June 30, 2023

 

Annual Report

 

Simplify Exchange Traded Funds

 

 

Simplify Aggregate Bond PLUS Credit Hedge ETF (AGGH)

Simplify Developed Ex-US PLUS Downside Convexity ETF (EAFD)

Simplify Emerging Markets Equity PLUS Downside Convexity ETF (EMGD)

Simplify Enhanced Income ETF (HIGH)

Simplify Health Care ETF (PINK)

Simplify Hedged Equity ETF (HEQT)

Simplify High Yield PLUS Credit Hedge ETF (CDX)

Simplify Interest Rate Hedge ETF (PFIX)

Simplify Intermediate Term Treasury Futures Strategy ETF (formerly known as Simplify Risk Parity Treasury ETF) (TYA)

Simplify Market Neutral Equity Long/Short ETF (EQLS)

Simplify Opportunistic Income ETF (CRDT)

Simplify Propel Opportunities ETF (SURI)

Simplify Short Term Treasury Futures Strategy ETF (TUA)

Simplify Stable Income ETF (BUCK)

Simplify Tail Risk Strategy ETF (CYA)

Simplify US Equity PLUS Convexity ETF (SPYC)

Simplify US Equity PLUS Downside Convexity ETF (SPD)

Simplify US Equity PLUS GBTC ETF (SPBC)

Simplify US Equity PLUS Upside Convexity ETF (SPUC)

Simplify Volt RoboCar Disruption and Tech ETF (VCAR)

Simplify Bitcoin Strategy PLUS Income ETF (MAXI)

Simplify Commodities Strategy No K-1 ETF (HARD)

Simplify Macro Strategy ETF (FIG)

Simplify Managed Futures Strategy ETF (CTA)

Simplify Volatility Premium ETF (SVOL)

 

 

 

 

 

 

 

 

 

Simplify Exchange Traded Funds

Table of Contents

 

 

Letter to Shareholders   1
Management’s Discussion of Fund Performance:    
Simplify Aggregate Bond PLUS Credit Hedge ETF   2
Simplify Developed Ex-US PLUS Downside Convexity ETF   3
Simplify Emerging Markets Equity PLUS Downside Convexity ETF   4
Simplify Enhanced Income ETF   5
Simplify Health Care ETF   6
Simplify Hedged Equity ETF   8
Simplify High Yield PLUS Credit Hedge ETF   10
Simplify Interest Rate Hedge ETF   12
Simplify Intermediate Term Treasury Futures Strategy ETF   14
Simplify Market Neutral Equity Long/Short ETF   16
Simplify Opportunistic Income ETF   17
Simplify Propel Opportunities ETF   18
Simplify Short Term Treasury Futures Strategy ETF   19
Simplify Stable Income ETF   21
Simplify Tail Risk Strategy ETF   22
Simplify US Equity PLUS Convexity ETF   24
Simplify US Equity PLUS Downside Convexity ETF   26
Simplify US Equity PLUS GBTC ETF   28
Simplify US Equity PLUS Upside Convexity ETF   30
Simplify Volt RoboCar Disruption and Tech ETF   32
Simplify Bitcoin Strategy PLUS Income ETF   34
Simplify Commodities Strategy No K-1 ETF   35
Simplify Macro Strategy ETF   36
Simplify Managed Futures Strategy ETF   38
Simplify Volatility Premium ETF   39
Fees and Expenses   41
Schedule of Investments:    
Simplify Aggregate Bond PLUS Credit Hedge ETF   43
Simplify Developed Ex-US PLUS Downside Convexity ETF   51
Simplify Emerging Markets Equity PLUS Downside Convexity ETF   53
Simplify Enhanced Income ETF   55
Simplify Health Care ETF   56
Simplify Hedged Equity ETF   58
Simplify High Yield PLUS Credit Hedge ETF   60
Simplify Interest Rate Hedge ETF   67
Simplify Intermediate Term Treasury Futures Strategy ETF   69
Simplify Market Neutral Equity Long/Short ETF   70
Simplify Opportunistic Income ETF   81
Simplify Propel Opportunities ETF   82
Simplify Short Term Treasury Futures Strategy ETF   84
Simplify Stable Income ETF   85

 

This report is provided for the general information of shareholders and is not authorized for distribution to prospective investors unless preceded or accompanied by a current prospectus.

 

 

 

 

Simplify Exchange Traded Funds

Table of Contents

 

 

Simplify Tail Risk Strategy ETF   86
Simplify US Equity PLUS Convexity ETF   89
Simplify US Equity PLUS Downside Convexity ETF   91
Simplify US Equity PLUS GBTC ETF   92
Simplify US Equity PLUS Upside Convexity ETF   93
Simplify Volt RoboCar Disruption and Tech ETF   95

Consolidated Schedule of Investments:

   
Simplify Bitcoin Strategy PLUS Income ETF   99
Simplify Commodities Strategy No K-1 ETF   100
Simplify Macro Strategy ETF   102
Simplify Managed Futures Strategy ETF   105
Simplify Volatility Premium ETF   107
Statements of Assets and Liabilities   110
Consolidated Statements of Assets and Liabilities   115
Statements of Operations   117
Consolidated Statements of Operations   122
Statements of Changes in Net Assets   124
Consolidated Statements of Changes in Net Assets   132
Consolidated Statements of Cash Flows   134
Financial Highlights   136
Consolidated Financial Highlights   146
Notes to Financial Statements   149
Report of Independent Registered Public Accounting Firm   177
Trustees and Officers   180
Board Considerations in Approval of Investment Advisory and Sub-Advisory Agreements   181
Liquidity Risk Management   186
Additional Information   187

 

This report is provided for the general information of shareholders and is not authorized for distribution to prospective investors unless preceded or accompanied by a current prospectus.

 

 

 

 

Simplify Exchange Traded Funds

Letter to Shareholders (Unaudited)

 

 

Dear Shareholder,

 

I am honored to write on behalf of all of us at Simplify Exchange Traded Funds (“Simplify ETFs”) and Simplify Asset Management Inc. (“Simplify”). First, thank you for your trust and investment in our strategies.

 

Our mission at Simplify is to help advisors and asset managers with their greatest investment needs: diversifying and de-risking portfolios, generating attractive income, and improving risk-adjusted returns. We provide tools to our advisors and their clients so they can stay the course on their financial plans and retirement goals in today’s varying market conditions and remain invested for the long term. We believe that transparency, education, and accessibility are more important than ever.

 

This past year demonstrated the importance of staying invested. The recession everyone predicted is yet to appear as the labor market remains tight. Higher policy rates have not yet begun to bite. As of June 30, 2023, US equities are up nearly 20% in the past 12 months. International equities are mixed with developed markets outperforming emerging markets. US bonds are down slightly in the same period as tighter credit spreads have offset some of the sting of rising rates.

 

We’ve seen volatility subsiding in both fixed income and equities. Among alternatives, commodities were lower, driven by falling energy and food prices. While US inflation rate fell sharply from 9.1% in June 2022 to 3% in June 2023, inflation remains well above the Fed’s target.

 

Looking ahead, the threat of stagflation and recession, geopolitical pressures, disruption in food and energy markets, shifting correlations between asset classes, and political uncertainty suggest a more volatile investment environment that requires steadfast focus on long-term investment goals and nimbleness in taking advantage of present opportunities.

 

As always, we are here to help and look forward to sharing our perspectives and strategies. We encourage you to reach out to your financial advisor and/or visit our website at www.simplify.us to learn more about Simplify and our team of committed professionals.

 

Thank you for your trust in us.

 

Best regards,

 

 

Paul Kim

President, Simplify Exchange Traded Funds

CEO and co-founder, Simplify Asset Management Inc.

 

1

 

 

Simplify Aggregate Bond PLUS Credit Hedge ETF

Management’s Discussion of Fund Performance

June 30, 2023 (Unaudited)

 

 

Simplify Aggregate Bond PLUS Credit Hedge ETF [Ticker: AGGH]

 

For the year ended June 30, 2023, AGGH returned 0.49% vs its referenced benchmark, Bloomberg Capital U.S. Aggregate Bond Index, return of -0.86%, outperforming the benchmark by 1.35%.

 

Although rising interest rates were a headwind for the Fund and the bond market in general. The Fund outperformed due to the income generated by structural volatility selling. The Fund used long and short positions in options across equities, fixed income, volatility indices, commodities, and currencies asset classes to hedge against relevant interest rate and credit risks as well as generate income.

 

In the next 12 months, we believe the Fed’s rate hike cycle to come to an end, which will potentially stall last year’s trend of rising rates. AGGH is well-positioned to deliver high returns and outperform the Bloomberg US Aggregate Bond Index due to structural volatility selling strategies.

 

HYPOTHETICAL GROWTH OF $10,000 INVESTMENT
For the period ended February 14, 2022* to June 30, 2023

 

 

* Inception date.

 

HISTORICAL PERFORMANCE

Average Annual Total Return as of June 30, 2023

 

    One Year     Since
inception*
 
Simplify Aggregate Bond PLUS Credit Hedge ETF NAV     0.49 %     -3.24 %
Simplify Aggregate Bond PLUS Credit Hedge ETF Market Price     0.55 %     -3.09 %
Bloomberg Capital U.S. Aggregate Bond Index     -0.86 %     -5.56 %

 

Performance data quoted represents past performance and is no guarantee of future results. Current performance may be lower or higher than the performance data quoted. Investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than original cost. Fund NAV returns are calculated using the Fund’s daily 4:00 p.m. NAV. Returns shown include the reinvestment of all dividends and other distributions. Index returns do not include expenses. As stated in the current prospectus, the Fund’s annual operating expense ratio (gross) is 0.55% and the net expense ratio, after fee waiver, is 0.30%. (Actual expenses excluding acquired fund fees and expenses can be referenced in the Financial Highlights section later in this report.) The Fund’s advisor has agreed to waive a portion of its fees and/or reimburse expenses to the extent necessary to keep the Fund’s expenses from exceeding 0.25% until at least October 31, 2023. Returns less than one year are not annualized. The performance table and graph do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. For the Fund’s most recent month end performance, please call 1 (855) 772-8488.

 

* Since Inception February 14, 2022.

 

The Bloomberg Capital U.S. Aggregate Bond Index is a broad-based flagship benchmark that measures the investment grade, US dollar denominated, fixed-rate taxable bond market. The index is unmanaged, its returns do not reflect any fees, expenses, or sales charges, and it is not available for direct investment.

 

Investments involve risk. Principal loss is possible. Redemptions are limited and often commissions are charged on each trade. The ETF may be non-diversified, which may be more sensitive to economic, business, political or other changes affecting individual issuers or investments than a diversified fund, which may result in greater fluctuation in the value of the Fund’s Shares and greater risk of loss. Unlike mutual funds, ETFs may trade at a premium or discount to their net asset value. The fund is new and has limited operating history to judge.

 

2

 

 

Simplify Developed Ex-US PLUS Downside Convexity ETF

Management’s Discussion of Fund Performance

June 30, 2023 (Unaudited)

 

 

Simplify Developed Ex-US PLUS Downside Convexity ETF [Ticker: EAFD]

 

For the year ended June 30, 2023, EAFD returned 4.67% vs its benchmark, MSCI EAFE IMI Index, return of 14.25%, underperforming the benchmark by -9.58%.

 

The Fund’s underperformance was predominantly driven by the challenges experienced during 4Q 2022, where we aggressively positioned the Fund for a continued drawdown at the expense of spending excess budget, which ultimately cost the Fund. To better control for these challenges, at the end of 4Q 2022 we implemented an updated algorithm to increase the probability of hitting strikes and monetizing by bringing strikes and expiries in, and have set strict budget limits for the option overlay.

 

In the next 12 months, we expect equity markets to remain in a relatively low volatility environment, where the Fund will hopefully continue to maintain a strong notional coverage with our new options structure.

 

HYPOTHETICAL GROWTH OF $10,000 INVESTMENT
For the period ended January 10, 2022* to June 30, 2023

 

 

* Inception date.

 

HISTORICAL PERFORMANCE

Average Annual Total Return as of June 30, 2023

 

    One Year     Since
inception*
 
Simplify Developed Ex-US PLUS Downside Convexity ETF NAV     4.67 %     -12.50 %
Simplify Developed Ex-US PLUS Downside Convexity ETF Market Price     4.74 %     -13.25 %
MSCI EAFE IMI Index     14.25 %     -6.37 %

 

Performance data quoted represents past performance and is no guarantee of future results. Current performance may be lower or higher than the performance data quoted. Investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than original cost. Fund NAV returns are calculated using the Fund’s daily 4:00 p.m. NAV. Returns shown include the reinvestment of all dividends and other distributions. Index returns do not include expenses. As stated in the current prospectus, the Fund’s annual operating expense ratio (gross) is 0.57% and the net expense ratio, after fee waiver, is 0.32%. (Actual expenses excluding acquired fund fees and expenses can be referenced in the Financial Highlights section later in this report.) The Fund’s advisor has agreed to waive a portion of its fees and/or reimburse expenses to the extent necessary to keep the Fund’s expenses from exceeding 0.25% until at least October 30, 2023. Returns less than one year are not annualized. The performance table and graph do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. For the Fund’s most recent month end performance, please call 1 (855) 772-8488.

 

* Since Inception January 10, 2022.

 

The MSCI EAFE Investable Market Index (IMI), is an equity index which captures large, mid and small cap representation across Developed Markets countries around the world, excluding the US and Canada. With over 3,000 constituents, the index is comprehensive, covering approximately 99% of the free float-adjusted market capitalization in each country. The index is unmanaged, its returns do not reflect any fees, expenses, or sales charges, and it is not available for direct investment.

 

Investments involve risk. Principal loss is possible. Redemptions are limited and often commissions are charged on each trade. The ETF may be non-diversified, which may be more sensitive to economic, business, political or other changes affecting individual issuers or investments than a diversified fund, which may result in greater fluctuation in the value of the Fund’s Shares and greater risk of loss. Unlike mutual funds, ETFs may trade at a premium or discount to their net asset value. The fund is new and has limited operating history to judge.

 

3

 

 

Simplify Emerging Markets Equity PLUS Downside Convexity ETF

Management’s Discussion of Fund Performance

June 30, 2023 (Unaudited)

 

 

Simplify Emerging Markets Equity PLUS Downside Convexity ETF [Ticker: EMGD]

 

For the year ended June 30, 2023, EMGD returned -7.51% vs its benchmark, MSCI Emerging Markets Index, return of -1.15%, underperforming the benchmark by -6.36%.

 

The Fund’s underperformance was predominantly driven by the challenges experienced during 4Q 2022, where we aggressively positioned the Fund for a continued drawdown at the expense of spending excess budget, which ultimately cost the Fund. To better control for these challenges, at the end of 4Q 2022 we implemented an updated algorithm to increase the probability of hitting strikes and monetizing by bringing strikes and expiries in, and have set strict budget limits for the option overlay.

 

In the next 12 months, we expect equity markets to remain in a relatively low volatility environment, where the Fund will hopefully continue to maintain a strong notional coverage with our new options structure.

 

HYPOTHETICAL GROWTH OF $10,000 INVESTMENT
For the period January 10, 2022* to June 30, 2023

 

 

* Inception date.

 

HISTORICAL PERFORMANCE

Average Annual Total Return as of June 30, 2023

 

    One Year     Since
Inception*
 
Simplify Emerging Markets Equity PLUS Downside Convexity ETF NAV     -7.51 %     -18.20 %
Simplify Emerging Markets Equity PLUS Downside Convexity ETF Market Price     -7.92 %     -19.70 %
MSCI Emerging Markets Index     -1.15 %     -13.84 %

 

Performance data quoted represents past performance and is no guarantee of future results. Current performance may be lower or higher than the performance data quoted. Investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than original cost. Fund NAV returns are calculated using the Fund’s daily 4:00 p.m. NAV. Returns shown include the reinvestment of all dividends and other distributions. Index returns do not include expenses. As stated in the current prospectus, the Fund’s annual operating expense ratio (gross) is 0.61% and the net expense ratio, after fee waiver, is 0.36%. (Actual expenses excluding acquired fund fees and expenses can be referenced in the Financial Highlights section later in this report.) The Fund’s advisor has agreed to waive a portion of its fees and/or reimburse expenses to the extent necessary to keep the Fund’s expenses from exceeding 0.25% until at least October 30, 2023. Returns less than one year are not annualized. The performance table and graph do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. For the Fund’s most recent month end performance, please call 1 (855) 772-8488.

 

* Since Inception January 10, 2022.

 

The MSCI Emerging Markets Index captures large and mid cap representation across 24 Emerging Markets (EM) countries. With over 1,000 constituents, the index covers approximately 85% of the free float-adjusted market capitalization in each country. The index is unmanaged, its returns do not reflect any fees, expenses, or sales charges, and it is not available for direct investment.

 

Investments involve risk. Principal loss is possible. Redemptions are limited and often commissions are charged on each trade. The ETF may be non-diversified, which may be more sensitive to economic, business, political or other changes affecting individual issuers or investments than a diversified fund, which may result in greater fluctuation in the value of the Fund’s Shares and greater risk of loss. Unlike mutual funds, ETFs may trade at a premium or discount to their net asset value.

 

4

 

 

Simplify Enhanced Income ETF

Management’s Discussion of Fund Performance

June 30, 2023 (Unaudited)

 

 

Simplify Enhanced Income ETF [Ticker: HIGH]

 

Since its inception on October 27, 2022, HIGH returned 5.07% vs. the benchmark, Bloomberg US Corporate High Yield Total Return Index, return of 7.08%, underperforming the benchmark by -2.01%.

 

It has been a challenging year for option-selling strategies. Implied Volatility continued to drift lower throughout the year and has recently been hovering around recent historical lows. Further, the Fund experienced, while very short-lived, a few episodes of heightened delivered volatility that negatively impacted the option strategy. Fortunately, the Fund was still able to eke out a positive return in its option-selling program versus short-term treasury over the period.

 

In the next 12 months, we expect the implied volatility to trend closer to their historical long-term average and the option-selling strategy to continue to deliver positive return.

 

HYPOTHETICAL GROWTH OF $10,000 INVESTMENT
For the period October 27, 2022* to June 30, 2023

 

 

* Inception date.

 

HISTORICAL PERFORMANCE

Total Return as of June 30, 2023

 

    Cumulative
Total Return*
 
Simplify Enhanced Income ETF NAV     5.07 %
Simplify Enhanced Income ETF Market Price     4.80 %
Bloomberg U.S. Corporate High Yield Bond Index     7.08 %

 

Performance data quoted represents past performance and is no guarantee of future results. Current performance may be lower or higher than the performance data quoted. Investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than original cost. Fund NAV returns are calculated using the Fund’s daily 4:00 p.m. NAV. Returns shown include the reinvestment of all dividends and other distributions. Index returns do not include expenses. As stated in the current prospectus, the Fund’s annual operating expense ratio (gross) is 0.51% and the net expense ratio is 0.51%. (Actual expenses excluding acquired fund fees and expenses can be referenced in the Financial Highlights section later in this report.) Returns less than one year are not annualized. The performance table and graph do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. For the Fund’s most recent month end performance, please call 1 (855) 772-8488.

 

* Since Inception October 27, 2022.

 

The Bloomberg U.S. Corporate High Yield Bond Index measures the U.S. dollar-denominated, high yield, fixed-rate corporate bond market. The index is calculated on a total return basis. The index is unmanaged, its returns do not reflect any fees, expenses, or sales charges, and it is not available for direct investment.

 

Investments involve risk. Principal loss is possible. Redemptions are limited and often commissions are charged on each trade. The ETF may be non-diversified, which may be more sensitive to economic, business, political or other changes affecting individual issuers or investments than a diversified fund, which may result in greater fluctuation in the value of the Fund’s Shares and greater risk of loss. Unlike mutual funds, ETFs may trade at a premium or discount to their net asset value.

 

5

 

 

Simplify Health Care ETF

Management’s Discussion of Fund Performance

June 30, 2023 (Unaudited)

 

 

Simplify Health Care ETF [Ticker: PINK]

 

For the year ended June 30, 2023, PINK returned 8.81% vs its benchmark, MSCI USA IMI/Health Care Net Index, return of 5.36%, outperforming the benchmark by 3.45%.

 

The Fund’s material outperformance since inception is attributable to several factors including bottoms-up analysis, tactical alpha positions and strategic weighting in certain subsectors.

 

For FY23, PINK was negatively positioned on specific Pharmaceutical companies, relatively neutral on Health Maintenance Organizations (HMO) and materially positive on select MedTech stocks. We anticipate some material changes to risk and sector preference for FY24.

 

Looking ahead, PINK is positioned overweight MedTech, underweight Pharmaceutical and is selective in other areas. Pharmaceutical, while inexpensive, is viewed by PINK as fundamentally overall unattractive. We believe several large-cap Pharma names may suffer from material deficiencies in development pipelines (new drugs). HMOs will likely have a resurgence on easier comps and better pricing in 2024 and will become much more attractive heading into November 2024 elections. MedTech will likely continue to outperform, increasingly selectively focusing on new products and innovations.

 

HYPOTHETICAL GROWTH OF $10,000 INVESTMENT
For the period October 7, 2021* to June 30, 2023

 

 

* Inception date.

 

6

 

 

Simplify Health Care ETF

Management’s Discussion of Fund Performance (Continued)

June 30, 2023 (Unaudited)

 

 

HISTORICAL PERFORMANCE

Average Annual Total Return as of June 30, 2023

 

    One Year    

Since

Inception*

 
Simplify Health Care ETF NAV     8.81 %     4.16 %
Simplify Health Care ETF Market Price     8.63 %     4.33 %
MSCI USA IMI Health Care Net (USD) Index     5.36 %     0.44 %

 

Performance data quoted represents past performance and is no guarantee of future results. Current performance may be lower or higher than the performance data quoted. Investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than original cost. Fund NAV returns are calculated using the Fund’s daily 4:00 p.m. NAV. Returns shown include the reinvestment of all dividends and other distributions. Index returns do not include expenses. As stated in the current prospectus, the Fund’s annual operating expense ratio (gross) is 0.50% and the net expense ratio is 0.50%. (Actual expenses excluding acquired fund fees and expenses can be referenced in the Financial Highlights section later in this report.) Returns less than one year are not annualized. The performance table and graph do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. For the Fund’s most recent month end performance, please call 1 (855) 772-8488.

 

* Since Inception October 7, 2021.

 

The MSCI USA IMI Health Care Net (USD) Index is designed to capture the large, mid and small cap segments of the US equity universe. All securities in the index are classified in the Health Care sector as per the Global Industry Classification Standard (GICS®).

 

Investments involve risk. Principal loss is possible. Redemptions are limited and often commissions are charged on each trade. The ETF may be non-diversified, which may be more sensitive to economic, business, political or other changes affecting individual issuers or investments than a diversified fund, which may result in greater fluctuation in the value of the Fund’s Shares and greater risk of loss. Unlike mutual funds, ETFs may trade at a premium or discount to their net asset value.

 

7

 

 

Simplify Hedged Equity ETF

Management’s Discussion of Fund Performance

June 30, 2023 (Unaudited)

 

 

Simplify Hedged Equity ETF [Ticker: HEQT]

 

For the year ended June 30, 2023, HEQT returned 12.65% vs. the benchmark, Bloomberg US EG:FI 60:40 Index, return of 11.24%, outperforming the benchmark by 1.41%. HEQT achieved a lower volatility of 10.22% vs 12.45% for the benchmark over the same period.

 

Call strike on the monthly roll overwrite averaged 4.50% to 5.50% OTM, as a continuous slide in implied and realized volatility through Q2 2023 limited the market’s overall upside. HEQT’s 12-month beta to stocks was 0.43, as upside calls were exercised but not at sizable losses as the market drifted higher. In our view, costless collars are still an attractive method to sell volatility while hedging a larger drawdown in equities.

 

In the next 12 months, we expect slower-than-average equity market gains will allow HEQT’s returns to be competitive with similar strategies.

 

HYPOTHETICAL GROWTH OF $10,000 INVESTMENT
For the period November 1, 2021* to June 30, 2023

 

 

* Inception date.

 

8

 

 

Simplify Hedged Equity ETF

Management’s Discussion of Fund Performance (Continued)

June 30, 2023 (Unaudited)

 

 

HISTORICAL PERFORMANCE

Average Annual Total Return as of June 30, 2023

 

    One Year     Since
Inception*
 
Simplify Hedged Equity ETF NAV     12.65 %     2.54 %
Simplify Hedged Equity ETF Market Price     12.49 %     2.23 %
S&P 500 Index Total Return     19.59 %     -0.52 %
Bloomberg US EQ:FI 60:40 Index     11.24 %     -3.67 %

 

Performance data quoted represents past performance and is no guarantee of future results. Current performance may be lower or higher than the performance data quoted. Investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than original cost. Fund NAV returns are calculated using the Fund’s daily 4:00 p.m. NAV. Returns shown include the reinvestment of all dividends and other distributions. Index returns do not include expenses. As stated in the current prospectus, the Fund’s annual operating expense ratio (gross) is 0.53% and the net expense ratio is 0.53%. (Actual expenses excluding acquired fund fees and expenses can be referenced in the Financial Highlights section later in this report.) Returns less than one year are not annualized. The performance table and graph do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. For the Fund’s most recent month end performance, please call 1 (855) 772-8488.

 

* Since Inception November 1, 2021.

 

The S&P 500® Index is a free-float market capitalization-weighted index of 500 of the largest U.S. companies. The index is calculated on a total return basis with dividends reinvested. The index is unmanaged, its returns do not reflect any fees, expenses, or sales charges, and it is not available for direct investment.

 

The Bloomberg US EQ:FI 60:40 Index is designed to measure cross-asset market performance in the US. The index rebalances monthly to 60% equities and 40% fixed income. The equity and fixed income allocation is represented by the Bloomberg US Large Cap Total Return Index and the Bloomberg US Aggregate Bond Index respectively. The Bloomberg US Large Cap Total Return Index is a float market-cap-weighted benchmark of the 500 most highly capitalized US companies. Index performance is based on total returns. The index is unmanaged, its returns do not reflect any fees, expenses, or sales charges, and it is not available for direct investment.

 

Effective July 1, 2022, HEQT changed its benchmark index from S&P 500 Index Total Return to the Bloomberg US EQ:FI 60:40 Index.

 

Investments involve risk. Principal loss is possible. Redemptions are limited and often commissions are charged on each trade. The ETF may be non-diversified, which may be more sensitive to economic, business, political or other changes affecting individual issuers or investments than a diversified fund, which may result in greater fluctuation in the value of the Fund’s Shares and greater risk of loss. Unlike mutual funds, ETFs may trade at a premium or discount to their net asset value.

 

9

 

 

Simplify High Yield PLUS Credit Hedge ETF

Management’s Discussion of Fund Performance

June 30, 2023 (Unaudited)

 

 

Simplify High Yield PLUS Credit Hedge ETF [Ticker: CDX]

 

For the year ended June 30, 2023, CDX returned 6.75% vs its benchmark, ICE BofA US High Yield Index 4PM, return of 8.97%, underperforming the benchmark by -2.22%.

 

The Fund’s underperformance primarily reflects spending on S&P 500 put options used to hedge a significant downside event in 2022; while 2022 equity markets were negative, the drawdowns failed to reach levels at which the protection paid off, resulting in unrecovered costs of hedging. In contrast, the remaining hedges, expressed as a Quality-Junk overlay contributed positively in both 2022 and 2023.

 

Looking forward, as interest expenses rise significantly versus EBITDA, the junk-bond market may experience material credit metric deterioration and pose refinancing challenge for these junk-bond companies. Under these conditions, we anticipate a widening of credit spreads and improved hedging performance.

 

HYPOTHETICAL GROWTH OF $10,000 INVESTMENT
For the period February 14, 2022* to June 30, 2023

 

 

* Inception date.

 

HISTORICAL PERFORMANCE

Average Annual Total Return as of June 30, 2023

 

    One Year     Since
Inception*
 
Simplify High Yield PLUS Credit Hedge ETF NAV     6.75 %     -2.66 %
Simplify High Yield PLUS Credit Hedge ETF Market Price     6.79 %     -2.57 %
ICE BofA US High Yield Index 4PM     8.97 %     -1.39 %

 

Performance data quoted represents past performance and is no guarantee of future results. Current performance may be lower or higher than the performance data quoted. Investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than original cost. Fund NAV returns are calculated using the Fund’s daily 4:00 p.m. NAV. Returns shown include the reinvestment of all dividends and other distributions. Index returns do not include expenses. As stated in the current prospectus, the Fund’s annual operating expense ratio (gross) is 0.50% and the net expense ratio, after fee waiver, is 0.25%. (Actual expenses excluding acquired fund fees and expenses can be referenced in the Financial Highlights section later in this report.) The Fund’s advisor has agreed to waive a portion of its fees and/or reimburse expenses to the extent necessary to keep the Fund’s expenses from exceeding 0.25% until at least October 31, 2023. Returns less than one year are not annualized. The performance table and graph do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. For the Fund’s most recent month end performance, please call 1 (855) 772-8488.

 

* Since Inception February 14, 2022.

 

The ICE BofA US High Yield Index is market capitalization weighted and is designed to measure the performance of U.S. dollar denominated below investment grade (commonly referred to as “junk”) corporate debt publicly issued in the U.S. domestic market. The index is unmanaged, its returns do not reflect any fees, expenses, or sales charges, and it is not available for direct investment.

 

10

 

 

Simplify High Yield PLUS Credit Hedge ETF

Management’s Discussion of Fund Performance (Continued)
June 30, 2023 (Unaudited)

 

 

Investments involve risk. Principal loss is possible. Redemptions are limited and often commissions are charged on each trade. The ETF may be non-diversified, which may be more sensitive to economic, business, political or other changes affecting individual issuers or investments than a diversified fund, which may result in greater fluctuation in the value of the Fund’s Shares and greater risk of loss. Unlike mutual funds, ETFs may trade at a premium or discount to their net asset value.

 

11

 

 

Simplify Interest Rate Hedge ETF

Management’s Discussion of Fund Performance

June 30, 2023 (Unaudited)

 

 

Simplify Interest Rate Hedge ETF [Ticker: PFIX]

 

For the year ended June 30, 2023, PFIX returned 13.35% vs its benchmark, ICE U.S. Treasury 20+ Year Bond Index 4PM, return of -8.46%, outperforming the benchmark by 21.81%.

 

The main reason for the difference is that PFIX holds a long position in a set of out of the money pay fixed option with 5 to 7 years to expiry into a 20-year swap. These swaptions performed well as the forward interest rates that underly them increased. These increases were offset somewhat by declines in the level of implied volatility, time decay on the options and increases in the rates used to discount the option payoff.

 

Looking forward, the path of future interest rates and implied volatilities will continue to drive PFIX performance.

 

Increases in rates that drive increases in the forward rates along with increases in implied volatilities would be beneficial to the Fund’s performance while decreases in forward rates and declines in implied volatilities would be harmful.

 

HYPOTHETICAL GROWTH OF $10,000 INVESTMENT
For the period ended May 10, 2021* to June 30, 2023

 

 

* Inception date.

 

12

 

 

Simplify Interest Rate Hedge ETF

Management’s Discussion of Fund Performance (Continued)

June 30, 2023 (Unaudited)

 

 

HISTORICAL PERFORMANCE

Average Annual Total Return as of June 30, 2023

 

    One Year     Since
Inception*
 
Simplify Interest Rate Hedge ETF NAV     13.35 %     12.97 %
Simplify Interest Rate Hedge ETF Market Price     12.60 %     11.90 %
ICE U.S. Treasury 20+ Year Bond Index 4PM     -8.46 %     -10.93 %

 

Performance data quoted represents past performance and is no guarantee of future results. Current performance may be lower or higher than the performance data quoted. Investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than original cost. Fund NAV returns are calculated using the Fund’s daily 4:00 p.m. NAV. Returns shown include the reinvestment of all dividends and other distributions. Index returns do not include expenses. As stated in the current prospectus, the Fund’s annual operating expense ratio (gross) is 0.50% and the net expense ratio is 0.50%. (Actual expenses excluding acquired fund fees and expenses can be referenced in the Financial Highlights section later in this report.) Returns less than one year are not annualized. The performance table and graph do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. For the Fund’s most recent month end performance, please call 1 (855) 772-8488.

 

* Since Inception May 10, 2021.

 

The ICE U.S. Treasury 20+ Year Bond Index is part of a series of indices intended to the assess U.S. Treasury market. The Index is market value weighted and is designed to measure the performance of U.S. dollar denominated, fixed rate securities with minimum term to maturity greater than twenty years. The index is unmanaged, its returns do not reflect any fees, expenses, or sales charges, and it is not available for direct investment.

 

Investments involve risk. Principal loss is possible. Redemptions are limited and often commissions are charged on each trade. The ETF may be non-diversified, which may be more sensitive to economic, business, political or other changes affecting individual issuers or investments than a diversified fund, which may result in greater fluctuation in the value of the Fund’s Shares and greater risk of loss. Unlike mutual funds, ETFs may trade at a premium or discount to their net asset value.

 

13

 

 

Simplify Intermediate Term Treasury Futures Strategy ETF

Management’s Discussion of Fund Performance

June 30, 2023 (Unaudited)

 

 

Simplify Intermediate Term Treasury Futures Strategy ETF [Ticker: TYA]

 

For the year ended June 30, 2023, TYA returned -16.61% vs its benchmark, ICE U.S. Treasury 20+ Year Bond Index 4PM, return of -8.46%, underperforming the benchmark by -8.15%.

 

The Fund’s underperformance was due to the changes in the term structure of interest rates in the past 12 months. The Fund gains its exposure via investments in treasury futures contracts that invest in the 7-year to 10-year segment of the yield curve. The Fund then leverages its duration exposure to get close to that of the ICE U.S. Treasury 20+ Year Bond Index, while paying borrowing cost at 3-month or shorter-term interest rates.

 

Although the entire term structure of rates went higher, hurting the performance of all bonds, the increases were largest in the short end of the yield curve, and relatively larger in the intermediate-portion of the yield curve than the longer-term rates used to price the bonds in the benchmark.

 

Looking forward, the path of future interest rates and their term structure will continue to drive TYA performance. Increases in rates and/ or further inversions will generally be harmful to performance while decreases in rates accompanied by steepening would be beneficial.

 

HYPOTHETICAL GROWTH OF $10,000 INVESTMENT
For the period September 27, 2021* to June 30, 2023

 

 

* Inception date.

