Principal
Value
U.S.
Government
Obligations
–
54.9%
U.S.
Treasury
Inflation
Indexed
Note,
0.63%,
1/15/2024
...........................
$
158,990,000
$
206,312,025
U.S.
Treasury
Inflation
Indexed
Note,
0.50%,
4/15/2024
...........................
34,600,000
41,198,451
U.S.
Treasury
Note,
2.88%,
6/15/2025(a)
.......................................
100,000
96,289
Total
U.S.
Government
Obligations
(Cost
$247,706,715)
...............................
247,606,765
U.S.
Treasury
Bills
–
24.3%
U.S.
Treasury
Bill,
5.40%,
10/3/2023(b)
........................................
$
59,600,000
59,591,320
U.S.
Treasury
Bill,
5.41%,
12/19/2023(b)
.......................................
50,530,000
49,950,021
Total
U.S.
Treasury
Bills
(Cost
$109,523,016)
.......................................
109,541,341
Shares
Exchange-Traded
Funds
–
19.0%
iShares
iBoxx
$
Investment
Grade
Corporate
Bond
ETF
...........................
359,120
36,637,422
Simplify
Aggregate
Bond
ETF(c)
..............................................
2,313,851
49,354,442
Total
Exchange-Traded
Funds
(Cost
$89,879,667)
...................................
85,991,864
Number
of
Contracts
Notional
Amount
Purchased
Options
–
0.2%
Calls
–
Exchange-Traded
–
0.2%
CBOE
Volatility
Index,
December
Strike
Price
$50,
Expires
12/20/23
.......
34,565
172,825,000
1,140,645
Total
Purchased
Options
(Cost
$1,862,650)
...........................................
1,140,645
Shares
Repurchase
Agreements
–
2.5%
Morgan
Stanley,
5.33%,
dated
09/29/2023,
due
10/03/2023,
proceeds
$11,193,281,
collateralized
by
U.S.
Treasury
Bill,
5.327%
due
10/17/2023
valued
at
$11,194,938
including
accrued
interest
(Cost
$11,193,281)
......................................................
11,193,281
11,193,281
Total
Investments
–
100.9%
(Cost
$460,165,329)
...........................................................
$
455,473,896
Liabilities
in
Excess
of
Other
Assets
–
(0.9)%
.........................................
(4,100,243)
Net
Assets
–
100.0%
............................................................
$
451,373,653
(a)
Securities
with
an
aggregate
market
value
of
$96,277
have
been
pledged
as
collateral
for
options
as
of
September
30,
2023.
(b)
Represents
a
zero
coupon
bond.
Rate
shown
reflects
the
effective
yield.
(c)
Affiliated
fund
managed
by
Simplify
Asset
Management
Inc.
