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

Simplify

Opportunistic

Income

ETF

Schedule

of

Investments

September

30,

2024

(Unaudited)

1

.

Principal

Value

Corporate

Bonds

–

31.0%

Basic

Materials

–

0.7%

Domtar

Corp.,

6.75%,

10/1/2028,

144A(a)

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

$

600,000‌

$

549,275‌

Communications

–

3.6%

Frontier

Communications

Holdings

LLC,

8.63%,

3/15/2031,

144A(a)

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

200,000‌

215,789‌

GoTo

Group,

Inc.,

5.50%,

5/1/2028,

144A(a)

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

223,300‌

68,683‌

GrubHub

Holdings,

Inc.,

5.50%,

7/1/2027,

144A(a)

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

700,000‌

650,107‌

Lumen

Technologies,

Inc.,

7.60%,

9/15/2039,

Series

P

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

2,175,000‌

1,492,375‌

Urban

One,

Inc.,

7.38%,

2/1/2028,

144A(a)

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

350,000‌

253,115‌

2,680,069‌

Consumer,

Cyclical

–

7.3%

Carvana

Co.,

5.63%,

10/1/2025,

144A(a)

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

1,500,000‌

1,478,858‌

Hawaiian

Brand

Intellectual

Property

Ltd.

/

HawaiianMiles

Loyalty

Ltd.,

11.00%,

4/15/2029,

144A(a)

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

1,500,000‌

1,510,620‌

Kohl's

Corp.,

6.88%,

12/15/2037

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

500,000‌

400,645‌

Macy's

Retail

Holdings

LLC,

6.38%,

3/15/2037

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

750,000‌

668,641‌

QVC,

Inc.,

6.88%,

4/15/2029,

144A(a)

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

600,000‌

499,317‌

Tenneco,

Inc.,

8.00%,

11/17/2028,

144A(a)

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

1,000,000‌

929,347‌

5,487,428‌

Energy

–

2.4%

Enterprise

Products

Operating

LLC,

5.38%,

(CME

3-Month

SOFR

+

2.83%),

2/15/2078(b)

550,000‌

526,757‌

Sabine

Pass

Liquefaction

LLC,

5.63%,

3/1/2025

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

488,000‌

488,197‌

Valaris

Ltd.,

8.38%,

4/30/2030,

144A(a)

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

750,000‌

773,342‌

1,788,296‌

Financial

–

15.8%

Apollo

Commercial

Real

Estate

Finance,

Inc.,

4.63%,

6/15/2029,

144A(a)

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

400,000‌

358,504‌

Assured

Guaranty

Municipal

Holdings,

Inc.,

6.40%,

(1-Month

US

LIBOR

+

2.22%),

12/15/2066,

144A(a)(b)

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

1,000,000‌

925,099‌

First

Republic

Bank,

4.63%,

2/13/2047

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

1,500,000‌

41,250‌

Flagstar

Bancorp,

Inc.,

4.13%,

(CME

3-Month

SOFR

+

3.91%),

11/1/2030(b)

..........

1,109,000‌

954,738‌

Global

Atlantic

Fin

Co.,

7.95%,

(US

5

Year

CMT

T-Note

+

3.61%),

10/15/2054,

144A(a)(b)

1,000,000‌

1,046,330‌

Lincoln

National

Corp.,

7.72%,

(CME

3-Month

SOFR

+

2.62%),

5/17/2066(b)

..........

1,000,000‌

794,684‌

New

York

Community

Bancorp,

Inc.,

8.27%,

(CME

3-Month

SOFR

+

3.04%),

11/6/2028(b)

1,500,000‌

1,379,093‌

Office

Properties

Income

Trust,

4.50%,

2/1/2025

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

1,000,000‌

873,858‌

Office

Properties

Income

Trust,

9.00%,

3/31/2029,

144A(a)

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

850,000‌

836,251‌

PennyMac

Corp.,

8.50%,

6/1/2029,

144A(a)

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

1,000,000‌

1,004,000‌

Rithm

Capital

Corp.,

6.25%,

10/15/2025,

144A(a)

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

173,000‌

173,062‌

Rithm

Capital

Corp.,

8.00%,

4/1/2029,

144A(a)

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

1,000,000‌

1,010,650‌

Starwood

Property

Trust,

Inc.,

7.25%,

4/1/2029,

144A(a)

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

1,000,000‌

1,049,873‌

Uniti

Group

LP

/

Uniti

Group

Finance,

Inc.

