Simplify
Interest
Rate
Hedge
ETF
Schedule
of
Investments
March
31,
2024
(Unaudited)
1
Principal
Value
U.S.
Treasury
Bills
–
56.1%
U.S.
Treasury
Bill,
5.38%,
4/2/2024(a)
.........................................
$
2,700,000
$
2,699,609
U.S.
Treasury
Bill,
5.37%,
4/11/2024(a)
........................................
4,800,000
4,793,021
U.S.
Treasury
Bill,
5.37%,
4/16/2024(a)
........................................
38,000,000
37,916,646
U.S.
Treasury
Bill,
5.34%,
6/25/2024(a)
........................................
28,300,000
27,954,766
Total
U.S.
Treasury
Bills
(Cost
$73,361,691)
........................................
73,364,042
U.S.
Government
Obligations
–
35.3%
U.S.
Treasury
Note,
0.25%,
9/30/2025(b)
(Cost
$46,085,153)
......................................................
$
49,375,000
46,155,017
Notional
Amount
Purchased
Swaptions
–
7.8%
Puts
–
Over
the
Counter
–
7.8%
Interest
Rate
Swaption,
pay
semi
annually
a
fixed
rate
of
4.25%
and
received
quarterly
a
floating
rate
of
SOFR,
Expires
5/10/30
(counterparty:
Bank
of
America
NA)
...................................................
180,000,000
2,522,013
Interest
Rate
Swaption,
pay
semi
annually
a
fixed
rate
of
4.50%
and
received
quarterly
a
floating
rate
of
SOFR,
Expires
5/10/30
(counterparty:
Barclays
Bank
PLC)(c)
...................................................
230,000,000
1,611,770
Interest
Rate
Swaption,
pay
semi
annually
a
fixed
rate
of
4.25%
and
received
quarterly
a
floating
rate
of
SOFR,
Expires
5/10/30
(counterparty:
Goldman
Sachs
International)
.............................................
150,000,000
2,053,464
Interest
Rate
Swaption,
pay
semi
annually
a
fixed
rate
of
4.50%
and
received
quarterly
a
floating
rate
of
SOFR,
Expires
5/10/30
(counterparty:
Goldman
Sachs
International)
.............................................
360,000,000
524,846
Interest
Rate
Swaption,
pay
semi
annually
a
fixed
rate
of
4.50%
and
received
quarterly
a
floating
rate
of
SOFR,
Expires
5/10/30
(counterparty:
J&P
Morgan
Chase
&
Co.)
...................................................
120,000,000
(986,534)
Interest
Rate
Swaption,
pay
semi
annually
a
fixed
rate
of
4.50%
and
received
quarterly
a
floating
rate
of
SOFR,
Expires
5/10/30
(counterparty:
Morgan
Stanley
Capital
Services
LLC)(c)
...................................
730,000,000
4,449,161
10,174,720
Total
Purchased
Swaptions
(Cost
$0)
................................................
10,174,720
Total
Investments
–
99.2%
(Cost
$119,446,844)
...........................................................
$
129,693,779
Other
Assets
in
Excess
of
Liabilities
–
0.8%
...........................................
1,000,579
Net
Assets
–
100.0%
............................................................
$
130,694,358
(a)
Represents
a
zero
coupon
bond.
Rate
shown
reflects
the
effective
yield.
(b)
Securities
with
an
aggregate
market
value
of
$5,139,277
have
been
pledged
as
collateral
for
purchased
swaptions
as
of
March
31,
2024.
(c)
U.S.
Treasury
Note
with
a
market
value
of
$6,632,117
has
been
pledged
as
collateral
by
the
broker
for
purchased
swaptions
as
of
March
31,
2024.
Simplify
Interest
Rate
Hedge
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.
At
March
31,
2024,
interest
rate
swap
contracts
outstanding
were
as
follows:
Rate
Paid
by
Fund
Rate
Received
by
the
Fund(1)
Payment
Frequency
Paid/
received
Counterparty
Maturity
Date
Notional
Amount
Fair
Value
Upfront
Premium
Paid/
(Received)
Unrealized
Appreciation/
(depreciation)
2.11%
1
Day
SOFR/5.09%
Annual/Annual
Morgan
Stanley
Capital
Services
LLC
May
15,
2048
10,000
$1,805
$0
$1,805
(1)
The
Fund
pays
the
fixed
rate
and
receives
the
floating
rate.
Summary
of
Investment
Type††
Industry
%
of
Net
Assets
U.S.
Treasury
Bills
................................................................................
56.1%
U.S.
Government
Obligations
.......................................................................
35.3%
Purchased
Swaptions
.............................................................................
7.8%
Total
Investments
................................................................................
99.2%
Other
Assets
in
Excess
of
Liabilities
..................................................................
0.8%
Net
Assets
.....................................................................................
100.0%
Abbreviations:
SOFR
:
Secured
Overnight
Financing
Rate