Simplify Risk Parity Treasury ETF (TYA) NPORT-P Simplify Macro Strategy ETF (Mar 2024 report)

Simplify

Macro

Strategy

ETF

Consolidated

Schedule

of

Investments

March

31,

2024

(Unaudited)

1

Shares

Value

Exchange-Traded

Funds

–

82.9%

Alternative

Funds

–

36.9%

Simplify

Managed

Futures

Strategy

ETF(a)(b)

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

129,042

$

3,219,598‌

Simplify

Market

Neutral

Equity

Long/Short

ETF(a)

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

287,000

6,701,450‌

9,921,048‌

Commodity

Funds

–

6.8%

iShares

Gold

Trust*

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

43,200

1,814,832‌

Equity

Funds

–

9.4%

Simplify

US

Equity

Plus

Qis

ETF(a)

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

86,947

2,537,783‌

Fixed

Income

Funds

–

29.8%

Simplify

High

Yield

PLUS

Credit

Hedge

ETF(a)(b)

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

149,854

3,435,253‌

Simplify

Intermediate

Term

Treasury

Futures

Strategy

ETF(a)(b)

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

37,248

497,261‌

Simplify

Short

Term

Treasury

Futures

Strategy

ETF(a)(b)

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

186,315

4,074,709‌

8,007,223‌

Total

Exchange-Traded

Funds

(Cost

$22,219,546)

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

22,280,886‌

Principal

U.S.

Treasury

Inflation

Indexed

Bonds

–

12.5%

U.S.

Treasury

Inflation

Indexed

Bond,

0.13%,

2/15/2052(b)

(Cost

$3,368,256)

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

$

5,100,000‌

3,341,714‌

Number

of

Contracts

Notional

Amount

Purchased

Options

–

0.2%

Calls

–

Exchange-Traded

–

0.2%

S&P

500

Index,

April

Strike

Price

$5,175,

Expires

4/12/24

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

3

$

1,552,500‌

30,600‌

S&P

500

Index,

April

Strike

Price

$5,295,

Expires

4/19/24

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

3

1,588,500‌

11,370‌

S&P

500

Index,

April

Strike

Price

$5,310,

Expires

4/26/24

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

3

1,593,000‌

13,920‌

55,890‌

Puts

–

Exchange-Traded

–

0.0%†

S&P

500

Index,

April

Strike

Price

$4,720,

Expires

4/05/24

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

20

9,440,000‌

750‌

S&P

500

Index,

April

Strike

Price

$4,730,

Expires

4/12/24

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

20

9,460,000‌

2,850‌

3,600‌

Total

Purchased

Options

(Cost

$46,980)

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

59,490‌

Shares

Money

Market

Funds

–

0.9%

Fidelity

Investments

Money

Market

Treasury

Only

Portfolio

-

Class

I,

5.20%(c)

(Cost

$241,467)

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

241,467

241,467‌

Total

Investments

–

96.5%

(Cost

$25,876,249)

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

$

25,923,557‌

Other

Assets

in

Excess

of

Liabilities

–

3.5%

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

949,023‌

Net

Assets

–

100.0%

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

$

26,872,580‌

Simplify

Macro

Strategy

ETF

Consolidated

Schedule

of

Investments

(Continued)

March

31,

2024

(Unaudited)

2

Number

of

Contracts

Notional

Amount

Value

Written

Options

–

(0.0)%†

Puts

–

Exchange-Traded

–

(0.0)%†

S&P

500

Index,

April

Strike

Price

$5,035,

Expires

4/05/24

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

(20)

$

(10,070,000‌)

$

(2,000‌)

S&P

500

Index,

April

Strike

Price

$5,045,

Expires

4/12/24

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

(20)

(10,090,000‌)

(9,800‌)

(11,800‌)

Total

Written

Options

(Premiums

Received

$17,008)

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

$

(11,800‌)

†

Less

than

0.05%

*

Non

Income

Producing

(a)

Affiliated

fund

managed

by

Simplify

Asset

Management

Inc.

(b)

Securities

with

an

aggregate

market

value

of

$9,148,781

have

been

pledged

as

collateral

for

options

as

of

March

31,

2024.

(c)

Rate

shown

reflects

the

7-day

yield

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)

Long

position

contracts:

KC

HRW

Wheat

Future

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

100

$

2,898,750

7/12/24

$

65,175

Simplify

Macro

Strategy

ETF

Consolidated

Schedule

of

Investments

(Continued)

March

31,

2024

(Unaudited)

3

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

$

2,397,076‌

$

1,006,275‌

$

(3,252,085‌)

$

(217,443‌)

$

66,177‌

$

—‌

—‌

$

172,789‌

$

—‌

Simplify

Commodities

Strategy

No

K-1

ETF

3,245,076‌

27,079‌

(3,214,716‌)

(107,931‌)

50,492‌

—‌

—‌

25,798‌

—‌

Simplify

High

Yield

PLUS

Credit

Hedge

ETF

8,900,355‌

—‌

(5,766,572‌)

114,745‌

186,725‌

3,435,253‌

149,854‌

254,969‌

—‌

Simplify

Interest

Rate

Hedge

ETF

—‌

185,570‌

(179,349‌)

(6,221‌)

—‌

—‌

—‌

—‌

—‌

Simplify

Intermediate

Term

Treasury

Futures

Strategy

ETF

3,006,326‌

—‌

(2,301,927‌)

(398,961‌)

191,823‌

497,261‌

37,248‌

46,732‌

—‌

Simplify

Managed

Futures

Strategy

ETF

7,095,936‌

—‌

(3,905,239‌)

156,299‌

(127,398‌)

3,219,598‌

129,042‌

164,784‌

125,988‌

Simplify

Market

Neutral

Equity

Long/

Short

ETF

2,461,750‌

6,860,104‌

(2,469,995‌)

(31,994‌)

(118,415‌)

6,701,450‌

287,000‌

—‌

—‌

Simplify

Short

Term

Treasury

Futures

Strategy

ETF

7,990,232‌

2,550,022‌

(6,312,655‌)

(548,362‌)

395,472‌

4,074,709‌

186,315‌

192,705‌

—‌

Simplify

US

Equity

Plus

Qis

ETF

—‌

2,674,746‌

(474,903‌)

17,306‌

320,634‌

2,537,783‌

86,947‌

51,303‌

—‌

Simplify

Volatility

Premium

ETF

2,740,253‌

—‌

(2,758,056‌)

135,519‌

(117,716‌)

—‌

—‌

—‌

—‌

$

37,837,004‌

$

13,303,796‌

$

(30,635,497‌)

$

(887,043‌)

$

847,794‌

$

20,466,054‌

876,406‌

$

909,080‌

$

125,988‌

Simplify

Macro

Strategy

ETF

Consolidated

Schedule

of

Investments

(Continued)

March

31,

2024

(Unaudited)

4

††

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.

Summary

of

Investment

Type††

Industry

%

of

Net

Assets

Exchange-Traded

Funds

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

82.9‌%

U.S.

Treasury

Inflation

Indexed

Bonds

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

12.5‌%

Purchased

Options

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

0.2‌%

Money

Market

Funds

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

0.9‌%

Total

Investments

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

96.5‌%

Other

Assets

in

Excess

of

Liabilities

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

3.5‌%

Net

Assets

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

100.0‌%