/

CSL

Capital

LLC,

10.50%,

2/15/2028,

144A(a)

543,000‌

579,941‌

Uniti

Group

LP

/

Uniti

Group

Finance,

Inc.

/

CSL

Capital

LLC,

6.50%,

2/15/2029,

144A(a)

1,000,000‌

868,655‌

11,895,988‌

Utilities

–

1.2%

NRG

Energy,

Inc.,

10.25%,

(US

5

Year

CMT

T-Note

+

5.92%),

9/15/2173,

144A(a)(b)

...

767,000‌

864,507‌

Total

Corporate

Bonds

(Cost

$21,635,836)

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

23,265,563‌

U.S.

Treasury

Bills

–

19.7%

U.S.

Treasury

Bill,

5.23%,

10/29/2024

(c)(d)

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

$

8,200,000‌

8,169,817‌

U.S.

Treasury

Bill,

4.82%,

1/14/2025

(c)

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

6,700,000‌

6,612,947‌

Total

U.S.

Treasury

Bills

(Cost

$14,776,584)

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

14,782,764‌

Simplify

Opportunistic

Income

ETF

Schedule

of

Investments

(Continued)

September

30,

2024

(Unaudited)

2

.

Principal

Value

Asset

Backed

Securities

–

14.6%

Adams

Outdoor

Advertising

LP,

Class

B,

Series

2023-1,

144A,

8.81%,

7/15/2053(a)

.....

$

500,000‌

$

527,551‌

Anchorage

Capital

CLO

19

Ltd.,

Class

E,

Series

2021-19A,

144A,

13.01%,

(CME

3-Month

SOFR

+

7.71%),

10/15/2034(a)(b)

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

1,000,000‌

952,151‌

Ares

LIV

CLO

Ltd.,

Class

E,

Series

2019-54A,

144A,

12.90%,

(CME

3-Month

SOFR

+

7.60%),

10/15/2032(a)(b)

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

1,000,000‌

1,002,669‌

CIFC

Funding

2020-IV

Ltd.,

Class

D,

Series

2021-4A,

144A,

8.96%,

(CME

3-Month

SOFR

+

3.66%),

1/15/2034(a)(b)

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

500,000‌

501,732‌

Frontier

Issuer

LLC,

Class

B,

Series

2023-1,

144A,

8.30%,

8/20/2053(a)

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

300,000‌

314,036‌

Frontier

Issuer

LLC,

Class

C,

Series

2023-1,

144A,

11.50%,

8/20/2053(a)

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

300,000‌

324,421‌

Goodgreen

2024-1

Ltd.,

Class

C,

Series

2024-1A,

144A,

8.50%,

7/15/2056(a)

.........

462,000‌

455,648‌

Hertz

Vehicle

Financing

LLC,

Class

D,

Series

2022-4A,

144A,

6.56%,

9/25/2026(a)

.....

1,000,000‌

986,663‌

HTAP

Issuer

Trust

2024-2,

Class

A,

Series

2024-2,

144A,

6.50%,

4/25/2042(a)

........

1,000,000‌

989,765‌

KKR

Static

CLO

I

Ltd.,

Class

E,

Series

2022-1A,

144A,

11.50%,

(CME

3-Month

SOFR

+

6.22%),

7/20/2031(a)(b)

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

1,000,000‌

1,001,061‌

Navient

Private

Education

Refi

Loan

Trust

2021-B,

Residual

Class,

Class

R,

Series

2021-

BA,

144A,

7/15/2069(a)

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

2,222‌

827,695‌

New

Economy

Assets

Phase

1

Sponsor

LLC,

Class

B1,

Series

2021-1,

144A,

2.41%,

10/20/2061(a)

