements.
19
CATALYST ENHANCED INCOME STRATEGY FUND |
SCHEDULE OF INVESTMENTS (Unaudited) (Continued) |
December 31, 2023 |
Shares | Fair Value | |||||||
SHORT-TERM INVESTMENTS — 1.6% | ||||||||
MONEY MARKET FUNDS - 1.6% | ||||||||
4,073,003 | First American Treasury Obligations Fund, Class X, 5.28% (Cost $4,073,003)(f) | $ | 4,073,003 | |||||
TOTAL INVESTMENTS - 100.0% (Cost $319,316,651) | $ | 253,350,570 | ||||||
LIABILITIES IN EXCESS OF OTHER ASSETS - 0.0% | (19,561 | ) | ||||||
NET ASSETS - 100.0% | $ | 253,331,009 | ||||||
LLC | - Limited Liability Company |
REMIC | - Real Estate Mortgage Investment Conduit |
12MTA | - Federal Reserve US 12 Month Cumulative Avg 1 Year CMT |
PRIME | - Prime Rate by Country United States |
SOFR30A | - United States 30 Day Average SOFR Secured Overnight Financing Rate |
TSFR1M | - 1-month CME Term Secured Overnight Financing Rate |
TSFR6M | - 6-month CME Term Secured Overnight Financing Rate |
TSFR12M | - 12-month CME Term Secured Overnight Financing Rate |
US0001M | - ICE LIBOR USD 1 Month |
(a) | 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. |
(b) | Variable rate security: the rate shown represents the rate on December 31, 2023. |
(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 December 31, 2023 the total market value of 144A securities is 78,833,679 or 31.1% of net assets. |
(d) | Step bond. Coupon rate is fixed rate that changes on a specified date. The rate shown is the current rate at December 31, 2023. |
(e) | Interest only securities. |
(f) | Rate disclosed is the seven day effective yield as of December 31, 2023. |
(g) | Maturity not determined on this security; maturity will occur based on the maturity of the underlying bonds. |
The accompanying notes are an integral part of these financial statements.
20
CATALYST/MAP GLOBAL BALANCED FUND |
SCHEDULE OF INVESTMENTS (Unaudited) |
December 31, 2023 |
Shares | Fair Value | |||||||
COMMON STOCKS — 49.6% | ||||||||
ASSET MANAGEMENT - 1.7% | ||||||||
3,368 | Groupe Bruxelles Lambert S.A. | $ | 264,814 | |||||
BEVERAGES - 2.8% | ||||||||
1,048,000 | Thai Beverage PCL | 416,926 | ||||||
BIOTECH & PHARMA - 8.6% | ||||||||
1,960 | Johnson & Johnson | 307,210 | ||||||
2,516 | Novartis A.G. - ADR | 254,041 | ||||||
7,528 | Sanofi - ADR | 374,367 | ||||||
26,000 | Takeda Pharmaceutical Company Ltd. - ADR | 371,020 | ||||||
1,306,638 | ||||||||
CHEMICALS - 1.2% | ||||||||
5,190 | Mosaic Company | 185,439 | ||||||
CONSTRUCTION MATERIALS - 3.0% | ||||||||
3,930 | Holcim Ltd. | 308,482 | ||||||
7,000 | MDU Resources Group, Inc. | 138,600 | ||||||
447,082 | ||||||||
E-COMMERCE DISCRETIONARY - 1.0% | ||||||||
3,500 | eBay, Inc. | 152,670 | ||||||
ENGINEERING & CONSTRUCTION - 1.2% | ||||||||
1,057 | Tetra Tech, Inc. | 176,445 | ||||||
ENTERTAINMENT CONTENT - 3.2% | ||||||||
37,700 | Vivendi S.A. | 402,722 | ||||||
7,500 | Warner Bros Discovery, Inc.(a) | 85,350 | ||||||
488,072 | ||||||||
FOOD - 2.7% | ||||||||
3,533 | Nestle S.A. - ADR | 408,521 | ||||||
GAS & WATER UTILITIES - 3.3% | ||||||||
5,575 | National Fuel Gas Company | 279,698 | ||||||
The accompanying notes are an integral part of these financial statements.
21
CATALYST/MAP GLOBAL BALANCED FUND |
SCHEDULE OF INVESTMENTS (Unaudited) (Continued) |
December 31, 2023 |
Shares | Fair Value | |||||||
COMMON STOCKS — 49.6% (Continued) | ||||||||
GAS & WATER UTILITIES - 3.3% (Continued) | ||||||||
8,920 | UGI Corporation | $ | 219,432 | |||||
499,130 | ||||||||
HOUSEHOLD PRODUCTS - 1.2% | ||||||||
3,800 | Unilever PLC - ADR | 184,224 | ||||||
MEDICAL EQUIPMENT & DEVICES - 1.0% | ||||||||
1,800 | Medtronic PLC | 148,284 | ||||||
METALS & MINING - 0.4% | ||||||||
12,000 | Grupo Mexico S.A.B. de C.V. - Series B | 66,699 | ||||||
OIL & GAS PRODUCERS - 1.0% | ||||||||
1,000 | Chevron Corporation | 149,160 | ||||||
RETAIL - DISCRETIONARY - 0.7% | ||||||||
323 | Home Depot, Inc. | 111,936 | ||||||
SEMICONDUCTORS - 2.1% | ||||||||
1,128 | Applied Materials, Inc. | 182,815 | ||||||
1,630 | Micron Technology, Inc. | 139,104 | ||||||
321,919 | ||||||||
SOFTWARE - 3.3% | ||||||||
1,275 | Microsoft Corporation | 479,451 | ||||||
TECHNOLOGY HARDWARE - 2.3% | ||||||||
6,825 | Cisco Systems, Inc. | 344,799 | ||||||
TELECOMMUNICATIONS - 2.8% | ||||||||
5,000 | AT&T, Inc. | 83,900 | ||||||
29,340 | Orange S.A. - ADR | 335,356 | ||||||
419,256 | ||||||||
TOBACCO & CANNABIS - 3.8% | ||||||||
3,991,700 | Hanjaya Mandala Sampoerna Tbk P.T. | 232,045 |
The accompanying notes are an integral part of these financial statements.
22
CATALYST/MAP GLOBAL BALANCED FUND |
SCHEDULE OF INVESTMENTS (Unaudited) (Continued) |
December 31, 2023 |
Shares | Fair Value | |||||||||||
COMMON STOCKS — 49.6% (Continued) | ||||||||||||
TOBACCO & CANNABIS - 3.8% (Continued) | ||||||||||||
15,000 | Imperial Brands PLC - ADR | $ | 349,650 | |||||||||
581,695 | ||||||||||||
WHOLESALE - CONSUMER STAPLES - 2.3% | ||||||||||||
3,502 | Bunge Global S.A. | 353,527 | ||||||||||
TOTAL COMMON STOCKS (Cost $6,628,337) | 7,506,687 | |||||||||||
EXCHANGE-TRADED FUNDS — 2.3% | ||||||||||||
COMMODITY - 2.3% | ||||||||||||
8,500 | SPDR Gold MiniShares Trust(a) | 347,735 | ||||||||||
TOTAL EXCHANGE-TRADED FUNDS (Cost $314,458) | ||||||||||||
Principal | ||||||||||||
Amount ($) | Coupon Rate (%) | Maturity | ||||||||||
CORPORATE BONDS — 29.2% | ||||||||||||
AEROSPACE & DEFENSE — 1.3% | ||||||||||||
200,000 | Howmet Aerospace, Inc. | 6.8750 | 05/01/25 | 203,011 | ||||||||
AUTOMOTIVE — 4.4% | ||||||||||||
300,000 | Ford Motor Credit Company, LLC | 5.5840 | 03/18/24 | 299,632 | ||||||||
200,000 | Honda Motor Company Ltd. | 2.5340 | 03/10/27 | 188,528 | ||||||||
175,000 | Magna International, Inc. | 3.6250 | 06/15/24 | 173,396 | ||||||||
661,556 | ||||||||||||
CHEMICALS — 4.0% | ||||||||||||
250,000 | Methanex Corporation | 4.2500 | 12/01/24 | 246,096 | ||||||||
222,000 | Nutrien Ltd. | 5.9000 | 11/07/24 | 222,720 | ||||||||
150,000 | Nutrien Ltd. | 3.0000 | 04/01/25 | 145,747 | ||||||||
614,563 | ||||||||||||
CONTAINERS & PACKAGING — 1.2% | ||||||||||||
175,000 | Ball Corporation | 5.2500 | 07/01/25 | 174,944 | ||||||||
The accompanying notes are an integral part of these financial statements.
23
CATALYST/MAP GLOBAL BALANCED FUND |
SCHEDULE OF INVESTMENTS (Unaudited) (Continued) |
December 31, 2023 |
Principal | ||||||||||||
Amount ($) | Coupon Rate (%) | Maturity | Fair Value | |||||||||
CORPORATE BONDS — 29.2% (Continued) | ||||||||||||
ELECTRIC UTILITIES — 0.6% | ||||||||||||
100,000 | DTE Energy Company | 1.0500 | 06/01/25 | $ | 94,332 | |||||||
HOME CONSTRUCTION — 1.3% | ||||||||||||
200,000 | TRI Pointe Group, Inc. / TRI Pointe Homes, Inc. | 5.8750 | 06/15/24 | 200,229 | ||||||||
LEISURE FACILITIES & SERVICES — 1.9% | ||||||||||||
300,000 | Las Vegas Sands Corporation | 3.2000 | 08/08/24 | 294,388 | ||||||||
OIL & GAS PRODUCERS — 1.4% | ||||||||||||
218,000 | Occidental Petroleum Corporation | 2.9000 | 08/15/24 | 214,498 | ||||||||
SEMICONDUCTORS — 2.3% | ||||||||||||
225,000 | NXP BV / NXP Funding, LLC | 4.8750 | 03/01/24 | 224,590 | ||||||||
125,000 | NXP BV / NXP Funding, LLC / NXP USA, Inc. | 2.7000 | 05/01/25 | 120,653 | ||||||||
345,243 | ||||||||||||
STEEL — 1.3% | ||||||||||||
200,000 | ArcelorMittal S.A. | 3.6000 | 07/16/24 | 197,355 | ||||||||
TECHNOLOGY HARDWARE — 3.4% | ||||||||||||
225,000 | NetApp, Inc. | 1.8750 | 06/22/25 | 214,071 | ||||||||
300,000 | Seagate HDD Cayman | 4.7500 | 01/01/25 | 297,805 | ||||||||
511,876 | ||||||||||||
TOBACCO & CANNABIS — 2.7% | ||||||||||||
250,000 | BAT International Finance PLC | 1.6680 | 03/25/26 | 232,399 | ||||||||
175,000 | Reynolds American, Inc. | 4.4500 | 06/12/25 | 173,164 | ||||||||
405,563 | ||||||||||||
TRANSPORTATION & LOGISTICS — 3.4% | ||||||||||||
325,000 | Canadian Pacific Railway Company | 1.3500 | 12/02/24 | 313,189 | ||||||||
200,000 | Ryder System, Inc. | 4.6250 | 06/01/25 | 198,649 | ||||||||
511,838 | ||||||||||||
TOTAL CORPORATE BONDS (Cost $4,414,743) | 4,429,396 | |||||||||||
The accompanying notes are an integral part of these financial statements.
24
CATALYST/MAP GLOBAL BALANCED FUND |
SCHEDULE OF INVESTMENTS (Unaudited) (Continued) |
December 31, 2023 |
Principal | ||||||||||||
Amount ($) | Coupon Rate (%) | Maturity | Fair Value | |||||||||
U.S. GOVERNMENT & AGENCIES — 9.0% | ||||||||||||
U.S. TREASURY NOTES — 9.0% | ||||||||||||
1,000,000 | United States Treasury Note | 0.3750 | 07/15/24 | $ | 975,260 | |||||||
405,000 | United States Treasury Note | 2.5000 | 01/31/25 | 395,587 | ||||||||
TOTAL U.S. GOVERNMENT & AGENCIES (Cost $1,370,344) | 1,370,847 | |||||||||||
CERTIFICATE OF DEPOSIT — 8.0% | ||||||||||||
BANKING - 8.0% | ||||||||||||
125,000 | American Express National Bank | 5.2500 | 03/24/25 | 125,274 | ||||||||
175,000 | Charles Schwab Bank SSB | 5.4000 | 09/23/24 | 175,051 | ||||||||
220,000 | Comerica Bank-Texas | 5.2500 | 09/30/24 | 220,178 | ||||||||
220,000 | Customers Bank | 5.2500 | 07/01/24 | 220,183 | ||||||||
235,000 | Hancock Whitney Bank/Gulfport MS | 5.2500 | 05/24/24 | 234,983 | ||||||||
230,000 | S&T Bank | 5.3000 | 06/14/24 | 230,097 | ||||||||
TOTAL CERTIFICATE OF DEPOSIT (Cost $1,205,000) | 1,205,766 | |||||||||||
SHORT-TERM INVESTMENTS — 1.1% | ||||||||||||
MONEY MARKET FUNDS - 1.1% | ||||||||||||
169,595 | First American Treasury Obligations Fund, Class X, 5.28% (Cost $169,595)(b) | 169,595 | ||||||||||
TOTAL INVESTMENTS - 99.2% (Cost $14,102,477) | $ | 15,030,026 | ||||||||||
OTHER ASSETS IN EXCESS OF LIABILITIES- 0.8% | 128,119 | |||||||||||
NET ASSETS - 100.0% | $ | 15,158,145 | ||||||||||
ADR | - American Depositary Receipt |
LLC | - Limited Liability Company |
Ltd. | - Limited Company |
PLC | - Public Limited Company |
P.T. | - Perseroan Terbatas |
S.A. | - Société Anonyme |
SPDR | - Standard & Poor’s Depositary Receipt |
(a) | Non-income producing security. |
(b) | Rate disclosed is the seven day effective yield as of December 31, 2023. |
The accompanying notes are an integral part of these financial statements.
25
CATALYST/CIFC FLOATING RATE INCOME FUND |
SCHEDULE OF INVESTMENTS (Unaudited) |
December 31, 2023 |
Shares | Fair Value | |||||||
EXCHANGE-TRADED FUNDS — 2.7% | ||||||||
FIXED INCOME - 2.7% | ||||||||
235,928 | Invesco Senior Loan ETF | $ | 4,996,955 | |||||
111,697 | SPDR Blackstone Senior Loan ETF | 4,683,455 | ||||||
9,680,410 | ||||||||
TOTAL EXCHANGE-TRADED FUNDS (Cost $9,551,718) | 9,680,410 |
Principal | Coupon Rate | |||||||||||||
Amount ($) | Spread | (%) | Maturity | |||||||||||
ASSET BACKED SECURITIES — 5.6% | ||||||||||||||
CLO — 5.6% | ||||||||||||||
500,000 | Alinea CLO Ltd. Series 2018-1 E(a),(b) | TSFR3M + 6.262% | 11.6770 | 07/20/31 | 460,846 | |||||||||
500,000 | Apidos CLO XXX D(a),(b) | TSFR3M + 5.862% | 11.2570 | 10/18/31 | 475,789 | |||||||||
500,000 | ARES XLVII CLO Ltd. Series 2018-47A E(a),(b) | TSFR3M + 5.762% | 11.1550 | 04/15/30 | 449,629 | |||||||||
835,000 | BlueMountain CLO Ltd. Series 2015-4A DR(a),(b) | TSFR3M + 3.212% | 8.6270 | 04/20/30 | 789,588 | |||||||||
500,000 | BlueMountain CLO Ltd. Series 2018-3A E(a),(b) | TSFR3M + 6.212% | 11.5900 | 10/25/30 | 448,093 | |||||||||
500,000 | BlueMountain CLO XXII Ltd. Series 2018-22A E(a),(b) | TSFR3M + 5.312% | 10.7050 | 07/15/31 | 425,063 | |||||||||
500,000 | BlueMountain Fuji US Clo I Ltd. Series 2017-1A E(a),(b) | TSFR3M + 6.262% | 11.6770 | 07/20/29 | 436,166 | |||||||||
500,000 | BlueMountain Fuji US Clo III Ltd. Series 2017-3A E(a),(b) | TSFR3M + 5.462% | 10.8550 | 01/15/30 | 434,968 | |||||||||
750,000 | Burnham Park Clo Ltd. Series 2016-1A ER(a),(b) | TSFR3M + 5.662% | 11.0770 | 10/20/29 | 707,014 | |||||||||
500,000 | Carbone Clo Ltd. Series 1A D(a),(b) | TSFR3M + 6.162% | 11.5770 | 01/20/31 | 469,725 | |||||||||
500,000 | Carlyle Global Market Strategies CLO Ltd. Series 2014-1A ER(a),(b) | TSFR3M + 5.662% | 11.0640 | 04/17/31 | 418,199 | |||||||||
500,000 | Carlyle Global Market Strategies CLO Ltd. Series 2017-1A D(a),(b) | TSFR3M + 6.262% | 11.6770 | 04/20/31 | 444,247 | |||||||||
500,000 | CARLYLE US CLO Ltd. Series 2017-5A D(a),(b) | TSFR3M + 5.562% | 10.9770 | 01/20/30 | 438,564 | |||||||||
500,000 | Catskill Park CLO Ltd.(a),(b) | TSFR3M + 6.262% | 11.6770 | 04/20/29 | 476,854 | |||||||||
500,000 | Cook Park CLO Ltd. Series 2018-1A E(a),(b) | TSFR3M + 5.662% | 11.0640 | 04/17/30 | 427,245 | |||||||||
500,000 | Flatiron Clo 17 Ltd. Series 2017-1A ER(a),(b) | TSFR3M + 6.162% | 11.5410 | 05/15/30 | 495,627 | |||||||||
500,000 | Galaxy XXI CLO Ltd. Series 2015-21A ER(a),(b) | TSFR3M + 5.512% | 10.9270 | 04/20/31 | 467,252 | |||||||||
500,000 | GoldenTree Loan Management US CLO 1 Ltd. Series 2021-9A E(a),(b) | TSFR3M + 5.012% | 10.4270 | 01/20/33 | 474,187 | |||||||||
500,000 | GoldenTree Loan Management US CLO 2 Ltd. Series 2017-2A E(a),(b) | TSFR3M + 4.962% | 10.3770 | 11/28/30 | 476,012 | |||||||||
750,000 | GoldenTree Loan Opportunities X Ltd. Series 2015-10A ER(a),(b) | TSFR3M + 5.912% | 11.3270 | 07/20/31 | 744,286 | |||||||||
500,000 | Grippen Park CLO Ltd. Series 2017-1A E(a),(b) | TSFR3M + 5.962% | 11.3770 | 01/20/30 | 480,843 | |||||||||
500,000 | KKR Financial CLO Ltd. Series 2013-1 DR(a),(b) | TSFR3M + 6.342% | 11.7350 | 04/15/29 | 491,926 | |||||||||
500,000 | Magnetite XV Ltd. Series 2015-15A ER(a),(b) | TSFR3M + 5.462% | 10.8400 | 07/25/31 | 479,984 | |||||||||
500,000 | Neuberger Berman CLO XVIII Ltd. Series 2014-18A DR2(a),(b) | TSFR3M + 6.182% | 11.5940 | 10/21/30 | 478,313 | |||||||||
750,000 | Neuberger Berman Loan Advisers CLO Ltd. Series 2017-24A E(a),(b) | TSFR3M + 6.282% | 11.6780 | 04/19/30 | 711,781 |
The accompanying notes are an integral part of these financial statements.
26
CATALYST/CIFC FLOATING RATE INCOME FUND |
SCHEDULE OF INVESTMENTS (Unaudited) (Continued) |
December 31, 2023 |
Principal | Coupon Rate | |||||||||||||
Amount ($) | Spread | (%) | Maturity | Fair Value | ||||||||||
ASSET BACKED SECURITIES — 5.6% (Continued) | ||||||||||||||
CLO — 5.6% (Continued) | ||||||||||||||
500,000 | Neuberger Berman Loan Advisers CLO Ltd. Series 2017-26A E(a),(b) | TSFR3M + 6.162% | 11.5570 | 10/18/30 | $ | 481,241 | ||||||||
500,000 | Octagon Investment Partners 18-R Ltd. Series 2018-18A C(a),(b) | TSFR3M + 2.962% | 8.3550 | 04/16/31 | 474,187 | |||||||||
500,000 | Octagon Investment Partners 26 Ltd. Series 2016-1A ER(a),(b) | TSFR3M + 5.662% | 11.0550 | 07/15/30 | 417,737 | |||||||||
500,000 | Octagon Investment Partners 37 Ltd. Series 2018-2A D(a),(b) | TSFR3M + 5.662% | 11.0400 | 07/25/30 | 430,909 | |||||||||
500,000 | Octagon Investment Partners XVII Ltd. Series 2013-1A ER2(a),(b) | TSFR3M + 5.412% | 10.7900 | 01/25/31 | 408,876 | |||||||||
500,000 | Octagon Investment Partners XXII Ltd. Series 2014-1A ERR(a),(b) | TSFR3M + 5.712% | 11.1240 | 01/22/30 | 453,882 | |||||||||
500,000 | OHA Credit Partners XV Ltd. Series 2017-15A E(a),(b) | TSFR3M + 5.562% | 10.9770 | 01/20/30 | 485,852 | |||||||||
500,000 | Palmer Square CLO Ltd. Series 2014-1A DR2(a),(b) | TSFR3M + 5.962% | 11.3640 | 01/17/31 | 496,239 | |||||||||
500,000 | Palmer Square CLO Ltd. Series 2018-2A D(a),(b) | TSFR3M + 5.862% | 11.2550 | 07/16/31 | 489,094 | |||||||||
550,000 | Regatta XI Funding Ltd. Series 2018-1A E(a),(b) | TSFR3M + 5.762% | 11.1640 | 07/17/31 | 520,364 | |||||||||
500,000 | RR 5 Ltd. Series 2018-5A D(a),(b) | TSFR3M + 6.012% | 11.4050 | 10/15/31 | 470,227 | |||||||||
500,000 | Upland CLO Ltd. Series 2016-1A DR(a),(b) | TSFR3M + 6.162% | 11.5770 | 04/20/31 | 474,727 | |||||||||
525,000 | Voya CLO Ltd. Series 2018-4A E(a),(b) | TSFR3M + 6.562% | 11.9550 | 01/15/32 | 499,768 | |||||||||
500,000 | Wellfleet CLO Ltd. Series 2017-1A D(a),(b) | TSFR3M + 6.312% | 11.7270 | 04/20/29 | 427,725 | |||||||||
500,000 | Wellfleet CLO Ltd. Series 2015-1A ER3(a),(b) | TSFR3M + 7.312% | 12.7270 | 07/20/29 | 303,488 | |||||||||
500,000 | Wellfleet CLO Ltd. Series 2018-2A D(a),(b) | TSFR3M + 6.332% | 11.7470 | 10/20/31 | 441,929 | |||||||||
500,000 | Wellfleet CLO Ltd. Series 2018-3A D(a),(b) | TSFR3M + 6.512% | 11.9270 | 01/20/32 | 426,283 | |||||||||
20,304,729 | ||||||||||||||
TOTAL ASSET BACKED SECURITIES (Cost $20,847,495) | 20,304,729 | |||||||||||||
CORPORATE BONDS — 2.3% | ||||||||||||||
ASSET MANAGEMENT — 0.0%(c) | ||||||||||||||
50,000 | NFP Corporation(a) | 8.5000 | 10/01/31 | 54,161 | ||||||||||
CABLE & SATELLITE — 0.3% | ||||||||||||||
27,000 | CCO Holdings, LLC / CCO Holdings Capital(a) | 6.3750 | 09/01/29 | 26,667 | ||||||||||
994,000 | CCO Holdings, LLC / CCO Holdings Capital(a) | 4.2500 | 02/01/31 | 870,111 | ||||||||||
896,778 | ||||||||||||||
ENTERTAINMENT CONTENT — 0.0%(c) | ||||||||||||||
139,000 | Univision Communications, Inc.(a) | 8.0000 | 08/15/28 | 143,523 | ||||||||||
The accompanying notes are an integral part of these financial statements.
27
CATALYST/CIFC FLOATING RATE INCOME FUND |
SCHEDULE OF INVESTMENTS (Unaudited) (Continued) |
December 31, 2023 |
Principal | Coupon Rate | |||||||||||||
Amount ($) | (%) | Maturity | Fair Value | |||||||||||
CORPORATE BONDS — 2.3% (Continued) | ||||||||||||||
HEALTH CARE FACILITIES & SERVICES — 0.2% | ||||||||||||||
720,000 | Tenet Healthcare Corporation(a) | 6.7500 | 05/15/31 | $ | 736,776 | |||||||||
MEDICAL EQUIPMENT & DEVICES — 0.6% | ||||||||||||||
1,300,000 | Bausch & Lomb Escrow Corporation(a) | 8.3750 | 10/01/28 | 1,373,047 | ||||||||||
1,000,000 | Mozart Debt Merger Sub, Inc.(a) | 3.8750 | 04/01/29 | 905,212 | ||||||||||
2,278,259 | ||||||||||||||
OIL & GAS PRODUCERS — 0.5% | ||||||||||||||
43,000 | Hilcorp Energy I, L.P. / Hilcorp Finance Company(a) | 8.3750 | 11/01/33 | 45,622 | ||||||||||
95,000 | Kinetik Holdings, L.P.(a) | 6.6250 | 12/15/28 | 96,859 | ||||||||||
74,000 | Venture Global LNG, Inc.(a) | 8.1250 | 06/01/28 | 74,797 | ||||||||||
93,000 | Venture Global LNG, Inc.(a) | 9.5000 | 02/01/29 | 98,444 | ||||||||||
1,300,000 | Venture Global LNG, Inc.(a) | 9.8750 | 02/01/32 | 1,355,099 | ||||||||||
1,670,821 | ||||||||||||||
RETAIL - DISCRETIONARY — 0.3% | ||||||||||||||
1,400,000 | Metis Merger Sub, LLC(a) | 6.5000 | 05/15/29 | 1,267,588 | ||||||||||
SPECIALTY FINANCE — 0.4% | ||||||||||||||
1,300,000 | Fortress Transportation and Infrastructure(a) | 7.8750 | 12/01/30 | 1,355,643 | ||||||||||
TOTAL CORPORATE BONDS (Cost $8,181,503) | 8,403,549 | |||||||||||||
Spread | ||||||||||||||
TERM LOANS — 87.2% | ||||||||||||||
ADVERTISING & MARKETING — 0.3% | ||||||||||||||
1,035,303 | ABG Intermediate Holdings 2, LLC(b) | TSFR1M + 4.000% | 9.4310 | 12/21/28 | 1,041,411 | |||||||||
AEROSPACE & DEFENSE — 3.4% | ||||||||||||||
2,643,375 | Bleriot US Bidco, Inc.(b) | TSFR1M + 4.000% | 9.6100 | 10/31/28 | 2,657,293 | |||||||||
2,383,914 | Dynasty Acquisition Company, Inc.(b) | TSFR1M + 4.000% | 9.3480 | 08/16/28 | 2,393,056 | |||||||||
2,318,684 | Spirit AeroSystems, Inc.(b) | TSFR1M + 4.500% | 9.6330 | 11/23/27 | 2,329,303 | |||||||||
1,021,874 | Standard Aero Ltd.(b) | TSFR1M + 4.000% | 9.3480 | 08/16/28 | 1,025,793 | |||||||||
2,592,244 | TransDigm, Inc.(b) | TSFR1M + 3.250% | 8.6400 | 08/10/28 | 2,607,292 | |||||||||
1,402,000 | TransDigm, Inc.(b) | TSFR1M + 3.250% | 8.5790 | 02/28/31 | 1,409,956 | |||||||||
$ | 12,422,693 | |||||||||||||
The accompanying notes are an integral part of these financial statements.
28
CATALYST/CIFC FLOATING RATE INCOME FUND |
SCHEDULE OF INVESTMENTS (Unaudited) (Continued) |
December 31, 2023 |
Principal | Coupon Rate | |||||||||||||
Amount ($) | Spread | (%) | Maturity | Fair Value | ||||||||||
TERM LOANS — 87.2% (Continued) | ||||||||||||||
APPAREL & TEXTILE PRODUCTS — 0.1% | ||||||||||||||
445,325 | Hanesbrands, Inc.(b) | TSFR1M + 3.850% | 9.1060 | 03/08/30 | 445,325 | |||||||||
ASSET MANAGEMENT — 4.0% | ||||||||||||||
2,575,357 | Advisor Group Holdings, Inc.(b) | TSFR1M + 4.500% | 9.8480 | 08/10/28 | 2,586,829 | |||||||||
1,260,332 | Aragorn Parent Corporation(b) | TSFR1M + 4.250% | 9.6120 | 12/08/28 | 1,260,729 | |||||||||
1,800,000 | Edelman Financial Center, LLC (The)(b) | TSFR1M + 6.750% | 12.2200 | 07/20/26 | 1,803,375 | |||||||||
262,343 | FinCompany I, LLC(b) | TSFR1M + 3.000% | 8.3830 | 06/27/29 | 263,764 | |||||||||
1,411,423 | Focus Financial Partners, LLC(b) | TSFR1M + 3.250% | 8.6060 | 06/30/28 | 1,416,272 | |||||||||
182,000 | Focus Financial Partners, LLC(b) | TSFR1M + 3.500% | 8.8560 | 06/30/28 | 182,699 | |||||||||
208,000 | GIP Pilot Acquisition Partners, L.P.(b) | TSFR1M + 3.000% | 8.3880 | 09/15/30 | 208,315 | |||||||||
1,338,496 | GTCR W Merger Sub, LLC(b) | TSFR1M + 3.000% | 8.3340 | 09/20/30 | 1,346,025 | |||||||||
1,240,550 | Guggenheim Partners Investment Management(b) | TSFR1M + 3.250% | 8.5980 | 12/07/29 | 1,245,494 | |||||||||
2,000,000 | Nexus Buyer, LLC(b) | TSFR1M + 3.750% | 9.1980 | 11/08/26 | 1,983,870 | |||||||||
447,000 | Nexus Buyer, LLC(b) | TSFR1M + 4.500% | 9.8450 | 12/23/30 | 444,767 | |||||||||
1,600,000 | Victory Capital Holdings, Inc.(b) | TSFR1M + 2.250% | 7.6610 | 07/01/26 | 1,600,752 | |||||||||
14,342,891 | ||||||||||||||
AUTOMOTIVE — 1.8% | ||||||||||||||
591,000 | Clarios Global, L.P.(b) | TSFR1M + 3.750% | 9.0980 | 04/20/30 | 593,069 | |||||||||
3,757,013 | First Brands Group, LLC(b) | SOFRRATE + 5.000% | 10.8810 | 03/24/27 | 3,733,531 | |||||||||
507,078 | First Brands Group, LLC(b) | TSFR1M + 6.000% | 10.8810 | 03/30/27 | 504,228 | |||||||||
1,083,433 | Tenneco, Inc.(b) | TSFR1M + 4.750% | 10.2190 | 11/17/28 | 950,040 | |||||||||
885,000 | Tenneco, Inc.(b) | TSFR1M + 5.000% | 10.4690 | 11/17/28 | 783,283 | |||||||||
6,564,151 | ||||||||||||||
BIOTECH & PHARMA — 0.2% | ||||||||||||||
787,823 | Curium Bidco Sarl(b) | TSFR1M + 4.500% | 9.8480 | 07/31/29 | 788,319 | |||||||||
CABLE & SATELLITE — 1.4% | ||||||||||||||
203,000 | Cogeco Communications USA II, L.P.(b) | TSFR1M + 3.250% | 8.5980 | 09/18/30 | 200,548 | |||||||||
3,022,071 | Directv Financing, LLC(b) | TSFR1M + 5.000% | 10.4630 | 07/22/27 | 3,027,555 | |||||||||
700,000 | UPC Financing Partnership(b) | TSFR1M + 3.000% | 8.4370 | 01/31/29 | 698,761 | |||||||||
920,000 | Virgin Media Bristol, LLC(b) | TSFR1M + 3.250% | 8.7260 | 01/10/29 | 920,051 | |||||||||
The accompanying notes are an integral part of these financial statements.
