Simplify Risk Parity Treasury ETF (TYA) NPORT-P Simplify Opportunistic Income ETF (Sep 2023 report)

Simplify

Opportunistic

Income

ETF

Schedule

of

Investments

September

30,

2023

(Unaudited)

1

Principal

Value

U.S.

Treasury

Bills

–

30.2%

U.S.

Treasury

Bill,

5.43%,

11/9/2023(a)

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

$

2,500,000‌

$

2,486,050‌

U.S.

Treasury

Bill,

5.45%,

12/21/2023(a)

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

16,500,000‌

16,305,529‌

Total

U.S.

Treasury

Bills

(Cost

$18,788,824)

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

18,791,579‌

Corporate

Bonds

–

18.6%

Communications

–

2.2%

Frontier

Communications

Holdings

LLC,

8.63%,

3/15/2031,

144A(b)

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

200,000‌

188,596‌

GoTo

Group,

Inc.,

5.50%,

9/1/2027,

144A(b)

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

500,000‌

278,644‌

GrubHub

Holdings,

Inc.,

5.50%,

7/1/2027,

144A(b)

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

700,000‌

544,792‌

Liberty

Interactive

LLC,

8.50%,

7/15/2029

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

200,000‌

60,257‌

Uber

Technologies,

Inc.,

8.00%,

11/1/2026,

144A(b)

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

300,000‌

303,829‌

1,376,118‌

Consumer,

Cyclical

–

4.0%

Fisker,

Inc.,

2.50%,

9/15/2026,

144A(b)

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

400,000‌

208,240‌

Ford

Motor

Co.,

4.35%,

12/8/2026

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

300,000‌

287,904‌

Ford

Motor

Credit

Co.

LLC,

3.38%,

11/13/2025

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

350,000‌

325,591‌

QVC,

Inc.,

4.85%,

4/1/2024

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

650,000‌

625,404‌

QVC,

Inc.,

4.38%,

9/1/2028

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

600,000‌

316,299‌

Rivian

Holdings

LLC/Rivian

LLC/Rivian

Automotive

LLC,

10.93%,

(6-Month

US

LIBOR

+

5.63%),

10/15/2026,

144A(b)(c)

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

400,000‌

403,000‌

Tenneco,

Inc.,

8.00%,

11/17/2028,

144A(b)

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

400,000‌

326,000‌

2,492,438‌

Consumer,

Non-cyclical

–

0.2%

RP

Escrow

Issuer

LLC,

5.25%,

12/15/2025,

144A(b)

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

200,000‌

146,373‌

Energy

–

4.2%

Enphase

Energy,

Inc.,

3/1/2028(a)

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

350,000‌

291,375‌

Enterprise

Products

Operating

LLC,

5.38%,

(CME

3-Month

SOFR

+

2.83%),

2/15/2078(c)

550,000‌

458,627‌

SolarEdge

Technologies,

Inc.,

9/15/2025(a)

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

1,700,000‌

1,558,050‌

Valaris

Ltd.,

8.38%,

4/30/2030,

144A(b)

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

300,000‌

301,125‌

2,609,177‌

Financial

–

5.5%

Apollo

Commercial

Real

Estate

Finance,

Inc.,

4.63%,

6/15/2029,

144A(b)

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

400,000‌

302,103‌

Blackstone

Mortgage

Trust,

Inc.,

3.75%,

1/15/2027,

144A(b)

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

250,000‌

211,087‌

Coinbase

Global,

Inc.,

3.38%,

10/1/2028,

144A(b)

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

1,300,000‌

937,907‌

Icahn

Enterprises

LP

/

Icahn

Enterprises

Finance

Corp.,

4.75%,

9/15/2024

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

200,000‌

192,807‌

LendingTree,

Inc.,

0.50%,

7/15/2025

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

750,000‌

598,125‌

Liberty

Mutual

Group,

Inc.,

4.13%,

(US

5

Year

CMT

T-Note

+

3.32%),

12/15/2051,

144A(b)