 

14

 

 

Simplify Intermediate Term Treasury Futures Strategy ETF

Management’s Discussion of Fund Performance (Continued)

June 30, 2023 (Unaudited)

 

 

HISTORICAL PERFORMANCE

Average Annual Total Return as of June 30, 2023

 

    One Year    

Since

Inception*

 
Simplify Intermediate Term Treasury Futures Strategy ETF NAV     -16.61 %     -24.31 %
Simplify Intermediate Term Treasury Futures Strategy ETF Market Price     -16.37 %     -24.38 %
ICE U.S. Treasury 20+ Year Bond Index 4PM     -8.46 %     -16.37 %

 

Performance data quoted represents past performance and is no guarantee of future results. Current performance may be lower or higher than the performance data quoted. Investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than original cost. Fund NAV returns are calculated using the Fund’s daily 4:00 p.m. NAV. Returns shown include the reinvestment of all dividends and other distributions. Index returns do not include expenses. As stated in the current prospectus, the Fund’s annual operating expense ratio (gross) is 0.25% and the net expense ratio, after fee waiver, is 0.15%. (Actual expenses excluding acquired fund fees and expenses can be referenced in the Financial Highlights section later in this report.) The Fund’s advisor has agreed to waive a portion of its fees and/or reimburse expenses to the extent necessary to keep the Fund’s expenses from exceeding 0.15% until at least October 31, 2023. Returns less than one year are not annualized. The performance table and graph do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. For the Fund’s most recent month end performance, please call 1 (855) 772-8488.

 

* Since Inception September 27, 2021.

 

The ICE U.S. Treasury 20+ Year Bond Index is part of a series of indices intended to the assess U.S. Treasury market. The Index is market value weighted and is designed to measure the performance of U.S. dollar denominated, fixed rate securities with minimum term to maturity greater than twenty years. The index is unmanaged, its returns do not reflect any fees, expenses, or sales charges, and it is not available for direct investment.

 

Investments involve risk. Principal loss is possible. Redemptions are limited and often commissions are charged on each trade. The ETF may be non-diversified, which may be more sensitive to economic, business, political or other changes affecting individual issuers or investments than a diversified fund, which may result in greater fluctuation in the value of the Fund’s Shares and greater risk of loss. Unlike mutual funds, ETFs may trade at a premium or discount to their net asset value.

 

15

 

 

Simplify Market Neutral Equity Long/Short ETF

Management’s Discussion of Fund Performance

June 30, 2023 (Unaudited)

 

 

Simplify Market Neutral Equity Long Short ETF [Ticker: EQLS]

 

Since its inception on June 12, 2023, EQLS returned -2.29% vs. the benchmark, MSCI World Index, return of 1.26%, underperforming the benchmark by -3.55%.

 

June was a difficult month for quants as systematic strategies suffered due to a reversion in factor performance. Detractors to performance include systematic factor exposures such as individual country biases, short Value, short Financials; stock selection performance not explained by traditional factors; and implementation costs. Contributors to positive performance include long exposure to Profitability, Momentum, and Consumer Discretionary names.

 

In the next 12 months, should market sentiment settle and investors gain more certainty regarding the path of interest rates, we expect systematic factors to stabilize, which may enhance the performance of quantitative strategies.

 

At June 30, 2023, the fund’s financial statements covered a period of less than 6 months, therefore a line graph is not presented.

 

HISTORICAL PERFORMANCE
Total Return as of June 30, 2023

 

    Cumulative
Total Return*
 
Simplify Market Neutral Equity Long Short ETF NAV     -2.29 %
Simplify Market Neutral Equity Long Short ETF Market Price     -1.72 %
MSCI World Index Price     1.26 %

 

Performance data quoted represents past performance and is no guarantee of future results. Current performance may be lower or higher than the performance data quoted. Investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than original cost. Fund NAV returns are calculated using the Fund’s daily 4:00 p.m. NAV. Returns shown include the reinvestment of all dividends and other distributions. Index returns do not include expenses. As stated in the current prospectus, the Fund’s annual operating expense ratio (gross) is 1.00% and the net expense ratio is 1.00%. (Actual expenses excluding acquired fund fees and expenses can be referenced in the Financial Highlights section later in this report.) Returns less than one year are not annualized. The performance table and graph do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. For the Fund’s most recent month end performance, please call 1 (855) 772-8488.

 

* Since Inception June 13, 2023.

 

The MSCI World Index is a broad global equity index that represents large and mid-cap equity performance across all 23 developed markets countries. The index is unmanaged, its returns do not reflect any fees, expenses, or sales charges, and it is not available for direct investment.

 

Investments involve risk. Principal loss is possible. Redemptions are limited and often commissions are charged on each trade. The ETF may be non-diversified, which may be more sensitive to economic, business, political or other changes affecting individual issuers or investments than a diversified fund, which may result in greater fluctuation in the value of the Fund’s Shares and greater risk of loss. Unlike mutual funds, ETFs may trade at a premium or discount to their net asset value.

 

16

 

 

Simplify Opportunistic Income ETF

Management’s Discussion of Fund Performance

June 30, 2023 (Unaudited)

 

 

Simplify Opportunistic Income ETF [Ticker: CRDT]

 

Since its inception on June 27, 2023, CRDT returned 0.04% vs. the benchmark, ICE BofA US High Yield Index 4PM, return of 0.77%, underperforming the benchmark by 0.73%. CRDT began scaling into holdings with an estimated yield of 5.15% at quarter-end.

 

In the next 12 months, we believe selective credit investment will provide ample alpha opportunities as a result of the general richness of the index products in the current environment.

 

At June 30, 2023, the fund’s financial statements covered a period of less than 6 months, therefore a line graph is not presented.

 

HISTORICAL PERFORMANCE
Total Return as of June 30, 2023

 

    Cumulative
Total Return*
 
Simplify Opportunistic Income ETF NAV     0.04 %
Simplify Opportunistic Income ETF Market Price     -0.08 %
ICE BofA US High Yield Index 4PM     0.77 %

 

Performance data quoted represents past performance and is no guarantee of future results. Current performance may be lower or higher than the performance data quoted. Investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than original cost. Fund NAV returns are calculated using the Fund’s daily 4:00 p.m. NAV. Returns shown include the reinvestment of all dividends and other distributions. Index returns do not include expenses. As stated in the current prospectus, the Fund’s annual operating expense ratio (gross) is 0.95% and the net expense ratio is 0.50%. The adviser has contractually agreed to waive its fee payable under the management agreement by 0.45% until 1-year from Fund launch. (Actual expenses excluding acquired fund fees and expenses can be referenced in the Financial Highlights section later in this report.) Returns less than one year are not annualized. The performance table and graph do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. For the Fund’s most recent month end performance, please call 1 (855) 772-8488.

 

* Since Inception June 26, 2023.

 

The ICE BofA US High Yield Index is market capitalization weighted and is designed to measure the performance of U.S. dollar denominated below investment grade (commonly referred to as “junk”) corporate debt publicly issued in the U.S. domestic market. The index is unmanaged, its returns do not reflect any fees, expenses, or sales charges, and it is not available for direct investment.

 

Investments involve risk. Principal loss is possible. Redemptions are limited and often commissions are charged on each trade. The ETF may be non-diversified, which may be more sensitive to economic, business, political or other changes affecting individual issuers or investments than a diversified fund, which may result in greater fluctuation in the value of the Fund’s Shares and greater risk of loss. Unlike mutual funds, ETFs may trade at a premium or discount to their net asset value.

 

17

 

 

Simplify Propel Opportunities ETF

Management’s Discussion of Fund Performance

June 30, 2023 (Unaudited)

 

 

Simplify Propel Opportunities ETF [Ticker: SURI]

 

Since its inception on February 7, 2023, SURI returned -4.97% vs. the benchmark, MSCI USA IMI/Health Care Net Index, return of 0.34%, underperforming the benchmark by -5.31%.

 

The Fund’s relative underperformance was driven by heavier weighting of early-stage and small/mid-cap (SMID) companies. Due to volatility in the overall market, we saw weakness in this subset of the healthcare sector versus later stage and large cap health care companies. The healthcare sector has generally seen underperformance versus the broader market during this same time period.

 

In the next 12 months, while we anticipate continued volatility in SMID healthcare companies versus the overall market, we expect specific catalysts within the SURI portfolio along with increased M&A and strategic activities targeting SMID healthcare companies to drive outperformance.

 

At June 30, 2023, the fund’s financial statements covered a period of less than 6 months, therefore a line graph is not presented.

 

HISTORICAL PERFORMANCE
Total Return as of June 30, 2023

 

    Cumulative
Total Return*
 
Simplify Propel Opportunities ETF NAV     -4.97 %
Simplify Propel Opportunities ETF Market Price     -3.57 %
MSCI USA IMI Health Care Net (USD) Index     0.34 %

 

Performance data quoted represents past performance and is no guarantee of future results. Current performance may be lower or higher than the performance data quoted. Investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than original cost. Fund NAV returns are calculated using the Fund’s daily 4:00 p.m. NAV. Returns shown include the reinvestment of all dividends and other distributions. Index returns do not include expenses. As stated in the current prospectus, the Fund’s annual operating expense ratio (gross) is 2.75% and the net expense ratio is 2.51%. (Actual expenses excluding acquired fund fees and expenses can be referenced in the Financial Highlights section later in this report.) Returns less than one year are not annualized. The performance table and graph do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. For the Fund’s most recent month end performance, please call 1 (855) 772-8488.

 

* Since Inception February 7, 2023.

 

The MSCI USA IMI Health Care Net (USD) Index is designed to capture the large, mid and small cap segments of the US equity universe. All securities in the index are classified in the Health Care sector as per the Global Industry Classification Standard (GICS®). The index is unmanaged, its returns do not reflect any fees, expenses, or sales charges, and it is not available for direct investment.

 

Investments involve risk. Principal loss is possible. Redemptions are limited and often commissions are charged on each trade. The ETF may be non-diversified, which may be more sensitive to economic, business, political or other changes affecting individual issuers or investments than a diversified fund, which may result in greater fluctuation in the value of the Fund’s Shares and greater risk of loss. Unlike mutual funds, ETFs may trade at a premium or discount to their net asset value.

 

18

 

 

Simplify Short Term Treasury Futures Strategy ETF

Management’s Discussion of Fund Performance

June 30, 2023 (Unaudited)

 

 

Simplify Short Term Treasury Futures Strategy ETF [Ticker: TUA]

 

Since its inception on November 14, 2022, TUA returned -6.97% vs. the benchmark, ICE U.S. Treasury 7-10 Year Bond Index, return of 2.45%, underperforming the benchmark by -9.42%.

 

The Fund’s underperformance was due to the changes in the term structure of interest rates since inception of the fund. The Fund gains its exposure via investments in treasury futures contracts that invest in the 1.5-year to 2-year segment of the yield curve. The Fund then leverages its duration exposure to get close to that of the ICE U.S. Treasury 7-10 Year Bond Index, while paying borrowing cost at 3-month or shorter-term interest rates.

 

Although the intermediate portion of the yield curve remains relatively stable since inception of the fund, the front end of the yield curve moved up, increasing borrowing cost and decreasing the prices of the bonds held in the futures contracts.

 

Looking forward, the path of future interest rates and their term structure will continue to drive TUA performance. Increases in rates and/ or further inversions will generally be harmful to performance while decreases in rates accompanied by steepening would be beneficial.

 

HYPOTHETICAL GROWTH OF $10,000 INVESTMENT
For the period November 14, 2022* to June 30, 2023

 

 

* Inception date.

 

HISTORICAL PERFORMANCE

Total Return as of June 30, 2023

 

    Cumulative
Total Return*
 
Simplify Macro Strategy ETF NAV     -6.97 %
Simplify Macro Strategy ETF Market Price     -6.99 %
ICE U.S. Treasury 7-10 Year Bond Index     2.45 %

 

Performance data quoted represents past performance and is no guarantee of future results. Current performance may be lower or higher than the performance data quoted. Investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than original cost. Fund NAV returns are calculated using the Fund’s daily 4:00 p.m. NAV. Returns shown include the reinvestment of all dividends and other distributions. Index returns do not include expenses. As stated in the current prospectus, the Fund’s annual operating expense ratio (gross) is 0.25% and the net expense ratio, after fee waiver, is 0.15%. (Actual expenses excluding acquired fund fees and expenses can be referenced in the Financial Highlights section later in this report.) The Fund’s advisor has agreed to waive a portion of its fees and/or reimburse expenses to the extent necessary to keep the Fund’s expenses from exceeding 0.15% until at least October 31, 2023. Returns less than one year are not annualized. The performance table and graph do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. For the Fund’s most recent month end performance, please call 1 (855) 772-8488.

 

* Since Inception November 14, 2022.

 

The ICE U.S. Treasury 7-10 Year Bond Index is part of a series of indices intended to assess the U.S. Treasury market. The Index is market value weighted and is designed to measure the performance of U.S. dollar-denominated, fixed rate securities with minimum term to maturity greater than seven years and less than or equal to ten years. The index is unmanaged, its returns do not reflect any fees, expenses, or sales charges, and it is not available for direct investment.

 

19

 

 

Simplify Short Term Treasury Futures Strategy ETF

Management’s Discussion of Fund Performance (Continued)

June 30, 2023 (Unaudited)

 

 

Investments involve risk. Principal loss is possible. Redemptions are limited and often commissions are charged on each trade. The ETF may be non-diversified, which may be more sensitive to economic, business, political or other changes affecting individual issuers or investments than a diversified fund, which may result in greater fluctuation in the value of the Fund’s Shares and greater risk of loss. Unlike mutual funds, ETFs may trade at a premium or discount to their net asset value.

 

20

 

 

Simplify Stable Income ETF

Management’s Discussion of Fund Performance

June 30, 2023 (Unaudited)

 

 

Simplify Stable Income ETF [Ticker: BUCK]

 

Since its inception on October 27, 2022, BUCK returned 3.27% vs. the benchmark, Bloomberg 1-3 Month U.S. Treasury Bill Index, return of 3.04%, slightly outperforming the benchmark by 0.23%.

 

It has been a challenging year for option-selling strategies. Implied Volatility continued to drift lower throughout the year and has recently been hovering around recent historical lows. Further, we experienced, while very short-lived, a few episodes of heightened delivered volatility that negatively impacted the option strategy. Fortunately, the Fund was still able to deliver a small positive return in our option-selling program over the period.

 

In the next 12 months, we expect the implied volatility to trend closer to their historical long-term average and the option-selling strategy to continue to deliver positive return.

 

HYPOTHETICAL GROWTH OF $10,000 INVESTMENT
For the period October 27, 2022* to June 30, 2023

 

 

* Inception date.

 

HISTORICAL PERFORMANCE

Total Return as of June 30, 2023

 

    Cumulative
Total Return*
 
Simplify Stable Income ETF NAV     3.27 %
Simplify Stable Income ETF Market Price     2.86 %
Bloomberg 1-3 Month U.S. Treasury Bill Index     3.04 %

 

Performance data quoted represents past performance and is no guarantee of future results. Current performance may be lower or higher than the performance data quoted. Investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than original cost. Fund NAV returns are calculated using the Fund’s daily 4:00 p.m. NAV. Returns shown include the reinvestment of all dividends and other distributions. Index returns do not include expenses. As stated in the current prospectus, the Fund’s annual operating expense ratio (gross) is 0.36% and the net expense ratio is 0.36%. (Actual expenses excluding acquired fund fees and expenses can be referenced in the Financial Highlights section later in this report.) Returns less than one year are not annualized. The performance table and graph do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. For the Fund’s most recent month end performance, please call 1 (855) 772-8488.

 

* Since Inception October 27, 2022.

 

The Bloomberg 1-3 Month U.S. Treasury Bill Index is designed to measure the performance of public obligations of the U.S. Treasury that have a remaining maturity of greater than or equal to 1 month and less than 3 months. The index is unmanaged, its returns do not reflect any fees, expenses, or sales charges, and it is not available for direct investment.

 

Investments involve risk. Principal loss is possible. Redemptions are limited and often commissions are charged on each trade. The ETF may be non-diversified, which may be more sensitive to economic, business, political or other changes affecting individual issuers or investments than a diversified fund, which may result in greater fluctuation in the value of the Fund’s Shares and greater risk of loss. Unlike mutual funds, ETFs may trade at a premium or discount to their net asset value.

 

21

 

 

Simplify Tail Risk Strategy ETF

Management’s Discussion of Fund Performance

June 30, 2023 (Unaudited)

 

 

Simplify Tail Risk Strategy ETF [Ticker: CYA]

 

For the year ended June 30, 2023, CYA returned -68.31% vs its referenced benchmark, ICE BofA 3 Month U.S. Treasury Bill Index 4PM, return of 3.62%, underperforming the benchmark by -71.93%.

 

The Fund’s tail risk hedging strategy underperformed for the period amid the equity market continued to grow without a significant drawdown. The Fund’s updated guidelines of closer to 50% annual budget spend on hedges have been successful in creating payoff profiles more in line with our expectations of a tail risk strategy.

 

In the next 12 months, we expect CYA to continue to focus on hedges beyond just equity puts, e.g., VIX options, and to create payoff profiles that are also more diversified.

 

HYPOTHETICAL GROWTH OF $10,000 INVESTMENT
For the period September 13, 2021* to June 30, 2023

 

 

* Inception date.

 

22

 

 

Simplify Tail Risk Strategy ETF

Management’s Discussion of Fund Performance (Continued)

June 30, 2023 (Unaudited)

 

 

HISTORICAL PERFORMANCE

Average Annual Total Return as of June 30, 2023

 

    One Year     Since
Inception*
 
Simplify Tail Risk Strategy ETF NAV     -68.31 %     -51.86 %
Simplify Tail Risk Strategy ETF Market Price     -68.50 %     -52.06 %
ICE BofA 3 Month U.S. Treasury Bill Index 4PM     3.62 %     2.09 %

 

Performance data quoted represents past performance and is no guarantee of future results. Current performance may be lower or higher than the performance data quoted. Investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than original cost. Fund NAV returns are calculated using the Fund’s daily 4:00 p.m. NAV. Returns shown include the reinvestment of all dividends and other distributions. Index returns do not include expenses. As stated in the current prospectus, the Fund’s annual operating expense ratio (gross) is 1.09% and the net expense ratio, after fee waiver, is 0.84%. (Actual expenses excluding acquired fund fees and expenses can be referenced in the Financial Highlights section later in this report.) The Fund’s advisor has agreed to waive a portion of its fees and/or reimburse expenses to the extent necessary to keep the Fund’s expenses from exceeding 0.50% until at least October 31, 2023. Returns less than one year are not annualized. The performance table and graph do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. For the Fund’s most recent month end performance, please call 1 (855) 772-8488.

 

* Since Inception September 13, 2021.

 

The ICE BofA 3 Month U.S. Treasury Bill Index measures the performance of a single issue of outstanding treasury bill which matures closest to, but not beyond, three months from the rebalancing date. The issue is purchased at the beginning of the month and held for a full month; at the end of the month that issue is sold and rolled into a newly selected issue. The index is unmanaged, its returns do not reflect any fees, expenses, or sales charges, and it is not available for direct investment.

 

Investments involve risk. Principal loss is possible. Redemptions are limited and often commissions are charged on each trade. The ETF may be non-diversified, which may be more sensitive to economic, business, political or other changes affecting individual issuers or investments than a diversified fund, which may result in greater fluctuation in the value of the Fund’s Shares and greater risk of loss. Unlike mutual funds, ETFs may trade at a premium or discount to their net asset value.

 

23

 

 

Simplify US Equity PLUS Convexity ETF

Management’s Discussion of Fund Performance

June 30, 2023 (Unaudited)

 

 

Simplify US Equity PLUS Convexity ETF [Ticker: SPYC]

 

For the year ended June 30, 2023, SPYC returned 10.67% vs its benchmark, S&P 500 Index, return of 19.59%, underperforming the benchmark by -8.92%.

 

The Fund’s underperformance was predominantly due to the challenges experienced during 4Q 2022 on both the downside and upside convexity components, where we aggressively positioned the Fund for a continued drawdown at the expense of spending excess budget. To better control for these challenges, at the end of 4Q 2022 we implemented an updated algorithm to increase the probability of hitting strikes and monetizing by bringing strikes and expiries in, and have set strict budget limits for the option overlay.

 

In the next 12 months, we expect equity markets to remain in a relatively low volatility environment, where the Fund will hopefully continue to maintain a strong notional coverage with our new options structure.

 

HYPOTHETICAL GROWTH OF $10,000 INVESTMENT
For the period September 3, 2020* to June 30, 2023

 

 

* Inception date.

 

24

 

 

Simplify US Equity PLUS Convexity ETF

Management’s Discussion of Fund Performance (Continued)

June 30, 2023 (Unaudited)

 

 

HISTORICAL PERFORMANCE

Average Annual Total Return as of June 30, 2023

 

    One Year     Since
Inception*
 
Simplify US Equity PLUS Convexity ETF NAV     10.67 %     6.95 %
Simplify US Equity PLUS Convexity ETF Market Price     11.05 %     7.22 %
S&P 500 Index Total Return     19.59 %     11.11 %

 

Performance data quoted represents past performance and is no guarantee of future results. Current performance may be lower or higher than the performance data quoted. Investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than original cost. Fund NAV returns are calculated using the Fund’s daily 4:00 p.m. NAV. Returns shown include the reinvestment of all dividends and other distributions. Index returns do not include expenses. As stated in the current prospectus, the Fund’s annual operating expense ratio (gross) is 0.53% and the net expense ratio, after fee waiver, is 0.28%. (Actual expenses excluding acquired fund fees and expenses can be referenced in the Financial Highlights section later in this report.) The Fund’s advisor has agreed to waive a portion of its fees and/or reimburse expenses to the extent necessary to keep the Fund’s expenses from exceeding 0.25% until at least October 31, 2023. Returns less than one year are not annualized. The performance table and graph do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. For the Fund’s most recent month end performance, please call 1 (855) 772-8488.

 

* Since Inception September 3, 2020.

 

The S&P 500® Index is a free-float market capitalization-weighted index of 500 of the largest U.S. companies. The index is calculated on a total return basis with dividends reinvested. The index is unmanaged, its returns do not reflect any fees, expenses, or sales charges, and it is not available for direct investment.

 

Investments involve risk. Principal loss is possible. Redemptions are limited and often commissions are charged on each trade. The ETF may be non-diversified, which may be more sensitive to economic, business, political or other changes affecting individual issuers or investments than a diversified fund, which may result in greater fluctuation in the value of the Fund’s Shares and greater risk of loss. Unlike mutual funds, ETFs may trade at a premium or discount to their net asset value.

 

25

 

 

Simplify US Equity PLUS Downside Convexity ETF

Management’s Discussion of Fund Performance

June 30, 2023 (Unaudited)

 

 

Simplify US Equity PLUS Downside Convexity ETF [Ticker: SPD]

 

For the year ended June 30, 2023, SPD returned 5.31% vs its benchmark, S&P 500 Index, return of 19.59%, underperforming the benchmark by -14.28%.

 

The Fund’s underperformance was predominantly driven by the challenges experienced during 4Q 2022, where we aggressively positioned the Fund for a continued drawdown at the expense of spending excess budget, which ultimately cost the Fund. To better control for these challenges, at the end of 4Q 2022 we implemented an updated algorithm to increase the probability of hitting strikes and monetizing by bringing strikes and expiries in, and have set strict budget limits for the option overlay.

 

In the next 12 months, we expect equity markets to remain in a relatively low volatility environment, where the Fund will hopefully continue to maintain a strong notional coverage with our new options structure.

 

HYPOTHETICAL GROWTH OF $10,000 INVESTMENT
For the period September 3, 2020* to June 30, 2023

 

 

* Inception date.

 

26

 

 

Simplify US Equity PLUS Downside Convexity ETF

Management’s Discussion of Fund Performance (Continued)

June 30, 2023 (Unaudited)

 

 

HISTORICAL PERFORMANCE

Average Annual Total Return as of June 30, 2023

 

     
One Year
    Since
Inception*
 
Simplify US Equity PLUS Downside Convexity ETF NAV     5.31 %     4.73 %
Simplify US Equity PLUS Downside Convexity ETF Market Price     5.16 %     4.90 %
S&P 500 Index Total Return     19.59 %     11.11 %

 

Performance data quoted represents past performance and is no guarantee of future results. Current performance may be lower or higher than the performance data quoted. Investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than original cost. Fund NAV returns are calculated using the Fund’s daily 4:00 p.m. NAV. Returns shown include the reinvestment of all dividends and other distributions. Index returns do not include expenses. As stated in the current prospectus, the Fund’s annual operating expense ratio (gross) is 0.53% and the net expense ratio, after fee waiver, is 0.28%. (Actual expenses excluding acquired fund fees and expenses can be referenced in the Financial Highlights section later in this report.) The Fund’s advisor has agreed to waive a portion of its fees and/or reimburse expenses to the extent necessary to keep the Fund’s expenses from exceeding 0.25% until at least October 31, 2023. Returns less than one year are not annualized. The performance table and graph do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. For the Fund’s most recent month end performance, please call 1 (855) 772-8488.

 

* Since Inception September 3, 2020.

 

The S&P 500® Index is a free-float market capitalization-weighted index of 500 of the largest U.S. companies. The index is calculated on a total return basis with dividends reinvested. The index is unmanaged, its returns do not reflect any fees, expenses, or sales charges, and it is not available for direct investment.

 

Investments involve risk. Principal loss is possible. Redemptions are limited and often commissions are charged on each trade. The ETF may be non-diversified, which may be more sensitive to economic, business, political or other changes affecting individual issuers or investments than a diversified fund, which may result in greater fluctuation in the value of the Fund’s Shares and greater risk of loss. Unlike mutual funds, ETFs may trade at a premium or discount to their net asset value.

 

27

 

 

Simplify US Equity PLUS GBTC ETF

Management’s Discussion of Fund Performance

June 30, 2023 (Unaudited)

 

 

Simplify US Equity PLUS GBTC ETF [Ticker: SPBC]

 

For the year ended June 30, 2023, SPBC returned 27.69% vs its benchmark, S&P 500 Index, return of 19.59%, outperforming the benchmark by 8.10%.

 

The Fund outperformed over large cap stocks on the back of the rally in GBTC and the narrowing of its discount to NAV (+59% last 1yr). As stocks’ correlation to bitcoin narrowed in 2023, SPBC has seen its realized volatility decline below 20% and hence offers an improving and effective diversifying complement to a large cap stock portfolio.

 

Looking forward, our view is that the growth of competitors’ funds will improve the technicals in the sector favorable to SPBC’s return prospects.

 

HYPOTHETICAL GROWTH OF $10,000 INVESTMENT

For the period May 24, 2021* to June 30, 2023

 

 

* Inception date.

 

28

 

 

Simplify US Equity PLUS GBTC ETF

Management’s Discussion of Fund Performance (Continued)

June 30, 2023 (Unaudited)

 

 

HISTORICAL PERFORMANCE

Average Annual Total Return as of June 30, 2023

 

    One Year     Since
Inception*
 
Simplify US Equity PLUS GBTC ETF NAV     27.69 %     3.12 %
Simplify US Equity PLUS GBTC ETF Market Price     27.93 %     3.51 %
S&P 500 Index Total Return     19.59 %     11.11 %

 

Performance data quoted represents past performance and is no guarantee of future results. Current performance may be lower or higher than the performance data quoted. Investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than original cost. Fund NAV returns are calculated using the Fund’s daily 4:00 p.m. NAV. Returns shown include the reinvestment of all dividends and other distributions. Index returns do not include expenses. As stated in the current prospectus, the Fund’s annual operating expense ratio (gross) is 0.73% and the net expense ratio is 0.73%. (Actual expenses excluding acquired fund fees and expenses can be referenced in the Financial Highlights section later in this report.) Returns less than one year are not annualized. The performance table and graph do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. For the Fund’s most recent month end performance, please call 1 (855) 772-8488.

 

* Since Inception May 24, 2021.

 

The S&P 500® Index is a free-float market capitalization-weighted index of 500 of the largest U.S. companies. The index is calculated on a total return basis with dividends reinvested. The index is unmanaged, its returns do not reflect any fees, expenses, or sales charges, and it is not available for direct investment.

 

Investments involve risk. Principal loss is possible. Redemptions are limited and often commissions are charged on each trade. The ETF may be non-diversified, which may be more sensitive to economic, business, political or other changes affecting individual issuers or investments than a diversified fund, which may result in greater fluctuation in the value of the Fund’s Shares and greater risk of loss. Unlike mutual funds, ETFs may trade at a premium or discount to their net asset value.

 

29

 

 

Simplify US Equity PLUS Upside Convexity ETF

Management’s Discussion of Fund Performance

June 30, 2023 (Unaudited)

 

 

Simplify US Equity PLUS Upside Convexity ETF [Ticker: SPUC]

 

For the year ended June 30, 2023, SPUC returned 16.65% vs its benchmark, S&P 500 Index, return of 19.59%, underperforming the benchmark by -2.94%.

 

The Fund’s underperformance was predominantly driven by the challenges experienced during 4Q 2022, where the lion’s share of the 3% annual budget was spent to prepare for a potential market rebound at the expense of spending excess budget. To better control for these challenges, at the end of 4Q 2022 we implemented an updated algorithm to increase the probability of hitting strikes and monetizing by bringing strikes and expiries in, and have set strict budget limits for the option overlay. We saw the benefits of this new system already in the first half of 2023, where SPUC outperformed its index benchmark by more than 0.5%.

 

In the next 12 months, we expect equity markets to remain in a relatively low volatility environment, where the Fund will hopefully continue to maintain a strong notional coverage with our new options structure.

 

HYPOTHETICAL GROWTH OF $10,000 INVESTMENT
For the period September 3, 2020* to June 30, 2023

 

 

* Inception date.

 

30

 

 

Simplify US Equity PLUS Upside Convexity ETF

Management’s Discussion of Fund Performance (Continued)

June 30, 2023 (Unaudited)

 

 

HISTORICAL PERFORMANCE

Average Annual Total Return as of June 30, 2023

 

    One Year     Since
Inception*
 
Simplify US Equity PLUS Upside Convexity ETF NAV     16.65 %     9.40 %
Simplify US Equity PLUS Upside Convexity ETF Market Price     17.09 %     9.71 %
S&P 500 Index Total Return     19.59 %     11.11 %

 

Performance data quoted represents past performance and is no guarantee of future results. Current performance may be lower or higher than the performance data quoted. Investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than original cost. Fund NAV returns are calculated using the Fund’s daily 4:00 p.m. NAV. Returns shown include the reinvestment of all dividends and other distributions. Index returns do not include expenses. As stated in the current prospectus, the Fund’s annual operating expense ratio (gross) is 0.53% and the net expense ratio, after fee waiver, is 0.28%. (Actual expenses excluding acquired fund fees and expenses can be referenced in the Financial Highlights section later in this report.) The Fund’s advisor has agreed to waive a portion of its fees and/or reimburse expenses to the extent necessary to keep the Fund’s expenses from exceeding 0.25% until at least October 31, 2023. Returns less than one year are not annualized. The performance table and graph do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. For the Fund’s most recent month end performance, please call 1 (855) 772-8488.

 

* Since Inception September 3, 2020.

 

The S&P 500® Index is a free-float market capitalization-weighted index of 500 of the largest U.S. companies. The index is calculated on a total return basis with dividends reinvested. The index is unmanaged, its returns do not reflect any fees, expenses, or sales charges, and it is not available for direct investment.

 

Investments involve risk. Principal loss is possible. Redemptions are limited and often commissions are charged on each trade. The ETF may be non-diversified, which may be more sensitive to economic, business, political or other changes affecting individual issuers or investments than a diversified fund, which may result in greater fluctuation in the value of the Fund’s Shares and greater risk of loss. Unlike mutual funds, ETFs may trade at a premium or discount to their net asset value.

 

31

 

 

Simplify Volt RoboCar Disruption and Tech ETF

Management’s Discussion of Fund Performance

June 30, 2023 (Unaudited)

 

 

Simplify Volt Robocar Disruption and Tech ETF [Ticker: VCAR]

 

For the year ended June 30, 2023, VCAR returned -0.54% vs its benchmark, S&P 500 Index, return of 19.59%, underperforming the benchmark by -20.13%.

 

The Fund’s underperformance is due to a steep drop in tech stocks at the end of 2022 and though in 2023 there has been significant recovery, it has not been more than the S&P 500’s performance.

 

In the next 12 months, the Fund’s performance with relatively high exposure to robocar and technology names could continue to deviate from the broader U.S. market. We are optimistic that the Fund’s exposure to Robocar Disruption and Tech names will prove bullish in light of the significant advancements in Artificial Intelligence and the dramatic change in the technological landscape.

 

HYPOTHETICAL GROWTH OF $10,000 INVESTMENT
For the period December 28, 2020* to June 30, 2023

 

 

* Inception date.

 

32

 

 

Simplify Volt RoboCar Disruption and Tech ETF

Management’s Discussion of Fund Performance (Continued)

June 30, 2023 (Unaudited)

 

 

HISTORICAL PERFORMANCE

Average Annual Total Return as of June 30, 2023

 

    One Year     Since
Inception*
 
Simplify Volt RoboCar Disruption and Tech ETF NAV     -0.54 %     -12.01 %
Simplify Volt RoboCar Disruption and Tech ETF Market Price     -0.44 %     -11.98 %
S&P 500 Index Total Return     19.59 %     8.94 %

 

Performance data quoted represents past performance and is no guarantee of future results. Current performance may be lower or higher than the performance data quoted. Investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than original cost. Fund NAV returns are calculated using the Fund’s daily 4:00 p.m. NAV. Returns shown include the reinvestment of all dividends and other distributions. Index returns do not include expenses. As stated in the current prospectus, the Fund’s annual operating expense ratio (gross) is 0.95% and the net expense ratio is 0.95%. (Actual expenses excluding acquired fund fees and expenses can be referenced in the Financial Highlights section later in this report.) Returns less than one year are not annualized. The performance table and graph do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. For the Fund’s most recent month end performance, please call 1 (855) 772-8488.

 

* Since Inception December 28, 2020.

 

The S&P 500® Index is a free-float market capitalization-weighted index of 500 of the largest U.S. companies. The index is calculated on a total return basis with dividends reinvested. The index is unmanaged, its returns do not reflect any fees, expenses, or sales charges, and it is not available for direct investment.

 

Investments involve risk. Principal loss is possible. Redemptions are limited and often commissions are charged on each trade. The ETF may be non-diversified, which may be more sensitive to economic, business, political or other changes affecting individual issuers or investments than a diversified fund, which may result in greater fluctuation in the value of the Fund’s Shares and greater risk of loss. Unlike mutual funds, ETFs may trade at a premium or discount to their net asset value.

