# EDGAR Filing Document

**Accession Number:** 0001355064
**File Stem:** 0001580642-23-001365
**Filing Date:** 2023-3
**Character Count:** 350052
**Document Hash:** dd703784447de9b76c2762e17fc2cbf8
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001580642-23-001365.hdr.sgml**: 20230310

**ACCESSION NUMBER**: 0001580642-23-001365

**CONFORMED SUBMISSION TYPE**: N-CSRS

**PUBLIC DOCUMENT COUNT**: 4

**CONFORMED PERIOD OF REPORT**: 20221231

**FILED AS OF DATE**: 20230310

**DATE AS OF CHANGE**: 20230309

**EFFECTIVENESS DATE**: 20230310

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** MUTUAL FUND SERIES TRUST
- **CENTRAL INDEX KEY:** 0001355064
- **IRS NUMBER:** 000000000
- **STATE OF INCORPORATION:** OH
- **FISCAL YEAR END:** 0630

**FILING VALUES:**
- **FORM TYPE:** N-CSRS
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-21872
- **FILM NUMBER:** 23721028

**BUSINESS ADDRESS:**
- **STREET 1:** C/O GEMINI FUND SERVICES LLC
- **STREET 2:** 4221 NORTH 203RD STREET, SUITE 100
- **CITY:** ELKHORN
- **STATE:** NE
- **ZIP:** 68022-3474
- **BUSINESS PHONE:** 631 549 1859

**MAIL ADDRESS:**
- **STREET 1:** C/O GEMINI FUND SERVICES LLC
- **STREET 2:** 4221 NORTH 203RD STREET, SUITE 100
- **CITY:** ELKHORN
- **STATE:** NE
- **ZIP:** 68022-3474

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** CATALYST FUNDS
- **DATE OF NAME CHANGE:** 20060303

## Series and Classes Contracts Data

### Catalyst Nasdaq-100 Hedged Equity Fund (Series ID: S000036625)

| Class ID   | Class Name                                     | Ticker Symbol   |
|:---|:---|:---|
| C000111983 | Catalyst Nasdaq-100 Hedged Equity Fund Class A | CLPAX           |
| C000111984 | Catalyst Nasdaq-100 Hedged Equity Fund Class C | CLPCX           |
| C000142554 | Catalyst Nasdaq-100 Hedged Equity Fund Class I | CLPFX           |

### Catalyst/Warrington Strategic Program Fund (Series ID: S000041894)

| Class ID   | Class Name                                         | Ticker Symbol   |
|:---|:---|:---|
| C000130114 | Catalyst/Warrington Strategic Program Fund Class A | CWXAX           |
| C000130115 | Catalyst/Warrington Strategic Program Fund Class C | CWXCX           |
| C000130116 | Catalyst/Warrington Strategic Program Fund Class I | CWXIX           |

### Catalyst Systematic Alpha Fund (Series ID: S000045922)

| Class ID   | Class Name                             | Ticker Symbol   |
|:---|:---|:---|
| C000143112 | Catalyst Systematic Alpha Fund Class A | ATRAX           |
| C000143113 | Catalyst Systematic Alpha Fund Class C | ATRCX           |
| C000143114 | Catalyst Systematic Alpha Fund Class I | ATRFX           |

### Catalyst Income and Multi-Strategy Fund (Series ID: S000050218)

| Class ID   | Class Name                                      | Ticker Symbol   |
|:---|:---|:---|
| C000158513 | Catalyst Income and Multi-Strategy Fund Class A | ACXAX           |
| C000158514 | Catalyst Income and Multi-Strategy Fund Class C | ACXCX           |
| C000158515 | Catalyst Income and Multi-Strategy Fund Class I | ACXIX           |

### Catalyst/Millburn Dynamic Commodity Strategy Fund (Series ID: S000050259)

| Class ID   | Class Name                                                | Ticker Symbol   |
|:---|:---|:---|
| C000158688 | Catalyst/Millburn Dynamic Commodity Strategy Fund Class A | DCXAX           |
| C000158689 | Catalyst/Millburn Dynamic Commodity Strategy Fund Class C | DCXCX           |
| C000158690 | Catalyst/Millburn Dynamic Commodity Strategy Fund Class I | DCXIX           |

### Catalyst/Millburn Hedge Strategy Fund (Series ID: S000052043)

| Class ID   | Class Name                                      | Ticker Symbol   |
|:---|:---|:---|
| C000163769 | Catalyst/Millburn Hedge Strategy Fund Class A   | MBXAX           |
| C000163770 | Catalyst/Millburn Hedge Strategy Fund Class C   | MBXCX           |
| C000163771 | Catalyst/Millburn Hedge Strategy Fund Class I   | MBXIX           |
| C000220411 | Catalyst/Millburn Hedge Strategy Fund Class C-1 | MBXFX           |

### Catalyst Buffered Shield Fund (Series ID: S000058618)

| Class ID   | Class Name                            | Ticker Symbol   |
|:---|:---|:---|
| C000192548 | Catalyst Buffered Shield Fund Class A | SHIEX           |
| C000192549 | Catalyst Buffered Shield Fund Class C | SHINX           |
| C000192550 | Catalyst Buffered Shield Fund Class I | SHIIX           |

**united states<br> securities and exchange commission<br> washington, d.c. 20549<br>form n-csr<br>certified shareholder report of registered management<br> investment companies**

Investment Company Act file number <u>811-21872</u> 

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <u>Mutual Fund Series Trust</u> 

(Exact name of Registrant as specified in charter)

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <u>4221 North 203<sup>rd</sup> Street, Suite 100, Elkhorn, NE 68022</u> 

(Address of principal executive offices) (Zip code)

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <u>Ultimus Fund Solutions ___</u> 

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <u>80 Arkay Drive, Suite 110, Hauppauge, NY 11788</u> 

(Name and address of agent for service)

Registrant's telephone number, including area code: <u>402-895-1600</u> 

Date of fiscal year end: <u>6/30</u> 

Date of reporting period: <u>12/31/22</u> 

ITEM 1. REPORTS TO SHAREHOLDERS.

**SEMI-ANNUAL REPORT**

**Catalyst/Millburn Dynamic Commodity Strategy Fund** 

**(DCXAX, DCXCX, DCXIX)**

**Catalyst/Warrington Strategic Program Fund** 

**(CWXAX, CWXCX, CWXIX)**

**Catalyst Systematic Alpha Fund** 

**(ATRAX, ATRCX, ATRFX)**

**Catalyst Income and Multi-Strategy Fund** 

**(ACXAX, ACXCX, ACXIX)**

**Catalyst Nasdaq-100 Hedged Equity Fund** 

**(CLPAX, CLPCX, CLPFX)**

**Catalyst/Millburn Hedge Strategy Fund** 

**(MBXAX, MBXCX, MBXIX)**

**Catalyst Buffered Shield Fund** 

**(SHIEX, SHINX, SHIIX)**

**December 31, 2022**

![(LOGO)](cr001_v1.jpg)

**Mutual Fund Series Trust**

**CATALYST FUNDS** 

**SEMI-ANNUAL REPORT**

**<u>**TABLE OF CONTENTS**</u>**

---

| | |
|:---|:---|
| Portfolio Review | Page 1 |
| Schedules of Investments | Page 8 |
| Statements of Assets and Liabilities | Page 38 |
| Statements of Operations | Page 40 |
| Statements of Changes in Net Assets | Page 42 |
| Financial Highlights | Page 46 |
| Notes to Financial Statements | Page 60 |
| Expense Example | Page 83 |
| Privacy Notice | Page 84 |

---

**Catalyst/Millburn Dynamic Commodity Strategy Fund**

**PORTFOLIO REVIEW (Unaudited)**

**December 31, 2022**

The Fund's performance figures\* for the periods ended December 31, 2022, compared to its benchmarks:

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | <br>6 Month Return | <br>1 Year Return | Annualized 5 Year<br>Return | Annualized Since<br>Inception\*\* |
| Class A | (5.42)% | 18.44% | 1.87% | 3.05% |
| Class A with load | (10.87)% | 11.64% | 0.67% | 2.21% |
| Class C | (5.73)% | (17.57)% | 1.12% | 2.29% |
| Class I | (5.30)% | 18.61% | 2.13% | 3.30% |
| S&P 500 Total Return Index <sup>(a)</sup> | 2.31% | (18.11)% | 9.42% | 12.11% |
| Bloomberg Commodity Total Return Index<sup>(b)</sup> | (1.98)% | 16.09% | 6.44% | 4.64% |

---

\* 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 are 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 less than 1 year are not annualized. As disclosed in the Fund's Prospectus dated November 1, 2022, the Fund's total gross annual operating expenses are 3.48% for Class A, 4.23% for Class C and 3.23% 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 June 2021 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
Bloomberg Commodity Total Return Index is composed of futures contracts and reflects the returns on a fully collateralized investment
in the Bloomberg Commodity Index ("BCOM"). This combines the returns of the BCOM with the returns on cash collateral invested
in 13 week (3 Month) U.S. Treasury Bills. Investors cannot invest directly in an index.

\*\* Inception date is September 30, 2015.

The returns are based upon unadjusted net asset values and may differ from the returns shown in the financial statements, which include adjustments in accordance with accounting principles generally accepted in the United States.

---

| | |
|:---|:---|
| **Holdings by Industry/Security Type ^** | % **of Net Assets** |
| Exchange - Traded Funds | 27.9% |
| U.S. Government & Agencies | 12.5% |
| Institutional Financial Services | 6.5% |
| Electrical Equipment | 4.8% |
| Timber REIT | 3.5% |
| Specialty REIT | 2.7% |
| Renewable Energy | 1.5% |
| Automotive | 1.4% |
| Electric Utilities | 1.1% |
| Chemicals | 1.1% |
| Other/Cash & Equivalents | 37.0% |
|  | 100.0% |

---

^ Does not include derivatives in which the Fund invests.

Please refer to the Schedule of Investments for a more detailed breakdown of the Fund's assets.

**Catalyst/Warrington Strategic Program Fund** 

**PORTFOLIO REVIEW (Unaudited)**

**December 31, 2022**

The Fund's performance figures\* for each of the periods ended December 31, 2022, compared to its benchmark:

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
|  | <br>6 Month Return | <br>1 Year Return | Annualized<br>5 Year Return | Annualized<br>10 Year Return | Annualized<br>Since Inception\*\* | Annualized<br>Since Inception\*\*\* |
| Class A | 1.31% | 6.06% | 1.95% | 0.11% | 8.45% | N/A |
| Class A with load | (4.49)% | (0.06)% | 0.75% | (0.48)% | 8.09% | N/A |
| Class C | 0.86% | 5.26% | 1.19% | N/A | N/A | (0.74)% |
| Class I | 1.40% | 6.29% | 2.23% | N/A | N/A | 0.25% |
| S&P 500 Total Return Index <sup>(a)</sup> | 2.31% | (18.11)% | 9.42% | 12.56% | 8.87% | 11.71% |

---

\* 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 are 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, 2022, the Fund's total gross annual operating expenses, including the cost of underlying funds, are 2.38% for Class A, 3.13% for Class C and 2.13% for Class I shares. 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 April 5, 2020 does not reflect the Fnd's current strategy.

(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.

\*\* Inception date is December 15, 2005 for Class A and the benchmark.

\*\*\* Inception date is August 30, 2013 for Class C, Class I and benchmark.

The returns are based upon unadjusted net asset values and may differ from the returns shown in the financial statements, which include adjustments in accordance with accounting principles generally accepted in the United States.

---

| | |
|:---|:---|
| **Holdings by Industry/Security Type ^** | % **of Net Assets** |
| U.S. Treasury Bills | 37.0% |
| Other/Cash & Equivalents | 63.0% |
|  | 100.0% |

---

^ Does not include derivatives in which the Fund invests.

Please refer to the Schedule of Investments for a more detailed breakdown of the Fund's assets.

**Catalyst Systematic Alpha Fund**

**PORTFOLIO REVIEW (Unaudited)**

**December 31, 2022**

The Fund's performance figures\* for each of the periods ended December 31, 2022, compared to its benchmarks:

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | <br>6 Month Return | <br>1 Year Return | Annualized<br>5 Year Return | Annualized<br>Since Inception\*\* |
| Class A | 6.95% | (4.70)% | 7.33% | 4.15% |
| Class A with load | 0.84% | (10.19)% | 6.07% | 3.42% |
| Class C | 6.57% | (5.32)% | 6.50% | 3.33% |
| Class I | 7.05% | (4.38)% | 7.56% | 4.35% |
| S&P 500 Total Return Index<sup>(a)</sup> | 2.31% | (18.11)% | 9.42% | 10.59% |
| BNP Paribas Catalyst Systematic Alpha Index II <sup>(b)</sup> | 5.12% | (1.31)% | 11.55% | 13.98% |

---

\* 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 are 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 less than 1 year are not annualized. As disclosed in the Fund's Prospectus dated November 1, 2022, the Fund's total gross annual operating expenses, including the cost of underlying funds, are 4.75% for Class A, 5.50% for Class C and 4.50% for Class I shares. Please review the Fund's most recent prospectus for 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 2017 does not reflect the Fund's current strategy.

(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) BNP
Paribas Catalyst Systematic Alpha Index II™ (BNP CASA Index II) is a rules-based Index that seeks absolute returns through risk-balances
exposure to carry, momentum and volatility risk premia across the equity, commodity, forex and fixed-income markets. The BNPP CASA Index

captures the tendency for higher yielding assets to outperform lower yielding assets over time. Volatility Risk Premium captures the
behavioral tendency of markets to over exaggerate the probability of near-term market corrections. Momentum Risk Premium captures the
tendency for assets that have performed well in recent past to continue to perform well, and assets that have performed poorly in the
recent past to continue to perform poorly. Investors cannot invest directly in an Index.

\*\* Inception date is July 31, 2014.

The returns are based upon unadjusted net asset values and may differ from the returns shown in the financial statements, which include adjustments in accordance with accounting principles generally accepted in the United States.

---

| | |
|:---|:---|
| **Holdings by Industry/Security Type ^** | % **of Net Assets** |
| Technology Services | 17.8% |
| Asset Management | 12.5% |
| Specialty Finance | 8.4% |
| Aerospace & Defense | 9.0% |
| Technology Hardware | 4.5% |
| Biotech & Pharma | 4.5% |
| Real Estate Investment Trusts | 4.4% |
| Semiconductors | 4.4% |
| Retail - Discretionary | 3.4% |
| Other/Cash & Equivalents | 31.1% |
|  | 100.0% |

---

^ Does not include derivatives in which the Fund invests.

Please refer to the Schedule of Investments for a more detailed breakdown of the Fund's assets.

**Catalyst Income and Multi-Strategy Fund**

**PORTFOLIO REVIEW (Unaudited)**

**December 31, 2022**

The Fund's performance figures\* for each of the periods ended December 31, 2022, compared to its benchmark:

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
|  | <br>6 Month Return | <br>1 Year Return | Annualized<br>5 Year Return | Annualized<br>10 Year Return | Annualized<br>Since Inception\*\* | Annualized<br>Since Inception\*\*\* |
| Class A | (1.48)% | (4.86)% | 0.25% | N/A | N/A | (0.47)% |
| Class A with load | (7.11)% | (10.36)% | (0.93)% | N/A | N/A | (1.27)% |
| Class C | (1.88)% | (5.60)% | (0.49)% | N/A | N/A | (1.23)% |
| Class I <sup>(a)</sup> | (1.43)% | (4.66)% | 0.51% | 1.15% | 2.85% | N/A |
| BofA Merrill Lynch 3 Month U.S. Treasury Bill Index <sup>(b)</sup> | 1.32% | 1.47% | 1.27% | 0.77% | 0.73% | 1.02% |

---

\* 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 are 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 for periods greater than 1 year are annualized. As disclosed in the Fund's Prospectus dated November 1, 2022, the Fund's total gross annual operating expenses, including the cost of underlying funds, are 4.89% for Class A, 5.64% for Class C and 4.72% for Class I shares. Please review the Fund's most recent prospectus for 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 2021 does not reflect the Fund's current strategy.

(a) The
Fund acquired all of the assets and liabilities of Auctos Global Diversified Fund, LLC (the "Predecessor Fund") in a tax-free
reorganization on August 13, 2015. In connection with this acquisition, shares of the Predecessor Fund were exchanged for Institutional
shares of the Fund, so the Predecessor Fund became the Institutional shares of the Fund. The Fund's investment objective, policies
and guidelines were, in all material respects, equivalent to the Predecessor Fund's investment objectives, policies and guidelines.
The Predecessor Fund commenced operations on October 31, 2007. Updated performance information will be available at no cost by calling
1-866-447-4228 or visiting the Fund's website at www.CatalystMF.com.

(b) BofA
Merrill Lynch 3-Month U.S. Treasury Bill Index "BofAML 3-Month T-Bill," is an index of short-term U.S. Government securities
maturing in 90 days. Investors cannot invest directly in an index.

\*\* Inception date is October 31, 2007 for Class I and benchmark.

\*\*\* Inception date is August 13, 2015 for Class A, Class C and benchmark.

The returns are based upon unadjusted net asset values and may differ from the returns shown in the financial statements, which include adjustments in accordance with accounting principles generally accepted in the United States.

---

| | |
|:---|:---|
| **Holdings by Industry/Security Type ^** | % **of Net Assets** |
| Fixed Income | 46.1% |
| Mortgage Finance | 18.8% |
| Real Estate Investment Trusts | 3.8% |
| Other/Cash & Equivalents | 31.3% |
|  | 100.0% |

---

^ Does not include derivatives in which the Fund invests.

Please refer to the Schedule of Investments for a more detailed breakdown of the Fund's assets.

**Catalyst Nasdaq-100 Hedged Equity Fund** 

**PORTFOLIO REVIEW (Unaudited)**

**December 31, 2022**

The Fund's performance figures\* for the periods ended December 31, 2022, compared to its benchmarks:

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | <br>6 Month Return | <br>1 Year Return | Annualized<br>5 Year Return | Annualized<br>Since Inception\*\* |
| Class A | (7.82)% | (30.54)% | (0.99)% | 1.41% |
| Class A with load | (13.16)% | (34.55)% | (2.17)% | 0.74% |
| Class C | (8.13)% | (31.00)% | (1.73)% | 0.62% |
| Class I | (7.73)% | (30.33)% | (0.74)% | 0.95% |
| Nasdaq-100 Index<sup>(a)</sup> | (4.46)% | (32.38)% | 12.36% | 14.37% |
| S&P 500 Total Return Index<sup>(b)</sup> | 2.31% | (18.11)% | 9.42% | 10.55% |

---

\* 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 are 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, 2022, the Fund's total gross annual operating expenses, including the cost of underlying funds, are 2.61% for Class A, 3.36% for Class C and 2.36% for Class I shares . Please review the Fund's most recent prospectus for 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 October 2020 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
Nasdaq 100 Index ("NDX") is a large-capitalization growth index comprised of the 100 largest domestic and international (including
emerging markets) non-financial companies listed on the Nasdaq Stock Market based on market capitalization. The NDX is concentrated in
the technology sector Investors cannot invest directly in an index.

(b) 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.

\*\* Inception date is December 31, 2013 for Class A, Class C and the Benchmark, and June 6, 2014 for Class I.

The returns are based upon unadjusted net asset values and may differ from the returns shown in the financial statements, which include adjustments in accordance with accounting principles generally accepted in the United States.

---

| | |
|:---|:---|
| **Holdings by Industry/Security Type ^** | % **of Net Assets** |
| Exchange - Traded Funds | 13.5% |
| Software | 13.2% |
| Semiconductors | 10.4% |
| Technology Hardware | 9.7% |
| Internet Media & Services | 8.8% |
| E-Commerce Discretionary | 5.1% |
| Biotech & Pharma | 3.8% |
| Technology Services | 2.5% |
| Beverages | 2.4% |
| Automotive | 2.1% |
| Other/Cash & Equivalents | 28.5% |
|  | 100.0% |

---

^ Does not include derivatives in which the Fund invests.

Please refer to the Schedule of Investments for a more detailed breakdown of the Fund's assets.

**Catalyst/Millburn Hedge Strategy Fund**

**PORTFOLIO REVIEW (Unaudited)**

**December 31, 2022**

The Fund's performance figures\* for each of the periods ended December 31, 2022, compared to its benchmarks:

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
|  | <br>6 Month Return | <br>1 Year Return | Annualized<br>5 Year Return | Annualized<br>10 Year Return | Annualized<br>Since Inception\*\* | Annualized<br>Since Inception\*\*\* | Annualized<br>Since Inception\*\*\*\* |
| Class A | 4.56% | 7.46% | 6.63% | N/A | N/A | 9.02% | N/A |
| Class A with load | (1.46)% | 1.27% | 5.38% | N/A | N/A | 8.10% | N/A |
| Class C | 4.15% | 6.67% | 5.83% | N/A | N/A | 8.20% | N/A |
| Class C-1 | 4.16% | 6.67% | N/A | N/A | N/A | NA | 17.27% |
| Class I <sup>(a)</sup> | 4.66% | 7.72% | 6.89% | 9.05% | 10.61% | N/A | N/A |
| BofA Merrill Lynch 3 Month U.S. Treasury Bill Index <sup>(b)</sup> | 1.32% | 1.47% | 1.27% | 0.77% | 2.04% | 1.07% | 0.71% |
| Credit Suisse Managed Futures Hedge Fund Index <sup>(c)</sup> | 0.46% | 19.12% | 5.95% | 3.92% | 4.93% | 3.65% | 15.51% |
| S&P 500 Total Return Index <sup>(d)</sup> | 2.31% | (18.11)% | 9.42% | 12.56% | 8.53% | 11.37% | 9.36% |

---

\* 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 are 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 less than 1 year are not annualized. As disclosed in the Fund's Prospectus dated November 1, 2022, the Fund's total gross annual operating expenses, including the cost of underlying funds, are 2.27% for Class A, 3.02% for Class C, 3.02% for Class C-1 and 2.02% for Class I shares. Please review the Fund's most recent prospectus for 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
Fund acquired all of the assets and liabilities of Millburn Hedge Fund, L.P. (the "Predecessor Fund") in a tax-free reorganization
on December 28, 2015. In connection with this acquisition, shares of the Predecessor Fund were exchanged for Institutional shares of
the Fund, so the Predecessor Fund became the Institutional shares of the Fund. The Fund's investment objective, policies and guidelines
are, in all material respects, equivalent to the Predecessor Fund's investment objectives, policies and guidelines. The Predecessor
Fund commenced operations on January 1, 1997. Updated performance information will be available at no cost by calling 1-866-447-4228
or visiting the Fund's website at www.CatalystMF.com.

(b) BofA
Merrill Lynch 3-Month U.S. Treasury Bill Index "BofAML 3-Month T-Bill", is an index of short-term U.S. Government securities
maturing in 90 days. Investors cannot invest directly in an index.

(c) Credit
Suisse Managed Futures Hedge Fund Index is designed to broadly represent the performance of Managed Futures hedge funds in the Credit
Suisse database representing at least 85% of total Managed Futures hedge fund assets under management. Investors cannot invest directly
in an index.

(d) 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.

\*\* Inception date is January 1, 1997 for Class I shares and Benchmarks.

\*\*\* Inception date is December 28, 2015 for Class A shares, Class C shares and Benchmarks.

\*\*\*\* Inception date is October 30, 2020 for Class C-1 shares and Benchmarks.

The returns are based upon unadjusted net asset values and may differ from the returns shown in the financial statements, which include adjustments in accordance with accounting principles generally accepted in the United States.

---

| | |
|:---|:---|
| **Holdings by Industry/Security Type ^** | % **of Net Assets** |
| Exchange - Traded Funds | 46.2% |
| U.S. Treasury Notes | 39.1% |
| Other/Cash & Equivalents | 14.7% |
|  | 100.0% |

---

^ Does not include derivatives in which the Fund invests.

Please refer to the Schedule of Investments for a more detailed breakdown of the Fund's assets.

**Catalyst Buffered Shield Fund**

**PORTFOLIO REVIEW (Unaudited)**

**December 31, 2022**

The Fund's performance figures\* for the periods ended December 31, 2022, compared to its benchmarks:

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | <br>6 Month Return | <br>1 Year Return | <br>5 Year Return | Annualized Since<br>Inception\*\* |
| Class A | (2.44)% | (18.39)% | 2.39% | 3.65% |
| Class A with Load | (8.00)% | (23.11)% | 1.18% | 2.86% |
| Class C | (2.80)% | (18.97)% | 1.63% | 2.65% |
| Class I | (2.29)% | (18.14)% | 2.65% | 3.91% |
| S&P 500 Total Return Index <sup>(a)</sup> | 2.31% | (18.11)% | 1.18% | 2.86% |
| HFRX Equity Hedge Index <sup>(b)</sup> | 1.61% | (3.18)% | 2.63% | 2.14% |

---

\* 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 are 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, 2022 the Fund's total gross annual operating expenses. including the cost of underlying funds, are 1.89% for Class A, 2.64% for Class C and 1.64% for Class I shares. Please review the Fund's most recent prospectus for detail on the expense waiver. For performance information current to the most recent month-end, please call toll-free 1-866-447-4228.

\*\* Inception date is April 14, 2015 for Class A, Class I and the Benchmark, and September 5, 2017 for Class C. Total returns for Class C prior to the Fund Inception on September 5, 2017 are based on the performance of the Fund's Predecessor Fund.

(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
HFRX Equity Hedge Index ("HFRX Equity") tracks strategies that maintain positions both long and short in primarily equity and
equity derivative securities. The total return of the HFRX Equity includes the reinvestment of dividends and income. The total return
of HFRX Equity does not include expenses. HFRX Equity is not professionally managed and is not available for investment.

The returns are based upon unadjusted net asset values and may differ from the returns shown in the financial statements, which include adjustments in accordance with accounting principles generally accepted in the United States.

---

| | |
|:---|:---|
| **Holdings by Industry/Security Type ^** | % **of Net Assets** |
| Exchange - Traded Funds | 96.1% |
| Other/Cash & Equivalents | 3.9% |
|  | 100.0% |

---

^ Does not include derivatives in which the Fund invests.

Please refer to the Schedule of Investments for a more detailed breakdown of the Fund's assets.

---

| |
|:---|
| **CATALYST/MILLBURN DYNAMIC COMMODITY STRATEGY FUND** |
| **CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)** |
| **December 31, 2022** |

---

---

| | | |
|:---|:---|:---|
| **Shares** |  | **Fair Value** |
|  | **COMMON STOCKS — 22.6%** |  |
|  | **AUTOMOTIVE - 1.4%** |  |
| 20718 | Sumitomo Electric Industries Ltd. | $237468 |
|  | **CHEMICALS - 1.1%** |  |
| 649 | Air Liquide S.A.<sup>(a)</sup> | 92009 |
| 286 | Linde PLC | 93288 |
|  |  | 185297 |
|  | **ELECTRIC UTILITIES - 1.1%** |  |
| 6858 | Brookfield Renewable Partners, L.P. | 173782 |
| 5138 | Fusion Fuel Green PLC<sup>(b)</sup> | 22761 |
|  |  | 196543 |
|  | **ELECTRICAL EQUIPMENT - 4.8%** |  |
| 1860 | Bloom Energy Corporation, Class A<sup>(b)</sup> | 35563 |
| 12922 | Furukawa Electric Company Ltd. | 243553 |
| 1738 | Nexans S.A. | 157163 |
| 2912 | NKT A/S<sup>(b)</sup> | 164093 |
| 5247 | Prysmian SpA | 194733 |
|  |  | 795105 |
|  | **INSTITUTIONAL FINANCIAL SERVICES - 6.5%** |  |
| 2602 | Cboe Global Markets, Inc. | 326473 |
| 1617 | CME Group, Inc. | 271915 |
| 5165 | Hong Kong Exchanges & Clearing Ltd. | 223128 |
| 2372 | Intercontinental Exchange, Inc. | 243343 |
|  |  | 1064859 |
|  | **RENEWABLE ENERGY - 1.5%** |  |
| 6161 | Ballard Power Systems, Inc.<sup>(b)</sup> | 29511 |
| 23917 | Cell Impact A.B.<sup>(b)</sup> | 25101 |
| 7344 | Ceres Power Holdings PLC<sup>(b)</sup> | 31135 |
| 10242 | FuelCell Energy, Inc.<sup>(b)</sup> | 28473 |
| 25628 | ITM Power PLC<sup>(b)</sup> | 28391 |
| 2673 | McPhy Energy S.A.<sup>(b)</sup> | 34947 |
| 27348 | NEL ASA<sup>(b)</sup> | 38678 |
| 2316 | Plug Power, Inc.<sup>(b)</sup> | 28649 |
|  |  | 244885 |

---

The accompanying notes are an integral part of these consolidated financial statements.

---

| |
|:---|
| **CATALYST/MILLBURN DYNAMIC COMMODITY STRATEGY FUND** |
| **CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) (Continued)** |
| **December 31, 2022** |

---

---

| | | |
|:---|:---|:---|
| **Shares** |  | **Fair Value** |
|  | **COMMON STOCKS — 22.6% (Continued)** |  |
|  | **SPECIALTY REIT - 2.7%** |  |
| 21008 | Farmland Partners, Inc. | $261760 |
| 9974 | Gladstone Land Corporation | 183023 |
|  |  | 444783 |
|  | **TIMBER REIT - 3.5%** |  |
| 4421 | PotlatchDeltic Corporation | 194480 |
| 5763 | Rayonier, Inc. | 189948 |
| 6382 | Weyerhaeuser Company | 197842 |
|  |  | 582270 |
|  | **TOTAL COMMON STOCKS (Cost $3,857,041)** | 3751210 |
|  | **EXCHANGE-TRADED FUNDS — 27.9%** |  |
|  | **EQUITY - 24.8%** |  |
| 13174 | First Trust Global Wind Energy ETF | 228174 |
| 2259 | First Trust NASDAQ Clean Edge Smart Grid Infrastructure Index Fund | 197072 |
| 7860 | Global X US Infrastructure Development ETF | 208211 |
| 2095 | Invesco Solar ETF<sup>(b)</sup> | 152809 |
| 3033 | Invesco Water Resources ETF | 156321 |
| 12803 | iShares Emerging Markets Infrastructure ETF | 266174 |
| 9795 | iShares Global Clean Energy ETF | 194431 |
| 5923 | iShares Global Infrastructure ETF | 271510 |
| 3406 | iShares Global Timber & Forestry ETF | 247787 |
| 16030 | Utilities Select Sector SPDR Fund | 1130114 |
| 4690 | VanEck Agribusiness ETF | 402590 |
| 1055 | VanEck Environmental Services ETF | 143692 |
| 2847 | VanEck Natural Resources ETF | 140175 |
| 1102 | VanEck Rare Earth/Strategic Metals ETF | 83928 |
| 1810 | VanEck Steel ETF | 104690 |
| 2900 | VanEck Uranium + Nuclear Energy ETF | 159184 |
|  |  | 4086862 |
|  | **FIXED INCOME - 3.1%** |  |
| 4796 | iShares TIPS Bond ETF | 510486 |
|  | **TOTAL EXCHANGE-TRADED FUNDS (Cost $4,782,856)** | 4597348 |

---

The accompanying notes are an integral part of these consolidated financial statements.

---

| |
|:---|
| **CATALYST/MILLBURN DYNAMIC COMMODITY STRATEGY FUND** |
| **CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) (Continued)** |
| **December 31, 2022** |

---

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Principal**<br>**Amount ($)** |  | **Coupon Rate**<br>**(%)** | <br>**Maturity** |<br>**Fair Value** |
|  | **U.S. GOVERNMENT & AGENCIES — 12.5%** |  |  |  |
|  | **U.S. TREASURY NOTES — 9.4%** |  |  |  |
| 525000 | United States Treasury Note | 2.0000 | 02/15/23 | $523582 |
| 525000 | United States Treasury Note | 1.7500 | 05/15/23 | 519513 |
| 525000 | United States Treasury Note | 2.7500 | 11/15/23 | 516080 |
| 525000 | United States Treasury Note | 2.5000 | 08/15/23 | 517756 |
|  | **TOTAL U.S. GOVERNMENT & AGENCIES (Cost $2,088,650)** |  |  | 2076931 |
| **Shares** |  |  |  |  |
|  | **SHORT-TERM INVESTMENTS — 19.4%** |  |  |  |
|  | **MONEY MARKET FUNDS - 19.4%** |  |  |  |
| 3215808 | First American Government Obligations Fund, Class U, 4.10% (Cost $3,215,808)<sup>(c)</sup> |  |  | 3215808 |
|  | **TOTAL INVESTMENTS - 82.4% (Cost $13,944,355)** |  |  | $13641297 |
|  | **OTHER ASSETS IN EXCESS OF LIABILITIES- 17.6%** |  |  | 2911795 |
|  | **NET ASSETS - 100.0%** |  |  | $16553092 |

---

**OPEN FUTURES CONTRACTS**

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Number of**<br>**Contracts** | <br>**Open Long Futures Contracts** | <br>**Expiration** |<br>**Notional Amount<sup>(d)</sup>** | **Value and Unrealized**<br>**Appreciation (Depreciation)** |
| 20 | CBOT Corn Future<sup>(e)</sup> | 03/14/2023 | $678500 | $20300 |
| 8 | CBOT Soybean Future<sup>(e)</sup> | 03/14/2023 | 609600 | 14537 |
| 7 | CBOT Soybean Meal Future<sup>(e)</sup> | 03/14/2023 | 329700 | 9830 |
| 6 | CBOT Soybean Oil Future<sup>(e)</sup> | 03/14/2023 | 230652 | 2220 |
| 2 | CME Lean Hogs Future<sup>(e)</sup> | 02/14/2023 | 70160 | (380) |
| 6 | CME Live Cattle Future<sup>(e)</sup> | 02/28/2023 | 378960 | 8220 |
| 4 | COMEX Copper Future<sup>(e)</sup> | 03/29/2023 | 381050 | 16550 |
| 5 | COMEX Gold 100 Troy Ounces Future<sup>(e)</sup> | 02/24/2023 | 913099 | 24330 |
| 5 | COMEX Silver Future<sup>(e)</sup> | 03/29/2023 | 601000 | 58855 |
| 8 | ICE Brent Crude Oil Future<sup>(e)</sup> | 01/31/2023 | 687280 | 41010 |

---

The accompanying notes are an integral part of these consolidated financial statements.

---

| |
|:---|
| **CATALYST/MILLBURN DYNAMIC COMMODITY STRATEGY FUND** |
| **CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) (Continued)** |
| **December 31, 2022** |

---

**OPEN FUTURES CONTRACTS (Continued)**

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Number of<br> Contracts** | **Open Long Futures Contracts** | **Expiration** | **Notional Amount<sup>(d)</sup>** | **Value and Unrealized<br> Appreciation (Depreciation)** |
| 5 | ICE Gas Oil Future<sup>(e)</sup> | 02/10/2023 | $453000 | $(6675) |
| 2 | KCBT Hard Red Winter Wheat Future<sup>(e)</sup> | 03/14/2023 | 88800 | (6200) |
| 5 | LME Lead Future<sup>(e)</sup> | 03/13/2023 | 288688 | 28283 |
| 2 | LME Nickel Future<sup>(e)</sup> | 03/13/2023 | 360540 | 47111 |
| 5 | LME Primary Aluminum Future<sup>(e)</sup> | 03/13/2023 | 296501 | (13641) |
| 4 | LME Zinc Future<sup>(e)</sup> | 03/13/2023 | 297650 | (3221) |
| 1 | NYBOT CSC C Coffee Future<sup>(e)</sup> | 03/21/2023 | 62738 | (768) |
| 5 | NYBOT CSC Cocoa Future<sup>(e)</sup> | 03/16/2023 | 130000 | 2640 |
| 12 | NYBOT CSC Number 11 World Sugar Future<sup>(e)</sup> | 02/28/2023 | 269337 | 15802 |
| 1 | NYBOT CTN Number 2 Cotton Future<sup>(e)</sup> | 03/09/2023 | 41685 | (790) |
| 3 | NYMEX Henry Hub Natural Gas Futures<sup>(e)</sup> | 03/29/2023 | 117510 | (43050) |
| 2 | NYMEX Light Sweet Crude Oil Future<sup>(e)</sup> | 01/20/2023 | 160520 | 12770 |
| 4 | NYMEX NY Harbor ULSD Futures<sup>(e)</sup> | 01/31/2023 | 553560 | 30593 |
| 8 | NYMEX Platinum Future<sup>(e)</sup> | 04/26/2023 | 433160 | 28070 |
| 1 | NYMEX Reformulated Gasoline Blendstock for Oxygen<sup>(e)</sup> | 01/31/2023 | 104089 | 11903 |
|  | **TOTAL FUTURES CONTRACTS** |  |  | $298299 |

---

A/S - Anonim Sirketi

ETF - Exchange-Traded Fund

L.P. - Limited Partnership

Ltd. - Limited Company

PLC - Public Limited Company

REIT - Real Estate Investment Trust

S.A. - Société Anonyme

SPDR - Standard & Poor's Depositary Receipt

<sup>(a)</sup> The value of this security has been determined in good faith under policies of the Board of Trustees.

<sup>(b)</sup> Non-income producing security.

<sup>(c)</sup> Rate disclosed is the seven day effective yield as of December 31, 2022.

<sup>(d)</sup> The amounts shown are the underlying reference notional amounts to stock exchange indices and equities upon which the fair value of the futures contracts held by the Fund are based. Notional values do not represent the current fair value of, and are not necessarily indicative of the future cash flows of the Fund's futures contracts. Further, the underlying price changes in relation to the variables specified by the notional values affects the fair value of these derivative financial instruments. The notional values as set forth within this schedule do not purport to represent economic value at risk to the Fund.

<sup>(e)</sup> All or a portion of this investment is a holding of the CHCSF Fund Limited.

The accompanying notes are an integral part of these consolidated financial statements.

---

| |
|:---|
| **CATALYST/WARRINGTON STRATEGIC PROGRAM FUND** |
| **SCHEDULE OF INVESTMENTS (Unaudited)** |
| **December 31, 2022** |

---

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Principal**<br>**Amount ($)** |  | **Coupon Rate**<br>**(%)** | <br>**Maturity** |<br>**Fair Value** |
|  | **U.S. GOVERNMENT & AGENCIES — 37.0%** |  |  |  |
|  | **U.S. TREASURY BILLS — 37.0%** |  |  |  |
| 13000000 | United States Treasury Bill<sup>(a)</sup> | 3.4567 | 02/02/23 | $12958808 |
| 13000000 | United States Treasury Bill<sup>(a)</sup> | 4.4113 | 05/18/23 | 12780168 |
| 13000000 | United States Treasury Bill<sup>(a)</sup> | 4.4053 | 07/13/23 | 12691384 |
| 10000000 | United States Treasury Bill<sup>(a)</sup> | 4.3200 | 09/07/23 | 9699998 |
| 10000000 | United States Treasury Bill<sup>(a)</sup> | 4.4598 | 11/02/23 | 9620913 |
|  | **TOTAL U.S. GOVERNMENT & AGENCIES (Cost $57,931,994)** |  |  | 57751271 |
| **Shares** |  |  |  |  |
|  | **SHORT-TERM INVESTMENTS — 33.9%** |  |  |  |
|  | **MONEY MARKET FUNDS – 33.9%** |  |  |  |
| 52998291 | First American Government Obligations Fund, Class U, 4.10% (Cost $52,998,291)<sup>(b)</sup> | First American Government Obligations Fund, Class U, 4.10% (Cost $52,998,291)<sup>(b)</sup> | First American Government Obligations Fund, Class U, 4.10% (Cost $52,998,291)<sup>(b)</sup> | 52998291 |
|  | **TOTAL INVESTMENTS – 70.9% (Cost $110,930,285)** | **TOTAL INVESTMENTS – 70.9% (Cost $110,930,285)** | **TOTAL INVESTMENTS – 70.9% (Cost $110,930,285)** | $110749562 |
|  | **OTHER ASSETS IN EXCESS OF LIABILITIES - 29.1%** | **OTHER ASSETS IN EXCESS OF LIABILITIES - 29.1%** | **OTHER ASSETS IN EXCESS OF LIABILITIES - 29.1%** | 45425297 |
|  | **NET ASSETS - 100.0%** | **NET ASSETS - 100.0%** | **NET ASSETS - 100.0%** | $156174859 |

---

<sup>(a)</sup> Zero coupon bond.

<sup>(b)</sup> Rate disclosed is the seven day effective yield as of December 31, 2022.

See accompanying notes which are an integral part of these financial statements.

