Simplify
Aggregate
Bond
ETF
Schedule
of
Investments
March
31,
2024
(Unaudited)
1
Shares
Value
Exchange-Traded
Funds
–
33.1%
Fixed
Income
Funds
–
33.1%
iShares
Core
U.S.
Aggregate
Bond
ETF(a)(b)
...................................
591,018
$
57,884,303
PIMCO
15+
Year
U.S.
Tips
Index
Exchange-Traded
Fund(c)
.......................
72,141
4,008,154
Total
Exchange-Traded
Funds
(Cost
$61,703,226)
...................................
61,892,457
Principal
U.S.
Treasury
Bills
–
22.1%
U.S.
Treasury
Bill,
5.35%,
4/11/2024(b)(d)
......................................
$
22,100,000
22,067,869
U.S.
Treasury
Bill,
5.36%,
4/16/2024(b)(d)
......................................
4,000,000
3,991,226
U.S.
Treasury
Bill,
5.40%,
6/6/2024(d)
.........................................
1,000,000
990,444
U.S.
Treasury
Bill,
5.39%,
6/18/2024(d)
........................................
14,500,000
14,337,230
Total
U.S.
Treasury
Bills
(Cost
$41,384,607)
........................................
41,386,769
U.S.
Government
Obligations
–
2.8%
U.S.
Treasury
Inflation
Indexed
Note,
4/15/2024
(Cost
$5,129,997)
.......................................................
$
4,200,000
5,138,083
Number
of
Contracts
Notional
Amount
Purchased
Options
–
0.1%
Calls
–
Exchange-Traded
–
0.1%
U.S.
2
Year
Treasury
Note
Future,
April
Strike
Price
$106,
Expires
4/26/24
..
212
44,944,000
0
U.S.
2
Year
Treasury
Note
Future,
May
Strike
Price
$106,
Expires
5/24/24
..
8,825
1,870,900,000
137,900
137,900
Total
Purchased
Options
(Cost
$234,892)
............................................
137,900
Shares
Repurchase
Agreements
–
41.7%
Morgan
Stanley,
5.41%,
dated
03/28/2024,
due
04/02/2024,
proceeds
$78,000,000,
collateralized
by
U.S.
Treasury
Bill,
4.81%
due
03/20/2025 valued
at
$78,046,887
including
accrued
interest
(Cost
$78,000,000)
......................................................
78,000,000
78,000,000
Total
Investments
–
99.8%
(Cost
$186,452,722)
...........................................................
$
186,555,209
Other
Assets
in
Excess
of
Liabilities
–
0.2%
...........................................
343,242
Net
Assets
–
100.0%
............................................................
$
186,898,451
Number
of
Contracts
Notional
Amount
Written
Options
–
(0.7)%
Calls
–
Exchange-Traded
–
(0.4)%
iShares
iBoxx
$
Investment
Grade
Corporate
Bond
ETF,
September
Strike
Price
$116,
Expires
9/20/24
.....................................
(5,664)
$
(65,702,400)
$
(260,544)
U.S.
Treasury
Bond
Future,
May
Strike
Price
$127,
Expires
5/24/24
.......
(1,500)
(190,500,000)
(398,438)
(658,982)
Puts
–
Exchange-Traded
–
(0.3)%
PIMCO
15+
Year
U.S.
Tips
Index
Exchange-Traded
Fund,
June
Strike
Price
$50,
Expires
6/21/24
...........................................
(1,500)
$
(7,500,000)
$
(15,000)
Simplify
Aggregate
Bond
ETF
Schedule
of
Investments
(Continued)
March
31,
2024
(Unaudited)
2
††
The
percentage
shown
for
each
investment
category
is
the
total
value
of
investments
in
that
category
as
a
percentage
of
the
net
assets
of
the
Fund.
The
table
depicts
the
Fund's
investments
but
may
not
represent
the
Fund's
market
exposure
to
certain
derivatives,
if
any,
which
are
included
in
Other
Assets
in
Excess
of
Liabilities.
Number
of
Contracts
Notional
Amount
Value
U.S.
Treasury
Bond
Future,
May
Strike
Price
$114,
Expires
5/24/24
........
(2,500)
$
(285,000,000)
$
(625,000)
U.S.
Treasury
Bond
Futures
Friday
Week
5,
April
Strike
Price
$116,
Expires
4/01/24
......................................................
(500)
(58,000,000)
0
(640,000)
Total
Written
Options
(Premiums
Received
$2,023,120)
.................................
$
(1,298,982)
(a)
A
copy
of
the
security's
annual
report
to
shareholders
may
be
obtained
without
charge
at
www.ishares.com.
(b)
Securities
with
an
aggregate
market
value
of
$29,636,359
have
been
pledged
as
collateral
for
options
as
of
March
31,
2024.
(c)
Subject
to
written
put
or
call
options.
(d)
Represents
a
zero
coupon
bond.
Rate
shown
reflects
the
effective
yield.
At
March
31,
2024,
open
futures
contracts
were
as
follows:
Number
of
Contracts
Notional
Value
Expiration
Date
Value/
Unrealized
Appreciation
(Depreciation)
Long
position
contracts:
U.S.
Treasury
10
Year
Note
........................
1,081
$
119,771,422
6/18/24
$
(89,662)
Short
position
contracts:
S&P
500
E-Mini
Future
............................
(24)
(6,370,200)
6/21/24
(99,480)
Total
net
unrealized
depreciation
$
(189,142)
Summary
of
Investment
Type††
Industry
%
of
Net
Assets
Repurchase
Agreements
...........................................................................
41.7%
Exchange-Traded
Funds
...........................................................................
33.1%
U.S.
Treasury
Bills
................................................................................
22.1%
U.S.
Government
Obligations
.......................................................................
2.8%
Purchased
Options
...............................................................................
0.1%
Total
Investments
................................................................................
99.8%
Other
Assets
in
Excess
of
Liabilities
..................................................................
0.2%
Net
Assets
.....................................................................................
100.0%