29
CATALYST/CIFC FLOATING RATE INCOME FUND |
SCHEDULE OF INVESTMENTS (Unaudited) (Continued) |
December 31, 2023 |
Principal | Coupon Rate | |||||||||||||
Amount ($) | Spread | (%) | Maturity | Fair Value | ||||||||||
TERM LOANS — 87.2% (Continued) | ||||||||||||||
CABLE & SATELLITE — 1.4% (Continued) | ||||||||||||||
87,000 | Virgin Media Bristol, LLC(b) | TSFR1M + 3.250% | 8.7900 | 03/06/31 | $ | 86,837 | ||||||||
4,933,752 | ||||||||||||||
CHEMICALS — 1.4% | ||||||||||||||
500,000 | Cyanco Intermediate 2 Corporation(b) | TSFR1M + 4.750% | 10.0990 | 07/10/28 | 502,293 | |||||||||
606,000 | Element Solutions, Inc.(b) | TSFR1M + 2.000% | 7.3410 | 12/09/30 | 608,273 | |||||||||
102,000 | INEOS Enterprises Holdings US Finco, LLC(b) | TSFR1M + 3.850% | 9.2380 | 07/07/30 | 102,255 | |||||||||
1,934,033 | Nouryon USA, LLC(b) | TSFR1M + 4.000% | 9.4190 | 03/03/28 | 1,943,702 | |||||||||
196,000 | Nouryon USA, LLC(b) | TSFR1M + 4.000% | 9.4670 | 04/03/28 | 197,010 | |||||||||
116,230 | Olympus Water US Holding Corporation(b) | SOFRRATE + 4.500% | 9.9480 | 11/09/28 | 116,544 | |||||||||
639,731 | PQ Group Holdings, Inc.(b) | TSFR1M + 3.500% | 8.6840 | 04/30/28 | 639,735 | |||||||||
950,000 | Windsor Holdings III, LLC(b) | TSFR3M + 4.500% | 9.8410 | 06/22/30 | 958,312 | |||||||||
5,068,124 | ||||||||||||||
COMMERCIAL SUPPORT SERVICES — 5.0% | ||||||||||||||
22,957 | Action Environmental Group, Inc. (The)(b),(e) | TSFR1M + 4.500% | 9.8240 | 10/05/30 | 23,071 | |||||||||
153,043 | Action Environmental Group, Inc. (The)(b) | TSFR1M + 4.500% | 9.8780 | 10/05/30 | 153,809 | |||||||||
725,000 | Amentum Government Services Holdings, LLC(b) | TSFR1M + 8.750% | 14.2200 | 01/31/28 | 722,281 | |||||||||
1,428,913 | Amentum Government Services Holdings, LLC(b) | SOFRRATE + 4.000% | 9.3310 | 02/07/29 | 1,432,128 | |||||||||
1,726,841 | AVSC Holding Corporation(b) | TSFR1M + 3.500% | 8.7060 | 03/01/25 | 1,697,571 | |||||||||
1,088,988 | AVSC Holding Corporation(b) | TSFR1M + 4.500% | 9.9310 | 09/26/26 | 1,069,479 | |||||||||
1,891,245 | CHG Healthcare Services, Inc.(b) | TSFR1M + 3.750% | 9.1450 | 09/30/28 | 1,897,354 | |||||||||
1,201,993 | Conservice Midco, LLC(b) | TSFR3M + 4.250% | 9.7060 | 05/07/27 | 1,206,753 | |||||||||
1,431,405 | Creative Artists Agency, LLC(b) | TSFR1M + 3.500% | 8.8480 | 11/16/28 | 1,439,106 | |||||||||
74,000 | EnergySolutions, LLC(b) | TSFR1M + 4.000% | 9.3560 | 09/18/30 | 74,093 | |||||||||
1,250,000 | Ensemble RCM, LLC(b) | TSFR1M + 3.750% | 9.2330 | 08/01/26 | 1,253,794 | |||||||||
2,450,000 | Garda World Security Corporation(b) | TSFR1M + 4.250% | 9.7460 | 10/30/26 | 2,457,472 | |||||||||
757,604 | GFL Environmental, Inc.(b) | TSFR1M + 2.500% | 7.9120 | 05/31/27 | 761,298 | |||||||||
224,557 | OMNIA Partners, LLC(b),(e) | TSFR1M + 4.250% | 9.4150 | 07/19/30 | 226,242 | |||||||||
2,390,443 | OMNIA Partners, LLC(b) | TSFR1M + 4.250% | 9.6280 | 07/19/30 | 2,408,383 | |||||||||
104,762 | Ryan, LLC(b),(e) | TSFR1M + 4.500% | 9.8250 | 11/09/30 | 105,253 | |||||||||
995,238 | Ryan, LLC(b) | TSFR1M + 4.500% | 9.8480 | 11/09/30 | 999,906 | |||||||||
17,927,993 | ||||||||||||||
CONSUMER SERVICES — 0.6% | ||||||||||||||
727,040 | Fugue Finance, LLC(b) | TSFR1M + 4.000% | 9.3880 | 01/26/28 | 731,300 |
The accompanying notes are an integral part of these financial statements.
30
CATALYST/CIFC FLOATING RATE INCOME FUND |
SCHEDULE OF INVESTMENTS (Unaudited) (Continued) |
December 31, 2023 |
Principal | Coupon Rate | |||||||||||||
Amount ($) | Spread | (%) | Maturity | Fair Value | ||||||||||
TERM LOANS — 87.2% (Continued) | ||||||||||||||
CONSUMER SERVICES — 0.6% (Continued) | ||||||||||||||
1,600,801 | KUEHG Corporation(b) | TSFR1M + 5.000% | 10.3900 | 05/31/30 | $ | 1,609,806 | ||||||||
2,341,106 | ||||||||||||||
CONTAINERS & PACKAGING — 1.3% | ||||||||||||||
2,271,026 | Charter Next Generation, Inc.(b) | TSFR1M + 3.750% | 9.2200 | 12/01/27 | 2,284,163 | |||||||||
1,150,000 | Proampac PG Borrower, LLC(b) | TSFR1M + 4.500% | 9.8680 | 09/26/28 | 1,153,594 | |||||||||
1,417,771 | Reynolds Group Holdings, Inc.(b) | TSFR1M + 3.250% | 8.7200 | 02/16/26 | 1,423,974 | |||||||||
4,861,731 | ||||||||||||||
E-COMMERCE DISCRETIONARY — 0.1% | ||||||||||||||
222,761 | Olaplex, Inc.(b) | SOFRRATE + 3.750% | 8.9560 | 02/17/29 | 207,585 | |||||||||
ELECTRIC UTILITIES — 0.9% | ||||||||||||||
1,206,543 | Calpine Construction Finance Company, L.P.(b) | TSFR1M + 2.250% | 7.6060 | 07/20/30 | 1,208,202 | |||||||||
459,552 | Calpine Corporation(b) | TSFR1M + 2.500% | 7.9700 | 12/16/27 | 461,006 | |||||||||
1,533,986 | Vistra Operations Company, LLC(b) | TSFR1M + 1.750% | 7.3560 | 12/31/25 | 1,535,973 | |||||||||
3,205,181 | ||||||||||||||
ELECTRICAL EQUIPMENT — 0.7% | ||||||||||||||
650,000 | Belfor Holdings, Inc.(b) | TSFR1M + 3.750% | 9.1060 | 10/25/30 | 652,847 | |||||||||
1,470,757 | Brookfield WEC Holdings, Inc.(b) | TSFR1M + 2.750% | 8.2130 | 08/01/25 | 1,476,338 | |||||||||
116,000 | MX Holdings US, Inc.(b) | TSFR1M + 2.750% | 8.2200 | 07/31/28 | 116,472 | |||||||||
203,000 | Vertiv Group Corporation(b) | TSFR1M + 2.615% | 7.9600 | 03/02/27 | 203,927 | |||||||||
2,449,584 | ||||||||||||||
ENGINEERING & CONSTRUCTION — 0.3% | ||||||||||||||
1,189,075 | VM Consolidated, Inc.(b) | TSFR1M + 3.250% | 8.7200 | 03/26/28 | 1,195,467 | |||||||||
ENTERTAINMENT CONTENT — 1.2% | ||||||||||||||
672,000 | AP Core Holdings II, LLC(b) | TSFR1M + 5.500% | 10.9700 | 09/01/27 | 659,400 | |||||||||
2,875,000 | AP Core Holdings II, LLC(b) | TSFR1M + 5.500% | 10.9700 | 09/01/27 | 2,813,906 | |||||||||
627,324 | NEP Group, Inc.(b) | TSFR1M + 4.000% | 10.9630 | 10/20/25 | 600,663 | |||||||||
109,613 | Univision Communications, Inc.(b) | SOFRRATE + 4.250% | 9.5980 | 06/08/29 | 110,051 | |||||||||
4,184,020 | ||||||||||||||
FOOD — 2.0% | ||||||||||||||
800,000 | Balrog Acquisition, Inc.(b) | TSFR3M + 4.000% | 9.3750 | 09/05/28 | 790,748 | |||||||||
4,013,500 | Nomad Foods US, LLC(b) | TSFR1M + 3.000% | 8.4690 | 11/08/29 | 4,030,377 |
The accompanying notes are an integral part of these financial statements.
31
CATALYST/CIFC FLOATING RATE INCOME FUND |
SCHEDULE OF INVESTMENTS (Unaudited) (Continued) |
December 31, 2023 |
Principal | Coupon Rate | |||||||||||||
Amount ($) | Spread | (%) | Maturity | Fair Value | ||||||||||
TERM LOANS — 87.2% (Continued) | ||||||||||||||
FOOD — 2.0% (Continued) | ||||||||||||||
1,000,000 | Shearer’s Foods, LLC(b) | TSFR1M + 3.500% | 8.9700 | 09/30/25 | $ | 1,002,670 | ||||||||
1,443,750 | Snacking Investments US, LLC(b) | TSFR1M + 4.000% | 9.3480 | 12/01/26 | 1,445,858 | |||||||||
7,269,653 | ||||||||||||||
HEALTH CARE FACILITIES & SERVICES — 5.5% | ||||||||||||||
249,361 | ADMI Corporation(b) | TSFR1M + 3.375% | 8.8450 | 12/23/27 | 236,269 | |||||||||
575,000 | ADMI Corporation(b) | TSFR1M + 5.750% | 11.1100 | 12/23/27 | 567,813 | |||||||||
500,000 | Charlotte Buyer, Inc.(b) | TSFR3M + 5.250% | 10.5710 | 02/11/28 | 502,708 | |||||||||
868,224 | FC Compassus, LLC(b) | TSFR3M + 4.250% | 9.8950 | 12/31/26 | 855,565 | |||||||||
3,487,142 | Heartland Dental, LLC(b) | TSFR1M + 5.000% | 10.3580 | 04/30/28 | 3,486,060 | |||||||||
3,973,458 | LifePoint Health, Inc.(b) | TSFR1M + 5.500% | 11.1680 | 11/16/28 | 3,968,987 | |||||||||
1,542,861 | Milano Acquisition Corporation(b) | TSFR3M + 4.000% | 9.4900 | 08/17/27 | 1,504,290 | |||||||||
38,536 | National Mentor Holdings, Inc.(b) | TSFR1M + 3.750% | 9.1980 | 02/18/28 | 35,204 | |||||||||
1,377,124 | National Mentor Holdings, Inc.(b) | TSFR1M + 3.750% | 9.2060 | 02/18/28 | 1,258,058 | |||||||||
613,798 | One Call Corporation(b) | TSFR3M + 5.500% | 11.1400 | 04/08/27 | 532,215 | |||||||||
1,697,468 | Phoenix Newco, Inc.(b) | TSFR1M + 3.250% | 8.7130 | 08/11/28 | 1,709,563 | |||||||||
2,691,681 | Star Parent, Inc.(b) | TSFR1M + 4.000% | 9.3480 | 09/19/30 | 2,666,635 | |||||||||
2,250,000 | Surgery Center Holdings, Inc.(b) | TSFR1M + 3.500% | 8.8520 | 12/05/30 | 2,261,959 | |||||||||
308,403 | US Anesthesia Partners, Inc.(b) | TSFR1M + 4.250% | 9.6850 | 09/23/28 | 283,046 | |||||||||
19,868,372 | ||||||||||||||
HOME & OFFICE PRODUCTS — 0.5% | ||||||||||||||
69,000 | AI Aqua Merger Sub, Inc.(b) | TSFR1M + 4.250% | 9.5720 | 07/30/28 | 69,431 | |||||||||
1,622,475 | Osmosis Debt Merger Sub, Inc.(b) | SOFRRATE + 3.750% | 9.0710 | 06/17/28 | 1,625,736 | |||||||||
1,695,167 | ||||||||||||||
HOUSEHOLD PRODUCTS — 0.6% | ||||||||||||||
2,062,320 | Sunshine Luxembourg VII Sarl(b) | TSFR3M + 3.750% | 8.9480 | 10/02/26 | 2,075,767 | |||||||||
INDUSTRIAL SUPPORT SERVICES — 0.3% | ||||||||||||||
1,000,000 | APi Group DE, Inc.(b) | TSFR1M + 2.615% | 7.9740 | 01/03/29 | 1,002,055 | |||||||||
INSTITUTIONAL FINANCIAL SERVICES — 3.3% | ||||||||||||||
4,724,473 | Aretec Group, Inc.(b) | TSFR1M + 4.600% | 9.9560 | 03/08/30 | 4,727,686 | |||||||||
1,555,570 | Armor Holdco, Inc.(b) | TSFR6M + 4.500% | 9.9340 | 10/29/28 | 1,563,348 | |||||||||
1,432,520 | Ascensus Holdings, Inc.(b) | TSFR3M + 6.500% | 12.1760 | 08/02/29 | 1,383,277 | |||||||||
The accompanying notes are an integral part of these financial statements.
32
CATALYST/CIFC FLOATING RATE INCOME FUND |
SCHEDULE OF INVESTMENTS (Unaudited) (Continued) |
December 31, 2023 |
Principal | Coupon Rate | |||||||||||||
Amount ($) | Spread | (%) | Maturity | Fair Value | ||||||||||
TERM LOANS — 87.2% (Continued) | ||||||||||||||
INSTITUTIONAL FINANCIAL SERVICES — 3.3% (Continued) | ||||||||||||||
2,400,347 | Citadel Securities, L.P.(b) | TSFR1M + 2.500% | 7.9630 | 07/26/30 | $ | 2,408,844 | ||||||||
573,552 | Eisner Advisory Group, LLC(b) | TSFR1M + 5.250% | 10.6910 | 07/28/28 | 575,464 | |||||||||
1,150,000 | Jane Street Group, LLC(b) | TSFR1M + 2.750% | 8.1060 | 01/26/28 | 1,156,233 | |||||||||
11,814,852 | ||||||||||||||
INSURANCE — 8.9% | ||||||||||||||
903,824 | Acrisure, LLC(b) | TSFR1M + 3.500% | 9.1500 | 01/31/27 | 903,584 | |||||||||
2,122,000 | Acrisure, LLC(b) | TSFR1M + 4.500% | 9.8880 | 10/20/30 | 2,129,958 | |||||||||
297,000 | Alliant Holdings Intermediate, LLC(b) | TSFR1M + 3.500% | 8.8450 | 11/06/30 | 298,690 | |||||||||
2,000,000 | AmWINS Group, Inc.(b) | TSFR1M + 2.250% | 7.6960 | 02/17/28 | 2,005,630 | |||||||||
1,250,000 | AmWINS Group, Inc.(b) | TSFR1M + 2.850% | 8.2200 | 02/19/28 | 1,255,081 | |||||||||
103,425 | AssuredPartners, Inc.(b) | SOFRRATE + 3.500% | 8.8560 | 02/13/27 | 103,787 | |||||||||
435,465 | AssuredPartners, Inc.(b) | TSFR1M + 3.500% | 8.9700 | 02/13/27 | 437,098 | |||||||||
1,074,867 | AssuredPartners, Inc.(b) | TSFR1M + 3.500% | 8.9700 | 02/13/27 | 1,078,634 | |||||||||
2,411,000 | Asurion, LLC(b) | TSFR1M + 5.250% | 10.7130 | 01/29/28 | 2,304,506 | |||||||||
598,489 | Asurion, LLC(b) | TSFR1M + 4.000% | 9.4560 | 08/17/28 | 596,804 | |||||||||
900,000 | Asurion, LLC(b) | TSFR1M + 5.250% | 10.7130 | 01/14/29 | 851,553 | |||||||||
1,246,811 | Baldwin Risk Partners, LLC(b) | TSFR1M + 3.500% | 8.9700 | 10/14/27 | 1,248,887 | |||||||||
793,677 | BroadStreet Partners, Inc.(b) | TSFR1M + 3.000% | 8.4700 | 01/22/27 | 795,768 | |||||||||
1,816,106 | BroadStreet Partners, Inc.(b) | TSFR1M + 4.000% | 9.3480 | 01/26/29 | 1,823,861 | |||||||||
591,798 | Howden Group Holdings Ltd.(b) | US0001M + 3.250% | 8.7500 | 11/12/27 | 593,849 | |||||||||
3,220,946 | HUB International Ltd.(b) | TSFR1M + 4.000% | 9.3650 | 11/10/29 | 3,237,050 | |||||||||
1,191,000 | HUB International Ltd.(b) | TSFR1M + 4.250% | 9.6620 | 06/08/30 | 1,197,616 | |||||||||
2,994,000 | Hyperion Refinance Sarl(b) | TSFR1M + 4.000% | 9.3310 | 03/24/30 | 3,004,599 | |||||||||
2,000,000 | IMA Financial Group, Inc. (The)(b) | TSFR1M + 3.850% | 9.2210 | 11/01/28 | 2,002,500 | |||||||||
2,622,369 | OneDigital Borrower, LLC(b) | SOFRRATE + 4.250% | 9.6740 | 11/16/27 | 2,624,021 | |||||||||
2,147,187 | Sedgwick Claims Management Services, Inc.(b) | TSFR1M + 3.750% | 9.0980 | 02/17/28 | 2,156,430 | |||||||||
498,741 | USI, Inc.(b) | TSFR1M + 3.000% | 8.3480 | 11/22/29 | 500,339 | |||||||||
1,225,000 | USI, Inc.(b) | TSFR1M + 3.250% | 8.5980 | 09/14/30 | 1,228,442 | |||||||||
32,378,687 | ||||||||||||||
INTERNET MEDIA & SERVICES — 1.5% | ||||||||||||||
1,719,827 | GoDaddy, Inc.(b) | TSFR1M + 3.250% | 7.8560 | 10/21/29 | 1,727,661 | |||||||||
316,000 | Knot Worldwide, Inc. (The)(b) | TSFR1M + 4.500% | 9.9220 | 01/31/28 | 316,000 | |||||||||
2,472,545 | MH Sub I, LLC(b) | TSFR1M + 4.250% | 9.6060 | 05/03/28 | 2,435,456 |
The accompanying notes are an integral part of these financial statements.
33
CATALYST/CIFC FLOATING RATE INCOME FUND |
SCHEDULE OF INVESTMENTS (Unaudited) (Continued) |
December 31, 2023 |
Principal | Coupon Rate | |||||||||||||
Amount ($) | Spread | (%) | Maturity | Fair Value | ||||||||||
TERM LOANS — 87.2% (Continued) | ||||||||||||||
INTERNET MEDIA & SERVICES — 1.5% (Continued) | ||||||||||||||
550,000 | MH Sub I, LLC(b) | TSFR1M + 6.250% | 11.6060 | 02/23/29 | $ | 516,508 | ||||||||
593,096 | Uber Technologies, Inc.(b) | TSFR1M + 2.750% | 8.1590 | 03/03/30 | 595,507 | |||||||||
5,591,132 | ||||||||||||||
LEISURE FACILITIES & SERVICES — 3.7% | ||||||||||||||
346,133 | Alterra Mountain Company(b) | TSFR1M + 3.750% | 9.2060 | 05/09/30 | 348,728 | |||||||||
800,029 | Bally’s Corporation(b) | TSFR3M + 3.250% | 8.9270 | 08/06/28 | 760,412 | |||||||||
146,000 | BCPE Grill Parent, Inc.(b) | TSFR1M + 4.750% | 10.1600 | 09/21/30 | 143,506 | |||||||||
1,300,000 | Delta 2 Lux Sarl(b) | TSFR1M + 3.250% | 7.5980 | 01/15/30 | 1,305,083 | |||||||||
1,720,846 | Fertitta Entertainment, LLC/NV(b) | SOFRRATE + 4.000% | 9.3560 | 01/13/29 | 1,723,806 | |||||||||
689,000 | Flutter Financing BV(b) | TSFR1M + 2.250% | 7.5730 | 11/18/30 | 691,584 | |||||||||
2,061,631 | Ontario Gaming GTA, L.P.(b) | TSFR1M + 4.250% | 9.6400 | 07/20/30 | 2,073,042 | |||||||||
2,766,497 | Raptor Acquisition Corporation(b) | TSFR3M + 4.000% | 9.6330 | 11/01/26 | 2,780,619 | |||||||||
1,750,000 | Scientific Games Holdings, L.P.(b) | SOFRRATE + 3.500% | 8.6640 | 02/04/29 | 1,752,844 | |||||||||
1,664,191 | UFC Holdings, LLC(b) | TSFR1M + 2.750% | 8.3990 | 04/29/26 | 1,672,395 | |||||||||
13,252,019 | ||||||||||||||
LEISURE PRODUCTS — 0.3% | ||||||||||||||
1,250,000 | Varsity Brands Holding Company, Inc.(b) | TSFR1M + 5.000% | 10.4700 | 12/15/26 | 1,245,056 | |||||||||
MACHINERY — 0.3% | ||||||||||||||
500,000 | Restaurant Technologies, Inc.(b) | TSFR3M + 4.250% | 9.5980 | 04/01/29 | 496,500 | |||||||||
697,190 | Standard Industries, Inc.(b) | TSFR1M + 2.500% | 7.6970 | 08/06/28 | 699,494 | |||||||||
1,195,994 | ||||||||||||||
MEDICAL EQUIPMENT & DEVICES — 1.1% | ||||||||||||||
2,389,204 | Bausch + Lomb Corporation(b) | SOFRRATE + 3.250% | 8.7100 | 05/05/27 | 2,369,803 | |||||||||
680,466 | Bausch + Lomb Corporation(b) | TSFR1M + 4.000% | 9.3560 | 09/14/28 | 681,317 | |||||||||
936,444 | Mozart Borrower, L.P.(b) | TSFR1M + 3.250% | 8.4630 | 09/30/28 | 942,222 | |||||||||
3,993,342 | ||||||||||||||
OIL & GAS PRODUCERS — 2.7% | ||||||||||||||
400,109 | Buckeye Partners, L.P.(b) | TSFR1M + 2.250% | 7.7060 | 11/01/26 | 401,590 | |||||||||
1,695,335 | EG Finco Ltd.(b) | TSFR1M + 4.000% | 9.1640 | 02/05/25 | 1,695,335 | |||||||||
2,750,000 | EPIC Crude Services, L.P.(b) | TSFR6M +5.428% | 10.9290 | 03/01/26 | 2,746,219 | |||||||||
481,385 | GIP III Stetson I, L.P.(b) | TSFR1M + 4.350% | 9.7060 | 10/05/28 | 482,239 | |||||||||
The accompanying notes are an integral part of these financial statements.
34
CATALYST/CIFC FLOATING RATE INCOME FUND |
SCHEDULE OF INVESTMENTS (Unaudited) (Continued) |
December 31, 2023 |
Principal | Coupon Rate | |||||||||||||
Amount ($) | Spread | (%) | Maturity | Fair Value | ||||||||||
TERM LOANS — 87.2% (Continued) | ||||||||||||||
OIL & GAS PRODUCERS — 2.7% (Continued) | ||||||||||||||
107,000 | Medallion Midland Acquisition, L.P.(b) | TSFR1M + 3.500% | 8.8570 | 10/18/28 | $ | 107,554 | ||||||||
75,881 | Parkway Generation, LLC(b) | TSFR1M +4.750% | 10.0820 | 02/18/29 | 73,157 | |||||||||
574,119 | Parkway Generation, LLC(b) | TSFR1M + 4.864% | 10.1960 | 02/18/29 | 553,511 | |||||||||
3,829,482 | Prairie ECI Acquiror, L.P.(b) | TSFR1M + 4.750% | 10.2060 | 03/07/26 | 3,838,635 | |||||||||
9,898,240 | ||||||||||||||
PUBLISHING & BROADCASTING — 1.7% | ||||||||||||||
1,850,000 | Cengage Learning, Inc.(b) | TSFR3M + 4.750% | 10.4050 | 06/29/26 | 1,858,206 | |||||||||
569,000 | Century DE Buyer, LLC(b) | TSFR1M + 4.000% | 9.3900 | 09/27/30 | 571,489 | |||||||||
3,524,184 | Mav Acquisition Corporation(b) | TSFR1M + 4.750% | 10.2200 | 07/21/28 | 3,525,295 | |||||||||
519,254 | Sinclair Television Group, Inc.(b) | SOFRRATE + 3.750% | 9.1980 | 04/13/29 | 426,567 | |||||||||
6,381,557 | ||||||||||||||
REAL ESTATE INVESTMENT TRUSTS — 0.2% | ||||||||||||||
638,000 | Iron Mountain, Inc.(b) | TSFR1M +2.250% | 7.5960 | 01/31/31 | 638,998 | |||||||||
RETAIL - CONSUMER STAPLES — 0.1% | ||||||||||||||
370,000 | BJ’s Wholesale Club, Inc.(b) | TSFR1M + 2.000% | 7.3600 | 02/03/29 | 372,429 | |||||||||
RETAIL - DISCRETIONARY — 3.8% | ||||||||||||||
652,000 | Avis Budget Car Rental, LLC(b) | TSFR1M + 3.100% | 8.4520 | 03/16/29 | 654,243 | |||||||||
145,000 | Belron Finance US, LLC(b) | TSFR1M + 2.115% | 7.4740 | 04/28/28 | 145,725 | |||||||||
1,250,000 | Belron Finance US, LLC(b) | TSFR3M + 2.425% | 8.0670 | 04/30/28 | 1,253,281 | |||||||||
797,003 | Belron Finance US, LLC(b) | TSFR1M + 2.750% | 7.9950 | 04/06/29 | 799,493 | |||||||||
1,077,747 | Hertz Corporation (The)(b) | TSFR1M + 3.250% | 8.7130 | 06/14/28 | 1,076,065 | |||||||||
207,789 | Hertz Corporation (The)(b) | TSFR1M + 3.250% | 8.7130 | 06/14/28 | 207,465 | |||||||||
1,500,000 | Hertz Corporation (The)(b) | TSFR1M + 3.865% | 9.1080 | 06/30/28 | 1,500,630 | |||||||||
2,846,556 | Mavis Tire Express Services TopCo, L.P.(b) | SOFRRATE + 4.000% | 9.4700 | 04/30/28 | 2,855,453 | |||||||||
1,010,813 | Michaels Companies, Inc. (The)(b) | TSFR3M + 4.250% | 9.8600 | 04/09/28 | 843,018 | |||||||||
767,000 | Peer Holding III BV(b) | TSFR1M +3.250% | 8.6040 | 10/19/30 | 770,356 | |||||||||
1,800,000 | Petco Health & Wellness Company, Inc.(b) | TSFR3M + 3.350% | 8.9020 | 02/25/28 | 1,706,625 | |||||||||
1,150,000 | PetSmart, Inc.(b) | TSFR1M + 3.750% | 9.1980 | 01/29/28 | 1,139,075 | |||||||||
843,032 | Staples, Inc.(b) | SOFR+ CSA | 10.4350 | 04/09/26 | 801,369 | |||||||||
13,752,798 |
The accompanying notes are an integral part of these financial statements.
35
CATALYST/CIFC FLOATING RATE INCOME FUND |
SCHEDULE OF INVESTMENTS (Unaudited) (Continued) |
December 31, 2023 |
Principal | Coupon Rate | |||||||||||||
Amount ($) | Spread | (%) | Maturity | Fair Value | ||||||||||
TERM LOANS — 87.2% (Continued) | ||||||||||||||
SOFTWARE — 12.8% | ||||||||||||||
922,401 | Applied Systems, Inc.(b) | TSFR1M + 4.500% | 9.8900 | 09/19/26 | $ | 927,746 | ||||||||
750,000 | athenahealth, Inc.(b) | SOFRRATE + 3.500% | 8.5980 | 01/27/29 | 747,750 | |||||||||
321,321 | Boxer Parent Company, Inc.(b) | TSFR1M + 5.500% | 10.9700 | 03/23/26 | 321,321 | |||||||||
1,037,000 | Boxer Parent Company, Inc.(b) | TSFR1M + 4.250% | 9.6020 | 12/08/28 | 1,045,944 | |||||||||
2,694,597 | Camelot Finance S.A.(b) | TSFR1M + 3.000% | 8.4700 | 10/31/26 | 2,701,669 | |||||||||
2,136,118 | Camelot Finance S.A.(b) | TSFR1M + 3.000% | 8.4700 | 10/31/26 | 2,142,526 | |||||||||
4,074,363 | Central Parent, Inc.(b) | TSFR3M + 4.000% | 9.4060 | 07/06/29 | 4,102,149 | |||||||||
333,000 | Cloudera, Inc.(b) | TSFR1M + 3.750% | 9.1980 | 10/10/28 | 330,711 | |||||||||
1,463,070 | Condor Merger Sub, Inc.(b) | SOFRRATE + 4.000% | 9.1930 | 02/03/29 | 1,460,942 | |||||||||
612,966 | Greeneden US Holdings II, LLC(b) | TSFR1M + 4.000% | 9.4630 | 10/08/27 | 616,083 | |||||||||
1,305,792 | HS Purchaser, LLC(b) | SOFRRATE + 4.000% | 9.4830 | 11/30/26 | 1,240,973 | |||||||||
750,000 | HS Purchaser, LLC(b) | TSFR6M +6.750% | 12.3510 | 11/19/27 | 616,290 | |||||||||
1,074,641 | Idera, Inc.(b) | TSFR1M + 3.750% | 9.2720 | 03/02/28 | 1,071,283 | |||||||||
1,481,250 | Imprivata, Inc.(b) | TSFR1M + 4.250% | 9.6060 | 12/01/27 | 1,489,190 | |||||||||
168,000 | Instructure Holdings, Inc.(b) | TSFR1M + 2.865% | 8.1990 | 10/30/28 | 169,050 | |||||||||
89,000 | Isolved, Inc.(b) | TSFR1M + 4.000% | 9.4840 | 10/05/30 | 89,278 | |||||||||
618,000 | Marcel Bidco, LLC(b) | TSFR1M + 4.500% | 9.8350 | 10/26/30 | 622,122 | |||||||||
1,143,000 | Mitchell International, Inc.(b) | TSFR1M + 3.750% | 9.4000 | 08/01/28 | 1,144,154 | |||||||||
670,094 | Mitchell International, Inc.(b) | TSFR1M + 3.750% | 9.4000 | 10/01/28 | 670,771 | |||||||||
475,000 | Mitchell International, Inc.(b) | TSFR1M + 6.500% | 12.1500 | 10/01/29 | 467,728 | |||||||||
2,500,000 | Mosel Bidco S.E.(b) | TSFR1M + 4.750% | 10.0980 | 08/01/30 | 2,506,250 | |||||||||
238,807 | Motus Group, LLC(b) | TSFR1M + 4.000% | 9.2060 | 12/10/28 | 238,359 | |||||||||
1,250,000 | Project Alpha Intermediate Holding, Inc.(b) | TSFR1M + 4.750% | 10.0930 | 10/19/30 | 1,259,244 | |||||||||
1,094,430 | Project Sky Merger Sub, Inc.(b) | TSFR1M + 3.750% | 9.2060 | 08/10/28 | 1,086,906 | |||||||||
1,235,398 | Project Sky Merger Sub, Inc.(b) | TSFR1M + 6.000% | 11.4310 | 08/10/29 | 1,190,096 | |||||||||
1,600,000 | Quartz Acquireco, LLC(b) | TSFR1M + 3.500% | 8.8560 | 06/28/30 | 1,607,000 | |||||||||
909,708 | Rocket Software, Inc.(b) | TSFR1M + 4.750% | 10.1060 | 11/28/28 | 895,494 | |||||||||
2,489,515 | SolarWinds Holdings, Inc.(b) | TSFR1M + 4.000% | 9.1060 | 02/05/27 | 2,498,515 | |||||||||
630,603 | Surf Holdings, LLC(b) | TSFR1M + 3.500% | 0.0000 | 10/14/26 | 632,732 | |||||||||
1,685,832 | TIBCO Software, Inc.(b) | TSFR3M + 4.500% | 9.9480 | 09/30/28 | 1,648,297 | |||||||||
1,749,590 | TIBCO Software, Inc.(b) | TSFR3M + 4.500% | 9.9480 | 03/30/29 | 1,713,400 | |||||||||
88,778 | UKG, Inc.(b) | TSFR1M + 4.500% | 9.9880 | 05/03/26 | 89,270 | |||||||||
1,291,599 | UKG, Inc.(b) | TSFR3M + 5.250% | 10.7640 | 05/03/27 | 1,296,559 |
The accompanying notes are an integral part of these financial statements.