---

| |
|:---|
| **CATALYST SYSTEMATIC ALPHA FUND** |
| **CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)** |
| **December 31, 2022** |

---

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Principal**<br>**Amount ($)** |  | **Coupon Rate**<br>**(%)** | <br>**Maturity** |<br>**Fair Value** |
|  | **CONVERTIBLE BONDS — 12.9%** |  |  |  |
|  | **ASSET MANAGEMENT — 4.5%** |  |  |  |
| 225000 | New Mountain Finance Corporation<sup>(a)</sup> | 7.5000 | 10/15/25 | $227246 |
|  | **SPECIALTY FINANCE — 8.4%** |  |  |  |
| 225000 | Arbor Realty Trust, Inc.<sup>(a)</sup> | 7.5000 | 08/01/25 | 224663 |
| 225000 | Two Harbors Investment Corporation | 6.2500 | 01/15/26 | 194216 |
|  |  |  |  | 418879 |
|  | **TOTAL CONVERTIBLE BONDS (Cost $651,954)** |  |  | 646125 |
|  | **CORPORATE BONDS — 56.0%** |  |  |  |
|  | **AEROSPACE & DEFENSE — 9.0%** |  |  |  |
| 225000 | L3Harris Technologies, Inc. | 3.8500 | 06/15/23 | 223717 |
| 225000 | TransDigm, Inc.<sup>(a)</sup> | 8.0000 | 12/15/25 | 228736 |
|  |  |  |  | 452453 |
|  | **ASSET MANAGEMENT — 8.0%** |  |  |  |
| 225000 | Ares Capital Corporation | 3.5000 | 02/10/23 | 224522 |
| 175000 | Prospect Capital Corporation | 5.8750 | 03/15/23 | 175278 |
|  |  |  |  | 399800 |
|  | **BIOTECH & PHARMA — 4.5%** |  |  |  |
| 225000 | Mylan, Inc.<sup>(a)</sup> | 3.1250 | 01/15/23 | 224830 |
|  | **REAL ESTATE INVESTMENT TRUSTS — 4.4%** |  |  |  |
| 225000 | American Tower Corporation | 3.0000 | 06/15/23 | 222644 |
|  | **RETAIL - DISCRETIONARY — 3.4%** |  |  |  |
| 175000 | O'Reilly Automotive, Inc. | 3.8500 | 06/15/23 | 174085 |
|  | **SEMICONDUCTORS — 4.4%** |  |  |  |
| 225000 | Skyworks Solutions, Inc. | 0.9000 | 06/01/23 | 220579 |
|  | **TECHNOLOGY HARDWARE — 4.5%** |  |  |  |
| 225000 | Dell International, LLC / EMC Corporation | 5.4500 | 06/15/23 | 225167 |

---

See accompanying notes which are an integral part of these financial statements.

---

| |
|:---|
| **CATALYST SYSTEMATIC ALPHA FUND** |
| **CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) (Continued)** |
| **December 31, 2022** |

---

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Principal**<br>**Amount ($)** |  | **Coupon Rate**<br>**(%)** | <br>**Maturity** |<br>**Fair Value** |
|  | **CORPORATE BONDS — 56.0% (Continued)** |  |  |  |
|  | **TECHNOLOGY SERVICES — 17.8%** |  |  |  |
| 225000 | Equifax, Inc. | 3.9500 | 06/15/23 | $223756 |
| 225000 | Global Payments, Inc. | 4.0000 | 06/01/23 | 223675 |
| 225000 | Leidos, Inc. | 2.9500 | 05/15/23 | 223222 |
| 225000 | Western Union Company (The) | 4.2500 | 06/09/23 | 223934 |
|  |  |  |  | 894587 |
|  | **TOTAL CORPORATE BONDS (Cost $2,829,298)** |  |  | 2814145 |
| **Shares** |  |  |  |  |
|  | **SHORT-TERM INVESTMENTS — 10.3%** |  |  |  |
|  | **MONEY MARKET FUNDS – 10.3%** |  |  |  |
| 517612 | First American Government Obligations Fund, Class U, 4.10%<sup>(b)</sup> <sup>(c)</sup> (Cost $517,612) | First American Government Obligations Fund, Class U, 4.10%<sup>(b)</sup> <sup>(c)</sup> (Cost $517,612) | First American Government Obligations Fund, Class U, 4.10%<sup>(b)</sup> <sup>(c)</sup> (Cost $517,612) | 517612 |
|  | **TOTAL INVESTMENTS - 79.2% (Cost $3,998,864)** |  |  | $3977882 |
|  | **OTHER ASSETS IN EXCESS OF LIABILITIES- 20.8%** |  |  | 1043726 |
|  | **NET ASSETS - 100.0%** |  |  | $5021608 |

---

LLC - Limited Liability Company

REIT - Real Estate Investment Trust

BNP - BNP Paribas

<sup>(a)</sup> 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, 2022 the total market value of 144A securities is $905,474 or 18.0% of net assets.

<sup>(b)</sup> Rate disclosed is the seven day effective yield as of December 31, 2022.

<sup>(c)</sup> All or part of this security is held by CSACS Fund Ltd.

See accompanying notes which are an integral part of these financial statements.

---

| |
|:---|
| **CATALYST SYSTEMATIC ALPHA FUND** |
| **CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) (Continued)** |
| **December 31, 2022** |

---

**TOTAL RETURN SWAP - 1.7%**

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
| <br>**Shares** | <br>**Frequency and Reference Entity** | **Notional**<br>**Amount** | <br>**Counterparty** | <br>**Maturity** | **Pay/Receive Fixed**<br>**Rate** | **Upfront**<br>**Payments** | **Unrealized**<br>**Appreciation** |
| 1617 | At Maturity BNP Paribas Catalyst Systematic Index + | 6800000 | BNP Paribas | 6/12/2023 | 0.5000% |  | $86657 |

---

+ This instrument is held by CSACS Fund Ltd.

The accompanying notes are an integral part of these consolidated financial statements.

---

| |
|:---|
| **CATALYST SYSTEMATIC ALPHA FUND** |
| **CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) (Continued)** |
| **December 31, 2022** |

---

**BNP Paribas Catalyst Systematic Index Swap Holdings 1% of Notional ^**

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
|  |  |  | | | Value | |
|  |  |  | | | Unrealized | |
|  |  |  | | | Appreciation/ | |
| Long Contracts |  | Counterparty | Notional Amount | Maturity | (Depreciation) | Weighted % |
|  | **OPEN LONG FUTURES CONTRACTS** |  |  |  |  |  |
| 8 | CMX Gold | BNP Paribas | $1386441 | 12/31/2022 | $52231 | 20.39% |
| 33 | Eurostoxx 50 | BNP Paribas | 1370799 | 3/31/2023 | (64208) | 20.16% |
| 2 | JGB | BNP Paribas | 2050675 | 3/31/2023 | (32740) | 30.16% |
| 2 | Nikkei | BNP Paribas | 200753 | 3/31/2023 | (14275) | 2.95% |
| 4 | ICE Brent Crude | BNP Paribas | 324185 | 12/31/2023 | (7258) | 4.77% |
| 4 | ICE Brent Crude | BNP Paribas | 328060 | 6/30/2023 | (5331) | 4.82% |
| 4 | ICE Brent Crude | BNP Paribas | 320299 | 9/30/2023 | (6643) | 4.71% |
| 2 | ICE Gas Oil | BNP Paribas | 145478 | 4/30/2023 | (4173) | 2.14% |
| 2 | ICE Gas Oil | BNP Paribas | 145728 | 2/28/2023 | (2334) | 2.14% |
| 1 | ICE Gas Oil | BNP Paribas | 85661 | 5/31/2023 | (3050) | 1.26% |
| 1 | LME Aluminium | BNP Paribas | 32055 | 4/30/2023 | (1308) | 0.47% |
| 3 | LME Aluminium | BNP Paribas | 160600 | 12/31/2023 | (5613) | 2.36% |
| 1 | LME Aluminium | BNP Paribas | 64066 | 6/30/2023 | (2483) | 0.94% |
| 1 | LME Aluminium | BNP Paribas | 64032 | 5/31/2023 | (2579) | 0.94% |
| 3 | LME Aluminium | BNP Paribas | 160201 | 9/30/2023 | (5996) | 2.36% |
| 1 | LME Copper | BNP Paribas | 216266 | 12/31/2023 | 3747 | 3.18% |
| 1 | LME Copper | BNP Paribas | 172885 | 7/31/2023 | 3004 | 2.54% |
| 0 | LME Copper | BNP Paribas | 43221 | 5/31/2023 | 716 | 0.64% |
| 1 | LME Copper | BNP Paribas | 216244 | 9/30/2023 | 3866 | 3.18% |
| 1 | LME Nickel | BNP Paribas | 179872 | 4/30/2023 | 20176 | 2.65% |
| 1 | LME Nickel | BNP Paribas | 179141 | 6/30/2023 | 20397 | 2.63% |
| 0 | LME Nickel | BNP Paribas | 71835 | 5/31/2023 | 8130 | 1.06% |
| 0 | LME Zinc | BNP Paribas | 24584 | 4/30/2023 | (527) | 0.36% |
| 1 | LME Zinc | BNP Paribas | 98372 | 2/28/2023 | (1820) | 1.45% |
| 1 | LME Zinc | BNP Paribas | 49188 | 6/30/2023 | (1120) | 0.72% |
| 2 | LME Zinc | BNP Paribas | 123180 | 5/31/2023 | (2776) | 1.81% |
| 95 | NYMEX Gasoline | BNP Paribas | 104028 | 6/30/2023 | 1158 | 1.53% |
| 92 | NYMEX Gasoline | BNP Paribas | 101061 | 5/31/2023 | 1534 | 1.49% |
| 95 | NYMEX Gasoline | BNP Paribas | 98769 | 9/30/2023 | 396 | 1.45% |
| 91 | NYMEX Heating Oil | BNP Paribas | 117300 | 4/30/2023 | (2381) | 1.73% |
| 86 | NYMEX Heating Oil | BNP Paribas | 118467 | 2/28/2023 | 25 | 1.74% |
| 9 | NYMEX Natural Gas | BNP Paribas | 389899 | 2/28/2023 | (133989) | 5.73% |
| 12 | NYMEX Natural Gas | BNP Paribas | 541951 | 3/31/2024 | (81816) | 7.97% |
| 5 | NYMEX WTI Crude | BNP Paribas | 364772 | 12/31/2023 | (2856) | 5.36% |
| 5 | NYMEX WTI Crude | BNP Paribas | 367125 | 7/31/2023 | (1009) | 5.40% |
| 5 | NYMEX WTI Crude | BNP Paribas | 365985 | 9/30/2023 | (1801) | 5.38% |
|  | **NET UNREALIZED LOSS FROM OPEN LONG FUTURE CONTRACTS** | **NET UNREALIZED LOSS FROM OPEN LONG FUTURE CONTRACTS** | **NET UNREALIZED LOSS FROM OPEN LONG FUTURE CONTRACTS** | **NET UNREALIZED LOSS FROM OPEN LONG FUTURE CONTRACTS** | $**(272705)** |  |
| Short Contracts |  |  |  |  |  |  |
|  | **OPEN SHORT FUTURES CONTRACTS** |  |  |  |  |  |
| (2) | 3 Month SOFR | BNP Paribas | $(572245) | 12/31/2023 | $659 | 8.42% |
| (2) | 3 Month SOFR | BNP Paribas | (388106) | 12/31/2024 | 681 | 5.71% |
| (2) | 3 Month SOFR | BNP Paribas | (569755) | 6/30/2023 | 270 | 8.38% |
| (2) | 3 Month SOFR | BNP Paribas | (386497) | 6/30/2024 | 622 | 5.68% |
| (2) | 3 Month SOFR | BNP Paribas | (570023) | 3/31/2023 |  | 8.38% |
| (2) | 3 Month SOFR | BNP Paribas | (385060) | 3/31/2024 | 562 | 5.66% |
| (2) | 3 Month SOFR | BNP Paribas | (570618) | 9/30/2023 | 449 | 8.39% |
| (2) | 3 Month SOFR | BNP Paribas | (387506) | 9/30/2024 | 641 | 5.70% |
| (3) | 3 Months Euribor | BNP Paribas | (719738) | 12/31/2023 | 4821 | 10.58% |
| (3) | 3 Months Euribor | BNP Paribas | (694941) | 12/31/2024 | 3638 | 10.22% |
| (3) | 3 Months Euribor | BNP Paribas | (719887) | 6/30/2023 | 4305 | 10.59% |
| (3) | 3 Months Euribor | BNP Paribas | (693292) | 6/30/2024 | 3992 | 10.20% |

---

The accompanying notes are an integral part of these consolidated financial statements.

---

| |
|:---|
| **CATALYST SYSTEMATIC ALPHA FUND** |
| **CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) (Continued)** |
| **December 31, 2022** |

---

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
|  |  |  | | | Value | |
|  |  |  | | | Unrealized | |
|  |  |  | | | Appreciation/ | |
| Short Contracts |  | Counterparty | Notional Amount | Maturity | (Depreciation) | Weighted % |
| (3) | 3 Months Euribor | BNP Paribas | (724180) | 3/31/2023 | 1230 | 10.65% |
| (3) | 3 Months Euribor | BNP Paribas | (692216) | 3/31/2024 | 3812 | 10.18% |
| (3) | 3 Months Euribor | BNP Paribas | (719215) | 9/30/2023 | 4858 | 10.58% |
| (3) | 3 Months Euribor | BNP Paribas | (694224) | 9/30/2024 | 3744 | 10.21% |
| (37) | CBOE VIX Future | BNP Paribas | (874705) | 1/31/2023 | 55637 | 12.86% |
| (683) | CMX Copper | BNP Paribas | (650176) | 3/31/2023 | (12610) | 9.56% |
| (11) | ICE Brent Crude | BNP Paribas | (977994) | 3/31/2023 | 12142 | 14.38% |
| (4) | ICE Gas Oil | BNP Paribas | (375880) | 3/31/2023 | 8126 | 5.53% |
| (8) | LME Aluminium | BNP Paribas | (479706) | 3/31/2023 | 20889 | 7.05% |
| (2) | LME Nickel | BNP Paribas | (430238) | 3/31/2023 | (47955) | 6.33% |
| (4) | LME Zinc | BNP Paribas | (295178) | 3/31/2023 | 5833 | 4.34% |
| (301) | NYMEX Gasoline | BNP Paribas | (313775) | 3/31/2023 | (10737) | 4.61% |
| (176) | NYMEX Heating Oil | BNP Paribas | (235177) | 3/31/2023 | 2438 | 3.46% |
| (21) | NYMEX Natural Gas | BNP Paribas | (880524) | 3/31/2023 | 295598 | 12.95% |
| (14) | NYMEX WTI Crude | BNP Paribas | (1097157) | 3/31/2023 | 4076 | 16.13% |
|  | **NET UNREALIZED GAIN FROM OPEN SHORT FUTURE CONTRACTS** | **NET UNREALIZED GAIN FROM OPEN SHORT FUTURE CONTRACTS** | **NET UNREALIZED GAIN FROM OPEN SHORT FUTURE CONTRACTS** | **NET UNREALIZED GAIN FROM OPEN SHORT FUTURE CONTRACTS** | $**367719** |  |

---

---

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

---

The accompanying notes are an integral part of these consolidated financial statements.

---

| |
|:---|
| **CATALYST INCOME AND MULTI-STRATEGY FUND** |
| **CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)** |
| **December 31, 2022** |

---

---

| | | |
|:---|:---|:---|
| **Shares** |  | **Fair Value** |
|  | **COMMON STOCKS — 22.6%** |  |
|  | **MORTGAGE FINANCE - 18.8%** |  |
| 7970 | AGNC Investment Corporation | $82490 |
| 3695 | Annaly Capital Management, Inc. | 77891 |
| 5370 | Arbor Realty Trust, Inc. | 70830 |
| 3200 | Blackstone Mortgage Trust, Inc., Class A | 67744 |
| 12240 | Granite Point Mortgage Trust, Inc. | 65606 |
| 4840 | KKR Real Estate Finance Trust, Inc. | 67566 |
| 7230 | Ladder Capital Corporation | 72589 |
| 7149 | MFA Financial, Inc. | 70418 |
| 27790 | New York Mortgage Trust, Inc. | 71142 |
| 5270 | PennyMac Mortgage Investment Trust | 65295 |
| 10180 | Redwood Trust, Inc. | 68817 |
| 8840 | Rithm Capital Corporation | 72223 |
| 3740 | Starwood Property Trust, Inc. | 68554 |
| 10640 | TPG RE Finance Trust, Inc. | 72246 |
| 4840 | Two Harbors Investment Corporation | 76327 |
|  |  | 1069738 |
|  | **REAL ESTATE INVESTMENT TRUSTS - 3.8%** |  |
| 5490 | Franklin BSP Realty Trust, Inc. | 70821 |
| 2470 | Hannon Armstrong Sustainable Infrastructure | 71581 |
| 1670 | NexPoint Residential Trust, Inc. | 72678 |
|  |  | 215080 |
|  | **TOTAL COMMON STOCKS (Cost $1,592,742)** | 1284818 |
|  | **EXCHANGE-TRADED FUNDS — 35.9%** |  |
|  | **FIXED INCOME - 35.9%** |  |
| 3450 | iShares Convertible Bond ETF | 239672 |
| 8815 | iShares MBS ETF | 817590 |

---

See accompanying notes which are an integral part of these financial statements.

---

| |
|:---|
| **CATALYST INCOME AND MULTI-STRATEGY FUND** |
| **CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) (Continued)** |
| **December 31, 2022** |

---

---

| | | |
|:---|:---|:---|
| **Shares** |  | **Fair Value** |
|  | **EXCHANGE-TRADED FUNDS — 35.9% (Continued)** |  |
|  | **FIXED INCOME - 35.9% (Continued)** |  |
| 2490 | iShares Trust iShares 1-5 Year Investment Grade | $124052 |
| 1580 | Vanguard Intermediate-Term Corporate Bond ETF | 122466 |
| 13460 | Vanguard Mortgage-Backed Securities ETF | 612699 |
| 1650 | Vanguard Short-Term Corporate Bond ETF | 124064 |
|  | **TOTAL EXCHANGE-TRADED FUNDS (Cost $2,305,880)** | 2040543 |
|  | **OPEN END FUNDS — 10.2%** |  |
|  | **FIXED INCOME - 10.2%** |  |
| 30043 | Catalyst Enhanced Income Strategy Fund, Class I<sup>(a)</sup> | 289010 |
| 15691 | Rational Special Situations Income Fund, Institutional Class<sup>(a)</sup> | 288555 |
|  | **TOTAL OPEN END FUNDS (Cost $620,137)** | 577565 |
|  | **SHORT-TERM INVESTMENTS — 22.4%** |  |
|  | **MONEY MARKET FUNDS – 22.4%** |  |
| 1272178 | First American Government Obligations Fund, Class U, 4.10% (Cost $1,272,178)<sup>(b)</sup> | 1272178 |
|  | **TOTAL INVESTMENTS - 91.1% (Cost $5,790,937)** | $5175104 |
|  | **OTHER ASSETS IN EXCESS OF LIABILITIES- 8.9%** | 508653 |
|  | **NET ASSETS - 100.0%** | $5683757 |

---

**OPEN FUTURES CONTRACTS**

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Number of**<br>**Contracts** | <br>**Open Long Futures Contracts** | <br>**Expiration** |<br>**Notional Amount<sup>(c)</sup>** | **Value and Unrealized**<br>**Appreciation (Depreciation)** |
| 6 | CME Lean Hogs Future<sup>(d)</sup> | 04/17/2023 | $228720 | $(1215) |

---

See accompanying notes which are an integral part of these financial statements.

---

| |
|:---|
| **CATALYST INCOME AND MULTI-STRATEGY FUND** |
| **CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) (Continued)** |
| **December 31, 2022** |

---

**OPEN FUTURES CONTRACTS (Continued)**

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Number of<br> Contracts** | **Open Long Futures Contracts** | **Expiration** | **Notional Amount<sup>(c)</sup>** | **Value and Unrealized<br> Appreciation (Depreciation)** |
| 11 | CME Live Cattle Future<sup>(d)</sup> | 02/28/2023 | $694760 | $(2248) |
| 2 | COMEX Gold 100 Troy Ounces Future<sup>(d)</sup> | 02/24/2023 | 365240 | 1960 |
| 4 | COMEX Silver Future<sup>(d)</sup> | 03/29/2023 | 480800 | 9483 |
| 3 | HKG Hang Seng Index Future | 01/30/2023 | 382707 | 5276 |
| 7 | NYBOT CSC Cocoa Future<sup>(d)</sup> | 03/16/2023 | 182000 | (1545) |
|  | **TOTAL FUTURES CONTRACTS** |  |  | $11711 |
| **OPEN FUTURES CONTRACTS** | **OPEN FUTURES CONTRACTS** | **OPEN FUTURES CONTRACTS** | **OPEN FUTURES CONTRACTS** | **OPEN FUTURES CONTRACTS** |
| **Number of<br> Contracts** | **Open Short Futures Contracts** | **Expiration** | **Notional Amount<sup>(c)</sup>** | **Value and Unrealized<br> Appreciation** |
| 10 | 3 Month Euro Euribor Future | 03/17/2025 | $2595834 | $10993 |
| 5 | CME 3 Month Eurodollar Future | 03/17/2025 | 1206063 | 625 |
| 1 | NYMEX Henry Hub Natural Gas Futures<sup>(d)</sup> | 02/24/2023 | 41040 | 4285 |
| 6 | Three Month SONIA Index Futures | 06/17/2025 | 1740044 | 2160 |
| 2 | TSE Japanese 10 Year Bond Futures | 03/13/2023 | 2216348 | 1893 |
|  | **TOTAL FUTURES CONTRACTS** |  |  | $19956 |

---

ETF - Exchange-Traded Fund

<sup>(a)</sup> Affiliated Company.

<sup>(b)</sup> Rate disclosed is the seven day effective yield as of December 31, 2022.

<sup>(c)</sup> The amounts shown are the underlying reference notional amounts to stock exchange indices and equities upon which the fair value of the futures contracts held by the Fund are based. Notional values do not represent the current fair value of, and are not necessarily indicative of the future cash flows of the Fund's futures contracts. Further, the underlying price changes in relation to the variables specified by the notional values affects the fair value of these derivative financial instruments. The notional values as set forth within this schedule do not purport to represent economic value at risk to the Fund.

<sup>(d)</sup> All or a portion of this investment is a holding of the CAMFMSF Fund Limited.

See accompanying notes which are an integral part of these financial statements.

---

| |
|:---|
| **CATALYST NASDAQ-100 HEDGED EQUITY FUND** |
| **SCHEDULE OF INVESTMENTS (Unaudited)** |
| **December 31, 2022** |

---

---

| | | |
|:---|:---|:---|
| **Shares** |  | **Fair Value** |
|  | **COMMON STOCKS — 71.5%** |  |
|  | **AUTOMOTIVE - 2.1%** |  |
| 1312 | Lucid Group, Inc.<sup>(a)</sup><sup>(b)</sup> | $8961 |
| 736 | Rivian Automotive, Inc.<sup>(a)</sup> | 13564 |
| 1901 | Tesla, Inc.<sup>(a)</sup> | 234166 |
|  |  | 256691 |
|  | **BEVERAGES - 2.4%** |  |
| 1106 | Keurig Dr Pepper, Inc. | 39440 |
| 407 | Monster Beverage Corporation<sup>(a)</sup> | 41323 |
| 1076 | PepsiCo, Inc. | 194390 |
|  |  | 275153 |
|  | **BIOTECH & PHARMA - 3.8%** |  |
| 417 | Amgen, Inc. | 109521 |
| 477 | AstraZeneca plc - ADR | 32341 |
| 112 | Biogen, Inc.<sup>(a)</sup> | 31015 |
| 979 | Gilead Sciences, Inc. | 84047 |
| 300 | Moderna, Inc.<sup>(a)</sup> | 53886 |
| 84 | Regeneron Pharmaceuticals, Inc.<sup>(a)</sup> | 60605 |
| 145 | Seagen, Inc.<sup>(a)</sup> | 18634 |
| 200 | Vertex Pharmaceuticals, Inc.<sup>(a)</sup><sup>(b)</sup> | 57756 |
|  |  | 447805 |
|  | **CABLE & SATELLITE - 1.5%** |  |
| 122 | Charter Communications, Inc., Class A<sup>(a)</sup> | 41370 |
| 3369 | Comcast Corporation, Class A | 117814 |
| 3037 | Sirius XM Holdings, Inc.<sup>(b)</sup> | 17736 |
|  |  | 176920 |
|  | **COMMERCIAL SUPPORT SERVICES - 0.3%** |  |
| 79 | Cintas Corporation | 35678 |
|  | **DIVERSIFIED INDUSTRIALS - 1.0%** |  |
| 525 | Honeywell International, Inc. | 112507 |
|  | **E-COMMERCE DISCRETIONARY - 5.1%** |  |
| 6140 | Amazon.com, Inc.<sup>(a)</sup> | 515760 |
| 424 | eBay, Inc.<sup>(b)</sup> | 17583 |
| 379 | JD.com, Inc. - ADR | 21273 |

---

The accompanying notes are an integral part of these financial statements.

---

| |
|:---|
| **CATALYST NASDAQ-100 HEDGED EQUITY FUND** |
| **SCHEDULE OF INVESTMENTS (Unaudited) (Continued)** |
| **December 31, 2022** |

---

---

| | | |
|:---|:---|:---|
| **Shares** |  | **Fair Value** |
|  | **COMMON STOCKS — 71.5% (Continued)** |  |
|  | **E-COMMERCE DISCRETIONARY - 5.1% (Continued)** |  |
| 39 | MercadoLibre, Inc.<sup>(a)</sup><sup>(b)</sup> | $33003 |
| 365 | Pinduoduo, Inc. - ADR<sup>(a)</sup> | 29765 |
|  |  | 617384 |
|  | **ELECTRIC UTILITIES - 1.0%** |  |
| 401 | American Electric Power Company, Inc. | 38075 |
| 255 | Constellation Energy Corporation | 21984 |
| 776 | Exelon Corporation | 33546 |
| 427 | Xcel Energy, Inc. | 29937 |
|  |  | 123542 |
|  | **ENTERTAINMENT CONTENT - 0.8%** |  |
| 611 | Activision Blizzard, Inc. | 46771 |
| 216 | Electronic Arts, Inc. | 26391 |
| 1949 | Warner Bros Discovery, Inc.<sup>(a)</sup> | 18477 |
|  |  | 91639 |
|  | **FOOD - 0.9%** |  |
| 956 | Kraft Heinz Company (The) | 38919 |
| 1066 | Mondelez International, Inc., Class A | 71049 |
|  |  | 109968 |
|  | **INDUSTRIAL SUPPORT SERVICES - 0.2%** |  |
| 447 | Fastenal Company | 21152 |
|  | **INTERNET MEDIA & SERVICES - 8.8%** |  |
| 311 | Airbnb, Inc., CLASS A<sup>(a)</sup> | 26590 |
| 3664 | Alphabet, Inc., Class A<sup>(a)</sup> | 323275 |
| 3663 | Alphabet, Inc., Class C<sup>(a)</sup> | 325019 |
| 30 | Booking Holdings, Inc.<sup>(a)</sup> | 60458 |
| 1756 | Meta Platforms, Inc., Class A<sup>(a)</sup> | 211317 |
| 347 | Netflix, Inc.<sup>(a)</sup> | 102323 |
|  |  | 1048982 |
|  | **LEISURE FACILITIES & SERVICES - 1.1%** |  |
| 247 | Marriott International, Inc., Class A | 36776 |
| 896 | Starbucks Corporation | 88883 |
|  |  | 125659 |

---

The accompanying notes are an integral part of these financial statements.

---

| |
|:---|
| **CATALYST NASDAQ-100 HEDGED EQUITY FUND** |
| **SCHEDULE OF INVESTMENTS (Unaudited) (Continued)** |
| **December 31, 2022** |

---

---

| | | |
|:---|:---|:---|
| **Shares** |  | **Fair Value** |
|  | **COMMON STOCKS — 71.5% (Continued)** |  |
|  | **MEDICAL EQUIPMENT & DEVICES - 1.4%** |  |
| 61 | Align Technology, Inc.<sup>(a)</sup> | $12865 |
| 302 | DexCom, Inc.<sup>(a)</sup> | 34198 |
| 65 | IDEXX Laboratories, Inc.<sup>(a)</sup> | 26517 |
| 123 | Illumina, Inc.<sup>(a)</sup> | 24871 |
| 276 | Intuitive Surgical, Inc.<sup>(a)</sup> | 73237 |
|  |  | 171688 |
|  | **OIL & GAS PRODUCERS - 0.2%** |  |
| 136 | Diamondback Energy, Inc. | 18602 |
|  | **OIL & GAS SERVICES & EQUIPMENT - 0.2%** |  |
| 761 | Baker Hughes Company | 22472 |
|  | **RENEWABLE ENERGY - 0.2%** |  |
| 106 | Enphase Energy, Inc.<sup>(a)</sup><sup>(b)</sup> | 28086 |
|  | **RETAIL - CONSUMER STAPLES - 1.7%** |  |
| 346 | Costco Wholesale Corporation | 157949 |
| 173 | Dollar Tree, Inc.<sup>(a)</sup><sup>(b)</sup> | 24469 |
| 675 | Walgreens Boots Alliance, Inc. | 25218 |
|  |  | 207636 |
|  | **RETAIL - DISCRETIONARY - 0.9%** |  |
| 96 | Lululemon Athletica, Inc.<sup>(a)</sup> | 30756 |
| 49 | O'Reilly Automotive, Inc.<sup>(a)</sup> | 41358 |
| 271 | Ross Stores, Inc.<sup>(b)</sup> | 31455 |
|  |  | 103569 |
|  | **SEMICONDUCTORS - 10.4%** |  |
| 1259 | Advanced Micro Devices, Inc.<sup>(a)</sup> | 81545 |
| 398 | Analog Devices, Inc. | 65284 |
| 672 | Applied Materials, Inc. | 65439 |
| 69 | ASML Holding N.V. | 37702 |
| 316 | Broadcom, Inc. | 176685 |
| 429 | GLOBALFOUNDRIES, Inc.<sup>(a)</sup><sup>(b)</sup> | 23119 |
| 3223 | Intel Corporation | 85184 |
| 111 | KLA Corporation | 41850 |

---

The accompanying notes are an integral part of these financial statements.

---

| |
|:---|
| **CATALYST NASDAQ-100 HEDGED EQUITY FUND** |
| **SCHEDULE OF INVESTMENTS (Unaudited) (Continued)** |
| **December 31, 2022** |

---

---

| | | |
|:---|:---|:---|
| **Shares** |  | **Fair Value** |
|  | **COMMON STOCKS — 71.5% (Continued)** |  |
|  | **SEMICONDUCTORS - 10.4% (Continued)** |  |
| 106 | Lam Research Corporation<sup>(b)</sup> | $44552 |
| 666 | Marvell Technology, Inc. | 24669 |
| 429 | Microchip Technology, Inc. | 30137 |
| 849 | Micron Technology, Inc. | 42433 |
| 1921 | NVIDIA Corporation | 280735 |
| 202 | NXP Semiconductors N.V. | 31922 |
| 875 | QUALCOMM, Inc. | 96198 |
| 709 | Texas Instruments, Inc. | 117141 |
|  |  | 1244595 |
|  | **SOFTWARE - 13.2%** |  |
| 363 | Adobe, Inc.<sup>(a)</sup> | 122160 |
| 68 | ANSYS, Inc.<sup>(a)</sup> | 16428 |
| 116 | Atlassian Corp PLC, Class A<sup>(a)</sup> | 14927 |
| 169 | Autodesk, Inc.<sup>(a)</sup> | 31581 |
| 214 | Cadence Design Systems, Inc.<sup>(a)</sup> | 34377 |
| 170 | Crowdstrike Holdings, Inc., Class A<sup>(a)</sup> | 17899 |
| 228 | Datadog, Inc.<sup>(a)</sup> | 16758 |
| 610 | Fortinet, Inc.<sup>(a)</sup> | 29823 |
| 219 | Intuit, Inc. | 85239 |
| 4468 | Microsoft Corporation | 1071517 |
| 236 | Palo Alto Networks, Inc.<sup>(a)</sup> | 32931 |
| 119 | Synopsys, Inc.<sup>(a)</sup> | 37996 |
| 158 | Workday, Inc., Class A<sup>(a)</sup> | 26438 |
| 192 | Zoom Video Communications, Inc., Class A<sup>(a)</sup> | 13006 |
| 111 | Zscaler, Inc.<sup>(a)</sup> | 12421 |
|  |  | 1563501 |
|  | **TECHNOLOGY HARDWARE - 9.7%** |  |
| 7701 | Apple, Inc. | 1000591 |
| 3208 | Cisco Systems, Inc. | 152829 |
|  |  | 1153420 |
|  | **TECHNOLOGY SERVICES - 2.5%** |  |
| 324 | Automatic Data Processing, Inc.<sup>(b)</sup> | 77391 |
| 401 | Cognizant Technology Solutions Corporation, Class A | 22933 |
| 320 | CoStar Group, Inc.<sup>(a)</sup> | 24730 |

---

The accompanying notes are an integral part of these financial statements.

---

| |
|:---|
| **CATALYST NASDAQ-100 HEDGED EQUITY FUND** |
| **SCHEDULE OF INVESTMENTS (Unaudited) (Continued)** |
| **December 31, 2022** |

---

---

| | | |
|:---|:---|:---|
| **Shares** |  | **Fair Value** |
|  | **COMMON STOCKS — 71.5% (Continued)** |  |
|  | **TECHNOLOGY SERVICES - 2.5% (Continued)** |  |
| 496 | Fiserv, Inc.<sup>(a)</sup> | $50131 |
| 281 | Paychex, Inc. | 32472 |
| 890 | PayPal Holdings, Inc.<sup>(a)</sup> | 63386 |
| 122 | Verisk Analytics, Inc. | 21523 |
|  |  | 292566 |
|  | **TELECOMMUNICATIONS - 1.1%** |  |
| 971 | T-Mobile US, Inc.<sup>(a)</sup> | 135940 |
|  | **TRANSPORTATION & LOGISTICS - 0.6%** |  |
| 1642 | CSX Corporation | 50869 |
| 86 | Old Dominion Freight Line, Inc. | 24405 |
|  |  | 75274 |
|  | **TRANSPORTATION EQUIPMENT - 0.2%** |  |
| 272 | PACCAR, Inc. | 26920 |
|  | **WHOLESALE - DISCRETIONARY - 0.2%** |  |
| 372 | Copart, Inc.<sup>(a)</sup> | 22651 |
|  | **TOTAL COMMON STOCKS (Cost $10,261,841)** | 8510000 |
|  | **EXCHANGE-TRADED FUNDS — 13.5%** |  |
|  | **EQUITY - 13.5%** |  |
| 6029 | Invesco QQQ Trust Series 1 | 1605402 |
|  | **TOTAL EXCHANGE-TRADED FUNDS (Cost $1,780,605)** | 1605402 |
|  | **SHORT-TERM INVESTMENTS — 10.3%** |  |
|  | **COLLATERAL FOR SECURITIES LOANED - 3.1%** |  |
| 368591 | Mount Vernon Liquid Assets Portfolio, LLC, 4.49% (Cost $368,591)<sup>(c),(d)</sup> | 368591 |

---

The accompanying notes are an integral part of these financial statements.

---

| |
|:---|
| **CATALYST NASDAQ-100 HEDGED EQUITY FUND** |
| **SCHEDULE OF INVESTMENTS (Unaudited) (Continued)** |
| **December 31, 2022** |

---

---

| | | |
|:---|:---|:---|
| **Shares** |  | **Fair Value** |
|  | **SHORT-TERM INVESTMENTS — 10.3% (Continued)** |  |
|  | **MONEY MARKET FUNDS - 7.2%** |  |
| 852923 | First American Government Obligations Fund, Class U, 4.10% (Cost $852,923)<sup>(d)</sup> | $852923 |
|  | **TOTAL SHORT-TERM INVESTMENTS (Cost $1,221,514)** | 1221514 |

---

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
| **Contracts<sup>(e)</sup>** |  | **Counterparty** | **Expiration Date** | **Exercise Price** | **Exercise Price** | **Notional Value** | |
|  | **FUTURE OPTIONS PURCHASED - 4.6%** |  |  |  |  |  |  |
|  | **CALL OPTIONS PURCHASED - 0.3%** |  |  |  |  |  |  |
| 68 | NASDAQ 100 E-Mini Index Future Week 3 | WED | 01/20/2023 | $| 12400 | $14990260 | 6528 |
| 48 | S&P 500 E-Mini Index Future Week 3 | WED | 01/20/2023 |  | 4100 | 9266400 | 14400 |
| 25 | S&P 500 E-Mini Index Future | WED | 03/17/2023 |  | 4400 | 4826250 | 9688 |
|  | **TOTAL CALL OPTIONS PURCHASED** (Cost - $382,682) | **TOTAL CALL OPTIONS PURCHASED** (Cost - $382,682) | **TOTAL CALL OPTIONS PURCHASED** (Cost - $382,682) | **TOTAL CALL OPTIONS PURCHASED** (Cost - $382,682) | **TOTAL CALL OPTIONS PURCHASED** (Cost - $382,682) |  | 30616 |
|  | **PUT OPTIONS PURCHASED - 4.3%** |  |  |  |  |  |  |
| 68 | NASDAQ 100 E-Mini Index Future Week 3 | WED | 01/20/2023 |  | 10900 | 14990260 | 307360 |
| 49 | S&P 500 E-Mini Index Future Week 3 | WED | 04/21/2023 |  | 3200 | 9542138 | 66763 |
| 25 | S&P 500 E-Mini Index Future Week 3 | WED | 01/20/2023 |  | 3750 | 4826250 | 45625 |
| 50 | S&P 500 E-Mini Index Future | WED | 01/31/2023 |  | 3700 | 9652500 | 93125 |
|  | **TOTAL PUT OPTIONS PURCHASED** (Cost - $567,700) | **TOTAL PUT OPTIONS PURCHASED** (Cost - $567,700) | **TOTAL PUT OPTIONS PURCHASED** (Cost - $567,700) | **TOTAL PUT OPTIONS PURCHASED** (Cost - $567,700) |  |  | 512873 |
|  | **TOTAL FUTURE OPTIONS PURCHASED** (Cost - $950,382) | **TOTAL FUTURE OPTIONS PURCHASED** (Cost - $950,382) | **TOTAL FUTURE OPTIONS PURCHASED** (Cost - $950,382) | **TOTAL FUTURE OPTIONS PURCHASED** (Cost - $950,382) | **TOTAL FUTURE OPTIONS PURCHASED** (Cost - $950,382) |  | 543489 |
|  | **TOTAL INVESTMENTS - 99.9% (Cost $14,214,342)** | **TOTAL INVESTMENTS - 99.9% (Cost $14,214,342)** | **TOTAL INVESTMENTS - 99.9% (Cost $14,214,342)** | **TOTAL INVESTMENTS - 99.9% (Cost $14,214,342)** | **TOTAL INVESTMENTS - 99.9% (Cost $14,214,342)** |  | $11880405 |
|  | **CALL OPTIONS WRITTEN - (0.1)% (Proceeds - $364,325)** | **CALL OPTIONS WRITTEN - (0.1)% (Proceeds - $364,325)** | **CALL OPTIONS WRITTEN - (0.1)% (Proceeds - $364,325)** | **CALL OPTIONS WRITTEN - (0.1)% (Proceeds - $364,325)** | **CALL OPTIONS WRITTEN - (0.1)% (Proceeds - $364,325)** |  | (17025) |
|  | **PUT OPTIONS WRITTEN - (4.0)% (Proceeds - $463,038)** | **PUT OPTIONS WRITTEN - (4.0)% (Proceeds - $463,038)** | **PUT OPTIONS WRITTEN - (4.0)% (Proceeds - $463,038)** | **PUT OPTIONS WRITTEN - (4.0)% (Proceeds - $463,038)** | **PUT OPTIONS WRITTEN - (4.0)% (Proceeds - $463,038)** |  | (471316) |
|  | **OTHER ASSETS IN EXCESS OF LIABILITIES- 4.2%** | **OTHER ASSETS IN EXCESS OF LIABILITIES- 4.2%** | **OTHER ASSETS IN EXCESS OF LIABILITIES- 4.2%** | **OTHER ASSETS IN EXCESS OF LIABILITIES- 4.2%** | **OTHER ASSETS IN EXCESS OF LIABILITIES- 4.2%** |  | 505419 |
|  | **NET ASSETS - 100.0%** |  |  |  |  |  | $11897483 |

---

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| **Contracts<sup>(e)</sup>** |  | **Counterparty** | **Expiration Date** | **Exercise Price** | **Notional Value** | |
|  | **WRITTEN FUTURE OPTIONS - (4.1)%** |  |  |  |  |  |
|  | **CALL OPTIONS WRITTEN- (0.1)%** |  |  |  |  |  |
| 45 | NASDAQ 100 E-Mini Index Future Week 3 | WED | 01/20/2023 | $12000 | $9920025 | $15300 |
| 23 | S&P 500 E-Mini Index Future Week 3 | WED | 01/20/2023 | 4200 | 4440150 | 1725 |
|  | **TOTAL CALL OPTIONS WRITTEN** (Proceeds - $364,325) | **TOTAL CALL OPTIONS WRITTEN** (Proceeds - $364,325) | **TOTAL CALL OPTIONS WRITTEN** (Proceeds - $364,325) | **TOTAL CALL OPTIONS WRITTEN** (Proceeds - $364,325) |  | 17025 |
|  | **PUT OPTIONS WRITTEN - (4.0)%** |  |  |  |  |  |
| 68 | NASDAQ 100 E-Mini Index Future | WED | 03/17/2023 | 9650 | 14990260 | 197540 |
| 24 | S&P 500 E-Mini Index Future Week 3 | WED | 04/21/2023 | 3300 | 4673700 | 44400 |
| 25 | S&P 500 E-Mini Index Future Week 3 | WED | 04/21/2023 | 3700 | 4868438 | 147188 |

---

The accompanying notes are an integral part of these financial statements.