 

33

 

 

Simplify Bitcoin Strategy PLUS Income ETF

Management’s Discussion of Fund Performance

June 30, 2023 (Unaudited)

 

 

Simplify Bitcoin Strategy PLUS Income ETF [Ticker: MAXI]

 

Since its inception on September 29, 2022, MAXI returned 58.15% vs. the benchmark, Nasdaq Bitcoin Reference Price Index, return of 56.48% for the same period, with the income from the option overlay offsetting futures roll costs (currently running -6 to -8% annually).

 

The strike profile of MAXI’s volatility sales along with effective risk management helped the Fund benefit from higher bitcoin and risk assets. The Fund has also outperformed its ETF competitors which run comparable synthetic bitcoin exposure. The daily return correlation between Bitcoin and large cap stocks was 0.5 in the last 12 months, which highlighted the diversification features of cryptocurrency assets.

 

In the next 12 months, we expect that MAXI has similar potential to outperform alternative bitcoin-only investment options due to the low level of realized volatility.

 

HYPOTHETICAL GROWTH OF $10,000 INVESTMENT

For the period September 29, 2022* to June 30, 2023

 

 

* Inception date.

 

HISTORICAL PERFORMANCE

Total Return as of June 30, 2023

 

    Cumulative
Total Return*
 
Simplify Bitcoin Strategy PLUS Income ETF NAV     58.15 %
Simplify Bitcoin Strategy PLUS Income ETF Market Price     60.09 %
Nasdaq Bitcoin Reference Price Index     56.48 %

 

Performance data quoted represents past performance and is no guarantee of future results. Current performance may be lower or higher than the performance data quoted. Investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than original cost. Fund NAV returns are calculated using the Fund’s daily 4:00 p.m. NAV. Returns shown include the reinvestment of all dividends and other distributions. Index returns do not include expenses. As stated in the current prospectus, the Fund’s annual operating expense ratio (gross) is 0.97% and the net expense ratio is 0.97%. (Actual expenses excluding acquired fund fees and expenses can be referenced in the Financial Highlights section later in this report.) Returns less than one year are not annualized. The performance table and graph do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. For the Fund’s most recent month end performance, please call 1 (855) 772-8488.

 

* Since Inception September 29, 2022.

 

The Nasdaq Bitcoin Reference Price is designed to measure the performance of Bitcoin and settle risk in this new and emerging asset. The index is unmanaged, its returns do not reflect any fees, expenses, or sales charges, and it is not available for direct investment.

 

Investments involve risk. Principal loss is possible. Redemptions are limited and often commissions are charged on each trade. The ETF may be non-diversified, which may be more sensitive to economic, business, political or other changes affecting individual issuers or investments than a diversified fund, which may result in greater fluctuation in the value of the Fund’s Shares and greater risk of loss. Unlike mutual funds, ETFs may trade at a premium or discount to their net asset value.

 

34

 

 

Simplify Commodities Strategy No K-1 ETF

Management’s Discussion of Fund Performance

June 30, 2023 (Unaudited)

 

 

Simplify Commodities Strategy No. K-1 ETF [Ticker: HARD]

 

Since its inception on March 27, 2023, HARD returned -0.86% vs. the benchmark, Bloomberg Commodity Total Return Index, return of -0.86%, matching the performance of the benchmark.

 

HARD avoided May’s drawdown in the sector and fared better than the broad commodity fund universe, which experienced up to 6% losses. With no continuous price trend in broader commodities since inception, HARD benefited from timely positioning in Soybean oil. Gold and Copper meanwhile were consistent shorts which led to slightly negative commodity risk overall, but the Fund maintained a positive roll yield on account of its negative carry minimization bias. In addition, the realized volatility of the Fund was in the 9-10% annualized range, below that of its benchmark, Bloomberg Commodity Total Return Index.

 

Looking forward, HARD is well-positioned for a cyclical increase in commodity prices in the near-term, with most of the security set curves currently in backwardation and seasonal tailwinds approaching.

 

At June 30, 2023, the fund’s financial statements covered a period of less than 6 months, therefore a line graph is not presented.

 

HISTORICAL PERFORMANCE
Total Return as of June 30, 2023

 

    Cumulative
Total Return*
 
Simplify Commodities Strategy No. K-1 ETF NAV     -0.86 %
Simplify Commodities Strategy No. K-1 ETF Market Price     -0.86 %
Bloomberg Commodity Total Return Index     -0.86 %

 

Performance data quoted represents past performance and is no guarantee of future results. Current performance may be lower or higher than the performance data quoted. Investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than original cost. Fund NAV returns are calculated using the Fund’s daily 4:00 p.m. NAV. Returns shown include the reinvestment of all dividends and other distributions. Index returns do not include expenses. As stated in the current prospectus, the Fund’s annual operating expense ratio (gross) is 0.75% and the net expense ratio is 0.75%. (Actual expenses excluding acquired fund fees and expenses can be referenced in the Financial Highlights section later in this report.) Returns less than one year are not annualized. The performance table and graph do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. For the Fund’s most recent month end performance, please call 1 (855) 772-8488.

 

* Since Inception March 27, 2023.

 

Bloomberg Commodity Total Return Index is composed of futures contracts and reflects the returns on a fully collateralized investment in the BCOM.

 

Investments involve risk. Principal loss is possible. Redemptions are limited and often commissions are charged on each trade. The ETF may be non-diversified, which may be more sensitive to economic, business, political or other changes affecting individual issuers or investments than a diversified fund, which may result in greater fluctuation in the value of the Fund’s Shares and greater risk of loss. Unlike mutual funds, ETFs may trade at a premium or discount to their net asset value.

 

35

 

 

Simplify Macro Strategy ETF

Management’s Discussion of Fund Performance

June 30, 2023 (Unaudited)

 

 

Simplify Macro Strategy ETF [Ticker: FIG]

 

For the year ended June 30, 2023, FIG returned 3.94% vs its benchmark, Bloomberg US EQ: FI 60:40 Index, return of 11.24%, underperforming the benchmark by -7.30%.

 

The underperformance was predominantly due to poorly timed reduction in equity exposure and the positioning for widening of credit spreads. Both factors created a drag to the Fund’s performance as U.S. equities have rallied strongly in 2023 and credit spreads have narrowed despite rising credit stress manifesting in a surge in corporate bankruptcies over the last six months. We believe both dynamics lack a fundamental basis and are instead being driven by flows into price-insensitive passive strategies.

 

For the remainder of 2023, FIG is positioned for slowing economic growth and an end to global central bank hiking cycles. The Fund has an oversized allocation to U.S. front-end rates through Simplify’s Short Term Treasury Futures ETF (TUA) and intermediate term rates through Simplify’s Intermediate Term Treasury Futures ETF (TYA). With the Federal Reserve indicating expectations for rate cuts in 2024 and 2025, these funds should contribute to positive performance.

 

HYPOTHETICAL GROWTH OF $10,000 INVESTMENT
For the period May 16, 2022* to June 30, 2023

 

 

* Inception date.

 

HISTORICAL PERFORMANCE

Average Annual Total Return as of June 30, 2023

 

    One Year     Since
Inception*
 
Simplify Macro Strategy ETF NAV     3.94 %     -1.68 %
Simplify Macro Strategy ETF Market Price     4.33 %     -1.40 %
Bloomberg US EQ:FI 60:40 Index     11.24 %     6.56 %

 

Performance data quoted represents past performance and is no guarantee of future results. Current performance may be lower or higher than the performance data quoted. Investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than original cost. Fund NAV returns are calculated using the Fund’s daily 4:00 p.m. NAV. Returns shown include the reinvestment of all dividends and other distributions. Index returns do not include expenses. As stated in the current prospectus, the Fund’s annual operating expense ratio (gross) is 0.97% and the net expense ratio, after fee waiver, is 0.72%. (Actual expenses excluding acquired fund fees and expenses can be referenced in the Financial Highlights section later in this report.) The Fund’s advisor has agreed to waive a portion of its fees and/or reimburse expenses to the extent necessary to keep the Fund’s expenses from exceeding 0.50% at least until October 31, 2023. Returns less than one year are not annualized. The performance table and graph do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. For the Fund’s most recent month end performance, please call 1 (855) 772-8488.

 

* Since Inception May 16, 2022.

 

The Bloomberg US EQ:FI 60:40 Index is designed to measure cross-asset market performance in the US. The index rebalances monthly to 60% equities and 40% fixed income. The equity and fixed income allocation is represented by the Bloomberg US Large Cap Total Return Index and the Bloomberg US Aggregate Bond Index respectively. The Bloomberg US Large Cap Total Return Index is a float market-cap-weighted benchmark of the 500 most highly capitalized US companies. Index performance is based on total returns. The index is unmanaged, its returns do not reflect any fees, expenses, or sales charges, and it is not available for direct investment.

 

36

 

 

Simplify Macro Strategy ETF

Management’s Discussion of Fund Performance (Continued)

June 30, 2023 (Unaudited)

 

 

Investments involve risk. Principal loss is possible. Redemptions are limited and often commissions are charged on each trade. The ETF may be non-diversified, which may be more sensitive to economic, business, political or other changes affecting individual issuers or investments than a diversified fund, which may result in greater fluctuation in the value of the Fund’s Shares and greater risk of loss. Unlike mutual funds, ETFs may trade at a premium or discount to their net asset value.

 

37

 

 

Simplify Managed Futures Strategy ETF

Management’s Discussion of Fund Performance

June 30, 2023 (Unaudited)

 

 

Simplify Managed Futures Strategy ETF [Ticker: CTA]

 

For the year ended June 30, 2023, CTA returned 0.13% vs its benchmark, SocGen CTA Index, return of -0.80%, outperforming the benchmark by 0.93%.

 

U.S. front-end yield positions drove both sides of the performance, with fund gains as Fed hikes and rhetoric led to higher rates, albeit with a bout of massive yield retracements (8 sigma rally by some measures) on the back of regional bank failures. CTA’s four-part signal generally favored positions in a sustained price trend with positive roll yields during the year.

 

Looking ahead as the Fed nears the end of its hiking cycle, the prospects for a prevailing trend in commodities and yields are likely to build, which we think would be favorable for momentum strategies and CTA, in particular.

 

HYPOTHETICAL GROWTH OF $10,000 INVESTMENT
For the period March 7, 2022* to June 30, 2023

 

 

* Inception date.

 

HISTORICAL PERFORMANCE

Average Annual Total Return as of June 30, 2023

 

    One Year     Since
Inception*
 
Simplify Managed Futures Strategy ETF NAV     0.13 %     6.93 %
Simplify Managed Futures Strategy ETF Market Price     -0.69 %     5.90 %
Societe Generale CTA Index     -0.80 %     5.39 %

 

Performance data quoted represents past performance and is no guarantee of future results. Current performance may be lower or higher than the performance data quoted. Investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than original cost. Fund NAV returns are calculated using the Fund’s daily 4:00 p.m. NAV. Returns shown include the reinvestment of all dividends and other distributions. Index returns do not include expenses. As stated in the current prospectus, the Fund’s annual operating expense ratio (gross) is 0.75% and the net expense ratio is 0.75%. (Actual expenses excluding acquired fund fees and expenses can be referenced in the Financial Highlights section later in this report.) Returns less than one year are not annualized. The performance table and graph do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. For the Fund’s most recent month end performance, please call 1 (855) 772-8488.

 

* Since Inception March 7, 2022.

 

The Societe Generale CTA Index is designed to track the largest 20 (by AUM) CTAs and be representative of the managed futures space. The index is unmanaged, its returns do not reflect any fees, expenses, or sales charges, and it is not available for direct investment.

 

Investments involve risk. Principal loss is possible. Redemptions are limited and often commissions are charged on each trade. The ETF may be non-diversified, which may be more sensitive to economic, business, political or other changes affecting individual issuers or investments than a diversified fund, which may result in greater fluctuation in the value of the Fund’s Shares and greater risk of loss. Unlike mutual funds, ETFs may trade at a premium or discount to their net asset value.

 

38

 

 

Simplify Volatility Premium ETF

Management’s Discussion of Fund Performance

June 30, 2023 (Unaudited)

 

 

Simplify Volatility Premium ETF [Ticker: SVOL]

 

For the year ended June 30, 2023, SVOL returned 23.14% vs its benchmark, S&P 500 Index, return of 19.59%, outperforming the benchmark by 3.55%.

 

The Fund’s performance is due to improving equity market conditions resulting in VIX declining from 28.71 to 13.59. The falling VIX caused the prices of VIX futures to decline and VIX futures curve to steepen (Contango). Falling futures prices and favorable futures roll from the steep curve helped SVOL to deliver healthy returns.

 

In the next 12 months, we expect SVOL to continue to be correlated with the S&P 500 Index with potentially higher return and lower risk due to the persistence of Contango in the VIX curve.

 

Effective July 1, 2022, SVOL changed its benchmark index from S&P 500® VIX Short-Term Futures Index to the S&P 500 Index Total Return.

 

HYPOTHETICAL GROWTH OF $10,000 INVESTMENT
For the period May 12, 2021* to June 30, 2023

 

 

* Inception date.

 

39

 

 

Simplify Volatility Premium ETF

Management’s Discussion of Fund Performance (Continued)

June 30, 2023 (Unaudited)

 

 

HISTORICAL PERFORMANCE

Average Annual Total Return as of June 30, 2023

 

    One Year     Since
Inception*
 
Simplify Volatility Premium ETF NAV     23.14 %     10.92 %
Simplify Volatility Premium ETF Market Price     23.30 %     10.70 %
S&P 500 VIX Short-Term Futures Index     -72.00 %     -61.47 %
S&P 500 Index Total Return     19.59 %     6.03 %

 

Performance data quoted represents past performance and is no guarantee of future results. Current performance may be lower or higher than the performance data quoted. Investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than original cost. Fund NAV returns are calculated using the Fund’s daily 4:00 p.m. NAV. Returns shown include the reinvestment of all dividends and other distributions. Index returns do not include expenses. As stated in the current prospectus, the Fund’s annual operating expense ratio (gross) is 0.66% and the net expense ratio is 0.66%. (Actual expenses excluding acquired fund fees and expenses can be referenced in the Financial Highlights section later in this report.) Returns less than one year are not annualized. The performance table and graph do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. For the Fund’s most recent month end performance, please call 1 (855) 772-8488.

 

* Since Inception May 12, 2021.

 

The S&P 500® Index is a free-float market capitalization-weighted index of 500 of the largest U.S. companies. The index is calculated on a total return basis with dividends reinvested. The index is unmanaged, its returns do not reflect any fees, expenses, or sales charges, and it is not available for direct investment.

 

The S&P 500® VIX Short-Term Futures Index utilizes prices of the next two near-term VIX® futures contracts to replicate a position that rolls the nearest month VIX futures to the next month on a daily basis in equal fractional amounts. This results in a constant one-month rolling long position in first and second month VIX futures contracts. The index is unmanaged, its returns do not reflect any fees, expenses, or sales charges, and it is not available for direct investment.

 

Effective July 1, 2022, SVOL changed its benchmark index from S&P 500® VIX Short-Term Futures Index to the S&P 500 Index Total Return.

 

Investments involve risk. Principal loss is possible. Redemptions are limited and often commissions are charged on each trade. The ETF may be non-diversified, which may be more sensitive to economic, business, political or other changes affecting individual issuers or investments than a diversified fund, which may result in greater fluctuation in the value of the Fund’s Shares and greater risk of loss. Unlike mutual funds, ETFs may trade at a premium or discount to their net asset value.

 

40

 

 

Simplify Exchange Traded Funds

Fees and Expenses (Unaudited)

 

 

As a shareholder of one or more of the Funds, you incur two types of costs: (1) transaction costs, including brokerage commissions paid on purchases and sales of fund shares, and (2) ongoing costs, including unitary advisory fees and other Fund expenses. In the most recent six-month period the Funds, except for Simplify Enhanced Income ETF, Simplify Health Care ETF, Simplify Hedged Equity ETF, Simplify Interest Rate Hedge ETF, Simplify Market Neutral Equity Long Short ETF, Simplify Stable Income ETF, Simplify US Equity PLUS GBTC ETF, Simplify Volt RoboCar Disruption and Tech ETF, Simplify Bitcoin Strategy PLUS Income ETF, Simplify Commodities Strategy No K-1 ETF, Simplify Managed Futures Strategy ETF and Simplify Volatility Premium ETF, limited these expenses; had they not done so, expenses would have been higher. The expense examples below are intended to help you understand your ongoing costs (in dollars) of investing in the Funds and to compare these costs with the ongoing costs of investing in other funds.

 

The examples in the tables are based on an investment of $1,000 invested at the beginning of the period and held for the entire period (January 1, 2023, except otherwise noted below, to June 30, 2023).

 

Actual expenses

 

The first line in the following tables provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading “Expenses Paid During the Period” to estimate the expenses you paid on your account during this period.

 

Hypothetical example for comparison purposes

 

The second line in the following tables provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratios and an assumed rate of return of 5% per year before expenses (which is not the Fund’s actual return). The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.

 

Please note that the expenses shown in the tables are meant to highlight your ongoing costs only, and do not reflect any transactional costs. Therefore the second line in the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.

 

    Beginning
Account Value
January 1,
2023
    Ending
Account Value
June 30,
2023
    Annualized
Expense
Ratio*
    Expenses Paid
During the
Period Per
$1,000(1) 
 
Simplify Aggregate Bond PLUS Credit Hedge ETF                                
Actual   $ 1,000.00     $ 1,047.50       0.25 %   $ 1.27  
Hypothetical (5% return before expenses)   $ 1,000.00     $ 1,023.55       0.25 %   $ 1.25  
Simplify Developed Ex-US PLUS Downside Convexity ETF                                
Actual   $ 1,000.00     $ 1,091.70       0.25 %   $ 1.30  
Hypothetical (5% return before expenses)   $ 1,000.00     $ 1,023.55       0.25 %   $ 1.25  
Simplify Emerging Markets Equity PLUS Downside Convexity ETF                                
Actual   $ 1,000.00     $ 1,042.70       0.25 %   $ 1.27  
Hypothetical (5% return before expenses)   $ 1,000.00     $ 1,023.55       0.25 %   $ 1.25  
Simplify Enhanced Income ETF                                
Actual   $ 1,000.00     $ 1,043.10       0.50 %   $ 2.53  
Hypothetical (5% return before expenses)   $ 1,000.00     $ 1,022.32       0.50 %   $ 2.51  
Simplify Health Care ETF                                
Actual   $ 1,000.00     $ 1,002.80       0.50 %   $ 2.48  
Hypothetical (5% return before expenses)   $ 1,000.00     $ 1,022.32       0.50 %   $ 2.51  
Simplify Hedged Equity ETF                                
Actual   $ 1,000.00     $ 1,110.30       0.50 %   $ 2.62  
Hypothetical (5% return before expenses)   $ 1,000.00     $ 1,022.32       0.50 %   $ 2.51  
Simplify High Yield PLUS Credit Hedge ETF                                
Actual   $ 1,000.00     $ 1,047.50       0.25 %   $ 1.27  
Hypothetical (5% return before expenses)   $ 1,000.00     $ 1,023.55       0.25 %   $ 1.25  
Simplify Interest Rate Hedge ETF                                
Actual   $ 1,000.00     $ 893.80       0.50 %   $ 2.35  
Hypothetical (5% return before expenses)   $ 1,000.00     $ 1,022.32       0.50 %   $ 2.51  
Simplify Intermediate Term Treasury Futures Strategy ETF                                
Actual   $ 1,000.00     $ 935.90       0.15 %   $ 0.72  
Hypothetical (5% return before expenses)   $ 1,000.00     $ 1,024.05       0.15 %   $ 0.75  
Simplify Market Neutral Equity Long Short ETF                                
Actual   $ 1,000.00     $ 977.10       1.00 %   $ 0.43 (2) 
Hypothetical (5% return before expenses)   $ 1,000.00     $ 1,019.84       1.00 %   $ 5.01  

 

41

 

 

Simplify Exchange Traded Funds

Fees and Expenses (Unaudited) (Continued)

 

 

    Beginning
Account Value
January 1,
2023
    Ending
Account Value
June 30,
2023
    Annualized
Expense
Ratio*
    Expenses Paid
During the
Period Per
$1,000(1) 
 
Simplify Opportunistic Income ETF                                
Actual   $ 1,000.00     $ 1,000.40       0.50 %   $ 0.04 (3) 
Hypothetical (5% return before expenses)   $ 1,000.00     $ 1,022.32       0.50 %   $ 2.51  
Simplify Propel Opportunities ETF                                
Actual   $ 1,000.00     $ 950.30       2.50 %   $ 9.48 (4) 
Hypothetical (5% return before expenses)   $ 1,000.00     $ 1,012.40       2.50 %   $ 12.47  
Simplify Short Term Treasury Futures Strategy ETF                                
Actual   $ 1,000.00     $ 983.10       0.15 %   $ 0.74  
Hypothetical (5% return before expenses)   $ 1,000.00     $ 1,024.05       0.15 %   $ 0.75  
Simplify Stable Income ETF                                
Actual   $ 1,000.00     $ 1,024.80       0.35 %   $ 1.76  
Hypothetical (5% return before expenses)   $ 1,000.00     $ 1,023.06       0.35 %   $ 1.76  
Simplify Tail Risk Strategy ETF                                
Actual   $ 1,000.00     $ 512.30       0.50 %   $ 1.87  
Hypothetical (5% return before expenses)   $ 1,000.00     $ 1,022.32       0.50 %   $ 2.51  
Simplify US Equity PLUS Convexity ETF                                
Actual   $ 1,000.00     $ 1,159.30       0.25 %   $ 1.34  
Hypothetical (5% return before expenses)   $ 1,000.00     $ 1,023.55       0.25 %   $ 1.25  
Simplify US Equity PLUS Downside Convexity ETF                                
Actual   $ 1,000.00     $ 1,140.90       0.25 %   $ 1.33  
Hypothetical (5% return before expenses)   $ 1,000.00     $ 1,023.55       0.25 %   $ 1.25  
Simplify US Equity PLUS GBTC ETF                                
Actual   $ 1,000.00     $ 1,293.60       0.50 %   $ 2.84  
Hypothetical (5% return before expenses)   $ 1,000.00     $ 1,022.32       0.50 %   $ 2.51  
Simplify US Equity PLUS Upside Convexity ETF                                
Actual   $ 1,000.00     $ 1,174.30       0.25 %   $ 1.35  
Hypothetical (5% return before expenses)   $ 1,000.00     $ 1,023.55       0.25 %   $ 1.25  
Simplify Volt RoboCar Disruption and Tech ETF                                
Actual   $ 1,000.00     $ 1,508.80       0.95 %   $ 5.91  
Hypothetical (5% return before expenses)   $ 1,000.00     $ 1,020.08       0.95 %   $ 4.76  
Simplify Bitcoin Strategy PLUS Income ETF                                
Actual   $ 1,000.00     $ 1,819.40       0.85 %   $ 5.96  
Hypothetical (5% return before expenses)   $ 1,000.00     $ 1,020.56       0.85 %   $ 4.27  
Simplify Commodities Strategy No K-1 ETF                                
Actual   $ 1,000.00     $ 991.40       0.75 %   $ 1.94 (5) 
Hypothetical (5% return before expenses)   $ 1,000.00     $ 1,021.08       0.75 %   $ 3.76  
Simplify Macro Strategy ETF                                
Actual   $ 1,000.00     $ 1,014.70       0.45 %   $ 2.25  
Hypothetical (5% return before expenses)   $ 1,000.00     $ 1,022.56       0.45 %   $ 2.26  
Simplify Managed Futures Strategy ETF                                
Actual   $ 1,000.00     $ 976.70       0.75 %   $ 3.68  
Hypothetical (5% return before expenses)   $ 1,000.00     $ 1,021.08       0.75 %   $ 3.76  
Simplify Volatility Premium ETF                                
Actual   $ 1,000.00     $ 1,143.10       0.50 %   $ 2.66  
Hypothetical (5% return before expenses)   $ 1,000.00     $ 1,022.32       0.50 %   $ 2.51  

 

* Excludes interest expense and other excluded fees, as defined.
(1) Expenses are equal to each Fund’s annualized expense ratio, multiplied by the average account value over the period, multiplied by 181 (the number of days in the most recent six-month period), then divided by 365.
(2) Expenses are equal to each Fund’s annualized expense ratio, multiplied by the average account value over the period, multiplied by 16 (the number of days in the period June 14, 2023 (commencement of operations) to June 30, 2023), then divided by 365.
(3) Expenses are equal to each Fund’s annualized expense ratio, multiplied by the average account value over the period, multiplied by 3 (the number of days in the period June 27, 2023 (commencement of operations) to June 30, 2023), then divided by 365.
(4) Expenses are equal to each Fund’s annualized expense ratio, multiplied by the average account value over the period, multiplied by 142 (the number of days in the period February 8, 2023 (commencement of operations) to June 30, 2023), then divided by 365.
(5) Expenses are equal to each Fund’s annualized expense ratio, multiplied by the average account value over the period, multiplied by 95 (the number of days in the period March 28, 2023 (commencement of operations) to June 30, 2023), then divided by 365.

 

42

 

 

Simplify Aggregate Bond PLUS Credit Hedge ETF

Schedule of Investments

June 30, 2023

 

 

    Shares     Value  
Exchange-Traded Funds – 62.2%                
iShares Core U.S. Aggregate Bond ETF(a)(b)     9,635     $ 943,748  
iShares iBoxx $ Investment Grade Corporate Bond ETF(a)(b)     9,932       1,074,047  
iShares iBoxx High Yield Corporate Bond ETF(a)(b)     14,216       1,067,195  
iShares MBS ETF(a)(b)     11,427       1,065,739  
Schwab US TIPS ETF     20,327       1,065,745  
Vanguard Mortgage-Backed Securities ETF     23,100       1,062,369  
Vanguard Short-Term Bond ETF     14,153       1,069,542  
Total Exchange-Traded Funds (Cost $7,396,601)             7,348,385  

 

    Principal        
U.S. Government Obligations – 30.4%                
U.S. Treasury Inflation Indexed Note, 0.63%, 1/15/2024   $ 2,700,000       3,450,818  
U.S. Treasury Note, 4.25%, 10/15/2025(b)     134,200       132,701  
Total U.S. Government Obligations (Cost $3,585,813)             3,583,519  
                 
U.S. Treasury Bills – 4.1%                
U.S. Treasury Bill, 5.29%, 9/7/2023(c)                
(Cost $484,863)   $ 490,000       485,374  
                 
Total Investments – 96.7%                
(Cost $11,467,277)           $ 11,417,278  
Other Assets in Excess of Liabilities – 3.3%             395,436  
Net Assets – 100.0%           $ 11,812,714  

 

    Number of
Contracts
    Notional
Amount
       
Written Options – (0.5)%                        
                         
Calls – Exchange-Traded – (0.3)%                        
iShares 20+ Year Treasury Bond ETF, July Strike Price $106, Expires 7/03/23     (110 )   $ (1,166,000 )   $ (110 )
iShares Core U.S. Aggregate Bond ETF, December Strike Price $104, Expires 12/15/23     (337 )     (3,504,800 )     (9,267 )
iShares iBoxx $ Investment Grade Corporate Bond ETF, July Strike Price $109, Expires 7/21/23     (106 )     (1,155,400 )     (3,657 )
iShares iBoxx High Yield Corporate Bond ETF, September Strike Price $76, Expires 9/15/23     (160 )     (1,216,000 )     (5,360 )
iShares MBS ETF, July Strike Price $95, Expires 7/21/23     (242 )     (2,299,000 )     (2,420 )
U.S. Treasury 10 Year Note, August Strike Price $114, Expires 8/25/23     (31 )     (3,534,000 )     (16,953 )
                      (37,767 )
Puts – Exchange-Traded – (0.2)%                        
iShares 20+ Year Treasury Bond ETF, August Strike Price $99, Expires 8/04/23     (116 )     (1,148,400 )     (5,800 )
iShares iBoxx High Yield Corporate Bond ETF, September Strike Price $72, Expires 9/15/23     (160 )     (1,152,000 )     (5,280 )
U.S. Treasury 2 Year Note, July Strike Price $102, Expires 7/21/23     (28 )     (5,684,000 )     (10,063 )
                      (21,143 )
                         
Total Written Options (Premiums Received $87,097)                   $ (58,910 )

 

See Notes to Financial Statements.

 

43

 

 

Simplify Aggregate Bond PLUS Credit Hedge ETF

Schedule of Investments (Continued)

June 30, 2023

 

 

(a) Subject to written put or call options.
(b) Securities with an aggregate market value of $2,638,655 have been pledged as collateral for options as of June 30, 2023.
(c) Represents a zero coupon bond. Rate shown reflects the effective yield.

 

At June 30, 2023, open futures contracts were as follows:

 

    Number of
Contracts
    Notional
Value
    Expiration
Date
   

Value/

Unrealized
Appreciation
(Depreciation)

 
Long position contracts:                            
U.S. Treasury 10 Year Note   31     $ 3,480,234     9/20/23     $ (28,513 )

 

At June 30, 2023, over the counter total return swap contracts outstanding were as follows:

 

Reference
Obligation/Index
  Termination
Date(a)
  Financing
Rate Paid
(Received)
by the Fund
    Counterparty   Notional
Amount
    Unrealized
Appreciation/
(Depreciation)(b)
 
Morgan Stanley Custom Junk Index*   2/15/2024     4.77 %(c)    Morgan Stanley Capital Services LLC     485,679     $ (6,081 )
Morgan Stanley Custom Quality Index*   2/15/2024     5.47 %(c)    Morgan Stanley Capital Services LLC     (571,095 )     8,459  
                            $ 2,378  

 

* The components of the basket shown below.
(a) The Fund pays/receives annual coupon payments in accordance with the swap contract. On the termination date of the swap contract(s), the Fund will either receive from or pay to the counterparty an amount equal to the net of the accrued financing fees and the value of the reference security subtracted from the original notional cost (notional multiplied by the price change of the reference security).
(b) There are no upfront payments on the swap contracts, therefore the unrealized gain (loss) on the swap contracts is equal to their market value.
(c) Payments made quarterly.

 

* The following table shows the individual positions and related values of the securities within the Morgan Stanley Custom Junk Index basket.

 

    Shares     Value     % of
basket
 
Common Stocks                        
Basic Materials                        
Alcoa Corp.     (101 )   $ (3,435 )     0.70 %
Axalta Coating Systems Ltd.     (152 )     (4,971 )     1.01 %
Chemours Co. (The)     (144 )     (5,308 )     1.08 %
Cleveland-Cliffs, Inc.     (266 )     (4,464 )     0.90 %
Sylvamo Corp.     (51 )     (2,078 )     0.42 %
U.S. Steel Corp.     (161 )     (4,016 )     0.81 %
              (24,272 )        
Communications                        
Altice USA, Inc., Class A     (1,617 )     (4,883 )     0.99 %
AT&T, Inc.     (421 )     (6,718 )     1.36 %
Commscope Holding Co., Inc.     (998 )     (5,621 )     1.14 %
Dish Network Corp., Class A     (807 )     (5,320 )     1.08 %
EchoStar Corp, Class A     (72 )     (1,251 )     0.25 %
Lumen Technologies, Inc.     (2,254 )     (5,094 )     1.03 %
Nexstar Media Group, Inc., Class A     (30 )     (4,922 )     1.00 %
Paramount Global, Class B     (316 )     (5,025 )     1.02 %

 

See Notes to Financial Statements.

 

44

 

 

Simplify Aggregate Bond PLUS Credit Hedge ETF

Schedule of Investments (Continued)

June 30, 2023

 

 

    Shares     Value     % of
basket
 
Common Stocks (continued)                        
Communications (continued)                        
Telephone And Data Systems, Inc.     (646 )   $ (5,313 )     1.08 %
Viasat, Inc.     (110 )     (4,534 )     0.92 %
Warner Bros Discovery Inc.     (433 )     (5,431 )     1.10 %
Wayfair Inc, Class A     (46 )     (2,977 )     0.61 %
              (57,089 )        
Consumer, Cyclical                        
Alaska Air Group, Inc.     (100 )     (5,309 )     1.08 %
American Airlines Group, Inc.     (306 )     (5,488 )     1.11 %
Aramark     (123 )     (5,279 )     1.07 %
Caesars Entertainment, Inc.     (102 )     (5,205 )     1.06 %
Carnival Corp.     (319 )     (6,003 )     1.22 %
Carvana Co., Class A     (187 )     (4,846 )     0.98 %
Copa Holdings SA, Class A     (19 )     (2,100 )     0.43 %
Core & Main, Inc., Class A     (70 )     (2,178 )     0.44 %
Delta Air Lines, Inc.     (123 )     (5,850 )     1.19 %
Ford Motor Co.     (85 )     (1,291 )     0.26 %
Gap, Inc. (The)     (508 )     (4,536 )     0.92 %
Hanesbrands, Inc.     (963 )     (4,374 )     0.89 %
Jetblue Airways Corp.     (617 )     (5,462 )     1.11 %
Kohl’s Corp.     (187 )     (4,309 )     0.87 %
Lions Gate Entertainment Corp, Class B     (280 )     (2,342 )     0.47 %
Nordstrom Inc.     (226 )     (4,620 )     0.94 %
Norwegian Cruise Line Holdings Ltd.     (258 )     (5,626 )     1.14 %
Penn Entertainment Inc.     (194 )     (4,663 )     0.95 %
PVH Corp.     (48 )     (4,050 )     0.82 %
Qurate Retail, Inc., Series A     (5,381 )     (5,326 )     1.08 %
Resideo Technologies Inc.     (88 )     (1,554 )     0.31 %
RH     (15 )     (4,983 )     1.01 %
Sally Beauty Holdings Inc.     (104 )     (1,286 )     0.26 %
Southwest Airlines Co.     (156 )     (5,639 )     1.14 %
Thor Industries, Inc.     (19 )     (1,999 )     0.40 %
Toll Brothers Inc.     (65 )     (5,161 )     1.05 %
Travel + Leisure Co.     (119 )     (4,782 )     0.97 %
United Airlines Holdings, Inc.     (96 )     (5,247 )     1.06 %
Vroom Inc.     (4,110 )     (5,919 )     1.20 %
Walgreens Boots Alliance, Inc.     (167 )     (4,761 )     0.97 %
              (130,188 )        
Consumer, Non-cyclical                        
ADT Inc.     (799 )     (4,820 )     0.98 %
Brookdale Senior Living Inc.     (908 )     (3,834 )     0.78 %
Cardinal Health Inc.     (58 )     (5,474 )     1.11 %
Clarivate PLC     (524 )     (4,995 )     1.01 %
Coty, Inc., Class A     (396 )     (4,869 )     0.99 %
DaVita, Inc.     (52 )     (5,178 )     1.05 %
Exact Sciences Corp.     (39 )     (3,651 )     0.74 %
Grocery Outlet Holding Corp.     (91 )     (2,796 )     0.57 %
Guardant Health, Inc.     (130 )     (4,664 )     0.94 %
Herbalife Ltd.     (397 )     (5,258 )     1.07 %
Ionis Pharmaceuticals Inc.     (74 )     (3,049 )     0.62 %

 

See Notes to Financial Statements.