(c)

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

1,000,000‌

823,745‌

Rithm

Capital

Corp.,

6.25%,

10/15/2025,

144A(b)

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

400,000‌

379,992‌

3,445,766‌

Industrial

–

1.5%

Howmet

Aerospace,

Inc.,

6.88%,

5/1/2025

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

300,000‌

301,453‌

TransDigm,

Inc.,

6.25%,

3/15/2026,

144A(b)

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

300,000‌

295,908‌

WESCO

Distribution,

Inc.,

7.13%,

6/15/2025,

144A(b)

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

300,000‌

301,012‌

898,373‌

Technology

–

0.5%

BILL

Holdings,

Inc.,

12/1/2025(a)

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

300,000‌

303,000‌

Simplify

Opportunistic

Income

ETF

Schedule

of

Investments

(Continued)

September

30,

2023

(Unaudited)

2

Principal

Value

Corporate

Bonds

(continued)

Utilities

–

0.5%

NRG

Energy,

Inc.,

10.25%,

(US

5

Year

CMT

T-Note

+

5.92%),

9/15/2172,

144A(b)(c)

....

$

300,000‌

$

294,124‌

Total

Corporate

Bonds

(Cost

$11,710,708)

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

11,565,369‌

Shares

Exchange-Traded

Funds

–

15.4%

AGF

US

Market

Neutral

Anti-Beta

Fund

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

64,592

1,282,797‌

Simplify

Aggregate

Bond

ETF

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

141,854

3,025,746‌

Simplify

Interest

Rate

Hedge

ETF

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

14,834

1,416,795‌

Simplify

Short

Term

Treasury

Futures

Strategy

ETF

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

175,495

3,832,811‌

Total

Exchange-Traded

Funds

(Cost

$9,209,794)

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

9,558,149‌

Principal

Foreign

Bonds

–

10.2%

Basic

Materials

–

1.2%

Lithium

Americas

Corp.,

1.75%,

1/15/2027

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

$

1,000,000‌

730,000‌

Communications

–

2.2%

Altice

France

Holding

SA,

10.50%,

5/15/2027,

144A(b)

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

800,000‌

500,268‌

Shopify,

Inc.,

0.13%,

11/1/2025

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

650,000‌

582,725‌

Telecom

Italia

SpA/Milano,

5.30%,

5/30/2024,

144A(b)

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

300,000‌

295,245‌

1,378,238‌

Consumer,

Cyclical

–

1.3%

Aston

Martin

Capital

Holdings

Ltd.,

10.50%,

11/30/2025,

144A(b)

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

400,000‌

403,791‌

Mclaren

Finance

PLC,

7.50%,

8/1/2026,

144A(b)

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

450,000‌

392,645‌

796,436‌

Energy

–

1.2%

MC

Brazil

Downstream

Trading

SARL,

7.25%,

6/30/2031,

144A(b)

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

983,126‌

755,232‌

Government

–

4.3%

Angolan

Government

International

Bond,

9.13%,

11/26/2049

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

600,000‌

431,351‌

Mexican

Bonos,

8.00%,

12/7/2023,

Series

M

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

MXN

22,000,000‌

1,254,268‌

Mexican

Bonos,

5.00%,

3/6/2025,

Series

M

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

MXN

10,900,000‌

579,347‌

Ukraine

Government

International

Bond,

7.75%,

9/1/2028

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

1,500,000‌

438,040‌

2,703,006‌

Total

Foreign

Bonds

(Cost

$6,211,587)

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

6,362,912‌

Shares

Common

Stocks

–

10.1%

Financial

–

10.1%

AGNC

Investment

Corp.

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

66,000

623,040‌

Annaly

Capital

Management,

Inc.

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

32,200

605,682‌

Oaktree

Specialty

Lending

Corp.

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

187,655

3,775,619‌

Saratoga

Investment

Corp.