---

| |
|:---|
| **CATALYST NASDAQ-100 HEDGED EQUITY FUND** |
| **SCHEDULE OF INVESTMENTS (Unaudited) (Continued)** |
| **December 31, 2022** |

---

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| **Contracts<sup>(e)</sup>**<br>**(continued)** |  | <br>**Counterparty** | <br>**Expiration Date** |<br>**Exercise Price** |<br>**Notional Value** |<br>**Fair Value** |
|  | **WRITTEN FUTURE OPTIONS - (4.1)%** |  |  |  |  |  |
|  | **PUT OPTIONS WRITTEN - (4.0)% (Continued)** |  |  |  |  |  |
| 25 | S&P 500 E-Mini Index Future Week 3 | WED | 01/20/2023 | $3700 | $4826250 | $31250 |
| 25 | S&P 500 E-Mini Index Future | WED | 04/28/2023 | 3300 | 4868438 | 50938 |
|  | **TOTAL PUT OPTIONS WRITTEN** (Proceeds - $463,038) | **TOTAL PUT OPTIONS WRITTEN** (Proceeds - $463,038) | **TOTAL PUT OPTIONS WRITTEN** (Proceeds - $463,038) | **TOTAL PUT OPTIONS WRITTEN** (Proceeds - $463,038) |  | 471316 |
|  | **TOTAL FUTURE OPTIONS WRITTEN** (Proceeds - $827,363) | **TOTAL FUTURE OPTIONS WRITTEN** (Proceeds - $827,363) | **TOTAL FUTURE OPTIONS WRITTEN** (Proceeds - $827,363) | **TOTAL FUTURE OPTIONS WRITTEN** (Proceeds - $827,363) |  | $488341 |

---

**OPEN FUTURES CONTRACTS**

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Number of<br> Contracts** | **Open Long Futures Contracts** | **Expiration** | **Notional Amount<sup>(f)</sup>** | **Value and Unrealized<br> Appreciation (Depreciation)** |
| 1 | CBOE Volatility Index Future | 02/15/2023 | $24545 | $(1454) |
| 13 | CBOE Volatility Index Future | 03/22/2023 | 329557 | (12213) |
| 2 | CME E-Mini NASDAQ 100 Index Future | 03/17/2023 | 440892 | (17909) |
| 22 | Micro E-mini S&P 500 Future | 03/17/2023 | 424710 | 5129 |
|  | **TOTAL FUTURES CONTRACTS** |  |  | $(26447) |
| **OPEN FUTURES CONTRACTS** | **OPEN FUTURES CONTRACTS** |  |  |  |
| **Number of** |  |  |  | **Value and Unrealized** |
| **Contracts** | **Open Short Futures Contracts** | **Expiration** | **Notional Amount<sup>(f)</sup>** | **Appreciation** |
| 4 | CBOE Volatility Index Future | 01/18/2023 | $92392 | $8727 |
|  | **TOTAL FUTURES CONTRACTS** |  |  |  |

---

ADR - American Depositary Receipt

LLC - Limited Liability Company

N.V. - Naamioze Vennootschap

PLC - Public Limited Company

<sup>(a)</sup> Non-income producing security.

<sup>(b)</sup> All or a portion of the security is on loan. The total fair value of the securities on loan as of December 31, 2022 was $358,976.

<sup>(c)</sup> Security was purchased with cash received as collateral for securities on loan at December 31, 2022. Total collateral had a value of $368,591 at December 31, 2022.

<sup>(d)</sup> Rate disclosed is the seven day effective yield as of December 31, 2022.

<sup>(e)</sup> Each contract is equivalent to one futures contract.

<sup>(f)</sup> The amounts shown are the underlying reference notional amounts to stock exchange indices and equities upon which the fair value of the futures contracts held by the Fund are based. Notional values do not represent the current fair value of, and are not necessarily indicative of the future cash flows of the Fund's futures contracts. Further, the underlying price changes in relation to the variables specified by the notional values affects the fair value of these derivative financial instruments. The notional values as set forth within this schedule do not purport to represent economic value at risk to the Fund.

The accompanying notes are an integral part of these financial statements.

---

| |
|:---|
| **CATALYST/MILLBURN HEDGE STRATEGY FUND** |
| **CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)** |
| **December 31, 2022** |

---

---

| | | |
|:---|:---|:---|
| **Shares** |  | **Fair Value** |
|  | **EXCHANGE-TRADED FUNDS — 46.2%** |  |
|  | **EQUITY - 46.2%** |  |
| 549635 | iShares China Large-Cap ETF | $15554671 |
| 1867781 | iShares Core S&P Mid-Cap ETF | 451797547 |
| 2846985 | iShares Core S&P Small-Cap ETF | 269438660 |
| 710264 | iShares MSCI Australia ETF | 15789169 |
| 47547 | iShares MSCI Austria ETF | 903393 |
| 17774 | iShares MSCI Belgium ETF | 318510 |
| 574563 | iShares MSCI Brazil ETF | 16070527 |
| 479574 | iShares MSCI Canada ETF | 15696457 |
| 302662 | iShares MSCI Chile ETF | 8199114 |
| 315816 | iShares MSCI France ETF | 10459826 |
| 455080 | iShares MSCI Germany ETF | 11254128 |
| 710231 | iShares MSCI Hong Kong ETF | 14921953 |
| 54199 | iShares MSCI India ETF<sup>(a)</sup> | 2262266 |
| 24387 | iShares MSCI Israel ETF | 1365428 |
| 151484 | iShares MSCI Italy ETF | 4080979 |
| 284480 | iShares MSCI Japan ETF | 15487091 |
| 220723 | iShares MSCI Malaysia ETF | 5041313 |
| 278810 | iShares MSCI Mexico ETF | 13787155 |
| 84554 | iShares MSCI Netherlands ETF | 3148791 |
| 75220 | iShares MSCI Peru ETF | 2156557 |
| 548936 | iShares MSCI Singapore ETF | 10325486 |
| 171098 | iShares MSCI South Africa ETF | 7256266 |
| 256933 | iShares MSCI South Korea ETF | 14511576 |
| 413112 | iShares MSCI Spain ETF | 9989048 |
| 136665 | iShares MSCI Sweden ETF | 4418379 |
| 276903 | iShares MSCI Switzerland ETF | 11610543 |
| 398169 | iShares MSCI Taiwan ETF | 15990467 |
| 77190 | iShares MSCI Thailand ETF | 5803916 |
| 169633 | iShares MSCI Turkey ETF | 6276421 |
| 371068 | iShares MSCI United Kingdom ETF | 11376945 |
| 1830745 | iShares Russell 1000 ETF, EQUITY | 385408438 |
| 1819722 | iShares Russell 2000 ETF | 317286728 |
| 1636696 | iShares Russell Mid-Cap ETF, EQUITY | 110395145 |
| 1128632 | Schwab U.S. REIT ETF | 21771311 |

---

See accompanying notes which are an integral part of these financial statements.

---

| |
|:---|
| **CATALYST/MILLBURN HEDGE STRATEGY FUND** |
| **CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) (Continued)** |
| **December 31, 2022** |

---

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Shares** |  |  |  | **Fair Value** |
|  | **EXCHANGE-TRADED FUNDS — 46.2% (Continued)** |  |  |  |
|  | **EQUITY - 46.2% (Continued)** |  |  |  |
| 2677953 | Vanguard FTSE Emerging Markets ETF |  |  | $104386608 |
| 604424 | Vanguard FTSE Europe ETF |  |  | 33509267 |
| 427847 | Vanguard Large-Cap ETF |  |  | 74530947 |
| 814945 | Vanguard Mid-Cap ETF |  |  | 166093940 |
| 1942097 | Vanguard Real Estate ETF |  |  | 160184161 |
| 236720 | Vanguard S&P 500 ETF |  |  | 83169205 |
| 683876 | Vanguard Small-Cap ETF |  |  | 125518601 |
| 397537 | WisdomTree India Earnings Fund |  |  | 12955731 |
|  | **TOTAL EXCHANGE-TRADED FUNDS (Cost $2,332,439,993)** | **TOTAL EXCHANGE-TRADED FUNDS (Cost $2,332,439,993)** | **TOTAL EXCHANGE-TRADED FUNDS (Cost $2,332,439,993)** | 2570502664 |
| **Principal** |  | **Coupon Rate** |  |  |
| **Amount ($)** |  | **(%)** | **Maturity** | **Fair Value** |
|  | **U.S. GOVERNMENT & AGENCIES — 39.1%** |  |  |  |
|  | **U.S. TREASURY NOTES — 39.1%** |  |  |  |
| 699325000 | United States Treasury Note | 2.0000 | 02/15/23 | 697435522 |
| 441270000 | United States Treasury Note | 1.7500 | 05/15/23 | 436658300 |
| 659525000 | United States Treasury Note | 2.5000 | 08/15/23 | 650424584 |
| 393850000 | United States Treasury Note | 2.7500 | 11/15/23 | 387158520 |
|  | **TOTAL U.S. GOVERNMENT & AGENCIES (Cost $2,179,577,645)** | **TOTAL U.S. GOVERNMENT & AGENCIES (Cost $2,179,577,645)** | **TOTAL U.S. GOVERNMENT & AGENCIES (Cost $2,179,577,645)** | 2171676926 |
|  | **TOTAL INVESTMENTS – 85.3% (Cost $4,512,017,638)** | **TOTAL INVESTMENTS – 85.3% (Cost $4,512,017,638)** | **TOTAL INVESTMENTS – 85.3% (Cost $4,512,017,638)** | $4742179590 |
|  | **OTHER ASSETS IN EXCESS OF LIABILITIES- 14.7%** | **OTHER ASSETS IN EXCESS OF LIABILITIES- 14.7%** | **OTHER ASSETS IN EXCESS OF LIABILITIES- 14.7%** | 818013541 |
|  | **NET ASSETS - 100.0%** |  |  | $5560193131 |

---

**OPEN FUTURES CONTRACTS**

---

| | | | | |
|:---|:---|:---|:---|:---|
|<br>**Number of**<br>**Contracts** | <br>**Open Long Futures Contracts** | <br>**Expiration** |<br>**Notional Amount<sup>(b)</sup>** | **Value and Unrealized**<br>**Appreciation**<br>**(Depreciation)** |
| 675 | BMF Ibovespa Index Future | 02/15/2023 | $14185776 | $(49651) |
| 604 | CBOT Corn Future<sup>(c)</sup> | 03/14/2023 | 20490700 | (70038) |
| 1674 | CBOT Soybean Future<sup>(c)</sup> | 03/14/2023 | 127558800 | 1175637 |
| 1095 | CBOT Soybean Meal Future<sup>(c)</sup> | 03/14/2023 | 51574500 | 1469330 |
| 152 | CBOT Soybean Oil Future<sup>(c)</sup> | 03/14/2023 | 5843184 | (211632) |

---

See accompanying notes which are an integral part of these financial statements.

---

| |
|:---|
| **CATALYST/MILLBURN HEDGE STRATEGY FUND** |
| **CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) (Continued)** |
| **December 31, 2022** |

---

**OPEN FUTURES CONTRACTS (Continued)**

---

| | | | | |
|:---|:---|:---|:---|:---|
|<br>**Number of**<br>**Contracts** | <br>**Open Long Futures Contracts** | <br>**Expiration** |<br>**Notional Amount<sup>(b)</sup>** | **Value and Unrealized**<br>**Appreciation**<br>**(Depreciation)** |
| 107 | CME 3 Month Eurodollar Future | 03/18/2024 | $25573000 | $(39513) |
| 9 | CME 3 Month Eurodollar Future | 06/17/2024 | 2159325 | (4650) |
| 434 | CME 3 Month Eurodollar Future | 09/16/2024 | 104420400 | (372788) |
| 764 | CME 3 Month Eurodollar Future | 12/16/2024 | 184124000 | (366025) |
| 1023 | CME 3 Month Eurodollar Future | 03/17/2025 | 246760388 | (125150) |
| 718 | CME British Pound Currency Future | 03/13/2023 | 54226950 | (433331) |
| 566 | CME Canadian Dollar Currency Future | 03/14/2023 | 41838720 | 356645 |
| 473 | CME Euro Foreign Exchange Currency Future | 03/13/2023 | 63583026 | 311689 |
| 133 | CME Lean Hogs Future<sup>(c)</sup> | 02/14/2023 | 4665640 | (163410) |
| 213 | CME Live Cattle Future<sup>(c)</sup> | 02/28/2023 | 13453080 | (22820) |
| 1087 | CME Mexican Peso Currency Future | 03/13/2023 | 27511970 | 377430 |
| 90 | CME New Zealand Dollar Currency Future | 03/13/2023 | 5709600 | 55410 |
| 79 | CME Swiss Franc Currency Future | 03/13/2023 | 10765725 | 80031 |
| 3939 | Eurex EURO STOXX 50 Future | 03/17/2023 | 159643591 | (1121004) |
| 123 | Euronext Amsterdam Index Future | 01/20/2023 | 18166174 | (193197) |
| 359 | FTSE/MIB Index Future | 03/17/2023 | 45567898 | (47448) |
| 803 | HKG Hang Seng China Enterprises Index Future | 01/30/2023 | 34771836 | 114377 |
| 189 | HKG Hang Seng Index Future | 01/30/2023 | 24110571 | 582032 |
| 2337 | ICE Brent Crude Oil Future<sup>(c)</sup> | 01/31/2023 | 200771670 | 11977620 |
| 712 | ICE Brent Crude Oil Future<sup>(c)</sup> | 02/28/2023 | 60982800 | 3531990 |
| 223 | ICE Brent Crude Oil Future<sup>(c)</sup> | 03/31/2023 | 19015210 | 1187720 |
| 136 | ICE Brent Crude Oil Future<sup>(c)</sup> | 04/28/2023 | 11527360 | 493530 |
| 79 | ICE Brent Crude Oil Future<sup>(c)</sup> | 05/31/2023 | 6651800 | 361570 |
| 48 | ICE Brent Crude Oil Future<sup>(c)</sup> | 06/30/2023 | 4014240 | 196400 |
| 961 | ICE Gas Oil Future<sup>(c)</sup> | 02/10/2023 | 87066600 | 59526 |
| 513 | ICE Gas Oil Future<sup>(c)</sup> | 03/10/2023 | 45272250 | (242475) |
| 131 | ICE Gas Oil Future<sup>(c)</sup> | 04/12/2023 | 11200500 | (88175) |
| 460 | KCBT Hard Red Winter Wheat Future<sup>(c)</sup> | 03/14/2023 | 20424000 | 61399 |
| 31 | LME Lead Future<sup>(c)</sup> | 03/13/2023 | 1789863 | 60801 |
| 27 | LME Nickel Future<sup>(c)</sup> | 03/13/2023 | 4867290 | 162090 |
| 42 | LME Primary Aluminum Future<sup>(c)</sup> | 03/13/2023 | 2490611 | (15450) |
| 20 | LME Zinc Future<sup>(c)</sup> | 03/13/2023 | 1488250 | (29441) |
| 1071 | NYBOT CSC Number 11 World Sugar Future<sup>(c)</sup> | 02/28/2023 | 24038381 | (439723) |
| 1496 | NYMEX Light Sweet Crude Oil Future<sup>(c)</sup> | 01/20/2023 | 120068960 | 4459790 |
| 259 | NYMEX Light Sweet Crude Oil Future<sup>(c)</sup> | 02/21/2023 | 20836550 | 369060 |
| 114 | NYMEX Light Sweet Crude Oil Future<sup>(c)</sup> | 03/21/2023 | 9180420 | 234380 |
| 87 | NYMEX Light Sweet Crude Oil Future<sup>(c)</sup> | 04/20/2023 | 6999150 | 186420 |
| 67 | NYMEX Light Sweet Crude Oil Future<sup>(c)</sup> | 05/22/2023 | 5373400 | 203700 |
| 44 | NYMEX Light Sweet Crude Oil Future<sup>(c)</sup> | 06/20/2023 | 3512520 | 151530 |
| 655 | NYMEX NY Harbor ULSD Futures<sup>(c)</sup> | 01/31/2023 | 90645450 | 4081102 |
| 314 | NYMEX NY Harbor ULSD Futures<sup>(c)</sup> | 02/28/2023 | 41927290 | 1664893 |
| 70 | NYMEX NY Harbor ULSD Futures<sup>(c)</sup> | 03/31/2023 | 8996694 | 352502 |
| 34 | NYMEX NY Harbor ULSD Futures<sup>(c)</sup> | 04/28/2023 | 4255868 | 178075 |
| 5 | NYMEX Platinum Future<sup>(c)</sup> | 04/26/2023 | 270725 | 520 |
| 631 | NYMEX Reformulated Gasoline Blendstock for Oxygen<sup>(c)</sup> | 01/31/2023 | 65679907 | 6751307 |
| 501 | NYMEX Reformulated Gasoline Blendstock for Oxygen<sup>(c)</sup> | 02/28/2023 | 52148389 | 5125668 |
| 148 | NYMEX Reformulated Gasoline Blendstock for Oxygen<sup>(c)</sup> | 03/31/2023 | 16353674 | 1541080 |
| 77 | NYMEX Reformulated Gasoline Blendstock for Oxygen<sup>(c)</sup> | 04/28/2023 | 8476314 | 763547 |

---

See accompanying notes which are an integral part of these financial statements.

---

| |
|:---|
| **CATALYST/MILLBURN HEDGE STRATEGY FUND** |
| **CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) (Continued)** |
| **December 31, 2022** |

---

**OPEN FUTURES CONTRACTS (Continued)**

---

| | | | | |
|:---|:---|:---|:---|:---|
|<br>**Number of**<br>**Contracts** | <br>**Open Long Futures Contracts** | <br>**Expiration** |<br>**Notional Amount<sup>(b)</sup>** | **Value and Unrealized**<br>**Appreciation**<br>**(Depreciation)** |
| 224 | SAFEX FTSE/JSE Top 40 Index Future | 03/16/2023 | $8926729 | $9116 |
| 394 | SFE S&P ASX Share Price Index 200 Future | 03/16/2023 | 46886241 | (158707) |
| 335 | SGX FTSE Taiwan Index Futures | 01/30/2023 | 16639450 | (223910) |
| 6538 | TEF SET50 Index Future | 03/30/2023 | 38044698 | 677879 |
| 54 | Three Month SONIA Index Futures | 12/19/2023 | 15553511 | (7033) |
| 4 | Three Month SONIA Index Futures | 03/19/2024 | 1152958 | 29 |
| 61 | Three Month SONIA Index Futures | 09/17/2024 | 17636995 | (10041) |
| 41 | Three Month SONIA Index Futures | 06/17/2025 | 11890307 | (2776) |
|  | **TOTAL FUTURES CONTRACTS** |  |  | $44927437 |

---

**OPEN FUTURES CONTRACTS**

---

| | | | | |
|:---|:---|:---|:---|:---|
|<br>**Number of**<br>**Contracts** | <br>**Open Short Futures Contracts** | <br>**Expiration** |<br>**Notional Amount<sup>(b)</sup>** | **Value and Unrealized**<br>**Appreciation**<br>**(Depreciation)** |
| 952 | 3 Month Euro Euribor Future | 03/18/2024 | $246027626 | $1192870 |
| 823 | 3 Month Euro Euribor Future | 03/17/2025 | 213637193 | 590743 |
| 1049 | 3 Month Euro Euribor Future | 06/17/2024 | 271516785 | 1332666 |
| 729 | 3 Month Euro Euribor Future | 09/18/2023 | 187977634 | 1044095 |
| 1196 | 3 Month Euro Euribor Future | 09/16/2024 | 309981584 | 1391303 |
| 654 | 3 Month Euro Euribor Future | 12/18/2023 | 168760922 | 915608 |
| 1025 | 3 Month Euro Euribor Future | 12/16/2024 | 265935860 | 1208440 |
| 83 | Carbon Emissions Future<sup>(c)</sup> | 12/18/2023 | 7462801 | 322072 |
| 723 | CBOE Volatility Index Future<sup>(c)</sup> | 01/18/2023 | 16699926 | 106024 |
| 1282 | CBOE Volatility Index Future<sup>(c)</sup> | 02/15/2023 | 31467075 | 107790 |
| 281 | CBOE Volatility Index Future<sup>(c)</sup> | 03/22/2023 | 7123491 | 18793 |
| 2642 | CBOT 10 Year US Treasury Note | 03/22/2023 | 296688674 | (328033) |
| 6770 | CBOT 2 Year US Treasury Note Future | 03/31/2023 | 1388378060 | 3002622 |
| 7141 | CBOT 5 Year US Treasury Note | 03/31/2023 | 770728130 | (290105) |
| 3126 | CBOT US Long Bond Future | 03/22/2023 | 391825344 | 427531 |
| 333 | CBOT Wheat Future<sup>(c)</sup> | 03/14/2023 | 13186800 | (274012) |
| 510 | CME 3 Month Eurodollar Future | 09/18/2023 | 121029375 | (21287) |
| 1007 | CME 3 Month Eurodollar Future | 12/18/2023 | 239691175 | 61863 |
| 343 | CME Australian Dollar Currency Future | 03/13/2023 | 23421755 | (15385) |
| 943 | CME E-Mini NASDAQ 100 Index Future | 03/17/2023 | 207880577 | (1665093) |
| 460 | CME E-mini Russell 2000 Index Futures | 03/17/2023 | 40730700 | (59705) |
| 951 | CME E-Mini Standard & Poor's 500 Index Future | 03/17/2023 | 183590549 | (814649) |
| 223 | CME E-Mini Standard & Poor's MidCap 400 Index | 03/17/2023 | 54469980 | 1055130 |
| 91 | CME Japanese Yen Currency Future | 03/13/2023 | 8766713 | (80257) |
| 1890 | CME Ultra Long Term US Treasury Bond Future | 03/22/2023 | 253851570 | 782118 |
| 26 | COMEX Copper Future<sup>(c)</sup> | 03/29/2023 | 2476825 | 1325 |
| 24 | COMEX Gold 100 Troy Ounces Future<sup>(c)</sup> | 02/24/2023 | 4382880 | (7100) |
| 62 | COMEX Silver Future<sup>(c)</sup> | 03/29/2023 | 7452400 | (18475) |
| 715 | E-mini Dow Jones Industrial Average Index Futures | 03/17/2023 | 118993875 | 168890 |
| 4583 | Eurex 10 Year Euro BUND Future | 03/08/2023 | 652337713 | 31821215 |
| 3582 | Eurex 2 Year Euro SCHATZ Future | 03/08/2023 | 404341407 | 1472427 |
| 1351 | Eurex 30 Year Euro BUXL Future | 03/08/2023 | 195641118 | 30889072 |

---

See accompanying notes which are an integral part of these financial statements.

---

| |
|:---|
| **CATALYST/MILLBURN HEDGE STRATEGY FUND** |
| **CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) (Continued)** |
| **December 31, 2022** |

---

**OPEN FUTURES CONTRACTS (Continued)**

---

| | | | | |
|:---|:---|:---|:---|:---|
|<br>**Number of**<br>**Contracts** | <br>**Open Short Futures Contracts** | <br>**Expiration** |<br>**Notional Amount<sup>(b)</sup>** | **Value and Unrealized**<br>**Appreciation**<br>**(Depreciation)** |
| 5976 | Eurex 5 Year Euro BOBL Future | 03/08/2023 | $740681015 | $15354282 |
| 141 | Eurex DAX Index Future | 03/17/2023 | 52797623 | 482073 |
| 3591 | Euro-BTP Italian Bond Futures | 03/08/2023 | 418815420 | 7937770 |
| 1071 | Euronext CAC 40 Index Future | 01/20/2023 | 74203935 | 861951 |
| 4156 | French Government Bond Futures | 03/08/2023 | 566504765 | 15519096 |
| 450 | FTSE 100 Index Future | 03/17/2023 | 40614347 | 300136 |
| 442 | ICE US mini MSCI EAFE Index Futures | 03/17/2023 | 43081740 | 210925 |
| 2064 | ICE US MSCI Emerging Markets EM Index Futures | 03/17/2023 | 99010080 | 1061035 |
| 2076 | KFE KOSPI 200 Index Future | 03/09/2023 | 120701029 | 827028 |
| 7 | LME Copper Future<sup>(c)</sup> | 03/13/2023 | 1465713 | 7526 |
| 3064 | Long Gilt Future | 03/29/2023 | 370026837 | 4816981 |
| 304 | MEFF Madrid IBEX 35 Index Future | 01/20/2023 | 26673811 | 232667 |
| 2148 | Montreal Exchange 10 Year Canadian Bond Future | 03/22/2023 | 194421803 | 1526063 |
| 134 | Montreal Exchange S&P/TSX 60 Index Future | 03/16/2023 | 23156926 | (24092) |
| 224 | NYBOT CSC C Coffee Future<sup>(c)</sup> | 03/21/2023 | 14053200 | 163181 |
| 405 | NYBOT CSC Cocoa Future<sup>(c)</sup> | 03/16/2023 | 10530000 | (218590) |
| 217 | NYBOT CTN Number 2 Cotton Future<sup>(c)</sup> | 03/09/2023 | 9045645 | (63950) |
| 1035 | NYMEX Henry Hub Natural Gas Futures<sup>(c)</sup> | 01/27/2023 | 46316250 | 14046620 |
| 601 | NYMEX Henry Hub Natural Gas Futures<sup>(c)</sup> | 02/24/2023 | 24665040 | 7170490 |
| 295 | NYMEX Henry Hub Natural Gas Futures<sup>(c)</sup> | 03/29/2023 | 11555150 | 1457510 |
| 80 | NYMEX Henry Hub Natural Gas Futures<sup>(c)</sup> | 04/26/2023 | 3144800 | 347050 |
| 32 | NYMEX Henry Hub Natural Gas Futures<sup>(c)</sup> | 05/26/2023 | 1295040 | 20370 |
| 5 | OSE Nikkei 225 Index Future | 03/09/2023 | 993441 | (2306) |
| 4912 | SFE 10 Year Australian Bond Future | 03/15/2023 | 386838643 | 2871280 |
| 2741 | SFE 3 Year Australian Bond Future | 03/15/2023 | 199284956 | 1244149 |
| 3357 | SGX FTSE China A50 Futures Contract | 01/30/2023 | 43922988 | (128186) |
| 4 | SGX Nifty 50 Index Futures | 01/25/2023 | 145784 | 160 |
| 136 | SGX Nikkei 225 Stock Index Future | 03/09/2023 | 13466757 | 30324 |
| 186 | Three Month SONIA Index Futures | 06/18/2024 | 53688438 | 35309 |
| 83 | Three Month SONIA Index Futures | 12/17/2024 | 24030488 | (4549) |
| 49 | Three Month SONIA Index Futures | 03/18/2025 | 14200001 | (2221) |
| 610 | TSE Japanese 10 Year Bond Futures | 03/13/2023 | 675986013 | 4560914 |
| 593 | TSE TOPIX (Tokyo Price Index) Future | 03/09/2023 | 85452610 | 1574021 |
|  | **TOTAL FUTURES CONTRACTS** |  |  | $156553513 |

---

ETF - Exchange-Traded Fund

MSCI - Morgan Stanley Capital International

REIT - Real Estate Investment Trust

<sup>(a)</sup> Non-income producing security.

<sup>(b)</sup> The amounts shown are the underlying reference notional amounts to stock exchange indices and equities upon which the fair value of the futures contracts held by the Fund are based. Notional values do not represent the current fair value of, and are not necessarily indicative of the future cash flows of the Fund's futures contracts. Further, the underlying price changes in relation to the variables specified by the notional values affects the fair value of these derivative financial instruments. The notional values as set forth within this schedule do not purport to represent economic value at risk to the Fund.

<sup>(c)</sup> All or a portion of this investment is a holding of the CMHSF Fund Ltd.

See accompanying notes which are an integral part of these financial statements.

---

| |
|:---|
| **CATALYST/MILLBURN HEDGE STRATEGY FUND** |
| **CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) (Continued)** |
| **December 31, 2022** |

---

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| <br>**Foreign Currency** | <br>**Settlement Date** | <br>**Counterparty** |<br>**Local Currency** |<br>**U.S. Dollar Value** | **Unrealized**<br>**Appreciation/(Depreciation)** |
| **To Buy:** |  |  |  |  |  |
| Australian Dollar | 01/03/2023 | Deutsche Bank | 13890000 | $9456055 | $44456 |
| British Pound | 01/03/2023 | Bank Of America Merrill Lynch | 36560000 | 44196224 | 69401 |
| Canadian Dollar | 01/03/2023 | Deutsche Bank | 126450000 | 93393404 | 90962 |
| Euro | 01/03/2023 | Bank Of America Merrill Lynch | 57550000 | 61623301 | 70592 |
| Israeli Shekel | 01/03/2023 | Bank Of America Merrill Lynch | 23780000 | 6762982 | 11644 |
| Mexican Peso | 01/03/2023 | Bank Of America Merrill Lynch | 71230000 | 3655146 | (13461) |
| Norwegian Krone | 01/03/2023 | Bank Of America Merrill Lynch | 126230000 | 12885437 | 67948 |
| Polish Zloty | 01/03/2023 | Bank Of America Merrill Lynch | 3190000 | 728660 | 1843 |
| South African Rand | 01/03/2023 | Bank Of America Merrill Lynch | 228530000 | 13448400 | (10851) |
| Swedish Krona | 01/03/2023 | Deutsche Bank | 642900000 | 61618588 | (2419) |
| Swiss Franc | 01/03/2023 | Bank Of America Merrill Lynch | 10880000 | 11767378 | (24111) |
| Australian Dollar | 01/04/2023 | Deutsche Bank | 29980000 | 20409830 | (32033) |
| British Pound | 01/04/2023 | Bank Of America Merrill Lynch | 41710000 | 50421895 | 9938 |
| Japanese Yen | 01/04/2023 | Bank Of America Merrill Lynch | 1289000000 | 9820129 | 180876 |
| Mexican Peso | 01/04/2023 | Bank Of America Merrill Lynch | 85850000 | 4405365 | 411 |
| New Zealand Dollar | 01/04/2023 | Deutsche Bank | 70950000 | 45053340 | (7005) |
| Singapore Dollar | 01/04/2023 | Bank Of America Merrill Lynch | 13500000 | 10079140 | 1731 |
| South African Rand | 01/04/2023 | Bank Of America Merrill Lynch | 128890000 | 7584843 | (31968) |
| Swiss Franc | 01/04/2023 | Bank Of America Merrill Lynch | 29750000 | 32176424 | (80941) |
| Japanese Yen | 01/05/2023 | Bank Of America Merrill Lynch | 4344999999 | 33106645 | (55725) |
| New Zealand Dollar | 01/05/2023 | Deutsche Bank | 80960000 | 51410518 | 84519 |
| Australian Dollar | 01/18/2023 | Deutsche Bank | 684870000 | 466533854 | 5211921 |
| Brazilian Real | 01/18/2023 | Bank Of America Merrill Lynch | 2548019999 | 480597527 | (5017489) |
| British Pound | 01/18/2023 | Bank Of America Merrill Lynch | 735250000 | 889177699 | (9006306) |
| Canadian Dollar | 01/18/2023 | Deutsche Bank | 1133700000 | 837387278 | 5099039 |
| Chilean Peso | 01/18/2023 | Bank Of America Merrill Lynch | 19708000000 | 23175662 | 1044145 |
| Euro | 01/18/2023 | Bank Of America Merrill Lynch | 667640000 | 715621641 | 10877752 |
| Indian Rupee | 01/18/2023 | Bank Of America Merrill Lynch | 4443940000 | 53708515 | 66247 |
| Israeli Shekel | 01/18/2023 | Bank Of America Merrill Lynch | 143170000 | 40744430 | (1207031) |
| Japanese Yen | 01/18/2023 | Bank Of America Merrill Lynch | 88366999989 | 674542247 | 19859543 |
| Mexican Peso | 01/18/2023 | Bank Of America Merrill Lynch | 9762309993 | 499564191 | 7309742 |
| New Zealand Dollar | 01/18/2023 | Deutsche Bank | 835930000 | 530934483 | (1291768) |
| Norwegian Krone | 01/18/2023 | Bank Of America Merrill Lynch | 1555320000 | 158863787 | 457536 |
| Polish Zloty | 01/18/2023 | Bank Of America Merrill Lynch | 212750000 | 48535010 | 758598 |
| Singapore Dollar | 01/18/2023 | Bank Of America Merrill Lynch | 137480000 | 102669202 | 1220178 |
| South African Rand | 01/18/2023 | Bank Of America Merrill Lynch | 3273750000 | 192403578 | 3578065 |
| South Korean Won | 01/18/2023 | Bank Of America Merrill Lynch | 79177999987 | 62891874 | 2537688 |
| Swedish Krona | 01/18/2023 | Deutsche Bank | 2460030000 | 235985226 | (3252949) |
| Swiss Franc | 01/18/2023 | Bank Of America Merrill Lynch | 422490000 | 457704175 | 2373590 |
|  |  |  |  | $**7055044083** | $**40994308** |

---

See accompanying notes which are an integral part of these financial statements.

---

| |
|:---|
| **CATALYST/MILLBURN HEDGE STRATEGY FUND** |
| **CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) (Continued)** |
| **December 31, 2022** |

---

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| <br>**Foreign Currency** | <br>**Settlement Date** | <br>**Counterparty** |<br>**Local Currency** |<br>**U.S. Dollar Value** | **Unrealized**<br>**Appreciation/(Depreciation)** |
| **To Sell:** |  |  |  |  |  |
| Australian Dollar | 01/03/2023 | Deutsche Bank | 13890000 | $9456053 | $(96155) |
| British Pound | 01/03/2023 | Bank Of America Merrill Lynch | 36560000 | 44196227 | (159414) |
| Canadian Dollar | 01/03/2023 | Deutsche Bank | 126450000 | 93393407 | (17181) |
| Euro | 01/03/2023 | Bank Of America Merrill Lynch | 57550000 | 61623302 | (251952) |
| Israeli Shekel | 01/03/2023 | Bank Of America Merrill Lynch | 23780000 | 6762981 | (22347) |
| Mexican Peso | 01/03/2023 | Bank Of America Merrill Lynch | 71230000 | 3655145 | 9391 |
| Norwegian Krone | 01/03/2023 | Bank Of America Merrill Lynch | 126230000 | 12885439 | (96423) |
| Polish Zloty | 01/03/2023 | Bank Of America Merrill Lynch | 3190000 | 728660 | (1677) |
| South African Rand | 01/03/2023 | Bank Of America Merrill Lynch | 228530000 | 13448398 | (33062) |
| Swedish Krona | 01/03/2023 | Deutsche Bank | 642900000 | 61618591 | (110478) |
| Swiss Franc | 01/03/2023 | Bank Of America Merrill Lynch | 10880000 | 11767379 | 4740 |
| Australian Dollar | 01/04/2023 | Deutsche Bank | 29980000 | 20409832 | (49514) |
| British Pound | 01/04/2023 | Bank Of America Merrill Lynch | 41710000 | 50421893 | (143444) |
| Japanese Yen | 01/04/2023 | Bank Of America Merrill Lynch | 1289000000 | 9820129 | (131658) |
| Mexican Peso | 01/04/2023 | Bank Of America Merrill Lynch | 85850000 | 4405366 | (445) |
| New Zealand Dollar | 01/04/2023 | Deutsche Bank | 70950000 | 45053329 | (179189) |
| Singapore Dollar | 01/04/2023 | Bank Of America Merrill Lynch | 13500000 | 10079136 | (21782) |
| South African Rand | 01/04/2023 | Bank Of America Merrill Lynch | 128890000 | 7584843 | 12039 |
| Swiss Franc | 01/04/2023 | Bank Of America Merrill Lynch | 29750000 | 32176423 | 52063 |
| Japanese Yen | 01/05/2023 | Bank Of America Merrill Lynch | 4345000000 | 33106643 | (228418) |
| New Zealand Dollar | 01/05/2023 | Deutsche Bank | 80960000 | 51410521 | (136496) |
| Australian Dollar | 01/18/2023 | Deutsche Bank | 889070000 | 605635016 | (610602) |
| Brazilian Real | 01/18/2023 | Bank Of America Merrill Lynch | 708860000 | 133702394 | (452007) |
| British Pound | 01/18/2023 | Bank Of America Merrill Lynch | 392710000 | 474925504 | 5814894 |
| Canadian Dollar | 01/18/2023 | Deutsche Bank | 865590000 | 639352614 | 1541346 |
| Chilean Peso | 01/18/2023 | Bank Of America Merrill Lynch | 11831000000 | 13912689 | (253759) |
| Euro | 01/18/2023 | Bank Of America Merrill Lynch | 290630000 | 311516863 | (2416163) |
| Indian Rupee | 01/18/2023 | Bank Of America Merrill Lynch | 4662920000 | 56355060 | 86605 |
| Israeli Shekel | 01/18/2023 | Bank Of America Merrill Lynch | 33870000 | 9638987 | (26582) |
| Japanese Yen | 01/18/2023 | Bank Of America Merrill Lynch | 88366999991 | 674542251 | (17468999) |
| Mexican Peso | 01/18/2023 | Bank Of America Merrill Lynch | 1524590000 | 78017453 | (1102240) |
| New Zealand Dollar | 01/18/2023 | Deutsche Bank | 835930000 | 530934486 | 1353509 |
| Norwegian Krone | 01/18/2023 | Bank Of America Merrill Lynch | 1551090000 | 158431724 | (1285039) |
| Singapore Dollar | 01/18/2023 | Bank Of America Merrill Lynch | 48530000 | 36241899 | (187925) |
| South African Rand | 01/18/2023 | Bank Of America Merrill Lynch | 1874740000 | 110181499 | (2485759) |
| South Korean Won | 01/18/2023 | Bank Of America Merrill Lynch | 60112999998 | 47748358 | (1124257) |
| Swedish Krona | 01/18/2023 | Deutsche Bank | 2372920000 | 227628958 | 432141 |
| Swiss Franc | 01/18/2023 | Bank Of America Merrill Lynch | 492150000 | 533170278 | (4753768) |
| Japanese Yen | 02/15/2023 | Bank Of America Merrill Lynch | 7728999998 | 59223246 | (220829) |
| New Zealand Dollar | 02/15/2023 | Deutsche Bank | 55800000 | 35454113 | (22363) |
|  |  |  |  | $**5320617089** | $**(24783199)** |
| **Total** |  |  |  |  | $**16211109** |

---

See accompanying notes which are an integral part of these financial statements.

---

| |
|:---|
| **CATALYST/MILLBURN HEDGE STRATEGY FUND** |
| **CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) (Continued)** |
| **December 31, 2022** |

---

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Foreign Currency** | **Foreign Currency** | <br>**Settlement**<br>**Date** | <br>**Counterparty** | **Local Currency**<br>**Amount**<br>**Purchased Sell** | **Local Currency**<br>**Amount Purchased**<br>**Sell** |<br>**U.S. Dollar Market**<br>**Value Buy** |<br>**U.S. Dollar Market**<br>**Value Sell** | **Unrealized**<br>**Appreciation/**<br>**(Depreciation)** |
| **To Buy:** | **To Sell:** |  |  |  |  |  |  |  |
| Euro | Norwegian Krone | 1/18/2023 | Bank Of America<br> Merrill Lynch | 122510000 | 1260946579 | 131314496 | (128795839) | $2518657 |
| Euro | Polish Zloty | 1/18/2023 | Bank Of America<br> Merrill Lynch | 28920000 | 136509139 | 30998414 | (31142056) | (143642) |
| Euro | Swedish Krona | 1/18/2023 | Bank Of America<br> Merrill Lynch | 162980000 | 1772915906 | 174692968 | (170071895) | 4621073 |
| Norwegian Krone | Euro | 1/18/2023 | Bank Of America<br> Merrill Lynch | 2513334679 | 240050000 | 256717498 | (257301791) | (584293) |
| Polish Zloty | Euro | 1/18/2023 | Bank Of America<br> Merrill Lynch | 325402490 | 68810000 | 74234611 | (73755205) | 479406 |
| Swedish Krona | Euro | 1/18/2023 | Bank Of America<br> Merrill Lynch | 1864617024 | 170060000 | 178868579 | (182281783) | (3413204) |
|  |  |  |  | **5017764193** | **3649291624** | $**846826566** | $**843348569** | $**3477997** |
| **Total** |  |  |  |  |  |  |  | $**3477997** |

---

See accompanying notes which are an integral part of these financial statements.