 

45

 

 

Simplify Aggregate Bond PLUS Credit Hedge ETF

Schedule of Investments (Continued)

June 30, 2023

 

 

    Shares     Value     % of
basket
 
Common Stocks (continued)                        
Consumer, Non-cyclical (continued)                        
Jazz Pharmaceuticals PLC     (38 )   $ (4,742 )     0.96 %
Kroger Co. (The)     (119 )     (5,570 )     1.13 %
Nektar Therapeutics, Class A     (3,541 )     (2,037 )     0.41 %
Novavax Inc.     (612 )     (4,547 )     0.92 %
Organon & Co.     (241 )     (5,022 )     1.02 %
Pediatrix Medical Group Inc.     (90 )     (1,275 )     0.26 %
Perrigo Co. PLC     (143 )     (4,862 )     0.99 %
Post Holdings, Inc.     (56 )     (4,881 )     0.99 %
Sabre Corp.     (1,389 )     (4,432 )     0.90 %
Stoneco Ltd., Class A     (373 )     (4,757 )     0.96 %
TreeHouse Foods, Inc.     (76 )     (3,834 )     0.78 %
US Foods Holding Corp.     (118 )     (5,205 )     1.05 %
Viatris, Inc.     (514 )     (5,127 )     1.04 %
              (104,879 )        
Energy                        
Apa Corp.     (148 )     (5,066 )     1.03 %
Cheniere Energy, Inc.     (34 )     (5,106 )     1.04 %
Equities Corp.     (123 )     (5,061 )     1.03 %
Kosmos Energy Ltd.     (788 )     (4,719 )     0.96 %
Marathon Petroleum Corp.     (49 )     (5,734 )     1.16 %
New Fortress Energy Inc, Class A     (164 )     (4,382 )     0.89 %
NOV Inc.     (293 )     (4,701 )     0.95 %
Occidental Petroleum Corp.     (96 )     (5,663 )     1.15 %
PBF Energy Inc, Class A     (122 )     (4,997 )     1.01 %
Sunrun, Inc.     (246 )     (4,387 )     0.89 %
Valero Energy Corp.     (48 )     (5,647 )     1.14 %
              (55,463 )        
Financial                        
Air Lease Corp., Class A     (117 )     (4,876 )     0.99 %
Bread Financial Holdings Inc.     (159 )     (5,002 )     1.01 %
Western Union Co. (The)     (424 )     (4,975 )     1.01 %
              (14,853 )        
Industrial                        
Berry Global Group, Inc.     (78 )     (5,008 )     1.02 %
Energizer Holdings Inc.     (146 )     (4,896 )     0.99 %
FedEx Corp.     (24 )     (5,863 )     1.19 %
Fluor Corp.     (83 )     (2,459 )     0.50 %
Gates Industrial Corp. PLC     (252 )     (3,400 )     0.69 %
General Electric Co.     (53 )     (5,799 )     1.18 %
MasTec Inc.     (13 )     (1,493 )     0.30 %
O-I Glass, Inc., Class I     (234 )     (4,984 )     1.01 %
Royal Caribbean Cruises Ltd.     (46 )     (4,807 )     0.97 %
Ryder System, Inc.     (60 )     (5,061 )     1.03 %
Silgan Holdings, Inc.     (46 )     (2,165 )     0.44 %
Spirit Aerosystems Holdings, Inc., Class A     (163 )     (4,761 )     0.96 %
TD SYNNEX Corp.     (50 )     (4,669 )     0.95 %
Vertiv Holdings Co., Class A     (214 )     (5,313 )     1.08 %
Westrock Co.     (175 )     (5,085 )     1.03 %
XPO Inc.     (85 )     (4,988 )     1.01 %
              (70,751 )        

 

See Notes to Financial Statements.

 

46

 

 

Simplify Aggregate Bond PLUS Credit Hedge ETF

Schedule of Investments (Continued)

June 30, 2023

 

 

    Shares     Value     % of
basket
 
Common Stocks (continued)                        
Technology                        
Dell Technologies, Inc., Class C     (98 )   $ (5,316 )     1.08 %
Dxc Technology Co.     (182 )     (4,854 )     0.98 %
Fastly Inc, Class A     (279 )     (4,395 )     0.89 %
Kyndryl Holdings Inc.     (319 )     (4,237 )     0.86 %
NCR Corp.     (196 )     (4,946 )     1.00 %
SolarWinds Corp.     (231 )     (2,367 )     0.48 %
Western Digital Corp.     (125 )     (4,735 )     0.96 %
Xerox Holdings Corp.     (321 )     (4,784 )     0.97 %
              (35,634 )        
Total           $ (493,129 )     100.00 %

 

* The following table shows the individual positions and related values of the securities within the Morgan Stanley Custom Quality Index basket.

 

    Shares     Value     % of
basket
 
Common Stocks                        
Basic Materials                        
Diversey Holdings Ltd.     689     $ 5,782       1.00 %
International Flavors & Fragrances, Inc.     73       5,782       0.99 %
Rpm International, Inc.     68       6,098       1.05 %
Sherwin-Williams Co/The     23       6,147       1.06 %
              23,809          
Communications                        
Interpublic Group of Cos., Inc. (The)     142       5,489       0.94 %
Meta Platforms, Inc., Class A     20       5,881       1.01 %
Omnicom Group, Inc.     60       5,748       0.99 %
Sirius XM Holdings, Inc.     1,508       6,831       1.18 %
              23,949          
Consumer, Cyclical                        
Autozone, Inc.     2       5,766       0.99 %
Domino’s Pizza, Inc.     18       5,980       1.03 %
Home Depot, Inc. (The)     19       5,940       1.02 %
LKQ Corp.     106       6,173       1.06 %
Lululemon Athletica Inc.     15       5,713       0.98 %
Marriott International, Inc./Md, Class A     33       6,004       1.03 %
O’reilly Automotive, Inc.     6       5,948       1.03 %
Pool Corp.     16       6,052       1.04 %
Tempur Sealy International Inc.     149       5,983       1.03 %
Wyndham Hotels & Resorts, Inc.     83       5,667       0.98 %
Yum! Brands, Inc.     41       5,748       0.99 %
              64,974          
Consumer, Non-cyclical                        
Avery Dennison Corp.     34       5,869       1.01 %
Chemed Corp.     11       5,757       0.99 %
Cigna Group (The)     21       6,013       1.03 %
Colgate-Palmolive Co.     75       5,793       1.00 %
CVS Health Corp.     83       5,745       0.99 %
Danaher Corp.     24       5,692       0.98 %
Elevance Health Inc.     13       5,680       0.98 %
Fleetcor Technologies, Inc.     24       5,932       1.02 %

 

See Notes to Financial Statements.

 

47

 

 

Simplify Aggregate Bond PLUS Credit Hedge ETF

Schedule of Investments (Continued)

June 30, 2023

 

 

    Shares     Value     % of
basket
 
Common Stocks (continued)                        
Consumer, Non-cyclical (continued)                        
Global Payments, Inc.     57     $ 5,581       0.96 %
Grand Canyon Education, Inc.     56       5,831       1.00 %
Hershey Co. (The)     22       5,528       0.95 %
J M Smucker Co/The     38       5,578       0.96 %
Johnson & Johnson     35       5,838       1.00 %
Kraft Heinz Co. (The)     157       5,561       0.96 %
McKesson Corp.     14       6,169       1.06 %
Moody’s Corp.     17       5,765       0.99 %
Philip Morris International, Inc.     61       5,951       1.02 %
Rollins, Inc.     139       5,940       1.02 %
Sotera Health Co.     384       7,234       1.24 %
Stryker Corp.     20       5,960       1.03 %
Thermo Fisher Scientific Inc.     11       5,631       0.97 %
UnitedHealth Group Inc.     12       5,958       1.03 %
Verisk Analytics, Inc., Class A     26       5,813       1.00 %
              134,819          
Energy                        
Antero Midstream Corp.     526       6,107       1.05 %
Oneok, Inc.     95       5,833       1.00 %
Texas Pacific Land Corp.     4       5,582       0.96 %
              17,522          
Financial                        
Aflac, Inc.     83       5,779       0.99 %
American Express Co.     33       5,788       1.00 %
American Financial Group, Inc./Oh     50       5,951       1.02 %
Arthur J Gallagher & Co.     27       5,936       1.02 %
AvalonBay Communities, Inc.     30       5,737       0.99 %
Brown & Brown, Inc.     87       6,019       1.04 %
Cboe Global Markets, Inc.     42       5,772       0.99 %
Credit Acceptance Corp.     11       5,764       0.99 %
Discover Financial Services     49       5,755       0.99 %
Erie Indemnity Co, Class A     27       5,571       0.96 %
Extra Space Storage Inc.     40       5,897       1.02 %
First American Financial Corp.     102       5,816       1.00 %
Intercontinental Exchange, Inc.     51       5,811       1.00 %
Life Storage Inc.     44       5,897       1.01 %
OMEGA Healthcare Investors, Inc.     185       5,683       0.98 %
OneMain Holdings Inc, Class A     132       5,766       0.99 %
Primerica Inc.     30       5,856       1.01 %
ProLogis, Inc.     47       5,818       1.00 %
Rocket Cos Inc, Class A     619       5,546       0.95 %
Synchrony Financial     173       5,858       1.01 %
Western Alliance Bancorp     149       5,421       0.93 %
              121,441          
Industrial                        
Allegion PLC     49       5,828       1.00 %
AMETEK Inc.     37       5,966       1.03 %
Amphenol Corp., Class A     71       5,992       1.03 %
CH Robinson Worldwide, Inc.     61       5,714       0.98 %
Dover Corp.     39       5,798       1.00 %

 

See Notes to Financial Statements.

 

48

 

 

Simplify Aggregate Bond PLUS Credit Hedge ETF

Schedule of Investments (Continued)

June 30, 2023

 

 

    Shares     Value     % of
basket
 
Common Stocks (continued)                        
Industrial (continued)                        
Esab Corp.     88     $ 5,847       1.01 %
Fortune Brands Innovations Inc.     86       6,173       1.06 %
Generac Holdings Inc.     47       7,058       1.21 %
Mettler-Toledo International Inc.     4       5,669       0.97 %
Middleby Corp. (The)     40       5,904       1.02 %
Nordson Corp.     24       6,058       1.04 %
Pentair PLC     95       6,115       1.05 %
Stanley Black & Decker Inc.     63       5,916       1.02 %
Trex Co., Inc.     97       6,380       1.10 %
              84,418          
Technology                        
Accenture PLC, Class A     18       5,504       0.95 %
Black Knight, Inc.     99       5,940       1.02 %
Broadridge Financial Solutions, Inc.     36       5,990       1.03 %
Cognizant Technology Solutions Corp., Class A     89       5,823       1.00 %
Dynatrace Inc.     110       5,678       0.98 %
Fidelity National Information Services, Inc.     107       5,845       1.01 %
Fiserv, Inc.     48       6,054       1.04 %
International Business Machine     42       5,584       0.96 %
Intuit, Inc.     13       5,799       1.00 %
N-able Inc.     394       5,684       0.98 %
Paychex, Inc.     51       5,702       0.98 %
Texas Instruments, Inc.     32       5,838       1.00 %
Tyler Technologies Inc.     15       6,095       1.05 %
Zebra Technologies Corp., Class A     20       6,004       1.03 %
              81,540          
Utilities                        
Alliant Energy Corp.     107       5,639       0.97 %
Essential Utilities Inc.     139       5,535       0.95 %
Eversource Energy     81       5,768       1.00 %
NRG Energy, Inc.     168       6,283       1.08 %
Xcel Energy Inc.     90       5,582       0.96 %
              28,807          
Total           $ 581,279       100.00 %

 

See Notes to Financial Statements.

 

49

 

 

Simplify Aggregate Bond PLUS Credit Hedge ETF

Schedule of Investments (Continued)

June 30, 2023

 

 

Affiliates

 

Fiscal year 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 Interest Rate Hedge ETF   $ 32,075     $ 755,376     $ (772,240 )   $ (9,463 )   $ (5,748 )   $           $ 299     $  
Simplify Volatility Premium ETF           653,269       (650,773 )     (2,496 )                       6,400        
    $ 32,075     $ 1,408,645     $ (1,423,013 )   $ (11,959 )   $ (5,748 )   $           $ 6,699     $  

 

Summary of Investment Type

 

    % of  
Industry   Net Assets  
Exchange-Traded Funds     62.2 %
U.S. Government Obligations     30.4 %
U.S. Treasury Bills     4.1 %
Total Investments     96.7 %
Other Assets in Excess of Liabilities     3.3 %
Net Assets     100.0 %

 

See Notes to Financial Statements.

 

50

 

 

Simplify Developed Ex-US PLUS Downside Convexity ETF

Schedule of Investments

June 30, 2023

 

 

    Shares     Value  
Exchange-Traded Funds – 99.7%                
iShares Core MSCI EAFE ETF(a)(b)                
(Cost $17,750,673)     247,877     $ 16,731,698  

 

    Number of
Contracts
    Notional
Amount
       
Purchased Options – 0.9%                        
                         
Puts – Exchange-Traded – 0.9%                        
iShares MSCI EAFE ETF, July Strike Price $67, Expires 7/21/23     2,247     $ 15,054,900       14,111  
iShares MSCI EAFE ETF, August Strike Price $62, Expires 8/18/23     4,737       29,369,400       46,091  
iShares MSCI EAFE ETF, September Strike Price $62, Expires 9/15/23     4,967       30,795,400       85,234  
                      145,436  
                         
Total Purchased Options (Cost $328,192)                     145,436  

 

    Shares        
Money Market Funds – 1.8%                
Fidelity Investments Money Market Treasury Only Portfolio - Class I, 4.81%(c)                
(Cost $305,744)     305,744       305,744  
                 
Total Investments – 102.4%                
(Cost $18,384,609)           $ 17,182,878  
Liabilities in Excess of Other Assets – (2.4)%             (405,321 )
Net Assets – 100.0%           $ 16,777,557  

 

    Number of
Contracts
    Notional
Amount
       
Written Options – (0.7)%                        
                         
Puts – Exchange-Traded – (0.7)%                        
iShares MSCI EAFE ETF, July Strike Price $64, Expires 7/21/23     (2,247 )   $ (14,380,800 )   $ (9,280 )
iShares MSCI EAFE ETF, August Strike Price $59, Expires 8/18/23     (4,737 )     (27,948,300 )     (35,480 )
iShares MSCI EAFE ETF, September Strike Price $59, Expires 9/15/23     (4,967 )     (29,305,300 )     (66,012 )
                      (110,772 )
                         
Total Written Options (Premiums Received $174,748)                   $ (110,772 )

 

(a) A copy of the security’s annual report to shareholders may be obtained without charge at www.ishares.com.
(b) Securities with an aggregate market value of $13,500,000 have been pledged as collateral for options as of June 30, 2023.
(c) Rate shown reflects the 7-day yield as of June 30, 2023.

 

See Notes to Financial Statements.

 

51

 

 

Simplify Developed Ex-US PLUS Downside Convexity ETF

Schedule of Investments (Continued)

June 30, 2023

 

 

Summary of Investment Type

 

Industry   % of
Net Assets
 
Exchange-Traded Funds     99.7 %
Purchased Options     0.9 %
Money Market Funds     1.8 %
Total Investments     102.4 %
Liabilities in Excess of Other Assets     (2.4 )%
Net Assets     100.0 %

 

See Notes to Financial Statements.

 

52

 

 

Simplify Emerging Markets Equity PLUS Downside Convexity ETF

Schedule of Investments

June 30, 2023

 

 

    Shares     Value  
Exchange-Traded Funds – 99.7%                
iShares Core MSCI Emerging Markets ETF(a)(b)                
(Cost $4,686,544)     82,141     $ 4,048,730  

 

    Number of
Contracts
    Notional
Amount
       
Purchased Options – 0.7%                        
                         
Puts – Exchange-Traded – 0.7%                        
iShares MSCI Emerging Markets ETF, July Strike Price $36, Expires 7/21/23     675     $ 2,430,000       2,761  
iShares MSCI Emerging Markets ETF, August Strike Price $34, Expires 8/18/23     1,738       5,909,200       9,715  
iShares MSCI Emerging Markets ETF, August Strike Price $35, Expires 8/18/23     72       252,000       512  
iShares MSCI Emerging Markets ETF, September Strike Price $34, Expires 9/15/23     1,490       5,066,000       14,304  
iShares MSCI Emerging Markets ETF, September Strike Price $35, Expires 9/15/23     135       472,500       1,716  
                      29,008  
                         
Total Purchased Options (Cost $60,667)                     29,008  

 

    Shares        
Money Market Funds – 0.6%                
Fidelity Investments Money Market Treasury Only Portfolio - Class I, 4.81%(c)                
(Cost $25,269)     25,269       25,269  
                 
Total Investments – 101.0%                
(Cost $4,772,480)           $ 4,103,007  
Liabilities in Excess of Other Assets – (1.0)%             (40,078 )
Net Assets – 100.0%           $ 4,062,929  

 

    Number of
Contracts
    Notional
Amount
       
Written Options – (0.5)%                        
                         
Puts – Exchange-Traded – (0.5)%                        
iShares MSCI Emerging Markets ETF, July Strike Price $34, Expires 7/21/23     (675 )   $ (2,295,000 )   $ (1,924 )
iShares MSCI Emerging Markets ETF, August Strike Price $32, Expires 8/18/23     (1,810 )     (5,792,000 )     (7,149 )
iShares MSCI Emerging Markets ETF, September Strike Price $32, Expires 9/15/23     (1,625 )     (5,200,000 )     (10,335 )
                      (19,408 )
                         
Total Written Options (Premiums Received $27,425)                   $ (19,408 )

 

(a) A copy of the security’s annual report to shareholders may be obtained without charge at www.ishares.com.
(b) Securities with an aggregate market value of $3,795,330 have been pledged as collateral for options as of June 30, 2023.
(c) Rate shown reflects the 7-day yield as of June 30, 2023.

 

See Notes to Financial Statements.

 

53

 

 

Simplify Emerging Markets Equity PLUS Downside Convexity ETF

Schedule of Investments (Continued)

June 30, 2023

 

 

Summary of Investment Type

 

Industry   % of
Net Assets
 
Exchange-Traded Funds     99.7 %
Purchased Options     0.7 %
Money Market Funds     0.6 %
Total Investments     101.0 %
Liabilities in Excess of Other Assets     (1.0 )%
Net Assets     100.0 %

 

See Notes to Financial Statements.

 

54

 

 

Simplify Enhanced Income ETF

Schedule of Investments

June 30, 2023

 

 

    Principal     Value  
U.S. Treasury Bills – 98.8%                
U.S. Treasury Bill, 4.92%, 8/10/2023(a)   $ 10,725,500     $ 10,667,478  
U.S. Treasury Bill, 5.10%, 8/15/2023(a)     1,090,000       1,083,301  
U.S. Treasury Bill, 5.40%, 10/3/2023(a)     5,730,000       5,654,438  
U.S. Treasury Bill, 5.43%, 12/21/2023(a)     8,100,000       7,898,583  
Total U.S. Treasury Bills (Cost $25,301,818)             25,303,800  
                 
Total Investments – 98.8%                
(Cost $25,301,818)           $ 25,303,800  
Other Assets in Excess of Liabilities – 1.2%             306,938  
Net Assets – 100.0%           $ 25,610,738  

 

(a) Represents a zero coupon bond. Rate shown reflects the effective yield.

 

Summary of Investment Type

 

Industry   % of
Net Assets
 
U.S. Treasury Bills     98.8 %
Total Investments     98.8 %
Other Assets in Excess of Liabilities     1.2 %
Net Assets     100.0 %

 

See Notes to Financial Statements.

 

55

 

 

Simplify Health Care ETF

Schedule of Investments

June 30, 2023

 

 

    Shares     Value  
Common Stocks – 97.0%                
Consumer, Non-cyclical – 93.9%                
Abbott Laboratories     21,470     $ 2,340,659  
AbbVie, Inc.     12,814       1,726,430  
ACADIA Pharmaceuticals, Inc.*     1,355       32,452  
Amedisys, Inc.*     716       65,471  
Amgen, Inc.     1,339       297,285  
Argenx SE, ADR*     3,073       1,197,640  
AtriCure, Inc.*     11,650       575,044  
Baxter International, Inc.     5,351       243,792  
Becton Dickinson & Co.     5,760       1,520,698  
Biogen, Inc.*     2,989       851,417  
Bio-Techne Corp.     4,628       377,784  
Boston Scientific Corp*     11,812       638,911  
Cigna Corp. (The)     6,643       1,864,026  
Cooper Cos., Inc. (The)     4,031       1,545,606  
Danaher Corp.     644       154,560  
Dexcom, Inc.*     17,063       2,192,766  
Edwards Lifesciences Corp.*     869       81,973  
Eli Lilly & Co.     6,189       2,902,517  
Embecta Corp.     703       15,185  
Establishment Labs Holdings, Inc.*     12,878       883,560  
Exact Sciences Corp*     22,133       2,078,289  
Fulcrum Therapeutics, Inc.*     231,296       763,277  
Gilead Sciences, Inc.     11,210       863,955  
HCA Healthcare, Inc.     719       218,202  
Henry Schein, Inc.*     1,780       144,358  
Humana, Inc.     626       279,903  
IDEXX Laboratories, Inc.*     1,427       716,682  
Illumina, Inc.*     440       82,496  
Intuitive Surgical, Inc.*     6,113       2,090,279  
IQVIA Holdings, Inc.*     1,982       445,494  
Johnson & Johnson     23,706       3,923,817  
Lantheus Holdings, Inc.*     2,209       185,379  
LivaNova PLC*     4,350       223,721  
Medtronic PLC     47,519       4,186,424  
Merck & Co Inc.     3,797       438,136  
Penumbra, Inc.*     3,479       1,196,985  
Pfizer Inc.     1,337       49,041  
QuidelOrtho Corp.*     3,918       324,645  
Regeneron Pharmaceuticals, Inc.*     3,719       2,672,250  
Revvity, Inc.     2,422       287,709  
Sanofi, ADR     80,813       4,355,821  
Stryker Corp.     4,484       1,368,024  
Syndax Pharmaceuticals, Inc.*     12,809       268,092  
Tenet Healthcare Corp.*     10,617       864,011  
Thermo Fisher Scientific Inc.     3,258       1,699,861  
UnitedHealth Group Inc.     997       479,198  
Vertex Pharmaceuticals, Inc.*     7,491       2,636,158  
Zimmer Biomet Holdings Inc.     19,488       2,837,453  

 

See Notes to Financial Statements.

 

56

 

 

Simplify Health Care ETF

Schedule of Investments (Continued)

June 30, 2023

 

 

    Shares     Value  
Common Stocks (continued)                
Consumer, Non-cyclical (continued)                
Zoetis, Inc.     1,443     $ 248,499  
              55,435,935  
Industrial – 2.8%                
Agilent Technologies, Inc.     837       100,649  
PureCycle Technologies, Inc.*     143,490       1,533,908  
              1,634,557  
Technology – 0.3%                
Veeva Systems Inc, Class A*     979       193,578  
Total Common Stocks (Cost $55,608,332)             57,264,070  
                 
Money Market Funds – 0.3%                
Fidelity Investments Money Market Treasury Only Portfolio - Class I, 4.81%(a)                
(Cost $179,500)     179,500       179,500  
                 
Total Investments – 97.3%                
(Cost $55,787,832)           $ 57,443,570  
Other Assets in Excess of Liabilities – 2.7%             1,620,451  
Net Assets – 100.0%           $ 59,064,021  

 

* Non Income Producing
(a) Rate shown reflects the 7-day yield as of June 30, 2023.
ADR: American Depositary Receipt

 

Summary of Investment Type

 

Industry   % of
Net Assets
 
Common Stocks     97.0 %
Money Market Funds     0.3 %
Total Investments     97.3 %
Other Assets in Excess of Liabilities     2.7 %
Net Assets     100.0 %

 

See Notes to Financial Statements.

 

57

 

 

Simplify Hedged Equity ETF

Schedule of Investments

June 30, 2023

 

 

    Shares     Value  
Exchange-Traded Funds – 102.3%                
iShares Core S&P 500 ETF(a)(b)                
(Cost $100,435,110)     245,008     $ 109,202,515  

 

    Number of
Contracts
    Notional
Amount
       
Purchased Options – 0.3%                        
                         
Puts – Exchange-Traded – 0.3%                        
S&P 500 Index, July Strike Price $3,920, Expires 7/21/23     82     $ 32,144,000       15,785  
S&P 500 Index, August Strike Price $3,965, Expires 8/18/23     83       32,909,500       65,570  
S&P 500 Index, September Strike Price $4,210, Expires 9/15/23     79       33,259,000       274,130  
                      355,485  
                         
Total Purchased Options (Cost $1,346,178)                     355,485  

 

    Shares        
Money Market Funds – 0.3%                
Fidelity Investments Money Market Treasury Only Portfolio - Class I, 4.81%(c)                
(Cost $368,970)     368,970       368,970  
                 
Total Investments – 102.9%                
(Cost $102,150,258)           $ 109,926,970  
Liabilities in Excess of Other Assets – (2.9)%             (3,129,775 )
Net Assets – 100.0%           $ 106,797,195  

 

    Number of
Contracts
    Notional
Amount
       
Written Options – (2.6)%                        
                         
Calls – Exchange-Traded – (2.5)%                        
S&P 500 Index, July Strike Price $4,310, Expires 7/21/23     (82 )   $ (35,342,000 )   $ (1,265,260 )
S&P 500 Index, August Strike Price $4,360, Expires 8/18/23     (83 )     (36,188,000 )     (1,211,800 )
S&P 500 Index, September Strike Price $4,650, Expires 9/15/23     (79 )     (36,735,000 )     (203,425 )
                      (2,680,485 )
Puts – Exchange-Traded – (0.1)%                        
S&P 500 Index, July Strike Price $3,300, Expires 7/21/23     (82 )     (27,060,000 )     (3,690 )
S&P 500 Index, August Strike Price $3,340, Expires 8/18/23     (83 )     (27,722,000 )     (15,148 )
S&P 500 Index, September Strike Price $3,550, Expires 9/15/23     (79 )     (28,045,000 )     (48,980 )
                      (67,818 )
                         
Total Written Options (Premiums Received $1,524,896)                   $ (2,748,303 )

 

(a) A copy of the security’s annual report to shareholders may be obtained without charge at www.ishares.com.
(b) Securities with an aggregate market value of $4,457,100 have been pledged as collateral for options as of June 30, 2023.
(c) Rate shown reflects the 7-day yield as of June 30, 2023.

 

See Notes to Financial Statements.

 

58

 

 

Simplify Hedged Equity ETF

Schedule of Investments (Continued)

June 30, 2023

 

 

Summary of Investment Type

 

Industry   % of
Net Assets
 
Exchange-Traded Funds     102.3 %
Purchased Options     0.3 %
Money Market Funds     0.3 %
Total Investments     102.9 %
Liabilities in Excess of Other Assets     (2.9 )%
Net Assets     100.0 %

 

See Notes to Financial Statements.

 

59

 

 

Simplify High Yield PLUS Credit Hedge ETF

Schedule of Investments

June 30, 2023

 

 

    Principal     Value  
U.S. Treasury Bills – 99.8%                
U.S. Treasury Bill, 4.90%, 8/8/2023(a)   $ 2,700,000     $ 2,686,169  
U.S. Treasury Bill, 4.92%, 8/10/2023(a)(b)     23,200,000       23,074,495  
U.S. Treasury Bill, 5.33%, 10/3/2023(a)     19,660,000       19,400,742  
Total U.S. Treasury Bills (Cost $45,154,089)             45,161,406  

 

    Number of
Contracts
    Notional
Amount
       
Purchased Options – 0.1%                        
                         
Puts – Exchange-Traded – 0.1%                        
S&P 500 Index, July Strike Price $3,855, Expires 7/21/23     8       3,084,000       1,340  
S&P 500 Index, August Strike Price $3,720, Expires 8/18/23     33       12,276,000       13,530  
S&P 500 Index, September Strike Price $3,720, Expires 9/15/23     20       7,440,000       18,100  
                      32,970  
                         
Total Purchased Options (Cost $85,818)                     32,970  
                         
Total Investments – 99.9%                        
(Cost $45,239,907)                   $ 45,194,376  
Other Assets in Excess of Liabilities – 0.1%                     46,171  
Net Assets – 100.0%                   $ 45,240,547  

 

    Number of
Contracts
    Notional
Amount
       
Written Options – (0.0)%†                        
                         
Puts – Exchange-Traded – (0.0)%†                        
S&P 500 Index, July Strike Price $3,650, Expires 7/21/23     (8 )   $ (2,920,000 )   $ (860 )
S&P 500 Index, August Strike Price $3,500, Expires 8/18/23     (33 )     (11,550,000 )     (8,498 )
S&P 500 Index, September Strike Price $3,500, Expires 9/15/23     (20 )     (7,000,000 )     (11,500 )
                      (20,858 )
                         
Total Written Options (Premiums Received $51,992)                   $ (20,858 )

 

Less than 0.05%
(a) Represents a zero coupon bond. Rate shown reflects the effective yield.
(b) Securities with an aggregate market value of $22,975,029 have been pledged as collateral for options as of June 30, 2023.

 

At June 30, 2023, over the counter total return swap contracts outstanding were as follows:

 

Reference
Obligation/Index
   
Termination
Date(a)
  Financing
Rate Paid
(Received)
by the Fund
    Counterparty   Notional
Amount
    Unrealized
Appreciation/
(Depreciation)(b)
 
iShares iBoxx $ High Yield Corporate Bond ETF   3/17/2025     4.17 %(c)    Morgan Stanley Capital Services LLC     (44,788,715 )   $ (97,715 )
Morgan Stanley Custom Junk Index*   2/15/2024     4.77 %(c)    Morgan Stanley Capital Services LLC     12,903,872       (163,946 )
Morgan Stanley Custom Quality Index*   2/15/2024     5.47 %(c)    Morgan Stanley Capital Services LLC     (14,027,276 )     213,294  
                            $ (48,367 )

 

See Notes to Financial Statements.

 

60

 

 

Simplify High Yield PLUS Credit Hedge ETF

Schedule of Investments (Continued)

June 30, 2023

 

 

* The components of the basket shown below.
(a) The Fund pays/receives annual coupon payments in accordance with the swap contract. On the termination date of the swap contract(s), the Fund will either receive from or pay to the counterparty an amount equal to the net of the accrued financing fees and the value of the reference security subtracted from the original notional cost (notional multiplied by the price change of the reference security).
(b) There are no upfront payments on the swap contracts, therefore the unrealized gain (loss) on the swap contracts is equal to their market value.
(c) Payments made quarterly.

 

* The following table shows the individual positions and related values of the securities within the Morgan Stanley Custom Junk Index basket.

 

    Shares     Value     % of
basket
 
Common Stocks                        
Basic Materials                        
Alcoa Corp.     (2,689 )   $ (91,254 )     0.70 %
Axalta Coating Systems Ltd.     (4,026 )     (132,088 )     1.01 %
Chemours Co. (The)     (3,823 )     (141,019 )     1.08 %
Cleveland-Cliffs, Inc.     (7,077 )     (118,606 )     0.90 %
Sylvamo Corp.     (1,365 )     (55,208 )     0.42 %
U.S. Steel Corp.     (4,266 )     (106,690 )     0.81 %
              (644,865 )        
Communications                        
Altice USA, Inc., Class A     (42,964 )     (129,752 )     0.99 %
AT&T, Inc.     (11,190 )     (178,480 )     1.36 %
Commscope Holding Co., Inc.     (26,527 )     (149,345 )     1.14 %
Dish Network Corp., Class A     (21,448 )     (141,345 )     1.08 %
EchoStar Corp, Class A     (1,916 )     (33,229 )     0.25 %
Lumen Technologies, Inc.     (59,891 )     (135,353 )     1.03 %
Nexstar Media Group, Inc., Class A     (785 )     (130,767 )     1.00 %
Paramount Global, Class B     (8,391 )     (133,502 )     1.02 %
Telephone And Data Systems, Inc.     (17,152 )     (141,161 )     1.08 %
Viasat, Inc.     (2,919 )     (120,456 )     0.92 %
Warner Bros Discovery Inc.     (11,507 )     (144,292 )     1.10 %
Wayfair Inc, Class A     (1,217 )     (79,110 )     0.61 %
              (1,516,792 )        
Consumer, Cyclical                        
Alaska Air Group, Inc.     (2,652 )     (141,041 )     1.08 %
American Airlines Group, Inc.     (8,127 )     (145,804 )     1.11 %
Aramark     (3,258 )     (140,262 )     1.07 %
Caesars Entertainment, Inc.     (2,713 )     (138,293 )     1.06 %
Carnival Corp.     (8,470 )     (159,496 )     1.22 %
Carvana Co., Class A     (4,967 )     (128,756 )     0.98 %
Copa Holdings SA, Class A     (505 )     (55,798 )     0.43 %
Core & Main, Inc., Class A     (1,847 )     (57,870 )     0.44 %
Delta Air Lines, Inc.     (3,269 )     (155,427 )     1.19 %
Ford Motor Co.     (2,267 )     (34,302 )     0.26 %
Gap, Inc. (The)     (13,496 )     (120,515 )     0.92 %
Hanesbrands, Inc.     (25,596 )     (116,205 )     0.89 %
Jetblue Airways Corp.     (16,380 )     (145,128 )     1.11 %
Kohl’s Corp.     (4,967 )     (114,493 )     0.87 %
Lions Gate Entertainment Corp, Class B     (7,452 )     (62,224 )     0.47 %
Nordstrom Inc.     (5,997 )     (122,758 )     0.94 %

 

See Notes to Financial Statements.