36
CATALYST/CIFC FLOATING RATE INCOME FUND |
SCHEDULE OF INVESTMENTS (Unaudited) (Continued) |
December 31, 2023 |
Principal | Coupon Rate | |||||||||||||
Amount ($) | Spread | (%) | Maturity | Fair Value | ||||||||||
TERM LOANS — 87.2% (Continued) | ||||||||||||||
SOFTWARE — 12.8% (Continued) | ||||||||||||||
1,754,020 | Ultimate Software Group, Inc. (The)(b) | TSFR3M + 3.750% | 9.2330 | 04/08/26 | $ | 1,760,370 | ||||||||
2,742,894 | Waystar Technologies, Inc.(b) | TSFR1M + 4.000% | 9.4700 | 10/23/26 | 2,756,608 | |||||||||
1,485,188 | Weld North Education, LLC(b) | TSFR1M + 3.750% | 9.2200 | 12/17/27 | 1,487,200 | |||||||||
1,799,283 | Zelis Payments Buyer, Inc.(b) | TSFR1M + 3.500% | 8.9460 | 09/30/26 | 1,805,067 | |||||||||
46,449,047 | ||||||||||||||
SPECIALTY FINANCE — 1.2% | ||||||||||||||
273,000 | Apex Group Treasury, LLC(b) | TSFR1M + 5.000% | 10.4030 | 07/27/28 | 272,659 | |||||||||
750,919 | Avolon TLB Borrower 1 US, LLC(b) | TSFR1M + 2.500% | 7.3580 | 06/08/28 | 753,483 | |||||||||
151,000 | Avolon TLB Borrower 1 US, LLC(b) | TSFR1M + 2.000% | 7.3450 | 06/22/28 | 151,516 | |||||||||
232,000 | Citco Group Ltd. (The)(b) | TSFR1M + 3.250% | 8.6370 | 04/27/28 | 233,124 | |||||||||
1,496,104 | Kestra Advisor Services Holdings A, Inc.(b) | TSFR3M + 4.250% | 9.6980 | 06/04/26 | 1,499,844 | |||||||||
1,444,804 | Setanta Aircraft Leasing DAC(b) | TSFR3M + 2.000% | 7.6100 | 11/06/28 | 1,451,024 | |||||||||
4,361,650 | ||||||||||||||
TECHNOLOGY HARDWARE — 0.1% | ||||||||||||||
194,000 | Xerox Corporation(b) | TSFR1M + 4.100% | 9.3560 | 11/14/29 | 194,606 | |||||||||
TECHNOLOGY SERVICES — 7.5% | ||||||||||||||
1,066,591 | Access CIG, LLC(b) | TSFR1M + 7.750% | 13.3920 | 02/27/26 | 1,065,700 | |||||||||
1,873,510 | Access CIG, LLC(b) | TSFR1M + 5.000% | 10.3310 | 08/15/28 | 1,878,980 | |||||||||
1,423,922 | Acuris Finance Us, Inc.(b) | SOFRRATE + 4.000% | 9.4980 | 02/04/28 | 1,425,481 | |||||||||
290,970 | Blackhawk Network Holdings, Inc.(b) | TSFR1M + 7.000% | 12.4620 | 05/22/26 | 288,060 | |||||||||
2,856,298 | Dun & Bradstreet Corporation (The)(b) | TSFR1M + 2.750% | 8.1930 | 02/08/26 | 2,865,681 | |||||||||
1,136,996 | Ensono Holdings, LLC(b) | TSFR1M + 4.000% | 9.4700 | 05/20/28 | 1,098,338 | |||||||||
1,875,000 | EVERTEC Group, LLC(b) | TSFR1M + 3.500% | 8.8560 | 10/12/30 | 1,882,031 | |||||||||
2,232,964 | ION Trading Finance Ltd.(b) | TSFR3M + 4.750% | 10.2400 | 03/26/28 | 2,238,379 | |||||||||
3,579,008 | Netsmart, Inc.(b) | TSFR1M + 4.000% | 9.2200 | 10/01/27 | 3,590,478 | |||||||||
1,670,409 | Peraton Corporation(b) | TSFR1M + 3.750% | 9.1980 | 02/24/28 | 1,676,673 | |||||||||
128,919 | Peraton Corporation(b) | TSFR3M + 7.750% | 13.2220 | 02/01/29 | 128,577 | |||||||||
1,964,792 | Presidio Holdings, Inc.(b) | TSFR1M + 3.500% | 8.9560 | 12/19/26 | 1,971,236 | |||||||||
399,500 | Sabre GLBL, Inc.(b) | TSFR1M + 5.000% | 10.4560 | 06/30/28 | 357,153 | |||||||||
1,787,333 | Tempo Acquisition, LLC(b) | TSFR1M + 2.750% | 8.1060 | 08/31/28 | 1,797,708 | |||||||||
4,720,161 | Verscend Holding Corporation(b) | TSFR1M + 4.000% | 9.4630 | 08/27/25 | 4,741,781 | |||||||||
27,006,256 |
The accompanying notes are an integral part of these financial statements.
37
CATALYST/CIFC FLOATING RATE INCOME FUND |
SCHEDULE OF INVESTMENTS (Unaudited) (Continued) |
December 31, 2023 |
Principal | Coupon Rate | |||||||||||||
Amount ($) | Spread | (%) | Maturity | Fair Value | ||||||||||
TERM LOANS — 87.2% (Continued) | ||||||||||||||
TELECOMMUNICATIONS — 1.3% | ||||||||||||||
496,250 | Altice France S.A.(b) | TSFR1M + 4.000% | 9.6410 | 01/31/26 | $ | 463,924 | ||||||||
2,199,358 | CCI Buyer, Inc.(b) | SOFRRATE + 4.000% | 9.3900 | 12/12/27 | 2,196,212 | |||||||||
1,078,681 | Intrado Corporation(b) | TSFR1M + 3.000% | 9.3480 | 01/25/30 | 1,083,174 | |||||||||
1,585,111 | Xplornet Communications, Inc.(b) | TSFR1M + 4.000% | 9.6100 | 09/30/28 | 968,281 | |||||||||
4,711,591 | ||||||||||||||
TRANSPORTATION & LOGISTICS — 4.3% | ||||||||||||||
2,662,513 | AAdvantage Loyalty IP Ltd.(b) | TSFR1M + 4.750% | 10.4110 | 03/10/28 | 2,739,273 | |||||||||
1,150,000 | American Airlines, Inc.(b) | TSFR1M + 2.750% | 8.1540 | 02/09/28 | 1,150,431 | |||||||||
567,923 | American Airlines, Inc.(b) | TSFR1M + 3.500% | 8.8300 | 05/29/29 | 569,852 | |||||||||
750,000 | Brown Group Holding, LLC(b) | TSFR1M + 2.750% | 8.1980 | 04/22/28 | 751,710 | |||||||||
192,518 | Kenan Advantage Group, Inc. (The)(b) | TSFR1M + 4.000% | 9.4700 | 03/24/26 | 192,338 | |||||||||
2,642,283 | KKR Apple Bidco, LLC(b) | TSFR1M + 4.000% | 8.8560 | 09/23/28 | 2,654,676 | |||||||||
1,530,000 | Patriot Rail Company, LLC(b) | TSFR3M + 4.262% | 9.6520 | 10/18/26 | 1,532,869 | |||||||||
2,500,000 | United Airlines, Inc.(b) | TSFR3M + 3.750% | 9.2200 | 04/14/28 | 2,512,500 | |||||||||
3,374,545 | WestJet Airlines Ltd.(b) | TSFR3M + 3.000% | 8.4430 | 10/08/26 | 3,374,021 | |||||||||
257,000 | XPO, Inc.(b) | TSFR1M + 2.000% | 7.3600 | 02/28/31 | 257,696 | |||||||||
15,735,366 | ||||||||||||||
WHOLESALE - CONSUMER STAPLES — 0.3% | ||||||||||||||
1,056,864 | Quirch Foods Holdings, LLC(b) | SOFRRATE + 4.500% | 10.3870 | 10/27/27 | 1,057,033 | |||||||||
WHOLESALE - DISCRETIONARY — 0.5% | ||||||||||||||
1,850,000 | Fastlane Parent Company, Inc.(b) | TSFR1M + 4.500% | 9.8560 | 09/27/28 | 1,850,869 | |||||||||
TOTAL TERM LOANS (Cost $314,722,902) | 315,771,869 | |||||||||||||
The accompanying notes are an integral part of these financial statements.
38
CATALYST/CIFC FLOATING RATE INCOME FUND |
SCHEDULE OF INVESTMENTS (Unaudited) (Continued) |
December 31, 2023 |
Shares | Fair Value | |||||||
SHORT-TERM INVESTMENTS — 11.0% | ||||||||
MONEY MARKET FUNDS - 11.0% | ||||||||
39,812,120 | First American Treasury Obligations Fund, Class X, 5.28% (Cost $39,812,120)(d) | $ | 39,812,120 | |||||
TOTAL INVESTMENTS - 108.8% (Cost $393,115,738) | $ | 393,972,677 | ||||||
LIABILITIES IN EXCESS OF OTHER ASSETS - (8.8)% | (31,962,333 | ) | ||||||
NET ASSETS - 100.0% | $ | 362,010,344 |
ETF | - Exchange-Traded Fund |
LLC | - Limited Liability Company |
LP | - Limited Partnership |
LTD | - Limited Company |
SA | - Société Anonyme |
SPDR | - Standard & Poor’s Depositary Receipt |
SOFRRATE | United States SOFR Secured Overnight Financing Rate |
TSFR1M | Secured Overnight Financing Rate 1 Month |
TSFR3M | Secured Overnight Financing Rate 3 Month |
TSFR6M | Secured Overnight Financing Rate 6 Month |
US0001M | ICE LIBOR USD 1 Month |
US0003M | ICE LIBOR USD 3 Month |
(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 December 31, 2023, the total market value of 144A securities is $28,708,278 or 7.9% of net assets. |
(b) | Variable rate security; the rate shown represents the rate on December 31, 2023. |
(c) | Percentage rounds to less than 0.1%. |
(d) | Rate disclosed is the seven day effective yield as of December 31, 2023. |
(e) | This Investment was not funded as of December 31, 2023. The Fund had $352,375 at par value in unfunded commitments as of December 31, 2023 |
The accompanying notes are an integral part of these financial statements.
39
CATALYST/SMH HIGH INCOME FUND |
SCHEDULE OF INVESTMENTS (Unaudited) |
December 31, 2023 |
Coupon Rate | ||||||||||||
Shares | (%) | Maturity | Fair Value | |||||||||
PREFERRED STOCKS — 2.4% | ||||||||||||
LEISURE FACILITIES & SERVICES — 2.4% | ||||||||||||
25,3525 | FAT Brands, Inc. | 8.2500 | 12/31/2049 | $ | 377,491 | |||||||
TOTAL PREFERRED STOCKS (Cost $563,439) | 377,491 | |||||||||||
Principal | ||||||||||||
Amount ($) | ||||||||||||
CONVERTIBLE BONDS — 4.8% | ||||||||||||
INTERNET MEDIA & SERVICES — 4.8% | ||||||||||||
1,000,000 | fuboTV, Inc. | 3.2500 | 02/15/26 | 735,000 | ||||||||
TOTAL CONVERTIBLE BONDS (Cost $870,000) | 735,000 | |||||||||||
CORPORATE BONDS — 83.6% | ||||||||||||
APPAREL & TEXTILE PRODUCTS — 1.8% | ||||||||||||
300,000 | Under Armour, Inc.(a) | 3.2500 | 06/15/26 | 283,467 | ||||||||
ASSET MANAGEMENT — 2.0% | ||||||||||||
350,000 | Icahn Enterprises, L.P. / Icahn Enterprises | 5.2500 | 05/15/27 | 315,314 | ||||||||
AUTOMOTIVE — 4.2% | ||||||||||||
741,000 | American Axle & Manufacturing, Inc. | 5.0000 | 10/01/29 | 655,366 | ||||||||
CHEMICALS — 3.6% | ||||||||||||
607,000 | Rayonier AM Products, Inc.(b) | 7.6250 | 01/15/26 | 557,696 | ||||||||
CONSUMER SERVICES — 1.8% | ||||||||||||
300,000 | Rent-A-Center, Inc.(a),(b) | 6.3750 | 02/15/29 | 281,870 | ||||||||
ENGINEERING & CONSTRUCTION — 3.0% | ||||||||||||
480,000 | Tutor Perini Corporation(b) | 6.8750 | 05/01/25 | 468,985 |
The accompanying notes are an integral part of these financial statements.
40
CATALYST/SMH HIGH INCOME FUND |
SCHEDULE OF INVESTMENTS (Unaudited) (Continued) |
December 31, 2023 |
Principal | Coupon Rate | |||||||||||
Amount ($) | (%) | Maturity | Fair Value | |||||||||
CORPORATE BONDS — 83.6% (Continued) | ||||||||||||
HOME CONSTRUCTION — 3.7% | ||||||||||||
582,000 | Beazer Homes USA, Inc. | 5.8750 | 10/15/27 | $ | 569,196 | |||||||
HOUSEHOLD PRODUCTS — 0.9% | ||||||||||||
150,000 | Central Garden & Pet Company | 4.1250 | 10/15/30 | 136,596 | ||||||||
INSTITUTIONAL FINANCIAL SERVICES — 1.5% | ||||||||||||
300,000 | Coinbase Global, Inc.(b) | 3.6250 | 10/01/31 | 232,365 | ||||||||
INTERNET MEDIA & SERVICES — 1.7% | ||||||||||||
255,000 | Uber Technologies, Inc.(b) | 8.0000 | 11/01/26 | 259,909 | ||||||||
LEISURE FACILITIES & SERVICES — 3.6% | ||||||||||||
550,000 | Odeon Finco plc(b) | 12.7500 | 11/01/27 | 558,979 | ||||||||
MACHINERY — 3.8% | ||||||||||||
578,000 | Titan International, Inc. | 7.0000 | 04/30/28 | 578,865 | ||||||||
METALS & MINING — 7.2% | ||||||||||||
865,000 | Coeur Mining, Inc.(a),(b) | 5.1250 | 02/15/29 | 797,855 | ||||||||
300,000 | Hecla Mining Company(a) | 7.2500 | 02/15/28 | 302,402 | ||||||||
1,100,257 | ||||||||||||
OIL & GAS PRODUCERS — 1.2% | ||||||||||||
175,000 | Occidental Petroleum Corporation(a) | 6.6000 | 03/15/46 | 189,715 | ||||||||
OIL & GAS SERVICES & EQUIPMENT — 6.7% | ||||||||||||
593,000 | Transocean, Inc.(b) | 11.5000 | 01/30/27 | 620,124 | ||||||||
517,000 | Transocean, Inc. | 6.8000 | 03/15/38 | 415,161 | ||||||||
1,035,285 | ||||||||||||
REAL ESTATE INVESTMENT TRUSTS — 14.2% | ||||||||||||
400,000 | CoreCivic, Inc.(a) | 4.7500 | 10/15/27 | 369,635 | ||||||||
425,000 | EPR Properties | 3.7500 | 08/15/29 | 374,857 | ||||||||
651,000 | MPT Operating Partnership, L.P. / MPT Finance(a) | 5.0000 | 10/15/27 | 532,338 | ||||||||
969,000 | Office Properties Income Trust(a) | 3.4500 | 10/15/31 | 484,056 |
The accompanying notes are an integral part of these financial statements.
41
CATALYST/SMH HIGH INCOME FUND |
SCHEDULE OF INVESTMENTS (Unaudited) (Continued) |
December 31, 2023 |
Principal | Coupon Rate | |||||||||||
Amount ($) | (%) | Maturity | Fair Value | |||||||||
CORPORATE BONDS — 83.6% (Continued) | ||||||||||||
REAL ESTATE INVESTMENT TRUSTS — 14.2% (Continued) | ||||||||||||
447,000 | Service Properties Trust(a) | 5.2500 | 02/15/26 | $ | 434,529 | |||||||
2,195,415 | ||||||||||||
REAL ESTATE OWNERS & DEVELOPERS — 4.7% | ||||||||||||
840,000 | Howard Hughes Corporation (The)(b) | 4.3750 | 02/01/31 | 729,989 | ||||||||
RETAIL - DISCRETIONARY — 10.0% | ||||||||||||
420,000 | Bath & Body Works Inc.(a) | 6.7500 | 07/01/36 | 423,796 | ||||||||
1,065,000 | Bed Bath & Beyond, Inc.(c) | 5.1650 | 08/01/44 | 2,867 | ||||||||
783,000 | Kohl’s Corporation | 5.5500 | 07/17/45 | 524,696 | ||||||||
825,000 | Nordstrom, Inc.(a) | 5.0000 | 01/15/44 | 589,716 | ||||||||
1,541,075 | ||||||||||||
SPECIALTY FINANCE — 3.6% | ||||||||||||
557,000 | Enova International, Inc.(a),(b) | 8.5000 | 09/15/25 | 547,829 | ||||||||
STEEL — 4.4% | ||||||||||||
653,000 | United States Steel Corporation(a) | 6.6500 | 06/01/37 | 684,958 | ||||||||
TECHNOLOGY HARDWARE — 0.0%(d) | ||||||||||||
8,669,000 | ENERGY CONVERSION DEVICES INC(b)(c)(d)(e) | 0.0000 | 12/15/49 | — | ||||||||
TOTAL CORPORATE BONDS (Cost $16,694,345) | 12,923,131 | |||||||||||
Shares | ||||||||||||
SHORT-TERM INVESTMENTS — 37.3% | ||||||||||||
COLLATERAL FOR SECURITIES LOANED - 30.8% | ||||||||||||
4,763,599 | Mount Vernon Liquid Assets Portfolio, 5.55% (Cost $4,763,599)(f)(g) | 4,763,599 | ||||||||||
MONEY MARKET FUNDS - 6.5% | ||||||||||||
997,760 | First American Treasury Obligations Fund, Class X, 5.28% (Cost $997,760)(g) | 997,760 | ||||||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $5,761,359) | 5,761,359 |
The accompanying notes are an integral part of these financial statements.
42
CATALYST/SMH HIGH INCOME FUND |
SCHEDULE OF INVESTMENTS (Unaudited) (Continued) |
December 31, 2023 |
Fair Value | ||||||||
TOTAL INVESTMENTS - 128.1% (Cost $23,889,143) | $ | 19,796,981 | ||||||
LIABILITIES IN EXCESS OF OTHER ASSETS - (28.1)% | (4,340,054 | ) | ||||||
NET ASSETS - 100.0% | $ | 15,456,927 |
LP | - Limited Partnership |
PLC | - Public Limited Company |
(a) | All or a portion for these securities are on loan. Total loaned securities had a value of $4,674,159 at December 31, 2023. |
(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 December 31, 2023, the total market value of 144A securities is $5,055,601 or 32.7% of net assets. |
(c) | Represents issuer in default on interest payments; non-income producing security. |
(d) | Illiquid security. The total fair value of these securities as of December 31, 2023 was $0, representing 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) | Mutual Fund Series Trust’s 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%. |
(g) | Rate disclosed is the seven day effective yield as of December 31, 2023. |
The accompanying notes are an integral part of these financial statements.
43
CATALYST/SMH TOTAL RETURN INCOME FUND |
SCHEDULE OF INVESTMENTS (Unaudited) |
December 31, 2023 |
Shares | Fair Value | |||||||
COMMON STOCKS — 33.0% | ||||||||
ASSET MANAGEMENT - 12.1% | ||||||||
3,300 | Apollo Global Management, Inc.(a) | $ | 307,527 | |||||
35,292 | Compass Diversified Holdings(a) | 792,305 | ||||||
99,131 | PennantPark Investment Corporation | 684,995 | ||||||
42,466 | SuRo Capital Corporation(a),(b) | 167,316 | ||||||
49,500 | US Global Investors, Inc., Class A | 139,590 | ||||||
2,091,733 | ||||||||
AUTOMOTIVE - 0.4% | ||||||||
6,200 | Ford Motor Company | 75,578 | ||||||
BUSINESS DEVELOPMENT COMPANIES - 6.3% | ||||||||
12,128 | Main Street Capital Corporation(a) | 524,293 | ||||||
95,140 | Prospect Capital Corporation(a) | 569,889 | ||||||
1,094,182 | ||||||||
ENTERTAINMENT CONTENT - 0.2% | ||||||||
3,386 | Warner Bros Discovery, Inc.(a),(b) | 38,533 | ||||||
FOOD - 1.1% | ||||||||
5,284 | Kraft Heinz Company (The) | 195,402 | ||||||
GAMING REIT - 1.4% | ||||||||
7,475 | VICI Properties, Inc. | 238,303 | ||||||
INDUSTRIAL REIT - 1.4% | ||||||||
2,390 | Innovative Industrial Properties, Inc.(a) | 240,960 | ||||||
MIXED ALLOCATION - 1.3% | ||||||||
28,543 | NexPoint Diversified Real Estate Trust | 226,917 | ||||||
TECHNOLOGY HARDWARE - 2.5% | ||||||||
697 | Apple, Inc. | 134,193 | ||||||
47,154 | Pitney Bowes, Inc.(a) | 207,478 | ||||||
4,612 | Xerox Holdings Corporation(a) | 84,538 | ||||||
426,209 |
The accompanying notes are an integral part of these financial statements.
44
CATALYST/SMH TOTAL RETURN INCOME FUND |
SCHEDULE OF INVESTMENTS (Unaudited) (Continued) |
December 31, 2023 |
Shares | Fair Value | |||||||||||
COMMON STOCKS — 33.0% (Continued) | ||||||||||||
TECHNOLOGY SERVICES - 2.1% | ||||||||||||
2,161 | International Business Machines Corporation | $ | 353,432 | |||||||||
432 | Kyndryl Holdings, Inc.(b) | 8,977 | ||||||||||
362,409 | ||||||||||||
TELECOMMUNICATIONS - 2.4% | ||||||||||||
14,000 | AT&T, Inc. | 234,920 | ||||||||||
4,561 | Verizon Communications, Inc. | 171,950 | ||||||||||
406,870 | ||||||||||||
TRANSPORT OPERATIONS & SERVICES - 1.8% | ||||||||||||
26,000 | AFC Gamma, Inc. | 312,780 | ||||||||||
TOTAL COMMON STOCKS (Cost $7,451,995) | 5,709,876 | |||||||||||
EXCHANGE-TRADED FUNDS — 1.5% | ||||||||||||
FIXED INCOME - 1.5% | ||||||||||||
3,380 | iShares iBoxx High Yield Corporate Bond ETF(a) | 261,578 | ||||||||||
TOTAL EXCHANGE-TRADED FUNDS (Cost $250,098) | 261,578 | |||||||||||
Principal | Coupon Rate | |||||||||||
Amount ($) | (%) | Maturity | ||||||||||
CONVERTIBLE BONDS — 8.5% | ||||||||||||
AUTOMOTIVE — 1.9% | ||||||||||||
350,000 | NIO, Inc.(a) | 0.5000 | 02/01/27 | 322,000 | ||||||||
INTERNET MEDIA & SERVICES — 2.8% | ||||||||||||
662,000 | fuboTV, Inc. | 3.2500 | 02/15/26 | 486,570 | ||||||||
SPECIALTY FINANCE — 3.8% | ||||||||||||
717,000 | EZCORP, Inc. | 2.3750 | 05/01/25 | 672,618 | ||||||||
TOTAL CONVERTIBLE BONDS (Cost $1,587,129) | 1,481,188 |
The accompanying notes are an integral part of these financial statements.
45
CATALYST/SMH TOTAL RETURN INCOME FUND |
SCHEDULE OF INVESTMENTS (Unaudited) (Continued) |
December 31, 2023 |
Principal | Coupon Rate | |||||||||||
Amount ($) | (%) | Maturity | Fair Value | |||||||||
CORPORATE BONDS — 54.7% | ||||||||||||
ASSET MANAGEMENT — 1.8% | ||||||||||||
350,000 | Icahn Enterprises, L.P. / Icahn Enterprises | 5.2500 | 05/15/27 | $ | 315,314 | |||||||
AUTOMOTIVE — 3.3% | ||||||||||||
639,000 | American Axle & Manufacturing, Inc. | 5.0000 | 10/01/29 | 565,154 | ||||||||
CHEMICALS — 2.8% | ||||||||||||
520,000 | Rayonier AM Products, Inc.(c) | 7.6250 | 01/15/26 | 477,763 | ||||||||
HOME CONSTRUCTION — 3.6% | ||||||||||||
635,000 | Beazer Homes USA, Inc.(a) | 5.8750 | 10/15/27 | 621,030 | ||||||||
INTERNET MEDIA & SERVICES — 2.0% | ||||||||||||
332,000 | Uber Technologies, Inc.(c) | 8.0000 | 11/01/26 | 338,392 | ||||||||
LEISURE FACILITIES & SERVICES — 3.0% | ||||||||||||
515,000 | Odeon Finco PLC(c) | 12.7500 | 11/01/27 | 523,408 | ||||||||
MACHINERY — 4.0% | ||||||||||||
687,000 | Titan International, Inc. | 7.0000 | 04/30/28 | 688,028 | ||||||||
METALS & MINING — 2.8% | ||||||||||||
534,000 | Coeur Mining, Inc.(a),(c) | 5.1250 | 02/15/29 | 492,548 | ||||||||
OIL & GAS PRODUCERS — 2.2% | ||||||||||||
350,000 | Occidental Petroleum Corporation(a) | 6.6000 | 03/15/46 | 379,430 | ||||||||
OIL & GAS SERVICES & EQUIPMENT — 9.0% | ||||||||||||
754,000 | Transocean, Inc.(c) | 11.5000 | 01/30/27 | 788,488 | ||||||||
953,000 | Transocean, Inc.(a) | 6.8000 | 03/15/38 | 765,278 | ||||||||
1,553,766 | ||||||||||||
REAL ESTATE INVESTMENT TRUSTS — 9.0% | ||||||||||||
778,000 | CoreCivic, Inc.(a) | 4.7500 | 10/15/27 | 718,939 | ||||||||
537,000 | MPT Operating Partnership, L.P. / MPT Finance(a) | 5.0000 | 10/15/27 | 439,117 | ||||||||
172,000 | Office Properties Income Trust(a) | 3.4500 | 10/15/31 | 85,921 |
The accompanying notes are an integral part of these financial statements.
46
CATALYST/SMH TOTAL RETURN INCOME FUND |
SCHEDULE OF INVESTMENTS (Unaudited) (Continued) |
December 31, 2023 |
Principal | Coupon Rate | |||||||||||
Amount ($) | (%) | Maturity | Fair Value | |||||||||
CORPORATE BONDS — 54.7% (Continued) | ||||||||||||
REAL ESTATE INVESTMENT TRUSTS — 9.0% (Continued) | ||||||||||||
332,000 | Service Properties Trust(a) | 5.2500 | 02/15/26 | $ | 322,737 | |||||||
1,566,714 | ||||||||||||
REAL ESTATE OWNERS & DEVELOPERS — 2.2% | ||||||||||||
445,000 | Howard Hughes Corporation (The)(a),(c) | 4.3750 | 02/01/31 | 386,721 | ||||||||
RETAIL - DISCRETIONARY — 4.3% | ||||||||||||
411,000 | Bath & Body Works, Inc.(a) | 6.7500 | 07/01/36 | 414,715 | ||||||||
373,000 | Bed Bath & Beyond, Inc.(d) | 5.1650 | 08/01/44 | 1,004 | ||||||||
528,000 | Kohl’s Corporation | 5.5500 | 07/17/45 | 353,818 | ||||||||
769,537 | ||||||||||||
SPECIALTY FINANCE — 3.7% | ||||||||||||
647,000 | Enova International, Inc.(a),(c) | 8.5000 | 09/15/25 | 636,347 | ||||||||
TECHNOLOGY HARDWARE — 0.0% | ||||||||||||
5,543,000 | ENERGY CONVERSION DEVICES INC(c)(d)(e)(f) | 0.0000 | 12/15/49 | — | ||||||||
TECHNOLOGY SERVICES — 1.0% | ||||||||||||
200,000 | Kyndryl Holdings, Inc. | 3.1500 | 10/15/31 | 167,610 | ||||||||
TOTAL CORPORATE BONDS (Cost $11,367,880) | 9,481,762 | |||||||||||
Shares | ||||||||||||
SHORT-TERM INVESTMENTS — 42.0% | ||||||||||||
COLLATERAL FOR SECURITIES LOANED - 41.1% | ||||||||||||
7,114,169 | Mount Vernon Liquid Assets Portfolio, 5.55% (Cost $7,114,169)(g)(h) | 7,114,169 | ||||||||||
MONEY MARKET FUNDS - 0.9% | ||||||||||||
164,107 | First American Treasury Obligations Fund, Class X, 5.28% (Cost $164,107)(h) | 164,107 | ||||||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $7,278,276) | 7,278,276 |
The accompanying notes are an integral part of these financial statements.
47
CATALYST/SMH TOTAL RETURN INCOME FUND |
SCHEDULE OF INVESTMENTS (Unaudited) (Continued) |
December 31, 2023 |
Fair Value | ||||||||
TOTAL INVESTMENTS - 139.7% (Cost $27,935,378) | $ | 24,212,680 | ||||||
LIABILITIES IN EXCESS OF OTHER ASSETS - (39.7)% | (6,883,188 | ) | ||||||
NET ASSETS - 100.0% | $ | 17,329,492 |
ETF | - Exchange-Traded Fund |
LP | - Limited Partnership |
PLC | - Public Limited Company |
REIT | - Real Estate Investment Trust |
(a) | All or a portion for these securities are on loan. Total loaned securities had a value of $6,930,879 at December 31, 2023. |
(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 December 31, 2023, the total market value of 144A securities is $3,643,667 or 21.0% of net assets. |
(d) | Represents issuer in default on interest payments; non-income producing security. |
(e) | Illiquid security. The total fair value of these securities as of December 31, 2023 was $0, representing 0% of net assets. |
(f) | 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. |
(g) | Mutual Fund Series Trust’s 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%. |
(h) | Rate disclosed is the seven day effective yield as of December 31, 2023. |
The accompanying notes are an integral part of these financial statements.