---

| |
|:---|
| **CATALYST BUFFERED SHIELD FUND** |
| **SCHEDULE OF INVESTMENTS (Unaudited)** |
| **December 31, 2022** |

---

---

| | | |
|:---|:---|:---|
| **Shares** |  | **Fair Value** |
|  | **EXCHANGE-TRADED FUNDS — 96.1%** |  |
|  | **FIXED INCOME - 96.1%** |  |
| 242764 | iShares 1-5 Year Investment Grade Corporate Bond ETF | $12094502 |
| 289165 | PGIM Ultra Short Bond ETF<sup>(a)</sup> | 14198002 |
| 174223 | Vanguard Short-Term Corporate Bond ETF | 13099827 |
|  |  | 39392331 |
|  | **TOTAL EXCHANGE-TRADED FUNDS (Cost $41,786,515)** | 39392331 |

---

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| **Contracts<sup>(b)</sup>** |  | **Counterparty** | **Expiration Date** | **Exercise Price** | **Notional Value** | |
|  | **EQUITY OPTIONS PURCHASED - 11.8%** |  |  |  |  |  |
|  | **CALL OPTIONS PURCHASED - 5.4%** |  |  |  |  |  |
| 62 | SPDR S&P 500 ETF Trust | FCS | 01/20/2023 | $430 | $2371066 | 248 |
| 10 | SPDR S&P 500 ETF Trust | FCS | 01/20/2023 | 445 | 382430 | 20 |
| 120 | SPDR S&P 500 ETF Trust | FCS | 03/17/2023 | 420 | 4589160 | 34680 |
| 150 | SPDR S&P 500 ETF Trust | FCS | 03/17/2023 | 430 | 5736450 | 22500 |
| 25 | SPDR S&P 500 ETF Trust | FCS | 03/17/2023 | 435 | 956075 | 2500 |
| 25 | SPDR S&P 500 ETF Trust | FCS | 03/17/2023 | 445 | 956075 | 1275 |
| 250 | SPDR S&P 500 ETF Trust | FCS | 06/16/2023 | 365 | 9560750 | 923750 |
| 45 | SPDR S&P 500 ETF Trust | FCS | 06/16/2023 | 400 | 1720935 | 80280 |
| 70 | SPDR S&P 500 ETF Trust | FCS | 06/16/2023 | 410 | 2677010 | 83930 |
| 125 | SPDR S&P 500 ETF Trust | FCS | 09/15/2023 | 415 | 4780375 | 214000 |
| 167 | SPDR S&P 500 ETF Trust | FCS | 01/19/2024 | 380 | 6386581 | 722943 |
| 23 | SPDR S&P 500 ETF Trust | FCS | 01/19/2024 | 385 | 879589 | 88642 |
|  | **TOTAL CALL OPTIONS PURCHASED** (Cost - $3,686,480) | **TOTAL CALL OPTIONS PURCHASED** (Cost - $3,686,480) | **TOTAL CALL OPTIONS PURCHASED** (Cost - $3,686,480) | **TOTAL CALL OPTIONS PURCHASED** (Cost - $3,686,480) |  | 2174768 |
|  | **PUT OPTIONS PURCHASED - 6.4%** |  |  |  |  |  |
| 320 | SPDR S&P 500 ETF Trust | FCS | 03/17/2023 | 415 | 12237760 | 1120000 |
| 45 | SPDR S&P 500 ETF Trust | FCS | 06/16/2023 | 370 | 1720935 | 75195 |
| 30 | SPDR S&P 500 ETF Trust | FCS | 06/16/2023 | 375 | 1147290 | 54450 |
| 250 | SPDR S&P 500 ETF Trust | FCS | 06/16/2023 | 380 | 9560750 | 500000 |
| 70 | SPDR S&P 500 ETF Trust | FCS | 06/16/2023 | 390 | 2677010 | 169400 |
| 125 | SPDR S&P 500 ETF Trust | FCS | 09/15/2023 | 385 | 4780375 | 347500 |
| 167 | SPDR S&P 500 ETF Trust | FCS | 01/19/2024 | 355 | 6386581 | 354541 |
| 23 | SPDR S&P 500 ETF Trust | FCS | 01/19/2024 | 365 | 879589 | 58259 |
|  | **TOTAL PUT OPTIONS PURCHASED** (Cost - $2,609,821) | **TOTAL PUT OPTIONS PURCHASED** (Cost - $2,609,821) | **TOTAL PUT OPTIONS PURCHASED** (Cost - $2,609,821) | **TOTAL PUT OPTIONS PURCHASED** (Cost - $2,609,821) |  | 2679345 |
|  | **TOTAL EQUITY OPTIONS PURCHASED** (Cost - $6,296,301) | **TOTAL EQUITY OPTIONS PURCHASED** (Cost - $6,296,301) | **TOTAL EQUITY OPTIONS PURCHASED** (Cost - $6,296,301) | **TOTAL EQUITY OPTIONS PURCHASED** (Cost - $6,296,301) |  | 4854113 |

---

The accompanying notes are an integral part of these consolidated financial statements.

---

| |
|:---|
| **CATALYST BUFFERED SHIELD FUND** |
| **SCHEDULE OF INVESTMENTS (Unaudited) (Continued)** |
| **December 31, 2022** |

---

---

| | |
|:---|:---|
|  | **Fair Value** |
| **TOTAL INVESTMENTS - 107.9% (Cost $48,082,816)** | $44246444 |
| **CALL OPTIONS WRITTEN - (1.2)% (Proceeds - $2,116,331)** | (499641) |
| **PUT OPTIONS WRITTEN - (7.7)% (Proceeds - $3,701,658)** | (3170214) |
| **OTHER ASSETS IN EXCESS OF LIABILITIES- 1.0%** | 421736 |
| **NET ASSETS - 100.0%** | $40998325 |

---

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| **Contracts<sup>(b)</sup>** |  | **Counterparty** | **Expiration Date** | **Exercise Price** | **Notional Value** | |
|  | **WRITTEN EQUITY OPTIONS - (8.9)%** |  |  |  |  |  |
|  | **CALL OPTIONS WRITTEN- (1.2)%** |  |  |  |  |  |
| 150 | SPDR S&P 500 ETF Trust | FCS | 01/20/2023 | $500 | $5736450 | $150 |
| 100 | SPDR S&P 500 ETF Trust | FCS | 03/17/2023 | 470 | 3824300 | 1300 |
| 95 | SPDR S&P 500 ETF Trust | FCS | 03/17/2023 | 475 | 3633085 | 1045 |
| 125 | SPDR S&P 500 ETF Trust | FCS | 03/17/2023 | 480 | 4780375 | 1125 |
| 30 | SPDR S&P 500 ETF Trust | FCS | 06/16/2023 | 405 | 1147290 | 45900 |
| 20 | SPDR S&P 500 ETF Trust | FCS | 06/16/2023 | 445 | 764860 | 5640 |
| 125 | SPDR S&P 500 ETF Trust | FCS | 06/16/2023 | 450 | 4780375 | 32625 |
| 190 | SPDR S&P 500 ETF Trust | FCS | 06/16/2023 | 455 | 7266170 | 35340 |
| 125 | SPDR S&P 500 ETF Trust | FCS | 09/15/2023 | 460 | 4780375 | 55375 |
| 167 | SPDR S&P 500 ETF Trust | FCS | 01/19/2024 | 435 | 6386581 | 286572 |
| 23 | SPDR S&P 500 ETF Trust | FCS | 01/19/2024 | 440 | 879589 | 34569 |
|  | **TOTAL CALL OPTIONS WRITTEN** (Proceeds - $2,116,331) | **TOTAL CALL OPTIONS WRITTEN** (Proceeds - $2,116,331) | **TOTAL CALL OPTIONS WRITTEN** (Proceeds - $2,116,331) | **TOTAL CALL OPTIONS WRITTEN** (Proceeds - $2,116,331) |  | 499641 |
|  | **PUT OPTIONS WRITTEN - (7.7)%** |  |  |  |  |  |
| 314 | SPDR S&P 500 ETF Trust | FCS | 03/17/2023 | 420 | 12008302 | 1197909 |
| 6 | SPDR S&P 500 ETF Trust | FCS | 03/17/2023 | 430 | 229458 | 28740 |
| 250 | SPDR S&P 500 ETF Trust | FCS | 06/16/2023 | 365 | 9560750 | 371750 |
| 45 | SPDR S&P 500 ETF Trust | FCS | 06/16/2023 | 400 | 1720935 | 129375 |
| 30 | SPDR S&P 500 ETF Trust | FCS | 06/16/2023 | 405 | 1147290 | 101400 |
| 70 | SPDR S&P 500 ETF Trust | FCS | 06/16/2023 | 410 | 2677010 | 245140 |
| 125 | SPDR S&P 500 ETF Trust | FCS | 09/15/2023 | 415 | 4780375 | 518813 |
| 167 | SPDR S&P 500 ETF Trust | FCS | 01/19/2024 | 380 | 6386581 | 503004 |
| 23 | SPDR S&P 500 ETF Trust | FCS | 01/19/2024 | 385 | 879589 | 74083 |
|  | **TOTAL PUT OPTIONS WRITTEN** (Proceeds - $3,701,658) | **TOTAL PUT OPTIONS WRITTEN** (Proceeds - $3,701,658) | **TOTAL PUT OPTIONS WRITTEN** (Proceeds - $3,701,658) | **TOTAL PUT OPTIONS WRITTEN** (Proceeds - $3,701,658) |  | 3170214 |
|  | **TOTAL EQUITY OPTIONS WRITTEN** (Proceeds - $5,817,989) | **TOTAL EQUITY OPTIONS WRITTEN** (Proceeds - $5,817,989) | **TOTAL EQUITY OPTIONS WRITTEN** (Proceeds - $5,817,989) | **TOTAL EQUITY OPTIONS WRITTEN** (Proceeds - $5,817,989) |  | $3669855 |

---

ETF - Exchange-Traded Fund

SPDR - Standard & Poor's Depositary Receipt

FCS - StoneX Group, Inc.

<sup>(a)</sup> All or a portion of security segregated as collateral for options written.

<sup>(b)</sup> Each option contract allows the holder of the option to purchase or sell 100 shares of the underlying security.

The accompanying notes are an integral part of these consolidated financial statements.

---

| |
|:---|
| **CATALYST FUNDS** |
| Statements of Assets and Liabilities (Unaudited) |
| December 31, 2022 |

---

---

| | | | |
|:---|:---|:---|:---|
|  | **Catalyst/Millburn**<br>**Dynamic Commodity**<br>**Strategy Fund**<br>**(Consolidated)** |<br>**Catalyst/Warrington**<br>**Strategic**<br>**Program Fund** | **Catalyst**<br>**Systematic Alpha**<br>**Fund**<br>**(Consolidated)** |
| **ASSETS:** |  |  |  |
| Investments in Securities at Cost | $13944355 | $110930285 | $3998864 |
| Securities at Value | $13641297 | $110749562 | $3977882 |
| Cash | 2099558 |  | 925689 |
| Cash segregated for disgorgement of advisory fees (see Note 11) |  | 62040 |  |
| Deposits with Broker for futures and options (a) | 553561 | 45298478 |  |
| Dividends and interest receivable | 36955 | 135273 | 35130 |
| Receivable for Fund shares sold | 4659 | 625980 |  |
| Unrealized appreciation - on swap contracts |  |  | 86657 |
| Due from Manager |  |  | 2261 |
| Futures unrealized appreciation | 373024 |  |  |
| Prepaid expenses and other assets | 30278 | 113980 | 14696 |
| &nbsp;&nbsp;&nbsp;Total Assets | **16739332** | **156985313** | **5042315** |
| **LIABILITIES:** |  |  |  |
| Management fees payable | 11455 | 231362 |  |
| Accrued 12b-1 fees | 4762 | 23468 | 1176 |
| Payable for disgorgement of advisory fees (see Note 11) |  | 62040 |  |
| Payable to related parties | 9753 | 13506 | 4452 |
| Payable for Fund shares redeemed | 52400 | 456759 | 19 |
| Trustee fee payable | 3230 | 3209 | 3382 |
| Futures unrealized depreciation | 74725 |  |  |
| Compliance officer fees payable | 23 |  |  |
| Accrued expenses and other liabilities | 29892 | 20110 | 11678 |
| &nbsp;&nbsp;&nbsp;Total Liabilities | **186240** | **810454** | **20707** |
| &nbsp;&nbsp;&nbsp;Net Assets | $**16553092** | $**156174859** | $**5021608** |
| **NET ASSETS CONSIST OF:** |  |  |  |
| Paid in capital | $19655415 | $1157496690 | $5190356 |
| Accumulated losses | (3102323) | (1001321831) | (168748) |
| **Net Assets** | $**16553092** | $**156174859** | $**5021608** |
| **Class A** |  |  |  |
| Net Assets | $2648588 | $18824949 | $238443 |
| Shares of beneficial interest outstanding (b) | 267247 | 2149693 | 23121 |
| Net asset value per share (Net assets/shares outstanding) | $9.91 | $8.76 | $10.31 |
| Maximum offering price per share (c) | $10.51 | $9.29 | $10.94 |
| Minimum redemption price per share (d) | $9.81 | $8.67 | $10.21 |
| **Class C** |  |  |  |
| Net Assets | $1289336 | $14727872 | $134962 |
| Shares of beneficial interest outstanding (b) | 136060 | 1793202 | 13664 |
| Net asset value, offering price and redemption price per share (Net assets/shares outstanding) | $9.48 | $8.21 | $9.88 |
| **Class I** |  |  |  |
| Net Assets | $12615168 | $122622038 | $4648203 |
| Shares of beneficial interest outstanding (b) | 1264018 | 13701965 | 461047 |
| Net asset value, offering price and redemption price per share (Net assets/shares outstanding) | $9.98 | $8.95 | $10.08 |

---

------

(a) See
Section 1b in the notes for the breakout by counterparty.

(b) Unlimited
number of shares of no par value beneficial interest authorized

(c) There
is a maximum front-end sales charge (load) of 5.75% imposed on purchases of Class A shares for each Fund

(d) 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 purchase.

The accompanying notes are an integral part of these consolidated financial statements.

---

| |
|:---|
| **CATALYST FUNDS** |
| Statements of Assets and Liabilities (Unaudited) (Continued) |
| December 31, 2022 |

---

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | **Catalyst**<br>**Income and Multi**<br>**Strategy Fund**<br>**(Consolidated)** |<br>**Catalyst**<br>**Nasdaq-100 Hedged**<br>**Equity Fund** | **Catalyst/Millburn**<br>**Hedge Strategy**<br>**Fund**<br>**(Consolidated)** |<br>**Catalyst**<br>**Buffered Shield**<br>**Fund** |
| **ASSETS:** |  |  |  |  |
| Investments in Unaffiliated securities, at cost | $5170800 | $14214342 | $4512017638 | $48082816 |
| Investments in Affiliated securities, at cost | 620137 |  |  |  |
| Securities at Cost | $5790937 | $14214342 | $4512017638 | $48082816 |
| Investments in Unaffiliated securities, at value | $4597539 | $11880405 | $4742179590 | $44246444 |
| Investments in Affiliated securities, at value | 577565 |  |  |  |
| Securities at Value | $5175104 | $11880405 | $4742179590 | $44246444 |
| Cash | 5531 |  | 513784756 |  |
| Cash Collateral Held at Custodian |  |  | 43790000 |  |
| Receivable for securities sold |  |  |  | 1524594 |
| Futures unrealized appreciation | 36675 | 13856 | 209937332 |  |
| Due from Manager | 889 |  |  |  |
| Deposits with Broker for futures and options (a) | 453880 | 891247 | 44653108 | 141092 |
| Dividends and interest receivable | 31474 | 11904 | 15523933 | 41960 |
| Receivable for Fund shares sold |  |  | 12980403 | 43185 |
| Unrealized appreciation on forward currency exchange contracts |  |  | 77954228 |  |
| Prepaid expenses and other assets | 15846 | 14200 | 275454 | 29016 |
| &nbsp;&nbsp;&nbsp;&nbsp;Total Assets | **5719399** | **12811612** | **5661078804** | **46026291** |
| **LIABILITIES:** |  |  |  |  |
| Options written, at value (premiums received $0, $827,363, $0, $5,817,989) |  | 488341 |  | 3669855 |
| Management fees payable |  | 678 | 8048934 | 24091 |
| Accrued 12b -1 fees | 1752 | 2968 | 539685 | 7809 |
| Futures unrealized depreciation | 5008 | 31576 | 8456382 |  |
| Payable upon return of securities loaned (Note 8) |  | 368591 |  |  |
| Due to custodian |  |  |  | 1272295 |
| Payable for securities purchased |  |  | 16110429 |  |
| Payable for Fund shares redeemed |  | 4557 | 8955268 | 20233 |
| Unrealized depreciation on forward currency exchange contracts |  |  | 58265123 |  |
| Payable to related parties | 3271 | 4855 | 237113 | 6665 |
| Trustee fee payable | 3100 | 3210 | 3170 | 3151 |
| Compliance officer fees payable |  | 65 |  | 142 |
| Accrued expenses and other liabilities | 22511 | 9288 | 269569 | 23725 |
| &nbsp;&nbsp;&nbsp;&nbsp;Total Liabilities | **35642** | **914129** | **100885673** | **5027966** |
| &nbsp;&nbsp;&nbsp;&nbsp;Net Assets | **5683757** | $**11897483** | $**5560193131** | $**40998325** |
| **NET ASSETS CONSIST OF:** |  |  |  |  |
| Paid in capital | $6519192 | $15155043 | $5546934351 | $58012285 |
| Accumulated earnings (losses) | $(835435) | (3257560) | 13258780 | (17013960) |
| **Net Assets** | $**5683757** | $**11897483** | $**5560193131** | $**40998325** |
| **Class A** |  |  |  |  |
| Net Assets | $135379 | $654581 | $433465408 | $13380474 |
| Shares of beneficial interest outstanding (b) | 10425 | 75828 | 12085678 | 1636692 |
| Net asset value per share (Net assets/shares outstanding) | $12.99 | $8.63 | $35.87 | $8.18 |
| Maximum offering price per share (c) | $13.78 | 9.16 | $38.06 | $8.68 |
| Minimum redemption price per share (d) | $12.86 | $8.54 | $35.51 | $8.10 |
| **Class C** |  |  |  |  |
| Net Assets | $601153 | $1195416 | $373349590 | $4076701 |
| Shares of beneficial interest outstanding (b) | 47940 | 148781 | 10677172 | 513929 |
| Net asset value, offering price and redemption price per share (Net assets/shares outstanding) | $12.54 | $8.03 | $34.97 | $7.93 |
| **Class C -1 (e)** |  |  |  |  |
| Net Assets | **—** | **—** | $17157818 |  |
| Shares of beneficial interest outstanding (b) | **—** | **—** | 493188 |  |
| Net asset value, offering price and redemption price per share (Net assets/shares outstanding) | **—** | **—** | $34.79 |  |
| **Class I** |  |  |  |  |
| Net Assets | $4947225 | $10047486 | $4736220315 | $23541150 |
| Shares of beneficial interest outstanding (b) | 379614 | 1149634 | 131193649 | 2859322 |
| Net asset value, offering price and redemption price per share (Net assets/shares outstanding) | $13.03 | $8.74 | $36.10 | $8.23 |

---

------

(a) See
Section 1b in the notes for the breakout by counterparty.

(b) Unlimited
number of shares of no par value beneficial interest authorized.

(c) There
is a maximum front-end sales charge (load) of 5.75% imposed on purchases of Class A shares for each Fund.

(d) 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 charge ("CDSC") on shares redeemed within two years of purchase.

(e) Class
C-1 only applies to the Catalyst/Millburn Hedge Strategy Fund.

The accompanying notes are an integral part of these consolidated financial statements.

---

| |
|:---|
| **CATALYST FUNDS** |
| Statements of Operations (Unaudited) |
| For the Six Months Ended December 31, 2022 |

---

---

| | | | |
|:---|:---|:---|:---|
|  | **Catalyst/Millburn**<br>**Dynamic Commodity**<br>**Strategy Fund**<br>**(Consolidated)** |<br>**Catalyst/Warrington**<br>**Strategic Program**<br>**Fund** | **Catalyst**<br>**Systematic Alpha**<br>**Fund**<br>**(Consolidated)** |
| **Investment Income:** |  |  |  |
| Dividend income | $132867 | $— | $— |
| Interest income | 115336 | 1286003 | 78155 |
| Foreign tax withheld | (1863) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**Total Investment Income** | **246340** | **1286003** | **78155** |
| **Operating Expenses:** |  |  |  |
| Investment management fees | 179687 | 1240515 | 41021 |
| 12b-1 Fees: |  |  |  |
| &nbsp;&nbsp;&nbsp;Class A | 3443 | 24779 | 322 |
| &nbsp;&nbsp;&nbsp;Class C | 8719 | 75983 | 667 |
| Networking fees | 10892 | 66548 | 4162 |
| Registration fees | 21191 | 26863 | 10935 |
| Administration fees | 17908 | 31463 | 14449 |
| Management services fees | 2308 | 15745 | 613 |
| Legal fees \* | 14616 | 186209 | 19709 |
| Audit fees | 8030 | 6782 | 8437 |
| Transfer Agent fees | 1157 | 7182 | 379 |
| Trustees' fees | 7060 | 7055 | 7216 |
| Printing expense | 3290 | 3967 | 4770 |
| Compliance officer fees | 4309 | 6909 | 4568 |
| Custody fees | 16690 | 2604 | 3961 |
| Insurance expense | 83 | 1552 | 75 |
| Interest expense |  |  | 67 |
| Miscellaneous expense | 1295 | 1311 | 1507 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**Total Operating Expenses** | **300678** | **1705467** | **122858** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Less: Fees waived/expenses reimbursed by Manager | (84635) | (14105) | (73192) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**Net Operating Expenses** | **216043** | **1691362** | **49666** |
| **Net Investment Income (Loss)** | **30297** | **(405359)** | **28489** |
| **Realized and Unrealized Gain (Loss) on Investments:** |  |  |  |
| Net realized gain (loss) from: |  |  |  |
| &nbsp;&nbsp;&nbsp;Investments | (653243) |  | (8869) |
| &nbsp;&nbsp;&nbsp;Options purchased |  | (6016581) |  |
| &nbsp;&nbsp;&nbsp;Options written |  | 8642565 |  |
| &nbsp;&nbsp;&nbsp;Futures | (3393771) |  |  |
| &nbsp;&nbsp;&nbsp;Foreign currency transactions | (498) |  |  |
| **Net Realized Gain (Loss)** | (4047512) | 2625984 | (8869) |
| Net change in unrealized appreciation (depreciation) on: |  |  |  |
| &nbsp;&nbsp;&nbsp;Investments | 842770 | (180723) | (20982) |
| &nbsp;&nbsp;&nbsp;Options purchased |  | (107500) |  |
| &nbsp;&nbsp;&nbsp;Options written |  | (32250) |  |
| &nbsp;&nbsp;&nbsp;Futures | 2043299 |  |  |
| &nbsp;&nbsp;&nbsp;Swaps |  |  | 320351 |
| **Net change in unrealized appreciation (depreciation)** | 2886069 | (320473) | 299369 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**Net Realized and Unrealized Gain (Loss) on Investments** | **(1161443)** | **2305511** | **290500** |
| **Net Increase (Decrease) in Net Assets Resulting From Operations** | $**(1131146)** | $**1900152** | $**318989** |

---

------

\* Includes legal fees that are extraordinary expenses that are outside the expense limitation

The accompanying notes are an integral part of these consolidated financial statements.

---

| |
|:---|
| **CATALYST FUNDS** |
| Statements of Operations (Unaudited) (Continued) |
| For the Six Months Ended December 31, 2022 |

---

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | **Catalyst**<br>**Income and Multi**<br>**Strategy Fund**<br>**(Consolidated)** |<br>**Catalyst**<br>**Nasdaq-100 Hedged**<br>**Equity Fund** | **Catalyst/Millburn**<br>**Hedge Strategy**<br>**Fund**<br>**(Consolidated)** |<br>**Catalyst**<br>**Buffered Shield**<br>**Fund** |
| **Investment Income:** |  |  |  |  |
| Dividend Income | $105467 | $50957 | $28650877 | $786440 |
| Interest Income | 17322 | 17852 | 30456373 | 4437 |
| Dividend income - affiliated securities | 18518 |  |  |  |
| Securities Lending - net |  | 4961 |  |  |
| Foreign tax withheld |  | (87) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**Total Investment Income** | **141307** | **73683** | **59107250** | **790877** |
| **Operating Expenses:** |  |  |  |  |
| Investment management fees | 49071 | 86464 | 42810206 | 346551 |
| 12b-1 Fees: |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Class A | 155 | 1027 | 485921 | 21836 |
| &nbsp;&nbsp;&nbsp;Class C | 3076 | 6521 | 1781316 | 21768 |
| &nbsp;&nbsp;&nbsp;Class C-1\* |  |  | 53267 |  |
| Legal fees | 13233 | 7428 | 10503 | 7072 |
| Registration fees | 10986 | 13220 | 81519 | 21051 |
| Administration fees | 12680 | 14900 | 673557 | 19877 |
| Audit fees | 8030 | 7294 | 16319 | 7248 |
| Trustees' fees | 6903 | 7055 | 7059 | 7055 |
| Compliance officer fees | 5184 | 5370 | 58091 | 6035 |
| Management services fees | 626 | 1552 | 542223 | 6281 |
| Printing expense | 1060 | 1048 | 106034 | 4928 |
| Networking fees | 2463 | 8424 | 2031341 | 51619 |
| Custody fees | 2359 | 3163 | 91216 | 3813 |
| Transfer Agent fees | 260 | 423 | 69272 | 1557 |
| Insurance expense | 98 | 233 | 41663 | 1677 |
| Interest expense | 30 | 1138 | 257232 | 14192 |
| Miscellaneous expense | 1314 | 7509 | 5389 | 1631 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**Total Operating Expenses** | **117528** | **172769** | **49122128** | **544191** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Less: Fees waived/expenses reimbursed by Manager | (58438) | (61120) |  | (145352) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**Net Operating Expenses** | **59090** | **111649** | **49122128** | **398839** |
| **Net Investment Income (Loss)** | **82217** | **(37966)** | **9985122** | **392038** |
| **Realized and Unrealized Gain (Loss) on Investments:** |  |  |  |  |
| Net realized gain (loss) from: |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Investments | (125616) | (475332) | 37786160 | (3874220) |
| &nbsp;&nbsp;&nbsp;Affiliated Investments | (180) |  |  |  |
| &nbsp;&nbsp;&nbsp;Long Term Capital Gains from underlying investment companies | 18 |  | 1628032 | 1967 |
| &nbsp;&nbsp;&nbsp;Options purchased |  | (2087676) |  | (2101525) |
| &nbsp;&nbsp;&nbsp;Options written |  | 1512095 |  | 712505 |
| &nbsp;&nbsp;&nbsp;Futures | 130324 | 201255 | 31725347 |  |
| &nbsp;&nbsp;&nbsp;Foreign currency transactions | (3923) |  | (40557842) |  |
| **Net Realized Gain (Loss)** | 623 | (849658) | 30581697 | (5261273) |
| Net change in unrealized appreciation (depreciation) on: |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Investments | (127601) | 66657 | 43919008 | 1455891 |
| &nbsp;&nbsp;&nbsp;Affiliated Investments | (17741) |  |  |  |
| &nbsp;&nbsp;&nbsp;Options purchased |  | (451829) |  | (1584454) |
| &nbsp;&nbsp;&nbsp;Options written |  | 321202 |  | 3898875 |
| &nbsp;&nbsp;&nbsp;Futures | (45391) | (55987) | 85511321 |  |
| &nbsp;&nbsp;&nbsp;Foreign currency translations | 2867 |  | 22702027 |  |
| **Net change in unrealized appreciation (depreciation)** | (187866) | (119957) | 152132356 | 3770312 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**Net Realized and Unrealized Gain (Loss) on Investments** | **(187243)** | **(969615)** | **182714053** | **(1490961)** |
| **Net Increase (Decrease) in Net Assets Resulting From Operations** | $**(105026)** | $**(1007581)** | $**192699175** | $**(1098923)** |

---

------

\* Class C-1 only applies to the Catalyst/Millburn Hedge Strategy Fund.

The accompanying notes are an integral part of these consolidated financial statements.

---

| |
|:---|
| **CATALYST FUNDS** |
| Statements of Changes in Net Assets |

---

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | **Catalyst/Millburn Dynamic Commodity Strategy Fund** | **Catalyst/Millburn Dynamic Commodity Strategy Fund** | **Catalyst/Warrington Strategic Program Fund** | **Catalyst/Warrington Strategic Program Fund** |
|  | **(Consolidated)** | **(Consolidated)** | | |
|  | **Six Months Ended** | **Year Ended** | | |
|  | **December 31, 2022** | **June 30, 2022** |<br>**Six Months Ended**<br>**December 31, 2022** |<br>**Year Ended**<br>**June 30, 2022** |
|  | (Unaudited) | | (Unaudited) | |
| &nbsp;&nbsp;&nbsp;&nbsp;**Operations:** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Net investment income (loss). | $30297 | $(124641) | $(405359) | $(2396290) |
| &nbsp;&nbsp;&nbsp;&nbsp;Net realized gain (loss) on investments | (4047512) | 5088620 | 2625984 | 12616624 |
| &nbsp;&nbsp;&nbsp;&nbsp;Net change in unrealized appreciation (depreciation) on investments | 2886069 | (3063783) | (320473) | (1397841) |
| &nbsp;&nbsp;&nbsp;&nbsp;**Net increase (decrease) in net assets resulting from operations** | **(1131146)** | **1900196** | **1900152** | **8822493** |
| &nbsp;&nbsp;&nbsp;&nbsp;**Distributions to Shareholders from:** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Total Distributions |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Class A | (514801) |  | (162105) |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Class C | (250746) |  | (357) |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Class I | (2610544) |  | (1272740) |  |
| &nbsp;&nbsp;&nbsp;&nbsp;**Total distributions to shareholders** | **(3376091)** | **—** | **(1435202)** | **—** |
| **Share Transactions of Beneficial Interest:** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Net proceeds from shares sold |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Class A | 763726 | 1712685 | 2776583 | 4865867 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Class C | 89207 | 987724 | 1308249 | 674700 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Class I | 5197502 | 21786614 | 58697365 | 60664956 |
| &nbsp;&nbsp;&nbsp;&nbsp;Reinvestment of distributions |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Class A | 494151 |  | 151666 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Class C | 228971 |  | 332 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Class I | 2181052 |  | 1201778 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Cost of shares redeemed |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Class A | (616255) | (3038122) | (3400516) | (4753300) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Class C | (587793) | (816859) | (2294739) | (6625308) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Class I | (11193340) | (10702082) | (27389471) | (37897512) |
| &nbsp;&nbsp;&nbsp;&nbsp;**Net increase (decrease) in net assets from share transactions of beneficial interest** | **(3442779)** | **9929960** | **31051247** | **16929403** |
| &nbsp;&nbsp;&nbsp;&nbsp;**Total Increase (Decrease) in Net Assets** | **(7950016)** | **11830156** | **31516197** | **25751896** |
| &nbsp;&nbsp;&nbsp;&nbsp;**Net Assets:** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Beginning of year/period | 24503108 | 12672952 | 124658662 | 98906766 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**End of year/period** | $**16553092** | $**24503108** | $**156174859** | $**124658662** |
| **Share Activity:** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Class A |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Shares Sold | 60716 | 129976 | 318277 | 581840 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Shares Reinvested | 48637 |  | 17413 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Shares Redeemed | (52575) | (275603) | (388597) | (572731) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Net increase (decrease) in shares of Beneficial interest | 56778 | (145627) | (52907) | 9109 |
| &nbsp;&nbsp;&nbsp;&nbsp;Class C |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Shares Sold | 7070 | 77137 | 160364 | 84028 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Shares Reinvested | 23556 |  | 41 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Shares Redeemed | (51295) | (84454) | (281580) | (862160) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Net decrease in shares of Beneficial interest | (20669) | (7317) | (121175) | (778132) |
| &nbsp;&nbsp;&nbsp;&nbsp;Class I |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Shares Sold | 421503 | 1623425 | 6558951 | 7030401 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Shares Reinvested | 213202 |  | 135031 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Shares Redeemed | (919251) | (881501) | (3064291) | (4418077) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Net increase (decrease) in shares of Beneficial interest | (284546) | 741924 | 3629691 | 2612324 |

---

The accompanying notes are an integral part of these consolidated financial statements.

---

| |
|:---|
| **CATALYST FUNDS** |
| Statements of Changes in Net Assets (Continued) |

---

---

| | | |
|:---|:---|:---|
|  | **Catalyst Systematic Alpha Fund** | **Catalyst Systematic Alpha Fund** |
|  | **(Consolidated)** | **(Consolidated)** |
|  | **Six Months Ended** | **Year Ended** |
|  | **December 31, 2022** | **June 30, 2022** |
|  | (Unaudited) | |
| &nbsp;&nbsp;&nbsp;**Operations:** |  |  |
| &nbsp;&nbsp;&nbsp;Net investment income (loss) | $28489 | $(68478) |
| &nbsp;&nbsp;&nbsp;Net realized gain on investments | (8869) | 228871 |
| &nbsp;&nbsp;&nbsp;Net change in unrealized appreciation (depreciation) on investments | 299369 | (568163) |
| &nbsp;&nbsp;&nbsp;**Net increase (decrease) in net assets resulting from operations** | **318989** | **(407770)** |
| &nbsp;&nbsp;&nbsp;**Distributions to Shareholders from:** |  |  |
| &nbsp;&nbsp;&nbsp;Distributions |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Class A | (9324) | (12767) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Class C | (5204) | (7561) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Class I | (230561) | (242823) |
| &nbsp;&nbsp;&nbsp;**Total distributions to shareholders** | **(245089)** | **(263151)** |
| **Share Transactions of Beneficial Interest:** |  |  |
| &nbsp;&nbsp;&nbsp;Net proceeds from shares sold |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Class A | 30072 | 542656 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Class C | 6050 | 24445 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Class I | 552318 | 5432398 |
| &nbsp;&nbsp;&nbsp;Reinvestment of distributions |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Class A | 9289 | 11705 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Class C | 5204 | 7561 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Class I | 78376 | 106452 |
| &nbsp;&nbsp;&nbsp;Cost of shares redeemed |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Class A | (130543) | (356839) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Class C | (12604) | (74971) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Class I | (2091705) | (1374479) |
| &nbsp;&nbsp;&nbsp;**Net increase (decrease) in net assets from share transactions of beneficial interest** | **(1553543)** | **4318928** |
| &nbsp;&nbsp;&nbsp;**Total Increase (Decrease) in Net Assets** | **(1479643)** | **3648007** |
| &nbsp;&nbsp;&nbsp;**Net Assets:** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Beginning of year/period | 6501251 | 2853244 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**End of year/period** | $**5021608** | $**6501251** |
| **Share Activity:** |  |  |
| &nbsp;&nbsp;&nbsp;Class A |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Shares Sold | 2818 | 48707 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Shares Reinvested | 872 | 1049 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Shares Redeemed | (12822) | (32595) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Net increase (decrease) in shares of Beneficial interest | (9132) | 17161 |
| &nbsp;&nbsp;&nbsp;Class C |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Shares Sold | 622 | 2185 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Shares Reinvested | 510 | 705 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Shares Redeemed | (1289) | (6740) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Net decrease in shares of Beneficial interest | (157) | (3850) |
| &nbsp;&nbsp;&nbsp;Class I |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Shares Sold | 54478 | 499672 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Shares Reinvested | 7529 | 9740 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Shares Redeemed | (213580) | (131665) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Net increase (decrease) in shares of Beneficial interest | (151573) | 377747 |

---

The accompanying notes are an integral part of these consolidated financial statements.

---

| |
|:---|
| **CATALYST FUNDS** |
| Statements of Changes in Net Assets (Continued) |

---

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | **Catalyst Income and Multi Strategy Fund** | **Catalyst Income and Multi Strategy Fund** | **Catalyst Nasdaq-100 Hedged Equity Fund** | **Catalyst Nasdaq-100 Hedged Equity Fund** |
|  | **(Consolidated)** | **(Consolidated)** | | |
|  | **Six Months Ended** | **Year Ended** | | |
|  | **December 31, 2022** | **June 30, 2022** |<br>**Six Months Ended**<br>**December 31, 2022** |<br>**Year Ended**<br>**June 30, 2022** |
|  | (Unaudited) | | (Unaudited) | |
| &nbsp;&nbsp;&nbsp;&nbsp;**Operations:** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Net investment income (loss) | $82217 | $1623 | $(37966) | $(151360) |
| &nbsp;&nbsp;&nbsp;&nbsp;Net realized gain (loss) on investments | 623 | 234675 | (849658) | 565284 |
| &nbsp;&nbsp;&nbsp;&nbsp;Net change in unrealized depreciation on investments | (187866) | (644360) | (119957) | (3557968) |
| &nbsp;&nbsp;&nbsp;&nbsp;**Net decrease in net assets resulting from operations** | **(105026)** | **(408062)** | **(1007581)** | **(3144044)** |
| &nbsp;&nbsp;&nbsp;&nbsp;**Distributions to Shareholders from:** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Total Distributions |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Class A | (6455) | (1924) | (17277) | (5533) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Class C | (28893) | (7156) | (33526) | (6244) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Class I | (241550) | (192608) | (267168) | (37451) |
| &nbsp;&nbsp;&nbsp;&nbsp;**Total distributions to shareholders** | **(276898)** | **(201688)** | **(317971)** | **(49228)** |
| **Share Transactions of Beneficial Interest:** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Net proceeds from shares sold |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Class A | 75426 | 215596 | 8942 | 247058 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Class C | 89847 | 409000 | 130070 | 18866 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Class I | 1010179 | 1364279 | 1133813 | 6794770 |
| &nbsp;&nbsp;&nbsp;&nbsp;Reinvestment of distributions |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Class A | 6455 | 1924 | 11161 | 4637 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Class C | 28893 | 7156 | 31135 | 5903 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Class I | 142867 | 116004 | 229564 | 31106 |
| &nbsp;&nbsp;&nbsp;&nbsp;Cost of shares redeemed |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Class A | (31524) | (162428) | (166933) | (702853) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Class C | (13000) | (25072) | (61993) | (443638) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Class I | (474356) | (579857) | (2434010) | (3034787) |
| &nbsp;&nbsp;&nbsp;&nbsp;**Net increase (decrease) in net assets from share transactions of beneficial interest** | **834787** | **1346602** | **(1118251)** | **2921062** |
| &nbsp;&nbsp;&nbsp;&nbsp;**Total Increase (Decrease) in Net Assets** | **452863** | **736852** | **(2443803)** | **(272210)** |
| &nbsp;&nbsp;&nbsp;&nbsp;**Net Assets:** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Beginning of year/period | 5230894 | 4494042 | 14341286 | 14613496 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**End of year/period** | $**5683757** | $**5230894** | $**11897483** | $**14341286** |
| **Share Activity:** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Class A |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Shares Sold | 5312 | 14814 | 912 | 20382 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Shares Reinvested | 494 | 132 | 1225 | 370 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Shares Redeemed | (2215) | (11296) | (17186) | (59460) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Net increase (decrease) in shares of Beneficial interest | 3591 | 3650 | (15049) | (38708) |
| &nbsp;&nbsp;&nbsp;&nbsp;Class C |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Shares Sold | 6474 | 29099 | 13904 | 1611 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Shares Reinvested | 2289 | 507 | 3671 | 501 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Shares Redeemed | (961) | (1806) | (6985) | (39465) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Net increase (decrease) in shares of Beneficial interest | 7802 | 27800 | 10590 | (37353) |
| &nbsp;&nbsp;&nbsp;&nbsp;Class I |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Shares Sold | 71394 | 90997 | 116987 | 573454 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Shares Reinvested | 10884 | 7986 | 24899 | 2457 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Shares Redeemed | (34012) | (39266) | (251842) | (257408) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Net increase (decrease) in shares of Beneficial interest | 48266 | 59717 | (109956) | 318503 |

---

The accompanying notes are an integral part of these consolidated financial statements.