 

61

 

 

Simplify High Yield PLUS Credit Hedge ETF

Schedule of Investments (Continued)

June 30, 2023

 

 

    Shares     Value     % of
basket
 
Common Stocks (continued)                        
Consumer, Cyclical (continued)                        
Norwegian Cruise Line Holdings Ltd.     (6,866 )   $ (149,469 )     1.14 %
Penn Entertainment Inc.     (5,156 )     (123,901 )     0.95 %
PVH Corp.     (1,266 )     (107,608 )     0.82 %
Qurate Retail, Inc., Series A     (142,954 )     (141,496 )     1.08 %
Resideo Technologies Inc.     (2,337 )     (41,274 )     0.31 %
RH     (402 )     (132,387 )     1.01 %
Sally Beauty Holdings Inc.     (2,767 )     (34,172 )     0.26 %
Southwest Airlines Co.     (4,137 )     (149,816 )     1.14 %
Thor Industries, Inc.     (513 )     (53,109 )     0.40 %
Toll Brothers Inc.     (1,734 )     (137,127 )     1.05 %
Travel + Leisure Co.     (3,149 )     (127,042 )     0.97 %
United Airlines Holdings, Inc.     (2,541 )     (139,413 )     1.06 %
Vroom Inc.     (109,201 )     (157,250 )     1.20 %
Walgreens Boots Alliance, Inc.     (4,440 )     (126,505 )     0.97 %
              (3,458,941 )        
Consumer, Non-cyclical                        
ADT Inc.     (21,238 )     (128,068 )     0.98 %
Brookdale Senior Living Inc.     (24,136 )     (101,854 )     0.78 %
Cardinal Health Inc.     (1,538 )     (145,449 )     1.11 %
Clarivate PLC     (13,925 )     (132,709 )     1.01 %
Coty, Inc., Class A     (10,525 )     (129,357 )     0.99 %
DaVita, Inc.     (1,369 )     (137,587 )     1.05 %
Exact Sciences Corp.     (1,033 )     (96,993 )     0.74 %
Grocery Outlet Holding Corp.     (2,427 )     (74,289 )     0.57 %
Guardant Health, Inc.     (3,461 )     (123,911 )     0.94 %
Herbalife Ltd.     (10,551 )     (139,693 )     1.07 %
Ionis Pharmaceuticals Inc.     (1,974 )     (81,002 )     0.62 %
Jazz Pharmaceuticals PLC     (1,016 )     (126,000 )     0.96 %
Kroger Co. (The)     (3,149 )     (147,984 )     1.13 %
Nektar Therapeutics, Class A     (94,071 )     (54,110 )     0.41 %
Novavax Inc.     (16,258 )     (120,799 )     0.92 %
Organon & Co.     (6,412 )     (133,427 )     1.02 %
Pediatrix Medical Group Inc.     (2,384 )     (33,881 )     0.26 %
Perrigo Co. PLC     (3,805 )     (129,177 )     0.99 %
Post Holdings, Inc.     (1,497 )     (129,694 )     0.99 %
Sabre Corp.     (36,913 )     (117,753 )     0.90 %
Stoneco Ltd., Class A     (9,920 )     (126,379 )     0.96 %
TreeHouse Foods, Inc.     (2,022 )     (101,864 )     0.78 %
US Foods Holding Corp.     (3,143 )     (138,302 )     1.05 %
Viatris, Inc.     (13,649 )     (136,220 )     1.04 %
              (2,786,502 )        
Energy                        
Apa Corp.     (3,939 )     (134,593 )     1.03 %
Cheniere Energy, Inc.     (890 )     (135,653 )     1.04 %
Equities Corp.     (3,269 )     (134,474 )     1.03 %
Kosmos Energy Ltd.     (20,933 )     (125,389 )     0.96 %
Marathon Petroleum Corp.     (1,306 )     (152,336 )     1.16 %
New Fortress Energy Inc, Class A     (4,348 )     (116,433 )     0.89 %
NOV Inc.     (7,787 )     (124,899 )     0.95 %

 

See Notes to Financial Statements.

 

62

 

 

Simplify High Yield PLUS Credit Hedge ETF

Schedule of Investments (Continued)

June 30, 2023

 

 

    Shares     Value    

% of

basket

 
Common Stocks (continued)                        
Energy (continued)                        
Occidental Petroleum Corp.     (2,559 )   $ (150,451 )     1.15 %
PBF Energy Inc, Class A     (3,243 )     (132,760 )     1.01 %
Sunrun, Inc.     (6,526 )     (116,554 )     0.89 %
Valero Energy Corp.     (1,279 )     (150,035 )     1.14 %
              (1,473,577 )        
Financial                        
Air Lease Corp., Class A     (3,096 )     (129,556 )     0.99 %
Bread Financial Holdings Inc.     (4,234 )     (132,904 )     1.01 %
Western Union Co. (The)     (11,268 )     (132,168 )     1.01 %
              (394,628 )        
Industrial                        
Berry Global Group, Inc.     (2,068 )     (133,068 )     1.02 %
Energizer Holdings Inc.     (3,874 )     (130,073 )     0.99 %
FedEx Corp.     (628 )     (155,771 )     1.19 %
Fluor Corp.     (2,207 )     (65,336 )     0.50 %
Gates Industrial Corp. PLC     (6,701 )     (90,325 )     0.69 %
General Electric Co.     (1,403 )     (154,066 )     1.18 %
MasTec Inc.     (336 )     (39,661 )     0.30 %
O-I Glass, Inc., Class I     (6,208 )     (132,407 )     1.01 %
Royal Caribbean Cruises Ltd.     (1,231 )     (127,729 )     0.97 %
Ryder System, Inc.     (1,586 )     (134,467 )     1.03 %
Silgan Holdings, Inc.     (1,227 )     (57,532 )     0.44 %
Spirit Aerosystems Holdings, Inc., Class A     (4,333 )     (126,491 )     0.96 %
TD SYNNEX Corp.     (1,320 )     (124,040 )     0.95 %
Vertiv Holdings Co., Class A     (5,699 )     (141,157 )     1.08 %
Westrock Co.     (4,648 )     (135,116 )     1.03 %
XPO Inc.     (2,246 )     (132,537 )     1.01 %
              (1,879,776 )        
Technology                        
Dell Technologies, Inc., Class C     (2,610 )     (141,248 )     1.08 %
Dxc Technology Co.     (4,826 )     (128,954 )     0.98 %
Fastly Inc, Class A     (7,403 )     (116,753 )     0.89 %
Kyndryl Holdings Inc.     (8,477 )     (112,570 )     0.86 %
NCR Corp.     (5,215 )     (131,406 )     1.00 %
SolarWinds Corp.     (6,129 )     (62,879 )     0.48 %
Western Digital Corp.     (3,317 )     (125,813 )     0.96 %
Xerox Holdings Corp.     (8,537 )     (127,114 )     0.97 %
              (946,737 )        
Total           $ (13,101,818 )     100.00 %

 

* The following table shows the individual positions and related values of the securities within the Morgan Stanley Custom Quality Index basket.

 

    Shares     Value    

% of

basket

 
Common Stocks                        
Basic Materials                        
Diversey Holdings Ltd.     16,927     $ 142,021       1.00 %
International Flavors & Fragrances, Inc.     1,784       142,012       0.99 %
Rpm International, Inc.     1,669       149,798       1.05 %

 

See Notes to Financial Statements.

 

63

 

 

Simplify High Yield PLUS Credit Hedge ETF

Schedule of Investments (Continued)

June 30, 2023

 

 

    Shares     Value    

% of

basket

 
Common Stocks (continued)                        
Basic Materials (continued)                        
Sherwin-Williams Co/The     569     $ 150,978       1.06 %
              584,809          
Communications                        
Interpublic Group of Cos., Inc. (The)     3,495       134,827       0.94 %
Meta Platforms, Inc., Class A     503       144,444       1.01 %
Omnicom Group, Inc.     1,484       141,184       0.99 %
Sirius XM Holdings, Inc.     37,037       167,777       1.18 %
              588,232          
Consumer, Cyclical                        
Autozone, Inc.     57       141,624       0.99 %
Domino’s Pizza, Inc.     436       146,877       1.03 %
Home Depot, Inc. (The)     470       145,900       1.02 %
LKQ Corp.     2,602       151,609       1.06 %
Lululemon Athletica Inc.     371       140,321       0.98 %
Marriott International, Inc./Md, Class A     803       147,480       1.03 %
O’reilly Automotive, Inc.     153       146,105       1.03 %
Pool Corp.     397       148,648       1.04 %
Tempur Sealy International Inc.     3,667       146,949       1.03 %
Wyndham Hotels & Resorts, Inc.     2,030       139,192       0.98 %
Yum! Brands, Inc.     1,019       141,189       0.99 %
              1,595,894          
Consumer, Non-cyclical                        
Avery Dennison Corp.     839       144,142       1.01 %
Chemed Corp.     261       141,413       0.99 %
Cigna Group (The)     526       147,700       1.03 %
Colgate-Palmolive Co.     1,847       142,295       1.00 %
CVS Health Corp.     2,041       141,096       0.99 %
Danaher Corp.     583       139,807       0.98 %
Elevance Health Inc.     314       139,515       0.98 %
Fleetcor Technologies, Inc.     580       145,699       1.02 %
Global Payments, Inc.     1,391       137,079       0.96 %
Grand Canyon Education, Inc.     1,388       143,211       1.00 %
Hershey Co. (The)     544       135,783       0.95 %
J M Smucker Co/The     928       137,017       0.96 %
Johnson & Johnson     866       143,402       1.00 %
Kraft Heinz Co. (The)     3,847       136,581       0.96 %
McKesson Corp.     355       151,510       1.06 %
Moody’s Corp.     407       141,611       0.99 %
Philip Morris International, Inc.     1,497       146,179       1.02 %
Rollins, Inc.     3,407       145,906       1.02 %
Sotera Health Co.     9,432       177,692       1.24 %
Stryker Corp.     480       146,381       1.03 %
Thermo Fisher Scientific Inc.     265       138,310       0.97 %
UnitedHealth Group Inc.     304       146,343       1.03 %
Verisk Analytics, Inc., Class A     632       142,774       1.00 %
              3,311,446          

 

See Notes to Financial Statements.

 

64

 

 

Simplify High Yield PLUS Credit Hedge ETF

Schedule of Investments (Continued)

June 30, 2023

 

 

    Shares     Value    

% of

basket

 
Common Stocks (continued)                        
Energy                        
Antero Midstream Corp.     12,931     $ 149,998       1.05 %
Oneok, Inc.     2,321       143,267       1.00 %
Texas Pacific Land Corp.     104       137,103       0.96 %
              430,368          
Financial                        
Aflac, Inc.     2,033       141,933       0.99 %
American Express Co.     816       142,170       1.00 %
American Financial Group, Inc./Oh     1,231       146,159       1.02 %
Arthur J Gallagher & Co.     664       145,796       1.02 %
AvalonBay Communities, Inc.     745       140,913       0.99 %
Brown & Brown, Inc.     2,148       147,843       1.04 %
Cboe Global Markets, Inc.     1,027       141,780       0.99 %
Credit Acceptance Corp.     279       141,570       0.99 %
Discover Financial Services     1,210       141,356       0.99 %
Erie Indemnity Co, Class A     652       136,835       0.96 %
Extra Space Storage Inc.     973       144,839       1.02 %
First American Financial Corp.     2,505       142,854       1.00 %
Intercontinental Exchange, Inc.     1,262       142,735       1.00 %
Life Storage Inc.     1,089       144,836       1.01 %
OMEGA Healthcare Investors, Inc.     4,548       139,578       0.98 %
OneMain Holdings Inc, Class A     3,242       141,625       0.99 %
Primerica Inc.     727       143,822       1.01 %
ProLogis, Inc.     1,165       142,912       1.00 %
Rocket Cos Inc, Class A     15,204       136,226       0.95 %
Synchrony Financial     4,242       143,888       1.01 %
Western Alliance Bancorp     3,651       133,162       0.93 %
              2,982,832          
Industrial                        
Allegion PLC     1,193       143,140       1.00 %
AMETEK Inc.     905       146,541       1.03 %
Amphenol Corp., Class A     1,733       147,188       1.03 %
CH Robinson Worldwide, Inc.     1,488       140,349       0.98 %
Dover Corp.     964       142,401       1.00 %
Esab Corp.     2,158       143,621       1.01 %
Fortune Brands Innovations Inc.     2,107       151,630       1.06 %
Generac Holdings Inc.     1,162       173,354       1.21 %
Mettler-Toledo International Inc.     106       139,235       0.97 %
Middleby Corp. (The)     981       145,010       1.02 %
Nordson Corp.     600       148,807       1.04 %
Pentair PLC     2,325       150,199       1.05 %
Stanley Black & Decker Inc.     1,551       145,310       1.02 %
Trex Co., Inc.     2,390       156,694       1.10 %
              2,073,479          
Technology                        
Accenture PLC, Class A     438       135,196       0.95 %
Black Knight, Inc.     2,443       145,907       1.02 %
Broadridge Financial Solutions, Inc.     888       147,119       1.03 %
Cognizant Technology Solutions Corp., Class A     2,191       143,035       1.00 %
Dynatrace Inc.     2,710       139,467       0.98 %
Fidelity National Information Services, Inc.     2,624       143,558       1.01 %

 

See Notes to Financial Statements.

 

65

 

 

Simplify High Yield PLUS Credit Hedge ETF

Schedule of Investments (Continued)

June 30, 2023

 

 

    Shares     Value    

% of

basket

 
Common Stocks (continued)                        
Technology (continued)                        
Fiserv, Inc.     1,179     $ 148,688       1.04 %
International Business Machine     1,025       137,147       0.96 %
Intuit, Inc.     311       142,436       1.00 %
N-able Inc.     9,689       139,623       0.98 %
Paychex, Inc.     1,252       140,049       0.98 %
Texas Instruments, Inc.     797       143,389       1.00 %
Tyler Technologies Inc.     359       149,713       1.05 %
Zebra Technologies Corp., Class A     499       147,475       1.03 %
              2,002,802          
Utilities                        
Alliant Energy Corp.     2,639       138,500       0.97 %
Essential Utilities Inc.     3,407       135,958       0.95 %
Eversource Energy     1,998       141,672       1.00 %
NRG Energy, Inc.     4,127       154,316       1.08 %
Xcel Energy Inc.     2,205       137,110       0.96 %
              707,556          
Total           $ 14,277,418       100.00 %

 

Summary of Investment Type

 

Industry  

% of
Net Assets

 
U.S. Treasury Bills     99.8 %
Purchased Options     0.1 %
Total Investments     99.9 %
Other Assets in Excess of Liabilities     0.1 %
Net Assets     100.0 %

 

See Notes to Financial Statements.

 

66

 

 

Simplify Interest Rate Hedge ETF

Schedule of Investments

June 30, 2023

 

 

    Principal     Value  
U.S. Treasury Bills – 54.5%                
U.S. Treasury Bill, 5.29%, 9/7/2023(a)   $ 20,700,000     $ 20,504,581  
U.S. Treasury Bill, 5.33%, 10/3/2023(a)     99,500,000       98,187,885  
Total U.S. Treasury Bills (Cost $118,650,917)             118,692,466  
                 
U.S. Government Obligations – 46.3%                
U.S. Treasury Note, 4.25%, 10/15/2025(b)                
(Cost $101,390,191)   $ 102,000,000       100,860,468  

 

   

Notional

Amount

       
Purchased Swaptions – (3.0)%                
                 
Puts – Over the Counter – (3.0)%                
Interest Rate Swaption, pay semi annually a fixed rate of 4.00% and received quarterly a floating rate of SOFR, Expires 5/11/28 (counterparty: Bank of America NA)     230,000,000       3,753,432  
Interest Rate Swaption, pay semi annually a fixed rate of 4.50% and received quarterly a floating rate of SOFR, Expires 5/11/29 (counterparty: Bank of America NA)     20,000,000       (388,707 )
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)     260,000,000       (1,044,762 )
Interest Rate Swaption, pay semi annually a fixed rate of 4.00% and received quarterly a floating rate of SOFR, Expires 5/11/28 (counterparty: Goldman Sachs International)     160,000,000       531,050  
Interest Rate Swaption, pay semi annually a fixed rate of 4.50% and received quarterly a floating rate of SOFR, Expires 5/11/29 (counterparty: Goldman Sachs International)     370,000,000       (7,981,485 )
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)     530,000,000       (2,620,845 )
Interest Rate Swaption, pay semi annually a fixed rate of 4.00% and received quarterly a floating rate of SOFR, Expires 5/11/28 (counterparty: Morgan Stanley Capital Services LLC)     620,000,000       3,384,467  
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: Morgan Stanley Capital Services LLC)     530,000,000       (2,210,656 )
              (6,577,506 )
                 
Total Purchased Swaptions (Cost $0)             (6,577,506 )
                 
Total Investments – 97.8%                
(Cost $220,041,108)           $ 212,975,428  
Other Assets in Excess of Liabilities – 2.2%             4,880,292  
Net Assets – 100.0%           $ 217,855,720  

 

(a) Represents a zero coupon bond. Rate shown reflects the effective yield.
(b) Securities with an aggregate market value of $20,860,937 have been pledged as collateral for purchased swaptions as of June 30, 2023.

 

See Notes to Financial Statements.

 

67

 

 

Simplify Interest Rate Hedge ETF

Schedule of Investments (Continued)

June 30, 2023

 

 

At June 30, 2023, interest rate swap contracts outstanding were as follows:

 


Rate Paid
by Fund
   
Rate Received
by the Fund
  Payment
Frequency Paid/
received
 

Counterparty
 
Maturity
Date
   
Notional
Amount
   
Fair
Value
    Upfront
Premium Paid/
(Received)
    Unrealized
Appreciation/
(depreciation)
 
2.11 %   1 day SOFR   Annual/Annual   Morgan Stanley Capital Services LLC   May 15, 2048       10,000     $ 1,195     $ 0     $ 1,195  

 

Summary of Investment Type

 

    % of  
Industry   Net Assets  
U.S. Treasury Bills     54.5 %
U.S. Government Obligations     46.3 %
Purchased Swaptions     (3.0 )%
Total Investments     97.8 %
Other Assets in Excess of Liabilities     2.2 %
Net Assets     100.0 %

 

See Notes to Financial Statements.

 

68

 

 

Simplify Intermediate Term Treasury Futures Strategy ETF

Schedule of Investments

June 30, 2023

 

 

    Principal     Value  
U.S. Treasury Bills – 99.3%                
U.S. Treasury Bill, 4.97%, 8/10/2023(a)   $ 12,150,000     $ 12,084,456  
U.S. Treasury Bill, 5.10%, 8/15/2023(a)     4,750,000       4,720,989  
U.S. Treasury Bill, 5.28%, 8/29/2023(a)     8,900,000       8,827,346  
U.S. Treasury Bill, 5.37%, 10/3/2023(a)     27,700,000       27,334,717  
Total U.S. Treasury Bills (Cost $52,956,407)             52,967,508  

 

    Shares        
Money Market Funds – 0.4%                
Fidelity Investments Money Market Treasury Only Portfolio - Class I, 4.81%(b)                
(Cost $207,470)     207,470       207,470  
                 
Total Investments – 99.7%                
(Cost $53,163,877)           $ 53,174,978  
Other Assets in Excess of Liabilities – 0.3%             165,619  
Net Assets – 100.0%           $ 53,340,597  

 

(a) Represents a zero coupon bond. Rate shown reflects the effective yield.
(b) Rate shown reflects the 7-day yield as of June 30, 2023.

 

At June 30, 2023, open futures contracts were as follows:

 

   
Number of
Contracts
   
Notional
Value
   
Expiration
Date
  Value/
Unrealized
Appreciation
(Depreciation)
 
Long position contracts:                          
U.S. Treasury 10 Year Note   1,595     $ 179,063,672     9/20/23   $ (2,602,668 )

 

Summary of Investment Type

 

    % of  
Industry   Net Assets  
U.S. Treasury Bills     99.3 %
Money Market Funds     0.4 %
Total Investments     99.7 %
Other Assets in Excess of Liabilities     0.3 %
Net Assets     100.0 %

 

See Notes to Financial Statements.

 

69

 

 

Simplify Market Neutral Equity Long/Short ETF

Schedule of Investments

June 30, 2023

 

 

    Principal     Value  
U.S. Treasury Bills – 101.5%                
U.S. Treasury Bill, 5.15%, 8/8/2023(a)   $ 875,000     $ 870,518  
U.S. Treasury Bill, 5.25%, 10/3/2023(a)     3,515,000       3,468,647  
Total U.S. Treasury Bills (Cost $4,338,348)             4,339,165  
                 
Total Investments – 101.5%                
(Cost $4,338,348)           $ 4,339,165  
Liabilities in Excess of Other Assets – (1.5)%             (64,362 )
Net Assets – 100.0%           $ 4,274,803  

 

(a) Represents a zero coupon bond. Rate shown reflects the effective yield.

 

At June 30, 2023, over the counter total return swap contracts outstanding were as follows:

 


Reference
Obligation/Index
 
Termination
Date(a)
  Financing
Rate Paid
(Received)
by the Fund
   
Counterparty
 



Notional

Amount

    Unrealized
Appreciation/
(Depreciation)(b)
 
Morgan Stanley Custom Global Short Equity Index basket*   7/1/2024     4.79 %(c)   Morgan Stanley Capital Services LLC     8,689,869     $ 6,117  
Morgan Stanley Custom Global Long Equity Index basket*   7/1/2024     5.43 %(c)   Morgan Stanley Capital Services LLC     (8,664,697 )     (12,006 )
                            $ (5,889 )

 

* The components of the basket shown below.
(a) The Fund pays/receives annual coupon payments in accordance with the swap contract. On the termination date of the swap contract(s), the Fund will either receive from or pay to the counterparty an amount equal to the net of the accrued financing fees and the value of the reference security subtracted from the original notional cost (notional multiplied by the price change of the reference security).
(b) There are no upfront payments on the swap contracts, therefore the unrealized gain (loss) on the swap contracts is equal to their market value.
(c) Payments made quarterly.

 

* The following table shows the individual positions and related values of the securities within the Morgan Stanley Custom Global Short Equity Index basket.

 

    Shares     Value    

% of

basket

 
Common Stocks                        
Basic Materials                        
Ecolab, Inc.     (361 )   $ (67,438 )     0.77 %
Freeport-McMoRan, Inc.     (1,134 )     (45,339 )     0.52 %
Ivanhoe Mines Ltd., Class A     (6,280 )     (57,421 )     0.65 %
Wheaton Precious Metals Corp.     (1,123 )     (48,632 )     0.55 %
              (218,830 )        
Communications                        
Charter Communications Inc, Class A     (35 )     (13,001 )     0.15 %
Delivery Hero Se, 144A     (1,971 )     (86,897 )     0.99 %
Dentsu Group, Inc.     (1,958 )     (63,917 )     0.73 %
Grab Holdings Ltd., Class A     (5,293 )     (18,149 )     0.21 %
Hakuhodo Dy Holdings, Inc.     (2,068 )     (21,659 )     0.25 %
Just Eat Takeaway.Com NV, 144A     (1,294 )     (19,824 )     0.23 %
Liberty Media Corp.-Liberty Formula One, Class C     (1,127 )     (84,781 )     0.96 %
Liberty Media Corp.-Liberty Siriusxm, Class C     (2,698 )     (88,278 )     1.00 %

 

See Notes to Financial Statements.

 

70

 

 

Simplify Market Neutral Equity Long/Short ETF

Schedule of Investments (Continued)

June 30, 2023

 

 

    Shares     Value     % of
basket
 
Common Stocks (continued)                        
Communications (continued)                        
Pinterest Inc, Class A     (336 )   $ (9,177 )     0.10 %
Prosus NV     (426 )     (31,223 )     0.35 %
Publicis Groupe SA     (171 )     (13,679 )     0.16 %
Roku, Inc., Class A     (253 )     (16,161 )     0.18 %
Snap Inc, Class A     (2,157 )     (25,528 )     0.29 %
Softbank Group Corp.     (1,747 )     (81,952 )     0.93 %
Telecom Italia Spa/Milano     (45,136 )     (12,700 )     0.14 %
T-Mobile US, Inc.     (624 )     (86,651 )     0.99 %
Uber Technologies, Inc.     (277 )     (11,959 )     0.14 %
Verizon Communications, Inc.     (852 )     (31,663 )     0.36 %
Vivendi Se     (1,561 )     (14,325 )     0.16 %
Walt Disney Co. (The)     (833 )     (74,327 )     0.85 %
Warner Bros Discovery Inc.     (872 )     (10,934 )     0.12 %
Zillow Group Inc, Class C     (255 )     (12,820 )     0.15 %
              (829,605 )        
Consumer, Cyclical                        
Carnival Corp.     (745 )     (14,031 )     0.16 %
Flutter Entertainment PLC     (323 )     (64,915 )     0.74 %
Hasbro, Inc.     (792 )     (51,264 )     0.58 %
Japan Airlines Co. Ltd.     (596 )     (12,880 )     0.15 %
Porsche Automobil Holding Se     (1,181 )     (71,079 )     0.81 %
Sands China Ltd.     (11,288 )     (38,444 )     0.44 %
Seb SA     (185 )     (19,076 )     0.22 %
Sekisui Chemical Co. Ltd.     (709 )     (10,173 )     0.11 %
Swatch Group AG (The)     (295 )     (85,947 )     0.98 %
Toyota Industries Corp.     (1,105 )     (78,514 )     0.89 %
Yamaha Corp.     (1,542 )     (58,796 )     0.67 %
              (505,119 )        
Consumer, Non-cyclical                        
AEON Co. Ltd.     (3,046 )     (62,060 )     0.71 %
Alnylam Pharmaceuticals Inc.     (46 )     (8,697 )     0.10 %
Altria Group, Inc.     (603 )     (27,314 )     0.31 %
Associated British Foods PLC     (349 )     (8,845 )     0.10 %
Bachem Holding AG, Class B     (104 )     (9,069 )     0.10 %
Becton Dickinson & Co.     (252 )     (66,439 )     0.76 %
BIO-RAD Laboratories, Inc., Class A     (44 )     (16,637 )     0.19 %
Block, Inc.     (169 )     (11,255 )     0.13 %
Boston Scientific Corp.     (1,500 )     (81,131 )     0.92 %
British American Tobacco PLC     (277 )     (9,186 )     0.10 %
Campbell Soup Co.     (1,124 )     (51,345 )     0.58 %
Catalent, Inc.     (1,650 )     (71,523 )     0.81 %
Chocoladefabriken Lindt & Spruengli AG     (1 )     (8,422 )     0.10 %
Church & Dwight Co Inc.     (89 )     (8,891 )     0.10 %
Clarivate PLC     (6,288 )     (59,904 )     0.68 %
Coca-Cola Europacific Partners PLC     (957 )     (61,622 )     0.70 %
DAI Nippon Printing Co. Ltd.     (790 )     (22,325 )     0.25 %
Eisai Co. Ltd.     (1,104 )     (74,319 )     0.85 %
Element Fleet Management Corp.     (597 )     (9,111 )     0.10 %
Equifax, Inc.     (371 )     (87,228 )     0.99 %

 

See Notes to Financial Statements.

 

71

 

 

Simplify Market Neutral Equity Long/Short ETF

Schedule of Investments (Continued)

June 30, 2023

 

 

    Shares     Value     % of
basket
 
Common Stocks (continued)                        
Consumer, Non-cyclical (continued)                        
Essilorluxottica SA     (320 )   $ (60,254 )     0.69 %
Exact Sciences Corp.     (868 )     (81,497 )     0.93 %
Fisher & Paykel Healthcare Corp. Ltd.     (578 )     (8,686 )     0.10 %
Fleetcor Technologies, Inc.     (34 )     (8,629 )     0.10 %
Fresenius Medical Care AG & Co. KGAA     (1,792 )     (85,612 )     0.97 %
Grifols SA     (3,688 )     (47,250 )     0.54 %
Haleon PLC     (18,897 )     (77,408 )     0.88 %
Hikma Pharmaceuticals PLC     (1,320 )     (31,721 )     0.36 %
Hormel Foods Corp.     (1,941 )     (78,035 )     0.89 %
J Sainsbury PLC     (2,506 )     (8,568 )     0.10 %
Jde Peet’s NV     (297 )     (8,841 )     0.10 %
Kyowa Kirin Co. Ltd.     (4,213 )     (77,730 )     0.89 %
Lonza Group AG     (143 )     (85,002 )     0.97 %
Merck & Co Inc.     (85 )     (9,841 )     0.11 %
Merck KGAA     (150 )     (24,882 )     0.28 %
Nexi SpA, 144A     (2,955 )     (23,164 )     0.26 %
Ocado Group PLC     (6,262 )     (45,214 )     0.51 %
Pfizer Inc.     (513 )     (18,815 )     0.21 %
Quest Diagnostics, Inc.     (107 )     (15,048 )     0.17 %
Rentokil Initial PLC     (9,611 )     (75,131 )     0.86 %
S&p Global, Inc.     (175 )     (70,296 )     0.80 %
Siemens Healthineers AG, 144A     (211 )     (11,969 )     0.14 %
Stryker Corp.     (28 )     (8,505 )     0.10 %
Teva Pharmaceutical Industries Ltd., ADR     (1,586 )     (11,938 )     0.14 %
Toast Inc, Class A     (653 )     (14,734 )     0.17 %
UCB SA     (576 )     (51,010 )     0.58 %
Wise PLC, Class A     (5,736 )     (47,915 )     0.55 %
Zimmer Biomet Holdings Inc.     (86 )     (12,481 )     0.14 %
              (1,855,499 )        
Energy                        
Baker Hughes Co., Class A     (295 )     (9,324 )     0.11 %
Corp. Acciona Energias Renovables SA     (212 )     (7,068 )     0.08 %
Halliburton Co.     (1,441 )     (47,536 )     0.54 %
Kinder Morgan Inc.     (533 )     (9,179 )     0.11 %
Oneok, Inc.     (134 )     (8,263 )     0.09 %
Schlumberger NV     (1,233 )     (60,524 )     0.69 %
Teck Resources Ltd., Class B     (228 )     (9,619 )     0.11 %
              (151,513 )        
Financial                        
Admiral Group PLC     (395 )     (10,442 )     0.12 %
Apollo Global Management, Inc.     (95 )     (7,320 )     0.08 %
AvalonBay Communities, Inc.     (332 )     (62,907 )     0.72 %
Azrieli Group Ltd.     (222 )     (12,433 )     0.14 %
Baloise Holding AG     (183 )     (26,822 )     0.31 %
Bank of Montreal     (88 )     (7,926 )     0.09 %
Bank of New York Mellon Corp. (The)     (168 )     (7,461 )     0.09 %
Bank of Nova Scotia (The)     (442 )     (22,147 )     0.25 %
Banque Cantonale Vaudoise     (288 )     (30,457 )     0.35 %
Boston Properties, Inc.     (197 )     (11,366 )     0.13 %

 

See Notes to Financial Statements.

 

72

 

 

Simplify Market Neutral Equity Long/Short ETF

Schedule of Investments (Continued)

June 30, 2023

 

 

    Shares     Value     % of
basket
 
Common Stocks (continued)                        
Financial (continued)                        
Canadian Imperial Bank of Commerce     (731 )   $ (31,259 )     0.36 %
Charles Schwab Corp. (The)     (126 )     (7,126 )     0.08 %
Chiba Bank Ltd. (The)     (8,242 )     (49,883 )     0.57 %
Citigroup, Inc.     (167 )     (7,669 )     0.09 %
Citizens Financial Group, Inc.     (2,607 )     (67,964 )     0.77 %
Commerzbank AG     (781 )     (8,651 )     0.10 %
Covivio SA/France     (186 )     (8,745 )     0.10 %
Deutsche Boerse AG     (378 )     (69,751 )     0.79 %
Equinix, Inc.     (31 )     (24,460 )     0.28 %
Fastighets AB Balder, Class B     (3,019 )     (11,020 )     0.13 %
Fifth Third Bancorp     (3,123 )     (81,830 )     0.93 %
First Horizon Corp.     (1,275 )     (14,363 )     0.16 %
Gecina SA     (82 )     (8,745 )     0.10 %
GPT Group (The)     (18,434 )     (50,874 )     0.58 %
Hang Lung Properties Ltd.     (13,767 )     (21,250 )     0.24 %
Huntington Bancshares, Inc./Oh     (7,646 )     (82,391 )     0.94 %
Intercontinental Exchange, Inc.     (638 )     (72,126 )     0.82 %
Invesco Ltd.     (3,745 )     (62,934 )     0.72 %
Iron Mountain, Inc.     (420 )     (23,840 )     0.27 %
Japan Post Bank Co. Ltd.     (8,683 )     (67,599 )     0.77 %
Julius Baer Group Ltd.     (393 )     (24,728 )     0.28 %
KBC Group NV     (545 )     (38,047 )     0.43 %
KeyCorp.     (8,726 )     (80,593 )     0.92 %
Klepierre SA     (3,118 )     (77,324 )     0.88 %
Leg Immobilien Se     (772 )     (44,380 )     0.51 %
London Stock Exchange Group PLC     (699 )     (74,339 )     0.85 %
M&T Bank Corp.     (67 )     (8,307 )     0.09 %
Markel Group, Inc.     (9 )     (12,140 )     0.14 %
MetLife, Inc.     (134 )     (7,560 )     0.09 %
Mirvac Group, Class REIT     (47,087 )     (70,941 )     0.81 %
Mitsubishi Estate Co. Ltd.     (788 )     (9,333 )     0.11 %
Mizuho Financial Group, Inc.     (5,267 )     (80,222 )     0.91 %
National Bank of Canada     (477 )     (35,599 )     0.41 %
Nippon Building Fund, Inc., Class REIT     (19 )     (73,276 )     0.83 %
Nn Group NV     (317 )     (11,734 )     0.13 %
Northern Trust Corp.     (99 )     (7,355 )     0.08 %
PNC Financial Services Group, Inc. (The)     (454 )     (57,183 )     0.65 %
QBE Insurance Group Ltd.     (8,434 )     (88,098 )     1.00 %
Regions Financial Corp.     (829 )     (14,774 )     0.17 %
Resona Holdings, Inc.     (15,163 )     (72,494 )     0.83 %
Royal Bank of Canada     (87 )     (8,289 )     0.09 %
Sampo OYJ, Class A     (631 )     (28,297 )     0.32 %
Segro PLC     (6,164 )     (56,159 )     0.64 %
Standard Chartered PLC     (1,060 )     (9,201 )     0.10 %
Sumitomo Mitsui Financial Group, Inc.     (208 )     (8,882 )     0.10 %
Sun Life Financial, Inc.     (797 )     (41,591 )     0.47 %
Swedbank AB, Class A     (539 )     (9,086 )     0.10 %
Swire Properties Ltd.     (3,389 )     (8,326 )     0.10 %
T&D Holdings, Inc.     (5,917 )     (86,283 )     0.98 %

 

See Notes to Financial Statements.