48
CATALYST FUNDS |
Statements of Assets and Liabilities (Unaudited) |
December 31, 2023 |
�� | Catalyst/MAP | Catalyst/CIFC | Catalyst/SMH | |||||||||||||||||||||
Catalyst Insider | Catalyst Enhanced | Global Balanced | Floating Rate | Catalyst/SMH | Total Return | |||||||||||||||||||
Income Fund | Income Strategy Fund | Fund | Income Fund | High Income Fund | Income Fund | |||||||||||||||||||
ASSETS: | ||||||||||||||||||||||||
Investment in Securities, at Cost | $ | 58,371,057 | $ | 319,316,651 | $ | 14,102,477 | $ | 393,115,738 | $ | 23,889,143 | $ | 27,935,378 | ||||||||||||
Investment in Securities, at Value | $ | 57,071,502 | $ | 253,350,570 | $ | 15,030,026 | $ | 393,972,677 | $ | 19,796,981 | $ | 24,212,680 | ||||||||||||
Cash | — | — | — | 2,550,477 | — | — | ||||||||||||||||||
Receivable for Fund shares sold | 11,028 | 207,366 | 10,000 | 1,209,150 | 148,718 | — | ||||||||||||||||||
Receivable for securities sold | 896,199 | — | — | 11,305,660 | — | — | ||||||||||||||||||
Dividends and interest receivable | 916,904 | 1,271,835 | 131,040 | 1,617,584 | 291,012 | 260,318 | ||||||||||||||||||
Due from Manager | — | — | 2,929 | — | — | — | ||||||||||||||||||
Prepaid expenses and other assets | 31,056 | 34,651 | 24,692 | 60,175 | 24,668 | 23,407 | ||||||||||||||||||
Total Assets | 58,926,689 | 254,864,422 | 15,198,687 | 410,715,723 | 20,261,379 | 24,496,405 | ||||||||||||||||||
LIABILITIES: | ||||||||||||||||||||||||
Payable for securities purchased | — | — | — | 46,695,832 | — | — | ||||||||||||||||||
Investment advisory fees payable | 17,328 | 253,692 | — | 205,562 | 404 | 4,771 | ||||||||||||||||||
Distribution Payable | 58,755 | — | — | 727,744 | — | — | ||||||||||||||||||
Payable upon return of securities loaned (Market value of securities on loan $0; $0; $0; $0; $4,674,159; $6,930,879) | — | — | — | — | 4,763,599 | 7,114,169 | ||||||||||||||||||
Payable for Fund shares redeemed | 325,845 | 1,065,991 | 2,000 | 963,397 | — | 8,763 | ||||||||||||||||||
Payable to related parties | 6,747 | 45,272 | 5,920 | 24,921 | 8,092 | 8,144 | ||||||||||||||||||
Trustee fee payable | 3,947 | 4,005 | 3,987 | 3,857 | 4,005 | 3,977 | ||||||||||||||||||
Accrued 12b-1 fees | 5,715 | 15,621 | 11,235 | 19,547 | 11,041 | 10,595 | ||||||||||||||||||
Accrued expenses and other liabilities | 37,768 | 148,832 | 17,400 | 64,519 | 17,311 | 16,494 | ||||||||||||||||||
Total Liabilities | 456,105 | 1,533,413 | 40,542 | 48,705,379 | 4,804,452 | 7,166,913 | ||||||||||||||||||
Net Assets | $ | 58,470,584 | $ | 253,331,009 | $ | 15,158,145 | $ | 362,010,344 | $ | 15,456,927 | $ | 17,329,492 | ||||||||||||
NET ASSETS CONSIST OF: | ||||||||||||||||||||||||
Paid in capital | $ | 68,396,845 | $ | 375,361,078 | $ | 14,116,307 | $ | 381,605,560 | $ | 50,805,070 | $ | 38,727,628 | ||||||||||||
Accumulated earnings (losses) | (9,926,261 | ) | (122,030,069 | ) | 1,041,838 | (19,595,216 | ) | (35,348,143 | ) | (21,398,136 | ) | |||||||||||||
Net Assets | $ | 58,470,584 | $ | 253,331,009 | $ | 15,158,145 | $ | 362,010,344 | $ | 15,456,927 | $ | 17,329,492 | ||||||||||||
Class A | ||||||||||||||||||||||||
Net Assets | $ | 4,490,112 | $ | 20,570,473 | $ | 2,097,449 | $ | 25,680,210 | $ | 8,074,021 | $ | 5,949,980 | ||||||||||||
Shares of beneficial interest outstanding (a) | 501,254 | 2,368,050 | 185,726 | 2,777,372 | 2,221,979 | 1,275,382 | ||||||||||||||||||
Net asset value per share (Net assets/shares outstanding) | $ | 8.96 | $ | 8.69 | $ | 11.29 | $ | 9.25 | $ | 3.63 | $ | 4.67 | ||||||||||||
Maximum offering price per share (b) | $ | 9.41 | $ | 9.12 | $ | 11.98 | $ | 9.71 | $ | 3.81 | $ | 4.95 | ||||||||||||
Minimum redemption price per share (c) | $ | 8.87 | $ | 8.60 | $ | 11.18 | $ | 9.16 | $ | 3.59 | $ | 4.62 | ||||||||||||
Class C | ||||||||||||||||||||||||
Net Assets | $ | 2,737,127 | $ | 14,498,973 | $ | 5,468,860 | $ | 28,116,741 | $ | 2,123,689 | $ | 2,885,196 | ||||||||||||
Shares of beneficial interest outstanding (a) | 305,208 | 1,678,680 | 494,546 | 3,053,013 | 583,047 | 619,208 | ||||||||||||||||||
Net asset value, offering price and redemption price per share (Net assets/shares outstanding) | $ | 8.97 | $ | 8.64 | $ | 11.06 | $ | 9.21 | $ | 3.64 | $ | 4.66 | ||||||||||||
Class I | ||||||||||||||||||||||||
Net Assets | $ | 51,243,345 | $ | 218,261,563 | $ | 7,591,836 | $ | 308,212,352 | $ | 5,259,217 | $ | 8,494,316 | ||||||||||||
Shares of beneficial interest outstanding (a) | 5,706,143 | 25,124,779 | 671,498 | 33,317,213 | 1,446,615 | 1,826,625 | ||||||||||||||||||
Net asset value, offering price and redemption price per share (Net assets/shares outstanding) | $ | 8.98 | $ | 8.69 | $ | 11.31 | $ | 9.25 | $ | 3.64 | $ | 4.65 | ||||||||||||
Class C-1 (d) | ||||||||||||||||||||||||
Net Assets | $ | 1,041 | ||||||||||||||||||||||
Shares of beneficial interest outstanding (a) | 113 | |||||||||||||||||||||||
Net asset value, offering price and redemption price per share (Net assets/shares outstanding) (e) | $ | 9.21 | ||||||||||||||||||||||
(a) | Unlimited number of shares of no par value beneficial interest authorized. |
(b) | There is a maximum front-end sales charge (load) of 4.75% imposed on purchases of Class A shares for each Fund, excluding the Catalyst/MAP Global Balanced Fund and the Catalyst/SMH Total Return Income Fund which impose a sales load of 5.75%. |
(c) | Investments in Class A shares made at or above $1 million breakpoint are not subject to an initial sales charge and may be subject to a 1% contingent deferred sales charges (“CDSC”) on shares redeemed within two years of purchases. |
(d) | Class C-1 only applies to Catalyst/CIFC Floating Rate Income Fund. |
(e) | Shares redeemed within 12 months after purchase will be charged a contingent deferred sales charge (“CDSC”) of up to 1.00%. |
The accompanying notes are an integral part of these financial statements.
49
CATALYST FUNDS |
Statements of Operations (Unaudited) |
For the Six Months Ended December 31, 2023 |
Catalyst/MAP | Catalyst/CIFC | Catalyst/SMH | ||||||||||||||||||||||
Catalyst Insider | Catalyst Enhanced | Global Balanced | Floating Rate | Catalyst/SMH | Total Return | |||||||||||||||||||
Income Fund | Income Strategy Fund | Fund | Income Fund | High Income Fund | Income Fund | |||||||||||||||||||
Investment Income: | ||||||||||||||||||||||||
Dividend Income | $ | — | $ | — | $ | 92,985 | $ | 475,315 | $ | 26,144 | $ | 208,472 | ||||||||||||
Interest Income | 1,757,344 | 13,507,835 | 167,046 | 13,967,679 | 534,277 | 429,378 | ||||||||||||||||||
Securities Lending Income - net | — | — | — | — | 44,154 | 39,633 | ||||||||||||||||||
Foreign tax withheld | — | — | (7,883 | ) | — | — | — | |||||||||||||||||
Total Investment Income | 1,757,344 | 13,507,835 | 252,148 | 14,442,994 | 604,575 | 677,483 | ||||||||||||||||||
Operating Expenses: | ||||||||||||||||||||||||
Investment advisory fees | 231,912 | 2,420,313 | 75,158 | 1,479,423 | 70,835 | 82,836 | ||||||||||||||||||
12b-1 Fees: | ||||||||||||||||||||||||
Class A | 5,519 | 31,441 | 2,704 | 25,902 | 9,618 | 7,536 | ||||||||||||||||||
Class C | 14,317 | 83,224 | 26,660 | 127,204 | 10,040 | 14,089 | ||||||||||||||||||
Class C-1 * | — | — | — | 6 | — | — | ||||||||||||||||||
Networking fees | 37,891 | 215,349 | 8,363 | 117,924 | 8,600 | 7,416 | ||||||||||||||||||
Registration fees | 24,075 | 36,065 | 19,924 | 48,280 | 23,825 | 22,680 | ||||||||||||||||||
Financial administration/Fund accounting fees | 19,820 | 141,089 | 19,294 | 95,346 | 20,221 | 19,727 | ||||||||||||||||||
Audit fees | 7,814 | 14,802 | 8,067 | 7,920 | 7,814 | 7,814 | ||||||||||||||||||
Trustees’ fees | 7,796 | 7,805 | 7,802 | 7,805 | 7,804 | 7,802 | ||||||||||||||||||
Legal fees | 7,116 | 7,845 | 7,325 | 11,045 | 7,622 | 7,622 | ||||||||||||||||||
Legal administration/Management services fees | 5,996 | 31,355 | 1,457 | 28,606 | 1,373 | 1,606 | ||||||||||||||||||
Printing expense | 4,115 | 24,695 | 987 | 12,005 | 1,489 | 1,008 | ||||||||||||||||||
Compliance officer fees | 3,609 | 9,915 | 4,244 | 8,472 | 4,221 | 4,247 | ||||||||||||||||||
Transfer Agent fees | 3,307 | 16,216 | 1,650 | 6,191 | 2,035 | 1,293 | ||||||||||||||||||
Custody fees | 2,230 | 18,320 | 6,269 | 9,847 | 1,766 | 1,702 | ||||||||||||||||||
Insurance expense | 1,132 | 7,818 | 252 | 3,525 | 237 | 272 | ||||||||||||||||||
Interest expense | 66 | 88,860 | — | 3 | — | — | ||||||||||||||||||
Miscellaneous expense | 1,184 | 1,292 | 1,227 | 6,225 | 1,211 | 1,222 | ||||||||||||||||||
Total Operating Expenses | 377,899 | 3,156,404 | 191,383 | 1,995,729 | 178,711 | 188,872 | ||||||||||||||||||
Less: Fees waived/ Expenses reimbursed by Manager | (126,186 | ) | (538,957 | ) | (89,104 | ) | (507,900 | ) | (71,861 | ) | (57,035 | ) | ||||||||||||
Net Operating Expenses | 251,713 | 2,617,447 | 102,279 | 1,487,829 | 106,850 | 131,837 | ||||||||||||||||||
Net Investment Income | 1,505,631 | 10,890,388 | 149,869 | 12,955,165 | 497,725 | 545,646 | ||||||||||||||||||
Realized and Unrealized Gain (Loss) on Investments: | ||||||||||||||||||||||||
Net realized gain (loss) from: | ||||||||||||||||||||||||
Investments | (227,731 | ) | (26,256,075 | ) | 45,243 | (825,006 | ) | (466,050 | ) | (452,929 | ) | |||||||||||||
Options written | — | — | 30,848 | — | — | — | ||||||||||||||||||
Foreign currency transactions | — | — | (1,399 | ) | — | — | — | |||||||||||||||||
Net realized gain (loss) | (227,731 | ) | (26,256,075 | ) | 74,692 | (825,006 | ) | (466,050 | ) | (452,929 | ) | |||||||||||||
Net change in unrealized appreciation (depreciation) on: | ||||||||||||||||||||||||
Investments | 1,289,052 | 10,724,566 | 96,628 | 7,027,521 | 1,345,744 | 1,473,181 | ||||||||||||||||||
Options written | — | — | (28,436 | ) | — | — | — | |||||||||||||||||
Foreign currency translations | — | — | 532 | — | — | — | ||||||||||||||||||
Net change in unrealized appreciation | 1,289,052 | 10,724,566 | 68,724 | 7,027,521 | 1,345,744 | 1,473,181 | ||||||||||||||||||
Net Realized and Unrealized Gain (Loss) on Investments | 1,061,321 | (15,531,509 | ) | 143,416 | 6,202,515 | 879,694 | 1,020,252 | |||||||||||||||||
Net Increase (Decrease) in Net Assets Resulting From Operations | $ | 2,566,952 | $ | (4,641,121 | ) | $ | 293,285 | $ | 19,157,680 | $ | 1,377,419 | $ | 1,565,898 | |||||||||||
* | Class C-1 only applies to Catalyst/CIFC Floating Rate Income Fund |
The accompanying notes are an integral part of these financial statements.
50
CATALYST FUNDS |
Statements of Changes in Net Assets |
Catalyst Enhanced | Catalyst/MAP Global | |||||||||||||||||||||||
Catalyst Insider Income Fund | Income Strategy Fund | Balanced Fund | ||||||||||||||||||||||
Six Months Ended | Year Ended | Six Months Ended | Year Ended | Six Months Ended | Year Ended | |||||||||||||||||||
December 31, 2023 | June 30, 2023 | December 31, 2023 | June 30, 2023 | December 31, 2023 | June 30, 2023 | |||||||||||||||||||
Operations: | (Unaudited) | (Unaudited) | (Unaudited) | |||||||||||||||||||||
Net investment income | $ | 1,505,631 | $ | 3,821,270 | $ | 10,890,388 | $ | 31,335,850 | $ | 149,869 | $ | 294,079 | ||||||||||||
Net realized gain (loss) on investments | (227,731 | ) | (5,629,641 | ) | (26,256,075 | ) | (18,961,852 | ) | 74,692 | 612,314 | ||||||||||||||
Net change in unrealized appreciation (depreciation) on investments | 1,289,052 | 5,175,207 | 10,724,566 | (38,279,159 | ) | 68,724 | (462,912 | ) | ||||||||||||||||
Net increase (decrease) in net assets resulting from operations | 2,566,952 | 3,366,836 | (4,641,121 | ) | (25,905,161 | ) | 293,285 | 443,481 | ||||||||||||||||
Distributions to Shareholders from: | ||||||||||||||||||||||||
Accumulated Earnings | ||||||||||||||||||||||||
Class A | (109,878 | ) | (217,101 | ) | (1,058,915 | ) | (2,258,906 | ) | (67,366 | ) | (57,328 | ) | ||||||||||||
Class C | (60,648 | ) | (119,836 | ) | (656,845 | ) | (1,346,973 | ) | (168,751 | ) | (113,738 | ) | ||||||||||||
Class I | (1,427,248 | ) | (3,490,674 | ) | (12,070,190 | ) | (30,216,491 | ) | (267,111 | ) | (218,497 | ) | ||||||||||||
Total distributions to shareholders | (1,597,774 | ) | (3,827,611 | ) | (13,785,950 | ) | (33,822,370 | ) | (503,228 | ) | (389,563 | ) | ||||||||||||
Share Transactions of Beneficial Interest: | ||||||||||||||||||||||||
Net proceeds from shares sold | ||||||||||||||||||||||||
Class A | 249,632 | 254,920 | 2,995,568 | 12,419,595 | 111,423 | 718,627 | ||||||||||||||||||
Class C | 338,130 | 575,080 | 433,170 | 2,146,164 | 876,576 | 1,035,514 | ||||||||||||||||||
Class I | 13,692,093 | 12,111,866 | 25,443,916 | 191,576,626 | 249,527 | 491,407 | ||||||||||||||||||
Reinvestment of distributions | ||||||||||||||||||||||||
Class A | 105,873 | 209,190 | 888,024 | 1,899,033 | 62,929 | 53,199 | ||||||||||||||||||
Class C | 57,873 | 115,588 | 547,483 | 1,142,563 | 166,775 | 110,526 | ||||||||||||||||||
Class I | 1,202,294 | 2,935,293 | 10,154,468 | 24,473,183 | 214,420 | 176,489 | ||||||||||||||||||
Cost of shares redeemed | ||||||||||||||||||||||||
Class A | (359,498 | ) | (1,133,809 | ) | (13,001,085 | ) | (12,662,715 | ) | (269,300 | ) | (978,904 | ) | ||||||||||||
Class C | (336,095 | ) | (1,719,665 | ) | (4,166,939 | ) | (9,302,213 | ) | (712,482 | ) | (1,933,703 | ) | ||||||||||||
Class I | (18,370,286 | ) | (48,914,776 | ) | (155,724,227 | ) | (289,632,571 | ) | (292,373 | ) | (1,900,744 | ) | ||||||||||||
Net increase (decrease) in net assets from share transactions of beneficial interest | (3,419,984 | ) | (35,566,313 | ) | (132,429,622 | ) | (77,940,335 | ) | 407,495 | (2,227,589 | ) | |||||||||||||
Total Increase (Decrease) in Net Assets | (2,450,806 | ) | (36,027,088 | ) | (150,856,693 | ) | (137,667,866 | ) | 197,552 | (2,173,671 | ) | |||||||||||||
Net Assets: | ||||||||||||||||||||||||
Beginning of year/period | 60,921,390 | 96,948,478 | 404,187,702 | 541,855,568 | 14,960,593 | 17,134,264 | ||||||||||||||||||
End of year/period | $ | 58,470,584 | $ | 60,921,390 | $ | 253,331,009 | $ | 404,187,702 | $ | 15,158,145 | $ | 14,960,593 | ||||||||||||
Share Activity: | ||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||
Shares Sold | 28,132 | 29,121 | 337,566 | 1,267,353 | 9,783 | 62,434 | ||||||||||||||||||
Shares Reinvested | 11,903 | 23,844 | 100,668 | 197,454 | 5,664 | 4,689 | ||||||||||||||||||
Shares Redeemed | (40,700 | ) | (128,391 | ) | (1,461,769 | ) | (1,315,054 | ) | (23,717 | ) | (85,925 | ) | ||||||||||||
Net increase (decrease) in shares of Beneficial interest | (665 | ) | (75,426 | ) | (1,023,535 | ) | 149,753 | (8,270 | ) | (18,802 | ) | |||||||||||||
Class C | ||||||||||||||||||||||||
Shares Sold | 38,158 | 65,849 | 48,739 | 220,151 | 78,558 | 93,244 | ||||||||||||||||||
Shares Reinvested | 6,498 | 13,150 | 62,442 | 118,996 | 15,326 | 9,876 | ||||||||||||||||||
Shares Redeemed | (37,666 | ) | (195,146 | ) | (474,026 | ) | (963,302 | ) | (64,013 | ) | (172,593 | ) | ||||||||||||
Net increase (decrease) in shares of Beneficial interest | 6,990 | (116,147 | ) | (362,845 | ) | (624,155 | ) | 29,871 | (69,473 | ) | ||||||||||||||
Class I | ||||||||||||||||||||||||
Shares Sold | 1,541,087 | 1,375,911 | 2,867,021 | 19,422,148 | 21,986 | 42,438 | ||||||||||||||||||
Shares Reinvested | 134,812 | 333,590 | 1,150,679 | 2,538,785 | 19,274 | 15,535 | ||||||||||||||||||
Shares Redeemed | (2,067,888 | ) | (5,590,560 | ) | (17,531,067 | ) | (29,884,494 | ) | (25,676 | ) | (169,727 | ) | ||||||||||||
Net increase (decrease) in shares of Beneficial interest | (391,989 | ) | (3,881,059 | ) | (13,513,367 | ) | (7,923,561 | ) | 15,584 | (111,754 | ) | |||||||||||||
The accompanying notes are an integral part of these financial statements.
51
CATALYST FUNDS |
Statements of Changes in Net Assets (Continued) |
Catalyst/CIFC Floating | Catalyst/SMH Total | |||||||||||||||||||||||
Rate Income Fund | Catalyst/SMH High Income Fund | Return Income Fund | ||||||||||||||||||||||
Six Months Ended | Year Ended | Six Months Ended | Year Ended | Six Months Ended | Year Ended | |||||||||||||||||||
December 31, 2023 | June 30, 2023 | December 31, 2023 | June 30, 2023 | December 31, 2023 | June 30, 2023 | |||||||||||||||||||
Operations: | (Unaudited) | (Unaudited) | (Unaudited) | |||||||||||||||||||||
Net investment income | $ | 12,955,165 | $ | 17,654,567 | $ | 497,725 | $ | 1,001,152 | $ | 545,646 | $ | 912,561 | ||||||||||||
Net realized gain (loss) on investments | (825,006 | ) | (9,082,302 | ) | (466,050 | ) | (989,782 | ) | (452,929 | ) | 370,668 | |||||||||||||
Net change in unrealized appreciation on investments | 7,027,521 | 11,932,360 | 1,345,744 | 1,480,890 | 1,473,181 | 226,887 | ||||||||||||||||||
Net increase in net assets resulting from operations | 19,157,680 | 20,504,625 | 1,377,419 | 1,492,260 | 1,565,898 | 1,510,116 | ||||||||||||||||||
Distributions to Shareholders from: | ||||||||||||||||||||||||
Accumulated Earnings | ||||||||||||||||||||||||
Class A | (907,152 | ) | (1,787,180 | ) | (303,772 | ) | (504,426 | ) | (195,047 | ) | (311,976 | ) | ||||||||||||
Class C | (1,014,744 | ) | (1,469,063 | ) | (71,584 | ) | (124,597 | ) | (81,474 | ) | (128,857 | ) | ||||||||||||
Class I | (11,251,049 | ) | (14,447,784 | ) | (186,012 | ) | (342,953 | ) | (267,612 | ) | (375,166 | ) | ||||||||||||
Class C-1 (a,b) | (42 | ) | (51 | ) | — | — | — | — | ||||||||||||||||
Total distributions to shareholders | (13,172,987 | ) | (17,704,078 | ) | (561,368 | ) | (971,976 | ) | (544,133 | ) | (815,999 | ) | ||||||||||||
Share Transactions of Beneficial Interest: | ||||||||||||||||||||||||
Net proceeds from shares sold | ||||||||||||||||||||||||
Class A | 10,880,116 | 11,618,099 | 357,934 | 454,907 | 142,532 | 341,398 | ||||||||||||||||||
Class C | 7,123,505 | 5,610,393 | 365,421 | 145,931 | 152,330 | 201,541 | ||||||||||||||||||
Class I | 143,105,921 | 141,099,268 | 1,504,084 | 6,817,299 | 1,005,324 | 1,373,805 | ||||||||||||||||||
Class C-1 (a,b) | — | 1,000 | — | — | — | — | ||||||||||||||||||
Reinvestment of distributions | ||||||||||||||||||||||||
Class A | 670,514 | 1,622,461 | 230,980 | 293,022 | 189,543 | 204,919 | ||||||||||||||||||
Class C | 887,426 | 1,331,066 | 42,880 | 74,167 | 76,996 | 117,348 | ||||||||||||||||||
Class I | 9,072,405 | 12,583,296 | 161,756 | 259,885 | 267,490 | 281,144 | ||||||||||||||||||
Cost of shares redeemed | ||||||||||||||||||||||||
Class A | (2,858,964 | ) | (20,633,178 | ) | (456,213 | ) | (1,510,222 | ) | (908,413 | ) | (1,368,164 | ) | ||||||||||||
Class C | (3,622,094 | ) | (5,924,852 | ) | (376,016 | ) | (862,825 | ) | (349,686 | ) | (904,360 | ) | ||||||||||||
Class I | (47,195,789 | ) | (160,179,903 | ) | (809,347 | ) | (10,674,272 | ) | (484,117 | ) | (3,480,707 | ) | ||||||||||||
Net increase (decrease) in net assets from share transactions of beneficial interest | 118,063,040 | (12,872,350 | ) | 1,021,479 | (5,002,108 | ) | 91,999 | (3,233,076 | ) | |||||||||||||||
Total Increase (decrease) in Net Assets | 124,047,733 | (10,071,803 | ) | 1,837,530 | (4,481,824 | ) | 1,113,764 | (2,538,959 | ) | |||||||||||||||
Net Assets: | ||||||||||||||||||||||||
Beginning of year/period | 237,962,611 | 248,034,414 | 13,619,397 | 18,101,221 | 16,215,728 | 18,754,687 | ||||||||||||||||||
End of year/period | $ | 362,010,344 | $ | 237,962,611 | $ | 15,456,927 | $ | 13,619,397 | $ | 17,329,492 | $ | 16,215,728 | ||||||||||||
Share Activity: | ||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||
Shares Sold | 1,187,341 | 1,294,348 | 102,776 | 133,533 | 32,358 | 79,002 | ||||||||||||||||||
Shares Reinvested | 73,120 | 180,423 | 66,157 | 86,755 | 42,409 | 47,477 | ||||||||||||||||||
Shares Redeemed | (311,504 | ) | (2,296,374 | ) | (131,311 | ) | (442,070 | ) | (203,769 | ) | (318,362 | ) | ||||||||||||
Net increase (decrease) in shares of Beneficial interest | 948,957 | (821,603 | ) | 37,622 | (221,782 | ) | (129,002 | ) | (191,883 | ) | ||||||||||||||
Class C | ||||||||||||||||||||||||
Shares Sold | 779,829 | 624,705 | 104,775 | 43,498 | 33,767 | 47,052 | ||||||||||||||||||
Shares Reinvested | 97,158 | 148,497 | 12,252 | 21,903 | 17,254 | 27,195 | ||||||||||||||||||
Shares Redeemed | (396,610 | ) | (660,622 | ) | (107,983 | ) | (251,913 | ) | (77,781 | ) | (207,917 | ) | ||||||||||||
Net increase (decrease) in shares of Beneficial interest | 480,377 | 112,580 | 9,044 | (186,512 | ) | (26,760 | ) | (133,670 | ) | |||||||||||||||
Class I | ||||||||||||||||||||||||
Shares Sold | 15,617,390 | 15,654,524 | 427,225 | 2,025,976 | 227,383 | 318,807 | ||||||||||||||||||
Shares Reinvested | 988,953 | 1,397,734 | 46,240 | 76,815 | 60,012 | 65,296 | ||||||||||||||||||
Shares Redeemed | (5,143,444 | ) | (17,834,518 | ) | (235,806 | ) | (3,168,129 | ) | (107,979 | ) | (798,714 | ) | ||||||||||||
Net increase (decrease) in shares of Beneficial interest | 11,462,899 | (782,260 | ) | 237,659 | (1,065,338 | ) | 179,416 | (414,611 | ) | |||||||||||||||
Class C-1 (a,b) | ||||||||||||||||||||||||
Shares Sold | — | 113 | ||||||||||||||||||||||
Shares Reinvested | — | — | ||||||||||||||||||||||
Shares Redeemed | — | — | ||||||||||||||||||||||
Net increase in shares of Beneficial interest | — | 113 | ||||||||||||||||||||||
(a) | Class C-1 only applies to Catalyst/CIFC Floating Rate Income Fund |
(b) | The Catalyst/CIFC Floating Rate Income Fund Class C-1 commenced operations on November 1, 2022 |
The accompanying notes are an integral part of these financial statements.
52
CATALYST FUNDS |
Catalyst Insider Income Fund |
Financial Highlights |
For a Share Outstanding Throughout Each Year/Period |
Class A | ||||||||||||||||||||||||
For the | For the | For the | For the | For the | For the | |||||||||||||||||||
Six Months Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||||||
December 31, 2023 | June 30, 2023 | June 30, 2022 | June 30, 2021 | June 30, 2020 | June 30, 2019 | |||||||||||||||||||
(Unaudited) | ||||||||||||||||||||||||
Net asset value, beginning of year/period | $ | 8.81 | $ | 8.82 | $ | 9.88 | $ | 9.50 | $ | 9.55 | $ | 9.38 | ||||||||||||
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | ||||||||||||||||||||||||
Net investment income (A) | 0.21 | 0.41 | 0.26 | 0.28 | 0.28 | 0.26 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investments | 0.16 | (0.00 | ) (B) | (1.04 | ) | 0.39 | (0.03 | ) | 0.12 | |||||||||||||||
Total from investment operations | 0.37 | 0.41 | (0.78 | ) | 0.67 | 0.25 | 0.38 | |||||||||||||||||
LESS DISTRIBUTIONS: | ||||||||||||||||||||||||
From net investment income | (0.22 | ) | (0.42 | ) | (0.25 | ) | (0.29 | ) | (0.28 | ) | (0.21 | ) | ||||||||||||
From net realized gains | — | — | (0.03 | ) | — | (0.02 | ) | — | ||||||||||||||||
Total distributions | (0.22 | ) | (0.42 | ) | (0.28 | ) | (0.29 | ) | (0.30 | ) | (0.21 | ) | ||||||||||||
Net asset value, end of year/period | $ | 8.96 | $ | 8.81 | $ | 8.82 | $ | 9.88 | $ | 9.50 | $ | 9.55 | ||||||||||||
Total return (C) | 4.24 | % | 4.71 | % | (8.06 | )% | 7.15 | % | 2.72 | % | 4.06 | % | ||||||||||||
RATIOS/SUPPLEMENTAL DATA: | ||||||||||||||||||||||||
Net assets, end of year/period (in 000’s) | $ | 4,490 | $ | 4,422 | $ | 5,090 | $ | 4,764 | $ | 3,500 | $ | 2,453 | ||||||||||||
Ratios to average net assets (including interest expense) | ||||||||||||||||||||||||
Expenses, before waiver and reimbursement | 1.41 | % (D,G) | 1.39 | % (D) | 1.34 | % | 1.37 | % | 1.43 | % | 2.12 | % | ||||||||||||
Expenses, net waiver and reimbursement | 1.00 | % (D,G) | 1.01 | % (D) | 1.00 | % | 1.00 | % | 1.00 | % | 1.00 | % | ||||||||||||
Net investment Income, before waiver and reimbursement | 4.28 | % (G) | 4.32 | % | 2.34 | % | 2.50 | % | 2.55 | % | 1.67 | % | ||||||||||||
Net investment income, net waiver and reimbursement | 4.69 | % (G) | 4.70 | % | 2.68 | % | 2.87 | % | 2.98 | % | 2.79 | % | ||||||||||||
Portfolio turnover rate | 15 | % (F) | 43 | % | 70 | % | 89 | % | 172 | % | 126 | % | ||||||||||||
Class C | ||||||||||||||||||||||||
For the | For the | For the | For the | For the | For the | |||||||||||||||||||
Six Months Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||||||
December 31, 2023 | June 30, 2023 | June 30, 2022 | June 30, 2021 | June 30, 2020 | June 30, 2019 | |||||||||||||||||||
(Unaudited) | ||||||||||||||||||||||||
Net asset value, beginning of year/period | $ | 8.82 | $ | 8.83 | $ | 9.89 | $ | 9.50 | $ | 9.56 | $ | 9.37 | ||||||||||||
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | ||||||||||||||||||||||||
Net investment income (A) | 0.18 | 0.35 | 0.18 | 0.19 | 0.21 | 0.19 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investments | 0.16 | (0.01 | ) | (1.03 | ) | 0.42 | (0.04 | ) | 0.14 | |||||||||||||||
Total from investment operations | 0.34 | 0.34 | (0.85 | ) | 0.61 | 0.17 | 0.33 | |||||||||||||||||
LESS DISTRIBUTIONS: | ||||||||||||||||||||||||
From net investment income | (0.19 | ) | (0.35 | ) | (0.18 | ) | (0.22 | ) | (0.21 | ) | (0.14 | ) | ||||||||||||
From net realized gains | — | — | (0.03 | ) | — | (0.02 | ) | — | ||||||||||||||||
Total distributions | (0.19 | ) | (0.35 | ) | (0.21 | ) | (0.22 | ) | (0.23 | ) | (0.14 | ) | ||||||||||||
Net asset value, end of year/period | $ | 8.97 | $ | 8.82 | $ | 8.83 | $ | 9.89 | $ | 9.50 | $ | 9.56 | ||||||||||||
Total return (C) | 3.85 | % (F) | 3.94 | % | (8.76 | )% | 6.48 | % | 1.84 | % | 3.51 | % | ||||||||||||
RATIOS/SUPPLEMENTAL DATA: | ||||||||||||||||||||||||
Net assets, end of year/period (in 000’s) | $ | 2,737 | $ | 2,631 | $ | 3,658 | $ | 3,851 | $ | 1,668 | $ | 1,131 | ||||||||||||
Ratios to average net assets (including interest expense) | ||||||||||||||||||||||||
Expenses, before waiver and reimbursement | 2.16 | % (E,G) | 2.14 | % (E) | 2.09 | % | 2.12 | % | 2.18 | % | 2.87 | % | ||||||||||||
Expenses, net waiver and reimbursement | 1.75 | % (E,G) | 1.76 | % (E) | 1.75 | % | 1.75 | % | 1.75 | % | 1.75 | % | ||||||||||||
Net investment income, before waiver and reimbursement | 3.53 | % (G) | 3.57 | % | 1.57 | % | 1.60 | % | 1.80 | % | 0.87 | % | ||||||||||||
Net investment income, net waiver and reimbursement | 3.94 | % (G) | 3.95 | % | 1.91 | % | 1.97 | % | 2.23 | % | 1.99 | % | ||||||||||||
Portfolio turnover rate | 15 | % (F) | 43 | % | 70 | % | 89 | % | 172 | % | 126 | % | ||||||||||||
(A) | Per share amounts calculated using average shares method, which more appropriately presents the per share data for the period. |
(B) | Less than 0.01 per share. |
(C) | Total return in the above table represents the rate that the investor would have earned or lost on an investment in the Fund assuming reinvestment of dividends and does not reflect the impact of sales charges, if any. Had the advisor not waived its fees and reimbursed expenses, total return would have been lower. |
(D) | Ratios to average net assets (excluding interest expense) |
Expenses, before waiver and reimbursement | 1.41 | % (G) | 1.38 | % | ||||
Expenses, net waiver and reimbursement | 1.00 | % (G) | 1.00 | % | ||||
(E) | Ratios to average net assets (excluding interest expense) |
Expenses, before waiver and reimbursement | 2.16 | % (G) | 2.13 | % | ||||
Expenses, net waiver and reimbursement | 1.75 | % (G) | 1.75 | % | ||||
(F) | Not annualized. |
(G) | Annualized. |
The accompanying notes are an integral part of these financial statements.