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

1,750,000‌

1,577,493‌

Octane

Receivables

Trust

2022-1,

Residual

Class,

Class

R1,

Series

2022-1A,

144A,

12/20/2029(a)

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

12,121‌

1,544,346‌

Total

Asset

Backed

Securities

(Cost

$11,499,509)

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

11,005,231‌

Foreign

Bonds

–

12.9%

Communications

–

0.7%

Altice

France

Holding

SA,

10.50%,

5/15/2027,

144A(a)

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

1,500,000‌

520,292‌

Consumer,

Cyclical

–

2.5%

Azul

Investments

LLP,

5.88%,

10/26/2024

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

1,800,000‌

1,286,100‌

Azul

Investments

LLP,

7.25%,

6/15/2026

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

650,000‌

359,202‌

Azul

Secured

Finance

LLP,

11.93%,

8/28/2028,

144A(a)

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

250,000‌

242,655‌

1,887,957‌

Energy

–

1.8%

MC

Brazil

Downstream

Trading

SARL,

7.25%,

6/30/2031,

144A(a)

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

397,713‌

340,579‌

SierraCol

Energy

Andina

LLC,

6.00%,

6/15/2028,

144A(a)

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

500,000‌

460,073‌

Transcanada

Trust,

5.63%,

(3-Month

US

LIBOR

+

3.53%),

5/20/2075(b)

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

578,000‌

573,766‌

1,374,418‌

Financial

–

4.5%

Bank

of

Nova

Scotia

(The),

8.21%,

(CME

3-Month

SOFR

+

2.91%),

4/12/2173(b)

......

600,000‌

591,978‌

Danske

Bank

A/S,

6.47%,

(US

1

Year

CMT

T-Note

+

2.10%),

1/9/2026,

144A(a)(b)

.....

1,000,000‌

1,003,383‌

Danske

Bank

A/S,

7.00%,

(US

7

Year

CMT

T-Note

+

4.13%),

12/26/2172(b)

...........

350,000‌

351,762‌

Deutsche

Bank

AG,

7.50%,

(USISDA05

+

5.00%),

4/30/2173(b)

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

400,000‌

400,698‌

Santander

UK

Group

Holdings

PLC,

6.83%,

(SOFR

+

2.75%),

11/21/2026(b)

..........

1,000,000‌

1,021,206‌

3,369,027‌

Government

–

3.4%

Bahamas

Government

International

Bond,

9.00%,

6/16/2029,

144A(a)

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

500,000‌

518,537‌

Egypt

Government

International

Bond,

7.90%,

2/21/2048

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

750,000‌

580,703‌

Mexican

Bonos,

10.00%,

12/5/2024,

Series

M

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

MXN

18,800,000‌

952,733‌

Panama

Government

International

Bond,

6.85%,

3/28/2054

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

500,000‌

507,377‌

2,559,350‌

Total

Foreign

Bonds

(Cost

$10,427,435)

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

9,711,044‌

Simplify

Opportunistic

Income

ETF

Schedule

of

Investments

(Continued)

September

30,

2024

(Unaudited)

3

.

Shares

Value

Common

Stocks

–

9.1%

Consumer,

Cyclical

–

0.3%

Qurate

Retail,

Inc.,

Class

A,

Series

A*

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

350,000

$

213,535‌

Financial

–

8.8%

AGNC

Investment

Corp.

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

132,000

1,380,720‌

Annaly

Capital

Management,

Inc.

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

123,200

2,472,624‌

ARMOUR

Residential

REIT,

Inc.,

Class

REIT

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

25,000

510,000‌

Chimera

Investment

Corp.

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

10,000

158,300‌

PennyMac

Mortgage

Investment

Trust

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

10,000

142,600‌

Rithm

Capital

Corp.

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

134,800

1,529,980‌

Two

Harbors

Investment

Corp.

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

10,000

138,800‌

WeWorK,

Inc.,

Class

A*

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

20,956

324,818‌

6,657,842‌

Total

Common

Stocks

(Cost

$6,414,304)

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

6,871,377‌

Preferred

Stocks

–

8.8%

Consumer,

Cyclical

–

2.4%

Qurate

Retail,

Inc.