 

73

 

 

Simplify Market Neutral Equity Long/Short ETF

Schedule of Investments (Continued)

June 30, 2023

 

 

    Shares     Value     % of
basket
 
Common Stocks (continued)                        
Financial (continued)                        
Tmx Group Ltd.     (1,272 )   $ (28,644 )     0.33 %
Toronto-Dominion Bank (The)     (1,133 )     (70,325 )     0.80 %
Truist Financial Corp.     (791 )     (23,991 )     0.27 %
US Bancorp     (276 )     (9,111 )     0.10 %
Vicinity Ltd.     (7,278 )     (8,951 )     0.10 %
Vonovia Se     (569 )     (11,109 )     0.13 %
Washington H Soul Pattinson & Co. Ltd.     (638 )     (13,522 )     0.15 %
Webster Financial Corp.     (1,730 )     (65,272 )     0.74 %
Welltower, Inc.     (111 )     (8,994 )     0.10 %
Wharf Real Estate Investment Co. Ltd.     (6,505 )     (32,487 )     0.37 %
Willis Towers Watson PLC     (290 )     (68,244 )     0.78 %
Zurich Insurance Group AG     (25 )     (11,755 )     0.13 %
              (2,468,707 )        
Industrial                        
Alstom SA     (1,856 )     (55,328 )     0.63 %
Ball Corp.     (165 )     (9,628 )     0.11 %
Canadian Pacific Kansas City Ltd.     (1,054 )     (85,251 )     0.97 %
Carlisle Cos., Inc.     (201 )     (51,650 )     0.59 %
Cellnex Telecom SA, 144A     (2,174 )     (87,763 )     1.00 %
Central Japan Railway Co.     (139 )     (17,386 )     0.20 %
Fortive Corp.     (1,177 )     (87,969 )     1.00 %
Generac Holdings Inc.     (118 )     (17,603 )     0.20 %
Hitachi Ltd.     (474 )     (29,181 )     0.33 %
Holcim AG     (1,034 )     (69,528 )     0.79 %
Ibiden Co. Ltd.     (1,216 )     (68,211 )     0.78 %
Martin Marietta Materials, Inc.     (180 )     (83,166 )     0.95 %
Nordson Corp.     (235 )     (58,330 )     0.67 %
Obayashi Corp.     (9,670 )     (83,316 )     0.95 %
Old Dominion Freight Line, Inc.     (153 )     (56,546 )     0.64 %
Schneider Electric Se     (300 )     (54,530 )     0.62 %
Svenska Cellulosa AB Sca, Class B     (1,988 )     (25,333 )     0.29 %
Taisei Corp.     (2,484 )     (86,385 )     0.98 %
Tfi International, Inc.     (662 )     (75,466 )     0.86 %
Toro Co. (The)     (392 )     (39,859 )     0.45 %
Trimble, Inc.     (1,013 )     (53,609 )     0.61 %
              (1,196,038 )        
Technology                        
Analog Devices, Inc.     (42 )     (8,177 )     0.09 %
Bentley Systems Inc, Class B     (1,284 )     (69,625 )     0.79 %
Bill Holdings, Inc.     (733 )     (85,590 )     0.97 %
Black Knight, Inc.     (1,468 )     (87,624 )     1.00 %
Ceridian Hcm Holding, Inc.     (263 )     (17,590 )     0.20 %
Computershare Ltd.     (4,326 )     (67,420 )     0.77 %
Cyberark Software Ltd.     (69 )     (10,714 )     0.12 %
Fiserv, Inc.     (76 )     (9,589 )     0.11 %
Ricoh Co. Ltd.     (2,794 )     (23,657 )     0.27 %
ROBLOX Corp, Class A     (436 )     (17,552 )     0.20 %
Roper Technologies, Inc.     (133 )     (63,791 )     0.73 %
Sage Group PLC (The)     (803 )     (9,438 )     0.11 %

 

See Notes to Financial Statements.

 

74

 

 

Simplify Market Neutral Equity Long/Short ETF

Schedule of Investments (Continued)

June 30, 2023

 

 

    Shares     Value     % of
basket
 
Common Stocks (continued)                        
Technology (continued)                        
Snowflake Inc, Class A     (53 )   $ (9,382 )     0.11 %
Square Enix Holdings Co. Ltd.     (528 )     (24,476 )     0.28 %
SS&C Technologies Holdings Inc.     (416 )     (25,191 )     0.29 %
Take-Two Interactive Software, Inc.     (582 )     (85,652 )     0.97 %
Teleperformance     (447 )     (74,828 )     0.85 %
Twilio Inc, Class A     (177 )     (11,225 )     0.13 %
Zebra Technologies Corp., Class A     (58 )     (17,015 )     0.19 %
              (718,536 )        
Utilities                        
Alliant Energy Corp.     (1,182 )     (62,005 )     0.71 %
American Water Works Co Inc.     (79 )     (11,315 )     0.13 %
Atmos Energy Corp.     (275 )     (31,992 )     0.36 %
Bkw AG     (209 )     (36,889 )     0.42 %
CMS Energy Corp.     (323 )     (18,988 )     0.22 %
Constellation Energy Corp.     (119 )     (10,904 )     0.12 %
Dominion Energy Inc.     (627 )     (32,445 )     0.37 %
Duke Energy Corp.     (876 )     (78,612 )     0.89 %
Edison International     (103 )     (7,148 )     0.08 %
Endesa SA     (328 )     (7,033 )     0.08 %
Entergy Corp.     (276 )     (26,837 )     0.31 %
Essential Utilities Inc.     (694 )     (27,702 )     0.32 %
Eversource Energy     (109 )     (7,699 )     0.09 %
Exelon Corp.     (673 )     (27,412 )     0.31 %
Fortis, Inc./Canada     (525 )     (22,659 )     0.26 %
Hydro One Ltd., 144A     (289 )     (8,269 )     0.09 %
National Grid PLC     (1,119 )     (14,795 )     0.17 %
Nextera Energy, Inc.     (1,179 )     (87,414 )     1.00 %
Orsted As, 144A     (214 )     (20,248 )     0.23 %
PG&E Corp.     (964 )     (16,653 )     0.19 %
Public Service Enterprise Group Inc.     (1,255 )     (78,557 )     0.89 %
Southern Co. (The)     (1,194 )     (83,818 )     0.95 %
Wec Energy Group, Inc.     (758 )     (66,825 )     0.76 %
Xcel Energy Inc.     (883 )     (54,855 )     0.62 %
              (841,074 )        
Total           $ (8,784,921 )     100.00 %

 

* The following table shows the individual positions and related values of the securities within the Morgan Stanley Custom Global Long Equity Index basket.

 

    Shares     Value     % of
basket
 
Common Stocks                        
Basic Materials                        
Arcelormittal SA     3,145     $ 85,552       0.98 %
BASF Se     397       19,257       0.22 %
CF Industries Holdings, Inc.     370       25,682       0.29 %
Clariant AG     2,665       38,463       0.44 %
Endeavour Mining PLC     1,691       40,521       0.46 %
Icl Group Ltd.     8,014       43,386       0.49 %
JFE Holdings, Inc.     863       12,253       0.14 %

 

See Notes to Financial Statements.

 

75

 

 

Simplify Market Neutral Equity Long/Short ETF

Schedule of Investments (Continued)

June 30, 2023

 

 

    Shares     Value     % of
basket
 
Common Stocks (continued)                        
Basic Materials (continued)                        
Mosaic Co. (The)     1,742     $ 60,922       0.70 %
Nippon Steel Corp.     362       7,529       0.09 %
Novozymes A/S, Class B     231       10,752       0.12 %
Shin-Etsu Chemical Co. Ltd.     766       25,303       0.29 %
Smurfit Kappa Group PLC     1,388       46,241       0.53 %
South32 Ltd.     3,616       9,063       0.10 %
Steel Dynamics, Inc.     122       13,228       0.15 %
              438,152          
Communications                        
Amazon.com, Inc.     61       7,949       0.09 %
Arista Networks, Inc.     66       10,635       0.12 %
Booking Holdings, Inc.     4       11,141       0.13 %
Chewy, Inc., Class A     1,953       77,060       0.88 %
Cisco Systems, Inc.     167       8,642       0.10 %
Etsy, Inc.     220       18,601       0.21 %
F5 Inc.     58       8,471       0.10 %
FactSet Research Systems, Inc.     28       11,287       0.13 %
Interpublic Group of Cos., Inc. (The)     1,783       68,769       0.78 %
Juniper Networks Inc.     2,626       82,238       0.94 %
Mercadolibre, Inc.     56       66,211       0.76 %
Monotaro Co. Ltd.     5,426       68,494       0.78 %
Motorola Solutions, Inc.     223       65,420       0.75 %
Omnicom Group, Inc.     599       56,981       0.65 %
Spark New Zealand Ltd.     3,523       11,003       0.12 %
              572,902          
Consumer, Cyclical                        
Alimentation Couche-Tard, Inc.     1,308       67,103       0.77 %
Aristocrat Leisure Ltd.     2,070       53,343       0.61 %
Autozone, Inc.     9       22,434       0.26 %
Barratt Developments PLC     13,044       68,549       0.78 %
Bath & Body Works Inc.     2,295       86,013       0.98 %
Bayerische Motoren Werke AG     473       58,042       0.66 %
Bridgestone Corp.     2,000       81,583       0.93 %
Continental AG     116       8,763       0.10 %
Darden Restaurants, Inc.     48       8,069       0.09 %
Delta Air Lines, Inc.     1,098       52,179       0.60 %
Dick’s Sporting Goods, Inc.     581       76,816       0.88 %
Dollarama, Inc.     988       66,982       0.77 %
Domino’s Pizza, Inc.     52       17,358       0.20 %
Evolution AB, 144A     669       84,706       0.97 %
Fast Retailing Co. Ltd.     331       84,218       0.96 %
Ferguson PLC     157       24,631       0.28 %
Ferrari NV     52       17,087       0.20 %
Gildan Activewear, Inc., Class A     238       7,691       0.09 %
Hermes International     13       29,144       0.33 %
Hilton Worldwide Holdings Inc.     225       32,672       0.37 %
Isuzu Motors Ltd.     4,880       58,804       0.67 %
Koito Manufacturing Co. Ltd.     425       7,631       0.09 %
Lear Corp.     206       29,617       0.34 %

 

See Notes to Financial Statements.

 

76

 

 

Simplify Market Neutral Equity Long/Short ETF

Schedule of Investments (Continued)

June 30, 2023

 

 

    Shares     Value     % of
basket
 
Common Stocks (continued)                        
Consumer, Cyclical (continued)                        
Lululemon Athletica Inc.     222     $ 84,009       0.96 %
Magna International, Inc.     1,451       82,009       0.94 %
Marriott International, Inc./Md, Class A     179       32,777       0.37 %
MGM Resorts International     986       43,260       0.49 %
NGK Insulators Ltd.     3,133       37,182       0.42 %
Nike, Inc., Class B     675       74,455       0.85 %
Nissan Motor Co. Ltd.     12,988       52,902       0.60 %
Open House Group Co. Ltd.     1,385       49,547       0.57 %
O’reilly Automotive, Inc.     92       88,025       1.01 %
Persimmon PLC     3,934       51,279       0.59 %
Pultegroup, Inc.     263       20,432       0.23 %
Qantas Airways Ltd.     4,666       19,280       0.22 %
Ross Stores, Inc.     72       8,124       0.09 %
Sekisui House Ltd.     345       6,946       0.08 %
Target Corp.     298       39,327       0.45 %
Taylor Wimpey PLC     39,946       52,164       0.60 %
Tractor Supply Co.     382       84,490       0.97 %
Volvo AB, Class B     564       11,663       0.13 %
Wesfarmers Ltd.     355       11,685       0.13 %
Whirlpool Corp.     96       14,284       0.16 %
Wynn Resorts Ltd.     109       11,517       0.13 %
              1,918,792          
Consumer, Non-cyclical                        
Adecco Group AG     1,987       64,882       0.74 %
Automatic Data Processing, Inc.     381       83,631       0.95 %
Bio-Techne Corp.     102       8,341       0.10 %
Cardinal Health Inc.     925       87,452       1.00 %
Charles River Laboratories International Inc.     55       11,644       0.13 %
Ck Hutchison Holdings Ltd.     11,548       70,472       0.80 %
Coca-Cola Hbc AG     2,453       73,096       0.83 %
DENTSPLY Sirona, Inc.     629       25,166       0.29 %
Empire Co. Ltd., Class Common Subscription Receipt     709       20,155       0.23 %
Essity AB, Class B     3,295       87,702       1.00 %
Gartner, Inc.     182       63,728       0.73 %
George Weston Ltd.     556       65,824       0.75 %
Getinge AB, Class B     501       8,775       0.10 %
Hershey Co. (The)     343       85,522       0.98 %
Hologic, Inc.     368       29,758       0.34 %
Incyte Corp.     936       58,263       0.67 %
Johnson & Johnson     147       24,378       0.28 %
Kirin Holdings Co. Ltd.     3,378       49,152       0.56 %
Kobe Bussan Co. Ltd.     2,472       63,781       0.73 %
Lamb Weston Holdings, Inc.     704       80,856       0.92 %
Lifco AB, Class B     1,230       26,726       0.31 %
Loblaw Cos. Ltd.     292       26,725       0.31 %
Metro, Inc./CN, Class A     1,556       87,950       1.00 %
Nippon Shinyaku Co. Ltd.     176       7,149       0.08 %
Nisshin Seifun Group, Inc.     1,418       17,473       0.20 %
NOVO Nordisk A/S, Class B     175       28,145       0.32 %

 

See Notes to Financial Statements.

 

77

 

 

Simplify Market Neutral Equity Long/Short ETF

Schedule of Investments (Continued)

June 30, 2023

 

 

    Shares     Value     % of
basket
 
Common Stocks (continued)                        
Consumer, Non-cyclical (continued)                        
Orion OYJ, Class B     820     $ 34,017       0.39 %
Paylocity Holding Corp.     377       69,510       0.79 %
Persol Holdings Co. Ltd.     2,980       53,425       0.61 %
Reckitt Benckiser Group PLC     200       15,046       0.17 %
ResMed Inc.     381       83,199       0.95 %
Robert Half International, Inc.     119       8,913       0.10 %
Shionogi & Co. Ltd.     334       14,060       0.16 %
Tesco PLC     22,657       71,526       0.82 %
Unicharm Corp.     303       11,220       0.13 %
Unilever PLC, ADR     1,388       72,266       0.83 %
Verisk Analytics, Inc., Class A     35       7,879       0.09 %
Waters Corp.     299       79,716       0.91 %
Yakult Honsha Co. Ltd.     507       31,996       0.37 %
              1,809,519          
Diversified                        
Jardine Matheson Holdings Ltd.     203       10,290       0.12 %
                         
Energy                        
Ampol Ltd.     2,215       44,204       0.50 %
Apa Corp.     1,796       61,329       0.70 %
BP PLC     2,242       13,063       0.15 %
Coterra Energy, Inc.     2,413       61,006       0.70 %
Eneos Holdings, Inc.     10,854       37,160       0.42 %
Enphase Energy, Inc.     127       21,233       0.24 %
Hf Sinclair Corp.     507       22,594       0.26 %
Idemitsu Kosan Co. Ltd.     790       15,791       0.18 %
Neste OYJ     1,798       69,201       0.79 %
Shell PLC     2,226       66,260       0.76 %
Valero Energy Corp.     81       9,464       0.11 %
              421,305          
Financial                        
Allstate Corp. (The)     765       83,361       0.95 %
American Financial Group, Inc./Oh     104       12,390       0.14 %
Assurant, Inc.     94       11,834       0.13 %
Camden Property Trust     73       7,973       0.09 %
Cincinnati Financial Corp.     835       81,184       0.93 %
Credit Agricole SA     6,875       81,567       0.93 %
Erie Indemnity Co, Class A     316       66,333       0.76 %
Fairfax Financial Holdings Ltd.     74       55,680       0.64 %
Firstservice Corp.     229       35,276       0.40 %
Hargreaves Lansdown PLC     1,044       10,821       0.12 %
Healthpeak Properties Inc.     1,422       28,572       0.33 %
Host Hotels & Resorts, Inc., Class REIT     4,661       78,396       0.90 %
Kinnevik AB, Class B     827       11,460       0.13 %
Natwest Group PLC     2,875       8,800       0.10 %
Onex Corp.     437       24,168       0.28 %
Tradeweb Markets, Inc., Class A     138       9,426       0.11 %
              607,241          

 

See Notes to Financial Statements.

 

78

 

 

Simplify Market Neutral Equity Long/Short ETF

Schedule of Investments (Continued)

June 30, 2023

 

 

    Shares     Value     % of
basket
 
Common Stocks (continued)                        
Industrial                        
ACS Actividades de Construccion y Servicios SA     1,013     $ 35,557       0.41 %
ALFA Laval AB     747       27,227       0.31 %
Amcor PLC     769       7,666       0.09 %
AP Moller - Maersk A/S, Class A     27       47,221       0.54 %
AP Moller - Maersk A/S, Class B     47       81,722       0.93 %
Beijer Ref AB, Class B     3,486       44,474       0.51 %
Builders FirstSource, Inc.     59       8,029       0.09 %
Ccl Industries, Inc., Class B     235       11,570       0.13 %
Crown Holdings Inc.     272       23,584       0.27 %
Dhl Group     1,646       80,346       0.92 %
Eiffage SA     613       63,960       0.73 %
Fanuc Corp.     1,892       65,927       0.75 %
Garmin Ltd.     561       58,485       0.67 %
General Electric Co.     83       9,090       0.10 %
Hoya Corp.     77       9,091       0.10 %
Indutrade AB     482       10,846       0.12 %
James Hardie Industries PLC     2,655       70,343       0.80 %
KEIO Corp.     761       23,850       0.27 %
Keysight Technologies, Inc.     129       21,580       0.25 %
Komatsu Ltd.     887       23,831       0.27 %
Kone OYJ, Class B     1,638       85,498       0.98 %
Lixil Corp.     1,863       23,530       0.27 %
Masco Corp.     383       21,954       0.25 %
Mettler-Toledo International Inc.     58       75,849       0.87 %
Mohawk Industries, Inc.     156       16,067       0.18 %
Nibe Industrier AB, Class B     8,946       84,937       0.97 %
Nippon Express Holdings, Inc.     1,334       74,872       0.86 %
Orica Ltd.     3,093       30,568       0.35 %
Owens Corning     542       70,692       0.81 %
Packaging Corp. of America     60       7,958       0.09 %
Rockwool A/S, Class B     55       14,127       0.16 %
Saab AB, Class B     1,049       56,721       0.65 %
Schindler Holding AG     53       12,314       0.14 %
Sensata Technologies Holding PLC     197       8,866       0.10 %
Siemens AG     116       19,300       0.22 %
Skanska AB, Class B     521       7,299       0.08 %
SKF AB, Class B     1,851       32,192       0.37 %
Smiths Group PLC     2,489       51,999       0.60 %
Toshiba Corp.     2,131       66,649       0.76 %
Toto Ltd.     798       23,898       0.27 %
Xylem, Inc./NY     76       8,571       0.10 %
              1,518,260          
Technology                        
Accenture PLC, Class A     30       9,386       0.11 %
Akamai Technologies Inc.     253       22,683       0.26 %
Applied Materials, Inc.     605       87,354       1.00 %
Atlassian Corp., Class A     60       10,090       0.11 %
Bechtle AG     503       19,938       0.23 %
Capcom Co. Ltd.     1,307       51,563       0.59 %

 

See Notes to Financial Statements.

 

79

 

 

Simplify Market Neutral Equity Long/Short ETF

Schedule of Investments (Continued)

June 30, 2023

 

 

    Shares     Value     % of
basket
 
Common Stocks (continued)                        
Technology (continued)                        
Crowdstrike Holdings, Inc., Class A     362     $ 53,207       0.61 %
Dropbox Inc, Class A     3,267       87,072       0.99 %
Epam Systems, Inc.     44       9,934       0.11 %
HP, Inc.     2,448       75,141       0.86 %
KLA Corp.     32       15,674       0.18 %
Lam Research Corp.     73       47,006       0.54 %
Monolithic Power Systems, Inc.     21       11,503       0.13 %
MSCI, Inc., Class A     21       9,698       0.11 %
Netapp, Inc.     116       8,867       0.10 %
NVIDIA Corp.     54       23,015       0.26 %
OBIC Co. Ltd.     49       7,742       0.09 %
Paychex, Inc.     560       62,660       0.71 %
Paycom Software, Inc.     120       38,513       0.44 %
Qorvo, Inc.     83       8,449       0.10 %
QWALCOMM, Inc.     721       85,735       0.98 %
Seagate Technology Holdings PLC     185       11,450       0.13 %
Texas Instruments, Inc.     230       41,399       0.47 %
Tokyo Electron Ltd.     448       63,750       0.73 %
Veeva Systems Inc, Class A     116       22,918       0.26 %
Wisetech Global Ltd.     591       31,412       0.36 %
Zoom Video Communications, Inc., Class A     309       20,987       0.24 %
              937,146          
Utilities                        
ENEL SpA     9,191       61,865       0.71 %
Origin Energy Ltd.     11,271       63,181       0.72 %
Osaka Gas Co. Ltd.     4,621       70,646       0.81 %
Tokyo Electric Power Co. Holdings, Inc.     18,505       67,545       0.77 %
UGI Corp.     3,167       85,370       0.97 %
Veolia Environnement SA     2,763       87,292       1.00 %
Vistra Corp.     3,279       86,031       0.98 %
              521,930          
Total           $ 8,755,537       100.00 %

 

Summary of Investment Type

 

    % of  
Industry   Net Assets  
U.S. Treasury Bills     101.5 %
Total Investments     101.5 %
Liabilities in Excess of Other Assets     (1.5 )%
Net Assets     100.0 %

 

See Notes to Financial Statements.

 

80

 

 

Simplify Opportunistic Income ETF
Schedule of Investments

June 30, 2023

 

 

    Principal     Value  
U.S. Treasury Bills – 93.8%                
U.S. Treasury Bill, 5.19%, 8/10/2023(a)   $ 17,450,000     $ 17,355,600  
U.S. Treasury Bill, 5.22%, 9/7/2023(a)     18,000,000       17,830,071  
Total U.S. Treasury Bills (Cost $35,177,828)             35,185,671  
                 
Corporate Bonds – 1.6%                
                 
Consumer, Cyclical – 1.1%                
Rivian Holdings LLC/Rivian LLC/Rivian Automotive LLC, 10.93%, (6-Month US LIBOR + 5.63%), 10/15/2026, 144A(b)(c)     400,000       389,742  
                 
Financial – 0.5%                
Coinbase Global, Inc., 3.38%, 10/1/2028, 144A(c)     300,000       200,926  
Total Corporate Bonds (Cost $592,000)             590,668  
                 
Total Investments – 95.4%                
(Cost $35,769,828)           $ 35,776,339  
Other Assets in Excess of Liabilities – 4.6%             1,739,564  
Net Assets – 100.0%           $ 37,515,903  

 

(a) Represents a zero coupon bond. Rate shown reflects the effective yield.
(b) Floating rate investment. Interest rates reset periodically. Interest rate shown reflects the rate in effect at June 30, 2023. For securities based on a published reference rate and spread, the reference rate and spread are indicated in the description above.
(c) 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 $590,668, which represents 1.6% of net assets as of June 30, 2023.

 

Summary of Investment Type

 

Industry   % of
Net Assets
 
U.S. Treasury Bills     93.8 %
Corporate Bonds     1.6 %
Total Investments     95.4 %
Other Assets in Excess of Liabilities     4.6 %
Net Assets     100.0 %

 

See Notes to Financial Statements.

 

81

 

 

Simplify Propel Opportunities ETF
Schedule of Investments
June 30, 2023

 

 

    Shares     Value  
Common Stocks – 70.5%                
Communications – 1.5%                
Telesat Corp.*     160,781     $ 1,514,557  
                 
Consumer, Non-cyclical – 44.4%                
Adaptimmune Therapeutics PLC, ADR*     150,000       138,750  
Agios Pharmaceuticals, Inc.*     5,792       164,029  
Akero Therapeutics, Inc.*     59,777       2,790,988  
Allogene Therapeutics, Inc.*     245,000       1,217,650  
Annexon, Inc.*     653,483       2,300,260  
Applied Therapeutics, Inc.*     2,382,621       3,049,755  
ATAI Life Sciences NV*     140,000       240,800  
Athira Pharma, Inc.*     1,492,792       4,403,736  
Avidity Biosciences, Inc.*     125,000       1,386,250  
Chinook Therapeutics, Inc.*     25,000       960,500  
Cybin, Inc.*     500,000       189,000  
Eiger BioPharmaceuticals, Inc.*     1,099,653       774,156  
Fulcrum Therapeutics, Inc.*     465,000       1,534,500  
Heron Therapeutics, Inc.*     281,590       326,644  
Kura Oncology, Inc.*     80,000       846,400  
Kymera Therapeutics, Inc.*     10,532       242,131  
Madrigal Pharmaceuticals, Inc.*     14,294       3,301,914  
Marinus Pharmaceuticals, Inc.*     150,000       1,629,000  
Mirum Pharmaceuticals, Inc.*     70,000       1,810,900  
Phathom Pharmaceuticals, Inc.*     237,935       3,407,229  
Replimune Group, Inc.*     150,000       3,483,000  
Sage Therapeutics, Inc.*     50,030       2,352,411  
Seres Therapeutics, Inc.*     550,626       2,637,499  
Stoke Therapeutics, Inc.*     122,796       1,305,322  
Sutro Biopharma, Inc.*     120,000       558,000  
TScan Therapeutics, Inc.*     1,046,916       2,617,290  
X4 Pharmaceuticals, Inc.*     400,000       776,000  
              44,444,114  
Energy – 24.6%                
Plains All American Pipeline LP     650,000       9,165,000  
Plains GP Holdings LP, Class A*     1,045,097       15,498,788  
              24,663,788  
Total Common Stocks (Cost $74,148,764)             70,622,459  
                 
Exchange-Traded Funds – 24.3%                
BlackRock Ultra Short-Term Bond ETF     41,833       2,104,200  
iShares 0-5 Year Investment Grade Corporate Bond ETF     43,571       2,100,558  
iShares Floating Rate Bond ETF     31,437       1,597,629  
iShares iBonds Dec 2023 Term Corporate ETF     83,187       2,103,799  
iShares iBonds Dec 2024 Term Corporate ETF     85,442       2,103,582  
iShares iBoxx $ Investment Grade Corporate Bond ETF     19,505       2,109,270  
iShares MBS ETF     22,400       2,089,136  
JPMorgan Ultra-Short Income ETF     31,942       1,601,572  
SPDR Bloomberg Investment Grade Floating Rate ETF     75,068       2,303,837  
SPDR Portfolio Short Term Corporate Bond ETF     71,380       2,101,427  
Vanguard Mortgage-Backed Securities ETF     45,528       2,093,833  

 

See Notes to Financial Statements.

 

82

 

 

Simplify Propel Opportunities ETF

Schedule of Investments (Continued)

June 30, 2023

 

 

    Shares     Value  
Exchange-Traded Funds (continued)                
Vanguard Short-Term Bond ETF     27,712     $ 2,094,196  
Total Exchange-Traded Funds (Cost $24,400,354)             24,403,039  

 

    Principal        
Corporate Bonds – 1.7%                
                 
Communications – 1.7%                
Telesat Canada / Telesat LLC, 5.63%, 12/6/2026, 144A(a)     2,000,000       1,236,060  
Telesat Canada / Telesat LLC, 6.50%, 10/15/2027, 144A(a)     1,124,000       457,508  
Total Corporate Bonds (Cost $1,630,926)             1,693,568  

 

    Shares        
Closed-End Funds – 1.2%                
Kayne Anderson Energy Infrastructure Fund                
(Cost $1,318,886)     147,033       1,196,848  
                 
Money Market Funds – 3.3%                
Fidelity Investments Money Market Treasury Only Portfolio - Class I, 4.81%(b)                
(Cost $3,276,908)     3,276,908       3,276,908  
                 
Total Investments – 101.0%                
(Cost $104,775,838)           $ 101,192,822  
Liabilities in Excess of Other Assets – (1.0)%             (1,021,162 )
Net Assets – 100.0%           $ 100,171,660  

 

* 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 $1,693,568, which represents 1.7% of net assets as of June 30, 2023.
(b) Rate shown reflects the 7-day yield as of June 30, 2023.
ADR: American Depositary Receipt

 

Summary of Investment Type

 

Industry   % of
Net Assets
 
Common Stocks     70.5 %
Exchange-Traded Funds     24.3 %
Corporate Bonds     1.7 %
Closed-End Funds     1.2 %
Money Market Funds     3.3 %
Total Investments     101.0 %
Liabilities in Excess of Other Assets     (1.0 )%
Net Assets     100.0 %

 

See Notes to Financial Statements.

 

83

 

 

Simplify Short Term Treasury Futures Strategy ETF
Schedule of Investments

June 30, 2023

 

 

    Principal     Value  
U.S. Treasury Bills – 98.5%                
U.S. Treasury Bill, 4.97%, 8/10/2023(a)   $ 108,000,000     $ 107,417,592  
U.S. Treasury Bill, 5.10%, 8/15/2023(a)     6,400,000       6,362,505  
U.S. Treasury Bill, 5.28%, 8/29/2023(a)     15,300,000       15,175,100  
U.S. Treasury Bill, 5.40%, 10/3/2023(a)     402,600,000       397,290,877  
Total U.S. Treasury Bills (Cost $526,129,145)             526,246,074  
                 
Total Investments – 98.5%                
(Cost $526,129,145)           $ 526,246,074  
Other Assets in Excess of Liabilities – 1.5%             8,020,626  
Net Assets – 100.0%           $ 534,266,700  

 

(a) Represents a zero coupon bond. Rate shown reflects the effective yield.

 

At June 30, 2023, open futures contracts were as follows:

 

    Number of
Contracts
    Notional
Value
    Expiration
Date
  Value/
Unrealized
Appreciation
(Depreciation)
 
Long position contracts:                          
U.S. 2 Years Note (CBT)   14,145     $ 2,876,297,344     9/29/23   $ (23,297,280 )

 

Summary of Investment Type

 

Industry  

% of
Net Assets

 
U.S. Treasury Bills     98.5 %
Total Investments     98.5 %
Other Assets in Excess of Liabilities     1.5 %
Net Assets     100.0 %

 

See Notes to Financial Statements.

 

84

 

 

Simplify Stable Income ETF

Schedule of Investments

June 30, 2023

 

 

    Principal     Value  
U.S. Treasury Bills – 99.1%                
U.S. Treasury Bill, 4.79%, 7/6/2023(a)   $ 10,460,000     $ 10,455,689  
U.S. Treasury Bill, 5.24%, 8/15/2023(a)     1,250,000       1,242,317  
U.S. Treasury Bill, 5.29%, 9/7/2023(a)     2,603,000       2,578,426  
Total U.S. Treasury Bills (Cost $14,272,686)             14,276,432  
                 
Total Investments – 99.1%                
(Cost $14,272,686)           $ 14,276,432  
Other Assets in Excess of Liabilities – 0.9%             133,078  
Net Assets – 100.0%           $ 14,409,510  

 

(a) Represents a zero coupon bond. Rate shown reflects the effective yield.

 

Summary of Investment Type

 

Industry  

% of
Net Assets

 
U.S. Treasury Bills     99.1 %
Total Investments     99.1 %
Other Assets in Excess of Liabilities     0.9 %
Net Assets     100.0 %

 

See Notes to Financial Statements.

 

85

 

 

Simplify Tail Risk Strategy ETF

Schedule of Investments

June 30, 2023

 

 

    Shares     Value  
Exchange-Traded Funds – 92.6%                
Simplify Aggregate Bond Plus Credit Hedge ETF(a)(b)(c)     250,356     $ 5,636,540  
Simplify Enhanced Income ETF(a)(c)     111,389       2,786,953  
Simplify High Yield PLUS Credit Hedge ETF(a)(c)     42,196       921,231  
Simplify Interest Rate Hedge ETF(a)(c)     52,883       3,319,995  
Simplify Stable Income ETF(a)(c)     112,062       2,808,274  
Total Exchange-Traded Funds (Cost $15,482,498)             15,472,993  

 

   

Number of

Contracts

   

Notional

Amount

       
Purchased Options – 15.7%                        
                         
Calls – Exchange-Traded – 1.3%                        
CBOE Volatility Index, July Strike Price $20, Expires 7/19/23     2,083     $ 4,166,000       60,407  
CBOE Volatility Index, August Strike Price $16, Expires 8/16/23     870       1,392,000       163,995  
                      224,402  
Puts – Exchange-Traded – 14.4%                        
Invesco QQQ TrustSM, Series 1, July Strike Price $360, Expires 7/03/23     1,420       51,120,000       1,420  
Invesco QQQ TrustSM, Series 1, July Strike Price $330, Expires 7/21/23     520       17,160,000       12,740  
Invesco QQQ TrustSM, Series 1, September Strike Price $350, Expires 9/15/23     987       34,545,000       500,902  
S&P 500 Index, July Strike Price $4,200, Expires 7/03/23     273       114,660,000       1,365  
S&P 500 Index, July Strike Price $4,430, Expires 7/06/23     80       35,440,000       69,040  
S&P 500 Index, July Strike Price $3,855, Expires 7/21/23     305       117,577,500       51,088  
S&P 500 Index, July Strike Price $3,900, Expires 7/21/23     283       110,370,000       53,770  
S&P 500 Index, August Strike Price $3,720, Expires 8/18/23     1,057       393,204,000       433,370  
S&P 500 Index, August Strike Price $3,800, Expires 8/31/23     247       93,860,000       188,955  
S&P 500 Index, September Strike Price $3,720, Expires 9/15/23     627       233,244,000       567,435  
S&P 500 Index, September Strike Price $4,000, Expires 9/15/23     280       112,000,000       522,200  
                      2,402,285  
                         
Total Purchased Options (Cost $7,816,096)                     2,626,687  

 

    Shares        
Money Market Funds – 0.2%                
Fidelity Investments Money Market Treasury Only Portfolio - Class I, 4.81%(d)                
(Cost $33,778)     33,778       33,778  
                 
Total Investments – 108.5%                
(Cost $23,332,372)           $ 18,133,458  
Liabilities in Excess of Other Assets – (8.5)%             (1,425,928 )
Net Assets – 100.0%           $ 16,707,530  

 

   

Number of

Contracts

   

Notional

Amount

       
Written Options – (8.5)%                        
                         
Calls – Exchange-Traded – (2.2)%                        
Invesco QQQ TrustSM, Series 1, July Strike Price $368, Expires 7/21/23     (520 )   $ (19,136,000 )   $ (361,400 )
                         
Puts – Exchange-Traded – (6.3)%                        
Invesco QQQ TrustSM, Series 1, July Strike Price $350, Expires 7/03/23     (1,420 )     (49,700,000 )     (1,420 )

 

See Notes to Financial Statements.