53
CATALYST FUNDS |
Catalyst Insider Income Fund (Continued) |
Financial Highlights |
For a Share Outstanding Throughout Each Year/Period |
Class I | ||||||||||||||||||||||||
For the | For the | For the | For the | For the | For the | |||||||||||||||||||
Six Months Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||||||
December 31, 2023 | June 30, 2023 | June 30, 2022 | June 30, 2021 | June 30, 2020 | June 30, 2019 | |||||||||||||||||||
(Unaudited) | ||||||||||||||||||||||||
Net asset value, beginning of year/period | $ | 8.83 | $ | 8.84 | $ | 9.90 | $ | 9.51 | $ | 9.56 | $ | 9.38 | ||||||||||||
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | ||||||||||||||||||||||||
Net investment income (A) | 0.22 | 0.44 | 0.28 | 0.30 | 0.31 | 0.29 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investments | 0.16 | (0.01 | ) | (1.03 | ) | 0.40 | (0.05 | ) | 0.13 | |||||||||||||||
Total from investment operations | 0.38 | 0.43 | (0.75 | ) | 0.70 | 0.26 | 0.42 | |||||||||||||||||
LESS DISTRIBUTIONS: | ||||||||||||||||||||||||
From net investment income | (0.23 | ) | (0.44 | ) | (0.28 | ) | (0.31 | ) | (0.29 | ) | (0.24 | ) | ||||||||||||
From net realized gains | — | — | (0.03 | ) | — | (0.02 | ) | — | ||||||||||||||||
Total distributions | (0.23 | ) | (0.44 | ) | (0.31 | ) | (0.31 | ) | (0.31 | ) | (0.24 | ) | ||||||||||||
Net asset value, end of year/period | $ | 8.98 | $ | 8.83 | $ | 8.84 | $ | 9.90 | $ | 9.51 | $ | 9.56 | ||||||||||||
Total return (B) | 4.37 | % (D) | 4.97 | % | (7.79 | )% | 7.45 | % | 2.90 | % | 4.49 | % | ||||||||||||
RATIOS/SUPPLEMENTAL DATA: | ||||||||||||||||||||||||
Net assets, end of year/period (in 000’s) | $ | 51,243 | $ | 53,869 | $ | 88,201 | $ | 95,976 | $ | 46,580 | $ | 29,737 | ||||||||||||
Ratios to average net assets (including interest expense) | ||||||||||||||||||||||||
Expenses, before waiver and reimbursement | 1.16 | % (C,E) | 1.14 | % (C) | 1.09 | % | 1.12 | % | 1.18 | % | 1.87 | % | ||||||||||||
Expenses, net waiver and reimbursement | 0.75 | % (C,E) | 0.76 | % (C) | 0.75 | % | 0.75 | % | 0.75 | % | 0.75 | % | ||||||||||||
Net investment Income, before waiver and reimbursement | 4.53 | % (E) | 4.57 | % | 2.57 | % | 2.65 | % | 2.80 | % | 1.89 | % | ||||||||||||
Net investment income, net waiver and reimbursement | 4.94 | % (E) | 4.95 | % | 2.91 | % | 3.02 | % | 3.23 | % | 3.01 | % | ||||||||||||
Portfolio turnover rate | 15 | % (D) | 43 | % | 70 | % | 89 | % | 172 | % | 126 | % | ||||||||||||
(A) | Per share amounts calculated using average shares method, which more appropriately presents the per share data for the period. |
(B) | Total return in the above table represents the rate that the investor would have earned or lost on an investment in the Fund assuming reinvestment of dividends. Had the advisor not waived its fees and reimbursed expenses, total return would have been lower. |
(C) | Ratios to average net assets (excluding interest expense) |
Expenses, before waiver and reimbursement | 1.16 | % (E) | 1.13 | % | ||||
Expenses, net waiver and reimbursement | 0.75 | % (E) | 0.75 | % | ||||
(D) | Not annualized. |
(E) | Annualized. |
The accompanying notes are an integral part of these financial statements.
54
CATALYST FUNDS |
Catalyst Enhanced Income Strategy Fund |
Financial Highlights |
For a Share Outstanding Throughout Each Year/Period |
Class A | ||||||||||||||||||||||||
For the | For the | For the | For the | For the | For the | |||||||||||||||||||
Six Months Ended | Year Ended | Year Ended | Year Ended | Year Ended | Period Ended | |||||||||||||||||||
December 31, 2023 | June 30, 2023 | June 30, 2022 | June 30, 2021 | June 30, 2020 | June 30, 2019 (A) | |||||||||||||||||||
(Unaudited) | ||||||||||||||||||||||||
Net asset value, beginning of year/period | $ | 9.17 | $ | 10.33 | $ | 11.21 | $ | 11.11 | $ | 11.16 | $ | 10.00 | ||||||||||||
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | ||||||||||||||||||||||||
Net investment income (B) | 0.29 | 0.60 | 0.66 | 0.73 | 0.57 | 0.27 | ||||||||||||||||||
Net realized and unrealized gain(loss) on investments | (0.38 | ) | (1.11 | ) | (0.87 | ) | 0.08 | (0.07 | ) | 1.06 | ||||||||||||||
Total from investment operations | (0.09 | ) | (0.51 | ) | (0.21 | ) | 0.81 | 0.50 | 1.33 | |||||||||||||||
LESS DISTRIBUTIONS: | ||||||||||||||||||||||||
From net investment income | (0.39 | ) | (0.65 | ) | (0.66 | ) | (0.71 | ) | (0.55 | ) | (0.17 | ) | ||||||||||||
From net realized gains | — | — | (0.01 | ) | — | — | — | |||||||||||||||||
Total distributions | (0.39 | ) | (0.65 | ) | (0.67 | ) | (0.71 | ) | (0.55 | ) | (0.17 | ) | ||||||||||||
Net asset value, end of year/period | $ | 8.69 | $ | 9.17 | $ | 10.33 | $ | 11.21 | $ | 11.11 | $ | 11.16 | ||||||||||||
Total return (C) | (0.98 | )% (D,G) | (5.06 | )% (D) | (2.03 | )% | 7.39 | % | 4.60 | % (D) | 13.28 | % (D,G) | ||||||||||||
RATIOS/SUPPLEMENTAL DATA: | ||||||||||||||||||||||||
Net assets, end of year/period (in 000’s) | $ | 20,570 | $ | 31,114 | $ | 33,489 | $ | 34,778 | $ | 15,978 | $ | 1,016 | ||||||||||||
Ratios to average net assets | ||||||||||||||||||||||||
Expenses, before waiver and reimbursement | 2.14 | % (E,H) | 2.03 | % | 1.99 | % | 2.04 | % | 2.11 | % | 2.71 | % (H) | ||||||||||||
Expenses, net waiver and reimbursement | 1.81 | % (E,H) | 1.75 | % | 1.75 | % | 1.75 | % | 1.75 | % | 1.75 | % (H) | ||||||||||||
Net investment income, before waiver and reimbursement | 6.25 | % (H) | 5.84 | % | 5.81 | % | 6.13 | % | 4.83 | % | 3.77 | % (H) | ||||||||||||
Net investment income, net waiver and reimbursement | 6.58 | % (H) | 6.12 | % | 6.05 | % | 6.42 | % | 5.18 | % | 4.73 | % (H) | ||||||||||||
Portfolio turnover rate | 2 | % (G) | 29 | % | 57 | % | 58 | % | 94 | % | 42 | % (G) | ||||||||||||
Class C | ||||||||||||||||||||||||
For the | For the | For the | For the | For the | For the | |||||||||||||||||||
Six Months Ended | Year Ended | Year Ended | Year Ended | Year Ended | Period Ended | |||||||||||||||||||
December 31, 2023 | June 30, 2023 | June 30, 2022 | June 30, 2021 | June 30, 2020 | June 30, 2019 (A) | |||||||||||||||||||
(Unaudited) | ||||||||||||||||||||||||
Net asset value, beginning of year/period | $ | 9.12 | $ | 10.28 | $ | 11.16 | $ | 11.07 | $ | 11.13 | $ | 10.00 | ||||||||||||
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | ||||||||||||||||||||||||
Net investment income (B) | 0.26 | 0.52 | 0.58 | 0.65 | 0.46 | 0.22 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investments | (0.38 | ) | (1.10 | ) | (0.87 | ) | 0.07 | (0.05 | ) | 1.05 | ||||||||||||||
Total from investment operations | (0.12 | ) | (0.58 | ) | (0.29 | ) | 0.72 | 0.41 | 1.27 | |||||||||||||||
LESS DISTRIBUTIONS: | ||||||||||||||||||||||||
From net investment income | (0.36 | ) | (0.58 | ) | (0.58 | ) | (0.63 | ) | (0.47 | ) | (0.14 | ) | ||||||||||||
From net realized gains | — | — | (0.01 | ) | — | — | — | |||||||||||||||||
Total distributions | (0.36 | ) | (0.58 | ) | (0.59 | ) | (0.63 | ) | (0.47 | ) | (0.14 | ) | ||||||||||||
Net asset value, end of year/period | $ | 8.64 | $ | 9.12 | $ | 10.28 | $ | 11.16 | $ | 11.07 | $ | 11.13 | ||||||||||||
Total return (C) | (1.35 | )% (D,G) | (5.79 | )% (D) | (2.74 | )% | 6.61 | % | 3.82 | % | 12.75 | % (G) | ||||||||||||
RATIOS/SUPPLEMENTAL DATA: | ||||||||||||||||||||||||
Net assets, end of year/period (in 000’s) | $ | 14,499 | $ | 18,626 | $ | 27,398 | $ | 19,059 | $ | 4,605 | $ | 769 | ||||||||||||
Ratios to average net assets | ||||||||||||||||||||||||
Expenses, before waiver and reimbursement | 2.89 | % (F,H) | 2.78 | % | 2.74 | % | 2.79 | % | 2.86 | % | 3.46 | % (H) | ||||||||||||
Expenses, net waiver and reimbursement | 2.56 | % (F,H) | 2.50 | % | 2.50 | % | 2.50 | % | 2.50 | % | 2.50 | % (H) | ||||||||||||
Net investment Income, before waiver and reimbursement | 5.50 | % (H) | 5.04 | % | 5.06 | % | 5.47 | % | 3.82 | % | 2.98 | % (H) | ||||||||||||
Net investment income, net waiver and reimbursement | 5.83 | % (H) | 5.32 | % | 5.30 | % | 5.76 | % | 4.17 | % | 3.94 | % (H) | ||||||||||||
Portfolio turnover rate | 2 | % (G) | 29 | % | 57 | % | 58 | % | 94 | % | 42 | % (G) | ||||||||||||
(A) | The Catalyst Enhanced Income Fund Class A and Class C shares commenced operations on December 31, 2018. |
(B) | Per share amounts calculated using average shares method, which more appropriately presents the per share data for the period. |
(C) | Total return in the above table represents the rate that the investor would have earned or lost on an investment in the Fund assuming reinvestment of dividends and does not reflect the impact of sales charges, if any. Had the advisor not waived its fees and reimbursed expenses, total return would have been lower. |
(D) | Includes adjustments in accordance with accounting principles generally accepted in the United States and, consequently, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions. |
(E) | Ratios to average net assets (excluding interest expense) |
Expenses, before waiver and reimbursement | 2.08 | % (H) | ||
Expenses, net waiver and reimbursement | 1.75 | % (H) | ||
(F) | Ratios to average net assets (excluding interest expense) |
Expenses, before waiver and reimbursement | 2.83 | % (H) | ||
Expenses, net waiver and reimbursement | 2.50 | % (H) | ||
(G) | Not annualized. |
(H) | Annualized. |
The accompanying notes are an integral part of these financial statements.
55
CATALYST FUNDS |
Catalyst Enhanced Income Strategy Fund (Continued) |
Financial Highlights |
For a Share Outstanding Throughout Each Year/Period |
Class I | ||||||||||||||||||||||||
For the | For the | For the | For the | For the | For the | |||||||||||||||||||
Six Months Ended | Year Ended | Year Ended | Year Ended | Year Ended | Period Ended | |||||||||||||||||||
December 31, 2023 | June 30, 2023 | June 30, 2022 | June 30, 2021 | June 30, 2020 | June 30, 2019 (A) | |||||||||||||||||||
(Unaudited) | ||||||||||||||||||||||||
Net asset value, beginning of year/period | $ | 9.17 | $ | 10.33 | $ | 11.21 | $ | 11.11 | $ | 11.15 | $ | 10.00 | ||||||||||||
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | ||||||||||||||||||||||||
Net investment income (B) | 0.30 | 0.62 | 0.69 | 0.76 | 0.57 | 0.25 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investments | (0.38 | ) | (1.11 | ) | (0.87 | ) | 0.07 | (0.04 | ) | 1.08 | ||||||||||||||
Total from investment operations | (0.08 | ) | (0.49 | ) | (0.18 | ) | 0.83 | 0.53 | 1.33 | |||||||||||||||
LESS DISTRIBUTIONS: | ||||||||||||||||||||||||
From net investment income | (0.40 | ) | (0.67 | ) | (0.69 | ) | (0.73 | ) | (0.57 | ) | (0.18 | ) | ||||||||||||
From net realized gains | — | — | (0.01 | ) | — | — | — | |||||||||||||||||
Total distributions | (0.40 | ) | (0.67 | ) | (0.70 | ) | (0.73 | ) | (0.57 | ) | (0.18 | ) | ||||||||||||
Net asset value, end of year/period | $ | 8.69 | $ | 9.17 | $ | 10.33 | $ | 11.21 | $ | 11.11 | $ | 11.15 | ||||||||||||
Total return (C) | (0.86 | )% (D,F) | (4.82 | )% (D) | (1.79 | )% | 7.64 | % | 4.93 | % | 13.32 | % (F) | ||||||||||||
RATIOS/SUPPLEMENTAL DATA: | ||||||||||||||||||||||||
Net assets, end of year/period (in 000’s) | $ | 218,262 | $ | 354,447 | $ | 480,968 | $ | 280,265 | $ | 125,800 | $ | 29,378 | ||||||||||||
Ratios to average net assets | ||||||||||||||||||||||||
Expenses, before waiver and reimbursement | 1.89 | % (E,G) | 1.78 | % | 1.74 | % | 1.79 | % | 1.86 | % | 2.46 | % (G) | ||||||||||||
Expenses, net waiver and reimbursement | 1.56 | % (E,G) | 1.50 | % | 1.50 | % | 1.50 | % | 1.50 | % | 1.50 | % (G) | ||||||||||||
Net investment income, before waiver and reimbursement | 6.50 | % (G) | 6.05 | % | 6.07 | % | 6.39 | % | 4.82 | % | 3.47 | % (G) | ||||||||||||
Net investment income, net waiver and reimbursement | 6.83 | % (G) | 6.33 | % | 6.31 | % | 6.68 | % | 5.17 | % | 4.43 | % (G) | ||||||||||||
Portfolio turnover rate | 2 | % (F) | 29 | % | 57 | % | 58 | % | 94 | % | 42 | % (F) | ||||||||||||
(A) | The Catalyst Enhanced Income Fund Class I shares commenced operations on December 31, 2018. |
(B) | Per share amounts calculated using average shares method, which more appropriately presents the per share data for the period. |
(C) | Total return in the above table represents the rate that the investor would have earned or lost on an investment in the Fund assuming reinvestment of dividends. Had the advisor not waived its fees and reimbursed expenses, total return would have been lower. |
(D) | Includes adjustments in accordance with accounting principles generally accepted in the United States and, consequently, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions. |
(E) | Ratios to average net assets (excluding interest expense) |
Expenses, before waiver and reimbursement | 1.83 | % (G) | ||
Expenses, net waiver and reimbursement | 1.50 | % (G) | ||
(F) | Not annualized. |
(G) | Annualized. |
The accompanying notes are an integral part of these financial statements.
56
CATALYST FUNDS |
Catalyst/MAP Global Balanced Fund |
Financial Highlights |
For a Share Outstanding Throughout Each Year/Period |
Class A | ||||||||||||||||||||||||
For the | For the | For the | For the | For the | For the | |||||||||||||||||||
Six Months Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||||||
December 31, 2023 | June 30, 2023 | June 30, 2022 | June 30, 2021 | June 30, 2020 | June 30, 2019 | |||||||||||||||||||
(Unaudited) | ||||||||||||||||||||||||
Net asset value, beginning of year/period | $ | 11.44 | $ | 11.36 | $ | 12.69 | $ | 10.95 | $ | 11.65 | $ | 12.06 | ||||||||||||
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | ||||||||||||||||||||||||
Net investment income (A) | 0.12 | 0.23 | 0.22 | 0.20 | 0.22 | 0.18 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investments | 0.10 | 0.15 | (0.80 | ) | 1.74 | (0.60 | ) | 0.29 | ||||||||||||||||
Total from investment operations | 0.22 | 0.38 | (0.58 | ) | 1.94 | (0.38 | ) | 0.47 | ||||||||||||||||
LESS DISTRIBUTIONS: | ||||||||||||||||||||||||
From return of capital | — | — | — | — | — | (0.02 | ) | |||||||||||||||||
From net investment income | (0.05 | ) | (0.23 | ) | (0.28 | ) | (0.20 | ) | (0.21 | ) | (0.16 | ) | ||||||||||||
From net realized gains | (0.32 | ) | (0.07 | ) | (0.47 | ) | (0.00 | ) (B) | (0.11 | ) | (0.70 | ) | ||||||||||||
Total distributions | (0.37 | ) | (0.30 | ) | (0.75 | ) | (0.20 | ) | (0.32 | ) | (0.88 | ) | ||||||||||||
Net asset value, end of year/period | $ | 11.29 | $ | 11.44 | $ | 11.36 | $ | 12.69 | $ | 10.95 | $ | 11.65 | ||||||||||||
Total return (C) | 1.99 | % (F) | 3.40 | % | (4.90 | )% | 17.83 | % | (3.27 | )% | 4.28 | % | ||||||||||||
RATIOS/SUPPLEMENTAL DATA: | ||||||||||||||||||||||||
Net assets, end of year/period (in 000’s) | $ | 2,097 | $ | 2,219 | $ | 2,418 | $ | 2,681 | $ | 3,502 | $ | 4,132 | ||||||||||||
Ratios to average net assets | ||||||||||||||||||||||||
Expenses, before waiver and reimbursement (D) | 2.41 | % (G) | 2.27 | % | 2.07 | % | 2.00 | % | 1.95 | % | 1.90 | % | ||||||||||||
Expenses, net waiver and reimbursement (D) | 1.22 | % (G) | 1.22 | % | 1.22 | % | 1.22 | % | 1.22 | % | 1.31 | % | ||||||||||||
Net investment income, before waiver and reimbursement (D,E) | 0.94 | % (G) | 0.95 | % | 0.95 | % | 0.92 | % | 1.22 | % | 0.98 | % | ||||||||||||
Net investment income, net waiver and reimbursement (D,E) | 2.13 | % (G) | 2.00 | % | 1.81 | % | 1.70 | % | 1.95 | % | 1.57 | % | ||||||||||||
Portfolio turnover rate | 19 | % (F) | 36 | % | 25 | % | 18 | % | 49 | % | 38 | % | ||||||||||||
Class C | ||||||||||||||||||||||||
For the | For the | For the | For the | For the | For the | |||||||||||||||||||
Six Months Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||||||
December 31, 2023 | June 30, 2023 | June 30, 2022 | June 30, 2021 | June 30, 2020 | June 30, 2019 | |||||||||||||||||||
(Unaudited) | ||||||||||||||||||||||||
Net asset value, beginning of year/period | $ | 11.23 | $ | 11.18 | $ | 12.55 | $ | 10.85 | $ | 11.52 | $ | 11.96 | ||||||||||||
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | ||||||||||||||||||||||||
Net investment income (A) | 0.08 | 0.14 | 0.13 | 0.12 | 0.13 | 0.10 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investments | 0.09 | 0.15 | (0.78 | ) | 1.70 | (0.58 | ) | 0.27 | ||||||||||||||||
Total from investment operations | 0.17 | 0.29 | (0.65 | ) | 1.82 | (0.45 | ) | 0.37 | ||||||||||||||||
LESS DISTRIBUTIONS: | ||||||||||||||||||||||||
From return of capital | — | — | — | — | — | (0.01 | ) | |||||||||||||||||
From net investment income | (0.02 | ) | (0.17 | ) | (0.25 | ) | (0.12 | ) | (0.11 | ) | (0.10 | ) | ||||||||||||
From net realized gains | (0.32 | ) | (0.07 | ) | (0.47 | ) | (0.00 | ) (B) | (0.11 | ) | (0.70 | ) | ||||||||||||
Total distributions | (0.34 | ) | (0.24 | ) | (0.72 | ) | (0.12 | ) | (0.22 | ) | (0.81 | ) | ||||||||||||
Net asset value, end of year/period | $ | 11.06 | $ | 11.23 | $ | 11.18 | $ | 12.55 | $ | 10.85 | $ | 11.52 | ||||||||||||
Total return (C) | 1.64 | % (F) | 2.60 | % | (5.57 | )% | 16.87 | % | (3.93 | )% | 3.45 | % | ||||||||||||
RATIOS/SUPPLEMENTAL DATA: | ||||||||||||||||||||||||
Net assets, end of year/period (in 000’s) | $ | 5,469 | $ | 5,217 | $ | 5,972 | $ | 6,653 | $ | 6,249 | $ | 6,251 | ||||||||||||
Ratios to average net assets | ||||||||||||||||||||||||
Expenses, before waiver and reimbursement (D) | 3.16 | % (G) | 3.02 | % | 2.82 | % | 2.75 | % | 2.70 | % | 2.65 | % | ||||||||||||
Expenses, net waiver and reimbursement (D) | 1.97 | % (G) | 1.97 | % | 1.97 | % | 1.97 | % | 1.97 | % | 2.06 | % | ||||||||||||
Net investment income, before waiver and reimbursement (D,E) | 0.20 | % (G) | 0.17 | % | 0.19 | % | 0.23 | % | 0.47 | % | 0.31 | % | ||||||||||||
Net investment income, net waiver and reimbursement (D,E) | 1.39 | % (G) | 1.22 | % | 1.04 | % | 1.01 | % | 1.20 | % | 0.90 | % | ||||||||||||
Portfolio turnover rate | 19 | % (F) | 36 | % | 25 | % | 18 | % | 49 | % | 38 | % | ||||||||||||
(A) | Per share amounts calculated using average shares method, which more appropriately presents the per share data for the year. |
(B) | Represents less than $0.01 per share. |
(C) | Total return in the above table represents the rate that the investor would have earned or lost on an investment in the Fund assuming reinvestment of dividends and does not reflect the impact of sales charges, if any. Had the advisor not waived its fees and reimbursed expenses, total return would have been lower. |
(D) | Does not include expenses of the underlying investment companies in which the Fund invests. |
(E) | Recognition of net investment income is affected by the timing and declaration of dividends by the underlying investment companies in which the Fund invests. |
(F) | Not annualized. |
(G) | Annualized. |
The accompanying notes are an integral part of these financial statements.
57
CATALYST FUNDS |
Catalyst/MAP Global Balanced Fund (Continued) |
Financial Highlights |
For a Share Outstanding Throughout Each Year/Period |
Class I | ||||||||||||||||||||||||
For the | For the | For the | For the | For the | For the | |||||||||||||||||||
Six Months Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||||||
December 31, 2023 | June 30, 2023 | June 30, 2022 | June 30, 2021 | June 30, 2020 | June 30, 2019 | |||||||||||||||||||
(Unaudited) | ||||||||||||||||||||||||
Net asset value, beginning of year/period | $ | 11.47 | $ | 11.39 | $ | 12.70 | $ | 10.96 | $ | 11.67 | $ | 12.08 | ||||||||||||
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | ||||||||||||||||||||||||
Net investment income (A) | 0.14 | 0.25 | 0.25 | 0.23 | 0.25 | 0.22 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investments | 0.10 | 0.15 | (0.79 | ) | 1.74 | (0.60 | ) | 0.29 | ||||||||||||||||
Total from investment operations | 0.24 | 0.40 | (0.54 | ) | 1.97 | (0.35 | ) | 0.51 | ||||||||||||||||
LESS DISTRIBUTIONS: | ||||||||||||||||||||||||
From return of capital | — | — | — | — | — | (0.03 | ) | |||||||||||||||||
From net investment income | (0.08 | ) | (0.25 | ) | (0.30 | ) | (0.23 | ) | (0.25 | ) | (0.19 | ) | ||||||||||||
From net realized gains | (0.32 | ) | (0.07 | ) | (0.47 | ) | (0.00 | ) (B) | (0.11 | ) | (0.70 | ) | ||||||||||||
Total distributions | (0.40 | ) | (0.32 | ) | (0.77 | ) | (0.23 | ) | (0.36 | ) | (0.92 | ) | ||||||||||||
Net asset value, end of year/period | $ | 11.31 | $ | 11.47 | $ | 11.39 | $ | 12.70 | $ | 10.96 | $ | 11.67 | ||||||||||||
Total return (C) | 2.23 | % (F) | 3.59 | % | (4.61 | )% | 18.12 | % | (3.04 | )% | 4.55 | % | ||||||||||||
RATIOS/SUPPLEMENTAL DATA: | ||||||||||||||||||||||||
Net assets, end of year/period (in 000’s) | $ | 7,592 | $ | 7,525 | $ | 8,744 | $ | 10,504 | $ | 12,763 | $ | 13,054 | ||||||||||||
Ratios to average net assets | ||||||||||||||||||||||||
Expenses, before waiver and reimbursement (D) | 2.16 | % (G) | 2.02 | % | 1.82 | % | 1.75 | % | 1.70 | % | 1.65 | % | ||||||||||||
Expenses, net waiver and reimbursement (D) | 0.97 | % (G) | 0.97 | % | 0.97 | % | 0.97 | % | 0.97 | % | 1.06 | % | ||||||||||||
Net investment income, before waiver and reimbursement (D,E) | 1.20 | % (G) | 1.18 | % | 1.16 | % | 1.15 | % | 1.47 | % | 1.31 | % | ||||||||||||
Net investment income, net waiver and reimbursement (D,E) | 2.39 | % (G) | 2.23 | % | 2.01 | % | 1.93 | % | 2.20 | % | 1.90 | % | ||||||||||||
Portfolio turnover rate | 19 | % (F) | 36 | % | 25 | % | 18 | % | 49 | % | 38 | % | ||||||||||||
(A) | Per share amounts calculated using average shares method, which more appropriately presents the per share data for the period. |
(B) | Represents less than $0.01 per share. |
(C) | Total return in the above table represents the rate that the investor would have earned or lost on an investment in the Fund assuming reinvestment of dividends. Had the advisor not waived its fees and reimbursed expenses, total return would have been lower. |
(D) | Does not include expenses of the underlying investment companies in which the Fund invests. |
(E) | Recognition of net investment income is affected by the timing and declaration of dividends by the underlying investment companies in which the Fund invests. |
(F) | Not annualized. |
(G) | Annualized. |
The accompanying notes are an integral part of these financial statements.