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

40,447

1,759,444‌

Financial

–

6.0%

B

Riley

Financial,

Inc.*

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

29,272

249,105‌

Chimera

Investment

Corp.,

(CME

3-Month

SOFR

+

6.05%),

Series

B*(b)

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

24,800

615,288‌

Chimera

Investment

Corp.,

(3-Month

US

LIBOR

+

4.74%),

Series

C*(b)

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

20,000

453,000‌

Franklin

BSP

Realty

Trust,

Inc.,

Series

E*

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

11,300

254,815‌

MFA

Financial,

Inc.

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

20,000

510,200‌

Rithm

Capital

Corp.,

(3-Month

US

LIBOR

+

4.97%),

Series

C(b)

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

47,696

1,143,750‌

Rithm

Capital

Corp.,

(US

5

Year

CMT

T-Note

+

6.22%),

Series

D(b)

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

45,564

1,103,560‌

Two

Harbors

Investment

Corp.,

(3-Month

US

LIBOR

+

5.66%),

Series

A*(b)

...........

6,561

163,106‌

4,492,824‌

Government

–

0.4%

Federal

Home

Loan

Mortgage

Corporation,

Series

W*

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

37,500

113,344‌

Federal

National

Mortgage

Association,

Series

S*

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

50,000

214,000‌

327,344‌

Total

Preferred

Stocks

(Cost

$6,012,916)

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

6,579,612‌

Mortgage

Backed

Securities

–

2.1%

Collateralized

Mortgage

Obligations

–

2.1%

NYMT

Loan

Trust

Series

2024-BPL3,

6.90%,

9/25/2039

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

400,000

399,991‌

Radnor

RE

2024-1

Ltd.,

9.85%,

9/25/2034

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

1,150,000

1,167,220‌

(Cost

$1,560,292)

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

1,567,212‌

Closed-End

Funds

–

0.3%

Equity

Funds

–

0.3%

Central

and

Eastern

Europe

Fund,

Inc.

(Cost

$218,471)

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

24,235

259,799‌

Principal

Term

Loans

–

0.2%

Communications

–

0.2%

Diamond

Sports

Group

LLC,

9.84%,

12/2/2024

(Cost

$141,201)

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

$

141,201‌

172,265‌

Simplify

Opportunistic

Income

ETF

Schedule

of

Investments

(Continued)

September

30,

2024

(Unaudited)

4

.

Number

of

Contracts

Notional

Amount

Value

Purchased

Options

–

0.1%

Puts

–

Exchange-Traded

–

0.1%

Cava

Group,

Inc.,

December

Strike

Price

$110,

Expires

12/20/24

.........

50

$

550,000‌

$

35,000‌

Macerich

Co.

(The),

December

Strike

Price

$15,

Expires

12/20/24

.........

550

825,000‌

15,125‌

50,125‌

Total

Purchased

Options

(Cost

$72,272)

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

50,125‌

Total

Investments

–

98.8%

(Cost

$72,758,820)

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

$

74,264,992‌

Other

Assets

in

Excess

of

Liabilities

–

1.2%

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

904,030‌

Net

Assets

–

100.0%

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

$

75,169,022‌

*

Non

Income

Producing

(a)

Security

was

purchased

(sold)

pursuant

to

Rule

144A

under

the

Securities

Act

of

1933

and

may

not

be

resold

(repurchased)

subject

to

that

rule

except

to

qualified

institutional

buyers.

Unless

otherwise

noted,

Rule

144A

securities

are

deemed

to

be

liquid.

Total

fair

value

of

Rule

144A

securities

amounts

to

$31,303,287,

which

represents

41.5%

of

net

assets

as

of

September

30,

2024.

(b)

Floating

rate

investment.

Interest

rates

reset

periodically.

Interest

rate

shown

reflects

the

rate

in

effect

at

September

30,

2024.

For

securities

based

on

a

published

reference

rate

and

spread,

the

reference

rate

and

spread

are

indicated

in

the

description

above.