 

86

 

 

Simplify Tail Risk Strategy ETF

Schedule of Investments (Continued)

June 30, 2023

 

 

   

Number of

Contracts

   

Notional

Amount

    Value  
Invesco QQQ TrustSM, Series 1, September Strike Price $330, Expires 9/15/23     (987 )   $ (32,571,000 )   $ (240,828 )
S&P 500 Index, July Strike Price $3,650, Expires 7/21/23     (305 )     (111,325,000 )     (32,787 )
S&P 500 Index, July Strike Price $3,780, Expires 7/21/23     (130 )     (49,140,000 )     (18,850 )
S&P 500 Index, August Strike Price $3,500, Expires 8/18/23     (1,057 )     (369,950,000 )     (272,178 )
S&P 500 Index, August Strike Price $3,650, Expires 8/31/23     (247 )     (90,155,000 )     (132,145 )
S&P 500 Index, September Strike Price $3,500, Expires 9/15/23     (627 )     (219,450,000 )     (360,525 )
                      (1,058,733 )
                         
Total Written Options (Premiums Received $3,876,224)                   $ (1,420,133 )

 

(a) Affiliated fund managed by Simplify Asset Management Inc.
(b) A copy of the security’s annual report to shareholders may be obtained without charge at www.simplify.us.
(c) Securities with an aggregate market value of $10,167,363 have been pledged as collateral for options as of June 30, 2023.
(d) Rate shown reflects the 7-day yield as of June 30, 2023.

 

Affiliates

 

Fiscal year 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 Plus Credit Hedge ETF   $     $ 7,818,390     $ (2,041,753 )   $ (52,803 )   $ (87,294 )   $ 5,636,540       250,356     $ 144,025     $  
Simplify Enhanced Income ETF           3,951,435       (1,150,812 )     1,003       (14,673 )     2,786,953       111,389       86,528        
Simplify High Yield PLUS Credit Hedge ETF     27,016,073       5,956,035       (31,972,937 )     (2,413,995 )     2,336,055       921,231       42,196       676,253        
Simplify Interest Rate Hedge ETF     9,968,592       7,260,854       (15,293,214 )     2,465,458       (1,081,695 )     3,319,995       52,883       53,055        
Simplify Intermediate Term Treasury ETF     22,187,428       4,283,021       (24,134,270 )     (1,737,976 )     (598,203 )                 200,321        
Simplify Short Term Treasury Futures Strategy ETF           7,414,797       (7,520,114 )     105,317                         37,382        
Simplify Stable Income ETF           3,964,327       (1,153,989 )     996       (3,060 )     2,808,274       112,062       47,429        
Simplify Volatility Premium ETF     30,615,744       10,821,357       (41,496,751 )     (372,311 )     431,961                   1,861,802        
    $ 89,787,837     $ 51,470,216     $ (124,763,840 )   $ (2,004,311 )   $ 983,091     $ 15,472,993       568,886     $ 3,106,795     $  

 

See Notes to Financial Statements.

 

87

 

 

Simplify Tail Risk Strategy ETF

Schedule of Investments (Continued)

June 30, 2023

 

 

Summary of Investment Type

 

Industry  

% of
Net Assets

 
Exchange-Traded Funds     92.6 %
Purchased Options     15.7 %
Money Market Funds     0.2 %
Total Investments     108.5 %
Liabilities in Excess of Other Assets     (8.5 )%
Net Assets     100.0 %

 

See Notes to Financial Statements.

 

88

 

 

Simplify US Equity PLUS Convexity ETF

Schedule of Investments

June 30, 2023

 

 

    Shares     Value  
Exchange-Traded Funds – 99.0%                
iShares Core S&P 500 ETF(a)(b)                
(Cost $69,745,261)     163,186     $ 72,733,632  

 

    Number of
Contracts
   

Notional

Amount

       
Purchased Options – 1.3%                        
                         
Calls – Exchange-Traded – 0.9%                        
S&P 500 Index, July Strike Price $4,360, Expires 7/21/23     22     $ 9,592,000       243,760  
S&P 500 Index, August Strike Price $4,375, Expires 8/18/23     25       10,937,500       338,125  
S&P 500 Index, September Strike Price $4,600, Expires 9/15/23     27       12,420,000       107,730  
                      689,615  
Puts – Exchange-Traded – 0.4%                        
S&P 500 Index, July Strike Price $3,855, Expires 7/21/23     68       26,214,000       11,390  
S&P 500 Index, August Strike Price $3,720, Expires 8/18/23     259       96,348,000       106,190  
S&P 500 Index, September Strike Price $3,720, Expires 9/15/23     154       57,288,000       139,370  
                      256,950  
                         
Total Purchased Options (Cost $1,003,931)                     946,565  

 

    Shares        
Money Market Funds – 0.5%                
Fidelity Investments Money Market Treasury Only Portfolio - Class I, 4.81%(c)                
(Cost $334,496)     334,496       334,496  
                 
Total Investments – 100.8%                
(Cost $71,083,688)           $ 74,014,693  
Liabilities in Excess of Other Assets – (0.8)%             (600,160 )
Net Assets – 100.0%           $ 73,414,533  

 

    Number of
Contracts
   

Notional

Amount

       
Written Options – (0.3)%                        
                         
Calls – Exchange-Traded – (0.1)%                        
S&P 500 Index, July Strike Price $4,575, Expires 7/21/23     (22 )   $ (10,065,000 )   $ (14,300 )
S&P 500 Index, August Strike Price $4,575, Expires 8/18/23     (25 )     (11,437,500 )     (66,250 )
S&P 500 Index, September Strike Price $4,825, Expires 9/15/23     (27 )     (13,027,500 )     (13,500 )
                      (94,050 )
Puts – Exchange-Traded – (0.2)%                        
S&P 500 Index, July Strike Price $3,650, Expires 7/21/23     (68 )     (24,820,000 )     (7,310 )
S&P 500 Index, August Strike Price $3,500, Expires 8/18/23     (259 )     (90,650,000 )     (66,693 )
S&P 500 Index, September Strike Price $3,500, Expires 9/15/23     (154 )     (53,900,000 )     (88,550 )
                      (162,553 )
                         
Total Written Options (Premiums Received $465,738)                   $ (256,603 )

 

(a) A copy of the security’s annual report to shareholders may be obtained without charge at www.ishares.com.
(b) Securities with an aggregate market value of $22,285,500 have been pledged as collateral for options as of June 30, 2023.
(c) Rate shown reflects the 7-day yield as of June 30, 2023.

 

See Notes to Financial Statements.

 

89

 

 

Simplify US Equity PLUS Convexity ETF

Schedule of Investments (Continued)

June 30, 2023

 

 

Summary of Investment Type

 


Industry
  % of
Net Assets
 
Exchange-Traded Funds     99.0 %
Purchased Options     1.3 %
Money Market Funds     0.5 %
Total Investments     100.8 %
Liabilities in Excess of Other Assets     (0.8 )%
Net Assets     100.0 %

 

See Notes to Financial Statements.

 

90

 

 

Simplify US Equity PLUS Downside Convexity ETF

Schedule of Investments

June 30, 2023

 

 

    Shares     Value  
Exchange-Traded Funds – 99.7%                
iShares Core S&P 500 ETF(a)(b)                
(Cost $119,027,766)     258,809     $ 115,353,759  

 

    Number of
Contracts
    Notional
Amount
       
Purchased Options – 0.7%                        
                         
Puts – Exchange-Traded – 0.7%                        
S&P 500 Index, July Strike Price $3,855, Expires 7/21/23     181     $ 69,775,500       30,318  
S&P 500 Index, August Strike Price $3,720, Expires 8/18/23     819       304,668,000       335,790  
S&P 500 Index, September Strike Price $3,720, Expires 9/15/23     485       180,420,000       438,925  
                      805,033  
                         
Total Purchased Options (Cost $1,998,452)                     805,033  

 

    Shares        
Money Market Funds – 0.1%                
Fidelity Investments Money Market Treasury Only Portfolio - Class I, 4.81%(c)                
(Cost $70,259)     70,259       70,259  
                 
Total Investments – 100.5%                
(Cost $121,096,477)           $ 116,229,051  
Liabilities in Excess of Other Assets – (0.5)%             (614,438 )
Net Assets – 100.0%           $ 115,614,613  

 

    Number of
Contracts
    Notional
Amount
       
Written Options – (0.4)%                        
                         
Puts – Exchange-Traded – (0.4)%                        
S&P 500 Index, July Strike Price $3,650, Expires 7/21/23     (181 )   $ (66,065,000 )   $ (19,457 )
S&P 500 Index, August Strike Price $3,500, Expires 8/18/23     (819 )     (286,650,000 )     (210,893 )
S&P 500 Index, September Strike Price $3,500, Expires 9/15/23     (485 )     (169,750,000 )     (278,875 )
                      (509,225 )
                         
Total Written Options (Premiums Received $1,210,697)                   $ (509,225 )

 

(a) A copy of the security’s annual report to shareholders may be obtained without charge at www.ishares.com.
(b) Securities with an aggregate market value of $82,456,350 have been pledged as collateral for options as of June 30, 2023.
(c) Rate shown reflects the 7-day yield as of June 30, 2023.

 

Summary of Investment Type

 

Industry   % of
Net Assets
 
Exchange-Traded Funds     99.7 %
Purchased Options     0.7 %
Money Market Funds     0.1 %
Total Investments     100.5 %
Liabilities in Excess of Other Assets     (0.5 )%
Net Assets     100.0 %

 

See Notes to Financial Statements.

 

91

 

 

Simplify US Equity PLUS GBTC ETF

Schedule of Investments

June 30, 2023

 

 

    Shares     Value  
Exchange-Traded Funds – 85.2%                
iShares Core S&P 500 ETF(a)                
(Cost $7,151,462)     16,709     $ 7,447,369  
                 
Grantor Trusts – 9.7%                
Grayscale Bitcoin Trust BTC*                
(Cost $1,319,710)     44,180       847,814  
                 
Money Market Funds – 0.2%                
Fidelity Investments Money Market Treasury Only Portfolio - Class I, 4.81%(b)                
(Cost $19,302)     19,302       19,302  
                 
Total Investments – 95.1%                
(Cost $8,490,474)           $ 8,314,485  
Other Assets in Excess of Liabilities – 4.9%             426,906  
Net Assets – 100.0%           $ 8,741,391  

 

* Non Income Producing
(a) A copy of the security’s annual report to shareholders may be obtained without charge at www.ishares.com.
(b) Rate shown reflects the 7-day yield as of June 30, 2023.

 

At June 30, 2023, open futures contracts were as follows:

 

    Number of
Contracts
    Notional
Value
    Expiration
Date
  Value/
Unrealized
Appreciation
(Depreciation)
 
Long position contracts:                          
S&P 500 E-Mini Future   6     $ 1,346,475     9/15/23   $ 30,528  

 

Summary of Investment Type

 


Industry
  % of
Net Assets
 
Exchange-Traded Funds     85.2 %
Grantor Trusts     9.7 %
Money Market Funds     0.2 %
Total Investments     95.1 %
Other Assets in Excess of Liabilities     4.9 %
Net Assets     100.0 %

 

See Notes to Financial Statements.

 

92

 

 

Simplify US Equity PLUS Upside Convexity ETF

Schedule of Investments

June 30, 2023

 

 

    Shares     Value  
Exchange-Traded Funds – 98.0%                
iShares Core S&P 500 ETF(a)(b)                
(Cost $8,421,272)     18,535     $ 8,261,235  

 

    Number of
Contracts
    Notional
Amount
       
Purchased Options – 2.0%                        
                         
Calls – Exchange-Traded – 2.0%                        
S&P 500 Index, July Strike Price $4,360, Expires 7/21/23     5     $ 2,180,000       55,400  
S&P 500 Index, August Strike Price $4,375, Expires 8/18/23     6       2,625,000       81,150  
S&P 500 Index, September Strike Price $4,600, Expires 9/15/23     7       3,220,000       27,930  
                      164,480  
                         
Total Purchased Options (Cost $77,444)                     164,480  

 

    Shares        
Money Market Funds – 0.9%                
Fidelity Investments Money Market Treasury Only Portfolio - Class I, 4.81%(c)                
(Cost $78,904)     78,904       78,904  
                 
Total Investments – 100.9%                
(Cost $8,577,620)           $ 8,504,619  
Liabilities in Excess of Other Assets – (0.9)%             (76,470 )
Net Assets – 100.0%           $ 8,428,149  

 

    Number of
Contracts
    Notional
Amount
       
Written Options – (0.3)%                        
                         
Calls – Exchange-Traded – (0.3)%                        
S&P 500 Index, July Strike Price $4,575, Expires 7/21/23     (5 )   $ (2,287,500 )   $ (3,250 )
S&P 500 Index, August Strike Price $4,575, Expires 8/18/23     (6 )     (2,745,000 )     (15,900 )
S&P 500 Index, September Strike Price $4,825, Expires 9/15/23     (7 )     (3,377,500 )     (3,500 )
                      (22,650 )
                         
Total Written Options (Premiums Received $13,377)                   $ (22,650 )

 

(a) A copy of the security’s annual report to shareholders may be obtained without charge at www.ishares.com.
(b) Securities with an aggregate market value of $6,017,085 have been pledged as collateral for options as of June 30, 2023.
(c) Rate shown reflects the 7-day yield as of June 30, 2023.

 

See Notes to Financial Statements.

 

93

 

 

Simplify US Equity PLUS Upside Convexity ETF

Schedule of Investments (Continued)

June 30, 2023

 

 

Summary of Investment Type

 


Industry
  % of
Net Assets
 
Exchange-Traded Funds     98.0 %
Purchased Options     2.0 %
Money Market Funds     0.9 %
Total Investments     100.9 %
Liabilities in Excess of Other Assets     (0.9 )%
Net Assets     100.0 %

 

See Notes to Financial Statements.

 

94

 

 

Simplify Volt RoboCar Disruption and Tech ETF

Schedule of Investments

June 30, 2023

 

 

    Shares     Value  
Common Stocks – 95.1%                
Basic Materials – 2.2%                
Albemarle Corp.     64     $ 14,278  
BHP Group Ltd., ADR     229       13,664  
Glencore PLC, ADR     1,250       14,075  
Rio Tinto PLC, ADR     212       13,534  
Sociedad Quimica y Minera de Chile SA, ADR     177       12,854  
Talon Metals Corp.*     53,244       14,360  
Vale SA, ADR     904       12,132  
              94,897  
Communications – 12.6%                
Alphabet, Inc., Class C*(a)     1,483       179,398  
Amazon.com, Inc.*(a)     1,300       169,468  
Cisco Systems, Inc.     148       7,657  
Meta Platforms, Inc., Class A*     319       91,547  
Netflix, Inc.*     83       36,561  
Okta, Inc.*     5       347  
Palo Alto Networks, Inc.*     11       2,811  
VeriSign, Inc.*     80       18,078  
Verizon Communications, Inc.     226       8,405  
Walt Disney Co. (The)*     287       25,623  
              539,895  
Consumer, Cyclical – 15.9%                
Arbe Robotics Ltd*     5,394       15,589  
Aurora Innovation, Inc.*     8,721       25,640  
BYD Co. Ltd., ADR     327       20,977  
Costco Wholesale Corp.     46       24,765  
Lucid Group, Inc.*     1,183       8,151  
NIO, Inc., ADR*     1,198       11,608  
Rivian Automotive, Inc., Class A*     665       11,079  
Sonder Holdings, Inc.*     145,685       77,286  
Tesla, Inc.*(a)     1,861       487,154  
              682,249  
Consumer, Non-cyclical – 6.3%                
Amgen, Inc.     30       6,660  
Automatic Data Processing, Inc.     62       13,627  
Block, Inc.*     2,548       169,620  
Coca-Cola Co. (The)     164       9,876  
DaVita, Inc.*     110       11,052  
Johnson & Johnson     57       9,435  
Kraft Heinz Co. (The)     225       7,987  
Kroger Co. (The)     176       8,272  
Moody’s Corp.     30       10,432  
PayPal Holdings, Inc.*     57       3,804  
PepsiCo, Inc.     56       10,372  
Procter & Gamble Co. (The)     59       8,953  
              270,090  
Financial – 5.0%                
American Express Co.     35       6,097  
Bank of America Corp.     198       5,681  
Bank of New York Mellon Corp. (The)     116       5,164  

 

See Notes to Financial Statements.

 

95

 

 

Simplify Volt RoboCar Disruption and Tech ETF

Schedule of Investments (Continued)

June 30, 2023

 

 

    Shares     Value  
Common Stocks (continued)                
Financial (continued)                
Citigroup, Inc.     114     $ 5,248  
Lemonade, Inc.*     11,106       187,136  
US Bancorp     148       4,890  
              214,216  
Industrial – 1.0%                
Camtek Ltd.*     556       19,810  
Deere & Co.     23       9,320  
FANUC Corp., ADR     957       16,776  
              45,906  
Technology – 52.1%                
Activision Blizzard, Inc.*     102       8,599  
Adobe, Inc.*     20       9,780  
Advanced Micro Devices, Inc.*(a)     3,598       409,848  
Amkor Technology, Inc.     715       21,271  
Analog Devices, Inc.     372       72,469  
ANSYS, Inc.*     22       7,266  
Apple, Inc.(a)     1,024       198,625  
Applied Materials, Inc.     235       33,967  
ASML Holding NV     106       76,824  
Atlassian Corp., Class A*     5       839  
Autodesk, Inc.*     72       14,732  
Broadcom, Inc.     30       26,023  
Cadence Design Systems, Inc.*     35       8,208  
Cognizant Technology Solutions Corp., Class A     118       7,703  
Crowdstrike Holdings, Inc., Class A*     82       12,043  
Datadog, Inc., Class A*     14       1,377  
DocuSign, Inc.*     7       358  
Fiserv, Inc.*     83       10,470  
Fortinet, Inc.*     30       2,268  
GLOBALFOUNDRIES, Inc.*(a)     300       19,374  
HP, Inc.     482       14,802  
Intel Corp.     1,564       52,300  
Intuit, Inc.     13       5,957  
KLA Corp.     45       21,826  
Lam Research Corp.     41       26,357  
Marvell Technology, Inc.     334       19,967  
Microchip Technology, Inc.     131       11,736  
Micron Technology, Inc.     342       21,584  
Microsoft Corp.(a)     1,375       468,243  
NVIDIA Corp.(a)     1,328       561,771  
NXP Semiconductors NV     79       16,170  
Paychex, Inc.     146       16,333  
QWALCOMM, Inc.     52       6,190  
Skyworks Solutions, Inc.     31       3,431  
Splunk, Inc.*     4       424  
Synopsys, Inc.*     49       21,335  
Taiwan Semiconductor Manufacturing Co. Ltd., ADR     75       7,569  
Texas Instruments, Inc.     88       15,842  
Workday, Inc., Class A*     6       1,355  

 

See Notes to Financial Statements.

 

96

 

 

Simplify Volt RoboCar Disruption and Tech ETF

Schedule of Investments (Continued)

June 30, 2023

 

 

    Shares     Value  
Common Stocks (continued)                
Technology (continued)                
Zoom Video Communications, Inc., Class A*     13     $ 882  
Zscaler, Inc.*     7       1,024  
              2,237,142  
Total Common Stocks (Cost $3,498,390)             4,084,395  

 

    Number of
Contracts
    Notional
Amount
       
Purchased Options – 2.4%                        
                         
Calls – Exchange-Traded – 1.8%                        
Tesla, Inc., July Strike Price $285, Expires 7/21/23     30     $ 855,000       22,350  
Tesla, Inc., January Strike Price $417, Expires 1/19/24     23       958,341       19,090  
Tesla, Inc., June Strike Price $667, Expires 6/21/24     66       4,400,022       33,825  
                      75,265  
Puts – Exchange-Traded – 0.6%                        
S&P 500 Index, July Strike Price $3,855, Expires 7/21/23     6       2,313,000       1,005  
S&P 500 Index, August Strike Price $3,720, Expires 8/18/23     28       10,416,000       11,480  
S&P 500 Index, September Strike Price $3,720, Expires 9/15/23     17       6,324,000       15,385  
                      27,870  
                         
Total Purchased Options (Cost $340,493)                     103,135  

 

    Shares        
Money Market Funds – 3.0%                
Fidelity Investments Money Market Treasury Only Portfolio - Class I, 4.81%(b)                
(Cost $126,771)     126,771       126,771  
                 
Total Investments – 100.5%                
(Cost $3,965,654)           $ 4,314,301  
Liabilities in Excess of Other Assets – (0.5)%             (19,715 )
Net Assets – 100.0%           $ 4,294,586  

 

    Number of
Contracts
    Notional
Amount
       
Written Options – (0.4)%                        
                         
Puts – Exchange-Traded – (0.4)%                        
S&P 500 Index, July Strike Price $3,650, Expires 7/21/23     (6 )   $ (2,190,000 )   $ (645 )
S&P 500 Index, August Strike Price $3,500, Expires 8/18/23     (28 )     (9,800,000 )     (7,210 )
S&P 500 Index, September Strike Price $3,500, Expires 9/15/23     (17 )     (5,950,000 )     (9,775 )
                      (17,630 )
                         
Total Written Options (Premiums Received $42,870)                   $ (17,630 )

 

* Non Income Producing
(a) Securities with an aggregate market value of $984,986 have been pledged as collateral for options as of June 30, 2023.
(b) Rate shown reflects the 7-day yield as of June 30, 2023.

 

See Notes to Financial Statements.

 

97

 

 

Simplify Volt RoboCar Disruption and Tech ETF

Schedule of Investments (Continued)

June 30, 2023

 

 

ADR: American Depositary Receipt

 

Summary of Investment Type

 


Industry
  % of
Net Assets
 
Common Stocks     95.1 %
Purchased Options     2.4 %
Money Market Funds     3.0 %
Total Investments     100.5 %
Liabilities in Excess of Other Assets     (0.5 )%
Net Assets     100.0 %

 

See Notes to Financial Statements.

 

98

 

 

Simplify Bitcoin Strategy PLUS Income ETF

Consolidated Schedule of Investments

June 30, 2023

 

 

    Principal     Value  
U.S. Treasury Bills – 262.1%                
U.S. Treasury Bill, 4.90%, 8/1/2023(a)   $ 10,430,000     $ 10,387,528  
U.S. Treasury Bill, 4.92%, 8/10/2023(a)(b)     5,200,000       5,171,869  
U.S. Treasury Bill, 4.79%, 9/7/2023(a)     4,500,000       4,457,518  
U.S. Treasury Bill, 5.34%, 9/19/2023(a)(b)     500,000       494,407  
U.S. Treasury Bill, 5.40%, 10/3/2023(a)(b)(c)     44,900,000       44,307,900  
U.S. Treasury Bill, 5.46%, 11/9/2023(a)(b)     600,000       588,822  
Total U.S. Treasury Bills (Cost $65,379,819)             65,408,044  
                 
Total Investments – 262.1%                
(Cost $65,379,819)           $ 65,408,044  
Liabilities in Excess of Other Assets – (162.1)%             (40,455,349 )
Net Assets – 100.0%           $ 24,952,695  

 

(a) Represents a zero coupon bond. Rate shown reflects the effective yield.
(b) Securities with an aggregate market value of $3,086,050 have been pledged as collateral for options as of June 30, 2023.
(c) Security, or a portion thereof, in the amount of $43,518,045 has been pledged as collateral for reverse repurchase agreements as of June 30, 2023. See note 5 for additional information

 

At June 30, 2023, open futures contracts were as follows:

 

    Number of
Contracts
    Notional
Value
    Expiration
Date
  Value/
Unrealized
Appreciation
(Depreciation)
 
Long position contracts:                          
CME Bitcoin Futures   169     $ 25,924,600     7/28/23   $ 250,618  

 

Summary of Investment Type

 

Industry   % of
Net Assets
 
U.S. Treasury Bills     262.1 %
Total Investments     262.1 %
Liabilities in Excess of Other Assets     (162.1 )%
Net Assets     100.0 %

 

At June 30, 2023, 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   5.22%     6/29/2023   7/3/2023   $ 59,971,951   $ 59,971,951  
                  $ 59,971,951   $ 59,971,951  

 

A portion of receivable for securities sold included in the statement of asset and liabilities, in the amount of $17,706,200, has been pledged as collateral for reverse repurchase agreements as of June 30, 2023. See note 5 for additional information.

 

See Notes to Financial Statements.

 

99

 

 

Simplify Commodities Strategy No K-1 ETF

Consolidated Schedule of Investments

June 30, 2023

 

 

    Principal     Value  
U.S. Treasury Bills – 87.9%                
U.S. Treasury Bill, 5.28%, 8/29/2023(a)   $ 700,000     $ 694,286  
U.S. Treasury Bill, 4.74%, 9/7/2023(a)     2,185,000       2,164,372  
U.S. Treasury Bill, 5.33%, 10/3/2023(a)     2,600,000       2,565,714  
Total U.S. Treasury Bills (Cost $5,424,309)             5,424,372  
                 
Total Investments – 87.9%                
(Cost $5,424,309)           $ 5,424,372  
Other Assets in Excess of Liabilities – 12.1%             747,088  
Net Assets – 100.0%           $ 6,171,460  

 

(a) Represents a zero coupon bond. Rate shown reflects the effective yield.

 

At June 30, 2023, open futures contracts were as follows:

 

    Number of
Contracts
    Notional
Value
    Expiration
Date
    Value/
Unrealized
Appreciation
(Depreciation)
 
Long position contracts:                            
Natural Gas Future   4     $ 111,920     7/27/23     $ 5,879  
Gasoline RBOB Future   1       106,886     7/31/23       (1,792 )
NY Harbor ULSD Future   2       205,598     7/31/23       (3,898 )
Soybean Future   7       259,140     8/14/23       24,519  
Soybean Future   1       72,100     8/14/23       1,253  
WTI Crude Future   1       70,780     8/22/23       (1,132 )
Natural Gas Future   3       83,220     8/29/23       1,393  
Gasoline RBOB Future   1       103,425     8/31/23       1,703  
Soybean Oil Future   3       108,360     9/14/23       7,725  
Wheat Future (CBT)   3       97,650     9/14/23       (13,540 )
Natural Gas Future   2       56,940     9/27/23       1,345  
Natural Gas Future   2       64,220     10/27/23       1,245  
WTI Crude Future   5       352,000     11/20/23       (2,642 )
Wheat Future (CBT)   1       33,463     12/14/23       (4,340 )
Natural Gas Future   2       76,980     12/27/23       1,005  
Total unrealized appreciation/(depreciation)                       $ 18,723  
                             
Short position contracts:                            
Gold 100 OZ Future   (7)       (1,350,580 )   8/29/23       (3,407 )
Copper Future   (1)       (93,988 )   9/27/23       (2 )
Silver Future   (5)       (575,500 )   9/27/23       (8,287 )
Corn Future   (3)       (74,212 )   12/14/23       42  
Total unrealized appreciation/(depreciation)                       $ (11,654 )
Total net unrealized appreciation                       $ 7,069  

 

See Notes to Financial Statements.

 

100

 

 

Simplify Commodities Strategy No K-1 ETF

Consolidated Schedule of Investments (Continued)

June 30, 2023

 

 

Summary of Investment Type

 

Industry  
 
% of
Net Assets
 
 
U.S. Treasury Bills     87.9 %
Total Investments     87.9 %
Other Assets in Excess of Liabilities     12.1 %
Net Assets     100.0 %

 

See Notes to Financial Statements.

 

101

 

 

Simplify Macro Strategy ETF

Consolidated Schedule of Investments

June 30, 2023

 

 

    Shares     Value  
Exchange-Traded Funds – 79.5%                
iShares Gold Trust*     80,879     $ 2,943,187  
Simplify Aggregate Bond PLUS Credit Hedge ETF(a)     106,470       2,397,076  
Simplify Commodities Strategy No K-1 ETF(a)     131,353       3,245,076  
Simplify High Yield PLUS Credit Hedge ETF(a)(b)     407,671       8,900,355  
Simplify Intermediate Term Treasury Futures Strategy ETF(a)(b)     204,512       3,006,326  
Simplify Managed Futures Strategy ETF(a)(b)     278,272       7,095,936  
Simplify Market Neutral Equity Long/Short ETF*(a)     100,000       2,461,750  
Simplify Short Term Treasury Futures Strategy ETF(a)(b)     352,303       7,990,232  
Simplify Volatility Premium ETF(a)(b)     119,401       2,740,253  
Total Exchange-Traded Funds (Cost $41,835,684)             40,780,191  

 

    Principal        
U.S. Treasury Bills – 8.3%                
U.S. Treasury Bill, 4.88%, 9/7/2023(c)   $ 376,900       373,342  
U.S. Treasury Bill, 5.26%, 9/19/2023(c)     950,000       939,373  
U.S. Treasury Bill, 5.40%, 10/3/2023(c)     3,000,000       2,960,439  
Total U.S. Treasury Bills (Cost $4,271,536)             4,273,154  

 

    Number of
Contracts
    Notional
Amount
       
Purchased Options – 9.6%                        
                         
Calls – Exchange-Traded – 9.3%                        
CBOE Volatility Index, July Strike Price $30, Expires 7/19/23     1,553       4,659,000       13,201  
CBOE Volatility Index, October Strike Price $35, Expires 10/18/23     963       3,370,500       75,114  
CME 3-Month SOFR Futures, December Strike Price $95, Expires 12/15/23     255       60,562,500       117,937  
SPDR S&P 500, September Strike Price $395, Expires 9/15/23     580       22,910,000       3,138,670  
SPDR S&P 500, December Strike Price $320, Expires 12/15/23     110       3,520,000       1,438,195  
                      4,783,117  
Puts – Exchange-Traded – 0.3%                        
AutoNation, Inc., July Strike Price $120, Expires 7/21/23     50       600,000       2,250  
AutoNation, Inc., October Strike Price $110, Expires 10/20/23     100       1,100,000       10,250  
NVIDIA Corp., October Strike Price $300, Expires 10/20/23     307       9,210,000       123,567  
                      136,067  
                         
Total Purchased Options (Cost $4,436,160)                     4,919,184  

 

    Shares        
Money Market Funds – 2.4%                
Fidelity Investments Money Market Treasury Only Portfolio - Class I, 4.81%(d)                
(Cost $1,238,179)     1,238,179       1,238,179  
                 
Total Investments – 99.8%                
(Cost $51,781,559)           $ 51,210,708  
Other Assets in Excess of Liabilities – 0.2%             86,024  
Net Assets – 100.0%           $ 51,296,732  

 

See Notes to Financial Statements.

 

102

 

 

Simplify Macro Strategy ETF

Consolidated Schedule of Investments (Continued)

June 30, 2023

 

 

    Number of
Contracts
    Notional
Amount
    Value  
Written Options – (1.9)%                        
                         
Calls – Exchange-Traded – (1.9)%                        
CBOE Volatility Index, July Strike Price $45, Expires 7/19/23     (1,975 )   $ (8,887,500 )   $ (5,925 )
CBOE Volatility Index, October Strike Price $55, Expires 10/18/23     (963 )     (5,296,500 )     (31,779 )
CME 3-Month SOFR Futures, December Strike Price $96, Expires 12/15/23     (255 )     (61,200,000 )     (52,594 )
NVIDIA Corp., January Strike Price $470, Expires 1/19/24     (205 )     (9,635,000 )     (889,187 )
                      (979,485 )
                         
Total Written Options (Premiums Received $1,528,054)                   $ (979,485 )

 

* Non Income Producing
(a) Affiliated fund managed by Simplify Asset Management Inc.
(b) Securities with an aggregate market value of $14,474,914 have been pledged as collateral for options as of June 30, 2023. (c) Represents a zero coupon bond. Rate shown reflects the effective yield.
(d) Rate shown reflects the 7-day yield as of June 30, 2023.

 

See Notes to Financial Statements.

 

103

 

 

Simplify Macro Strategy ETF

Consolidated Schedule of Investments (Continued)

June 30, 2023

 

 

Affiliates

 

Fiscal year 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 PLUS Credit Hedge ETF   $     $ 3,765,341     $ (1,251,274 )   $ (50,816 )   $ (66,176 )   $ 2,397,076       106,470     $ 44,026     $  
Simplify Commodities Strategy No K-1 ETF           3,407,402       (113,363 )     1,529       (50,492 )     3,245,076       131,353       12,986        
Simplify High Yield PLUS Credit Hedge ETF     1,634,446       11,066,509       (3,678,226 )     (130,815 )     8,441       8,900,355       407,671       459,999        
Simplify Interest Rate Hedge ETF           2,371,759       (2,384,245 )     12,486                         10,568        
Simplify Intermediate Term Treasury Futures Strategy ETF     424,657       4,590,029       (1,520,373 )     (166,486 )     (321,501 )     3,006,326       204,512       75,046        
Simplify Managed Futures Strategy ETF     1,678,230       10,937,657       (4,953,102 )     (491,829 )     (75,020 )     7,095,936       278,272       191,178        
Simplify Market Neutral Equity Long/ Short ETF           2,587,257       (85,626 )     358       (40,239 )     2,461,750       100,000              
Simplify Short Term Treasury Futures Strategy ETF           9,320,013       (582,407 )     (5,548 )     (741,826 )     7,990,232       352,303       162,721        
Simplify Volatility Premium ETF     1,348,049       8,270,055       (6,756,199 )     (283,036 )     161,384       2,740,253       119,401       688,134        
    $ 5,085,382     $ 56,316,022     $ (21,324,815 )   $ (1,114,157 )   $ (1,125,429 )   $ 37,837,004       1,699,982     $ 1,644,658     $  

 

Summary of Investment Type

 


Industry
 
 
% of
Net Assets
 
 
Exchange-Traded Funds     79.5 %
Purchased Options     9.6 %
U.S. Treasury Bills     8.3 %
Money Market Funds     2.4 %
Total Investments     99.8 %
Other Assets in Excess of Liabilities     0.2 %
Net Assets     100.0 %

 

See Notes to Financial Statements.

 

104

 

 

Simplify Managed Futures Strategy ETF

Consolidated Schedule of Investments

June 30, 2023

 

 

    Principal     Value  
U.S. Treasury Bills – 84.8%                
U.S. Treasury Bill, 4.92%, 8/10/2023(a)   $ 49,050,000     $ 48,784,653  
U.S. Treasury Bill, 4.87%, 9/7/2023(a)     21,600,000       21,396,085  
U.S. Treasury Bill, 5.33%, 10/3/2023(a)     38,200,000       37,696,253  
U.S. Treasury Bill, 5.43%, 12/21/2023(a)     500,000       487,567  
Total U.S. Treasury Bills (Cost $108,362,041)             108,364,558  
                 
Total Investments – 84.8%                
(Cost $108,362,041)           $ 108,364,558  
Other Assets in Excess of Liabilities – 15.2%             19,378,347  
Net Assets – 100.0%           $ 127,742,905  

 

(a) Represents a zero coupon bond. Rate shown reflects the effective yield.