58
CATALYST FUNDS |
Catalyst/CIFC Floating Rate Income Fund |
Financial Highlights |
For a Share Outstanding Throughout Each Year/Period |
Class A | ||||||||||||||||||||||||
For the | For the | For the | For the | For the | For the | |||||||||||||||||||
Six Months Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||||||
December 31, 2023 | June 30, 2023 | June 30, 2022 | June 30, 2021 | June 30, 2020 | June 30, 2019 | |||||||||||||||||||
(Unaudited) | ||||||||||||||||||||||||
Net asset value, beginning of year/period | $ | 9.06 | $ | 8.94 | $ | 9.62 | $ | 9.11 | $ | 9.57 | $ | 9.61 | ||||||||||||
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | ||||||||||||||||||||||||
Net investment income (A) | 0.40 | 0.66 | 0.33 | 0.28 | 0.40 | 0.46 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investments | 0.19 | 0.13 | (0.69 | ) | 0.54 | (0.40 | ) | (0.07 | ) | |||||||||||||||
Total from investment operations | 0.59 | 0.79 | (0.36 | ) | 0.82 | 0.00 | 0.39 | |||||||||||||||||
LESS DISTRIBUTIONS: | ||||||||||||||||||||||||
From net investment income | (0.40 | ) | (0.67 | ) | (0.32 | ) | (0.31 | ) | (0.46 | ) | (0.43 | ) | ||||||||||||
Total distributions | (0.40 | ) | (0.67 | ) | (0.32 | ) | (0.31 | ) | (0.46 | ) | (0.43 | ) | ||||||||||||
Net asset value, end of year/period | $ | 9.25 | $ | 9.06 | $ | 8.94 | $ | 9.62 | $ | 9.11 | $ | 9.57 | ||||||||||||
Total return (B) | 6.58 | % (I) | 9.12 | % | (3.91 | )% | 9.08 | % | (0.06 | )% (C,H) | 4.22 | % | ||||||||||||
RATIOS/SUPPLEMENTAL DATA: | ||||||||||||||||||||||||
Net assets, end of year/period (in 000’s) | $ | 25,680 | $ | 16,572 | $ | 23,683 | $ | 19,682 | $ | 15,341 | $ | 17,287 | ||||||||||||
Ratios to average net assets (including interest expense) | ||||||||||||||||||||||||
Expenses, before waiver and reimbursement (D,E) | 1.49 | % (J) | 1.55 | % | 1.53 | % | 1.59 | % | 1.66 | % | 1.72 | % | ||||||||||||
Expenses, net waiver and reimbursement (D,E) | 1.15 | % (J) | 1.15 | % | 1.15 | % | 1.15 | % | 1.15 | % | 1.31 | % | ||||||||||||
Net investment income, before waiver and reimbursement (D,G) | 8.22 | % (J) | 6.88 | % | 3.10 | % | 2.52 | % | 3.75 | % | 4.40 | % | ||||||||||||
Net investment income, net waiver and reimbursement (D,G) | 8.56 | % (J) | 7.28 | % | 3.48 | % | 2.96 | % | 4.27 | % | 4.80 | % | ||||||||||||
Portfolio turnover rate | 54 | % (I) | 84 | % | 95 | % | 180 | % | 231 | % | 178 | % | ||||||||||||
Class C | ||||||||||||||||||||||||
For the | For the | For the | For the | For the | For the | |||||||||||||||||||
Six Months Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||||||
December 31, 2023 | June 30, 2023 | June 30, 2022 | June 30, 2021 | June 30, 2020 | June 30, 2019 | |||||||||||||||||||
(Unaudited) | ||||||||||||||||||||||||
Net asset value, beginning of year/period | $ | 9.03 | $ | 8.91 | $ | 9.59 | $ | 9.08 | $ | 9.54 | $ | 9.58 | ||||||||||||
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | ||||||||||||||||||||||||
Net investment income (A) | 0.36 | 0.60 | 0.26 | 0.21 | 0.32 | 0.38 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investments | 0.18 | 0.12 | (0.69 | ) | 0.54 | (0.40 | ) | (0.06 | ) | |||||||||||||||
Total from investment operations | 0.54 | 0.72 | (0.43 | ) | 0.75 | (0.08 | ) | 0.32 | ||||||||||||||||
LESS DISTRIBUTIONS: | ||||||||||||||||||||||||
From net investment income | (0.36 | ) | (0.60 | ) | (0.25 | ) | (0.24 | ) | (0.38 | ) | (0.36 | ) | ||||||||||||
Total distributions | (0.36 | ) | (0.60 | ) | (0.25 | ) | (0.24 | ) | (0.38 | ) | (0.36 | ) | ||||||||||||
Net asset value, end of year/period | $ | 9.21 | $ | 9.03 | $ | 8.91 | $ | 9.59 | $ | 9.08 | $ | 9.54 | ||||||||||||
Total return (B) | 6.08 | % (I) | 8.32 | % | (4.63 | )% | 8.30 | % | (0.81 | )% (C,H) | 3.46 | % | ||||||||||||
RATIOS/SUPPLEMENTAL DATA: | ||||||||||||||||||||||||
Net assets, end of year/period (in 000’s) | $ | 28,117 | $ | 23,226 | $ | 21,907 | $ | 14,399 | $ | 11,716 | $ | 9,851 | ||||||||||||
Ratios to average net assets (including interest expense) | ||||||||||||||||||||||||
Expenses, before waiver and reimbursement (D,F) | 2.24 | % (J) | 2.30 | % | 2.28 | % | 2.34 | % | 2.41 | % | 2.46 | % | ||||||||||||
Expenses, net waiver and reimbursement (D,F) | 1.90 | % (J) | 1.90 | % | 1.90 | % | 1.90 | % | 1.90 | % | 2.07 | % | ||||||||||||
Net investment income, before waiver and reimbursement (D,G) | 7.47 | % (J) | 6.26 | % | 2.37 | % | 1.75 | % | 2.95 | % | 3.59 | % | ||||||||||||
Net investment income, net waiver and reimbursement (D,G) | 7.81 | % (J) | 6.66 | % | 2.74 | % | 2.19 | % | 3.46 | % | 3.97 | % | ||||||||||||
Portfolio turnover rate | 54 | % (I) | 84 | % | 95 | % | 180 | % | 231 | % | 178 | % | ||||||||||||
(A) | Per share amounts calculated using average shares method, which more appropriately presents the per share data for the year/period. |
(B) | Total return in the above table represents the rate that the investor would have earned or lost on an investment in the Fund assuming reinvestment of dividends and does not reflect the impact of sales charges, if any. Had the advisor not waived its fees and reimbursed expenses, total return would have been lower. |
(C) | Includes increase from payments made by affiliated parties of 0.00% for the A shares and 0.11% for the C shares for June 30, 2020 related to the pricing errors reimbursement. Without these transactions, total return would have been (0.81)% for the A shares and (0.92)% for the C shares for June 30, 2020. |
(D) | The ratios of expenses to average net assets and net investment income to average net assets do not reflect the expenses of the underlying investment companies in which the Fund invests. |
(E) | Ratios to average net assets (excluding interest expense) |
Expenses, before waiver and reimbursement | 1.49 | % (J) | 1.55 | % | 1.53 | % | 1.59 | % | 1.66 | % | 1.71 | % | ||||||||||||
Expenses, net waiver and reimbursement | 1.15 | % (J) | 1.15 | % | 1.15 | % | 1.15 | % | 1.15 | % | 1.31 | % | ||||||||||||
(F) | Ratios to average net assets (excluding interest expense) |
Expenses, before waiver and reimbursement | 2.24 | % (J) | 2.30 | % | 2.28 | % | 2.34 | % | 2.41 | % | 2.45 | % | ||||||||||||
Expenses, net waiver and reimbursement | 1.90 | % (J) | 1.90 | % | 1.90 | % | 1.90 | % | 1.90 | % | 2.06 | % | ||||||||||||
(G) | Recognition of net investment income is affected by the timing and declaration of dividends by the underlying investment companies in which the Fund invests. |
(H) | Includes adjustments in accordance with accounting principles generally accepted in the United States and, consequently, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions. |
(I) | Not annualized. |
(J) | Annualized. |
The accompanying notes are an integral part of these financial statements.
59
CATALYST FUNDS |
Catalyst/CIFC Floating Rate Income Fund (Continued) |
Financial Highlights |
For a Share Outstanding Throughout Each Year/Period |
Class I | ||||||||||||||||||||||||
For the | For the | For the | For the | For the | For the | |||||||||||||||||||
Six Months Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||||||
December 31, 2023 | June 30, 2023 | June 30, 2022 | June 30, 2021 | June 30, 2020 | June 30, 2019 | |||||||||||||||||||
(Unaudited) | ||||||||||||||||||||||||
Net asset value, beginning of year/period | $ | 9.07 | $ | 8.94 | $ | 9.63 | $ | 9.12 | $ | 9.59 | $ | 9.62 | ||||||||||||
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | ||||||||||||||||||||||||
Net investment income (B) | 0.41 | 0.68 | 0.36 | 0.32 | 0.41 | 0.48 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investments | 0.18 | 0.14 | (0.71 | ) | 0.52 | (0.40 | ) | (0.05 | ) | |||||||||||||||
Total from investment operations | 0.59 | 0.82 | (0.35 | ) | 0.84 | 0.01 | 0.43 | |||||||||||||||||
LESS DISTRIBUTIONS: | ||||||||||||||||||||||||
From net investment income | (0.41 | ) | (0.69 | ) | (0.34 | ) | (0.33 | ) | (0.48 | ) | (0.46 | ) | ||||||||||||
Total distributions | (0.41 | ) | (0.69 | ) | (0.34 | ) | (0.33 | ) | (0.48 | ) | (0.46 | ) | ||||||||||||
Net asset value, end of year/period | $ | 9.25 | $ | 9.07 | $ | 8.94 | $ | 9.63 | $ | 9.12 | $ | 9.59 | ||||||||||||
Total return (C) | 6.59 | % (J) | 9.51 | % | (3.74 | )% (I) | 9.34 | % | 0.21 | % (D,I) | 4.58 | % (I) | ||||||||||||
RATIOS/SUPPLEMENTAL DATA: | ||||||||||||||||||||||||
Net assets, end of year/period (in 000’s) | $ | 308,212 | $ | 198,164 | $ | 202,444 | $ | 121,480 | $ | 63,191 | $ | 40,341 | ||||||||||||
Ratios to average net assets (including interest expense) | ||||||||||||||||||||||||
Expenses, before waiver and reimbursement (E,F) | 1.24 | % (K) | 1.30 | % | 1.28 | % | 1.34 | % | 1.41 | % | 1.46 | % | ||||||||||||
Expenses, net waiver and reimbursement (E,F) | 0.90 | % (K) | 0.90 | % | 0.90 | % | 0.90 | % | 0.90 | % | 1.07 | % | ||||||||||||
Net investment income, before waiver and reimbursement (E,H) | 8.48 | % (K) | 7.19 | % | 3.39 | % | 2.88 | % | 3.88 | % | 4.65 | % | ||||||||||||
Net investment income, net waiver and reimbursement (E,H) | 8.82 | % (K) | 7.59 | % | 3.77 | % | 3.31 | % | 4.39 | % | 5.03 | % | ||||||||||||
Portfolio turnover rate | 54 | % (J) | 84 | % | 95 | % | 180 | % | 231 | % | 178 | % | ||||||||||||
Class C-1 (A) | ||||||||||||||||||||||||
For the | For the | |||||||||||||||||||||||
Six Months Ended | Period Ended | |||||||||||||||||||||||
December 31, 2023 | June 30, 2023 | |||||||||||||||||||||||
(Unaudited) | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 9.03 | $ | 8.84 | ||||||||||||||||||||
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | ||||||||||||||||||||||||
Net investment income (B) | 0.37 | 0.45 | ||||||||||||||||||||||
Net realized and unrealized gain on investments | 0.18 | 0.19 | ||||||||||||||||||||||
Total from investment operations | 0.55 | 0.64 | ||||||||||||||||||||||
LESS DISTRIBUTIONS: | ||||||||||||||||||||||||
From net investment income | (0.37 | ) | (0.45 | ) | ||||||||||||||||||||
Total distributions | (0.37 | ) | (0.45 | ) | ||||||||||||||||||||
Net asset value, end of period | $ | 9.21 | $ | 9.03 | ||||||||||||||||||||
Total return (C) | 6.16 | % (J) | 7.41 | % (J) | ||||||||||||||||||||
RATIOS/SUPPLEMENTAL DATA: | ||||||||||||||||||||||||
Net assets, end of period (in 000’s) | $ | 1 | $ | 1 | ||||||||||||||||||||
Ratios to average net assets (including interest expense) | ||||||||||||||||||||||||
Expenses, before waiver and reimbursement (E,G) | 2.24 | % (K) | 2.51 | % (K) | ||||||||||||||||||||
Expenses, net waiver and reimbursement (E,G) | 1.90 | % (K) | 1.90 | % (K) | ||||||||||||||||||||
Net investment income, before waiver and reimbursement (E,H) | 5.66 | % (K) | 6.95 | % (K) | ||||||||||||||||||||
Net investment income, net waiver and reimbursement (E,H) | 6.05 | % (K) | 7.56 | % (K) | ||||||||||||||||||||
Portfolio turnover rate | 54 | % (J) | 84 | % (J) | ||||||||||||||||||||
(A) | Class C-1 commenced investment operations on November 1, 2022. |
(B) | Per share amounts calculated using average shares method, which more appropriately presents the per share data for the year/period. |
(C) | Total return in the above table represents the rate that the investor would have earned or lost on an investment in the Fund assuming reinvestment of dividends and does not reflect the impact of sales charges, if any. Had the advisor not waived its fees and reimbursed expenses, total return would have been lower. |
(D) | Includes increase from payments made by affiliated parties of 0.11% related to the pricing errors reimbursement for June 30, 2020. Without these transactions, total return would have been 0.10% for June 30, 2020. |
(E) | The ratios of expenses to average net assets and net investment income to average net assets do not reflect the expenses of the underlying investment companies in which the Fund invests. |
(F) | Ratios to average net assets (excluding interest expense) |
Expenses, before waiver and reimbursement | 1.24 | % (K) | 1.30 | % (K) | 1.28 | % | 1.34 | % | 1.41 | % | 1.45 | % | ||||||||||||
Expenses, net waiver and reimbursement | 0.90 | % (K) | 0.90 | % (K) | 0.90 | % | 0.90 | % | 0.90 | % | 1.06 | % | ||||||||||||
(G) | Ratios to average net assets (excluding interest expense) |
Expenses, before waiver and reimbursement | 2.24 | % (K) | 2.51 | % (K) | ||||
Expenses, net waiver and reimbursement | 1.90 | % (K) | 1.90 | % (K) | ||||
(H) | Recognition of net investment income is affected by the timing and declaration of dividends by the underlying investment companies in which the Fund invests. |
(I) | Includes adjustments in accordance with accounting principles generally accepted in the United States and, consequently, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions. |
(J) | Not annualized. |
(K) | Annualized. |
The accompanying notes are an integral part of these financial statements.
60
CATALYST FUNDS |
Catalyst/SMH High Income Fund |
Financial Highlights |
For a Share Outstanding Throughout Each Year/Period |
Class A | ||||||||||||||||||||||||
For the | For the | For the | For the | For the | For the | |||||||||||||||||||
Six Months Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||||||
December 31, 2023 | June 30, 2023 | June 30, 2022 | June 30, 2021 | June 30, 2020 | June 30, 2019 | |||||||||||||||||||
(Unaudited) | ||||||||||||||||||||||||
Net asset value, beginning of year/period | $ | 3.43 | $ | 3.33 | $ | 4.23 | $ | 3.53 | $ | 3.79 | $ | 3.92 | ||||||||||||
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | ||||||||||||||||||||||||
Net investment income (A) | 0.12 | 0.22 | 0.19 | 0.17 | 0.18 | 0.20 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investments | 0.22 | 0.10 | (0.90 | ) | 0.70 | (0.24 | ) | (0.12 | ) | |||||||||||||||
Total from investment operations | 0.34 | 0.32 | (0.71 | ) | 0.87 | (0.06 | ) | 0.08 | ||||||||||||||||
LESS DISTRIBUTIONS: | ||||||||||||||||||||||||
From net investment income | (0.14 | ) | (0.22 | ) | (0.19 | ) | (0.16 | ) | (0.18 | ) | (0.21 | ) | ||||||||||||
From net realized gains | — | — | (0.00 | ) (C) | (0.01 | ) | — | — | ||||||||||||||||
From return of capital | — | — | (0.00 | ) (C) | (0.00 | ) (C) | (0.02 | ) | — | |||||||||||||||
Total distributions | (0.14 | ) | (0.22 | ) | (0.19 | ) | (0.17 | ) | (0.20 | ) | (0.21 | ) | ||||||||||||
Net asset value, end of year/period | $ | 3.63 | $ | 3.43 | $ | 3.33 | $ | 4.23 | $ | 3.53 | $ | 3.79 | ||||||||||||
Total return (B) | 10.09 | % (F) | 9.94 | % | (17.26 | )% | 25.21 | % | (1.51 | )% | 2.09 | % | ||||||||||||
RATIOS/SUPPLEMENTAL DATA: | ||||||||||||||||||||||||
Net assets, end of year/period (in 000’s) | $ | 8,074 | $ | 7,495 | $ | 8,002 | $ | 8,889 | $ | 8,421 | $ | 9,517 | ||||||||||||
Ratios to average net assets (including interest expense) | ||||||||||||||||||||||||
Expenses, before waiver and reimbursement | 2.48 | % (D,G) | 2.36 | % (D) | 1.95 | % (D) | 2.04 | % | 2.07 | % | 1.87 | % | ||||||||||||
Expenses, net waiver and reimbursement | 1.48 | % (D,G) | 1.52 | % (D) | 1.49 | % (D) | 1.48 | % | 1.48 | % | 1.47 | % | ||||||||||||
Net investment income, before waiver and reimbursement | 5.98 | % (G) | 5.72 | % | 4.31 | % | 3.71 | % | 4.22 | % | 4.70 | % | ||||||||||||
Net investment income, net waiver and reimbursement | 7.03 | % (G) | 6.56 | % | 4.78 | % | 4.27 | % | 4.81 | % | 5.10 | % | ||||||||||||
Portfolio turnover rate | 7 | % (F) | 41 | % | 42 | % | 51 | % | 21 | % | 28 | % | ||||||||||||
Class C | ||||||||||||||||||||||||
For the | For the | For the | For the | For the | For the | |||||||||||||||||||
Six Months Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||||||
December 31, 2023 | June 30, 2023 | June 30, 2022 | June 30, 2021 | June 30, 2020 | June 30, 2019 | |||||||||||||||||||
(Unaudited) | ||||||||||||||||||||||||
Net asset value, beginning of year/period | $ | 3.44 | $ | 3.33 | $ | 4.23 | $ | 3.53 | $ | 3.79 | $ | 3.92 | ||||||||||||
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | ||||||||||||||||||||||||
Net investment income (A) | 0.11 | 0.20 | 0.15 | 0.14 | 0.15 | 0.18 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investments | 0.21 | 0.10 | (0.88 | ) | 0.70 | (0.23 | ) | (0.13 | ) | |||||||||||||||
Total from investment operations | 0.32 | 0.30 | (0.73 | ) | 0.84 | (0.08 | ) | 0.05 | ||||||||||||||||
LESS DISTRIBUTIONS: | ||||||||||||||||||||||||
From net investment income | (0.12 | ) | (0.19 | ) | (0.16 | ) | (0.13 | ) | (0.16 | ) | (0.18 | ) | ||||||||||||
From net realized gains | — | — | (0.00 | ) (C) | (0.01 | ) | — | — | ||||||||||||||||
From return of capital | — | — | (0.01 | ) | (0.00 | ) (C) | (0.02 | ) | — | |||||||||||||||
Total distributions | (0.12 | ) | (0.19 | ) | (0.17 | ) | (0.14 | ) | (0.18 | ) | (0.18 | ) | ||||||||||||
Net asset value, end of year/period | $ | 3.64 | $ | 3.44 | $ | 3.33 | $ | 4.23 | $ | 3.53 | $ | 3.79 | ||||||||||||
Total return (B) | 9.64 | % (F) | 9.40 | % | (17.91 | )% | 24.28 | % | (2.26 | )% | 1.33 | % | ||||||||||||
RATIOS/SUPPLEMENTAL DATA: | ||||||||||||||||||||||||
Net assets, end of year/period (in 000’s) | $ | 2,124 | $ | 1,974 | $ | 2,534 | $ | 6,067 | $ | 5,444 | $ | 7,069 | ||||||||||||
Ratios to average net assets (including interest expense) | ||||||||||||||||||||||||
Expenses, before waiver and reimbursement | 3.24 | % (E,G) | 3.11 | % (E) | 2.70 | % (E) | 2.79 | % | 2.82 | % | 2.62 | % | ||||||||||||
Expenses, net waiver and reimbursement | 2.23 | % (E,G) | 2.27 | % (E) | 2.24 | % (E) | 2.23 | % | 2.23 | % | 2.22 | % | ||||||||||||
Net investment income, before waiver and reimbursement | 5.23 | % (G) | 4.95 | % | 3.36 | % | 2.97 | % | 3.51 | % | 4.30 | % | ||||||||||||
Net investment income, net waiver and reimbursement | 6.28 | % (G) | 5.79 | % | 3.81 | % | 3.53 | % | 4.09 | % | 4.70 | % | ||||||||||||
Portfolio turnover rate | 7 | % (F) | 41 | % | 42 | % | 51 | % | 21 | % | 28 | % | ||||||||||||
(A) | Per share amounts calculated using average shares method, which more appropriately presents the per share data for the year/period. |
(B) | Total return in the above table represents the rate that the investor would have earned or lost on an investment in the Fund assuming reinvestment of dividends and does not reflect the impact of sales charges, if any. Had the advisor not waived its fees and reimbursed expenses, total return would have been lower. |
(C) | Less than $.005 per share |
(D) | Ratios to average net assets (excluding interest expense) |
Expenses, before waiver and reimbursement | 2.49 | % (G) | 2.32 | % | 1.94 | % | ||||||
Expenses, net waiver and reimbursement | 1.48 | % (G) | 1.48 | % | 1.48 | % | ||||||
(E) | Ratios to average net assets (excluding interest expense) |
Expenses, before waiver and reimbursement | 3.24 | % (G) | 3.07 | % | 2.69 | % | ||||||
Expenses, net waiver and reimbursement | 2.23 | % (G) | 2.23 | % | 2.23 | % | ||||||
(F) | Not annualized. |
(G) | Annualized. |
The accompanying notes are an integral part of these financial statements.
61
CATALYST FUNDS |
Catalyst/SMH High Income Fund (Continued) |
Financial Highlights |
For a Share Outstanding Throughout Each Year/Period |
Class I | ||||||||||||||||||||||||
For the | For the | For the | For the | For the | For the | |||||||||||||||||||
Six Months Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||||||
December 31, 2023 | June 30, 2023 | June 30, 2022 | June 30, 2021 | June 30, 2020 | June 30, 2019 | |||||||||||||||||||
(Unaudited) | ||||||||||||||||||||||||
Net asset value, beginning of year/period | $ | 3.43 | $ | 3.33 | $ | 4.23 | $ | 3.53 | $ | 3.79 | $ | 3.92 | ||||||||||||
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | ||||||||||||||||||||||||
Net investment income (A) | 0.13 | 0.23 | 0.20 | 0.18 | 0.19 | 0.22 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investments | 0.22 | 0.10 | (0.90 | ) | 0.70 | (0.24 | ) | (0.13 | ) | |||||||||||||||
Total from investment operations | 0.35 | 0.33 | (0.70 | ) | 0.88 | (0.05 | ) | 0.09 | ||||||||||||||||
LESS DISTRIBUTIONS: | ||||||||||||||||||||||||
From net investment income | (0.14 | ) | (0.23 | ) | (0.20 | ) | (0.17 | ) | (0.19 | ) | (0.22 | ) | ||||||||||||
From net realized gains | — | — | (0.00 | ) (C) | (0.01 | ) | — | — | ||||||||||||||||
From return of capital | — | — | (0.00 | ) (C) | (0.00 | ) (C) | (0.02 | ) | — | |||||||||||||||
Total distributions | (0.14 | ) | (0.23 | ) | (0.20 | ) | (0.18 | ) | (0.21 | ) | (0.22 | ) | ||||||||||||
Net asset value, end of year/period | $ | 3.64 | $ | 3.43 | $ | 3.33 | $ | 4.23 | $ | 3.53 | $ | 3.79 | ||||||||||||
Total return (B) | 10.22 | % (E) | 10.22 | % | (17.06 | )% | 25.53 | % | (1.27 | )% | 2.35 | % | ||||||||||||
RATIOS/SUPPLEMENTAL DATA: | ||||||||||||||||||||||||
Net assets, end of year/period (in 000’s) | $ | 5,259 | $ | 4,150 | $ | 7,566 | $ | 10,930 | $ | 2,995 | $ | 4,385 | ||||||||||||
Ratios to average net assets (including interest expense) | ||||||||||||||||||||||||
Expenses, before waiver and reimbursement | 2.24 | % (D,F) | 2.11 | % (D) | 1.70 | % (D) | 1.74 | % | 1.82 | % | 1.62 | % | ||||||||||||
Expenses, net waiver and reimbursement | 1.23 | % (D,F) | 1.27 | % (D) | 1.24 | % (D) | 1.23 | % | 1.23 | % | 1.22 | % | ||||||||||||
Net investment income, before waiver and reimbursement | 6.27 | % (F) | 5.94 | % | 4.49 | % | 3.91 | % | 4.53 | % | 5.35 | % | ||||||||||||
Net investment income, net waiver and reimbursement | 7.28 | % (F) | 6.72 | % | 4.94 | % | 4.42 | % | 5.12 | % | 5.76 | % | ||||||||||||
Portfolio turnover rate | 7 | % (E) | 41 | % | 42 | % | 51 | % | 21 | % | 28 | % | ||||||||||||
(A) | Per share amounts calculated using average shares method, which more appropriately presents the per share data for the year/period. |
(B) | Total return in the above table represents the rate that the investor would have earned or lost on an investment in the Fund assuming reinvestment of dividends. Had the advisor not waived its fees and reimbursed expenses, total return would have been lower. |
(C) | Less than $.005 per share |
(D) | Ratios to average net assets (excluding interest expense) |
Expenses, before waiver and reimbursement | 2.24 | % (F) | 2.07 | % | 1.69 | % | ||||||
Expenses, net waiver and reimbursement | 1.23 | % (F) | 1.23 | % | 1.23 | % | ||||||
(E) | Not Annualized. |
(F) | Annualized. |
The accompanying notes are an integral part of these financial statements.
62
CATALYST FUNDS |
Catalyst/SMH Total Return Income Fund |
Financial Highlights |
For a Share Outstanding Throughout Each Year/Period |
Class A | ||||||||||||||||||||||||
For the | For the | For the | For the | For the | For the | |||||||||||||||||||
Six Months Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||||||
December 31, 2023 | June 30, 2023 | June 30, 2022 | June 30, 2021 | June 30, 2020 | June 30, 2019 | |||||||||||||||||||
(Unaudited) | ||||||||||||||||||||||||
Net asset value, beginning of year/period | $ | 4.39 | $ | 4.23 | $ | 5.15 | $ | 3.74 | $ | 4.32 | $ | 4.39 | ||||||||||||
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | ||||||||||||||||||||||||
Net investment income (A) | 0.15 | 0.24 | 0.18 | 0.24 | 0.22 | 0.27 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investments | 0.28 | 0.13 | (0.87 | ) | 1.41 | (0.53 | ) | (0.09 | ) | |||||||||||||||
Total from investment operations | 0.43 | 0.37 | (0.69 | ) | 1.65 | (0.31 | ) | 0.18 | ||||||||||||||||
LESS DISTRIBUTIONS: | ||||||||||||||||||||||||
From net investment income | (0.15 | ) | (0.21 | ) | (0.15 | ) | (0.24 | ) | (0.23 | ) | (0.25 | ) | ||||||||||||
From return of capital | — | — | (0.08 | ) | — | (0.04 | ) | — | ||||||||||||||||
Total distributions | (0.15 | ) | (0.21 | ) | (0.23 | ) | (0.24 | ) | (0.27 | ) | (0.25 | ) | ||||||||||||
Net asset value, end of year/period | $ | 4.67 | $ | 4.39 | $ | 4.23 | $ | 5.15 | $ | 3.74 | $ | 4.32 | ||||||||||||
Total return (B) | 9.70 | % (G) | 9.01 | % | (13.92 | )% | 45.12 | % | (7.48 | )% | 4.33 | % | ||||||||||||
RATIOS/SUPPLEMENTAL DATA: | ||||||||||||||||||||||||
Net assets, end of year/period (in 000’s) | $ | 5,950 | $ | 6,169 | $ | 6,756 | $ | 4,164 | $ | 2,485 | $ | 3,344 | ||||||||||||
Ratios to average net assets (including interest expense) | ||||||||||||||||||||||||
Expenses, before waiver and reimbursement (C) | 2.27 | % (E,H) | 2.18 | % (E) | 1.99 | % | 2.16 | % | 2.12 | % | 2.03 | % | ||||||||||||
Expenses, net waiver and reimbursement (C) | 1.58 | % (E,H) | 1.59 | % (E) | 1.58 | % | 1.58 | % | 1.58 | % | 1.57 | % | ||||||||||||
Net investment income, before waiver and reimbursement (C,D) | 5.87 | % (H) | 4.86 | % | 3.22 | % | 4.85 | % | 4.81 | % | 5.83 | % | ||||||||||||
Net investment income, net waiver and reimbursement (C,D) | 6.56 | % (H) | 5.45 | % | 3.63 | % | 5.43 | % | 5.35 | % | 6.29 | % | ||||||||||||
Portfolio turnover rate | 9 | % (G) | 15 | % | 26 | % | 42 | % | 22 | % | 30 | % | ||||||||||||
Class C | ||||||||||||||||||||||||
For the | For the | For the | For the | For the | For the | |||||||||||||||||||
Six Months Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||||||
December 31, 2023 | June 30, 2023 | June 30, 2022 | June 30, 2021 | June 30, 2020 | June 30, 2019 | |||||||||||||||||||
(Unaudited) | ||||||||||||||||||||||||
Net asset value, beginning of year/period | $ | 4.39 | $ | 4.23 | $ | 5.14 | $ | 3.73 | $ | 4.32 | $ | 4.38 | ||||||||||||
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | ||||||||||||||||||||||||
Net investment income (A) | 0.13 | 0.20 | 0.15 | 0.21 | 0.19 | 0.24 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investments | 0.27 | 0.14 | (0.87 | ) | 1.40 | (0.54 | ) | (0.08 | ) | |||||||||||||||
Total from investment operations | 0.40 | 0.34 | (0.72 | ) | 1.61 | (0.35 | ) | 0.16 | ||||||||||||||||
LESS DISTRIBUTIONS: | ||||||||||||||||||||||||
From net investment income | (0.13 | ) | (0.18 | ) | (0.11 | ) | (0.20 | ) | (0.20 | ) | (0.22 | ) | ||||||||||||
From return of capital | — | — | (0.08 | ) | — | (0.04 | ) | — | ||||||||||||||||
Total distributions | (0.13 | ) | (0.18 | ) | (0.19 | ) | (0.20 | ) | (0.24 | ) | (0.22 | ) | ||||||||||||
Net asset value, end of year/period | $ | 4.66 | $ | 4.39 | $ | 4.23 | $ | 5.14 | $ | 3.73 | $ | 4.32 | ||||||||||||
Total return (B) | 9.29 | % (G) | 8.19 | % | (14.43 | )% | 44.18 | % | (8.40 | )% | 3.79 | % | ||||||||||||
RATIOS/SUPPLEMENTAL DATA: | ||||||||||||||||||||||||
Net assets, end of year/period (in 000’s) | $ | 2,885 | $ | 2,834 | $ | 3,296 | $ | 8,600 | $ | 6,455 | $ | 7,877 | ||||||||||||
Ratios to average net assets (including interest expense) | ||||||||||||||||||||||||
Expenses, before waiver and reimbursement (C) | 3.02 | % (F,H) | 2.93 | % (F) | 2.74 | % | 2.92 | % | 2.87 | % | 2.78 | % | ||||||||||||
Expenses, net waiver and reimbursement (C) | 2.33 | % (F,H) | 2.34 | % (F) | 2.33 | % | 2.33 | % | 2.33 | % | 2.32 | % | ||||||||||||
Net investment income, before waiver and reimbursement (C,D) | 5.14 | % (H) | 4.09 | % | 2.61 | % | 4.24 | % | 4.08 | % | 5.08 | % | ||||||||||||
Net investment income, net waiver and reimbursement (C,D) | 5.82 | % (H) | 4.68 | % | 2.99 | % | 4.82 | % | 4.62 | % | 5.54 | % | ||||||||||||
Portfolio turnover rate | 9 | % (G) | 15 | % | 26 | % | 42 | % | 22 | % | 30 | % | ||||||||||||
(A) | Per share amounts calculated using average shares method, which more appropriately presents the per share data for the year/period. |
(B) | Total return in the above table represents the rate that the investor would have earned or lost on an investment in the Fund assuming reinvestment of dividends and does not reflect the impact of sales charges, if any. Had the advisor not waived its fees and reimbursed expenses, total return would have been lower. |
(C) | Does not include expenses of the underlying investment companies in which the Fund invests. |
(D) | Recognition of net investment income is affected by the timing and declaration of dividends by the underlying investment companies in which the Fund invests. |
(E) | Ratios to average net assets (excluding interest expense) |
Expenses, before waiver and reimbursement | 2.27 | % (H) | 2.17 | % | ||||
Expenses, net waiver and reimbursement | 1.58 | % (H) | 1.58 | % | ||||
(F) | Ratios to average net assets (excluding interest expense) |
Expenses, before waiver and reimbursement | 3.02 | % (H) | 2.92 | % | ||||
Expenses, net waiver and reimbursement | 2.33 | % (H) | 2.33 | % | ||||
(G) | Not annualized. |
(H) | Annualized. |
The accompanying notes are an integral part of these financial statements.