---

| |
|:---|
| **CATALYST FUNDS** |
| Statements of Changes in Net Assets (Continued) |

---

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | **Catalyst/Millburn Hedge Strategy Fund** | **Catalyst/Millburn Hedge Strategy Fund** | **Catalyst Buffered Shield Fund** | **Catalyst Buffered Shield Fund** |
|  | **(Consolidated)** | **(Consolidated)** | | |
|  | **Six Months Ended** | **Year Ended** | | |
|  | **December 31, 2022** | **June 30, 2022** |<br>**Six Months Ended**<br>**December 31, 2022** |<br>**Year Ended**<br>**June 30, 2022** |
|  | (Unaudited) | | (Unaudited) | |
| &nbsp;&nbsp;&nbsp;&nbsp;**Operations:** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Net investment income (loss) | $9985122 | $(35613351) | $392038 | $(40918) |
| &nbsp;&nbsp;&nbsp;&nbsp;Net realized gain (loss) on investments | 30581697 | 268806553 | (5261273) | 49769 |
| &nbsp;&nbsp;&nbsp;&nbsp;Net change in unrealized appreciation (depreciation) on investments | 152132356 | (169338176) | 3770312 | (11063386) |
| &nbsp;&nbsp;&nbsp;&nbsp;**Net increase (decrease) in net assets resulting from operations** | **192699175** | **63855026** | **(1098923)** | **(11054535)** |
| &nbsp;&nbsp;&nbsp;&nbsp;**Distributions to Shareholders from:** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Total Distributions |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Class A | (30221295) |  | (92323) | (3975970) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Class C | (24526606) |  | (471) | (766843) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Class C-1 (a,b) | (1131986) |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Class I | (340694554) |  | (256583) | (9713609) |
| &nbsp;&nbsp;&nbsp;&nbsp;**Total distributions to shareholders** | **(396574441)** | **—** | **(349377)** | **(14456422)** |
| **Share Transactions of Beneficial Interest:** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Net proceeds from shares sold |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Class A | 126149692 | 115390084 | 915091 | 7724513 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Class C | 58398728 | 60322104 | 73000 | 779041 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Class C-1 (a,b) | 12848481 | 4535047 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Class I | 2008583536 | 1518465922 | 3361484 | 37478629 |
| &nbsp;&nbsp;&nbsp;&nbsp;Reinvestment of distributions |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Class A | 25155532 |  | 90178 | 3779162 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Class C | 23635280 |  | 467 | 761523 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Class C-1 (a,b) | 3171 |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Class I | 254015634 |  | 238703 | 9212885 |
| &nbsp;&nbsp;&nbsp;&nbsp;Cost of shares redeemed |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Class A | (39126694) | (90382303) | (7703881) | (7521441) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Class C | (32888546) | (63450098) | (218584) | (519011) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Class C-1 (a,b) | (182352) | (82162) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Class I | (682699543) | (617849080) | (29569358) | (39821292) |
| &nbsp;&nbsp;&nbsp;&nbsp;**Net increase (decrease) in net assets from share transactions of beneficial interest** | **1753892919** | **926949514** | **(32812900)** | **11874009** |
| &nbsp;&nbsp;&nbsp;&nbsp;**Total Increase (Decrease) in Net Assets** | **1550017653** | **990804540** | **(34261200)** | **(13636948)** |
| &nbsp;&nbsp;&nbsp;&nbsp;**Net Assets:** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Beginning of year/period | 4010175478 | 3019370938 | 75259525 | 88896473 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**End of year/period** | $**5560193131** | $**4010175478** | $**40998325** | $**75259525** |
| **Share Activity:** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Class A |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Shares Sold | 3341556 | 3149156 | 109009 | 750966 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Shares Reinvested | 724734 |  | 10748 | 381734 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Shares Redeemed | (1050702) | (2531842) | (922892) | (801973) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Net increase (decrease) in shares of Beneficial interest | 3015588 | 617314 | (803135) | 330727 |
| &nbsp;&nbsp;&nbsp;&nbsp;Class C |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Shares Sold | 1577523 | 1689068 | 8840 | 76858 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Shares Reinvested | 698030 |  | 57 | 79160 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Shares Redeemed | (905039) | (1786832) | (27190) | (52518) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Net increase (decrease) in shares of Beneficial interest | 1370514 | (97764) | (18293) | 103500 |
| &nbsp;&nbsp;&nbsp;&nbsp;Class C-1 (a) |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Shares Sold | 348880 | 126788 | **—** |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Shares Reinvested | 94 |  | **—** |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Shares Redeemed | (5046) | (2330) | **—** |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Net increase in shares of Beneficial interest | 343928 | 124458 | **—** |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Class I |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Shares Sold | 52591126 | 41140058 | 393703 | 3527081 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Shares Reinvested | 7270052 |  | 28249 | 923135 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Shares Redeemed | (18177720) | (16939119) | (3465530) | (3890811) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Net increase (decrease) in shares of Beneficial interest | 41683458 | 24200939 | (3043578) | 559405 |

---

------

<sup>(a)</sup> Class C-1 only applies to the Catalyst/Millburn Hedge Strategy Fund.

The accompanying notes are an integral part of these consolidated financial statements.

---

| |
|:---|
| **CATALYST FUNDS** |
| **Catalyst/Millburn Dynamic Commodity Strategy Fund** |
| **Financial Highlights (Consolidated)** |

---

For a Share Outstanding Throughout Each Year/Period

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
|  | **Class A** | **Class A** | **Class A** | **Class A** | **Class A** | **Class A** |
|  | **For the**<br>**Six Months Ended**<br>**December 31, 2022** | **For the**<br>**Year Ended**<br>**June 30, 2022** | **For the**<br>**Year Ended**<br>**June 30, 2021** | **For the**<br>**Year Ended**<br>**June 30, 2020** | **For the**<br>**Year Ended**<br>**June 30, 2019** | **For the**<br>**Year Ended**<br>**June 30, 2018** |
|  | (Unaudited) | | | | | |
| Net asset value, beginning of year/period | $12.76 | $9.56 | $10.89 | $10.95 | $10.75 | $10.96 |
| **INCOME (LOSS) FROM INVESTMENT OPERATIONS:** |  |  |  |  |  |  |
| Net investment income (loss) (A) | 0.02 | (0.11) | (0.20) | (0.09) | (0.05) | (0.13) |
| Net realized and unrealized gain (loss) on investments | (0.66) | 3.31 | (1.13) | 0.03 | 0.29 | 0.08 |
| Total from investment operations | (0.64) | 3.20 | (1.33) | (0.06) | 0.24 | (0.05) |
| **LESS DISTRIBUTIONS:** |  |  |  |  |  |  |
| From net investment income | (2.15) |  |  |  | (0.04) | (0.16) |
| From net realized gains on investments | (0.06) |  |  |  |  |  |
| Total distributions | (2.21) |  |  |  | (0.04) | (0.16) |
| Net asset value, end of year/period | $9.91 | $12.76 | $9.56 | $10.89 | $10.95 | $10.75 |
| Total return (B) | (5.42)% (F) | 33.47% | (12.21)% | (0.55)% (C) | 2.20% | (0.48)% |
| **RATIOS/SUPPLEMENTAL DATA:** |  |  |  |  |  |  |
| Net assets, end of year/period (in 000's) | $2649 | $2685 | $3404 | $5319 | $10932 | $24855 |
| Ratios to average net assets |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Expenses, before waiver and reimbursement (D) | 3.06 % (G) | 3.33% | 2.72% | 2.47% | 2.40% | 2.33% |
| &nbsp;&nbsp;&nbsp;&nbsp;Expenses, net waiver and reimbursement (D) | 2.24 % (G) | 2.24% | 2.27% | 2.27% | 2.26% | 2.24% |
| &nbsp;&nbsp;&nbsp;&nbsp;Net investment loss, before waiver and reimbursement (D,E) | (0.51)% (G) | (2.12)% | (2.41)% | (1.03)% | (0.55)% | (1.26)% |
| &nbsp;&nbsp;&nbsp;&nbsp;Net investment income (loss), net waiver and reimbursement (D,E) | 0.31 % (G) | (1.04)% | (1.96)% | (0.83)% | (0.41)% | (1.17)% |
| Portfolio turnover rate | 37 % (F) | 123% | 145% | 0% | 0% | 0% |
|  | **Class C** | **Class C** | **Class C** | **Class C** | **Class C** | **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, 2022** | **June 30, 2022** | **June 30, 2021** | **June 30, 2020** | **June 30, 2019** | **June 30, 2018** |
|  | (Unaudited) |  |  |  |  |  |
| Net asset value, beginning of year/period | $12.26 | $9.26 | $10.62 | $10.76 | $10.61 | $10.86 |
| **INCOME (LOSS) FROM INVESTMENT OPERATIONS:** |  |  |  |  |  |  |
| Net investment loss (A) | (0.04) | (0.19) | (0.27) | (0.18) | (0.12) | (0.21) |
| Net realized and unrealized gain (loss) on investments | (0.61) | 3.19 | (1.09) | 0.04 | 0.27 | 0.07 |
| Total from investment operations | (0.65) | 3.00 | (1.36) | (0.14) | 0.15 | (0.14) |
| **LESS DISTRIBUTIONS:** |  |  |  |  |  |  |
| From net investment income | (2.07) |  |  |  |  | (0.11) |
| From net realized gains on investments | (0.06) |  |  |  |  |  |
| Total distributions | (2.13) |  |  |  |  | (0.11) |
| Net asset value, end of year/period | $9.48 | $12.26 | $9.26 | $10.62 | $10.76 | $10.61 |
| Total return (B) | (5.73)% (F) | 32.40% | (12.81)% | (1.30)% (C) | 1.41% | (1.31)% |
| **RATIOS/SUPPLEMENTAL DATA:** |  |  |  |  |  |  |
| Net assets, end of year/period (in 000's) | $1289 | $1921 | $1519 | $6860 | $7322 | $10487 |
| Ratios to average net assets |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Expenses, before waiver and reimbursement (D) | 3.81 % (G) | 4.08% | 3.47% | 3.22% | 3.15% | 3.08% |
| &nbsp;&nbsp;&nbsp;&nbsp;Expenses, net waiver and reimbursement (D) | 2.99 % (G) | 2.99% | 3.02% | 3.02% | 3.01% | 2.99% |
| &nbsp;&nbsp;&nbsp;&nbsp;Net investment loss, before waiver and reimbursement (D,E) | (1.44)% (G) | (2.82)% | (3.15)% | (1.83)% | (1.30)% | (2.00)% |
| &nbsp;&nbsp;&nbsp;&nbsp;Net investment loss, net waiver and reimbursement (D,E) | (0.62)% (G) | (1.73)% | (2.70)% | (1.63)% | (1.16)% | (1.91)% |
| Portfolio turnover rate | 37 % (F) | 123% | 145% | 0% | 0% | 0% |

---

------

(A) Per
 share amounts calculated using average shares method, which more appropriately presents the per share data for the year.

(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 manager not waived its fees and reimbursed expenses,
 total return would have been lower.

(C) 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.

(D) Does
 not include expenses of the underlying investment companies in which the Fund invests.

(E) Recognition
 of net investment loss 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 consolidated financial statements.

---

| |
|:---|
| **CATALYST FUNDS** |
| **Catalyst/Millburn Dynamic Commodity Strategy Fund (Continued)** |
| **Financial Highlights (Consolidated)** |

---

For a Share Outstanding Throughout Each Year/Period

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
|  | **Class I** | **Class I** | **Class I** | **Class I** | **Class I** | **Class I** |
|  | **For the**<br>**Six Months Ended**<br>**December 31, 2022** | **For the**<br>**Year Ended**<br>**June 30, 2022** | **For the**<br>**Year Ended**<br>**June 30, 2021** | **For the**<br>**Year Ended**<br>**June 30, 2020** | **For the**<br>**Year Ended**<br>**June 30, 2019** | **For the**<br>**Year Ended**<br>**June 30, 2018** |
|  | (Unaudited) | | | | | |
| Net asset value, beginning of year/period | $12.85 | $9.61 | $10.91 | $10.94 | $10.79 | $11.00 |
| **INCOME (LOSS) FROM INVESTMENT OPERATIONS:** |  |  |  |  |  |  |
| Net investment income (loss) (A) | 0.02 | (0.08) | (0.18) | (0.07) | (0.02) | (0.10) |
| Net realized and unrealized gain (loss) on investments | (0.65) | 3.32 | (1.12) | 0.04 | 0.28 | 0.08 |
| Total from investment operations | (0.63) | 3.24 | (1.30) | (0.03) | 0.26 | (0.02) |
| **LESS DISTRIBUTIONS:** |  |  |  |  |  |  |
| From net investment income | (2.18) |  |  |  | (0.11) | (0.19) |
| From net realized gains on investments | (0.06) |  |  |  |  |  |
| Total distributions | (2.24) |  |  |  | (0.11) | (0.19) |
| Net asset value, end of year/period | $9.98 | $12.85 | $9.61 | $10.91 | $10.94 | $10.79 |
| Total return (B) | (5.30)% (F) | 33.71% | (11.92)% | (0.27)% (C) | 2.40% | (0.22)% |
| **RATIOS/SUPPLEMENTAL DATA:** |  |  |  |  |  |  |
| Net assets, end of year/period (in 000's) | $12615 | $19897 | $7750 | $30369 | $31882 | $51708 |
| Ratios to average net assets |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Expenses, before waiver and reimbursement (D) | 2.81 % (G) | 3.08% | 2.47% | 2.22% | 2.15% | 2.08% |
| &nbsp;&nbsp;&nbsp;&nbsp;Expenses, net waiver and reimbursement (D) | 1.99 % (G) | 1.99% | 2.02% | 2.02% | 2.01% | 1.99% |
| &nbsp;&nbsp;&nbsp;&nbsp;Net investment loss, before waiver and reimbursement (D,E) | (0.43)% (G) | (1.76)% | (2.17)% | (0.83)% | (0.30)% | (0.99)% |
| &nbsp;&nbsp;&nbsp;&nbsp;Net investment income (loss), net waiver and reimbursement (D,E) | 0.39 % (G) | (0.67)% | (1.72)% | (0.63)% | (0.16)% | (0.90)% |
| Portfolio turnover rate | 37 % (F) | 123% | 145% | 0% | 0% | 0% |

---

------

(A) Per
 share amounts calculated using average shares method, which more appropriately presents the per share data for the year.

(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 manager not waived its fees and reimbursed expenses, total return would have been lower.

(C) 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.

(D) Does
 not include expenses of the underlying investment companies in which the Fund invests.

(E) Recognition
 of net investment loss 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 consolidated financial statements.

---

| |
|:---|
| **CATALYST FUNDS** |
| **Catalyst/Warrington Strategic Program Fund** |
| **Financial Highlights** |

---

For a Share Outstanding Throughout Each Year/Period

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
|  | **Class A** | **Class A** | **Class A** | **Class A** | **Class A** | **Class A** |
|  | **For the**<br>**Six Months Ended**<br>**December 31, 2022** | **For the**<br>**Year Ended**<br>**June 30, 2022** | **For the**<br>**Year Ended**<br>**June 30, 2021** | **For the**<br>**Year Ended**<br>**June 30, 2020** | **For the**<br>**Year Ended**<br>**June 30, 2019** | **For the**<br>**Year Ended**<br>**June 30, 2018** |
|  | (Unaudited) | | | | | |
| Net asset value, beginning of year/period | $8.72 | $8.02 | $7.61 | $7.86 | $8.07 | $8.61 |
| **INCOME (LOSS) FROM INVESTMENT OPERATIONS:** |  |  |  |  |  |  |
| Net investment loss (A) | (0.03) | (0.20) | (0.15) | (0.10) | (0.09) | (0.11) |
| Net realized and unrealized gain (loss) on investments | 0.14 | 0.90 | 0.56 | (0.15) | (0.12) | (0.43) |
| Total from investment operations | 0.11 | 0.70 | 0.41 | (0.25) | (0.21) | (0.54) |
| **LESS DISTRIBUTIONS:** |  |  |  |  |  |  |
| From net investment income | (0.07) |  |  |  |  |  |
| Total distributions | (0.07) |  |  |  |  |  |
| Net asset value, end of year/period | $8.76 | $8.72 | $8.02 | $7.61 | $7.86 | $8.07 |
| Total return (B) | 1.31% | 8.73 % (C) | 5.39 % (C) | (3.18)% (C) | (2.60)% (C) | (6.27)% |
| **RATIOS/SUPPLEMENTAL DATA:** |  |  |  |  |  |  |
| Net assets, end of year/period (in 000's) | $18825 | $19212 | $17587 | $29378 | $82099 | $165433 |
| Ratios to average net assets (including dividend and interest expense) (E) |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Expenses, before waiver and reimbursement (D) | 2.49 % (J) | 2.49% | 2.43% | 2.59% | 2.33% | 2.26% |
| &nbsp;&nbsp;&nbsp;&nbsp;Expenses, net waiver and reimbursement (D) | 2.47 % (J) | 2.45% | 2.02 % (H) | 2.59% | 2.33% | 2.26% |
| &nbsp;&nbsp;&nbsp;&nbsp;Net investment loss, before waiver and reimbursement (D,G) | (0.72)% (J) | (2.42)% | (2.40)% | (1.30)% | (1.15)% | (1.28)% |
| &nbsp;&nbsp;&nbsp;&nbsp;Net investment loss, net waiver and reimbursement (D,G) | (0.70)% (J) | (2.38)% | (1.98)% (H) | (1.30)% | (1.15)% | (1.28)% |
| Portfolio turnover rate | 0 % (I) | 0% | 0% | 0% | 0% | 0% |
|  | **Class C** | **Class C** | **Class C** | **Class C** | **Class C** | **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, 2022** | **June 30, 2022** | **June 30, 2021** | **June 30, 2020** | **June 30, 2019** | **June 30, 2018** |
|  | (Unaudited) |  |  |  |  |  |
| Net asset value, beginning of year/period | $8.14 | $7.54 | $7.21 | $7.51 | $7.76 | $8.35 |
| **INCOME (LOSS) FROM INVESTMENT OPERATIONS:** |  |  |  |  |  |  |
| Net investment loss (A) | (0.06) | (0.24) | (0.20) | (0.15) | (0.14) | (0.16) |
| Net realized and unrealized gain (loss) on investments | 0.13 | 0.84 | 0.53 | (0.15) | (0.11) | (0.43) |
| Total from investment operations | 0.07 | 0.60 | 0.33 | (0.30) | (0.25) | (0.59) |
| Net asset value, end of year/period | $8.21 | $8.14 | $7.54 | $7.21 | $7.51 | $7.76 |
| Total return (B) | 0.86 % (I) | 7.96 % (C) | 4.58 % (C) | (3.99)% (C) | (3.22)% (C) | (7.07)% |
| **RATIOS/SUPPLEMENTAL DATA:** |  |  |  |  |  |  |
| Net assets, end of year/period (in 000's) | $14728 | $15588 | $20305 | $30499 | $65411 | $106913 |
| Ratios to average net assets (including dividend and interest expense) (F) |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Expenses, before waiver and reimbursement (D) | 3.24 % (J) | 3.24% | 3.19% | 3.36% | 3.08% | 3.02% |
| &nbsp;&nbsp;&nbsp;&nbsp;Expenses, net waiver and reimbursement (D) | 3.22 % (J) | 3.20% | 2.77 % (H) | 3.36% | 3.08% | 3.02% |
| &nbsp;&nbsp;&nbsp;&nbsp;Net investment loss, before waiver and reimbursement (D,G) | (1.48)% (J) | (3.16)% | (3.16)% | (2.13)% | (1.89)% | (2.04)% |
| &nbsp;&nbsp;&nbsp;&nbsp;Net investment loss, net waiver and reimbursement (D,G) | (1.46)% (J) | (3.12)% | (2.74)% (H) | (2.13)% | (1.89)% | (2.04)% |
| Portfolio turnover rate | 0 % (I) | 0% | 0% | 0% | 0% | 0% |

---

(A) Per
 share amounts calculated using average shares method, which more appropriately presents the per share data for the year.

(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 manager not waived its fees and reimbursed expenses,
 total return would have been lower.

(C) 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.

(D) Does
 not include expenses of the underlying investment companies in which the Fund invests.

(E) Ratio
 to average net assets (excluding dividend and interest expense).

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Expenses, before waiver and reimbursement (D) | 2.49% (J) | 2.49% | 2.43% | 2.59% | 2.27% | 2.24% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Expenses, net waiver and reimbursement (D) | 2.47 % (J) | 2.45% | 2.02 % (H) | 2.59% | 2.27% | 2.24% |

---

(F) Ratios
 to average net assets (excluding dividend and interest expense)

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Expenses, before waiver and reimbursement (D) | 3.24% (J) | 3.24% | 3.19.% | 3.36% | 3.02% | 3.0% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Expenses, net waiver and reimbursement (D) | 3.22 % (J) | 3.2% | 2.77 % (H) | 3.36% | 3.02% | 3.0% |

---

(G) Recognition
 of net investment loss is affected by the timing and declaration of dividends by the underlying investment companies in which the
 Fund invests.

(H) Manager
 has voluntarily waived a portion of expenses. This waiver will not be recaptured by the manager.

(I) Not
 annualized.

(J) Annualized.

The accompanying notes are an integral part of these financial statements.

---

| |
|:---|
| **CATALYST FUNDS** |
| **Catalyst/Warrington Strategic Program Fund (Continued)** |
| **Financial Highlights** |

---

For a Share Outstanding Throughout Each Year/Period

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
|  | **Class I** | **Class I** | **Class I** | **Class I** | **Class I** | **Class I** |
|  | **For the**<br>**Six Months Ended**<br>**December 31, 2022** | **For the**<br>**Year Ended**<br>**June 30, 2022** | **For the**<br>**Year Ended**<br>**June 30, 2021** | **For the**<br>**Year Ended**<br>**June 30, 2020** | **For the**<br>**Year Ended**<br>**June 30, 2019** | **For the**<br>**Year Ended**<br>**June 30, 2018** |
|  | (Unaudited) | | | | | |
| Net asset value, beginning of year/period | $8.92 | $8.18 | $7.74 | $7.98 | $8.17 | $8.70 |
| **INCOME (LOSS) FROM INVESTMENT OPERATIONS:** |  |  |  |  |  |  |
| Net investment loss (A) | (0.02) | (0.18) | (0.13) | (0.08) | (0.07) | (0.09) |
| Net realized and unrealized gain (loss) on investments | 0.14 | 0.92 | 0.57 | (0.16) | (0.12) | (0.44) |
| Total from investment operations | 0.12 | 0.74 | 0.44 | (0.24) | (0.19) | (0.53) |
| Net asset value, end of year/period | $8.95 | $8.92 | $8.18 | $7.74 | $7.98 | $8.17 |
| Total return (B) | 1.40 % (H) | 9.05 % (C) | 5.68 % (C) | (3.01)% (C) | (2.33)% (C) | (6.09)% |
| **RATIOS/SUPPLEMENTAL DATA:** |  |  |  |  |  |  |
| Net assets, end of year/period (in 000's) | $122622 | $89859 | $61014 | $84334 | $282645 | $542712 |
| Ratios to average net assets(including dividend and interest expense) (E) |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Expenses, before waiver and reimbursement (D) | 2.26 % (I) | 2.24% | 2.16% | 2.31% | 2.08% | 2.02% |
| &nbsp;&nbsp;&nbsp;&nbsp;Expenses, net waiver and reimbursement (D) | 2.24 % (I) | 2.20% | 1.75 % (G) | 2.31% | 2.08% | 2.02% |
| &nbsp;&nbsp;&nbsp;&nbsp;Net investment loss, before waiver and reimbursement (D,F) | (0.44)% (I) | (2.17)% | (2.13)% | (1.00)% | (0.91)% | (1.03)% |
| &nbsp;&nbsp;&nbsp;&nbsp;Net investment loss, net waiver and reimbursement (D,F) | (0.42)% (I) | (2.13)% | (1.71)% (G) | (1.00)% | (0.91)% | (1.03)% |
| Portfolio turnover rate | 0 % (H) | 0% | 0% | 0% | 0% | 0% |

---

(A) Per
 share amounts calculated using average shares method, which more appropriately presents the per share data for the year.

(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 manager not waived its fees and reimbursed expenses,
 total return would have been lower.

(C) 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.

(D) Does
 not include expenses of the underlying investment companies in which the Fund invests.

(E) Ratios
 to average net assets (excluding dividend and interest expense)

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Expenses, before waiver and reimbursement (D) | 2.26% (I) | 2.24% | 2.16% | 2.31% | 2.02% | 2.0% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Expenses, net waiver and reimbursement (D) | 2.24 % (I) | 2.2% | 1.75 % (G) | 2.31% | 2.02% | 2.0% |

---

(F) Recognition
 of net investment loss is affected by the timing and declaration of dividends by the underlying investment companies in which the
 Fund invests.

(G) Manager
 has voluntarily waived a portion of expenses. This waiver will not be recaptured by the manager.

(H) Not
 annualized.

(I) Annualized.

The accompanying notes are an integral part of these financial statements.

---

| |
|:---|
| **CATALYST FUNDS** |
| **Catalyst Systematic Alpha Fund (Consolidated)** |
| **Financial Highlights** |

---

For a Share Outstanding Throughout Each Year/Period

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
|  | **Class A** | **Class A** | **Class A** | **Class A** | **Class A** | **Class A** |
|  | **For the**<br>**Six Months Ended**<br>**December 31, 2022** | **For the**<br>**Year Ended**<br>**June 30, 2022** | **For the**<br>**Year Ended**<br>**June 30, 2021** | **For the**<br>**Year Ended**<br>**June 30, 2020** | **For the**<br>**Year Ended**<br>**June 30, 2019** | **For the**<br>**Year Ended**<br>**June 30, 2018** |
|  | (Unaudited) | | | | | |
| Net asset value, beginning of year/period | $10.06 | $10.86 | $9.56 | $9.18 | $8.93 | $9.45 |
| **INCOME (LOSS) FROM INVESTMENT OPERATIONS:** |  |  |  |  |  |  |
| Net investment income (loss) (A) | 0.04 | (0.17) | 0.04 | 0.17 | 0.15 | 0.02 |
| Net realized and unrealized gain (loss) on investments | 0.67 | (0.05) | 3.16 | 0.35 | 0.10 (B) | (0.54) |
| Total from investment operations | 0.71 | (0.22) | 3.20 | 0.52 | 0.25 | (0.52) |
| **LESS DISTRIBUTIONS:** |  |  |  |  |  |  |
| From net investment income | (0.46) | (0.58) | (1.90) | (0.14) | (0.00) (C) |  |
| From net realized gains on investments |  |  |  |  |  |  |
| Total distributions | (0.46) | (0.58) | (1.90) | (0.14) | (0.00) |  |
| Net asset value, end of year/period | $10.31 | $10.06 | $10.86 | $9.56 | $9.18 | $8.93 |
| Total return (D,E) | 6.95 % (J) | (2.53)% | 37.12% | 5.58% | 2.82% | (5.50)% |
| **RATIOS/SUPPLEMENTAL DATA:** |  |  |  |  |  |  |
| Net assets, end of year/period (in 000's) | $238 | $324 | $164 | $216 | $140 | $2157 |
| Ratios to average net assets(including dividend and interest expense) (F) |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Expenses, before waiver and reimbursement (H) | 4.43 % (K) | 4.63% | 5.77% | 5.25% | 5.10% | 4.24% |
| &nbsp;&nbsp;&nbsp;Expenses, net waiver and reimbursement (H) | 2.02 % (K) | 2.06% | 2.03% | 2.04% | 2.02% | 1.86% |
| &nbsp;&nbsp;&nbsp;Net investment loss, before waiver and reimbursement (H,I) | (1.85)% (K) | (4.14)% | (3.44)% | (1.47)% | (1.24)% | (2.12)% |
| &nbsp;&nbsp;&nbsp;Net investment income (loss), net waiver and reimbursement (H,I) | 0.80 % (K) | (1.53)% | 0.35% | 1.74% | 1.67% | 0.25% |
| Portfolio turnover rate | 83 % (J) | 1335% | 121% | 75% | 120% | 116% |
|  | **Class C** | **Class C** | **Class C** | **Class C** | **Class C** | **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, 2022** | **June 30, 2022** | **June 30, 2021** | **June 30, 2020** | **June 30, 2019** | **June 30, 2018** |
|  | (Unaudited) |  |  |  |  |  |
| Net asset value, beginning of year/period | $9.63 | $10.41 | $9.23 | $8.85 | $8.72 | $9.30 |
| **INCOME (LOSS) FROM INVESTMENT OPERATIONS:** |  |  |  |  |  |  |
| Net investment income (loss) (A) | 0.01 | (0.25) | (0.04) | 0.08 | 0.07 | (0.06) |
| Net realized and unrealized gain (loss) on investments | 0.64 | (0.05) | 3.04 | 0.35 | 0.09 (B) | (0.52) |
| Total from investment operations | 0.65 | (0.30) | 3.00 | 0.43 | 0.16 | (0.58) |
| **LESS DISTRIBUTIONS:** |  |  |  |  |  |  |
| From net investment income | (0.40) | (0.48) | (1.82) | (0.05) | (0.03) |  |
| From net realized gains on investments |  |  |  |  |  |  |
| Total distributions | (0.40) | (0.48) | (1.82) | (0.05) | (0.03) |  |
| Net asset value, end of year/period | $9.88 | $9.63 | $10.41 | $9.23 | $8.85 | $8.72 |
| Total return (D,E) | 6.57 % (J) | (3.32)% | 35.99% | 4.84% | 1.94% | (6.24)% |
| **RATIOS/SUPPLEMENTAL DATA:** |  |  |  |  |  |  |
| Net assets, end of year/period (in 000's) | $135 | $133 | $184 | $188 | $269 | $269 |
| Ratios to average net assets(including dividend and interest expense) (G) |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Expenses, before waiver and reimbursement (H) | 5.19 % (K) | 5.38% | 6.53% | 6.00% | 5.85% | 4.82% |
| &nbsp;&nbsp;&nbsp;Expenses, net waiver and reimbursement (H) | 2.77 % (K) | 2.81% | 2.78% | 2.79% | 2.77% | 2.31% |
| &nbsp;&nbsp;&nbsp;Net investment loss, before waiver and reimbursement (H,I) | (2.59)% (K) | (5.13)% | (4.16)% | (2.32)% | (2.36)% | (3.21)% |
| &nbsp;&nbsp;&nbsp;Net investment income (loss), net waiver and reimbursement (H,I) | 0.10 % (K) | (2.35)% | (0.39)% | 0.89% | 0.81% | (0.70)% |
| Portfolio turnover rate | 83 % (J) | 1335% | 121% | 75% | 120% | 116% |

---

(A) Per
 share amounts calculated using average shares method, which more appropriately presents the per share data for the year.

(B) As
 required by SEC standard per share data calculation methodology, this represents a balancing figure derived from the other amounts
 in the financial highlights tables that captures all other changes affecting net asset value per share. This per share
 gain amount does not correlate to the aggregate of the net realized and unrealized gain (loss) in the Statement of Operations for
 the years ended June 30, 2022 and June 30, 2019 , primarily due to the timing of sales and repurchases of the Fund's shares
 in relation to fluctuating market values of the Fund's portfolio.

(C) Represents
 less than $0.01 per share.

(D) 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 manager not waived its fees and reimbursed expenses,
 total return would have been lower.

(E) 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.

(F) Ratios
 to average net assets (excluding dividend and interest expense)

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Expenses, before waiver and reimbursement (H) | 4.43% (K) | 4.59% | 5.76% | 5.23% | 5.1% | 4.24% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Expenses, net waiver and reimbursement (H) | 2.02 % (K) | 2.02% | 2.02% | 2.02% | 2.02% | 1.86% |

---

(G) Ratios
 to average net assets (excluding dividend and interest expense)

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Expenses, before waiver and reimbursement (H) | 5.19% (K) | 5.34% | 6.52% | 5.98% | 5.85% | 4.82% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Expenses, net waiver and reimbursement (H) | 2.77 % (K) | 2.77% | 2.77% | 2.77% | 2.77% | 2.31% |

---

(H) Does
 not include expenses of the underlying investment companies in which the Fund invests.

(I) Recognition
 of net investment income (loss) is affected by the timing and declaration of dividends by the underlying investment companies in
 which the Fund invests.

(J) Not
 annualized.

(K) Annualized.

The accompanying notes are an integral part of these consolidated financial statements.

---

| |
|:---|
| **CATALYST FUNDS** |
| **Catalyst Systematic Alpha Fund (Consolidated) (Continued)** |
| **Financial Highlights** |

---

For a Share Outstanding Throughout Each Year/Period

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
|  | **Class I** | **Class I** | **Class I** | **Class I** | **Class I** | **Class I** |
|  | **For the**<br>**Six Months Ended**<br>**December 31, 2022** | **For the**<br>**Year Ended**<br>**June 30, 2022** | **For the**<br>**Year Ended**<br>**June 30, 2021** | **For the**<br>**Year Ended**<br>**June 30, 2020** | **For the**<br>**Year Ended**<br>**June 30, 2019** | **For the**<br>**Year Ended**<br>**June 30, 2018** |
|  | (Unaudited) | | | | | |
| Net asset value, beginning of year/period | $9.87 | $10.67 | $9.43 | $9.05 | $8.91 | $9.40 |
| **INCOME (LOSS) FROM INVESTMENT OPERATIONS:** |  |  |  |  |  |  |
| Net investment income (loss) (A) | 0.05 | (0.14) | 0.06 | 0.19 | 0.15 | 0.03 |
| Net realized and unrealized gain (loss) on investments | 0.66 | (0.06) | 3.12 | 0.35 | 0.10 (B) | (0.52) |
| Total from investment operations | 0.71 | (0.20) | 3.18 | 0.54 | 0.25 | (0.49) |
| **LESS DISTRIBUTIONS:** |  |  |  |  |  |  |
| From net investment income | (0.50) | (0.60) | (1.94) | (0.16) | (0.11) |  |
| From net realized gains on investments |  |  |  |  |  |  |
| Total distributions | (0.50) | (0.60) | (1.94) | (0.16) | (0.11) |  |
| Net asset value, end of year/period | $10.08 | $9.87 | $10.67 | $9.43 | $9.05 | $8.91 |
| Total return (C,D) | 7.05 % (H) | (2.42)% | 37.47% | 5.88% | 2.97% | (5.21)% |
| **RATIOS/SUPPLEMENTAL DATA:** |  |  |  |  |  |  |
| Net assets, end of year/period (in 000's) | $4648 | $6044 | $2505 | $2519 | $2206 | $2837 |
| Ratios to average net assets(including dividend and interest expense) (E) |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Expenses, before waiver and reimbursement (F) | 4.44 % (I) | 4.38% | 5.52% | 5.00% | 4.85% | 3.81% |
| &nbsp;&nbsp;&nbsp;Expenses, net waiver and reimbursement (F) | 1.77 % (I) | 1.81% | 1.78% | 1.79% | 1.77% | 1.36% |
| &nbsp;&nbsp;&nbsp;Net investment loss, before waiver and reimbursement (F,G) | (1.59)% (I) | (3.84)% | (3.10)% | (1.22)% | (1.29)% | (2.17)% |
| &nbsp;&nbsp;&nbsp;Net investment income (loss), net waiver and reimbursement (F,G) | 1.07 % (I) | (1.27)% | 0.63% | 1.99% | 1.79% | 0.29% |
| Portfolio turnover rate | 83 % (H) | 1335% | 121% | 75% | 120% | 116% |

---

(A) Per
 share amounts calculated using average shares method, which more appropriately presents the per share data for the year.

(B) As
 required by SEC standard per share data calculation methodology, this represents a balancing figure derived from the other amounts
 in the financial highlights tables that captures all other changes affecting net asset value per share. This per share
 gain amount does not correlate to the aggregate of the net realized and unrealized gain (loss) in the Statement of Operations for
 the years ended June 30, 2022 and June 30, 2019, primarily due to timing of sales and repurchases of the Fund's shares in relation
 to fluctuating market values of the Fund's portfolio.

(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 manager 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 dividend and interest expense)

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Expenses, before waiver and reimbursement (F) | 4.18% (I) | 4.34% | 5.51% | 4.98% | 4.85% | 3.81% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Expenses, net waiver and reimbursement (F) | 1.77 % (I) | 1.77% | 1.77% | 1.77% | 1.77% | 1.36% |

---

(F) Does
 not include expenses of the underlying investment companies in which the Fund invests.

(G) Recognition
 of net investment income (loss) is affected by the timing and declaration of dividends by the underlying investment companies in
 which the Fund invests.

(H) Not annualized.

(I) Annualized.

The accompanying notes are an integral part of these consolidated financial statements.

---

| |
|:---|
| **CATALYST FUNDS** |
| **Catalyst Income and Multi-Strategy Fund** |
| **Financial Highlights (Consolidated)** |

---

For a Share Outstanding Throughout Each Year/Period

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
|  | **Class A** | **Class A** | **Class A** | **Class A** | **Class A** | **Class A** |
|  | **For the**<br>**Six Months Ended**<br>**December 31, 2022** | **For the**<br>**Year Ended**<br>**June 30, 2022** | **For the**<br>**Year Ended**<br>**June 30, 2021** | **For the**<br>**Year Ended**<br>**June 30, 2020** | **For the**<br>**Year Ended**<br>**June 30, 2019** | **For the**<br>**Year Ended**<br>**June 30, 2018** |
|  | (Unaudited) | | | | | |
| Net asset value, beginning of year/period | $13.84 | $15.63 | $13.64 | $14.85 | $14.62 | $14.79 |
| **INCOME FROM INVESTMENT OPERATIONS:** |  |  |  |  |  |  |
| Net investment income (loss) (A) | 0.20 | (0.00) | (0.10) | 0.04 | (0.04) | (0.17) |
| Net realized and unrealized gain (loss) on investments | (0.40) | (1.16) | 2.33 | (0.73) | 0.27 | 0.00 |
| Total from investment operations | (0.20) | (1.16) | 2.23 | (0.69) | 0.23 | (0.17 |
| **LESS DISTRIBUTIONS:** |  |  |  |  |  |  |
| From net investment income | (0.65) | (0.63) | (0.24) | (0.43) |  |  |
| From return of capital |  |  |  | (0.09) |  |  |
| Total distributions | (0.65) | (0.63) | (0.24) | (0.52) |  |  |
| Net asset value, end of year/period | $12.99 | $13.84 | $15.63 | $13.64 | $14.85 | $14.62 |
| Total return (B) | (1.48)% (I) | (7.59)% | 16.46% | (4.76)% | 1.57% | (1.15) |
| **RATIOS/SUPPLEMENTAL DATA:** |  |  |  |  |  |  |
| Net assets, end of year/period (in 000's) | $135 | $95 | $50 | $54 | $148 | $253 |
| Ratios to average net assets (including interest expense) (D) |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Expenses, before waiver and reimbursement (G) | 4.31 % (J) | 4.69% | 5.50% | 5.10% | 4.32% | 3.22 |
| &nbsp;&nbsp;&nbsp;Expenses, net waiver and reimbursement (G) | 2.24 % (J) | 2.27% | 2.28% | 2.29% | 2.26% | 2.24 |
| &nbsp;&nbsp;&nbsp;Net investment loss, before waiver and reimbursement (G,H) | 0.83 % (J) | (2.45)% | (3.93)% | (2.50)% | (2.27)% | (2.13) |
| &nbsp;&nbsp;&nbsp;Net investment income (loss) net waiver and reimbursement (G,H) | 2.91 % (J) | (0.01)% | (0.71)% | 0.26% | (0.22)% | (1.15) |
| Portfolio turnover rate | 19 % (I) | 50% | 43% | 157% | 0% | 0 |
|  | **Class C** | **Class C** | **Class C** | **Class C** | **Class C** | **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, 2022** | **June 30, 2022** | **June 30, 2021** | **June 30, 2020** | **June 30, 2019** | **June 30, 2018** |
|  | (Unaudited) |  |  |  |  |  |
| Net asset value, beginning of year/period | $13.42 | $15.19 | $13.26 | $14.44 | $14.33 | $14.61 |
| **INCOME FROM INVESTMENT OPERATIONS:** |  |  |  |  |  |  |
| Net investment loss (A) | 0.14 | (0.09) | (0.21) | (0.06) | (0.14) | (0.27) |
| Net realized and unrealized gain (loss) on investments | (0.39) | (1.13) | 2.27 | (0.70) | 0.25 | (0.01 |
| Total from investment operations | (0.25) | (1.22) | 2.06 | (0.76) | 0.11 | (0.28 |
| **LESS DISTRIBUTIONS:** |  |  |  |  |  |  |
| From net investment income | (0.63) | (0.55) | (0.13) | (0.33) |  |  |
| From return of capital |  |  |  | (0.09) |  |  |
| Total distributions | (0.63) | (0.55) | (0.13) | (0.42) |  |  |
| Net asset value, end of year/period | $12.54 | $13.42 | $15.19 | $13.26 | $14.44 | $14.33 |
| Total return (B) | (1.88)% (I) | (8.23)% | 15.59% | (5.41)% | 0.77% | (1.92) |
| **RATIOS/SUPPLEMENTAL DATA:** |  |  |  |  |  |  |
| Net assets, end of year (in 000's) | $601 | $539 | $187 | $104 | $166 | $308 |
| Ratios to average net assets (including interest expense) (E) |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Expenses, before waiver and reimbursement (G) | 5.07 % (J) | 5.44% | 6.14% | 5.85% | 5.07% | 4.06 |
| &nbsp;&nbsp;&nbsp;Expenses, net waiver and reimbursement (G) | 2.99 % (J) | 3.02% | 3.03% | 3.04% | 3.01% | 2.99 |
| &nbsp;&nbsp;&nbsp;Net investment loss, before waiver and reimbursement (G,H) | (0.09)% (J) | (3.07)% | (4.50)% | (3.31)% | (3.00)% | (2.94) |
| &nbsp;&nbsp;&nbsp;Net investment loss net waiver and reimbursement (G,H) | 1.99 % (J) | (0.65)% | (1.43)% | (0.46)% | (0.97)% | (1.86) |
| Portfolio turnover rate | 19 % (I) | 50% | 43% | 157% | 0% | 0 |

---

(A) Per
 share amounts calculated using average shares method, which more appropriately presents the per share data for the year.

(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 manager not waived its fees and reimbursed expenses,
 total return would have been lower.

(C) As
 required by SEC standard per share data calculation methodology, this represents a balancing figure derived from the other amounts
 in the financial highlights tables that captures all other changes affecting net asset value per share. This per share loss amount
 does not correlate to the aggregate of the net realized and unrealized gain in the Statement of Operations for the year ended June
 30, 2018, primarily due to the timing of sales and repurchases of the Fund's shares in relation to fluctuating market values
 of the Fund's portfolio.

(D) Ratios
 to average net assets (excluding interest expense)

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Expenses, before waiver and reimbursement (G) | 4.32% (J) | 4.67% | 5.49% | 5.08% | 4.32% | 3.22% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Expenses, net waiver and reimbursement (G) | 2.24 % (J) | 2.25% | 2.27% | 2.27% | 2.26% | 2.24% |

---

(E) Ratios
 to average net assets (excluding interest expense)

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Expenses, before waiver and reimbursement (G) | 5.07% (J) | 5.42% | 6.13% | 5.83% | 5.07% | 4.06% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Expenses, net waiver and reimbursement (G) | 2.99 % (J) | 3.0% | 3.02% | 3.02% | 3.01% | 2.99% |

---

(F) Amount
 is less than $0.005.

(G) Does
 not include expenses of the underlying investment companies in which the Fund invests.

