Simplify Risk Parity Treasury ETF (TYA) NPORT-P Simplify Volatility Premium ETF (Mar 2024 report)

Simplify

Volatility

Premium

ETF

Consolidated

Schedule

of

Investments

March

31,

2024

(Unaudited)

1

Principal

Value

U.S.

Treasury

Bills

–

99.5%

U.S.

Treasury

Bill,

5.36%,

4/11/2024(a)

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

$

243,500,000‌

$

243,145,978‌

U.S.

Treasury

Bill,

5.36%,

4/16/2024(a)

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

38,000,000‌

37,916,645‌

U.S.

Treasury

Bill,

5.40%,

4/30/2024(a)

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

7,500,000‌

7,468,263‌

U.S.

Treasury

Bill,

5.39%,

5/21/2024(a)(b)

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

485,000,000‌

481,456,803‌

U.S.

Treasury

Bill,

5.39%,

6/18/2024(a)

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

49,000,000‌

48,449,951‌

Total

U.S.

Treasury

Bills

(Cost

$818,430,892)

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

818,437,640‌

Shares

Exchange-Traded

Funds

–

22.4%

Fixed

Income

Funds

–

22.4%

Simplify

Aggregate

Bond

ETF(c)

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

4,896,741

104,937,160‌

Simplify

Stable

Income

ETF(c)

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

3,179,679

79,714,552‌

Total

Exchange-Traded

Funds

(Cost

$185,512,016)

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

184,651,712‌

Principal

U.S.

Government

Obligations

–

4.3%

U.S.

Treasury

Inflation

Indexed

Note,

0.50%,

4/15/2024(d)

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

$

28,600,000‌

34,987,903‌

U.S.

Treasury

Note,

2.88%,

6/15/2025(d)

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

100,000‌

97,603‌

Total

U.S.

Government

Obligations

(Cost

$35,025,314)

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

35,085,506‌

Number

of

Contracts

Notional

Amount

Purchased

Options

–

0.2%

Calls

–

Exchange-Traded

–

0.2%

Chicago

Board

Option,

April

Strike

Price

$50,

Expires

4/17/24

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

20,000

100,000,000‌

120,000‌

Chicago

Board

Option,

May

Strike

Price

$50,

Expires

5/22/24

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

30,000

150,000,000‌

390,000‌

Chicago

Board

Option,

June

Strike

Price

$50,

Expires

6/18/24

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

30,000

150,000,000‌

645,000‌

U.S.

2

Year

Treasury

Note

Future,

April

Strike

Price

$105.75,

Expires

4/26/24

3,603

762,034,500‌

0‌

U.S.

2

Year

Treasury

Note

Future,

May

Strike

Price

$106,

Expires

5/24/24

..

13,386

2,837,832,000‌

209,170‌

1,364,170‌

Total

Purchased

Options

(Cost

$2,518,233)

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

1,364,170‌

Total

Investments

–

126.4%

(Cost

$1,041,486,455)

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

$

1,039,539,028‌

Liabilities

in

Excess

of

Other

Assets

–

(26.4)%

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

(217,196,543‌)

Net

Assets

–

100.0%

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

$

822,342,485‌

Number

of

Contracts

Notional

Amount

Written

Options

–

(0.2)%

Calls

–

Exchange-Traded

–

(0.0)%†

U.S.

Treasury

Bond

Future,

April

Strike

Price

$125,

Expires

4/26/24

.......

(500)

$

(62,500,000‌)

$

(85,938‌)

U.S.

Treasury

Bond

Future,

May

Strike

Price

$127,

Expires

5/24/24

.......

(500)

(63,500,000‌)

(132,812‌)

(218,750‌)

Puts

–

Exchange-Traded

–

(0.2)%

U.S.

Treasury

Bond

Future,

April

Strike

Price

$117,

Expires

4/26/24

.......

(500)

$

(58,500,000‌)

$

(140,625‌)

U.S.

Treasury

Bond

Future,

April

Strike

Price

$118,

Expires

4/26/24

.......

(500)

(59,000,000‌)

(242,188‌)

U.S.

Treasury

Bond

Future,

April

Strike

Price

$119,

Expires

4/26/24

.......