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

48,500

1,246,450‌

Total

Common

Stocks

(Cost

$6,275,656)

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

6,250,791‌

Preferred

Stocks

–

6.0%

Consumer,

Cyclical

–

0.7%

Qurate

Retail,

Inc.

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

13,900

398,235‌

Financial

–

5.3%

AGNC

Investment

Corp.,

(3-Month

US

LIBOR

+

5.11%),

Series

C(c)

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

23,400

600,210‌

Annaly

Capital

Management,

Inc.,

(3-Month

US

LIBOR

+

4.99%),

Series

F(c)

..........

24,500

620,585‌

Chimera

Investment

Corp.,

(3-Month

US

LIBOR

+

5.79%),

Series

B(c)

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

24,800

527,000‌

Franklin

BSP

Realty

Trust,

Inc.,

Series

E

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

11,300

223,627‌

Simplify

Opportunistic

Income

ETF

Schedule

of

Investments

(Continued)

September

30,

2023

(Unaudited)

3

Shares

Value

Preferred

Stocks

(continued)

Financial

(continued)

Rithm

Capital

Corp.,

(3-Month

US

LIBOR

+

4.97%),

Series

C(c)

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

19,996

$

394,921‌

Rithm

Capital

Corp.,

(US

5

Year

CMT

T-Note

+

6.22%),

Series

D(c)

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

45,564

932,695‌

3,299,038‌

Total

Preferred

Stocks

(Cost

$3,830,970)

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

3,697,273‌

Principal

Asset

Backed

Securities

–

4.1%

Frontier

Issuer

LLC,

Class

B,

Series

2023-1,

144A,

8.30%,

8/20/2053(b)

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

$

300,000‌

285,178‌

Frontier

Issuer

LLC,

Class

C,

Series

2023-1,

144A,

11.50%,

8/20/2053(b)

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

300,000‌

290,419‌

Octane

Receivables

Trust

2022-1,

Class

R1,

Series

2022-1A,

144A,

12/20/2029(b)

.....

12,121‌

1,999,965‌

Total

Asset

Backed

Securities

(Cost

$2,451,069)

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

2,575,562‌

Shares

Closed-End

Funds

–

2.8%

Central

and

Eastern

Europe

Fund,

Inc.

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

38,957

335,030‌

Western

Asset

Emerging

Markets

Debt

Fund,

Inc.

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

165,500

1,373,650‌

Total

Closed-End

Funds

(Cost

$1,817,037)

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

1,708,680‌

Principal

U.S.

Treasury

Inflation

Indexed

Bonds

–

2.3%

U.S.

Treasury

Inflation

Indexed

Note,

1.25%,

4/15/2028

(Cost

$1,469,714)

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

$

1,500,000‌

1,454,422‌

Number

of

Contracts

Notional

Amount

Purchased

Options

–

0.4%

Calls

–

Exchange-Traded

–

0.1%

Generac

Holdings

Inc.,

February

Strike

Price

$135,

Expires

2/16/24

.......

70

945,000‌

37,100‌

iShares

iBoxx

High

Yield

Corporate

Bond

ETF,

December

Strike

Price

$76,

Expires

12/15/23

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

150

1,140,000‌

2,475‌

U.S.

Treasury

2

Year

Note,

November

Strike

Price

$102,

Expires

11/24/23

..

125

25,531,250‌

29,297‌

68,872‌

Puts

–

Exchange-Traded

–

0.3%

American

Airlines

Group,

January

Strike

Price

$12,

Expires

1/19/24

.......

600

720,000‌

42,000‌

Caesars

Entertainment

Inc.,

January

Strike

Price

$41,

Expires

1/19/24

.....

150

615,000‌

32,625‌

Carnival

Corp.,

January

Strike

Price

$13,

Expires

1/19/24

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

325

406,250‌

28,925‌

Carvana

Co.,

January

Strike

Price

$33,

Expires

1/19/24

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

60

195,000‌

27,900‌

Delta

Air

Lines

Inc.,

January

Strike

Price

$34,

Expires

1/19/24

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

250

850,000‌

35,250‌

Western

Digital

Corp.,

January

Strike

Price

$40,

Expires

1/19/24

..........

