Simplify Risk Parity Treasury ETF (TYA) NPORT-P Simplify Treasury Option Income ETF (Sep 2024 report)

Simplify

Treasury

Option

Income

ETF

(formerly

Simplify

Stable

Income

ETF)

Schedule

of

Investments

September

30,

2024

(Unaudited)

1

††

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.

Principal

Value

U.S.

Treasury

Bills

–

100.0%

U.S.

Treasury

Bill,

4.94%,

10/15/2024(a)

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

$

50,000,000‌

$

49,908,358‌

U.S.

Treasury

Bill,

5.38%,

10/29/2024(a)

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

151,000,000‌

150,444,195‌

Total

U.S.

Treasury

Bills

(Cost

$200,292,148)

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

200,352,553‌

Total

Investments

–

100.0%

(Cost

$200,292,148)

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

$

200,352,553‌

Liabilities

in

Excess

of

Other

Assets

–

(0.0)%†

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

(20,159‌)

Net

Assets

–

100.0%

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

$

200,332,394‌

Number

of

Contracts

Notional

Amount

Written

Options

–

(0.3)%

Calls

–

Exchange-Traded

–

(0.1)%

U.S.

Treasury

Bond

Future,

October

Strike

Price

$134,

Expires

10/04/24

...

(750)

$

(100,500,000‌)

$

0‌

U.S.

Treasury

Bond

Future,

October

Strike

Price

$132,

Expires

10/25/24

...

(2,000)

(264,000,000‌)

(93,750‌)

U.S.

Treasury

Bond

Future,

October

Strike

Price

$134,

Expires

10/25/24

...

(2,000)

(268,000,000‌)

(62,500‌)

(156,250‌)

Puts

–

Exchange-Traded

–

(0.2)%

U.S.

Treasury

Bond

Future,

October

Strike

Price

$118,

Expires

10/25/24

....

(2,000)

$

(236,000,000‌)

$

(93,750‌)

U.S.

Treasury

Bond

Future,

October

Strike

Price

$120,

Expires

10/25/24

...

(2,000)

(240,000,000‌)

(312,500‌)

(406,250‌)

Total

Written

Options

(Premiums

Received

$890,482)

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

$

(562,500‌)

†

Less

than

0.05%

(a)

Represents

a

zero

coupon

bond.

Rate

shown

reflects

the

effective

yield.

Summary

of

Investment

Type††

Investment

Categories

%

of

Net

Assets

U.S.

Treasury

Bills

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

100.0‌%

Total

Investments

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

100.0‌%

Liabilities

in

Excess

of

Other

Assets

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

(0.0‌)%†

Net

Assets

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

100.0‌%