(H) Recognition
 of net investment (loss) is affected by the timing and declaration of dividends by the underlying investment companies in which the
 Fund invests.

(I) Not annualized.

(J) Annualized.

The accompanying notes are an integral part of these consolidated financial statements.

---

| |
|:---|
| **CATALYST FUNDS** |
| **Catalyst Income and Multi-Strategy Fund (Continued)** |
| **Financial Highlights (Consolidated)** |

---

For a Share Outstanding Throughout Each Year/Period

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
|  | **Class I** | **Class I** | **Class I** | **Class I** | **Class I** | **Class I** |
|  | **For the**<br>**Six Months Ended**<br>**December 31, 2022** | **For the**<br>**Year Ended**<br>**June 30, 2022** | **For the**<br>**Year Ended**<br>**June 30, 2021** | **For the**<br>**Year Ended**<br>**June 30, 2020** | **For the**<br>**Year Ended**<br>**June 30, 2019** | **For the**<br>**Year Ended**<br>**June 30, 2018** |
|  | (Unaudited) | | | | | |
| Net asset value, beginning of year/period | $13.88 | $15.67 | $13.68 | $14.91 | $14.64 | $14.79 |
| **INCOME FROM INVESTMENT OPERATIONS:** |  |  |  |  |  |  |
| Net investment Income (loss) (A) | 0.22 | 0.01 | (0.07) | 0.09 | 0.01 | (0.13) |
| Net realized and unrealized gain (loss) on investments | (0.42) | (1.12) | 2.33 | (0.73) | 0.26 | (0.02) (C) |
| Total from investment operations | (0.20) | (1.11) | 2.26 | (0.64) | 0.27 | (0.15) |
| **LESS DISTRIBUTIONS:** |  |  |  |  |  |  |
| From net investment income | (0.65) | (0.68) | (0.27) | (0.50) |  |  |
| From return of capital |  |  |  | (0.09) |  |  |
| Total distributions | (0.65) | (0.68) | (0.27) | (0.59) |  |  |
| Net asset value, end of year/period | $13.03 | $13.88 | $15.67 | $13.68 | $14.91 | $14.64 |
| Total return (B) | (1.43)%(G) | (7.27)% | 16.68% | (4.41)% | 1.84% | (1.01)% |
| **RATIOS/SUPPLEMENTAL DATA:** |  |  |  |  |  |  |
| Net assets, end of year/period (in 000's) | $4947 | $4598 | $4257 | $2930 | $4098 | $5335 |
| Ratios to average net assets (including interest expense) (D) |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Expenses, before waiver and reimbursement (E) | 4.07 %(H) | 4.52% | 5.15% | 4.85% | 4.07% | 2.99% |
| &nbsp;&nbsp;&nbsp;Expenses, net waiver and reimbursement (E) | 1.99 %(H) | 2.02% | 2.03% | 2.04% | 2.01% | 1.99% |
| &nbsp;&nbsp;&nbsp;Net investment loss, before waiver and reimbursement (E,F) | 0.97 %(H) | (2.40)% | (3.55)% | (2.19)% | (2.01)% | (1.89)% |
| &nbsp;&nbsp;&nbsp;Net investment income (loss) net waiver and reimbursement (E,F) | 3.05 %(H) | 0.08% | (0.44)% | 0.62% | 0.05% | (0.89)% |
| Portfolio turnover rate | 19 %(G) | 50% | 43% | 157% | 0% | 0% |

---

(A) Per
 share amounts calculated using average shares method, which more appropriately presents the per share data for the year.

(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 manager not waived its fees and reimbursed expenses, total return would have been lower.

(C) As
 required by SEC standard per share data calculation methodology, this represents a balancing figure derived from the other amounts
 in the financial highlights tables that captures all other changes affecting net asset value per share. This per share gain amount
 does not correlate to the aggregate of the net realized and unrealized (loss) in the Statement of Operations for the year ended June
 30, 2018, primarily due to the timing of sales and repurchases of the Fund's shares in relation to fluctuating market values
 of the Fund's portfolio.

(D) Ratios
 to average net assets (excluding interest expense)

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Expenses, before waiver and reimbursement (E) | 4.07% (H) | 4.5% | 5.14% | 4.83% | 4.07% | 2.99% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Expenses, net waiver and reimbursement (E) | 1.99 % (H) | 2.0% | 2.02% | 2.02% | 2.01% | 1.99% |

---

(E) Does
 not include expenses of the underlying investment companies in which the Fund invests.

(F) Recognition
 of net investment (loss) is affected by the timing and declaration of dividends by the underlying investment companies in which the
 Fund invests.

(G) Not
 annualized.

(H) Annualized.

The accompanying notes are an integral part of these consolidated financial statements.

---

| |
|:---|
| **CATALYST FUNDS** |
| **Catalyst Nasdaq-100 Hedged Equity Fund** |
| **Financial Highlights** |

---

For a Share Outstanding Throughout Each Year/Period

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
|  | **Class A** | **Class A** | **Class A** | **Class A** | **Class A** | **Class A** |
|  | **For the**<br>**Six Months Ended**<br>**December 31, 2022** | **For the**<br>**Year Ended**<br>**June 30, 2022** | **For the**<br>**Year Ended**<br>**June 30, 2021** | **For the**<br>**Year Ended**<br>**June 30, 2020** | **For the**<br>**Year Ended**<br>**June 30, 2019** | **For the**<br>**Year Ended**<br>**June 30, 2018** |
|  | (Unaudited) | | | | | |
| Net asset value, beginning of year/period | $9.60 | $11.75 | $10.12 | $10.74 | $10.11 | $9.55 |
| **INCOME (LOSS) FROM INVESTMENT OPERATIONS:** |  |  |  |  |  |  |
| Net investment income (loss) (A) | (0.03) | (0.14) | (0.09) | 0.07 | 0.08 | 0.04 |
| Net realized and unrealized gain (loss) on investments | (0.71 | (1.97) | 1.77 | (0.10) | 0.58 | 0.52 |
| Total from investment operations | (0.74 | (2.11) | 1.68 | (0.03) | 0.66 | 0.56 |
| **LESS DISTRIBUTIONS:** |  |  |  |  |  |  |
| From net investment income |  |  |  | (0.12) | (0.03) | (0.00) (B) |
| From net realized gains on investments | (0.23) | (0.04) | (0.01) | (0.47) |  |  |
| From return of capital |  |  | (0.04) |  |  |  |
| Total distributions | (0.23 | (0.04) | (0.05) | (0.59) | (0.03) | (0.00) |
| Net asset value, end of year/period | $8.63 | $9.60 | $11.75 | $10.12 | $10.74 | $10.11 |
| Total return (C) | (7.82) | (18.03)% | 16.68% | (0.63)% | 6.54% | 5.88% |
| **RATIOS/SUPPLEMENTAL DATA:** |  |  |  |  |  |  |
| Net assets, end of year/period (in 000's) | $655 | $873 | $1522 | $1815 | $2417 | $2503 |
| Ratios to average net assets (including dividend and interest expense) (D) |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Expenses, before waiver and reimbursement (F) | 2.64 | 2.55% | 2.76% | 2.68% | 2.60% | 2.69% |
| &nbsp;&nbsp;&nbsp;Expenses, net waiver and reimbursement (F) | 1.76 | 1.74% | 1.72% | 1.63% | 1.60% | 1.51% |
| &nbsp;&nbsp;&nbsp;Net investment loss, before waiver and reimbursement (F,G) | (1.57) | (1.96)% | (1.87)% | (0.38)% | (0.21)% | (0.80)% |
| &nbsp;&nbsp;&nbsp;Net investment income (loss), net waiver and reimbursement (F,G) | (0.69) | (1.15)% | (0.83)% | 0.67% | 0.79% | 0.38% |
| Portfolio turnover rate | 36 | 51% | 205% | 145% | 112% | 177% |
|  | **Class C** | **Class C** | **Class C** | **Class C** | **Class C** | **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, 2022** | **June 30, 2022** | **June 30, 2021** | **June 30, 2020** | **June 30, 2019** | **June 30, 2018** |
|  | (Unaudited) |  |  |  |  |  |
| Net asset value, beginning of year/period | $8.99 | $11.08 | $9.62 | $10.25 | $9.71 | $9.24 |
| **INCOME (LOSS) FROM INVESTMENT OPERATIONS:** |  |  |  |  |  |  |
| Net investment income (loss) (A) | (0.06) | (0.21) | (0.17) | (0.01) | 0.00 (B) | (0.03) |
| Net realized and unrealized gain (loss) on investments | (0.67 | (1.84) | 1.68 | (0.10) | 0.55 | 0.51 |
| Total from investment operations | (0.73 | (2.05) | 1.51 | (0.11) | 0.55 | 0.48 |
| **LESS DISTRIBUTIONS:** |  |  |  |  |  |  |
| From net investment income |  |  |  | (0.05) | (0.01) | (0.01) |
| From net realized gains on investments | (0.23) | (0.04) | (0.01) | (0.47) |  |  |
| From return of capital |  |  | (0.04) |  |  |  |
| Total distributions | (0.23 | (0.04) | (0.05) | (0.52) | (0.01) | (0.01) |
| Net asset value, end of year/period | $8.03 | $8.99 | $11.08 | $9.62 | $10.25 | $9.71 |
| Total return (C) | (8.25) | (18.58)% | 15.78% | (1.36)% | 5.64% | 5.20% |
| **RATIOS/SUPPLEMENTAL DATA:** |  |  |  |  |  |  |
| Net assets, end of year/period (in 000's) | $1195 | $1242 | $1945 | $1321 | $1179 | $1138 |
| Ratios to average net assets(including dividend and interest expense) (E) |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Expenses, before waiver and reimbursement (F) | 3.39 | 3.30% | 3.51% | 3.43% | 3.35% | 3.47% |
| &nbsp;&nbsp;&nbsp;Expenses, net waiver and reimbursement (F) | 2.51 | 2.49% | 2.47% | 2.38% | 2.35% | 2.26% |
| &nbsp;&nbsp;&nbsp;Net investment loss, before waiver and reimbursement (F,G) | (2.31) | (2.71)% | (2.68)% | (1.17)% | (0.97)% | (1.56)% |
| &nbsp;&nbsp;&nbsp;Net investment income (loss), net waiver and reimbursement (F,G) | (1.43) | (1.89)% | (1.64)% | (0.12)% | 0.03% | (0.35)% |
| Portfolio turnover rate | 36 | 51% | 205% | 145% | 112% | 177% |

---

(A) Per
 share amounts calculated using average shares method, which more appropriately presents the per share data for the year.

(B) Represents
 an amount 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 manager not waived its fees and reimbursed expenses,
 total return would have been lower.

(D) Ratios
 to average net assets (excluding dividend and interest expense)

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Expenses, before waiver and reimbursement (F) | 2.62% (I) | 2.55% | 2.74% | 2.58% | 2.52% | 2.68% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Expenses, net waiver and reimbursement (F) | 1.74 % (I) | 1.74% | 1.7% | 1.53% | 1.52% | 1.5% |

---

(E) Ratios
 to average net assets (excluding dividend and interest expense)

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Expenses, before waiver and reimbursement (F) | 3.37% (I) | 3.3% | 3.49% | 3.33% | 3.27% | 3.46% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Expenses, net waiver and reimbursement (F) | 2.49 % (I) | 2.49% | 2.45% | 2.28% | 2.27% | 2.25% |

---

(F) Does
 not include expenses of the underlying investment companies in which the Fund invests.

(G) Recognition
 of net investment income (loss) is affected by the timing and declaration of dividends by the underlying investment companies in
 which the Fund invests.

(H) Not
 annualized.

(I) Annualized.

(J) 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.

The accompanying notes are an integral part of these financial statements.

---

| |
|:---|
| **CATALYST FUNDS** |
| **Catalyst Nasdaq-100 Hedged Equity Fund (Continued)** |
| **Financial Highlights** |

---

For a Share Outstanding Throughout Each Year/Period

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
|  | **Class I** | **Class I** | **Class I** | **Class I** | **Class I** | **Class I** |
|  | **For the**<br>**Six Months Ended**<br>**December 31, 2022** | **For the**<br>**Year Ended**<br>**June 30, 2022** | **For the**<br>**Year Ended**<br>**June 30, 2021** | **For the**<br>**Year Ended**<br>**June 30, 2020** | **For the**<br>**Year Ended**<br>**June 30, 2019** | **For the**<br>**Year Ended**<br>**June 30, 2018** |
|  | (Unaudited) | | | | | |
| Net asset value, beginning of year/period | $9.71 | $11.84 | $10.20 | $10.81 | $10.18 | $9.61 |
| **INCOME (LOSS) FROM INVESTMENT OPERATIONS:** |  |  |  |  |  |  |
| Net investment income (loss) (A) | (0.03) | (0.11) | (0.08) | 0.09 | 0.11 | 0.06 |
| Net realized and unrealized gain (loss) on investments | (0.71) | (1.98) | 1.79 | (0.09) | 0.57 | 0.53 |
| Total from investment operations | (0.74) | (2.09) | 1.71 | 0.00 | 0.68 | 0.59 |
| **LESS DISTRIBUTIONS:** |  |  |  |  |  |  |
| From net investment income |  |  | (0.02) | (0.14) | (0.05) | (0.02) |
| From net realized gains on investments | (0.23) | (0.04) | (0.01) | (0.47) |  |  |
| From return of capital |  |  | (0.04) |  |  |  |
| Total distributions | (0.23) | (0.04) | (0.07) | (0.61) | (0.05) | (0.02) |
| Net asset value, end of year/period | $8.74 | $9.71 | $11.84 | $10.20 | $10.81 | $10.18 |
| Total return (B) | (7.73)% (F) | (17.72)% | 16.91% | (0.29)% | 6.73% | 6.12% |
| **RATIOS/SUPPLEMENTAL DATA:** |  |  |  |  |  |  |
| Net assets, end of year/period (in 000's) | $10047 | $12227 | $11146 | $7043 | $8613 | $9829 |
| Ratios to average net assets(including dividend and interest expense) (C) |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Expenses, before waiver and reimbursement (D) | 2.39 % (G) | 2.30% | 2.51% | 2.43% | 2.35% | 2.43% |
| &nbsp;&nbsp;&nbsp;Expenses, net waiver and reimbursement (D) | 1.51 % (G) | 1.49% | 1.47% | 1.38% | 1.35% | 1.26% |
| &nbsp;&nbsp;&nbsp;Net investment income (loss), before waiver and reimbursement (D,E) | (1.32)% (G) | (1.68)% | (1.69)% | (0.15)% | 0.04% | (0.55)% |
| &nbsp;&nbsp;&nbsp;Net investment Income (loss), net waiver and reimbursement (D,E) | (0.44)% (G) | (0.86)% | (0.65)% | 0.90% | 1.04% | 0.62% |
| Portfolio turnover rate | 36 % (F) | 51% | 205% | 145% | 112% | 177% |

---

(A) Per
 share amounts calculated using average shares method, which more appropriately presents the per share data for the year.

(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 manager not waived its fees and reimbursed expenses, total return would have been lower.

(C) Ratios
 to average net assets (excluding dividend and interest expense)

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Expenses, before waiver and reimbursement (D) | 2.37% (G) | 2.3% | 2.49% | 2.33% | 2.27% | 2.42% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Expenses, net waiver and reimbursement (D) | 1.49 % (G) | 1.49% | 1.45% | 1.28% | 1.27% | 1.25% |

---

(D) Does
 not include expenses of the underlying investment companies in which the Fund invests.

(E) Recognition
 of net investment income (loss) 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.

---

| |
|:---|
| **CATALYST FUNDS** |
| **Catalyst/Millburn Hedge Strategy Fund** |
| **Financial Highlights (Consolidated)** |

---

For a Share Outstanding Throughout Each Year/Period

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
|  | **Class A** | **Class A** | **Class A** | **Class A** | **Class A** | **Class A** |
|  | **For the**<br>**Six Months Ended**<br>**December 31, 2022** | **For the**<br>**Year Ended**<br>**June 30, 2022** | **For the**<br>**Year Ended**<br>**June 30, 2021** | **For the**<br>**Year Ended**<br>**June 30, 2020** | **For the**<br>**Year Ended**<br>**June 30, 2019** | **For the**<br>**Year Ended**<br>**June 30, 2018** |
|  | (Unaudited) | | | | | |
| Net asset value, beginning of year/period | $36.99 | $36.25 | $27.63 | $32.07 | $31.14 | $29.82 |
| **INCOME (LOSS) FROM INVESTMENT OPERATIONS:** |  |  |  |  |  |  |
| Net investment loss (A) | 0.04 | (0.45) | (0.46) | (0.14) | (0.04) | (0.29) |
| Net realized and unrealized gain (loss) on investments | 1.55 | 1.19 | 10.29 | (2.70) | 1.89 | 2.67 |
| Total from investment operations | 1.59 | 0.74 | 9.83 | (2.84) | 1.85 | 2.38 |
| **LESS DISTRIBUTIONS:** |  |  |  |  |  |  |
| From net investment income | (1.42) |  | (1.21) | (1.60) | (0.45) |  |
| From return of capital |  |  | (0.00) (F) |  |  |  |
| From net realized gains on investments | (1.29) |  |  |  | (0.47) | (1.06) |
| Total distributions | (2.71) |  | (1.21) | (1.60) | (0.92) | (1.06) |
| Net asset value, end of year/period | $35.87 | $36.99 | $36.25 | $27.63 | $32.07 | $31.14 |
| Total return (B) | 4.56% | 2.04% | 36.44% | (9.48)% | 6.13% | 7.88 % (C) |
| **RATIOS/SUPPLEMENTAL DATA:** |  |  |  |  |  |  |
| Net assets, end of year/period (in 000's) | $433465 | $335527 | $306389 | $316112 | $424968 | $388806 |
| Ratios to average net assets (including interest expense) |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Expenses (incuding interest expense), before waiver and reimbursement (D,G) | 2.15 % (G) | 2.20% | 2.22% | 2.19% | 2.19% | 2.15% |
| &nbsp;&nbsp;&nbsp;Expenses (incuding interest expense), net waiver and reimbursement (D,G) | 2.15 % (G) | 2.20% | 2.22% | 2.19% | 2.18% | 2.14% |
| &nbsp;&nbsp;&nbsp;Net investment loss, before waiver and reimbursement (D,E) | 0.23% | (1.25)% | (1.47)% | (0.47)% | (0.15)% | (0.94)% |
| &nbsp;&nbsp;&nbsp;Net investment loss, net waiver and reimbursement (D,E) | 0.23% | (1.25)% | (1.47)% | (0.47)% | (0.14)% | (0.94)% |
| Portfolio turnover rate | 34% | 9% | 13% | 54% | 19% | 12% |
|  | **Class C** | **Class C** | **Class C** | **Class C** | **Class C** | **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, 2022** | **June 30, 2022** | **June 30, 2021** | **June 30, 2020** | **June 30, 2019** | **June 30, 2018** |
|  | (Unaudited) |  |  |  |  |  |
| Net asset value, beginning of year/period | $36.01 | $35.55 | $27.07 | $31.46 | $30.61 | $29.56 |
| **INCOME (LOSS) FROM INVESTMENT OPERATIONS:** |  |  |  |  |  |  |
| Net investment loss (A) | (0.10) | (0.71) | (0.68) | (0.36) | (0.27) | (0.42) |
| Net realized and unrealized gain (loss) on investments | 1.51 | 1.17 | 10.08 | (2.65) | 1.86 | 2.53 |
| Total from investment operations | 1.41 | 0.46 | 9.40 | (3.01) | 1.59 | 2.11 |
| **LESS DISTRIBUTIONS:** |  |  |  |  |  |  |
| From net investment income | (1.16) |  | (0.92) | (1.38) | (0.27) |  |
| From return of capital |  |  | (0.00) (F) |  |  |  |
| From net realized gains on investments | (1.29) |  |  |  | (0.47) | (1.06) |
| Total distributions | (2.45) |  | (0.92) | (1.38) | (0.74) | (1.06) |
| Net asset value, end of year/period | $34.97 | $36.01 | $35.55 | $27.07 | $31.46 | $30.61 |
| Total return (B) | 4.15% | 1.29% | 35.42% | (10.15)% | 5.33% | 7.02 % (C) |
| **RATIOS/SUPPLEMENTAL DATA:** |  |  |  |  |  |  |
| Net assets, end of year/period (in 000's) | $373350 | $335127 | $334331 | $326297 | $408511 | $355968 |
| Ratios to average net assets (including interest expense) |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Expenses (incuding interest expense), before waiver and reimbursement (D,H) | 2.81 % (H) | 2.95% | 2.97% | 2.94% | 2.94% | 2.90% |
| &nbsp;&nbsp;&nbsp;Expenses (incuding interest expense), net waiver and reimbursement (D,H) | 2.81 % (H) | 2.95% | 2.97% | 2.94% | 2.93% | 2.89% |
| &nbsp;&nbsp;&nbsp;Net investment loss , before waiver and reimbursement (D,E) | (0.56)% | (2.00)% | (2.21)% | (1.22)% | (0.90)% | (1.37)% |
| &nbsp;&nbsp;&nbsp;Net investment loss, net waiver and reimbursement (D,E) | (0.56)% | (2.00)% | (2.21)% | (1.22)% | (0.89)% | (1.36)% |
| Portfolio turnover rate | 34% | 9% | 13% | 54% | 19% | 12% |

---

(A) Per
 share amounts calculated using average shares method, which more appropriately presents the per share data for the year.

(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 manager not waived its fees and reimbursed expenses,
 total return would have been lower.

(C) 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.

(D) Does
 not include expenses of the underlying investment companies in which the Fund invests.

(E) Recognition
 of net investment (loss) is affected by the timing and declaration of dividends by the underlying investment companies in which the
 Fund invests.

(F) Annualized.

(G) Ratios
 to average net assets (excluding interest expense)

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Expenses, before waiver and reimbursement (D) | 2.15% | 2.18% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Expenses, net waiver and reimbursement (D) | 2.15% | 2.18% |

---

(H) Ratios
 to average net assets (excluding interest expense)

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Expenses, before waiver and reimbursement (D) | 2.9% | 2.93% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Expenses, net waiver and reimbursement (D) | 2.9% | 2.93% |

---

The accompanying notes are an integral part of these consolidated financial statements.

---

| |
|:---|
| **CATALYST FUNDS** |
| **Catalyst/Millburn Hedge Strategy Fund (Continued)** |
| **Financial Highlights (Consolidated)** |

---

For a Share Outstanding Throughout Each Year/Period

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
|  | **Class C-1** | **Class C-1** | **Class C-1** |  |  |  |
|  | **For the**<br>**Six Months Ended**<br>**December 31, 2022<br> (unaudited)** | **For the**<br>**Year Ended**<br>**June 30, 2022** | **For the**<br>**Period Ended**<br>**June 30, 2021 (A)** |  |  |  |
| Net asset value, beginning of year/period | $36.01 | $35.55 | $27.37 |  |  |  |
| **INCOME (LOSS) FROM INVESTMENT OPERATIONS:** |  |  |  |  |  |  |
| Net investment loss (B) | (0.04) | (0.63) | (0.20) |  |  |  |
| Net realized and unrealized gain on investments | 1.45 | 1.09 | 9.30 |  |  |  |
| Total from investment operations | 1.41 | 0.46 | 9.10 |  |  |  |
| **LESS DISTRIBUTIONS:** |  |  |  |  |  |  |
| From net investment income | (1.34) |  | (0.92) |  |  |  |
| From return of capital |  |  | (0.00)(I) |  |  |  |
| From net realized gains on investments | (1.29) |  |  |  |  |  |
| Total distributions | (2.63) |  | (0.92) |  |  |  |
| Net asset value, end of year/period | $34.79 | $36.01 | $35.55 |  |  |  |
| Total return (C) | 4.16% | 1.29% | 33.93 % (E) |  |  |  |
| **RATIOS/SUPPLEMENTAL DATA:** |  |  |  |  |  |  |
| Net assets, end of year/period (in 000's) | $17158 | $5375 | $882 |  |  |  |
| Ratios to average net assets (Including interest expense) |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Expenses (including interest expense), before waiver and reimbursement (F,J) | 2.90% | 2.95% | 2.95 % (G) |  |  |  |
| &nbsp;&nbsp;&nbsp;Expenses (including interest expense), net waiver and reimbursement (F,J) | 2.90% | 2.95% | 2.95 % (G) |  |  |  |
| &nbsp;&nbsp;&nbsp;Net investment loss, before waiver and reimbursement (F,H) | (0.23)% | (1.78)% | (0.83)% (G) |  |  |  |
| &nbsp;&nbsp;&nbsp;Net investment loss, net waiver and reimbursement (F,H) | (0.23)% | (1.78)% | (0.83)% (G) |  |  |  |
| Portfolio turnover rate | 34% | 9% | 13% |  |  |  |
|  | **Class I** | **Class I** | **Class I** | **Class I** | **Class I** | **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, 2022<br> (unaudited)** | **June 30, 2022** | **June 30, 2021** | **June 30, 2020** | **June 30, 2019** | **June 30, 2018** |
| Net asset value, beginning of year/period | $37.25 | $36.41 | $27.78 | $32.23 | $31.29 | $29.90 |
| **INCOME (LOSS) FROM INVESTMENT OPERATIONS:** |  |  |  |  |  |  |
| Net investment income (loss) (B) | 0.10 | (0.35) | (0.38) | (0.07) | 0.04 | (0.09) |
| Net realized and unrealized gain (loss) on investments | 1.54 | 1.19 | 10.33 | (2.70) | 1.90 | 2.54 |
| Total from investment operations | 1.64 | 0.84 | 9.95 | (2.77) | 1.94 | 2.45 |
| **LESS DISTRIBUTIONS:** |  |  |  |  |  |  |
| From net investment income | (1.50) |  | (1.32) | (1.68) | (0.53) |  |
| From return of capital |  |  | (0.00) (I) |  |  |  |
| From net realized gains on investments | (1.29) |  |  |  | (0.47) | (1.06) |
| Total distributions | (2.79) |  | (1.32) | (1.68) | (1.00) | (1.06) |
| Net asset value, end of year/period | $36.10 | $37.25 | $36.41 | $27.78 | $32.23 | $31.29 |
| Total return (C) | 4.66% | 2.31% | 36.78% | (9.25)% | 6.42% | 8.10 % (D) |
| **RATIOS/SUPPLEMENTAL DATA:** |  |  |  |  |  |  |
| Net assets, end of year/period (in 000's) | $4736220 | $3334146 | $2377768 | $2476317 | $4096347 | $3325775 |
| Ratios to average net assets (including interest expense) |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Expenses (including interest expense), before waiver and reimbursement (F,K) | 1.90% | 1.95% | 1.97% | 1.94% | 1.94% | 1.90% |
| &nbsp;&nbsp;&nbsp;Expenses (including interest expense), net waiver and reimbursement (F,K) | 1.90% | 1.95% | 1.97% | 1.94% | 1.93% | 1.89% |
| &nbsp;&nbsp;&nbsp;Net investment income (loss), before waiver and reimbursement (F,H) | 0.51% | (0.95)% | (1.21)% | (0.22)% | 0.11% | (0.31)% |
| &nbsp;&nbsp;&nbsp;Net investment income (loss), net waiver and reimbursement (F,H) | 0.51% | (0.95)% | (1.21)% | (0.22)% | 0.12% | (0.29)% |
| Portfolio turnover rate | 34% | 9% | 13% | 54% | 19% | 12% |

---

(A) The
 Catalyst/Millburn Hedge Strategy Fund Class C-1 shares commenced operations on October 30, 2020.

(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. Had the manager 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) Not
 annualized.

(F) Does
 not include expenses of the underlying investment companies in which the Fund invests.

(G) Annualized.

(H) Recognition
 of net investment income (loss) is affected by the timing and declaration of dividends by the underlying investment companies in
 which the Fund invests.

(I) Amount
 is less than $0.005.

(J) Ratios
 to average net assets (excluding interest expense)

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Expenses, before waiver and reimbursement (F) | 2.9% | 2.93% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Expenses, net waiver and reimbursement (F) | 2.9% | 2.93% |

---

(K) Ratios
 to average net assets (excluding interest expense)

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Expenses, before waiver and reimbursement (F) | 1.9% | 1.93% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Expenses, net waiver and reimbursement (F) | 1.9% | 1.93% |

---

The accompanying notes are an integral part of these consolidated financial statements.

---

| |
|:---|
| **CATALYST FUNDS** |
| **Catalyst Buffered Shield Fund** |
| **Financial Highlights** |

---

For a Share Outstanding Throughout Each Year/Period

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
|  | **Class A** | **Class A** | **Class A** | **Class A** | **Class A** | **Class A** | **Class A** |
|  | **For the**<br>**Six Months Ended**<br>**December 31, 2022** | **For the**<br>**Year Ended**<br>**June 30, 2022** | **For the**<br>**Year Ended**<br>**June 30, 2021** | **For the**<br>**Year Ended**<br>**June 30, 2020** | **For the**<br>**Year Ended**<br>**June 30, 2019** | **For the**<br>**Period Ended**<br>**June 30, 2018** | **For the**<br>**Year Ended**<br>**November 30, 2017** |
|  | (Unaudited) | | | | | | |
| Net asset value, beginning of year/period | $8.44 | $11.24 | $9.64 | $9.87 | $10.30 | $11.54 | $10.14 |
| **INCOME FROM INVESTMENT OPERATIONS:** |  |  |  |  |  |  |  |
| Net investment income (loss) (B) | 0.06 | (0.02) | 0.01 | 0.08 | 0.09 | 0.04 | 0.03 |
| Net realized and unrealized gain (loss) on investments | (0.26 | (1.06) | 1.78 | 0.28 | 0.34 | 0.19 | 1.44 |
| Total from investment operations | (0.20 | (1.08) | 1.79 | 0.36 | 0.43 | 0.23 | 1.47 |
| **LESS DISTRIBUTIONS:** |  |  |  |  |  |  |  |
| From net investment income | (0.06) |  | (0.04) | (0.09) | (0.09) | (0.02) | (0.04) |
| From net realized gains on investments |  | (1.72) | (0.15) | (0.50) | (0.77) | (1.45) | (0.03) |
| Total distributions | (0.06 | (1.72) | (0.19) | (0.59) | (0.86) | (1.47) | (0.07) |
| Net asset value, end of year/period | $8.18 | $8.44 | $11.24 | $9.64 | $9.87 | $10.30 | $11.54 |
| Total return (C) | (2.44) | (11.85)% | 18.71% | 3.51% | 5.01 % (E) | 2.15 % (D) | 14.57 % (F) |
| **RATIOS/SUPPLEMENTAL DATA:** |  |  |  |  |  |  |  |
| Net assets, end of year/period (in 000's) | $13380 | $20599 | $23714 | $17787 | $16053 | $16320 | $14746 |
| Ratios to average net assets (including dividend and interest expense) (G) |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Expenses, before waiver and reimbursement (H) | 2.07 | 1.81% | 1.83% | 2.03% | 2.27% | 2.14 % (I) | 2.93% |
| &nbsp;&nbsp;&nbsp;&nbsp;Expenses, net waiver and reimbursement (H) | 1.54 | 1.48% | 1.48% | 1.54% | 1.55% | 1.45 % (I) | 1.45% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Net investment income (loss), before waiver and reimbursement (H,J) | 0.84 | (0.50)% | (0.27)% | 0.28% | 0.19% | (0.01)% (I) | (1.19)% |
| &nbsp;&nbsp;&nbsp;&nbsp;Net investment income (loss), net waiver and reimbursement (H,J) | 1.37 | (0.17)% | 0.08% | 0.77% | 0.91% | 0.69 % (I) | 0.29% |
| Portfolio turnover rate | 84 | 77% | 32% | 138% | 137% | 163 % (D) | 160% |
|  | **Class C** | **Class C** | **Class C** | **Class C** | **Class C** | **Class C** | **Class C** |
|  | **For the** | **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** | **Period Ended** |
|  | **December 31, 2022** | **June 30, 2022** | **June 30, 2021** | **June 30, 2020** | **June 30, 2019** | **June 30, 2018** | **November 30, 2017 (A)** |
|  | (Unaudited) |  |  |  |  |  |  |
| Net asset value, beginning of year/period | $8.17 | $11.01 | $9.48 | $9.74 | $10.21 | $11.50 | $10.92 |
| **INCOME (LOSS) FROM INVESTMENT OPERATIONS:** |  |  |  |  |  |  |  |
| Net investment income (loss) (B) | 0.03 | (0.09) | (0.07) | 0.00 (K) | 0.01 | 0.00 (K) | (0.02) |
| Net realized and unrealized gain (loss) on investments | (0.27 | (1.03) | 1.75 | 0.28 | 0.34 | 0.19 | 0.60 |
| Total from investment operations | (0.24 | (1.12) | 1.68 | 0.28 | 0.35 | 0.19 | 0.58 |
| **LESS DISTRIBUTIONS:** |  |  |  |  |  |  |  |
| From net investment income | (0.00) |  |  | (0.04) | (0.05) | (0.03) |  |
| From net realized gains on investments |  | (1.72) | (0.15) | (0.50) | (0.77) | (1.45) |  |
| Total distributions | (0.00 | (1.72) | (0.15) | (0.54) | (0.82) | (1.48) |  |
| Net asset value, end of year/period | $7.93 | $8.17 | $11.01 | $9.48 | $9.74 | $10.21 | $11.50 |
| Total return (C) | (2.93) | (12.51)% (E) | 17.86 % (E) | 2.67% | 4.23 % (E) | 1.77 % (D) | 5.31 % (D) |
| **RATIOS/SUPPLEMENTAL DATA:** |  |  |  |  |  |  |  |
| Net assets, end of year/period (in 000's) | $4077 | $4348 | $4720 | $3337 | $1530 | $769 | $192 |
| Ratios to average net assets (including dividend and interest expense) (G) |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Expenses, before waiver and reimbursement (H) | 2.82 | 2.56% | 2.58% | 2.78% | 3.02% | 2.97 % (I) | 2.64 % (I) |
| &nbsp;&nbsp;&nbsp;&nbsp;Expenses, net waiver and reimbursement (H) | 2.29 | 2.23% | 2.23% | 2.29% | 2.30% | 2.20 % (I) | 2.20 % (I) |
| &nbsp;&nbsp;&nbsp;&nbsp;Net investment income (loss), before waiver and reimbursement (H,J) | 0.15 | (1.25)% | (1.02)% | (0.52)% | (0.61)% | (0.75)% (I) | (1.07)% (I) |
| &nbsp;&nbsp;&nbsp;&nbsp;Net investment income (loss), net waiver and reimbursement (H,J) | 0.68 | (0.92)% | (0.67)% | (0.03)% | 0.11% | 0.02 % (I) | (0.63)% (I) |
| Portfolio turnover rate | 84 | 77% | 32% | 138% | 137% | 163 % (D) | 160 % (D) |

---

(A) Class
 C shares commenced operations on September 5, 2017.

(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 manager not waived its fees and reimbursed expenses,
 total return would have been lower.

(D) Not
 annualized.

(E) 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.

(F) Total
 returns for periods prior to September 5, 2017 are based on the performance of the Fund's Predecessor Fund.

(G) Ratios to average net assets
 (excluding dividend and interest expense) (Class A)

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Expenses, before waiver and reimbursement | 2.01% (I) | 1.81% | 1.83% | 1.97% | 2.19% | 2.14% (I) | 2.93% (I) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Expenses, net waiver and reimbursement | 1.48 % (I) | 1.48% | 1.48% | 1.48% | 1.47% | 1.45 % (I) | 1.45 % (I) |

---

Ratios to average net assets (excluding dividend and interest expense) (Class C)

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Expenses, before waiver and reimbursement | 2.76% (I) | 2.56% | 2.58% | 2.72% | 2.94% | 2.97% (I) | 2.64% (I) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Expenses, net waiver and reimbursement | 2.23 % (I) | 2.23% | 2.23% | 2.23% | 2.22% | 2.2 % (I) | 2.2 % (I) |

---

(H) Does
 not include expenses of the underlying investment companies in which the Fund invests.

(I) Annualized.

(J) Recognition
 of net investment (loss) is affected by the timing and declaration of dividends by the underlying investment companies in which the
 Fund invests.

(K) Less than 0.01 per share.

The accompanying notes are an integral part of these financial statements.

---

| |
|:---|
| **CATALYST FUNDS** |
| **Catalyst Buffered Shield Fund (Continued)** |
| **Financial Highlights** |

---

For a Share Outstanding Throughout Each Year/Period

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
|  | **Class I** | **Class I** | **Class I** | **Class I** | **Class I** | **Class I** | **Class I** |
|  | **For the**<br>**Six Months Ended**<br>**December 31, 2022** | **For the**<br>**Year Ended**<br>**June 30, 2022** | **For the**<br>**Year Ended**<br>**June 30, 2021** | **For the**<br>**Year Ended**<br>**June 30, 2020** | **For the**<br>**Year Ended**<br>**June 30, 2019** | **For the**<br>**Period Ended**<br>**June 30, 2018** | **For the**<br>**Year Ended**<br>**November 30, 2017** |
|  | (Unaudited) | | | | | | |
| Net asset value, beginning of year/period | $8.52 | 11.32 | $9.70 | $9.93 | $10.36 | $11.61 | $10.18 |
| **INCOME FROM INVESTMENT** |  |  |  |  |  |  |  |
| **OPERATIONS:** |  |  |  |  |  |  |  |
| Net investment income (A) | 0.07 | 0.01 | 0.03 | 0.09 | 0.12 | 0.06 | 0.06 |
| Net realized and unrealized gain (loss) on investments | (0.27 | (1.08) | 1.80 | 0.29 | 0.34 | 0.19 | 1.45 |
| Total from investment operations | (0.20 | (1.07) | 1.83 | 0.38 | 0.46 | 0.25 | 1.51 |
| **LESS DISTRIBUTIONS:** |  |  |  |  |  |  |  |
| From net investment income | (0.09) | (0.01) | (0.06) | (0.11) | (0.12) | (0.05) | (0.05) |
| From net realized gains on investments |  | (1.72) | (0.15) | (0.50) | (0.77) | (1.45) | (0.03) |
| Total distributions | (0.09 | (1.73) | (0.21) | (0.61) | (0.89) | (1.50) | (0.08) |
| Net asset value, end of year/period | $8.23 | $8.52 | $11.32 | $9.70 | $9.93 | $10.36 | $11.61 |
| Total return (B) | (2.40) | (11.70)% (D) | 19.07 % (D) | 3.74% | 5.27 % (D) | 2.30 % (C) | 14.95 % (E) |
| **RATIOS/SUPPLEMENTAL DATA:** |  |  |  |  |  |  |  |
| Net assets, end of year/period (in 000's) | $23541 | $50313 | $60463 | $32703 | $13629 | $13858 | $14036 |
| Ratios to average net assets(including dividend and interest expense) (F) |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Expenses, before waiver and reimbursement (G) | 1.82 | 1.56% | 1.58% | 1.78% | 2.02% | 1.87 % (H) | 2.68% |
| &nbsp;&nbsp;&nbsp;&nbsp;Expenses, net waiver and reimbursement (G) | 1.29 | 1.23% | 1.23% | 1.29% | 1.30% | 1.20 % (H) | 1.20% |
| &nbsp;&nbsp;&nbsp;&nbsp;Ratios of net Investment income (loss) (including dividend and interest expense) |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Net investment income (loss), before waiver and reimbursement (G,I) | 1.01 | (0.26)% | (0.04)% | 0.46% | 0.44% | 0.25 % (H) | (0.95)% |
| &nbsp;&nbsp;&nbsp;&nbsp;Net investment Income, net waiver and reimbursement (G,I) | 1.54 | 0.07% | 0.31% | 0.95% | 1.16% | 0.93 % (H) | 0.53% |
| Portfolio turnover rate | 84 | 77% | 32% | 138% | 137% | 163 % (C) | 160% |

---

(A) Per
 share amounts calculated using average shares method, which more appropriately presents the per share data for the period/year.

(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 dividend. Had the manager not waived its fees and reimbursed expenses, total return would have been lower.

(C) Not
 annualized.

(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) Total
 returns for periods prior to September 5, 2017 are based on the performance of the Fund's Predecessor Fund.

(F) Ratios to average net assets
 (excluding dividend and interest expense)

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Expenses, before waiver and reimbursement (G) | 1.76% (H) | 1.56% | 1.58% | 1.72% | 1.94% | 1.87% (H) | 2.68% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Expenses, net waiver and reimbursement (G) | 1.23 % (H) | 1.23% | 1.23% | 1.23% | 1.22% | 1.2 % (H) | 1.2% |

---

(G) Does
 not include expenses of the underlying investment companies in which the Fund invests.

(H) Annualized.

(I) Recognition
 of net investment income (loss) is affected by the timing and declaration of dividends by the underlying investment companies in
 which the Fund invests.

The accompanying notes are an integral part of these financial statements.