(500)

(59,500,000‌)

(375,000‌)

Simplify

Volatility

Premium

ETF

Consolidated

Schedule

of

Investments

(Continued)

March

31,

2024

(Unaudited)

2

Number

of

Contracts

Notional

Amount

Value

U.S.

Treasury

Bond

Future,

May

Strike

Price

$112,

Expires

5/24/24

........

(500)

$

(56,000,000‌)

$

(62,500‌)

U.S.

Treasury

Bond

Future,

May

Strike

Price

$113,

Expires

5/24/24

........

(500)

(56,500,000‌)

(85,937‌)

U.S.

Treasury

Bond

Future,

May

Strike

Price

$114,

Expires

5/24/24

........

(500)

(57,000,000‌)

(125,000‌)

U.S.

Treasury

Bond

Future,

May

Strike

Price

$115,

Expires

5/24/24

........

(500)

(57,500,000‌)

(179,687‌)

U.S.

Treasury

Bond

Future,

May

Strike

Price

$116,

Expires

5/24/24

........

(500)

(58,000,000‌)

(257,813‌)

(1,468,750‌)

Total

Written

Options

(Premiums

Received

$3,280,475)

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

$

(1,687,500‌)

†

Less

than

0.05%

(a)

Represents

a

zero

coupon

bond.

Rate

shown

reflects

the

effective

yield.

(b)

Security,

or

a

portion

thereof,

in

the

amount

of

$282,917,915

has

been

pledged

as

collateral

for

reverse

repurchase

agreements

as

of

March

31,

2024.

(c)

Affiliated

fund

managed

by

Simplify

Asset

Management

Inc.

(d)

Securities

with

an

aggregate

market

value

of

$12,326,270

have

been

pledged

as

collateral

for

options

as

of

March

31,

2024.

At

March

31,

2024,

open

futures

contracts

were

as

follows:

Number

of

Contracts

Notional

Value

Expiration

Date

Value/

Unrealized

Appreciation

(Depreciation)

Short

position

contracts:

CBOE

VIX

Future

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

(4,610)

$

(71,079,285‌)

5/22/24

$

3,663,267‌

CBOE

VIX

Future

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

(2,375)

(38,352,688‌)

6/18/24

115,959‌

Total

net

unrealized

appreciation

$

3,779,226‌

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

ETF

$

—‌

$

109,606,744‌

$

(3,376,634‌)

$

(133,833‌)

$

(1,159,117‌)

$

104,937,160‌

4,896,741‌

$

6,746,869‌

$

—‌

Simplify

MBS

ETF

—‌

5,001,480‌

(5,013,910‌)

12,430‌

—‌

—‌

—‌

—‌

—‌

Simplify

Stable

Income

ETF

—‌

86,539,434‌

(7,079,667‌)

(44,029‌)

298,814‌

79,714,552‌

3,179,679‌

2,186,620‌

—‌

Simplify

Tail

Risk

Strategy

ETF

—‌

5,268,970‌

(974,223‌)

(4,294,747‌)

—‌

—‌

—‌

40,075‌

—‌

$

—‌

$

206,416,628‌

$

(16,444,434‌)

$

(4,460,179‌)

$

(860,303‌)

$

184,651,712‌

8,076,420‌

$

8,973,564‌

$

—‌

Simplify

Volatility

Premium

ETF

Consolidated

Schedule

of

Investments

(Continued)

March

31,

2024

(Unaudited)

3

††

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

Liabilities

in

Excess

of

Other

Assets.

Summary

of

Investment

Type††

Industry

%

of

Net

Assets

U.S.

Treasury

Bills

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

99.5‌%

Exchange-Traded

Funds

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

22.4‌%

U.S.

Government

Obligations

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

4.3‌%

Purchased

Options

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

0.2‌%

Total

Investments

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

126.4‌%

Liabilities

in

Excess

of

Other

Assets

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

(26.4‌)%

Net

Assets

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

100.0‌%

At

March

31,

2024,

open

reverse

repurchase

agreements

were

as

follows:

Counterparty

Interest

Rate

Trade

Date

Maturity

Date

Face

Amount

Payable

for

Reverse

Repurchase

Agreements

Morgan

Stanley

Capital

Services

LLC

5.50%

3/28/2024

4/2/2024

$

277,259,558‌

$

277,259,558‌

$

277,259,558‌

$

277,259,558‌