63
CATALYST FUNDS |
Catalyst/SMH Total Return Income Fund (Continued) |
Financial Highlights |
For a Share Outstanding Throughout Each Year/Period |
Class I | ||||||||||||||||||||||||
For the | For the | For the | For the | For the | For the | |||||||||||||||||||
Six Months Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||||||
December 31, 2023 | June 30, 2023 | June 30, 2022 | June 30, 2021 | June 30, 2020 | June 30, 2019 | |||||||||||||||||||
(Unaudited) | ||||||||||||||||||||||||
Net asset value, beginning of year/period | $ | 4.38 | $ | 4.22 | $ | 5.13 | $ | 3.73 | $ | 4.32 | $ | 4.38 | ||||||||||||
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | ||||||||||||||||||||||||
Net investment income (A) | 0.15 | 0.25 | 0.19 | 0.27 | 0.23 | 0.29 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investments | 0.27 | 0.13 | (0.86 | ) | 1.38 | (0.54 | ) | (0.09 | ) | |||||||||||||||
Total from investment operations | 0.42 | 0.38 | (0.67 | ) | 1.65 | (0.31 | ) | 0.20 | ||||||||||||||||
LESS DISTRIBUTIONS: | ||||||||||||||||||||||||
From net investment income | (0.15 | ) | (0.22 | ) | (0.16 | ) | (0.25 | ) | (0.24 | ) | (0.26 | ) | ||||||||||||
From return of capital | — | — | (0.08 | ) | — | (0.04 | ) | — | ||||||||||||||||
Total distributions | (0.15 | ) | (0.22 | ) | (0.24 | ) | (0.25 | ) | (0.28 | ) | (0.26 | ) | ||||||||||||
Net asset value, end of year/period | $ | 4.65 | $ | 4.38 | $ | 4.22 | $ | 5.13 | $ | 3.73 | $ | 4.32 | ||||||||||||
Total return (B) | 9.86 | % (G) | 9.32 | % | (13.57 | )% | 45.31 | % | (7.48 | )% | 4.84 | % | ||||||||||||
RATIOS/SUPPLEMENTAL DATA: | ||||||||||||||||||||||||
Net assets, end of year/period (in 000’s) | $ | 8,494 | $ | 7,213 | $ | 8,702 | $ | 7,220 | $ | 4,304 | $ | 7,019 | ||||||||||||
Ratios to average net assets (including interest expense) | ||||||||||||||||||||||||
Expenses, before waiver and reimbursement (C) | 2.02 | % (E,H) | 1.93 | % (E) | 1.74 | % | 1.91 | % | 1.87 | % | 1.78 | % | ||||||||||||
Expenses, net waiver and reimbursement (C) | 1.33 | % (E,H) | 1.34 | % (E) | 1.33 | % | 1.33 | % | 1.33 | % | 1.32 | % | ||||||||||||
Net investment income, before waiver and reimbursement (C,D) | 6.14 | % (H) | 5.10 | % | 3.52 | % | 5.39 | % | 5.03 | % | 6.19 | % | ||||||||||||
Net investment income, net waiver and reimbursement (C,D) | 6.84 | % (H) | 5.69 | % | 3.93 | % | 5.96 | % | 5.56 | % | 6.65 | % | ||||||||||||
Portfolio turnover rate | 9 | % (G) | 15 | % | 26 | % | 42 | % | 22 | % | 30 | % | ||||||||||||
(A) | Per share amounts calculated using average shares method, which more appropriately presents the per share data for the year/period. |
(B) | Total return in the above table represents the rate that the investor would have earned or lost on an investment in the Fund assuming reinvestment of dividends. Had the advisor not waived its fees and reimbursed expenses, total return would have been lower. |
(C) | Does not include expenses of the underlying investment companies in which the Fund invests. |
(D) | Recognition of net investment income is affected by the timing and declaration of dividends by the underlying investment companies in which the Fund invests. |
(E) | Ratios to average net assets (excluding interest expense) |
Expenses, before waiver and reimbursement | 2.02 | % (H) | 1.92 | % | ||||
Expenses, net waiver and reimbursement | 1.33 | % (H) | 1.33 | % | ||||
(G) | Not Annualized. |
(H) | Annualized. |
The accompanying notes are an integral part of these financial statements.
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December 31, 2023 | SEMI-ANNUAL REPORT |
(1) | ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES |
Mutual Fund Series Trust (the “Trust”), was organized as an Ohio business trust on February 27, 2006. The Trust is registered as an open-end management investment company under the Investment Company Act of 1940, as amended, (“1940 Act”). The Trust currently consists of thirty-six series. These financial statements include the following six series set forth below (each a “Fund” and collectively, the “Funds”). The investment objectives of each Fund are set forth below. The Funds’ investment advisor is Catalyst Capital Advisors, LLC (the “Advisor” or “CCA”).
Fund | Sub-Advisor | Primary Objective | ||
Catalyst Insider Income (“Insider Income”) | Current income | |||
Catalyst Enhanced Income Strategy (“Enhanced Income”) | Wynkoop, LLC | Current income | ||
Catalyst/MAP Global Balanced | Managed Asset Portfolios, LLC | Total return which consists of current income | ||
(“Global Balanced”) | (“MAP”) | and capital appreciation | ||
Catalyst/ CIFC Floating Rate Income | CIFC Investment Management, LLC | Current income | ||
(“Floating Rate Income”) | ||||
Catalyst/SMH High Income (“High Income”) | SMH Capital Advisors LLC (“SMH”) | Income with capital appreciation as secondary objective | ||
Catalyst/SMH Total Return Income | SMH | Income and capital appreciation | ||
(“Total Return Income”) |
Insider Income, High Income and Total Return Income are each registered as non-diversified series of the trust, while Enhanced Income, Global Balanced and Floating Rate Income are diversified series of the Trust.
As of December 31, 2023, each Fund offers Class A, Class C and Class I shares. Additionally, CIFC Floating Rate Income Fund offers Class C-1 shares. Each class represents an interest in the same assets of the applicable Fund, and the classes are identical except for differences in their sales charge structures and ongoing service and distribution charges. All classes of shares have equal voting privileges except that each class has exclusive voting rights with respect to its service and/or distribution plans.
The following is a summary of significant accounting policies consistently followed by the Funds and are in accordance with accounting principles generally accepted in the United States of America (“GAAP”). Each Fund is an investment company and accordingly follows the investment company accounting and reporting guidance of the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946 “Financial Services – Investment Companies” and Accounting Standards Update (“ASU”) 2013-08.
a) Securities Valuation – Securities listed on an exchange are valued at the last reported sale price at the close of the regular trading session of the exchange on the business day the value is being determined, or in the case of securities listed on NASDAQ, at the NASDAQ Official Closing Price (“NOCP”). In the absence of a sale, such securities shall be valued at the last bid price on the day of valuation. Debt securities, including Bank Loans, (other than short-term obligations) are valued each day by an independent pricing service approved by the Board of Trustees (the “Board”) pursuant to Rule 2a-5 under the 1940 Act using methods which include current market quotations from a major market maker in the securities and based on methods which include the consideration of yields or prices of securities of comparable quality, coupon, maturity and type. The Funds may invest in portfolios of open-end (the “open-end funds”) or closed-end investment companies. Open-end funds are valued at their respective net asset values as reported by such investment companies. The underlying funds value securities in their portfolios for which market quotations are readily available at their market values (generally the last reported sale price) and all other securities and assets at their fair value by the methods established by the boards of directors of the open-end funds. The shares of many closed-end investment companies, after their initial public offering, frequently trade at a price per share, which is different than the net asset value per share. The difference represents a market premium or market discount of such shares. There can be no assurances that the market discount or market premium on shares of any closed-end investment company purchased by the Funds will not change. Short-term debt obligations having 60 days or less remaining until maturity, at time of purchase, may be valued at amortized cost, provided such valuations represent fair value. Options are valued at their closing price on the exchange they are traded on. When no closing price is available, options are valued at their mean price. Futures, which are traded on an exchange, are valued at the settlement price determined by the exchange. Foreign currency and forward currency exchange contracts are valued daily at the London Stock Exchange close each day.
In some circumstances, instead of valuing securities in the usual manner, the Funds may value securities at “fair value” as determined in good faith by the Advisor as valuation designee, pursuant to the 2a-5 procedures (the “Procedures”) approved by the Board. The Procedures consider, among others, the following factors to determine a security’s fair value: the nature and pricing history (if any) of the security; whether any dealer quotations for the security are available; and possible valuation methodologies that could be used to
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CATALYST FUNDS | |
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December 31, 2023 | SEMI-ANNUAL REPORT |
determine the fair value of the security. Fair value may also be used by the Board if extraordinary events occur after the close of the relevant world market but prior to the NYSE close.
Each Fund utilizes various methods to measure the fair value of most of its investments on a recurring basis. GAAP establishes a hierarchy that prioritizes inputs to valuation methods. The three levels of input are:
Level 1 – Unadjusted quoted prices in active markets for identical assets and liabilities that the Funds have the ability to access.
Level 2 – Observable inputs other than quoted prices included in Level 1 that are observable for the asset or liability, either directly or indirectly. These inputs may include quoted prices for the identical instrument in an inactive market, prices for similar instruments, interest rates, prepayment speeds, credit risk, yield curves, default rates and similar data.
Level 3 – Unobservable inputs for the asset or liability, to the extent relevant observable inputs are not available, representing the Funds’ own assumptions about the assumptions a market participant would use in valuing the asset or liability, and would be based on the best information available.
The availability of observable inputs can vary from security to security and is affected by a wide variety of factors, including, for example, the type of security, whether the security is new and not yet established in the marketplace, the liquidity of markets, and other characteristics particular to the security. To the extent that valuation is based on models or inputs that are less observable or unobservable in the market, the determination of fair value requires more judgment. Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3.
The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the level in the fair value hierarchy within which the fair value measurement falls in its entirety, is determined based on the lowest level input that is significant to the fair value measurement in its entirety.
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. The following tables summarize the inputs used as of December 31, 2023 for each Fund’s assets and liabilities measured at fair value:
Insider Income | ||||||||||||||||
Assets(a) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Convertible Bonds | $ | — | $ | 30,142,255 | $ | — | $ | 30,142,255 | ||||||||
Corporate Bonds | — | 26,056,693 | — | 26,056,693 | ||||||||||||
Short-Term Investment | 872,554 | — | 872,554 | |||||||||||||
Total Assets | $ | 872,554 | $ | 56,198,948 | $ | — | $ | 57,071,502 | ||||||||
Enhanced Income | ||||||||||||||||
Assets(a) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Asset Backed Securities | $ | — | $ | 226,561,671 | $ | — | $ | 226,561,671 | ||||||||
U.S. Government & Agency Obligations | — | 22,715,896 | — | 22,715,896 | ||||||||||||
Short-Term Investment | 4,073,003 | — | — | 4,073,003 | ||||||||||||
Total Assets | $ | 4,073,003 | $ | 249,277,567 | $ | — | $ | 253,350,570 |
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December 31, 2023 | SEMI-ANNUAL REPORT |
Global Balanced | ||||||||||||||||
Assets(a) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks | $ | 7,506,687 | $ | — | $ | — | $ | 7,506,687 | ||||||||
Exchange-Traded Fund | 347,735 | — | — | 347,735 | ||||||||||||
Corporate Bonds | — | 4,429,396 | — | 4,429,396 | ||||||||||||
U.S. Government & Agencies | — | 1,370,847 | — | 1,370,847 | ||||||||||||
Certificates of Deposit | — | 1,205,766 | — | 1,205,766 | ||||||||||||
Short-Term Investment | 169,595 | — | — | 169,595 | ||||||||||||
Total Assets | $ | 8,024,017 | $ | 7,006,009 | $ | — | $ | 15,030,026 | ||||||||
Floating Rate Income | ||||||||||||||||
Assets(a) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Exchange-Traded Funds | $ | 9,680,410 | $ | — | $ | — | $ | 9,680,410 | ||||||||
Asset Backed Securities | — | 20,304,729 | — | 20,304,729 | ||||||||||||
Corporate Bonds | — | 8,403,549 | — | 8,403,549 | ||||||||||||
Term Loans | — | 315,771,869 | — | 315,771,869 | ||||||||||||
Short-Term Investment | 39,812,120 | — | — | 39,812,120 | ||||||||||||
Total Assets | $ | 49,492,530 | $ | 344,480,147 | $ | — | $ | 393,972,677 | ||||||||
High Income | ||||||||||||||||
Assets(a) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Preferred Stock | $ | 377,491 | $ | — | $ | — | $ | 377,491 | ||||||||
Convertible Bonds | — | 735,000 | — | 735,000 | ||||||||||||
Corporate Bonds | — | 12,923,131 | 0 | 12,923,131 | ||||||||||||
Money Market Fund | 997,760 | — | — | 997,760 | ||||||||||||
Total | 1,375,251 | 13,658,131 | 0 | 15,033,382 | ||||||||||||
Collateral For Securities Loaned(b) | 4,763,599 | |||||||||||||||
Total Assets | $ | 19,796,981 | ||||||||||||||
Total Return Income | ||||||||||||||||
Assets(a) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks | $ | 5,709,876 | $ | — | $ | — | $ | 5,709,876 | ||||||||
Exchange-Traded Fund | 261,578 | — | — | 261,578 | ||||||||||||
Convertible Bonds | — | 1,481,188 | — | 1,481,188 | ||||||||||||
Corporate Bonds | — | 9,481,762 | 0 | 9,481,762 | ||||||||||||
Money Market Fund | 164,107 | — | — | 164,107 | ||||||||||||
Total | 6,135,561 | 10,962,950 | 0 | 17,098,511 | ||||||||||||
Collateral For Securities Loaned(b) | 7,114,169 | |||||||||||||||
Total Assets | $ | 24,212,680 |
Insider Income, Enhanced Income, Global Balanced and Floating Rate Income did not hold any Level 3 securities during the period. High Income and Total Return Income held level 3 securities. A reconciliation used in determining High Income’s and Total Return Income’s Level 3 securities is shown in the Level 3 Input table below.
(a) | Refer to the Schedule of Investments for security details. |
(b) | In accordance with Subtopic 820-10, certain investments that are measured at fair value using the net asset value per share (or its equivalent) have not been classified in the fair value hierarchy. The fair value amount presented in this table is intended to permit reconciliation of the fair value hierarchy to the amounts presented in the Statements of Assets and Liabilities. |
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CATALYST FUNDS | |
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The following is a reconciliation for which Level 3 inputs were used in determining value:
High Income | Total Return Income | |||||||
Energy Conversion | Energy Conversion | |||||||
Devices, Inc. | Devices, Inc. | |||||||
Corporate Bond | Corporate Bond | |||||||
Beginning balance June 30, 2023 | $ | 0 | $ | 0 | ||||
Purchases | — | — | ||||||
Total realized gain/(loss) | — | — | ||||||
Change in unrealized depreciation | — | — | ||||||
Proceeds from sale/maturities/calls | — | — | ||||||
Capital distribution | — | — | ||||||
Net transfers in/(out) of Level 3 | — | — | ||||||
Ending balance December 31, 2023 | $ | 0 | $ | 0 |
The total change in unrealized appreciation/(depreciation) included in the Statements of Operations attributable to Level 3 investments still held at December 31, 2023, was $0 for High Income and $0 for Total Return Income.
Quantitative disclosures of unobservable inputs and assumptions used by High Income and Total Return Income are below.
Fund | Investment Type | Fair Value | Valuation Methodology | Unobservable Input Type | Market Value impact if input increases |
High Income | Corporate Bonds | $0 | Bankruptcy | Potential Future Cash Payments | Increase |
Total Return Income | Corporate Bonds | $0 | Bankruptcy | Potential Future Cash Payments | Increase |
Fair value securities as a percent of net assets at December 31, 2023, were 0.0% and 0.0% for High Income and Total Return Income, respectively.
b) Accounting for Options – The Funds are subject to equity price risks in the normal course of pursuing their investment objectives and may purchase or sell options to help hedge against risk. When the Funds write a call or put option, an amount equal to the premium received is included in the Statements of Assets and Liabilities as a liability. The amount of the liability is subsequently marked-to-market to reflect the current market value of the option. If an option expires on its stipulated expiration date or if the Funds enter into a closing purchase transaction, a gain or loss is realized. If a written put option is exercised, the purchase cost of the underlying security is reduced by the premium originally received. If a written call option is exercised, a gain or loss is realized for the sale of the underlying security and the proceeds from the sale are increased by the premium originally received. As writer of an option, the Funds have no control over whether the option will be exercised and, as a result, retain the market risk of an unfavorable change in the price of the security underlying the written option.
Certain Funds may purchase put and call options. Put options are purchased to hedge against a decline in the value of securities held in a Fund’s portfolio. If such a decline occurs, the put options will permit the Fund to sell the securities underlying such options at the exercise price, or to close out the options at a profit. The premium paid for a put or call option plus any transaction costs will reduce the benefit, if any, realized by the Fund upon exercise of the option, and, unless the price of the underlying security rises or declines sufficiently, the option may expire worthless to the Fund. In addition, in the event that the price of the security in connection with which an option was purchased moves in a direction favorable to the Fund, the benefits realized by the Fund as a result of such favorable movement will be reduced by the amount of the premium paid for the option and related transaction costs. Written and purchased options are non-income producing securities. With purchased options, there is minimal counterparty risk to the Funds since these options are exchange traded and the exchange’s clearinghouse, as counterparty to all exchange traded options, guarantees against a possible default. Initial margin deposits required upon entering into options contracts are satisfied by the deposits of cash as collateral for the account of the broker (the relevant Fund’s agent in acquiring the options). For the period ended December 31, 2023, Global Balanced invested in options.
Foreign Currency – All assets and liabilities denominated in foreign currencies are translated into U.S. dollars based on the rate of exchange of such currencies against U.S. dollars on the date of valuation. Purchases and sales of securities and income and expenses are translated at the rate of exchange quoted on the respective date that such transactions are recorded. The Funds do not isolate the portion of the
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CATALYST FUNDS | |
NOTES TO FINANCIAL STATEMENTS (Unaudited) (Continued) | |
December 31, 2023 | SEMI-ANNUAL REPORT |
results of operations for realized gain and losses resulting from changes in foreign exchange rates on investments from the fluctuations arising from changes in market prices of securities held. Unrealized gains and losses resulting from changes in foreign exchange rates on investments are not isolated from changes in the valuation of securities held.
Derivatives Risk – The use of derivative instruments, such as forwards, interest rate swaps, futures and options, involves risks different from, or possibly greater than, the risks associated with investing directly in securities and other traditional investments. These risks include (i) the risk that the counterparty to a derivative transaction may not fulfill its contractual obligations; (ii) risk of mispricing or improper valuation; and (iii) the risk that changes in the value of the derivative may not correlate perfectly with the underlying asset, rate or index. Derivative prices are highly volatile and may fluctuate substantially during a short period of time. Such prices are influenced by numerous factors that affect the markets, including, but not limited to: changing supply and demand relationships; government programs and policies; national and international political and economic events, changes in interest rates, inflation and deflation and changes in supply and demand relationships. Trading derivative instruments involves risks different from, or possibly greater than, the risks associated with investing directly in securities.
Credit Risk – Credit risk relates to the ability of the issuer to meet interest and principal payments, or both, as they come due. In general, lower-grade, higher-yield bonds are subject to credit risk to a greater extent than lower-yield, higher-quality bonds.
Foreign Exchange Rate Risk – Foreign exchange rate risk relates to the change in the U.S. dollar value of a security held that is denominated in a foreign currency. The U.S. dollar value of a foreign currency denominated security will decrease as the dollar appreciates against the currency, while the U.S. dollar value will increase as the dollar depreciates against the currency.
Interest Rate Risk – Interest rate risk refers to the fluctuations in value of fixed-income securities resulting from the inverse relationship between price and yield. For example, an increase in general interest rates will tend to reduce the market value of already issued fixed-income investments, and a decline in general interest rates will tend to increase their value. In addition, debt securities with longer maturities, which tend to have higher yields, are subject to potentially greater fluctuations in value from changes in interest rates than obligations with shorter maturities.
Volatility Risk – Volatility risk refers to the magnitude of the movement, but not the direction of the movement, in a financial instrument’s price over a defined time period. Large increases or decreases in a financial instrument’s price over a relative time period typically indicate greater volatility risk, while small increases or decreases in its price typically indicate lower volatility risk.
Market Risk – Overall market risks may also affect the value of the Funds. The market values of securities or other investments owned by the Funds will go up or down, sometimes rapidly or unpredictably. Factors such as economic growth and market conditions, interest rate levels, exchange rates and political events affect the securities markets. Changes in market conditions and interest rates generally do not have the same impact on all types of securities and instruments. Unexpected local, regional or global events and their aftermath, such as war; acts of terrorism; financial, political or social disruptions; natural, environmental or man-made disasters; climate-change and climate related events; the spread of infectious illnesses or other public health issues; recessions and depressions; or other tragedies, catastrophes and events could have a significant impact on the Funds and their investments and could result in increased premiums or discounts to a Fund’s net asset value, and may impair market liquidity, thereby increasing liquidity risk. Such events can cause investor fear and panic, which can adversely affect the economies of many companies, sectors, nations, regions and the market in general, in ways that cannot necessarily be foreseen. The Funds could lose money over short periods due to short-term market movements and over longer periods during more prolonged market downturns. During a general market downturn, multiple asset classes may be negatively affected. In times of severe market disruptions, you could lose your entire investment.
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CATALYST FUNDS | |
NOTES TO FINANCIAL STATEMENTS (Unaudited) (Continued) | |
December 31, 2023 | SEMI-ANNUAL REPORT |
Derivatives are not accounted for as hedging instruments under GAAP. The effect of derivative instruments on the Statements of Operations for the six months ended December 31, 2023, was as follows:
Realized and unrealized | ||||||||||
Fund | Derivative | Risk Type | Location of gain (loss) on derivatives | gain (loss) on derivatives | ||||||
Global Balanced | ||||||||||
Options written | Equity | Net realized gain on options written | $ | 30,848 | ||||||
Options written | Equity | Net change in unrealized depreciation on options written | $ | (28,436 | ) | |||||
Totals | $ | 2,412 |
The notional value of derivative instruments outstanding as of December 31, 2023, as disclosed in the Schedules of Investments and the amounts realized and changes in unrealized gains and losses on derivative instruments during the six months as disclosed above and within the Statements of Operations serve as indicators of the volume of derivative activity for the Funds.
c) Investment Companies – Some Funds may invest in other investment companies, including closed-end funds and exchange traded funds (“ETFs”). ETFs are a type of fund bought and sold on a securities exchange. An ETF trades like common stock and represents a portfolio of securities. The risks of owning an ETF generally reflect the risks of owning the underlying securities, although the lack of liquidity on an ETF could result in it being more volatile. Additionally, ETFs have fees and expenses that reduce their value.
Underlying funds in which the Funds invest are subject to investment advisory and other expenses, which will be indirectly paid by the Funds. As a result, the cost of investing in the Funds will be higher than the cost of investing directly in the underlying funds and may be higher than other mutual funds that invest directly in stocks and bonds. Each of the underlying funds is subject to its own specific risks, but the advisor/sub-advisor expects the principal investments risks of such underlying funds will be similar to the risks of investing in the Funds.
d) Federal Income Tax – The Funds have qualified and intend to continue to qualify as regulated investment companies and to comply with the applicable provisions of the Internal Revenue Code of 1986, as amended, and to distribute substantially all of their taxable income to their shareholders. Therefore, no federal income or excise tax provisions are required.
As of and during the year or period ended December 31, 2023, the Funds did not have a liability for any unrecognized tax expense. The Funds recognize interest and penalties, if any, related to unrecognized tax expense as income tax expense in the Statements of Operations. As of December 31, 2023, the Funds did not incur any interest or penalties. As required, management has analyzed the Funds’ tax positions taken on Federal income tax returns for all open tax years (tax years or periods ended 2021-2023 for the Funds) or expected to be taken in 2024 and has concluded that no provision for income tax is required in these financial statements. The tax filings are open for examination by applicable taxing authorities, including the Internal Revenue Service. No examinations of the Funds’ filings are presently in progress.
e) Security Transactions and Investment Income – Investment and shareholder transactions are recorded on trade date. The Funds determine the gain or loss realized from the investment transactions by comparing the original cost of the security lot sold with the net sales proceeds. Dividend income is recognized on the ex-dividend date or as soon as information is available to the Funds and interest income is recognized on an accrual basis. Discounts and premiums on debt securities are amortized over their respective lives using the effective interest method, except certain callable debt securities that are held at premium and will be amortized to the earliest call date. Withholding taxes on foreign dividends have been provided for in accordance with the Funds’ understanding of the applicable country’s tax rules and rates. Distributions received from a Fund’s investments in MLPs generally are comprised of income and return of capital. The Funds record these distributions as investment income and subsequently adjusts these distributions within the components of net assets based upon their tax treatment when the information becomes available.
f) Multiple Class Allocations – Income, non-class specific expenses and realized/unrealized gains or losses are allocated to each class based on relative net assets. Distribution fees are charged to each respective share class in accordance with the distribution plan.
g) Expenses of the Trust that are directly identifiable to a specific fund are charged to that fund. Expenses, which are not readily identifiable to a specific fund, are allocated in such a manner as deemed equitable, taking into consideration the nature and type of expense and the relative sizes of the funds in the Trust.
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December 31, 2023 | SEMI-ANNUAL REPORT |
h) Distribution to Shareholders – Distributions to shareholders, which are determined in accordance with income tax regulations and may differ from GAAP, are recorded on the ex-dividend date. The following table summarizes each Fund’s dividend and capital gain declaration policy:
Fund | Income Dividends | Capital Gains | ||||
Insider Income | Daily | Annually | ||||
Enhanced Income | Monthly | Annually | ||||
Global Balanced | Quarterly | Annually | ||||
Floating Rate Income | Daily | Annually | ||||
High Income | Monthly | Annually | ||||
Total Return Income | Monthly | Annually |
i) Use of Estimates – The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates.
j) Indemnification – The Trust indemnifies its Officers and Trustees for certain liabilities that may arise from the performance of their duties to the Trust. Additionally, in the normal course of business, the Funds enter into contracts that contain a variety of representations and warranties and which provide general indemnities. The Funds’ maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Funds that have not yet occurred. However, based on experience, the risk of loss due to these warranties and indemnities appears to be remote.
k) Redemption Fees and Sales Charges (loads) – A wire transfer fee of $15 may be charged to defray custodial charges for redemptions paid by wire transfer. A maximum sales charge of 5.75% is imposed on Class A shares of the Global Balanced and Total Return Income. A maximum sales charge of 4.75% is imposed on Class A shares of the Insider Income, Enhanced Income, Floating Rate Income, and High Income. Investments in Class A shares made at or above the $1 million breakpoint are not subject to an initial sales charge and may be subject to a 1% contingent deferred sales charge (“CDSC”) on shares redeemed within two years of purchase (excluding shares purchased with reinvested dividends and/or distributions). A CDSC of 1.00% is imposed on Class C-1 in the event of certain redemption transactions within one year following such investments. The respective shareholders pay such CDSC charges, which are not an expense of the Funds. During the six months ended December 31, 2023 there were no CDSC fees paid by the shareholders of the Funds.
l) Cash – The Funds consider their investments in an FDIC insured interest bearing savings account to be cash. The Funds maintain cash balances, which, at times, may exceed federally insured limits. The Funds maintain these balances with a high quality financial institution.
m) Distributions from REITS – Distribution from REITs are initially recorded as dividend income and, to the extent such represent a return of capital or capital gain for tax purposes, are reclassified when such information becomes available.
(2) | INVESTMENT TRANSACTIONS |
For the six months ended December 31, 2023, aggregate purchases and proceeds from sales of investment securities (excluding short-term investments) for the Funds were as follows:
Fund | Purchases | Sales | ||||||
Insider Income | $ | 8,383,777 | $ | 12,557,298 | ||||
Enhanced Income | 6,227,483 | 140,277,814 | ||||||
Global Balanced | 2,614,237 | 4,233,567 | ||||||
Floating Rate Income | 282,926,299 | 153,829,748 | ||||||
High Income | 911,019 | 927,130 | ||||||
Total Return Income | 1,611,095 | 1,491,426 |
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CATALYST FUNDS | |
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December 31, 2023 | SEMI-ANNUAL REPORT |
(3) | INVESTMENT ADVISORY AGREEMENT AND OTHER RELATED PARTY TRANSACTIONS |
CCA acts as investment advisor for the Funds pursuant to the terms of a Investment Advisory Agreement with the Trust, on behalf of the Funds (the “Investment Advisory Agreement”). Under the terms of the Investment Advisory Agreement, the Advisor manages the investment operations of the Funds in accordance with each Fund’s respective investment policies and restrictions. The investment sub-advisors are responsible for the day-to-day management of their Fund’s portfolios. The Advisor provides the Funds with investment advice and supervision and furnishes an investment program for the Funds. For its investment advisory services, the Funds pay to the Advisor, as of the last day of each month, an annualized fee as shown in the below table, such fees are to be computed daily based upon daily average net assets of the Funds. The Funds’ sub-advisors are paid by the Advisor, not the Funds.
The Advisor and the Trust, with respect to the Funds have entered into Expense Limitation Agreements (the “Expense Limitation” ) under which the Advisor has contractually agreed to waive fees and/or reimburse expenses to the extent necessary to maintain total annual operating expenses (excluding brokerage costs; borrowing costs, such as (a) interest and (b) dividends on securities sold short; taxes; underlying fund expenses; and extraordinary expenses such as regulatory inquiry and litigation expenses) do not exceed the expense limitation shown in the table below based on each Fund’s average daily net assets.
For the six months ended December 31, 2023, the Advisor waived management fees and reimbursed expenses. The Advisor may recapture a portion of the waived and/or reimbursed amounts. The Advisor may seek reimbursement only for fees waived or expenses reimbursed by a Fund within the three years following the date the waiver and/or reimbursement was incurred if the Fund is able to make the repayment without exceeding the limitation in effect at that time of the waiver and the limitation in effect at the time of recoupment, no later than the dates as stated below:
Investment Advisory | ||||||||||||||||
Fees Waived/ | ||||||||||||||||
Investment | Expense Limitation | Expenses | ||||||||||||||
Fund | Advisory Fee | Cl A | Cl C | Cl I | Cl C-1 | Expires | Reimbursed | |||||||||
Insider Income | 0.75% | 1.00% | 1.75% | 0.75% | N/A | 10/31/2024 | $ | 126,186 | ||||||||
Enhanced Income | 1.50% | 1.75% | 2.50% | 1.50% | N/A | 10/31/2024 | 538,957 | |||||||||
Global Balanced | 1.00% | 1.22% | 1.97% | 0.97% | N/A | 10/31/2024 | 89,104 | |||||||||
Floating Rate Income | 1.00% | 1.15% | 1.90% | 0.90% | 1.90% | 10/31/2024 | 507,900 | |||||||||
High Income | 1.00% | 1.48% | 2.23% | 1.23% | N/A | 10/31/2024 | 71,861 | |||||||||
Total Return Income | 1.00% | 1.58% | 2.33% | 1.33% | N/A | 10/31/2024 | 57,035 |
Recapture Expires | ||||||||||||
June 30, | ||||||||||||
Fund | 2024 | 2025 | 2026 | |||||||||
Insider Income | $ | 272,702 | $ | 372,543 | $ | 292,989 | ||||||
Enhanced Income | 646,409 | 1,120,683 | 1,401,166 | |||||||||
Global Balanced | 169,008 | 161,770 | 167,066 | |||||||||
Floating Rate Income | 535,848 | 785,104 | 947,927 | |||||||||
High Income | 111,458 | 117,270 | 127,991 | |||||||||
Total Return Income | 92,056 | 83,714 | 100,308 |
A Trustee is also the controlling member of MFund Services, LLC (“MFund”) and the Advisor, and is not paid any fees directly by the Trust for serving as a Trustee.
Trustees who are not “interested persons” as that term is defined in the 1940 Act, are paid a quarterly retainer and receive compensation for each special Board meeting and Risk and Compliance Committee meeting attended. The fees paid to the Independent Trustees for their attendance at a meeting will be shared equally by the funds of the Trust in which the meeting relates. The Lead Independent Trustee of the Trust and, the Chairmen of the Trust’s Audit Committee and the Risk and Compliance Committee Chairmen receive an additional quarterly retainer. The “interested persons” of the Trust receive no compensation from the Funds. The Trust reimburses each Trustee and Officer for his or her travel and other expenses related to attendance at such meetings.