---

| | |
|:---|:---|
| **CATALYST FUNDS** |  |
| ***NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)*** | ***NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)*** |
| **December 31, 2022** | **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 seven series set forth below (each a ***"Fund"*** and collectively, the **"*Funds"***). The investment objectives of each Fund are set forth below. The Funds' investment manager is Catalyst Capital Advisors, LLC (the **"*Manager"*** or **"*CCA").***

---

| | | |
|:---|:---|:---|
| **Fund** | **Sub-Advisor** | **Primary Objective** |
| Catalyst/Millburn Dynamic Commodity Strategy | Millburn Ridgefield Corp. | Long term capital appreciation. |
| &nbsp;&nbsp;&nbsp;&nbsp;(***"Dynamic Commodity"***) |  |  |
| Catalyst/Warrington Strategic Program | Warrington Asset | Long term capital appreciation |
| &nbsp;&nbsp;&nbsp;&nbsp;(***"Warrington"***) | Management, LLC |  |
| Catalyst Systematic Alpha |  | Long term capital appreciation |
| &nbsp;&nbsp;&nbsp;&nbsp;(***"Systematic Alpha"***) \* |  |  |
| Catalyst Income and Multi-Strategy | Caddo Capital | Total return consisting of income and capital appreciation |
| &nbsp;&nbsp;&nbsp;&nbsp;(***"Income and Multi-Strategy"***) | Management, LLC |  |
| Catalyst Nasdaq-100 Hedged Equity Fund | Equity Armor | Long term capital appreciation |
| &nbsp;&nbsp;&nbsp;&nbsp;(***"Nasdaq-100"***) |  |  |
| Catalyst/Millburn Hedge Strategy | Millburn Ridgefield Corp. | Long-term capital appreciation. |
| &nbsp;&nbsp;&nbsp;&nbsp;(***"Millburn Hedge Strategy"***) |  |  |
| Catalyst Buffered Shield | Exceed Advisory LLC | Long-term capital appreciation |
| &nbsp;&nbsp;&nbsp;&nbsp;(***"Buffered Shield"***) |  |  |

---

\* Effective July 8, 2022, Teza Capital Management LLC ("Teza") resigned as the sub-advisor of the Fund.

The Funds are diversified series of the Trust.

Currently, each Fund offers Class A, Class C and Class I shares and Millburn Hedge Strategy 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 ***("ASC")*** 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"***) 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 each such valuation represents fair value. Options are valued at their closing price on the exchange they are traded on. When no closing price is available, options are valued at their mean price. Futures, which are traded on an exchange, are valued at the settlement price determined by the exchange. Swap transactions are valued through an independent pricing service or at fair value based on daily price reporting from

---

| | |
|:---|:---|
| **CATALYST FUNDS** |  |
| ***NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited) (Continued)*** | ***NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited) (Continued)*** |
| **December 31, 2022** | **SEMI-ANNUAL REPORT** |

---

the swap counterparty issuing the swap. Foreign currency and forward currency exchange contracts are valued daily at the London Stock Exchange close each day.

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

Each Fund utilizes various methods to measure the fair value 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, 2022, for each Fund's assets and liabilities measured at fair value.

---

| | |
|:---|:---|
| **CATALYST FUNDS** |  |
| ***NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited) (Continued)*** | ***NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited) (Continued)*** |
| **December 31, 2022** | **SEMI-ANNUAL REPORT** |

---

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Dynamic Commodity** | | | | |
| **Assets <sup>(a)</sup>** | **Level 1** | **Level 2** | **Level 3** | **Total** |
| Common Stocks | $3751210 | $— | $— | $3751210 |
| Exchange-Traded Funds | 4597348 |  |  | 4597348 |
| U.S. Government & Agencies |  | 2076931 |  | 2076931 |
| Short-Term Investments | 3215808 |  |  | 3215808 |
| **Total Assets** | $11564366 | $2076931 | $— | $13641297 |
| **Derivatives** |  |  |  |  |
| **Assets** |  |  |  |  |
| Futures Contracts <sup>(b)</sup> | $373024 | $— | $— | $373024 |
| **Liabilities** |  |  |  |  |
| Future Contracts <sup>(b)</sup> | (74725) |  |  | (74725) |
| **Total Derivatives** | $298299 | $— | $— | $298299 |
| **Warrington** |  |  |  |  |
| **Assets <sup>(a)</sup>** | **Level 1** | **Level 2** | **Level 3** | **Total** |
| U.S. Government & Agencies | $— | $57751271 | $— | $57751271 |
| Short-Term Investments | 52998291 |  |  | 52998291 |
| **Total Assets** | $52998291 | $57751271 | $— | $110749562 |
| **Systematic Alpha** |  |  |  |  |
| **Assets<sup>(a)</sup>** | **Level 1** | **Level 2** | **Level 3** | **Total** |
| Convertible Bonds | $— | $646125 | $— | $646125 |
| Corporate Bonds |  | 2814145 |  | $2814145 |
| Short-Term Investments | 517612 |  |  | 517612 |
| **Total Assets** | $517612 | $3460270 | $— | $3977882 |
| **Derivative** |  |  |  |  |
| **Liabilities** |  |  |  |  |
| Total Return Swap<sup>(b)</sup> | $— | $86657 | $— | $86657 |

---

---

| | |
|:---|:---|
| **CATALYST FUNDS** |  |
| ***NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited) (Continued)*** | ***NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited) (Continued)*** |
| **December 31, 2022** | **SEMI-ANNUAL REPORT** |

---

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Income and Multi Strategy** | **Income and Multi Strategy** | **Income and Multi Strategy** | **Income and Multi Strategy** | **Income and Multi Strategy** |
| **Assets<sup>(a)</sup>** | **Level 1** | **Level 2** | **Level 3** | **Total** |
| Common Stocks | $1284818 | $— | $— | $1284818 |
| Exchange-Traded Funds | 2040543 |  |  | 2040543 |
| Open End Fund | 577565 |  |  | 577565 |
| Short-Term Investments | 1272178 |  |  | 1272178 |
| **Total Assets** | $5175104 | $— | $— | $5175104 |
| **Derivatives** | **Derivatives** | **Derivatives** | **Derivatives** | **Derivatives** |
| **Assets** |  |  |  |  |
| Futures <sup>(b)</sup> | $36675 | $— | $— | $36675 |
| **Derivatives** |  |  |  |  |
| **Liabilities** |  |  |  |  |
| Futures <sup>(b)</sup> | $5008 | $— | $— | $5008 |
| **Total Derivatives** | $31667 | $— | $— | $31667 |
| **Nasdaq-100** | **Nasdaq-100** | **Nasdaq-100** | **Nasdaq-100** | **Nasdaq-100** |
| **Assets<sup>(a)</sup>** | **Level 1** | **Level 2** | **Level 3** | **Total** |
| Common Stocks | $8510000 | $— | $— | $8510000 |
| Exchange-Traded Funds | 1605402 |  |  | 1605402 |
| Collateral for Securities Loaned |  | 368591 |  | 368591 |
| Money Market Fund | 852923 |  |  | 852923 |
| Future Options Purchased | 543489 |  |  | 543489 |
| **Total Assets** | $11511814 | $368591 | $— | $11880405 |
| **Derivatives <sup>(a)</sup>** | **Derivatives <sup>(a)</sup>** | **Derivatives <sup>(a)</sup>** | **Derivatives <sup>(a)</sup>** | **Derivatives <sup>(a)</sup>** |
| **Assets** |  |  |  |  |
| Futures Contracts<sup>(b)</sup> | $13856 | $— | $— | $13856 |
| **Liabilities** | **Liabilities** | **Liabilities** | **Liabilities** | **Liabilities** |
| Futures Contracts<sup>(b)</sup> | $(31576) | $— | $— | $(31576) |
| Future Options Written | (488341) |  |  | (488341) |
| **Total Derivatives** | $(506061) | $— | $— | $(506061) |

---

---

| | |
|:---|:---|
| **CATALYST FUNDS** |  |
| ***NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited) (Continued)*** | ***NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited) (Continued)*** |
| **December 31, 2022** | **SEMI-ANNUAL REPORT** |

---

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Millburn Hedge Strategy** | **Millburn Hedge Strategy** | **Millburn Hedge Strategy** | **Millburn Hedge Strategy** | **Millburn Hedge Strategy** |
| **Assets<sup>(a)</sup>** | **Level 1** | **Level 2** | **Level 3** | **Total** |
| Exchange-Traded Funds | $2570502664 | $— | $— | $2570502664 |
| United States Government Securities |  | 2171676926 |  | 2171676926 |
| **Total Assets** | $2570502664 | $2171676926 | $— | $4742179590 |
| **Derivatives** | **Derivatives** | **Derivatives** | **Derivatives** | **Derivatives** |
| **Assets** | **Assets** | **Assets** | **Assets** | **Assets** |
| Futures Contracts <sup>(b)</sup> | $209937332 | $— | $— | $209937332 |
| Forward Foreign Currency Contracts <sup>(b)</sup> |  | 77954228 |  | 77954228 |
|  | $209937332 | $77954228 | $— | $287891560 |
| **Liabilities** |  |  |  |  |
| Futures Contracts <sup>(b)</sup> | $(8456382) | $— | $— | $(8456382) |
| Forward Foreign Currency Contracts <sup>(b)</sup> |  | (58265123) |  | (58265123) |
| **Total Derivatives** | $201480950 | $19689105 | $— | $221170055 |
| **Buffered Shield** | **Buffered Shield** | **Buffered Shield** | **Buffered Shield** | **Buffered Shield** |
| **Assets<sup>(a)</sup>** | **Level 1** | **Level 2** | **Level 3** | **Total** |
| Exchange-Traded Funds | $39392331 | $— | $— | $39392331 |
| Call Options Purchased | 2174768 |  |  | 2174768 |
| Put Options Purchased | 2324804 | 354541 |  | 2679345 |
| **Total Assets** | $43891903 | $354541 | $— | $44246444 |
| **Derivatives** | **Derivatives** | **Derivatives** | **Derivatives** | **Derivatives** |
| **Liabilities <sup>(a)</sup>** | **Liabilities <sup>(a)</sup>** | **Liabilities <sup>(a)</sup>** | **Liabilities <sup>(a)</sup>** | **Liabilities <sup>(a)</sup>** |
| Call Options Written | $(499641) | $— | $— | $(499641) |
| Put Options Written | (2651401) | (518813) |  | (3170214) |
| **Total Liabilities** | $(3151042) | $(518813) | $— | $(3669855) |

---

The Funds did not hold any Level 3 securities during the year.

<sup>(a)</sup> Refer to the Schedule of Investments for security details.

 

<sup>(b)</sup> Amounts shown for swaps, futures and forwards are unrealized appreciation/depreciation.

Options – The Funds are subject to equity price risks in the normal course of pursuing their investment objective and may purchase or sell options to help hedge against risk. When the Funds write a call 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 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. If a written put option is exercised, the purchase cost of the underlying security is reduced 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 Funds' portfolio. If such a decline occurs, the put options will permit a 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 a Fund upon exercise of the option, and, unless the price of the underlying security rises or declines sufficiently, the

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| | |
|:---|:---|
| **CATALYST FUNDS** |  |
| ***NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited) (Continued)*** | ***NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited) (Continued)*** |
| **December 31, 2022** | **SEMI-ANNUAL REPORT** |

---

option may expire worthless to a 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 a Fund, the benefits realized by a 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 Funds' agent in acquiring the options). For the six months ended December 31, 2022, Warrington, Nasdaq-100 and Buffered Shield invested in options.

Futures Contracts **–** Each Fund may purchase and sell futures contracts. A Fund may use futures contracts to gain exposure to, or hedge against changes in the value of equities, interest rates or foreign currencies. Upon entering into a contract, a Fund deposits and maintains as collateral such initial margin as required by the exchange on which the transaction is affected. Pursuant to the contract, a Fund agrees to receive from or pay to the broker an amount of cash equal to the daily fluctuation in value of the contract. Such receipts or payments are known as "variation margin" and are recorded by a Fund as unrealized gains and losses. When the contract is closed, a Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. As collateral for futures contracts, a Fund is required under the 1940 Act to maintain assets consisting of cash, cash equivalents or liquid securities. This collateral is required to be adjusted daily to reflect the market value of the purchase obligation for long futures contracts or the market value of the instrument underlying the contract, but not less than the market price at which the futures contract was established, for short futures contracts. For the six months ended December 31, 2022, Dynamic Commodity, Warrington, Systematic Alpha, Income and Multi-Strategy, Nasdaq-100 and Millburn Hedge Strategy invested in futures.

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

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

Forward Currency Contracts – As foreign securities are purchased, a Fund generally enters into forward foreign currency exchange contracts in order to hedge against foreign currency exchange rate risks. The market value of the contract fluctuates with changes in currency exchange rates. The contract is marked-to-market daily and the change in market value is recorded by a Fund as an unrealized gain or loss. As foreign securities are sold, a portion of the contract is generally closed and the Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. A Fund may also enter into forward foreign currency exchange contracts as an investment strategy consistent with that Fund's investment objective. Realized gains and losses from contract transactions are included as a component of net realized gains (losses) from investments and foreign currency transactions in the Statements of Operations.

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 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.

---

| | |
|:---|:---|
| **CATALYST FUNDS** |  |
| ***NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited) (Continued)*** | ***NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited) (Continued)*** |
| **December 31, 2022** | **SEMI-ANNUAL REPORT** |

---

Short Sales **–** A short sale is a transaction in which the Fund sells a security it does not own but has borrowed in anticipation that the market price of that security will decline. The Fund is obligated to replace the security borrowed by purchasing it on the open market at a later date. If the price of the security sold short increases between the time of the short sale and the time the Fund replaces the borrowed security, the Fund will incur a loss. Conversely, if the price declines, the Fund will realize a gain.

**Consolidation of Subsidiaries – CHCSF Fund Limited (Dynamic Commodity-CFC), CSACS Fund Limited (Systematic – CFC), CAMFMSF Fund Limited (Income and Multi-Strategy-CFC) and CMHSF Fund Limited (Millburn-CFC) the ("CFCs")** The Consolidated Schedules of Investments, Consolidated Statements of Assets and Liabilities, Consolidated Statements of Operations, Consolidated Statements of Changes in Net Assets and the Consolidated Financial Highlights of the Funds include the accounts of Dynamic Commodity, Systematic Alpha, Income and Multi-Strategy, and Millburn Hedge Strategy, which include the accounts of Dynamic Commodity-CFC, Systematic-CFC, Income and Multi-Strategy-CFC, and Millburn-CFC respectively, which all are wholly-owned and controlled foreign subsidiaries. All inter-company accounts and transactions have been eliminated in consolidation.

Each Fund may invest up to 25% of its total assets in a controlled foreign corporation (***"CFC"***), which acts as an investment vehicle in order to affect certain investments consistent with the Funds investment objectives and policies.

A summary of each Fund's investment in its respective CFC is as follows:

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| | | | |
|:---|:---|:---|:---|
|  | &nbsp;&nbsp;Inception Date of<br>&nbsp;&nbsp;CFC | &nbsp;&nbsp;CFC Net Assets as of<br>&nbsp;&nbsp;December 31, 2022 | &nbsp;&nbsp;% of Net Assets as of<br>&nbsp;&nbsp;December 31, 2022 |
| &nbsp;&nbsp;Dynamic Commodity – CFC | &nbsp;&nbsp;6/25/2015 | &nbsp;&nbsp;$2951015 | &nbsp;&nbsp;17.83% |
| &nbsp;&nbsp;Systematic – CFC | &nbsp;&nbsp;12/19/2017 | &nbsp;&nbsp;1136066 | &nbsp;&nbsp;22.63% |
| &nbsp;&nbsp;Income and Multi-Strategy – CFC | &nbsp;&nbsp;6/25/2015 | &nbsp;&nbsp;904093 | &nbsp;&nbsp;15.91% |
| &nbsp;&nbsp;Millburn Hedge Strategy – CFC | &nbsp;&nbsp;11/2/2015 | &nbsp;&nbsp;429492517 | &nbsp;&nbsp;7.73% |

---

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

In accordance with its investment objectives and through its exposure to the aforementioned managed futures programs, the Funds may have increased or decreased exposure to one or more of the following risk factors defined below:

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; 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.

The impact of COVID-19 adversely affected, and other infectious illness outbreaks that may arise in the future could adversely affect, the economies of many nations and the entire global economy, individual issuers and capital markets in ways that cannot necessarily be foreseen. In addition, the impact of infectious illnesses in emerging market countries may be greater due to generally less established

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| | |
|:---|:---|
| **CATALYST FUNDS** |  |
| ***NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited) (Continued)*** | ***NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited) (Continued)*** |
| **December 31, 2022** | **SEMI-ANNUAL REPORT** |

---

healthcare systems. Public health crises may exacerbate other pre-existing political, social and economic risks in certain countries or globally. The duration of the these effects cannot be determined with certainty.

Derivatives Risk – The use of derivative instruments, such as forwards, futures, options and swaps, 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.

Commodity Risk – Commodity risk relates to the change in value of commodities or commodity indexes as they relate to increases or decreases in the commodities market. Commodities are physical assets that have tangible properties. Examples of these types of assets are crude oil, heating oil, metals, livestock, and agricultural products.

Counterparty Risk – Counterparty risk is the risk that a counterparty to a financial instrument held by the Fund or by a special purpose or structured vehicle invested in by the Fund may become insolvent or otherwise fail to perform its obligations, and the Fund may obtain no or limited recovery of its investment, and any recovery may be significantly delayed.

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.

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| | |
|:---|:---|
| **CATALYST FUNDS** |  |
| ***NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited) (Continued)*** | ***NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited) (Continued)*** |
| **December 31, 2022** | **SEMI-ANNUAL REPORT** |

---

The following derivatives are not accounted for as hedging instruments under GAAP. The effect of derivative instruments on the Statements of Assets and Liabilities at December 31, 2022, were as follows:

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| | | | | |
|:---|:---|:---|:---|:---|
| <br>**Fund** | <br>**Derivative** | <br>**Risk Type** | **Location of derivatives on Statements**<br>**of Assets and Liabilities** | **Fair value of<br> asset/liability**<br>**derivatives** |
| Dynamic Commodity | Dynamic Commodity | Dynamic Commodity |  |  |
|  | Futures | Commodity | Futures unrealized appreciation | $373024 |
|  |  |  | **Totals** | $373024 |
|  | Futures | Commodity | Futures unrealized depreciation | $(74725) |
|  |  |  | **Totals** | $(74725) |
| Systematic Alpha | Systematic Alpha | Systematic Alpha |  |  |
|  | Swap Contracts | Commodity | Unrealized depreciation on swaps | $(86657) |
|  |  |  | **Totals** | $(86657) |
| Income and Multi Strategy | Income and Multi Strategy | Income and Multi Strategy |  |  |
|  | Futures | Equity | Futures unrealized appreciation | $5276 |
|  |  | Commodity | Futures unrealized appreciation | 15728 |
|  |  | Interest Rate | Futures unrealized appreciation | 15671 |
|  |  |  | **Total** | $36675 |
|  | Futures | Interest Rate | Futures unrealized depreciation | (5008) |
|  |  |  | **Total** | $(5008) |

---

---

| | |
|:---|:---|
| **CATALYST FUNDS** |  |
| ***NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited) (Continued)*** | ***NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited) (Continued)*** |
| **December 31, 2022** | **SEMI-ANNUAL REPORT** |

---

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| | | | | |
|:---|:---|:---|:---|:---|
| <br>**Fund** | <br>**Derivative** | <br>**Risk Type** | **Location of derivatives on Statements of**<br>**Assets and Liabilities** | **Fair value of<br> asset/liability**<br>**derivatives** |
| Nasdaq-100 | Nasdaq-100 |  |  |  |
|  | Futures Contracts | Equity | Futures unrealized appreciation | $13856 |
|  | Futures Contracts | Equity | Futures unrealized depreciation | (31576) |
|  |  |  | **Totals** | $(17720) |
|  | Call Options Purchased | Equity | Investments in securities, at value | $30616 |
|  | Put Options Purchased | Equity | Investments in securities, at value | $512873 |
|  | Call Options Written | Equity | Options written, at value | $(17025) |
|  | Put Options Written | Equity | Options written, at value | (471316) |
|  |  |  | **Totals** | $55148 |
| Millburn Hedge Strategy | Millburn Hedge Strategy |  |  |  |
|  | Futures Contracts | Commodity | Futures unrealized appreciation | $70337333 |
|  | Futures Contracts | Currency | Futures unrealized appreciation | 1181204 |
|  | Futures Contracts | Equity | Futures unrealized appreciation | 8420349 |
|  | Futures Contracts | Interest Rate | Futures unrealized appreciation | 129998446 |
|  |  |  | **Totals** | $209937332 |
|  | Futures Contracts | Commodity | Futures unrealized depreciation | $(1865291) |
|  | Futures Contracts | Currency | Futures unrealized depreciation | (528972) |
|  | Futures Contracts | Equity | Futures unrealized depreciation | (4487947) |
|  | Futures Contracts | Interest Rate | Futures unrealized depreciation | (1574172) |
|  |  |  | **Totals** | $(8456382) |
|  | Foreign Forward Currency Contract | Currency | Unrealized appreciation on forward currency exchange contracts | $77954228 |
|  | Foreign Forward Currency Contract | Currency | Unrealized depreciation on forward currency exchange contracts | (58265123) |
|  |  |  | **Totals** | $19689105 |
| Buffered Shield | Buffered Shield |  |  |  |
|  | Call options purchased | Equity | Investments in securities, at value | $2174768 |
|  | Put options purchased | Equity | Investments in securities, at value | 2679345 |
|  | Call options written | Equity | Options written, at value | (499641) |
|  | Put options written | Equity | Options written, at value | (3170214) |
|  |  |  | **Totals** | $1184258 |

---

---

| | |
|:---|:---|
| **CATALYST FUNDS** |  |
| ***NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited) (Continued)*** | ***NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited) (Continued)*** |
| **December 31, 2022** | **SEMI-ANNUAL REPORT** |

---

The effect of derivative instruments on the Statements of Operations for the six months ended December 31, 2022, were as follows:

---

| | | | | |
|:---|:---|:---|:---|:---|
| <br>**Fund** | <br>**Derivative** | <br>**Risk Type** | <br>**Location of gain (loss) on derivatives** | **Realized and<br> unrealized**<br>**gain (loss)<br> on derivatives** |
| Dynamic Commodity | Dynamic Commodity | Dynamic Commodity |  |  |
|  | Futures | Commodity | Net realized loss on futures | $(3393771) |
|  | Futures | Commodity | Net change in unrealized appreciation on futures | 2043229 |
|  |  |  | **Totals** | $(1350542) |
| Systematic Alpha | Systematic Alpha | Systematic Alpha |  |  |
|  | Swap Contracts | Commodity | Net change in unrealized appreciation on swaps | 320351 |
|  |  |  | **Totals** | $320351 |
| Income and Multi Strategy | Income and Multi Strategy | Income and Multi Strategy |  |  |
|  | Futures | Commodity | Net realized loss from futures | $(89479) |
|  |  | Currency | Net realized gain from futures | 14767 |
|  |  | Equity | Net realized gain from futures | 198896 |
|  |  | Interest Rate | Net realized gain from futures | 6140 |
|  | Futures | Commodity | Net change in unrealized depreciation on futures | (50365) |
|  |  | Currency | Net change in unrealized appreciation on futures | 2594 |
|  |  | Equity | Net change in unrealized depreciation on futures | (6421) |
|  |  | Interest Rate | Net change in unrealized depreciation on futures | 8801 |
|  |  |  | **Totals** | $84933 |
| Nasdaq-100 | Nasdaq-100 | Nasdaq-100 |  |  |
|  | Options purchased | Equity | Net realized loss from options purchased | $(2087576) |
|  | Options written | Equity | Net realized gain from options written | 1512095 |
|  | Futures | Equity | Net realized gain from futures | 201255 |
|  | Options purchased | Equity | Net change in unrealized depreciation on options purchased | (451829) |
|  | Options written | Equity | Net change in unrealized appreciation on options written | 321202 |
|  | Futures | Equity | Net change in unrealized depreciation on futures | (55987) |
|  |  |  | **Totals** | $(560840) |
| Millburn Hedge Strategy | Millburn Hedge Strategy | Millburn Hedge Strategy |  |  |
|  | Futures | Commodity | Net realized loss from futures | $(118891493) |
|  |  | Currency | Net realized gain from futures | 10594110 |
|  |  | Equity | Net realized loss on futures | (41317968) |
|  |  | Interest Rate | Net realized gain from futures | 181340700 |
|  | Forward Contracts | Currency | Net realized loss on foreign currency transactions | (40557842) |
|  | Futures | Commodity | Net change in unrealized appreciation on futures | 40473430 |
|  |  | Currency | Net change in unrealized appreciation on futures | 196321 |
|  |  | Equity | Net change in unrealized depreciation on futures | (29056117) |
|  |  | Interest Rate | Net change in unrealized appreciation on futures | 73897687 |
|  | Forward Contracts | Currency | Net change in unrealized appreciation on foreign currency translations | 22702027 |
|  |  |  | **Totals** | $99380855 |
| Buffered Shield | Buffered Shield | Buffered Shield |  |  |
|  | Options purchased | Equity | Net realized loss from options purchased | $(2101525) |
|  | Options written | Equity | Net realized gain from options written | 712505 |
|  | Options purchased | Equity | Net change in unrealized depreciation on options purchased | (1584454) |
|  | Options written | Equity | Net change in unrealized appreciation on options written | 3898875 |
|  |  |  | **Totals** | $925401 |

---

---

| | |
|:---|:---|
| **CATALYST FUNDS** |  |
| ***NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited) (Continued)*** | ***NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited) (Continued)*** |
| **December 31, 2022** | **SEMI-ANNUAL REPORT** |

---

The notional value of derivative instruments outstanding as of December 31, 2022, as disclosed in the Schedules of Investments and the amounts realized and changes in unrealized gains and losses on derivative instruments during the period as disclosed above and within the Statements of Operations serve as indicators of the volume of derivative activity for the Funds.

The following table presents the Funds' assets and liabilities available for offset under a master netting arrangement net of collateral pledged as of December 31, 2022:

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
|  |  |  |  |  | Gross Amounts Not Offset in the | Gross Amounts Not Offset in the |  |
|  |  |  |  |  | Statement of Assets & Liabilities | Statement of Assets & Liabilities |  |
|  |  |  |  |  | Financial | Cash |  |
|  |  | Gross Amounts of | Derivatives available for |  | Instruments | Collateral |  |
| **Dynamic Commodity** | Counterparty | Recognized Assets | Offset | Net Amounts of Assets | Pledged | Pledged (2) | Net Amount |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Description of Asset: |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Futures Contracts | Goldman Sachs | $373024 | $(74725) | $298299 |  | $— | $— |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Total |  | $373024 | $(74725) | $298299 |  | $— | $— |
|  |  |  |  |  | Financial | Cash |  |
|  |  | Gross Amounts of | Derivatives available for |  | Instruments | Collateral |  |
|  | Counterparty | Recognized Liabilities | Offset | Net Amounts of Liabilities | Pledged | Pledged (2) | Net Amount |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Description of Liability: |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Futures Contracts | Goldman Sachs | $(74725) | $74725 | $— |  | $— | $— |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Total |  | $(74725) | $74725 | $— |  | $— | $— |
| **Systematic Alpha** |  |  |  |  |  |  |  |
|  |  |  |  |  | Financial | Cash |  |
|  |  | Gross Amounts of | Derivatives available for |  | Instruments | Collateral |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Description of Asset: | Counterparty | Recognized Assets | Offset | Net Amounts of Assets | Pledged | Pledged (2) | Net Amount |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Total Return Swap | BNP Paribas | $86657<sup>(1)</sup> | $— | $86657 | $— | $— | $86657 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Total |  | $86657 | $— | $86657 | $— | $— | $86657 |

---

---

| | |
|:---|:---|
| **CATALYST FUNDS** |  |
| ***NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited) (Continued)*** | ***NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited) (Continued)*** |
| **December 31, 2022** | **SEMI-ANNUAL REPORT** |

---

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
|  |  |  |  |  | Gross Amounts Not Offset in the | Gross Amounts Not Offset in the |  |
|  |  |  |  |  | Statement of Assets & Liabilities | Statement of Assets & Liabilities |  |
| **Income and Multi-Strategy** | **Income and Multi-Strategy** | **Income and Multi-Strategy** | **Income and Multi-Strategy** | **Income and Multi-Strategy** |  |  |  |
|  |  |  |  |  | Financial |  |  |
|  |  | Gross Amounts of | Derivatives available |  | Instruments | Cash Collateral |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Description of Asset: | Counterparty | Recognized Assets | for Offset | Net Amounts of Assets | Pledged | Pleddged (2) | Net Amount |
| &nbsp;&nbsp;&nbsp;&nbsp;Futures Contracts | RJ O'Brien | $36675 | $(5008) | $31667 | $— | $— | $31667 |
| &nbsp;&nbsp;&nbsp;&nbsp;Total |  | $36675 | $(5008) | $31667 | $— | $— | $31667 |
|  |  | Gross Amounts of |  |  | Financial |  |  |
|  |  | Recognized | Derivatives available |  | Instruments | Cash Collateral |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Description of Liability: | Counterparty | Liabilities | for Offset | Net Amounts of Liabilities | Pledged | Pledged (2) | Net Amount |
| &nbsp;&nbsp;&nbsp;&nbsp;Futures Contracts | RJ O'Brien | $(5008) | $5008 | $— | $— | $— | $— |
| &nbsp;&nbsp;&nbsp;&nbsp;Total |  | $(5008) | $5008 | $— | $— | $— | $— |
| **Nasdaq-100** | **Nasdaq-100** | **Nasdaq-100** | **Nasdaq-100** | **Nasdaq-100** |  |  |  |
|  |  | Gross Amounts of | Derivatives available |  | Financial | Cash Collateral |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Description of Asset: | Counterparty | Recognized Assets | for Offset | Net Amounts of Assets | Instruments | Received | Net Amount |
| &nbsp;&nbsp;&nbsp;&nbsp;Futures Contracts | Wedbush | $13856 | $(13856) | $— | $— | $— | $— |
| &nbsp;&nbsp;&nbsp;&nbsp;Future Options | Wedbush | 543489 | (488341) | 55148 |  |  | 55148 |
| &nbsp;&nbsp;&nbsp;&nbsp;Total |  | $557345 | $(502197) | $55148 | $— | $— | $55148 |
|  |  | Gross Amounts of |  |  | Financial |  |  |
|  |  | Recognized | Derivatives available |  | Instruments | Cash Collateral |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Description of Liability: | Counterparty | Liabilities | for Offset | Net Amounts of Liabilities | Pledged | Pledged (2) | Net Amount |
| &nbsp;&nbsp;&nbsp;&nbsp;Futures Contracts | Wedbush | $(31576) | $13856 | $(17720) | $— | $— | $— |
| &nbsp;&nbsp;&nbsp;&nbsp;Future Options | Wedbush | (488341) | 488341 |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Total |  | $(519917) | $502197 | $(17720) | $— | $— |  |
| **Millburn Hedge Strategy** | **Millburn Hedge Strategy** | **Millburn Hedge Strategy** | **Millburn Hedge Strategy** | **Millburn Hedge Strategy** |  |  |  |
|  |  |  |  |  | Financial |  |  |
|  |  | Gross Amounts of | Derivatives available |  | Instruments | Cash Collateral |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Description of Asset: | Counterparty | Recognized Assets | for Offset | Net Amounts of Assets | Pledged | Received | Net Amount |
| &nbsp;&nbsp;&nbsp;&nbsp;Futures Contracts | Bank of America Merrill Lynch | $45392062 | $(3130113) | $42261949 | $— | $— | $42261949 |
| &nbsp;&nbsp;&nbsp;&nbsp;Futures Contracts | Deutsche Bank | 12162735 | (1404784) | 10757951 |  |  | 10757951 |
| &nbsp;&nbsp;&nbsp;&nbsp;Futures Contracts | Goldman Sachs | 152382536 | (3921486) | 148461050 |  |  | 148461050 |
| &nbsp;&nbsp;&nbsp;&nbsp;Forward Contracts | Bank of America Merrill Lynch | 64096335 | (52456971) | 11639364 |  |  | 11639364 |
| &nbsp;&nbsp;&nbsp;&nbsp;Forward Contracts | Deutsche Bank | 13857893 | (5808152) | 8049741 |  |  | 8049741 |
| &nbsp;&nbsp;&nbsp;&nbsp;Total |  | $287891561 | $(66721506) | $221170055 | $— | $— | $221170055 |
|  |  | Gross Amounts of |  |  | Financial |  |  |
|  |  | Recognized | Derivatives available |  | Instruments | Cash Collateral |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Description of Liability: | Counterparty | Liabilities | for Offset | Net Amounts of Liabilities | Pledged | Pledged (2) | Net Amount |
| &nbsp;&nbsp;&nbsp;&nbsp;Futures Contracts | Bank of America Merrill Lynch | $(3130113) | $3130113 | $— | $— | $— | $— |
| &nbsp;&nbsp;&nbsp;&nbsp;Futures Contracts | Deutsche Bank | (1404784) | 1404784 |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Futures Contracts | Goldman Sachs | (3921486) | 3921486 |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Forward Contracts | Bank of America Merrill Lynch | (52456971) | 52456971 |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Forward Contracts | Deutsche Bank | (5808152) | 5808152 |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Total |  | $(66721506) | $66721506 | $— | $— | $— | $— |
| **Buffered Shield** | **Buffered Shield** | **Buffered Shield** | **Buffered Shield** | **Buffered Shield** |  |  |  |
|  |  | Gross Amounts of |  |  | Financial |  |  |
|  |  | Recognized | Derivatives available |  | Instruments | Cash Collateral |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Description of Asset: | Counterparty | Liabilities | for Offset | Net Amounts of Liabilities | Pledged | Pledged (2) | Net Amount |
| &nbsp;&nbsp;&nbsp;&nbsp;Options Purchased Contracts | StoneX | $4854113 | $(3669855) | $1184258 | $— | $— | $1184258 |
| &nbsp;&nbsp;&nbsp;&nbsp;Total |  | $4854113 | $(3669855) | $1184258 | $— | $— | $1184258 |
|  |  | Gross Amounts of |  |  | Financial |  |  |
|  |  | Recognized | Derivatives available |  | Instruments | Cash Collateral |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Description of Liability: | Counterparty | Liabilities | for Offset | Net Amounts of Liabilities | Pledged | Pledged (2) | Net Amount |
| &nbsp;&nbsp;&nbsp;&nbsp;Options Written Contracts | StoneX | $(3669855) | $3669855 | $— | $— | $— | $— |
| &nbsp;&nbsp;&nbsp;&nbsp;Total |  | $(3669855) | $3669855 | $— | $— | $— | $— |

---

<sup>(1)</sup> Value as presented in the Schedule of Investments.

 

<sup>(2)</sup> Excess collateral is not shown on this table.

---

| | |
|:---|:---|
| **CATALYST FUNDS** |  |
| ***NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited) (Continued)*** | ***NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited) (Continued)*** |
| **December 31, 2022** | **SEMI-ANNUAL REPORT** |

---

b) Deposits with Broker for futures and options

---

| | | |
|:---|:---|:---|
| Fund | Broker | Deposit with Broker |
| Dynamic Commodity | Goldman Sachs | $553561 |
| Warrington | ADM | 20712010 |
|  | StoneX | 24585575 |
|  | Rosenthal Collins Group | 880 |
|  | Wedbush | 13 |
| Income and Multi Strategy | RJ O'Brien | 453881 |
| Nasdaq-100 | Wedbush | 891247 |
| Millburn Hedge Strategy | Bank of America Merrill Lynch | 34615660 |
|  | Deutsche Bank | 13448405 |
|  | Goldman Sachs | (3410957) |
| Buffered Shield | StoneX | 141092 |

---

c) Investment Companies – Income and Multi-Strategy, Nasdaq-100, Millburn Hedge Strategy and Buffered Shield concentrate their investments in exchange traded funds (***"ETFs"***) and, therefore, are more susceptible to ETF risk. Some Funds may invest in other investment companies, including closed-end funds and ETFs. ETFs are a type of fund bought and sold on a securities exchange. An ETF trades like common stock and represents a fixed 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 manager and/or sub-advisor expect 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/or 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 six months ended December 31, 2022, 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, 2022, the Funds did not incur any interest or penalties. As required, management has analyzed the Funds' tax positions taken on or to be taken on Federal income tax returns for all open tax years (tax years or periods ended 2020-2022 for the Funds) or expected to be taken in 2022 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 the 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. 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.

---

| | |
|:---|:---|
| **CATALYST FUNDS** |  |
| ***NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited) (Continued)*** | ***NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited) (Continued)*** |
| **December 31, 2022** | **SEMI-ANNUAL REPORT** |

---

g) 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 intended dividend and capital gain declaration policy:

---

| | | |
|:---|:---|:---|
| **Fund** | **Income Dividends** | **Capital Gains** |
| Dynamic Commodity | Annually | Annually |
| Warrington | Annually | Annually |
| Systematic Alpha | Annually | Annually |
| Income and Multi-Strategy | Monthly | Annually |
| Nasdaq-100 | Annually | Annually |
| Millburn Hedge Strategy | Annually | Annually |
| Buffered Shield | Annually | Annually |

---

h) 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. The Funds follow the specialized accounting and reporting requirements under GAAP that are applicable to investment companies.

i) 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.

j) 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 Funds. 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 A shares for certain redemption transactions within one year following such investments. The respective shareholders pay such CDSC charges, which are not an expense of the Funds. For the six months ended December 31, 2022, there were no CDSC fees paid by the shareholders of Dynamic Commodity, Warrington, Millburn Hedge Strategy, Systematic Alpha, Income and Multi-Strategy, Nasdaq-100, and Buffered Shield.

k) Forward Exchange Contracts **–** Millburn Hedge Strategy has entered into a foreign exchange contract agreement with Bank of America Merrill Lynch and Deutsche Bank as a part of its investment strategy. When executing forward contracts, the Fund is obligated to buy or sell a foreign currency at a specified rate on a certain date in the future. With respect to sales of forwards contracts, the Fund would incur a loss if the value of the contract increases between the date the forward contract is opened and the date the forward contract is closed. The Fund realizes a gain if the value of the contract decreases between those dates. With respect to purchases of forward contracts, the Fund would incur a loss if the value of the contract decreases between the date the forward contract is opened and the date the forward contract is closed. The Fund realizes a gain if the value of the contract increases between those dates. The Fund is exposed to foreign currency risk as a result of changes in value of the underlying financial instruments. The Fund is also exposed to credit risk associated with counterparty nonperformance on these forward contracts, which is typically limited to the unrealized gain on each open contract.

Investment securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollar amounts at the date of valuation. Purchases and sales of investment securities and income and expense items denominated in foreign currencies are translated into U.S. dollar amounts on the respective dates of such transactions. The Trust does not isolate the portion of the results of operations resulting from changes in foreign exchange rates on investments from the fluctuations arising from the changes in market prices of securities held. Such fluctuations are included with the net realized and unrealized gain or loss from investments. Reported net realized foreign exchange gains or losses arise from sales of foreign currencies, forward exchange contracts, currency gains or losses realized between the trade and settlement dates on securities transactions, and the difference between the amounts of dividends, interest and foreign withholding taxes recorded on the company's books and the U.S. dollar equivalent of the amounts actually received or paid. Net

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| | |
|:---|:---|
| **CATALYST FUNDS** |  |
| ***NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited) (Continued)*** | ***NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited) (Continued)*** |
| **December 31, 2022** | **SEMI-ANNUAL REPORT** |

---

unrealized foreign exchange gains and losses arise from changes in the fair values of assets and liabilities other than investments in securities at fiscal period end, resulting from changes in exchange rates.

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, 2022, aggregate purchases and proceeds from sales of investment securities (excluding short-term investments) for the Funds were as follows:

---

| | | | | |
|:---|:---|:---|:---|:---|
| <br>**Fund** | **Purchases**<br>**(excluding U.S.**<br>**Government**<br>**Securities)** | **Sales Proceeds**<br>**(excluding U.S.**<br>**Government**<br>**Securities)** |<br>**Purchases of**<br>**U.S. Government**<br>**Securities** |<br>**Sales Proceeds of**<br>**U.S. Government**<br>**Securities** |
| Dynamic Commodity | $4241406 | $7660551 | $— | $— |
| Warrington |  |  |  |  |
| Systematic Alpha | 4766980 | 1276841 |  |  |
| Income and Multi Strategy | 1122805 | 385390 |  |  |
| Nasdaq-100 | 3942299 | 4923592 |  |  |
| Millburn Hedge Strategy | 1066349062 | 421004042 | 1948255065 | 1197251719 |
| Buffered Shield | 45197103 | 78708426 |  |  |

---

**(3)** **MANAGEMENT AGREEMENT AND OTHER RELATED PARTY TRANSACTIONS** 

CCA acts as investment manager for the Funds pursuant to the terms of a Management Agreement with the Trust, on behalf of the Funds (the ***"Management Agreement"***). Under the terms of the Management Agreement, the Manager manages the investment operations of the Funds in accordance with each Fund's respective investment policies and restrictions. Each investment sub-advisor is responsible for the day-to-day management of its Fund's portfolios. The Manager provides the Funds with investment advice and supervision and furnishes an investment program for the Funds. For its investment management services, the Funds pay to the Manager, as of the last day of each month, an annualized fee as shown in the below table, such fees to be computed daily based upon daily average net assets of the Funds. The Funds' sub-advisors are paid by the Manager, except the Dynamic Commodity and Millburn Hedge Strategy Funds, each pay its sub-advisor on behalf of the Advisor.