165

660,000‌

21,862‌

188,562‌

Total

Purchased

Options

(Cost

$265,629)

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

257,434‌

Total

Investments

–

100.1%

(Cost

$62,030,988)

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

$

62,222,171‌

Liabilities

in

Excess

of

Other

Assets

–

(0.1)%

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

(45,417‌)

Net

Assets

–

100.0%

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

$

62,176,754‌

Simplify

Opportunistic

Income

ETF

Schedule

of

Investments

(Continued)

September

30,

2023

(Unaudited)

4

Number

of

Contracts

Notional

Amount

Value

Written

Options

–

(0.1)%

Puts

–

Exchange-Traded

–

(0.1)%

Generac

Holdings

Inc.,

February

Strike

Price

$90,

Expires

2/16/24

........

(65)

$

(585,000‌)

$

(31,850‌)

iShares

iBoxx

High

Yield

Corporate

Bond

ETF,

January

Strike

Price

$68,

Expires

1/19/24

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

(220)

(1,496,000‌)

(8,470‌)

U.S.

Treasury

2

Year

Note,

November

Strike

Price

$101,

Expires

11/24/23

..

(85)

(17,148,750‌)

(26,563‌)

(66,883‌)

Total

Written

Options

(Premiums

Received

$70,233)

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

$

(66,883‌)

(a)

Represents

a

zero

coupon

bond.

Rate

shown

reflects

the

effective

yield.

(b)

Security

was

purchased

(sold)

pursuant

to

Rule

144A

under

the

Securities

Act

of

1933

and

may

not

be

resold

(repurchased)

subject

to

that

rule

except

to

qualified

institutional

buyers.

Unless

otherwise

noted,

Rule

144A

securities

are

deemed

to

be

liquid.

Total

fair

value

of

Rule

144A

securities

amounts

to

$11,169,220,

which

represents

18.0%

of

net

assets

as

of

September

30,

2023.

(c)

Floating

rate

investment.

Interest

rates

reset

periodically.

Interest

rate

shown

reflects

the

rate

in

effect

at

September

30,

2023.

For

securities

based

on

a

published

reference

rate

and

spread,

the

reference

rate

and

spread

are

indicated

in

the

description

above.

Currency

Abbreviations:

MXN

:

Mexican

Pesos

At

September

30,

2023,

open

futures

contracts

were

as

follows:

Number

of

Contracts

Notional

Value

Expiration

Date

Value/

Unrealized

Appreciation

(Depreciation)

Long

position

contracts:

3

Month

SOFR

Future

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

62

$

14,655,250‌

3/19/24

$

(906‌)

3

Month

SOFR

Future

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

62

14,696,325‌

9/17/24

(14,857‌)

Total

unrealized

appreciation/(depreciation)

$

(15,763‌)

Short

position

contracts:

3

Month

SOFR

Future

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

(124)

(29,577,100‌)

3/18/25

53,212‌

Total

net

unrealized

appreciation

$

37,449‌

Simplify

Opportunistic

Income

ETF

Schedule

of

Investments

(Continued)

September

30,

2023

(Unaudited)

5

Summary

of

Investment

Type

Industry

%

of

Net

Assets

U.S.

Treasury

Bills

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

30.2‌%

Corporate

Bonds

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

18.6‌%

Exchange-Traded

Funds

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

15.4‌%

Foreign

Bonds

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

10.2‌%

Common

Stocks

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

10.1‌%

Preferred

Stocks

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

6.0‌%

Asset

Backed

Securities

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

4.1‌%

Closed-End

Funds

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

2.8‌%

U.S.

Treasury

Inflation

Indexed

Bonds

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

2.3‌%

Purchased

Options

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

0.4‌%

Total

Investments

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

100.1‌%

Liabilities

in

Excess

of

Other

Assets

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

(0.1‌)%

Net

Assets

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

100.0‌%