Simplify Risk Parity Treasury ETF (TYA) NPORT-P/A Simplify Macro Strategy ETF (Sep 2022 report)

Simplify

Macro

Strategy

ETF

Consolidated

Schedule

of

Investments

September

30,

2022

(Unaudited)

1

.

Shares

Value

Exchange-Traded

Funds

–

88.7%

iShares

Gold

Trust*

............................................................

31,324

$

987,646‌

Simplify

Aggregate

Bond

PLUS

Credit

Hedge

ETF(a)

.................................

48,125

1,099,646‌

Simplify

High

Yield

PLUS

Credit

Hedge

ETF(a)(b)

....................................

222,605

4,871,510‌

Simplify

Managed

Futures

Strategy

ETF(a)(b)

.......................................

179,940

5,277,640‌

Simplify

Risk

Parity

Treasury

ETF(a)

..............................................

138,040

2,107,070‌

Simplify

Volatility

Premium

ETF(a)(b)

..............................................

190,300

3,977,270‌

Total

Exchange-Traded

Funds

(Cost

$19,039,090)

.................................................

18,320,782‌

Number

of

Contracts

Notional

Amount

Purchased

Options

–

16.4%

Calls

–

Exchange-Traded

–

6.8%

CBOE

Volatility

Index,

October

Strike

Price

$30,

Expires

10/19/22

.........

300

$

900,000‌

112,500‌

CBOE

Volatility

Index,

October

Strike

Price

$40,

Expires

10/19/22

.........

1,500

6,000,000‌

225,000‌

SPDR

S&P

500,

December

Strike

Price

$320,

Expires

12/16/22

..........

154

4,928,000‌

722,645‌

SPDR

S&P

500,

December

Strike

Price

$320,

Expires

12/15/23

..........

50

1,600,000‌

352,300‌

1,412,445‌

Puts

–

Exchange-Traded

–

9.6%

SPDR

S&P

500,

October

Strike

Price

$330,

Expires

10/21/22

............

1,500

49,500,000‌

334,500‌

SPDR

S&P

500,

December

Strike

Price

$350,

Expires

12/16/22

..........

21

735,000‌

29,369‌

VanEck

Vectors

Semiconductor

ETF,

October

Strike

Price

$200,

Expires

10/21/22

.....................................................

965

19,300,000‌

1,616,375‌

1,980,244‌

Total

Purchased

Options

(Cost

$2,709,636)

.........................................................

3,392,689‌

Shares

Money

Market

Funds

–

2.1%

Fidelity

Investments

Money

Market

Treasury

Only

Portfolio

-

Class

I,

2.48%(c)

(Cost

$426,759)

.............................................................

426,759

426,759‌

Total

Investments

–

107.2%

(Cost

$22,175,485)

..........................................................................

$

22,140,230‌

Liabilities

in

Excess

of

Other

Assets

–

(7.2)%

.......................................................

(1,484,472‌)

Net

Assets

–

100.0%

..........................................................................

$

20,655,758‌

Number

of

Contracts

Notional

Amount

Written

Options

–

(7.6)%

Puts

–

Exchange-Traded

–

(7.6)%

SPDR

S&P

500,

October

Strike

Price

$310,

Expires

10/21/22

............

(1,500)

$

(46,500,000‌)

$

(132,750‌)

VanEck

Vectors

Semiconductor

ETF,

October

Strike

Price

$190,

Expires

10/21/22

.....................................................

(1,448)

(27,512,000‌)

(1,440,760‌)

(1,573,510‌)

Total

Written

Options

(Premiums

Received

$594,061)

.................................................

$

(1,573,510‌)

Simplify

Macro

Strategy

ETF

Consolidated

Schedule

of

Investments

(Continued)

September

30,

2022

(Unaudited)

2

.

*

Non

Income

Producing

(a)

Affiliated

fund

managed

by

Simplify

Asset

Management

Inc.

(b)

Securities

with

an

aggregate

market

value

of

$6,646,760

have

been

pledged

as

collateral

for

options

as

of

September

30,

2022.

(c)

Rate

shown

reflects

the

7-day

yield

as

of

September

30,

2022.

Affiliates

Fiscal

period

to

date

transactions

with

companies

which

are

or

were

affiliates

are

as

follows:

Affiliate

Value

at

beginning

of

the

period

Purchases

Cost

Sales

Proceeds

Net

Realized

Gain/(Loss)

Net

Change

in

Unrealized

Value

at

the

end

of

the

period

Number

of

Shares

at

the

end

of

the

period

Dividend

Income

Capital

Gain

Distributions

Simplify

Aggregate

Bond

PLUS

Credit

Hedge

ETF

$

—‌

$

1,188,711‌

$

(63,168‌)

$

194‌

$

(26,091‌)

$

1,099,646‌

48,125‌

$

2,406‌

$

—‌

Simplify

High

Yield

PLUS

Credit

Hedge

ETF

1,634,446‌

3,831,617‌

(436,455‌)

(10,695‌)

(147,403‌)

4,871,510‌

222,605‌

41,391‌

—‌

Simplify

Managed

Futures

Strategy

ETF

1,678,230‌

4,081,538‌

(658,619‌)

37,471‌

139,020‌

5,277,640‌

179,940‌

44,085‌

—‌

Simplify

Risk

Parity

Treasury

ETF

424,657‌

2,098,982‌

(113,178‌)

3,350‌

(306,741‌)

2,107,070‌

138,040‌

8,999‌

—‌

Simplify

Volatility

Premium

ETF

1,348,049‌

3,190,722‌

(256,982‌)

(12,140‌)

(292,379‌)

3,977,270‌

190,300‌

120,414‌

—‌

$

5,085,382‌

$

14,391,570‌

$

(1,528,402‌)

$

18,180‌

$

(633,594‌)

$

17,333,136‌

779,010‌

$

217,295‌

$

—‌

Summary

of

Investment

Type

Industry

%

of

Net

Assets

Exchange-Traded

Funds

...........................................................................

88.7‌%

Purchased

Options

...............................................................................

16.4‌%

Money

Market

Funds

.............................................................................

2.1‌%

Total

Investments

................................................................................

107.2‌%

Liabilities

in

Excess

of

Other

Assets

..................................................................

(7.2‌)%

Net

Assets

.....................................................................................

100.0‌%