72
CATALYST FUNDS | |
NOTES TO FINANCIAL STATEMENTS (Unaudited) (Continued) | |
December 31, 2023 | SEMI-ANNUAL REPORT |
The Board has adopted the Trust’s Master Distribution and Shareholder Servicing Plan (the “Plan”) pursuant to rule 12b-1 under the 1940 Act. Each class of shares, excluding Class I shares, allows the Funds to pay distribution and shareholder servicing expenses of up to 0.50% per annum for the Class A shares and up to 1.00% for the Class C and Class C-1 shares based on average daily net assets of each class. The Class A shares are currently paying 0.25% per annum of 12b-1 fees and Class C and Class C-1 shares are currently paying 1.00% per annum of 12b-1 fees. The Plan for Class I Shares of Enhanced Income Fund allows the Fund to pay distribution and shareholder servicing expenses of up to 0.25% per annum of the average daily net assets of the Fund’s Class I Shares, although the Fund is not currently paying 12b-1 fees and there are no plans to impose those fees. The fee may be used for a variety of purposes, including compensating dealers and other financial service organizations for eligible services provided by those parties to the Funds and their shareholders and to reimburse Northern Lights Distributors, LLC (the “Distributor”) and Advisor for distribution related expenses. Brokers may receive a 1.00% commission from the Distributor for the sale of Class C and Class C-1 shares. Alt Fund Distributors LLC, acts as a wholesale marketing and distribution agent for the Funds. As compensation for these services, Alt Fund Distributors is entitled to reimbursement, through the Funds’ Rule 12b-1 Plan, of expenses attributable to sales of Fund shares including marketing materials, broker commission financing costs, and wholesaling fees.
Pursuant to the Management Services Agreement between the Trust and MFund, MFund, an affiliate of the Advisor, MFund provides the Funds with various management and legal administrative services (the “Management Services Agreement”). For these services, the Funds pay MFund an annual asset-based fee in accordance with the following schedule applied at the Fund family level (i.e., all the Funds in the Trust advised by the Advisor): 0.10% of net assets up to $50 million; 0.07% of net assets from $50 million to $100 million; 0.05% of net assets from $100 million to $250 million; 0.04% of net assets from $250 million to $500 million; 0.03% of net assets from $500 million to $1 billion; 0.02% of net assets from $1 billion to $5 billion; and 0.01% of assets from $5 billion and above. In addition, the Funds reimburse MFund for any reasonable out - of- pocket expenses incurred in the performance of its duties under the Management Services Agreement. The amounts due to MFund for the Management Services Agreement are listed in the Statements of Assets and Liabilities under “Payable to related parties” and the amounts accrued for the year are shown in the Statements of Operations under “Legal administration/Management service fees.”
Pursuant to the Compliance Services Agreement (the “Compliance Services Agreement”), MFund, provides chief compliance officer services to the Funds. For these services, the Funds pay MFund $1,200 per month for the first fund in the fund family and $400 each additional fund; $400 for each adviser and sub-adviser; and .0025% of the assets of each Fund. In addition, the Funds reimburse MFund for any reasonable out-of-pocket expenses incurred in the performance of its duties under the Compliance Services Agreement. The amounts due to MFund for chief compliance officer services are listed in the Statements of Assets and Liabilities under “Compliance Officer fees payable” and the amounts accrued for the year are shown in the Statements of Operations under “Compliance Officer fees.”
In addition, certain affiliates of the Distributor provide services to the Funds as follows:
Ultimus Fund Solutions, LLC (“UFS”) – an affiliate of the Distributor, provides administrative, fund accounting, and transfer agency services to the Funds pursuant to agreements with the Trust, for which it receives from each Fund: (i) basis points in decreasing amounts as assets reach certain breakpoints; and (ii) any related out-of-pocket expenses. Officers of the Trust are also employees of UFS, and are not paid any fees directly by the Trust for serving in such capacity.
Blu Giant, LLC (“Blu Giant”) – Blu Giant, an affiliate of the Distributor and UFS, provides EDGAR conversion and filing services as well as print management services for the Funds on an ad-hoc basis. For the provision of these services, Blu Giant receives customary fees from the Funds.
For the six months ended December 31, 2023, the 12b-1 expenses accrued by the Funds were as follows:
12b-1 Fees | ||||||||||||
Fund | Class A | Class C | Class C-1 | |||||||||
Insider Income | $ | 5,519 | $ | 14,317 | N/A | |||||||
Enhanced Income | 31,441 | 83,224 | N/A | |||||||||
Global Balanced | 2,704 | 26,660 | N/A | |||||||||
Floating Rate Income | 25,902 | 127,204 | 6 | |||||||||
High Income | 9,618 | 10,040 | N/A | |||||||||
Total Return Income | 7,536 | 14,089 | N/A |
73
CATALYST FUNDS | |
NOTES TO FINANCIAL STATEMENTS (Unaudited) (Continued) | |
December 31, 2023 | SEMI-ANNUAL REPORT |
(4) | AGGREGATE UNREALIZED APPRECIATION AND DEPRECIATION – TAX BASIS |
Gross | Gross | Net Unrealized | ||||||||||||||
Unrealized | Unrealized | Appreciation | ||||||||||||||
Fund | Tax Cost | Appreciation | Depreciation | (Depreciation) | ||||||||||||
Insider Income | $ | 58,390,772 | $ | 491,315 | $ | (1,810,585 | ) | $ | (1,319,270 | ) | ||||||
Enhanced Income | 319,383,633 | 3,149,127 | (69,182,190 | ) | (66,033,063 | ) | ||||||||||
Global Balanced | 14,163,184 | 1,741,126 | (874,284 | ) | 866,842 | |||||||||||
Floating Rate Income | 393,115,738 | 3,559,264 | (2,702,325 | ) | 856,939 | |||||||||||
High Income | 23,889,143 | 381,593 | (4,473,755 | ) | (4,092,162 | ) | ||||||||||
Total Return Income | 27,974,999 | 778,291 | (4,540,610 | ) | (3,762,319 | ) |
(5) | DISTRIBUTIONS TO SHAREHOLDERS AND TAX COMPONENTS OF CAPITAL |
The tax character of distributions paid for the years ended June 30, 2023 and June 30, 2022 was as follows:
For fiscal year ended | Ordinary | Long-Term | Return of | |||||||||||||
6/30/2023 | Income | Capital Gains | Capital | Total | ||||||||||||
Catalyst Insider Income Fund | $ | 3,798,325 | $ | 2,433 | $ | — | $ | 3,800,758 | ||||||||
Catalyst Enhanced Income Strategy Fund | 33,822,370 | — | — | 33,822,370 | ||||||||||||
Catalyst/MAP Global Balanced Fund | 289,031 | 100,532 | — | 389,563 | ||||||||||||
Catalyst/CIFC Floating Rate Income Fund | 17,581,441 | — | — | 17,581,441 | ||||||||||||
Catalyst/SMH High Income Fund | 971,976 | — | — | 971,976 | ||||||||||||
Catalyst/SMH Total Return Income Fund | 815,999 | — | — | 815,999 | ||||||||||||
For fiscal year ended | Ordinary | Long-Term | Return of | |||||||||||||
6/30/2022 | Income | Capital Gains | Capital | Total | ||||||||||||
Catalyst Insider Income Fund | $ | 2,877,702 | $ | 324,662 | $ | — | $ | 3,202,364 | ||||||||
Catalyst Enhanced Income Strategy Fund | 30,064,669 | — | — | 30,064,669 | ||||||||||||
Catalyst/MAP Global Balanced Fund | 415,518 | 737,318 | — | 1,152,836 | ||||||||||||
Catalyst/CIFC Floating Rate Income Fund | 7,372,581 | — | — | 7,372,581 | ||||||||||||
Catalyst/SMH High Income Fund | 1,175,770 | — | 29,413 | 1,205,183 | ||||||||||||
Catalyst/SMH Total Return Income Fund | 639,425 | — | 322,424 | 961,849 |
As of June 30, 2023, the components of accumulated earnings/(losses) on a tax basis were as follows:
Undistributed | Undistributed | Post October Loss | Capital Loss | Other | Unrealized | Total | ||||||||||||||||||||||
Ordinary | Long-Term | and | Carry | Book/Tax | Appreciation/ | Accumulated | ||||||||||||||||||||||
Income | Capital Gains | Late Year Loss | Forwards | Differences | (Depreciation) | Earnings/(Losses) | ||||||||||||||||||||||
Catalyst Insider Income Fund | $ | 99,121 | $ | — | $ | (4,509,769 | ) | $ | (3,849,616 | ) | $ | (26,853 | ) | $ | (2,608,322 | ) | $ | (10,895,439 | ) | |||||||||
Catalyst Enhanced Income Strategy Fund | 322,698 | — | (17,244,128 | ) | (9,923,939 | ) | — | (76,757,629 | ) | (103,602,998 | ) | |||||||||||||||||
Catalyst/MAP Global Balanced Fund | 35,886 | 416,820 | — | — | — | 799,075 | 1,251,781 | |||||||||||||||||||||
Catalyst/CIFC Floating Rate Income Fund | 442,675 | — | (5,398,488 | ) | (14,198,001 | ) | (235,889 | ) | (6,190,206 | ) | (25,579,909 | ) | ||||||||||||||||
Catalyst/SMH High Income Fund | 29,176 | — | (647,999 | ) | (30,107,465 | ) | — | (5,437,906 | ) | (36,164,194 | ) | |||||||||||||||||
Catalyst/SMH Total Return Income Fund | 35,491 | — | — | (17,241,745 | ) | — | (5,242,812 | ) | (22,449,066 | ) |
The difference between book basis and tax basis accumulated earnings (losses) is primarily attributable to the tax deferral of losses on wash sales, dividends payable, deemed dividend distributions, perpetual bonds and C-Corporation adjustments, and dividend distributions from business development companies. In addition, the amount listed under other book/tax differences is primarily attributable to dividends payable. The unrealized appreciation (depreciation) in the table above may include unrealized foreign currency gains (losses).
74
CATALYST FUNDS | |
NOTES TO FINANCIAL STATEMENTS (Unaudited) (Continued) | |
December 31, 2023 | SEMI-ANNUAL REPORT |
Capital losses incurred after October 31 within the fiscal year are deemed to arise on the first business day of the following fiscal year for tax purposes. The following Funds incurred and elected to defer such capital losses as follows:
Post October | ||||
Losses | ||||
Catalyst Insider Income Fund | $ | 4,509,769 | ||
Catalyst Enhanced Income Strategy Fund | 17,244,128 | |||
Catalyst/MAP Global Balanced Fund | — | |||
Catalyst/CIFC Floating Rate Income Fund | 5,398,488 | |||
Catalyst/SMH High Income Fund | 647,999 | |||
Catalyst/SMH Total Return Income Fund | — |
At June 30, 2023, the Funds below had capital loss carry forwards for federal income tax purposes available to offset future capital gains, along with capital loss carry forwards utilized, as follows:
Non - Expiring | CLCF | |||||||||||||||
Short-Term | Long-Term | Total | Utilized | |||||||||||||
Catalyst Insider Income Fund | $ | 2,447,741 | $ | 1,401,875 | $ | 3,849,616 | $ | — | ||||||||
Catalyst Enhanced Income Strategy Fund | 5,744,032 | 4,179,907 | 9,923,939 | — | ||||||||||||
Catalyst/MAP Global Balanced Fund | — | — | — | — | ||||||||||||
Catalyst/CIFC Floating Rate Income Fund | 5,290,350 | 8,907,651 | 14,198,001 | — | ||||||||||||
Catalyst/SMH High Income Fund | — | 30,107,465 | 30,107,465 | — | ||||||||||||
Catalyst/SMH Total Return Income Fund | — | 17,241,745 | 17,241,745 | 375,193 |
During the fiscal year ended June 30, 2023, certain of the Funds utilized tax equalization which is the use of earnings and profits distributions to shareholders on redemption of shares as part of the dividends paid deduction for income tax purposes. Permanent book and tax differences, primarily attributable to distributions in excess, and equalization credits resulted in reclassification for the following Funds for the year ended June 30, 2023 as follows:
Paid In | Accumulated | |||||||
Capital | Earnings (Losses) | |||||||
Catalyst Insider Income Fund | $ | — | $ | — | ||||
Catalyst Enhanced Income Strategy Fund | — | — | ||||||
Catalyst/MAP Global Balanced Fund | 95,953 | (95,953 | ) | |||||
Catalyst/CIFC Floating Rate Income Fund | — | — | ||||||
Catalyst/SMH High Income Fund | — | — | ||||||
Catalyst/SMH Total Return Income Fund | (29,165 | ) | 29,165 |
75
CATALYST FUNDS | |
NOTES TO FINANCIAL STATEMENTS (Unaudited) (Continued) | |
December 31, 2023 | SEMI-ANNUAL REPORT |
(6) | LINE OF CREDIT |
Currently, the Funds have a $150,000,000 uncommitted line of credit provided by U.S. Bank National Association (the “Bank”) under an agreement (the “Uncommitted Line”). Any advance under the Uncommitted Line is contemplated primarily for temporary or emergency purposes, including the meeting of redemption requests that otherwise might require the untimely disposition of securities. Interest on borrowings is payable on an annualized basis. The Uncommitted Line is not a “committed” line of credit, which is to say that the Bank is not obligated to lend money to the Funds. Accordingly, it is possible that the Funds may wish to borrow money for a temporary or emergency purpose but may not be able to do so. During the six months ended December 31, 2023, Global Balanced, High Income, and Total Return Income did not access the line of credit. The Funds accessed the line of credit, based only on the days borrowed, as follows:
Average Amount | Outstanding | |||||||||||||||||
Borrowings | Number of | Interest | Average | Borrowings | ||||||||||||||
Outstanding | Days Outstanding | Expense (1) | Interest Rate | 12/31/2023 | ||||||||||||||
Insider Income | $ | 93,000 | 3 | $ | 66 | 8.50% | $ | — | ||||||||||
Enhanced Income | 4,325,874 | 87 | 88,860 | 8.50% | — |
(1) | Includes only Interest Expense for the six months ended December 31, 2023 and may not agree back to the Statements of Operations, which also may include overdrafts, line of credit fees, and broker interests. |
(7) | UNDERLYING INVESTMENTS IN OTHER INVESTMENT COMPANIES |
Each underlying fund, including each ETF, is subject to specific risks, depending on the nature of the underlying fund. These risks could include liquidity risk, sector risk, foreign and related currency risk, as well as risks associated with real estate investments and commodities. Investors in the Funds will indirectly bear fees and expenses charged by the underlying investment companies in which the Funds invest in addition to the Funds’ direct fees and expenses.
The performance of the High Income and Total Return Income Funds will be directly affected by the performance of the Mount Vernon Liquid Assets Portfolio, LLC. The financial statements of the Mount Vernon Liquid Assets Portfolio, LLC, including the Schedule of Investments, can be found at the Securities and Exchange Commission’s (“SEC”) website www.sec.gov and should be read in conjunction with the Funds’ financial statements. As of December 31, 2023, the percentage of the High Income and Total Return Income Funds’ net assets invested in Mount Vernon Liquid Assets Portfolio, LLC was 30.8% and 41.1%, respectively.
(8) | SECURITIES LENDING |
The Funds have entered into a Securities Lending Agreement with the Bank. Each participating Fund can lend its securities to brokers, dealers and other financial institutions approved by the Board to earn additional income. Loans are collateralized at a value at least equal to 105% of the then current market value of any loaned security that are foreign, or 102% of the then current market value of any other loaned security. All interest and dividend payments received on securities which are held on loan, provided that there is no material default, will be paid to the respective Fund. A portion of the income generated by the investment in the Funds collateral, net of any rebates paid by the Bank to the borrowers is remitted to the Bank as lending agent and the remainder is paid to the Fund(s).
Securities lending income, if any, is disclosed in the Funds’ Statements of Operations and is net of fees retained by the counterparty. Although risk is mitigated by the collateral, the Funds could experience a delay in recovering their securities and possible loss of income or value if the Borrower fails to return them. Should the borrower of the securities fail financially, each Fund has the right to repurchase the securities using the collateral in the open market. The remaining contractual maturity of all securities lending transactions are overnight and continuous.
The following table presents financial instruments that are subject to netting arrangements as of December 31, 2023.
Percentage of Total | ||||||||||
Fund | Market Value of Loaned Securities | Market Value of Collateral (1) | Investment Income | |||||||
High Income * | $ | 4,674,159 | $ | 4,763,599 | 7.30% | |||||
Total Return Income* | 6,930,879 | 7,114,169 | 5.85% |
(1) | The amount is limited to the loaned securities and accordingly, does not include excess collateral pledged. |
* | Securities collateralized below 102% or 105% for foreign securities. The Trust’s securities lending policies and procedures require that the borrower: (i) deliver cash or U.S. Government securities as collateral with respect to each new loan of U.S. securities, equal to at least 102% or 105% 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% or 105% due to end of day market movement. The next business day additional collateral is obtained/received from the borrower to replenish/reestablish 102% or 105%. |
76
CATALYST FUNDS | |
NOTES TO FINANCIAL STATEMENTS (Unaudited) (Continued) | |
December 31, 2023 | SEMI-ANNUAL REPORT |
The below table shows the collateral held by each Fund at the period ended December 31, 2023.
Gross Amounts Not Offset in the | ||||||||||||||||||||||||||
Statement of Assets & Liabilities | ||||||||||||||||||||||||||
Gross Amounts | Net Amounts of | |||||||||||||||||||||||||
Gross Amounts | Offset in the | Liabilities Presented in | ||||||||||||||||||||||||
of Recognized | Statement of Assets & | the Statement of Assets | Financial | Cash Collateral | ||||||||||||||||||||||
Description | Counterparty | Liabilities | Liabilities | & Liabilities | Instruments | Pledged | Net Amount | |||||||||||||||||||
High Income | ||||||||||||||||||||||||||
Liabilities | ||||||||||||||||||||||||||
Securities Loaned | US Bank | $ | (4,763,599 | ) | $ | — | $ | (4,763,599 | ) | $ | 4,763,599 | $ | — | $ | — | |||||||||||
Total Return Income | ||||||||||||||||||||||||||
Liabilities | ||||||||||||||||||||||||||
Securities Loaned | US Bank | $ | (7,114,169 | ) | $ | — | $ | (7,114,169 | ) | $ | 7,114,169 | $ | — | $ | — | |||||||||||
(9) | BENEFICIAL OWNERSHIP |
The beneficial ownership, either directly or indirectly, of more than 25% of the voting securities of a fund creates a presumption of control of the fund, under Section 2(a)(9) of the 1940 Act. As of December 31, 2023, the companies that held more than 25% of the voting securities of the Funds, and may be deemed to control each respective Fund, are as follows:
Insider | Enhanced | High | Total Return | |||||||||||||||||
Owner | Income | Income | Global Balanced | Income | Income | |||||||||||||||
Charles Schwab & Co.(1) | — | 26 | % | — | — | — | ||||||||||||||
LPL Financial (1) | 29 | % | 30 | % | — | — | — | |||||||||||||
National Financial Services LLC (1) | — | 27 | % | — | — | — | ||||||||||||||
Pershing LLC (1) | — | — | — | 27 | % | — | ||||||||||||||
Raymond James (1) | — | — | 41 | % | — | — | ||||||||||||||
Wells Fargo (1) | — | — | — | 28 | % | 54 | % |
(1) | These owners are comprised of multiple investors and accounts. |
(10) | RECENT REGULATORY UPDATES |
On January 24, 2023, the SEC adopted rule and form amendments to require mutual funds and ETFs to transmit concise and visually engaging streamlined annual and semiannual reports to shareholders that highlight key information. Other information, including financial statements, will not appear in a streamlined shareholder report but must be available online, delivered free of charge upon request, and filed on a semiannual basis on Form N-CSR. The rule and form amendments have a compliance date of July 24, 2024. At this time, management is evaluating the impact of these amendments on the shareholder reports for the Funds.
(11) | SUBSEQUENT EVENTS |
Subsequent events after the date of the Statements of Assets and Liabilities have been evaluated through the date the financial statements were issued.
Effective April 26, 2024, Catalyst/CIFC Floating Rate Income Fund will change its name to Catalyst/CIFC Senior Secured Income Fund and adopt the following policy: Under normal market conditions, the Fund invests at least 80% of its net assets (plus borrowings for investment purposes) in senior secured debt instruments. Such debt instruments include: floating rate bonds; floating rate notes; floating rate debentures; tranches of floating rate asset-backed securities, including structured notes, made to, or issued by, U.S. and non-U.S. corporations or other business entities; and other investment companies (including exchange traded funds) (“ETFs”) that invest primarily in floating rate assets.
77
CATALYST FUNDS |
INFORMATION ABOUT YOUR FUNDS’ EXPENSES (Unaudited) |
As a shareholder of the Fund(s), you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments; and (2) ongoing costs, including management fees, distribution and/or service (12b-1) fees and other Fund expenses. The example below is intended to help you understand your ongoing costs (in dollars) of investing in the Funds and to compare these costs with the ongoing costs of investing in other mutual funds.
The example below illustrates an investment of $1,000 invested at the beginning of the period (07/01/23) and held for the entire period through 12/31/2023.
Actual Expenses
The “Actual” columns of the table below provides information about actual account values and actual expenses. You may use the information in these sections, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number under the heading entitled “Expenses Paid During the Period” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The “Hypothetical” columns of the table provides information about the hypothetical account values and hypothetical expenses based on each Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Funds’ actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Funds and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads) or exchange fees. Therefore, the second section of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher. For more information on transactional costs, please refer to the Funds’ prospectus.
Hypothetical | ||||||||||||||||||||||
Actual | (5% return before expenses) | |||||||||||||||||||||
Beginning | Expenses Paid | |||||||||||||||||||||
Fund’s Annualized | Account Value | Ending Account | During Period | Ending Account | Expenses Paid | |||||||||||||||||
Expense Ratio * | 07/01/23 | Value 12/31/23 | ** | Value 12/31/23 | During Period ** | |||||||||||||||||
Catalyst Insider Income Fund - Class A | 1.00% | $ | 1,000.00 | $ | 1,042.40 | $ | 5.13 | $ | 1,020.11 | $ | 5.08 | |||||||||||
Catalyst Insider Income Fund - Class C | 1.75% | 1,000.00 | 1,038.50 | 8.97 | 1,016.34 | 8.87 | ||||||||||||||||
Catalyst Insider Income Fund - Class I | 0.75% | 1,000.00 | 1,043.70 | 3.85 | 1,021.37 | 3.81 | ||||||||||||||||
Catalyst Enhanced Income Strategy Fund - Class A | 1.75% | 1,000.00 | 990.20 | 8.75 | 1,016.34 | 8.87 | ||||||||||||||||
Catalyst Enhanced Income Strategy Fund - Class C | 2.50% | 1,000.00 | 986.50 | 12.48 | 1,012.57 | 12.65 | ||||||||||||||||
Catalyst Enhanced Income Strategy Fund - Class I | 1.50% | 1,000.00 | 991.40 | 7.51 | 1,017.60 | 7.61 | ||||||||||||||||
Catalyst/MAP Global Balanced Fund - Class A | 1.22% | 1,000.00 | 1,019.90 | 6.19 | 1,019.00 | 6.19 | ||||||||||||||||
Catalyst/MAP Global Balanced Fund - Class C | 1.97% | 1,000.00 | 1,016.40 | 9.99 | 1,015.23 | 9.98 | ||||||||||||||||
Catalyst/MAP Global Balanced Fund - Class I | 0.97% | 1,000.00 | 1,022.30 | 4.93 | 1,020.26 | 4.93 | ||||||||||||||||
Catalyst/CIFC Floating Rate Income Fund - Class A | 1.15% | 1,000.00 | 1,065.80 | 5.97 | 1,019.36 | 5.84 | ||||||||||||||||
Catalyst/CIFC Floating Rate Income Fund - Class C | 1.90% | 1,000.00 | 1,060.80 | 9.84 | 1,015.58 | 9.63 | ||||||||||||||||
Catalyst/CIFC Floating Rate Income Fund - Class I | 0.90% | 1,000.00 | 1,065.90 | 4.67 | 1,020.61 | 4.57 | ||||||||||||||||
Catalyst/CIFC Floating Rate Income Fund - Class C-1 | 1.90% | 1,000.00 | 1,061.60 | 9.85 | 1,015.58 | 9.63 | ||||||||||||||||
Catalyst/SMH High Income Fund - Class A | 1.48% | 1,000.00 | 1,100.90 | 7.82 | 1,017.70 | 7.51 | ||||||||||||||||
Catalyst/SMH High Income Fund - Class C | 2.23% | 1,000.00 | 1,096.40 | 11.75 | 1,013.93 | 11.29 | ||||||||||||||||
Catalyst/SMH High Income Fund - Class I | 1.23% | 1,000.00 | 1,102.20 | 6.50 | 1,018.95 | 6.24 | ||||||||||||||||
Catalyst/SMH Total Return Income Fund - Class A | 1.58% | 1,000.00 | 1,097.00 | 8.33 | 1,017.19 | 8.01 | ||||||||||||||||
Catalyst/SMH Total Return Income Fund - Class C | 2.33% | 1,000.00 | 1,092.90 | 12.26 | 1,013.42 | 11.79 | ||||||||||||||||
Catalyst/SMH Total Return Income Fund - Class I | 1.33% | 1,000.00 | 1,098.60 | 7.02 | 1,018.45 | 6.75 |
* | Annualized expense ratio does not include interest expenses or dividend expenses. |
** | Expenses are equal to the Funds’ annualized expense ratios multiplied by the average account value over the period, multiplied by 184/366 to reflect the one-half year period. |
For more information on Fund expenses, please refer to the Funds’ prospectus, which can be obtained from your investment representative or by calling 1-866-447-4228. Please read it carefully before you invest or send money.
78
PRIVACY NOTICE
Mutual Fund Series Trust
Rev. August 2021
FACTS | WHAT DOES MUTUAL FUND SERIES TRUST DO WITH YOUR PERSONAL INFORMATION? |
Why? | Financial companies choose how they share your personal information. Federal law gives consumers the right to limit some, but not all sharing. Federal law also requires us to tell you how we collect, share, and protect your personal information. Please read this notice carefully to understand what we do. |
What? | The types of personal information we collect and share depends on the product or service that you have with us. This information can include:
● Social Security number and wire transfer instructions
● account transactions and transaction history
● investment experience and purchase history
When you are no longer our customer, we continue to share your information as described in this notice. |
How? | All financial companies need to share customers’ personal information to run their everyday business. In the section below, we list the reasons financial companies can share their customers’ personal information; the reasons Mutual Fund Series Trust chooses to share; and whether you can limit this sharing. |
Reasons we can share your personal information: | Does Mutual Fund Series Trust share information? | Can you limit this sharing? |
For our everyday business purposes - such as to process your transactions, maintain your account(s), respond to court orders and legal investigations, or report to credit bureaus. | YES | NO |
For our marketing purposes - to offer our products and services to you. | NO | We don’t share |
For joint marketing with other financial companies. | NO | We don’t share |
For our affiliates’ everyday business purposes - information about your transactions and records. | NO | We don’t share |
For our affiliates’ everyday business purposes - information about your credit worthiness. | NO | We don’t share |
For our affiliates to market to you | NO | We don’t share |
For non-affiliates to market to you | NO | We don’t share |
79
PRIVACY NOTICE
Mutual Fund Series Trust
What we do: | |
How does Mutual Fund Series Trust protect my personal information? | To protect your personal information from unauthorized access and use, we use security measures that comply with federal law. These measures include computer safeguards and secured files and buildings.
Our service providers are held accountable for adhering to strict policies and procedures to prevent any misuse of your nonpublic personal information. |
How does Mutual Fund Series Trust collect my personal information? | We collect your personal information, for example, when you: ● open an account or deposit money
● direct us to buy securities or direct us to sell your securities
● seek advice about your investments
We also collect your personal information from others, such as credit bureaus, affiliates, or other companies. |
Why can’t I limit all sharing? | Federal law gives you the right to limit only: ● sharing for affiliates’ everyday business purposes – information about your creditworthiness.
● affiliates from using your information to market to you.
● sharing for non-affiliates to market to you.
State laws and individual companies may give you additional rights to limit sharing. |
Definitions | |
Affiliates | Companies related by common ownership or control. They can be financial and non-financial companies.
● Mutual Fund Series Trust does not share with affiliates. |
Non-affiliates | Companies not related by common ownership or control. They can be financial and non-financial companies.
● Mutual Fund Series Trust doesn’t share with non-affiliates so they can market to you. |
Joint marketing | A formal agreement between nonaffiliated financial companies that together market financial products or services to you.
● Mutual Fund Series Trust doesn’t jointly market. |
QUESTIONS? CALL | Alpha Centric | 844-223-8637 |
Catalyst | 866-447-4228 | |
Day Hagan | 877-329-4246 | |
Empiric | 888-839-7424 | |
Eventide | 877-771-3836 | |
JAG | 855-552-4596 |
80
MUTUAL FUND SERIES TRUST |
4221 North 203rd Street, Suite 100 |
Elkhorn, NE 68022 |
Investment Adviser |
Catalyst Capital Advisors, LLC |
53 Palmeras Street, Suite 601 |
San Juan, PR 00901 |
ADMINISTRATOR |
Ultimus Fund Solutions, LLC |
225 Pictoria Drive, Suite 450 |
Cincinnati, OH 45246 |
TRANSFER AGENT |
Ultimus Fund Solutions, LLC |
225 Pictoria Drive, Suite 450 |
Cincinnati, OH 45246 |
INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM |
Cohen & Company, Ltd. |
1835 Market Street |
Suite 310 |
Philadelphia, PA |
LEGAL COUNSEL |
Thompson Hine LLP |
41 South High Street |
Suite 1700 |
Columbus, OH 43215 |
CUSTODIAN BANK |
U.S. Bank |
1555 N. Rivercenter Drive. |
Suite 302 |
Milwaukee, WI 53212 |
Reference is made to the Prospectus and the Statement of Additional Information for more detailed descriptions of the Investment Advisory Agreement, Management Services Agreements and Distribution and/or Service (12b-1) Plans, tax aspects of the Funds and the calculations of the net asset values of shares of the Funds. |
The Funds file their complete schedules of portfolio holdings with the Securities and Exchange Commission (the “Commission”) for the first and third quarters of each fiscal year as an exhibit to its reports on Form N-PORT. The Funds’ Forms N-PORT are available on the Commission’s website at http://www.sec.gov. The Funds’ Forms N-PORT may be obtained by calling 1-800-SEC-0330. |
A description of the policies and procedures that the Funds use to determine how to vote proxies relating to portfolio securities is available without charge, upon request, by calling 1-866-447-4228; and on the Commission’s website at http://www.sec.gov. |
Information regarding how the Funds voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available without charge, upon request, by calling 1-866-447-4228; and on the Commission’s website at http://www.sec.gov. |
CatalystIncome-SAR23 |
ITEM 2. CODE OF ETHICS.
Not applicable for semi-annual reports.
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.
Not applicable for semi-annual reports. |
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.
Not applicable for semi-annual reports.
ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.
Not applicable for semi-annual reports.
ITEM 6. SCHEDULE OF INVESTMENT
See Item 1.
ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
Not applicable Fund is an open-end management investment company
ITEM 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES
Not applicable Fund is an open-end management investment company
ITEM 9. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANY AND AFFILIATED PURCHASERS.
Not applicable Fund is an open-end management investment company
ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS.
Not applicable at this time.
ITEM 11. CONTROLS AND PROCEDURES.
(a) | The Registrant's principal executive and principal financial officers, or persons performing similar functions, have concluded that the Registrant's disclosure controls and procedures (as defined in Rule 30a-3(c) under the 1940 Act, are effective, as of a date within 90 days of the filing date of this report, based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act and Rule 15d-15(b) under the Securities Exchange Act of 1934, as amended. |
(b) | There were no changes in the Registrant's internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the period covered by this report that have materially affected, or are reasonably likely to materially affect, the Registrant's internal control over financial reporting. |
ITEM 12. DISCLOSURE OF SECURITIES LENDING ACTIVITIES FOR CLOSED-ENDED MANAGEMENT INVESTMENT COMPANIES
Not applicable.
ITEM 13. EXHIBITS
(1) | Code of Ethics for Principal Executive and Senior Financial Officers is attached hereto. |
(2) | Certifications pursuant to Section 302 of the Sarbanes-Oxley Act of 2002 are filed herewith. |
(3) | Certifications pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 are filed herewith. |
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the Registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
Mutual Fund Series Trust
By Michael Schoonover | /s/ Michael Schoonover __________ |
President | |
Date: March 7, 2024 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following person on behalf of the Registrant and in the capacities and on the date indicated.
By Michael Schoonover | /s/ Michael Schoonover ___________ |
President | |
Date: March 7, 2024 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following person on behalf of the Registrant and in the capacities and on the date indicated.
By Erik Naviloff | /s/ Erik Naviloff_____________ |
Treasurer | |
Date: March 7, 2024 |