The Manager and the Trust, with respect to the Funds have entered into Expense Limitation Agreements (the ***"limitation"***) under which the Manager 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; costs of investing in underlying funds; and extraordinary expenses) do not exceed the limitation shown in the table below, and is based on the Funds' average daily net assets. The Manager shall be entitled to reimbursement by a Fund for such waived fess or reimbursed expenses provided that said reimbursement does not cause the Fund's expenses to exceed the limitation in effect at the time of the waiver and at the time of the reimbursement. The Manager may seek reimbursement only for fees waived or expenses reimbursed by a Fund within the three years following the date of the waiver and/or reimbursement of the particular expense incurred.

---

| | |
|:---|:---|
| **CATALYST FUNDS** |  |
| ***NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited) (Continued)*** | ***NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited) (Continued)*** |
| **December 31, 2022** | **SEMI-ANNUAL REPORT** |

---

For the six months ended December 31, 2022, the Manager waived management fees and reimbursed expenses. The Manager may recapture a portion of the waived and/or reimbursed amounts no later than the dates as stated below:

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
| | | **Expense Limitation** | **Expense Limitation** | **Expense Limitation** | **Expense Limitation** | | |
| <br>**Fund** | <br>**Management**<br>**Agreement** | **Cl A** | **Cl C** | **CL I** | **C-1** | <br>**Expires** | **Management**<br>**Fees Waived/**<br>**Expenses**<br>**Reimbursed** |
| Dynamic Commodity | 1.75% | 2.24% | 2.99% | 1.99% | N/A | 10/31/2023 | $84635 |
| Warrington | 1.75% | 2.24% | 2.99% | 1.99% | N/A | 10/31/2023 | 14105 |
| Systematic Alpha | 1.50% | 2.02% | 2.77% | 1.77% | N/A | 10/31/2023 | 73192 |
| Income and Multi Strategy | 1.75% | 2.24% | 2.99% | 1.99% | N/A | 10/31/2023 | 58438 |
| Nasdaq-100 | 1.25% | 1.74% | 2.49% | 1.49% | N/A | 10/31/2023 | 61120 |
| Millburn Hedge Strategy | 1.75% | N/A | N/A | N/A | N/A | N/A |  |
| Buffered Shield | 1.25% | 1.48% | 2.23% | 1.23% | N/A | 10/31/2023 | 145352 |

---

---

| | | | |
|:---|:---|:---|:---|
| | **Recapture Expires** | **Recapture Expires** | **Recapture Expires** |
| | **June 30,** | **June 30,** | **June 30,** |
| <br>**Fund** | **2023** | **2024** | **2025** |
| Dynamic Commodity | $92999 | $127495 | $174001 |
| Warrington |  |  | 44482 |
| Systematic Alpha | 95528 | 107610 | 134001 |
| Income and Multi Strategy | 112040 | 113505 | 113448 |
| Nasdaq-100 | 137883 | 131835 | 123326 |
| Millburn Hedge Strategy |  |  |  |
| Buffered Shield | 209222 | 244502 | 304113 |

---

A Trustee is also the controlling member of MFund Services, LLC (***"MFund"***) and the Manager, and is not paid any fees directly by the Trust for serving in such capacities.

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 in-person 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, the Chairman of the Trust's Audit Committee and the Chairman of the Risk and Compliance Committee 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.

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 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 C-1 shares are currently paying 1.00% per annum of 12b-1 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 Manager for distribution related expenses. Brokers may receive a 1.00% commission from the Distributor for the sale of Class C and C-1 shares. Catalyst Mutual Funds Distributors, LLC, acts as a wholesale marketing and distribution agent for the Funds. As compensation for these services, Catalyst Mutual Funds 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, an affiliate of the Manager, MFund provides the Funds with various management and legal administrative services (***"Management Services Agreement"***). For these services, the Funds pay MFund as of the last day of each month an annualized asset-based fee which scales downward based upon net assets. 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 "Management service fees."

---

| | |
|:---|:---|
| **CATALYST FUNDS** |  |
| ***NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited) (Continued)*** | ***NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited) (Continued)*** |
| **December 31, 2022** | **SEMI-ANNUAL REPORT** |

---

Pursuant to the Compliance Services Agreement (the "Compliance Services Agreement", Mfund, an affiliate of the Manager provides chief compliance officer services to the Funds. For these services, the Funds pay MFund as of the last day of each month an annualized base fee plus an annualized asset-based fee based upon net assets. 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 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, 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, 2022 the 12b-1 expenses incurred by the Funds were as follows:

---

| | | | |
|:---|:---|:---|:---|
| | **12b-1 Fees** | **12b-1 Fees** | **12b-1 Fees** |
| <br>**Fund** | **Class A** | **Class C** | **Class C-1** |
| Dynamic Commodity | $3443 | $8719 | N/A |
| Warrington | 24779 | 75983 | N/A |
| Systematic Alpha | 322 | 667 | N/A |
| Income and Multi Strategy | 155 | 3076 | N/A |
| Nasdaq-100 | 1027 | 6521 | N/A |
| Millburn Hedge Strategy | 485921 | 1781316 | $53267 |
| Buffered Shield | 21836 | 21768 | N/A |

---

**(4)** **AGGREGATE UNREALIZED APPRECIATION AND DEPRECIATION – TAX BASIS** 

---

| | | | | |
|:---|:---|:---|:---|:---|
|  |<br>**Tax**<br>**Cost** | **Gross**<br>**Unrealized**<br>**Appreciation** | **Gross**<br>**Unrealized**<br>**Depreciation** | **Net Unrealized**<br>**Appreciation/**<br>**(Depreciation)** |
| Dynamic Commodity | $14518950 | $606361 | $(1185715) | $(579354) |
| Warrington | 110930285 |  | (180723) | (180723) |
| Systematic Alpha | 3806863 |  | (20983) | (20983) |
| Income and Multi Strategy | 4656007 |  | (665436) | (665436) |
| Nasdaq-100 | 13705826 | 617512 | (2948994) | (2331482) |
| Millburn Hedge Strategy | 4516454747 | 267531750 | (41806907) | 225724843 |
| Buffered Shield | 42285841 | 2454483 | (4163735) | (1709252) |

---

---

| | |
|:---|:---|
| **CATALYST FUNDS** |  |
| ***NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited) (Continued)*** | ***NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited) (Continued)*** |
| **December 31, 2022** | **SEMI-ANNUAL REPORT** |

---

**(5)** **DISTRIBUTIONS TO SHAREHOLDERS AND TAX COMPONENTS OF CAPITAL** 

The tax character of distributions paid for the years ended June 30, 2022 and June 30, 2021 was as follows:

---

| | | | | |
|:---|:---|:---|:---|:---|
| **For year ended**<br>**6/30/2022** | **Ordinary**<br>**Income** | **Long-Term**<br>**Capital Gains** | **Return of**<br>**Capital** |<br>**Total** |
| Dynamic Commodity | $— | $— | $— | $— |
| Warrington |  |  |  |  |
| Systematic Alpha | 263151 |  |  | 263151 |
| Income and Multi Strategy | 201688 |  |  | 201688 |
| Nasdaq-100 |  | 49228 |  | 49228 |
| Millburn Hedge Strategy |  |  |  |  |
| Buffered Shield | 14399757 | 56665 |  | 14456422 |
| **For year ended** | **Ordinary** | **Long-Term** | **Return of** |  |
| **6/30/2021** | **Income** | **Capital Gains** | **Capital** | **Total** |
| Dynamic Commodity | $— | $— | $— | $— |
| Warrington |  |  |  |  |
| Systematic Alpha | 545501 |  |  | 545501 |
| Income and Multi Strategy | 64331 |  |  | 64331 |
| Nasdaq-100 | 39770 | 768 | 51913 | 92451 |
| Millburn Hedge Strategy | 107327453 |  | 326198 | 107653651 |
| Buffered Shield | 1134465 | 123927 |  | 1258392 |

---

As of June 30, 2022, the components of accumulated earnings/(deficit) on a tax basis were as follows:

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
|  | **Undistributed**<br>**Ordinary**<br>**Income** | **Undistributed**<br>**Long-Term**<br>**Capital Gains** | **Post October Loss**<br>**and**<br>**Late Year Loss** | **Capital Loss**<br>**Carry**<br>**Forwards** | **Other**<br>**Book/Tax**<br>**Differences** | **Unrealized**<br>**Appreciation/**<br>**(Depreciation)** | **Total**<br>**Accumulated**<br>**Earnings/(Deficits)** |
| Dynamic Commodity | $3375966 | $— | $— | $— | $— | $(1971052) | $1404914 |
| Warrington | 1434561 |  |  | (1003221342) |  |  | (1001786781) |
| Systematic Alpha | 213992 |  |  | (222946) |  | (233694) | (242648) |
| Income and Multi Strategy | 196358 |  |  | (174873) |  | (474996) | (453511) |
| Nasdaq-100 | 236139 | 81645 |  |  |  | (2249792) | (1932008) |
| Millburn Hedge Strategy | 75040567 |  |  | (103659723) |  | 245753202 | 217134046 |
| Buffered Shield | 5920 |  | (4275799) |  | (5816217) | (5479564) | (15565660) |

---

The difference between book basis and tax basis unrealized appreciation (depreciation), undistributed net investment income (loss) and accumulated net realized gains (losses) from investments is primarily attributable to the tax deferral of losses on wash sales, mark-to-market on non-equity options, future contracts and forward foreign currency contracts and tax adjustments for partnerships. The unrealized appreciation (depreciation) in the table above may include unrealized foreign currency gains (losses). In addition, the amount listed under other book/tax differences are primarily attributable to the tax deferral of losses on straddles.

---

| | |
|:---|:---|
| **CATALYST FUNDS** |  |
| ***NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited) (Continued)*** | ***NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited) (Continued)*** |
| **December 31, 2022** | **SEMI-ANNUAL REPORT** |

---

Late year losses incurred after December 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 late year losses as follows:

---

| | |
|:---|:---|
|  | **Late Year**<br>**Losses** |
| Dynamic Commodity | $— |
| Warrington |  |
| Systematic Alpha |  |
| Income and Multi Strategy |  |
| Nasdaq-100 |  |
| Millburn Hedge Strategy |  |
| Buffered Shield | 85083 |

---

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**<br>**Losses** |
| Dynamic Commodity | $— |
| Warrington |  |
| Systematic Alpha |  |
| Income and Multi Strategy |  |
| Nasdaq-100 |  |
| Millburn Hedge Strategy |  |
| Buffered Shield | 4190716 |

---

At June 30, 2022, the Funds below had capital loss carry forwards for federal income tax purposes available to offset future capital gains as well as capital loss carryforwards utilized as follows:

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | **Short-Term**<br>**Non-Expiring** | **Long-Term**<br>**Non-Expiring** |<br>**Total** |<br>**CLCF Utilized** |
| Dynamic Commodity | $— | $— | $— | $258736 |
| Warrington | 398117816 | 605103526 | 1003221342 | 7495112 |
| Systematic Alpha | 222946 |  | 222946 |  |
| Income and Multi Strategy | 174873 |  | 174873 | 35705 |
| Nasdaq-100 |  |  |  | 315573 |
| Millburn Hedge Strategy | 82805400 | 20854323 | 103659723 | 272511225 |
| Buffered Shield |  |  |  |  |

---

Permanent book and tax differences, primarily attributable to the book/tax basis treatment of accumulated losses from the Funds' wholly owned subsidiaries, resulted in reclassifications for the Funds for the fiscal year ended June 30, 2022 as follows:

---

| | | |
|:---|:---|:---|
|  | **Paid In**<br>**Capital** | **Accumulated**<br>**Earnings (Deficit)** |
| Dynamic Commodity | $— | $— |
| Warrington |  |  |
| Systematic Alpha |  |  |
| Income and Multi Strategy | (20739) | 20739 |
| Nasdaq-100 |  |  |
| Millburn Hedge Strategy |  |  |
| Buffered Shield |  |  |

---

---

| | |
|:---|:---|
| **CATALYST FUNDS** |  |
| ***NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited) (Continued)*** | ***NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited) (Continued)*** |
| **December 31, 2022** | **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, 2022, Warrington, Systematic Alpha, Income and Multi -Strategy, Nasdaq-100 and Millburn Hedged Strategy did not access the line of credit. The Funds accessed the line of credit, based only on the days borrowed, as follows:

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | **Average Amount**<br>**Borrowings**<br>**Outstanding** |<br>**Number of Days**<br>**Outstanding** |<br>**Interest**<br>**Expense <sup>(1)</sup>** |<br>**Average**<br>**Interest Rate** |
| Dynamic Commodity | $— | $— | $— |  |
| Warrington |  |  |  |  |
| Systematic Alpha | 4633 |  | 48 | 6.25% |
| Income and Multi Strategy |  |  |  |  |
| Nasdaq-100 |  |  |  |  |
| Millburn Hedge Strategy |  |  |  |  |
| Buffered Shield | 1617182 | 48 | 13718 | 6.36% |

---

<sup>(1)</sup> Includes only Interest Expense for the year ended December 31, 2022 and may not tie back to the Statement 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 Warrington will be directly affected by the performance of the First American Government Obligations Portfolio - Class U. The financial statements of the First American Government Obligations Portfolio – Class U, including the Schedule of Investments, can be found at the SEC's website www.sec.gov and should be read in conjunction with the Fund's financial statements. As of December 31, 2022, the percentage of Warrington's net assets invested in First American Government Obligations Portfolio - Class U were 33.9%.

The performance of Buffered Shield will be directly affected by the performance of the iShares Trust iShares 1 -5 Year Investment Grade Corporate Bond ETF, PGIM Ultra Short Bond ETF and Vanguard Short-Term Corporate Bond ETF. The financial statements of the iShares Trust iShares 1-5 Year Investment Grade Corporate Bond ETF, PGIM Ultra Short Bond ETF and Vanguard Short-Term Corporate Bond ETF, including the Schedule of Investments, can be found at the SEC's website www.sec.gov and should be read in conjunction with the Fund's financial statements. As of December 31, 2022, the percentage of Buffered Shield's net assets invested in iShares Trust iShares 1-5 Year Investment Grade Corporate Bond ETF, PGIM Ultra Short Bond ETF and Vanguard Short-Term Corporate Bond ETF were 29.5%, 34.6% and 32.0%, respectively.

**(8)** **SECURITIES LENDING** 

The Funds have entered into a Securities Lending Agreement ("***Agreement***") with US Bank NA. Each participating Fund can lend their securities to brokers, dealers and other financial institutions approved by the Board to earn additional income. Loans are collateralized at a value at least equal to 105% of the then current market value of any loaned security that are foreign, or 102% of the then current market value of any other loaned security. All interest and dividend payments received on securities which are held 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).

---

| | |
|:---|:---|
| **CATALYST FUNDS** |  |
| ***NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited) (Continued)*** | ***NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited) (Continued)*** |
| **December 31, 2022** | **SEMI-ANNUAL REPORT** |

---

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 enforceable netting arrangements as of December 31, 2022:

---

| | | | |
|:---|:---|:---|:---|
|  | | | Percentage of Total |
| Fund | Market Value of Loaned Securities | Market Value of Collateral (1) | Investment Income |
| Nasdaq-100 \* | $358976 | $368591 | 6.73% |

---

(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%.

**(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, 2022, 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:

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
|  | Dynamic | | Systematic | Income and | | Buffered |
| Owner | Commodity | Warrington | Alpha | Multi Strategy | Nasdaq-100 | Shield |
| TD Ameritrade (1) |  |  |  |  | 49% | 41% |
| NFS LLC (1) |  | 30% |  |  |  |  |
| Charles Schwab |  |  |  |  |  |  |
| Pershing LLC (1) |  |  | 35% |  |  |  |
| Millennium Trust Co. LLC |  |  |  | 28% |  |  |
| LPL Financial | 46% | 25% |  |  |  |  |

---

(1) These
owners are comprised of multiple investors and accounts.

**(10)** **INVESTMENTS IN AFFILIATED COMPANIES** 

Affiliated companies are mutual funds which are advised by CCA, AlphaCentric Advisors, LLC or Rational Advisors, Inc or where the Fund has ownership of at least 5% of the underlying positions. Companies which are affiliates of the Funds' at December 31, 2022, are noted in the Funds' Schedules of Investments. Transactions during the six months ended December 31, 2022, with companies which are affiliates are as follows:

---

| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| <br>**Fund Affiliated Holding** | **Share Balance**<br>**Beginning**<br>**of Year** |<br>**Purchases** |<br>**Sales** | **Share Balance**<br>**December 31,**<br>**2022** | **Market Value**<br>**Beginning**<br>**of Year** |<br>**Realized**<br>**Gain/Loss** | **Dividend**<br>**Interest**<br>**Income** | **Change in**<br>**Unrealized**<br>**Gain/(Loss)** |<br>**Fair Value** |
| Income and Multi Strategy |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Catalyst Enhanced Income Strategy Fund, Cl. I | 24443 | 5600 |  | 30043 | 252493 |  | 8890 | (18759) | 289010 |
| &nbsp;&nbsp;&nbsp;&nbsp;Rational Special Situations Income Fund, Inst Class | 13891 | 2020 | (220) | 15691 | 254481 | (180) | 9628 | 1018 | 288555 |
|  | **38334** | **7620** | **(220)** | **45734** | $**506974** | $**(180)** | $**18518** | $**(17741)** | $**577565** |

---

---

| | |
|:---|:---|
| **CATALYST FUNDS** |  |
| ***NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited) (Continued)*** | ***NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited) (Continued)*** |
| **December 31, 2022** | **SEMI-ANNUAL REPORT** |

---

**(11)** **LITIGATION** 

On August 2, 2017, plaintiff Kalvin Chum filed a derivative action in the Court of Common Pleas, Franklin County, Ohio Civil Division, against CCA, the Trustees, the Distributor and Gemini Fund Services, LLC ("GFS"), as well as the Trust as a nominal defendant. The plaintiff alleges that the prospectus, shareholder reports and other marketing materials for the Catalyst Hedged Futures Strategy Fund contained false and misleading statements as to, and descriptions of, the nature and extent of the risks related to the Fund's strategy and performance history. The plaintiff claims that this resulted in shareholders not being able to fully appreciate the risks of an investment in the Fund. The plaintiff further alleges that CCA failed to properly manage the risk of the Fund's portfolio and that the Trustees failed to meet their fiduciary obligations to the Fund and its shareholders. The complaint seeks (i) declaration of a derivative action; (ii) unspecified relief for awards of damages and interest, attorney's fees and equitable/injunctive relief; and (iii) return of all management and advisory fees, and other expenses paid by the Fund during the period covered by the complaint. Claims against the Distributor and GFS were voluntarily dismissed without prejudice on October 12, 2017. On October 16, 2017, the remaining defendants filed a motion to dismiss the complaint in its entirety. That motion has been fully briefed and is sub judice.

In December 2022, while the motion to dismiss was pending and with the assistance of an experienced mediator, the parties reached an agreement in principle to settle this matter. On February 2, 2023, the parties executed a stipulation (the "Stipulation") memorializing their settlement, which provides for a payment by defendants of $2.8 million to the Trust for the benefit of the Fund, in exchange for full releases by the Plaintiff, the Trust and Fund Shareholders (as defined in the Stipulation). Because this is a derivative lawsuit brought on behalf of the Trust, if approved by the Court the settlement amount, less any attorneys' fees and other expenses awarded by the Court, will be paid into the Fund and will result in an *increase* to the Fund's net asset value per share. Therefore, Fund Shareholders will not receive individual payments and do not need to do anything to participate in the settlement. On February 6, 2023, the Court entered an order preliminarily approving the settlement, and set a final hearing for April 27, 2023. At that hearing the Court will determine, among other things, whether (i) to finally approve the settlement as fair, reasonable and adequate, including the releases contained therein; (ii) a final order of dismissal should be entered; and (iii) an application by Plaintiff's Counsel for attorneys' fees and expenses should be awarded. The Court will also consider any objections to the settlement by Fund Shareholders that are timely filed or postmarked by April 6, 2023 and otherwise comply with the order preliminarily approving the Settlement. More information regarding the Settlement may be found at <u>https://catalystderivativecasesettlement.com</u>.

On January 27, 2020, CCA and its chief executive officer (collectively, "Catalyst") reached a settlement with the SEC to resolve allegations in connection with its investigation of risk disclosures related to Catalyst Hedged Futures Strategy Fund (the "Fund") and Catalyst's management of the Fund.

Under the terms of the SEC's cease-and-desist order ("SEC Order"), pursuant to which Catalyst neither admitted nor denied any of the allegations contained therein, CCA agreed to pay a total of $8,908,481 as a rebate of advisory fees and prejudgment interest plus $1.3 million in civil monetary penalties, and its chief executive officer agreed to pay $300,000 in civil monetary penalties.

Pursuant to the terms of the SEC Order, an account was established for the pro-rata distribution of the $10,508,481 in disgorgement of advisory fees, prejudgment interest and civil monetary penalties to the Fund's shareholders between December 1, 2016 and February 28, 2017 based on each shareholder's pro rata advisory fees paid during the period. The calculation of these disbursements and the amount paid to each affected shareholder will be submitted to, reviewed and approved by the SEC staff in accordance with the SEC Order. The foregoing is a summary of the SEC Order. A copy of the SEC Order and the distribution plan are available at <u>https://www.sec.gov/litigation/admin/2020/ia-5436.pdf</u>.

Accordingly, CCA Deposited $10,508,481 in an escrow account in the Fund's name to be distributed to the affected shareholders. As of December 31, 2022, the remaining pro-rata distribution of $62,040 is shown in the Fund's Statement of Assets and Liabilities as an offsetting Asset and Liability. The amount is held in cash in a segregated account and the CCA does not use this balance for trading activities, nor receives additional management fees.

**(12)** **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. Management has determined that no events or transactions occurred requiring adjustment or disclosure in the financial statements.

---

| |
|:---|
| **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 (07/01/22) and held for the entire period through 12/31/22.

**<u>Actual Expenses</u>**

The "Actual" columns in the table below provide 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 in the first row under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period.

**<u>Hypothetical Example for Comparison Purposes</u>**

The "Hypothetical" columns in the table provide 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.

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| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
|  | | | | | ***Hypothetical*** | ***Hypothetical*** |
|  |  |  | ***Actual*** | ***Actual*** | (5% return before expenses) | (5% return before expenses) |
|  |  | Beginning |  |  |  |  |
|  | Fund's Annualized | Account Value | Ending Account | Expenses Paid | Ending Account | Expenses Paid |
|  | Expense Ratio \*\* | 07/01/22 | Value 12/31/22 | During Period \* | Value 12/31/22 | During Period \* |
| Catalyst/ Millburn Dynamic Commodity Strategy Fund - Class A | 2.24% | $1000.00 | $945.80 | $10.99 | $1013.91 | $11.37 |
| Catalyst/ Millburn Dynamic Commodity Strategy Fund - Class C | 2.99% | 1000.00 | 942.70 | 14.64 | 1010.13 | 15.15 |
| Catalyst/ Millburn Dynamic Commodity Strategy Fund - Class I | 1.99% | 1000.00 | 947.00 | 9.77 | 1015.17 | 10.11 |
| Catalyst/Warrington Strategic Program Fund - Class A | 2.24% | 1000.00 | 1013.10 | 11.37 | 1013.91 | 11.37 |
| Catalyst/Warrington Strategic Program Fund - Class C | 2.99% | 1000.00 | 1008.60 | 15.14 | 1010.13 | 15.15 |
| Catalyst/Warrington Strategic Program Fund - Class I | 1.99% | 1000.00 | 1014.00 | 10.10 | 1015.17 | 10.11 |
| Catalyst Systematic Alpha Fund - Class A | 2.02% | 1000.00 | 1069.50 | 10.54 | 1015.02 | 10.26 |
| Catalyst Systematic Alpha Fund - Class C | 2.77% | 1000.00 | 1065.70 | 14.42 | 1011.24 | 14.04 |
| Catalyst Systematic Alpha Fund - Class I | 1.77% | 1000.00 | 1070.50 | 9.24 | 1016.28 | 9.00 |
| Catalyst Income and Multi Strategy Fund - Class A | 2.24% | 1000.00 | 985.20 | 11.21 | 1013.91 | 11.37 |
| Catalyst Income and Multi Strategy Fund - Class C | 2.99% | 1000.00 | 981.20 | 14.93 | 1010.13 | 15.15 |
| Catalyst Income and Multi Strategy Fund - Class I | 1.99% | 1000.00 | 985.70 | 9.96 | 1015.17 | 10.11 |
| Catalyst Nasdaq-100 Hedged Equity Fund - Class A | 1.74% | 1000.00 | 921.80 | 8.43 | 1016.43 | 8.84 |
| Catalyst Nasdaq-100 Hedged Equity Fund - Class C | 2.49% | 1000.00 | 918.70 | 12.04 | 1012.65 | 12.63 |
| Catalyst Nasdaq-100 Hedged Equity Fund - Class I | 1.49% | 1000.00 | 922.70 | 7.22 | 1017.69 | 7.58 |
| Catalyst Millburn Hedge Strategy Fund - Class A | 2.15% | 1000.00 | 1045.60 | 11.09 | 1014.37 | 10.92 |
| Catalyst Millburn Hedge Strategy Fund - Class C | 2.90% | 1000.00 | 1041.50 | 14.92 | 1010.59 | 14.70 |
| Catalyst Millburn Hedge Strategy Fund - Class C-1 | 2.89% | 1000.00 | 1046.60 | 14.91 | 1010.64 | 14.65 |
| Catalyst Millburn Hedge Strategy Fund - Class I | 1.90% | 1000.00 | 1046.60 | 9.80 | 1015.63 | 9.65 |
| Catalyst Buffered Shield Fund - Class A | 1.48% | 1000.00 | 975.60 | 7.37 | 1017.74 | 7.53 |
| Catalyst Buffered Shield Fund - Class C | 2.23% | 1000.00 | 972.00 | 11.08 | 1013.96 | 11.32 |
| Catalyst Buffered Shield Fund - Class I | 1.23% | 1000.00 | 977.10 | 6.13 | 1019.00 | 6.26 |

---

*\** *Expenses are equal to the Funds' annualized expense ratios multiplied by the average account value over the period, multiplied by 184/365 to reflect the one-half year period.*

\*\* Annualized expense ratio does not include interest expenses or dividend expenses.

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.

***PRIVACY NOTICE***

 ****

**Mutual Fund Series Trust**

**Rev. August 2021**

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| | |
|:---|:---|
| &nbsp;&nbsp;**FACTS** | &nbsp;&nbsp;**WHAT DOES MUTUAL FUND SERIES TRUST DO WITH YOUR PERSONAL INFORMATION?** |

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| | |
|:---|:---|
| &nbsp;&nbsp;**Why?** | &nbsp;&nbsp;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. |

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| | |
|:---|:---|
| &nbsp;&nbsp;**What?** | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;The types of personal information we collect and share depends on the product or service that you have with us. This information can include:<br>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;● Social Security number and wire transfer instructions<br>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;● account transactions and transaction history<br>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;● investment experience and purchase history<br>When you are *no longer* our customer, we continue to share your information as described in this notice. |

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| | |
|:---|:---|
| &nbsp;&nbsp;**How?** | &nbsp;&nbsp;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. |

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| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Reasons we can share your<br> personal information:** | &nbsp;&nbsp;**Does Mutual Fund Series<br> Trust share information?** | &nbsp;&nbsp;**Can you limit this <br> sharing?** |
| &nbsp;&nbsp;**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. | &nbsp;&nbsp;**YES** | &nbsp;&nbsp;**NO** |
| &nbsp;&nbsp;**For our marketing purposes -** to offer our products and services to you. | **NO** | **We don't share** |
| &nbsp;&nbsp;**For joint marketing with other financial companies.** | **NO** | **We don't share** |
| &nbsp;&nbsp;**For our affiliates' everyday business purposes -** information about your transactions and records. | **NO** | **We don't share** |
| &nbsp;&nbsp;**For our affiliates' everyday business purposes -** information about your credit worthiness. | **NO** | **We don't share** |
| &nbsp;&nbsp;**For our affiliates to market to you** | **NO** | **We don't share** |
| &nbsp;&nbsp;**For non-affiliates to market to you** | **NO** | **We don't share** |

---

***PRIVACY NOTICE***

**Mutual Fund Series Trust**

---

| | |
|:---|:---|
| &nbsp;&nbsp;**What we do:** | &nbsp;&nbsp;**What we do:** |
| &nbsp;&nbsp;<br> **How does Mutual Fund Series Trust protect my personal information?** | &nbsp;&nbsp;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.<br>Our service providers are held accountable for adhering to strict policies and procedures to prevent any misuse of your nonpublic personal information. |
| &nbsp;&nbsp;<br> **How does Mutual Fund Series Trust collect my personal information?** | &nbsp;&nbsp;&nbsp;&nbsp;We collect your personal information, for example, when you:<br> ● open an account or deposit money<br>● direct us to buy securities or direct us to sell your securities<br>● seek advice about your investments<br>We also collect your personal information from others, such as credit bureaus, affiliates, or other companies. |
| &nbsp;&nbsp;<br> **Why can't I limit all sharing?** | &nbsp;&nbsp;&nbsp;&nbsp;Federal law gives you the right to limit only:<br> ● sharing for affiliates' everyday business purposes – information about your creditworthiness.<br>● affiliates from using your information to market to you.<br>● sharing for non-affiliates to market to you. <br>State laws and individual companies may give you additional rights to limit sharing. |

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| | |
|:---|:---|
| &nbsp;&nbsp;**Definitions** | &nbsp;&nbsp;**Definitions** |
| &nbsp;&nbsp;**Affiliates** | &nbsp;&nbsp;Companies related by common ownership or control. They can be financial and non-financial companies.<br>● *Mutual Fund Series Trust does not share with affiliates.* |
| &nbsp;&nbsp;**Non-affiliates** | &nbsp;&nbsp;Companies not related by common ownership or control. They can be financial and non-financial companies.<br>● *Mutual Fund Series Trust doesn't share with non-affiliates so they can market to you.* |
| &nbsp;&nbsp;**Joint marketing** | &nbsp;&nbsp;A formal agreement between nonaffiliated financial companies that together market financial products or services to you.<br>● *Mutual Fund Series Trust doesn't jointly market*. |

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| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**QUESTIONS? CALL** | &nbsp;&nbsp;**Alpha Centric** | &nbsp;&nbsp;**844-223-8637** |
| &nbsp;&nbsp;**QUESTIONS? CALL** | &nbsp;&nbsp;**Catalyst** | &nbsp;&nbsp;**866-447-4228** |
| &nbsp;&nbsp;**QUESTIONS? CALL** | &nbsp;&nbsp;**Day Hagan** | &nbsp;&nbsp;**877-329-4246** |
| &nbsp;&nbsp;**QUESTIONS? CALL** | &nbsp;&nbsp;**Empiric** | &nbsp;&nbsp;**888-839-7424** |
| &nbsp;&nbsp;**QUESTIONS? CALL** | &nbsp;&nbsp;**Eventide** | &nbsp;&nbsp;**877-771-3836** |
| &nbsp;&nbsp;**QUESTIONS? CALL** | &nbsp;&nbsp;**JAG** | &nbsp;&nbsp;**855-552-4596** |

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| |
|:---|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**<u>MUTUAL FUND SERIES TRUST</u>** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4221 North 203<sup>rd</sup> Street, Suite 100 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Elkhorn, NE 68022 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**<u>MANAGER</u>** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Catalyst Capital Advisors, LLC |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;53 Palmeras Street, Suite 601 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;San Juan, PR 00901 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**<u>ADMINISTRATOR</u>** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ultimus Fund Solutions, LLC |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;225 Pictoria Drive, Suite 450 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Cincinnati, OH 45246 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**<u>TRANSFER AGENT</u>** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ultimus Fund Solutions, LLC |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;225 Pictoria Drive, Suite 450 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Cincinnati, OH 45246 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**<u>INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM</u>** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;BBD, LLP |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1835 Market Street |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3rd Floor |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Philadelphia, PA 19103 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**<u>LEGAL COUNSEL</u>** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Thompson Hine LLP |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;41 South High Street |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Suite 1700 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Columbus, OH 43215 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**<u>CUSTODIAN BANK</u>** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;U.S. Bank |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1555 N. Rivercenter Drive. |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Suite 302 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Milwaukee, WI 53212 |

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| |
|:---|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Reference is made to the Prospectus and the Statement of Additional Information for more detailed descriptions of the Management Agreements, 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. |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;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 <u>http://www.sec.gov</u>. The Funds' Forms N-PORT may be obtained by calling 1-800-SEC-0330. |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;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 <u>http://www.sec.gov</u>. |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;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 <u>http://www.sec.gov</u>. |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;CatalystHedge-SA22 |

---

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.

&nbsp;&nbsp;&nbsp;&nbsp;(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.

&nbsp;&nbsp;&nbsp;&nbsp;(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

(a)(1) Code of Ethics filed herewith.

(a)(2) [Certifications required by Section 302 of the Sarbanes-Oxley Act of 2002 (and Item 11(a)(2) of Form N-CSR) are filed herewith.](cert1.htm)

(a)(3) Not applicable for open-end investment companies.

(b) [Certifications required by Section 906 of the Sarbanes-Oxley Act of 2002 (and Item 11(b) of Form N-CSR) are filed herewith.](cert2.htm)

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

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| | |
|:---|:---|
| By Michael Schoonover | <u>/s/ Michael Schoonover __________</u> |
| President | President |
| Date: March 7, 2023 |  |

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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.

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| | |
|:---|:---|
| By Michael Schoonover | <u>/s/ Michael Schoonover ___________</u> |
| President | President |
| Date: March 7, 2023 |  |

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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.

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| | |
|:---|:---|
| By Erik Naviloff | <u>/s/ Erik Naviloff_____________</u> |
| Treasurer | Treasurer |
| Date: March 7, 2023 |  |

---

## Ex-99.Cert

**Certification Pursuant to Section 302 of the Sarbanes-Oxley Act**

I, Michael Schoonover, certify that:

&nbsp;&nbsp;&nbsp;&nbsp;1. I have reviewed this report on Form N-CSR of the Mutual Fund Series Trust (the "Registrant");

&nbsp;&nbsp;&nbsp;&nbsp;2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit
to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not
misleading with respect to the period covered by this report;

&nbsp;&nbsp;&nbsp;&nbsp;3. Based on my knowledge, the schedules of investments included in this report fairly present in all material
respects the investments of the Registrant as of the end of the fiscal period for which the report is filed;

&nbsp;&nbsp;&nbsp;&nbsp;4. The Registrant's other certifying officer(s) and I are responsible for establishing and maintaining
disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial
reporting (as defined in Rule 30a-3 (d) under the Investment Company Act of 1940) for the Registrant and have:

&nbsp;&nbsp;&nbsp;&nbsp;(a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures
to be designed under our supervision, to ensure that material information relating to the Registrant, including its consolidated subsidiaries,
is made known to us by others within those entities, particularly during the period in which this report is being prepared;

&nbsp;&nbsp;&nbsp;&nbsp;(b) Designed such internal control over financial reporting, or caused such internal control over financial
reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the
preparation of financial statements for external purposes in accordance with generally accepted accounting principles:

&nbsp;&nbsp;&nbsp;&nbsp;(c) Evaluated the effectiveness of the Registrant's disclosure controls and procedures and presented in
this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the
filing date of this report based on such evaluation; and

&nbsp;&nbsp;&nbsp;&nbsp;(d) Disclosed in this report any change in the Registrant's internal control over financial reporting that
occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the Registrant's
internal control over financial reporting; and

&nbsp;&nbsp;&nbsp;&nbsp;5. The Registrant's other certifying officer(s) and I have disclosed to the Registrant's auditors and the
audit committee of the Registrant's board of Trustees (or persons performing the equivalent functions):

&nbsp;&nbsp;&nbsp;&nbsp;(a) All significant deficiencies and material weaknesses in the design or operation of internal control
over financial reporting which are reasonably likely to adversely affect the Registrant's ability to record, process, summarize,
and report financial information; and

&nbsp;&nbsp;&nbsp;&nbsp;(b) Any fraud, whether or not material, that involves management or other employees who have a significant
role in the Registrant's internal control over financial reporting.

---

| | |
|:---|:---|
| Date: March 07, 2023 | <u>/s/</u> <u>Michael Schoonover</u><u>____</u> |
|  | Michael Schoonover |
|  | President |

---

------

**Certification Pursuant to Section 302 of the Sarbanes-Oxley Act**

I, Erik Naviloff, certify that:

&nbsp;&nbsp;&nbsp;&nbsp;1. I have reviewed this report on Form N-CSR of the Mutual Fund Series Trust (the "Registrant");

&nbsp;&nbsp;&nbsp;&nbsp;2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit
to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not
misleading with respect to the period covered by this report;

&nbsp;&nbsp;&nbsp;&nbsp;3. Based on my knowledge, the schedules of investments included in this report fairly present in all material
respects the investments of the Registrant as of the end of the fiscal period for which the report is filed;

&nbsp;&nbsp;&nbsp;&nbsp;4. The Registrant's other certifying officer(s) and I are responsible for establishing and maintaining
disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial
reporting (as defined in Rule 30a-3 (d) under the Investment Company Act of 1940) for the Registrant and have:

&nbsp;&nbsp;&nbsp;&nbsp;(a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures
to be designed under our supervision, to ensure that material information relating to the Registrant, including its consolidated subsidiaries,
is made known to us by others within those entities, particularly during the period in which this report is being prepared;

&nbsp;&nbsp;&nbsp;&nbsp;(b) Designed such internal control over financial reporting, or caused such internal control over financial
reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the
preparation of financial statements for external purposes in accordance with generally accepted accounting principles:

&nbsp;&nbsp;&nbsp;&nbsp;(c) Evaluated the effectiveness of the Registrant's disclosure controls and procedures and presented in
this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the
filing date of this report based on such evaluation; and

&nbsp;&nbsp;&nbsp;&nbsp;(d) Disclosed in this report any change in the Registrant's internal control over financial reporting that
occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the Registrant's
internal control over financial reporting; and

&nbsp;&nbsp;&nbsp;&nbsp;5. The Registrant's other certifying officer(s) and I have disclosed to the Registrant's auditors and the
audit committee of the Registrant's board of Trustees (or persons performing the equivalent functions):

&nbsp;&nbsp;&nbsp;&nbsp;(a) All significant deficiencies and material weaknesses in the design or operation of internal control
over financial reporting which are reasonably likely to adversely affect the Registrant's ability to record, process, summarize,
and report financial information; and

&nbsp;&nbsp;&nbsp;&nbsp;(b) Any fraud, whether or not material, that involves management or other employees who have a significant
role in the Registrant's internal control over financial reporting.

---

| | |
|:---|:---|
| Date: March 07, 2023 | <u>/s/ Erik Naviloff________</u> |
|  | Erik Naviloff |
|  | Treasurer |

---

## Exhibit 99.906

CERTIFICATION PURSUANT TO SECTION 906 OF THE SARBANES-OXLEY ACT

I, Michael Schoonover, President of the Mutual Fund Series Trust, (the "Funds"), certify that:

1. The N-CSR of the Funds for the period ended December 31, 2022, (the "Report") fully complies with the requirements of Section 15(d) of the Securities Exchange Act of 1934; and

2. The information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Registrant.

---

| | |
|:---|:---|
| By: | <u>/s/ Michael Schoonover __________</u> |
|  | Michael Schoonover |
|  | President |
| Date: | March 07, 2023 |

---

A SIGNED ORIGINAL OF THIS WRITTEN STATEMENT REQUIRED BY SECTION 906, OR OTHER DOCUMENT AUTHENTICATING, ACKNOWLEDGING, OR OTHERWISE ADOPTING THE SIGNATURE THAT APPEARS IN TYPED FORM WITHIN THE ELECTRONIC VERSION OF THIS WRITTEN STATEMENT REQUIRED BY SECTION 906, HAS BEEN PROVIDED TO GEMINI FUND SERVICES, LLC AND WILL BE RETAINED BY GEMINI FUND SERVICES, LLC AND FURNISHED TO THE SECURITIES AND EXCHANGE COMMISSION OR ITS STAFF UPON REQUEST.

------

CERTIFICATION PURSUANT TO SECTION 906 OF THE SARBANES-OXLEY ACT

I, Erik Naviloff, Treasurer of the Mutual Fund Series Trust, (the "Funds"), certify that:

1. The N-CSR of the Funds for the period ended December 31, 2022, (the "Report") fully complies with the requirements of Section 15(d) of the Securities Exchange Act of 1934; and

2. The information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Registrant.

---

| | |
|:---|:---|
| By: | <u>/s/ Erik Naviloff_______</u> |
|  | Erik Naviloff |
|  | Treasurer |
| Date: | March 07, 2023 |

---

A SIGNED ORIGINAL OF THIS WRITTEN STATEMENT REQUIRED BY SECTION 906, OR OTHER DOCUMENT AUTHENTICATING, ACKNOWLEDGING, OR OTHERWISE ADOPTING THE SIGNATURE THAT APPEARS IN TYPED FORM WITHIN THE ELECTRONIC VERSION OF THIS WRITTEN STATEMENT REQUIRED BY SECTION 906, HAS BEEN PROVIDED TO GEMINI FUND SERVICES, LLC AND WILL BE RETAINED BY GEMINI FUND SERVICES, LLC. AND FURNISHED TO THE SECURITIES AND EXCHANGE COMMISSION OR ITS STAFF UPON REQUEST.