(c)

Represents

a

zero

coupon

bond.

Rate

shown

reflects

the

effective

yield.

(d)

Security

with

an

aggregate

market

value

of

$1,494,480

have

been

pledged

as

collateral

for

options

as

of

September

30,

2024.

Currency

Abbreviations:

MXN

:

Mexican

Pesos

Portfolio

Abbreviations:

CMT

:

Treasury

Constant

Maturity

Rate

LIBOR

:

London

Interbank

Offered

Rate

SOFR

:

Secured

Overnight

Financing

Rate

At

September

30,

2024,

open

futures

contracts

were

as

follows:

Number

of

Contracts

Notional

Value

Expiration

Date

Value/

Unrealized

Appreciation

(Depreciation)

Long

position

contracts:

WTI

Crude

Future

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

10

$

681,700‌

10/22/24

$

(16,900‌)

U.S.

5

Year

Note

(CBT)

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

675

74,170,899‌

12/31/24

(76,172‌)

Total

unrealized

appreciation/(depreciation)

$

(93,072‌)

Short

position

contracts:

U.S.

Ultra

Bond

(CBT)

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

(137)

(18,233,844‌)

12/19/24

21,969‌

Total

net

unrealized

depreciation

$

(71,103‌)

Simplify

Opportunistic

Income

ETF

Schedule

of

Investments

(Continued)

September

30,

2024

(Unaudited)

5

.

††

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

September

30,

2024,

centrally

cleared

credit

default

swap

contracts

outstanding

were

as

follows:

Reference

Entity

Maturity

Date

Buy/Sell

Protection

(Pay)/

Receive

Financing

Rate

(1)

Counterparty

Notional

Amount

(2)

Fair

Value

Premium

(Paid)/

Received

Unrealized

Appreciation/

(Depreciation)

CDX.NA.HY.42

06/20/2029

Buy

(3)

5.00%

MSCS

33,000,000

$

(2,414,775‌)

$

(2,414,775‌)

$

(45,834‌)

Republic

of

Italy

12/20/2029

Buy

(3)

1.00%

MSCS

22,500,000

(416,264‌)

(394,960‌)

(27,554‌)

$

(2,831,039‌)

$

(2,809,735‌)

$

(73,388‌)

(1)

Payments

received

quarterly.

(2)

The

maximum

amount

of

future

payments

(undiscounted)

that

a

Fund

as

seller

of

protection

could

be

required

to

make

or

receive

as

a

buyer

of

credit

protection

under

a

credit

default

swap

agreement

would

be

an

amount

equal

to

the

notional

amount

of

the

agreement.

(3)

If

the

Fund

is

a

buyer

of

protection

and

a

credit

event

occurs,

as

defined

under

the

terms

of

that

particular

swap

agreement,

the

Fund

will

either

i)

receive

from

the

seller

of

protection

an

amount

equal

to

the

notional

amount

of

the

swap

and

deliver

the

referenced

obligation,

other

deliverable

obligations

or

underlying

securities

comprising

the

referenced

index

or

ii)

receive

a

net

settlement

amount

in

the

form

of

cash

or

securities

equal

to

the

notional

amount

of

the

swap

less

the

recovery

value

of

the

referenced

obligation

or

underlying

securities

comprising

the

referenced

index.

Abbreviations:

MSCS

:

Morgan

Stanley

Capital

Services

LLC

Summary

of

Investment

Type††

Investment

Categories

%

of

Net

Assets

Corporate

Bonds

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

31.0‌%

U.S.

Treasury

Bills

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

19.7‌%

Asset

Backed

Securities

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

14.6‌%

Foreign

Bonds

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

12.9‌%

Common

Stocks

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

9.1‌%

Preferred

Stocks

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

8.8‌%

Mortgage

Backed

Securities

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

2.1‌%

Closed-End

Funds

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

0.3‌%

Term

Loans

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

0.2‌%

Purchased

Options

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

0.1‌%

Total

Investments

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

98.8‌%

Other

Assets

in

Excess

of

Liabilities

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

1.2‌%

Net

Assets

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

100.0‌%