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