A method of making a molecular sieve catalyst by preparing a catalyst slurry containing molecular sieve, binder and a matrix material and directing the slurry to a forming unit. The catalyst slurry is prepared by using a microfiltration process whereby the molecular sieve is washed and concentrated from a preparation medium without having to isolate the molecular sieve in a dry or semi-dry form. The catalyst is used to make ethylene and propylene from an oxygenate.