 

At June 30, 2023, open futures contracts were as follows:

 

    Number of
Contracts
    Notional
Value
    Expiration
Date
  Value/
Unrealized
Appreciation
(Depreciation)
 
Long position contracts:                          
WTI Crude Future   7     $ 494,480     7/20/23   $ 7,809  
Natural Gas Future   27       755,460     7/27/23     25,316  
Soybean Oil Future   85       3,146,700     8/14/23     220,999  
Live Cattle Future   164       11,622,680     8/31/23     256,661  
Soybean Oil Future   47       1,697,640     9/14/23     93,394  
Wheat Future (CBT)   40       1,302,000     9/14/23     (176,318 )
Natural Gas Future   25       711,750     9/27/23     4,313  
Soybean Oil Future   11       391,776     10/13/23     18,627  
Live Cattle Future   190       13,645,800     10/31/23     364,660  
WTI Crude Future   39       2,745,600     11/20/23     22,230  
Wheat Future (CBT)   8       267,700     12/14/23     (34,624 )
WTI Crude Future   21       1,474,200     12/19/23     3,080  
Natural Gas Future   17       654,330     12/27/23     3,156  
Live Cattle Future   138       10,130,580     12/29/23     211,776  
WTI Crude Future   12       839,760     1/22/24     (8,569 )
WTI Crude Future   23       1,604,480     2/20/24     11,246  
Natural Gas Future   1       35,030     2/27/24     234  
Natural Gas Future   6       191,100     3/26/24     724  
Total unrealized appreciation/(depreciation)                     $ 1,024,714  
                           
Short position contracts:                          
Gold 100 OZ Future   (145)       (27,976,300 )   8/29/23     218,809  
Natural Gas Future   (5)       (138,700 )   8/29/23     (32 )
Corn Future   (90)       (2,198,250 )   9/14/23     48,695  
Bank Accept Future   (90)       (16,046,801 )   9/18/23     139,862  
Copper Future   (95)       (8,928,813 )   9/27/23     (38,188 )
Silver Future   (75)       (8,632,500 )   9/27/23     (125,185 )
US 5 Year Note (CBT)   (712)       (76,250,750 )   9/29/23     1,354,933  
Sugar #11 (World) Future   (92)       (2,348,282 )   9/29/23     55,046  

 

See Notes to Financial Statements.

 

105

 

 

Simplify Managed Futures Strategy ETF

Consolidated Schedule of Investments (Continued)

June 30, 2023

 

 

    Number of
Contracts
    Notional
Value
    Expiration
Date
  Value/
Unrealized
Appreciation
(Depreciation)
 
Short position contracts: (continued)                          
Gold 100 OZ Future   (5)     $ (974,250 )   10/27/23   $ 9,318  
Natural Gas Future   (6)       (217,320 )   11/28/23     (86 )
Cotton No. 2 Future   (371)       (14,908,635 )   12/6/23     (67,255 )
Corn Future   (105)       (2,597,437 )   12/14/23     124,576  
Copper Future   (2)       (188,600 )   12/27/23     (41 )
Gold 100 OZ Future   (7)       (1,377,600 )   12/27/23     (1,347 )
Silver Future   (12)       (1,400,220 )   12/27/23     (15,648 )
Sugar #11 (World) Future   (48)       (1,230,566 )   2/29/24     9,500  
Cotton No. 2 Future   (41)       (1,645,125 )   3/6/24     (25,638 )
3 Month SOFR Future   (722)       (170,825,200 )   3/19/24     916,107  
Copper Future   (3)       (283,388 )   3/26/24     (1,657 )
Silver Future   (1)       (118,310 )   3/26/24     (2,337 )
Sugar #11 (World) Future   (20)       (484,736 )   4/30/24     12,709  
Corn Future   (9)       (231,075 )   5/14/24     7,386  
3 Month SOFR Future   (717)       (170,081,362 )   6/18/24     925,837  
3 Month SOFR Future   (853)       (203,099,300 )   9/17/24     1,278,692  
3 Month SOFR Future   (657)       (157,072,275 )   12/17/24     424,359  
Total unrealized appreciation/(depreciation)                     $ 5,248,415  
Total net unrealized appreciation                     $ 6,273,129  

 

Summary of Investment Type

 

Industry
 
% of
Net Assets

 
U.S. Treasury Bills     84.8 %
Total Investments     84.8 %
Other Assets in Excess of Liabilities     15.2 %
Net Assets     100.0 %

 

See Notes to Financial Statements.

 

106

 

 

Simplify Volatility Premium ETF

Consolidated Schedule of Investments

June 30, 2023

 

 

    Principal     Value  
U.S. Treasury Bills – 59.6%                
U.S. Treasury Bill, 5.10%, 8/15/2023(a)   $ 30,000,000     $ 29,815,608  
U.S. Treasury Bill, 5.22%, 8/29/2023(a)     40,500,000       40,169,382  
U.S. Treasury Bill, 5.25%, 9/7/2023(a)(b)     2,000,000       1,981,119  
U.S. Treasury Bill, 5.34%, 10/3/2023(a)     122,500,000       120,884,582  
Total U.S. Treasury Bills (Cost $192,738,984)             192,850,691  
                 
U.S. Government Obligations – 36.3%                
U.S. Treasury Inflation Indexed Note, 0.63%, 1/15/2024   $ 91,900,000       117,435,748  
U.S. Treasury Note, 2.88%, 6/15/2025(b)     100,000       96,201  
Total U.S. Government Obligations (Cost $117,566,695)             117,531,949  

 


 

 
Number of
Contracts

 

 
Notional
Amount

 

 

 

 
Purchased Options – 0.3%                        
                         
Calls – Exchange-Traded – 0.3%                        
CBOE Volatility Index, September Strike Price $50, Expires 9/20/23     26,660       133,300,000       773,140  
CBOE Volatility Index, October Strike Price $50, Expires 10/18/23     3,720       18,600,000       159,960  
                      933,100  
                         
Total Purchased Options (Cost $1,526,943)                     933,100  
                         
Total Investments – 96.2%                        
(Cost $311,832,622)                   $ 311,315,740  
Other Assets in Excess of Liabilities – 3.8%                     12,274,195  
Net Assets – 100.0%                   $ 323,589,935  

 

(a) Represents a zero coupon bond. Rate shown reflects the effective yield.
(b) Securities with an aggregate market value of $2,077,280 have been pledged as collateral for options as of June 30, 2023.

 

At June 30, 2023, open futures contracts were as follows:

 

    Number of
Contracts
    Notional
Value
    Expiration
Date
  Value/
Unrealized
Appreciation
(Depreciation)
 
Short position contracts:                          
CBOE VIX Future   (2,064)     $ (36,332,799 )   9/20/23   $ 3,389,887  
CBOE VIX Future   (1,248)       (22,899,427 )   10/18/23     1,021,482  
Total net unrealized appreciation                     $ 4,411,369  

 

See Notes to Financial Statements.

 

107

 

 

Simplify Volatility Premium ETF

Consolidated Schedule of Investments (Continued)

June 30, 2023

 

 

Summary of Investment Type

 


Industry
 
 
% of
Net Assets
 
 
U.S. Treasury Bills     59.6 %
U.S. Government Obligations     36.3 %
Purchased Options     0.3 %
Total Investments     96.2 %
Other Assets in Excess of Liabilities     3.8 %
Net Assets     100.0 %

 

At June 30, 2023, 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     5.22 %   6/30/2023     7/3/2023     $ 144,536,933     $ 144,536,933  
                        $ 144,536,933     $ 144,536,933  

 

A portion of receivable for securities sold included in the statement of asset and liabilities, in the amount of $144,536,933, has been pledged as collateral for reverse repurchase agreements as of June 30, 2023. See note 5 for additional information.

 

See Notes to Financial Statements.

 

108

 

 

 

 

 

 

 

 

 

 

 

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Simplify Exchange Traded Funds

Statements of Assets and Liabilities

June 30, 2023

 

 

    Simplify
Aggregate
Bond PLUS
Credit Hedge ETF
    Simplify
Developed
Ex-US PLUS
Downside
Convexity ETF
    Simplify
Emerging
Markets
Equity PLUS
Downside
Convexity ETF
    Simplify
Enhanced
Income ETF
 
Assets                                
Investments, at value   $ 11,417,278     $ 17,182,878     $ 4,103,007     $ 25,303,800  
Cash     107,048                   232,165  
Unrealized appreciation on over the counter swaps     8,459                    
Receivables:                                
Securities sold     1,348,473       4,517,896       10,014        
Capital shares     561,010                   8,118,251  
Due from broker     33,364                    
Interest     8,099                    
Investment adviser     2,621       4,411       844        
Dividends     226       716       70        
Total assets     13,486,578       21,705,901       4,113,935       33,654,216  
                                 
Liabilities                                
Unrealized depreciation on over the counter swaps     6,081                    
Payables:                                
Securities purchased     1,499,629                   7,898,891  
Distributions payable     100,000       365,500       29,250       135,000  
Written options     58,910       110,772       19,408        
Investment advisory fees     4,437       8,821       1,687       6,713  
Capital shares           4,441,139              
Other accrued expenses     4,807       2,112       661       2,874  
Total liabilities     1,673,864       4,928,344       51,006       8,043,478  
Net Assets   $ 11,812,714     $ 16,777,557     $ 4,062,929     $ 25,610,738  
                                 
Net Assets Consist of                                
Paid-in capital   $ 12,041,568     $ 21,519,780     $ 5,828,418     $ 25,639,393  
Distributable earnings (loss)     (228,854 )     (4,742,223 )     (1,765,489 )     (28,655 )
Net Assets   $ 11,812,714     $ 16,777,557     $ 4,062,929     $ 25,610,738  
Number of Common Shares outstanding     525,001       850,001       225,001       1,025,001  
Net Asset Value, offering and redemption price per share   $ 22.50     $ 19.74     $ 18.06     $ 24.99  
Investments, at cost   $ 11,467,277     $ 18,384,609     $ 4,772,480     $ 25,301,818  
Premiums received   $ 87,097     $ 174,748     $ 27,425     $  
Maintenance Margin Requirement   $ 464,847     $     $     $  

 

See Notes to Financial Statements.

 

110

 

 

Simplify Exchange Traded Funds

Statements of Assets and Liabilities (Continued)

June 30, 2023

 

 

    Simplify Health
Care ETF
    Simplify Hedged
Equity ETF
    Simplify High
Yield PLUS
Credit Hedge ETF
    Simplify
Interest Rate
Hedge ETF
 
Assets                                
Investments, at value   $ 57,443,570     $ 109,926,970     $ 45,194,376     $ 212,975,428  
Cash                 333,509       5,499,729  
Unrealized appreciation on over the counter swaps                 207,769       1,195  
Receivables:                                
Capital shares     2,627,436       617,386             24,389  
Securities sold     1,852,933                   507,000  
Dividends     42,997             2,699        
Foreign tax reclaim     18,461                    
Interest           637             900,164  
Due from broker           12,405             8,498  
Investment adviser                 9,293        
Total assets     61,985,397       110,557,398       45,747,646       219,916,403  
                                 
Liabilities                                
Unrealized depreciation on over the counter swaps                 260,149        
Payables:                                
Securities purchased     2,629,243       627,001              
Distributions payable     269,750       342,000       207,500       342,500  
Investment advisory fees     22,383       42,899       18,586       92,273  
Capital shares                       1,625,910  
Written options           2,748,303       20,858        
Other accrued expenses                 6        
Total liabilities     2,921,376       3,760,203       507,099       2,060,683  
Net Assets   $ 59,064,021     $ 106,797,195     $ 45,240,547     $ 217,855,720  
                                 
Net Assets Consist of                                
Paid-in capital   $ 65,331,925     $ 104,594,502     $ 49,214,485     $ 131,946,680  
Distributable earnings (loss)     (6,267,904 )     2,202,693       (3,973,938 )     85,909,040  
Net Assets   $ 59,064,021     $ 106,797,195     $ 45,240,547     $ 217,855,720  
Number of Common Shares outstanding     2,225,001       4,300,001       2,075,001       3,400,001  
Net Asset Value, offering and redemption price per share   $ 26.55     $ 24.84     $ 21.80     $ 64.08  
Investments, at cost   $ 55,787,832     $ 102,150,258     $ 45,239,907     $ 220,041,108  
Premiums received   $     $ 1,524,896     $ 51,992     $  

 

See Notes to Financial Statements.

 

111

 

 

Simplify Exchange Traded Funds

Statements of Assets and Liabilities (Continued)

June 30, 2023

 

 

    Simplify
Intermediate
Term Treasury
Futures
Strategy ETF
    Simplify Market
Neutral Equity
Long/Short ETF
    Simplify
Opportunistic
Income ETF
    Simplify Propel
Opportunities ETF
 
Assets                                
Investments, at value   $ 53,174,978     $ 4,339,165     $ 35,776,339     $ 101,192,822  
Cash           27,341       1,082,502        
Unrealized appreciation on over the counter swaps           6,117              
Receivables:                                
Securities sold     497,282                   2,184,418  
Investment adviser     4,469             925       15,571  
Interest     774       6,041             26,859  
Dividends                       30,877  
Capital shares                 1,250,089        
Total assets     53,677,503       4,378,664       38,109,855       103,450,547  
                                 
Liabilities                                
Due to broker     145,735                    
Unrealized depreciation on over the counter swaps           12,006              
Payables:                                
Distributions payable     180,000                   3,107,601  
Investment advisory fees     11,171       1,339       1,952       171,286  
Reset of swaps           72,979              
Securities purchased           17,537       592,000        
Total liabilities     336,906       103,861       593,952       3,278,887  
Net Assets   $ 53,340,597     $ 4,274,803     $ 37,515,903     $ 100,171,660  
                                 
Net Assets Consist of                                
Paid-in capital   $ 74,114,091     $ 4,356,418     $ 37,500,114     $ 104,474,716  
Distributable earnings (loss)     (20,773,494 )     (81,615 )     15,789       (4,303,056 )
Net Assets   $ 53,340,597     $ 4,274,803     $ 37,515,903     $ 100,171,660  
Number of Common Shares outstanding     3,625,001       175,001       1,500,001       4,570,001  
Net Asset Value, offering and redemption price per share   $ 14.71     $ 24.43     $ 25.01     $ 21.92  
Investments, at cost   $ 53,163,877     $ 4,338,348     $ 35,769,828     $ 104,775,838  
Maintenance Margin Requirement   $ 19,815,782     $     $     $  

 

See Notes to Financial Statements.

 

112

 

 

Simplify Exchange Traded Funds

Statements of Assets and Liabilities (Continued)

June 30, 2023

 

 

    Simplify Short
Term Treasury
Futures
Strategy ETF
    Simplify Stable
Income ETF
    Simplify Tail
Risk Strategy ETF
    Simplify US
Equity PLUS
Convexity ETF
 
Assets                                
Investments in unaffiliated securities, at value   $ 526,246,074     $ 14,276,432     $ 2,660,465     $ 74,014,693  
Investments in affiliated securities, at value                 15,472,993        
Cash     4,078,133       135,791              
Receivables:                                
Capital shares     9,633,376                    
Securities sold     2,983,691       59,435       234,737       150,141  
Investment adviser     27,425             60,789       14,555  
Prepaid expenses     3,894                    
Interest     43                    
Dividends                 94,295       590  
Due from broker                       28  
Total assets     542,972,636       14,471,658       18,523,279       74,180,007  
                                 
Liabilities                                
Due to broker     1,623,242             258,657        
Payables:                                
Securities purchased     4,934,131                    
Distributions payable     2,080,000       57,500       114,000       479,750  
Investment advisory fees     68,563       4,150       11,306       29,110  
Written options                 1,420,133       256,603  
Other accrued expenses           498       11,653       11  
Total liabilities     8,705,936       62,148       1,815,749       765,474  
Net Assets   $ 534,266,700     $ 14,409,510     $ 16,707,530     $ 73,414,533  
                                 
Net Assets Consist of                                
Paid-in capital   $ 562,371,957     $ 14,404,483     $ 68,561,431     $ 77,399,913  
Distributable earnings (loss)     (28,105,257 )     5,027       (51,853,901 )     (3,985,380 )
Net Assets   $ 534,266,700     $ 14,409,510     $ 16,707,530     $ 73,414,533  
Number of Common Shares outstanding     23,575,001       575,001       2,850,001       2,525,001  
Net Asset Value, offering and redemption price per share   $ 22.66     $ 25.06     $ 5.86     $ 29.08  
Investments, at cost   $ 526,129,145     $ 14,272,686     $ 7,849,874     $ 71,083,688  
Investments in affiliated securities, at cost   $     $     $ 15,482,498     $  
Premiums received   $     $     $ 3,876,224     $ 465,738  
Maintenance Margin Requirement   $ 19,691,626     $     $     $  

 

See Notes to Financial Statements.

 

113

 

 

Simplify Exchange Traded Funds

Statements of Assets and Liabilities (Continued)

June 30, 2023

 

 

    Simplify US
Equity PLUS
Downside
Convexity ETF
    Simplify US
Equity PLUS
GBTC ETF
    Simplify US
Equity PLUS
Upside
Convexity ETF
    Simplify Volt
RoboCar
Disruption and
Tech ETF
 
Assets                                
Investments, at value   $ 116,229,051     $ 8,314,485     $ 8,504,619     $ 4,314,301  
Cash                       20  
Receivables:                                
Capital shares     9,513,728       1,855,304              
Securities sold     767,375       116,411              
Investment adviser     21,578             1,685        
Dividends     280                   960  
Interest           49       116        
Due from broker           362,326              
Total assets     126,532,012       10,648,575       8,506,420       4,315,281  
                                 
Liabilities                                
Due to broker     265                   3  
Payables:                                
Securities purchased     9,551,003       1,876,983              
Distributions payable     813,750       27,500       52,250        
Written options     509,225             22,650       17,630  
Investment advisory fees     43,156       2,701       3,371       3,062  
Total liabilities     10,917,399       1,907,184       78,271       20,695  
Net Assets   $ 115,614,613     $ 8,741,391     $ 8,428,149     $ 4,294,586  
                                 
Net Assets Consist of                                
Paid-in capital   $ 172,078,897     $ 13,458,713     $ 9,487,652     $ 8,752,394  
Distributable earnings (loss)     (56,464,284 )     (4,717,322 )     (1,059,503 )     (4,457,808 )
Net Assets   $ 115,614,613     $ 8,741,391     $ 8,428,149     $ 4,294,586  
Number of Common Shares outstanding     4,225,001       350,001       275,001       475,001  
Net Asset Value, offering and redemption price per share   $ 27.36     $ 24.98     $ 30.65     $ 9.04  
Investments, at cost   $ 121,096,477     $ 8,490,474     $ 8,577,620     $ 3,965,654  
Premiums received   $ 1,210,697     $     $ 13,377     $ 42,870  
Maintenance Margin Requirement   $     $ 70,772     $     $  

 

See Notes to Financial Statements.

 

114

 

 

Simplify Exchange Traded Funds

Consolidated Statements of Assets and Liabilities

June 30, 2023

 

 

    Simplify Bitcoin
Strategy PLUS
Income ETF
    Simplify
Commodities
Strategy No K-1 ETF
    Simplify Macro
Strategy ETF
    Simplify
Managed
Futures
Strategy ETF
 
Assets                        
Investments in unaffiliated securities, at value   $ 65,408,044     $ 5,424,372     $ 13,373,704     $ 108,364,558  
Investments in affiliated securities, at value                 37,837,004        
Cash     209,655       644,012       689,749       3,111,035  
Segregated cash balances with authorized participants for deposit securities                 274,730        
Receivables:                                
Securities sold     17,706,200                    
Due from broker     1,829,776       131,931       303,492       17,319,148  
Interest     5,975       40              
Dividends                 188,329        
Investment adviser                 71,139        
Total assets     85,159,650       6,200,355       52,738,147       128,794,741  
                                 
Liabilities                                
Payables:                                
Reverse repurchase agreement     59,971,951                    
Distributions payable     207,000       25,000       152,250       490,000  
Investment advisory fees     15,804       3,895       31,404       73,544  
Authorized participants                 274,730        
Securities purchased                       487,586  
Written options                 979,485        
Other accrued expenses     12,200             3,546       706  
Total liabilities     60,206,955       28,895       1,441,415       1,051,836  
Net Assets   $ 24,952,695     $ 6,171,460     $ 51,296,732     $ 127,742,905  
                                 
Net Assets Consist of                                
Paid-in capital   $ 17,210,886     $ 6,162,175     $ 53,027,944     $ 121,622,109  
Distributable earnings (loss)     7,741,809       9,285       (1,731,212 )     6,120,796  
Net Assets   $ 24,952,695     $ 6,171,460     $ 51,296,732     $ 127,742,905  
Number of Common Shares outstanding     1,380,001       250,001       2,200,001       5,000,001  
Net Asset Value, offering and redemption price per share   $ 18.08     $ 24.69     $ 23.32     $ 25.55  
Investments, at cost   $ 65,379,819     $ 5,424,309     $ 12,797,156     $ 108,362,041  
Investments in affiliated securities, at cost   $     $     $ 38,984,403     $  
Premiums received   $     $     $ 1,528,054     $  
Maintenance Margin Requirement   $ 14,164,813     $ 492,453     $ 54,878     $ 14,956,107  

 

See Notes to Financial Statements.

 

115

 

 

Simplify Exchange Traded Funds

Consolidated Statements of Assets and Liabilities (Continued)

June 30, 2023

 

 

    Simplify
Volatility
Premium ETF
 
Assets        
Investments, at value   $ 311,315,740  
Receivables:        
Securities sold     173,208,719  
Due from broker     153,067,228  
Capital shares     570,329  
Interest     267,988  
Total assets     638,430,004  
         
Liabilities        
Due to custodian     95,387,936  
Payables:        
Reverse repurchase agreement     144,536,933  
Securities purchased     70,428,738  
Distributions payable     4,368,000  
Investment advisory fees     118,462  
Total liabilities     314,840,069  
Net Assets   $ 323,589,935  
         
Net Assets Consist of        
Paid-in capital   $ 312,186,831  
Distributable earnings (loss)     11,403,104  
Net Assets   $ 323,589,935  
Number of Common Shares outstanding     14,125,001  
Net Asset Value, offering and redemption price per share   $ 22.91  
Investments, at cost   $ 311,832,622  
Maintenance Margin Requirement   $ 78,017,802  

 

See Notes to Financial Statements.

 

116

 

 

Simplify Exchange Traded Funds

Statements of Operations

Year/ Period Ended June 30, 2023

 

 

    Simplify
Aggregate
Bond PLUS
Credit Hedge ETF
    Simplify
Developed
Ex-US PLUS
Downside
Convexity ETF
    Simplify
Emerging
Markets
Equity PLUS
Downside
Convexity ETF
    Simplify
Enhanced
Income ETF(1) 
 
Investment Income                                
Unaffiliated dividend income   $ 67,464     $ 517,828     $ 107,662     $  
Affiliated dividend income     6,699                    
Interest income     36,976                   229,148  
Total income     111,139       517,828       107,662       229,148  
                                 
Expenses                                
Investment advisory fees     18,245       109,051       29,958       24,001  
Interest expense     13,275       9,894       3,601       17,439  
Other expenses     224       136       142       141  
Total expenses     31,744       119,081       33,701       41,581  
Less fees waived (see Note 6):                                
Waiver     (9,735 )     (54,550 )     (15,011 )      
Net expenses     22,009       64,531       18,690       41,581  
Net investment income (loss)     89,130       453,297       88,972       187,567  
                                 
Realized and Unrealized Gain (Loss)                                
Net realized gain (loss) from:                                
Investments     (248,959 )     (4,272,009 )     (1,436,004 )     (85,109 )
Affiliated investments     (20,791 )                  
In-kind redemptions     (55,478 )     69,116       (221,218 )      
Affiliated in-kind redemptions     8,832                    
Futures     (11,596 )                  
Swaps     25,222                    
Written options     179,053       1,798,409       609,158       319,946  
Net realized gain (loss)     (123,717 )     (2,404,484 )     (1,048,064 )     234,837  
Net change in unrealized appreciation (depreciation) on:                                
Investments     29,606       2,590,616       264,224       1,982  
Affiliated investments     (5,748 )                  
Futures     (28,513 )                  
Swaps     (2,859 )                  
Written options     27,869       63,976       8,017        
Net unrealized gain (loss)     20,355       2,654,592       272,241       1,982  
Net realized and unrealized gain (loss)     (103,362 )     250,108       (775,823 )     236,819  
Net Increase (Decrease) in Net Assets Resulting from Operations   $ (14,232 )   $ 703,405     $ (686,851 )   $ 424,386  

 

(1) For the period October 28, 2022 (commencement of operations) through June 30, 2023.

 

See Notes to Financial Statements.

 

117

 

 

Simplify Exchange Traded Funds

Statements of Operations (Continued)

Year/ Period Ended June 30, 2023

 

 

    Simplify Health
Care ETF
    Simplify Hedged
Equity ETF
    Simplify High
Yield PLUS
Credit Hedge ETF
    Simplify
Interest Rate
Hedge ETF
 
Investment Income                                
Dividend income*   $ 598,280     $ 1,546,517     $ 1,604     $  
Interest income                 1,454,645       8,523,448  
Total income     598,280       1,546,517       1,456,249       8,523,448  
                                 
Expenses                                
Investment advisory fees     244,821       443,855       219,682       1,543,753  
Interest expense     18       201,474       4,063       26  
Other expenses     44       379       288       58  
Total expenses     244,883       645,708       224,033       1,543,837  
Less fees waived (see Note 6):                                
Waiver                 (109,850 )      
Net expenses     244,883       645,708       114,183       1,543,837  
Net investment income (loss)     353,397       900,809       1,342,066       6,979,611  
                                 
Realized and Unrealized Gain (Loss)                                
Net realized gain (loss) from:                                
Investments     (5,665,187 )     (8,554,271 )     (2,084,938 )     93,935,396  
In-kind redemptions     2,441,603       2,706,841              
Swaps                 1,254,579        
Written options           5,309,471       1,364,438        
Net realized gain (loss)     (3,223,584 )     (537,959 )     534,079       93,935,396  
Net change in unrealized appreciation (depreciation) on:                                
Investments     4,827,651       12,502,107       (42,360 )     (58,638,788 )
Swaps                 81,728       466  
Written options           (1,741,256 )     15,460        
Net unrealized gain (loss)     4,827,651       10,760,851       54,828       (58,638,322 )
Net realized and unrealized gain (loss)     1,604,067       10,222,892       588,907       35,297,074  
Net Increase (Decrease) in Net Assets Resulting from Operations   $ 1,957,464     $ 11,123,701     $ 1,930,973     $ 42,276,685  
* Withholding tax   $ 27,691     $     $     $  

 

See Notes to Financial Statements.

 

118

 

 

Simplify Exchange Traded Funds

Statements of Operations (Continued)

Year/ Period Ended June 30, 2023

 

 

    Simplify
Intermediate
Term Treasury
Futures
Strategy ETF
    Simplify Market
Neutral Equity
Long/Short ETF(1) 
    Simplify
Opportunistic
Income ETF(2) 
    Simplify Propel
Opportunities ETF(3) 
 
Investment Income                                
Dividend income   $ 56,230     $     $     $ 481,300  
Interest income     1,354,538       6,721       10,306       42,635  
Total income     1,410,768       6,721       10,306       523,935  
                                 
Expenses                                
Investment advisory fees     105,968       1,339       1,952       718,435  
Interest expense     9,099                   370  
Other expenses     58                    
Total expenses     115,125       1,339       1,952       718,805  
Less fees waived (see Note 6):                                
Waiver     (42,464 )           (924 )     (65,312 )
Net expenses     72,661       1,339       1,028       653,493  
Net investment income (loss)     1,338,107       5,382       9,278       (129,558 )
                                 
Realized and Unrealized Gain (Loss)                                
Net realized gain (loss) from:                                
Investments     (10,607 )                 (854,683 )
In-kind redemptions                       (135,345 )
Futures     (8,241,602 )                  
Swaps           (84,475 )            
Net realized gain (loss)     (8,252,209 )     (84,475 )           (990,028 )
Net change in unrealized appreciation (depreciation) on:                                
Investments     12,816       817       6,511       (3,583,016 )
Futures     (1,474,068 )                  
Swaps           (5,889 )            
Net unrealized gain (loss)     (1,461,252 )     (5,072 )     6,511       (3,583,016 )
Net realized and unrealized gain (loss)     (9,713,461 )     (89,547 )     6,511       (4,573,044 )
Net Increase (Decrease) in Net Assets Resulting from Operations   $ (8,375,354 )   $ (84,165 )   $ 15,789     $ (4,702,602 )

 

(1) For the period June 14, 2023 (commencement of operations) through June 30, 2023.
(2) For the period June 27, 2023 (commencement of operations) through June 30, 2023.
(3) For the period February 8, 2023 (commencement of operations) through June 30, 2023.

 

See Notes to Financial Statements.

 

119

 

 

Simplify Exchange Traded Funds

Statements of Operations (Continued)

Year/ Period Ended June 30, 2023

 

 

    Simplify Short
Term Treasury
Futures
Strategy ETF(1) 
    Simplify Stable
Income ETF(2) 
    Simplify Tail
Risk Strategy ETF
    Simplify US
Equity PLUS
Convexity ETF
 
Investment Income                                
Unaffiliated dividend income   $     $     $ 21,709     $ 1,077,120  
Affiliated dividend income                 3,106,795        
Interest income     3,673,773       243,068              
Total income     3,673,773       243,068       3,128,504       1,077,120  
                                 
Expenses                                
Investment advisory fees     191,958       18,369       318,047       329,370  
Interest expense     4,797       3,957       86,398       21,366  
Other expenses     10       131       249       88  
Total expenses     196,765       22,457       404,694       350,824  
Less fees waived (see Note 6):                                
Waiver     (84,563 )           (211,946 )     (164,774 )
Net expenses     112,202       22,457       192,748       186,050  
Net investment income (loss)     3,561,571       220,611       2,935,756       891,070  
                                 
Realized and Unrealized Gain (Loss)                                
Net realized gain (loss) from:                                
Investments     (366 )     (20,538 )     (83,598,902 )     (8,660,892 )
Affiliated investments                 (3,196,520 )      
In-kind redemptions                       595,010  
Affiliated in-kind redemptions                 1,192,209        
Futures     (3,945,082 )                  
Written options           59,559       46,327,916       3,036,874  
Net realized gain (loss)     (3,945,448 )     39,021       (39,275,297 )     (5,029,008 )
Net change in unrealized appreciation (depreciation) on:                                
Investments     116,929       3,746       (9,044,960 )     11,402,812  
Affiliated investments                 983,091        
Futures     (23,297,280 )                  
Written options                 2,456,091       209,135  
Net unrealized gain (loss)     (23,180,351 )     3,746       (5,605,778 )     11,611,947  
Net realized and unrealized gain (loss)     (27,125,799 )     42,767       (44,881,075 )     6,582,939  
Net Increase (Decrease) in Net Assets Resulting from Operations   $ (23,564,228 )   $ 263,378     $ (41,945,319 )   $ 7,474,009  

 

(1) For the period November 15, 2022 (commencement of operations) through June 30, 2023.
(2) For the period October 28, 2022 (commencement of operations) through June 30, 2023.

 

See Notes to Financial Statements.

 

120

 

 

Simplify Exchange Traded Funds

Statements of Operations (Continued)

Year/ Period Ended June 30, 2023

 

 

    Simplify US
Equity PLUS
Downside
Convexity ETF
    Simplify US
Equity PLUS
GBTC ETF
    Simplify US
Equity PLUS
Upside
Convexity ETF
    Simplify Volt
RoboCar
Disruption and
Tech ETF
 
Investment Income                                
Dividend income*   $ 4,204,723     $ 433,729     $ 186,333     $ 34,501  
                                 
Expenses                                
Investment advisory fees     1,389,813       160,915       54,354       33,452  
Interest expense     321,630       2,138       464       1,080  
Other expenses     224       58       58       430  
Total expenses     1,711,667       163,111       54,876       34,962  
Less fees waived (see Note 6):                                
Waiver     (695,218 )           (27,233 )      
Net expenses     1,016,449       163,111       27,643       34,962  
Net investment income (loss)     3,188,274       270,618       158,690       (461 )
                                 
Realized and Unrealized Gain (Loss)                                
Net realized gain (loss) from:                                
Investments     (98,135,403 )     (1,295,606 )     (856,526 )     (7,000,339 )
In-kind redemptions     (26,055,427 )     (10,326,124 )     94,746       5,613  
Futures           560,222              
Written options     53,512,705             148,128       6,118,417  
Net realized gain (loss)     (70,678,125 )     (11,061,508 )     (613,652 )     (876,309 )
Net change in unrealized appreciation (depreciation) on:                                
Investments     56,682,195       16,201,131       1,816,955       753,506  
Futures           26,412              
Written options     701,472             (9,273 )     25,240  
Net unrealized gain (loss)     57,383,667       16,227,543       1,807,682       778,746  
Net realized and unrealized gain (loss)     (13,294,458 )     5,166,035       1,194,030       (97,563 )
Net Increase (Decrease) in Net Assets Resulting from Operations   $ (10,106,184 )   $ 5,436,653     $ 1,352,720     $ (98,024 )
* Withholding tax   $     $     $     $ 749  

 

See Notes to Financial Statements.

 

121

 

 

Simplify Exchange Traded Funds

Consolidated Statements of Operations

Year/Period Ended June 30, 2023

 

 

    Simplify Bitcoin
Strategy PLUS
Income ETF(1) 
    Simplify
Commodities
Strategy No K-1 ETF(2) 
    Simplify Macro
Strategy ETF
    Simplify
Managed
Futures
Strategy ETF
 
Investment Income                                
Affiliated dividend income   $     $     $ 1,644,658     $  
Interest income     1,367,092       44,263       73,391       4,287,248  
Total income     1,367,092       44,263       1,718,049       4,287,248  
                                 
Expenses                                
Investment advisory fees     92,716       8,723       208,301       983,779  
Interest on reverse repurchase agreement     1,093,025                    
Interest expense     23,083             6,381       33,622  
Other expenses     11,070             191       30  
Total expenses     1,219,894       8,723       214,873       1,017,431  
Less fees waived (see Note 6):                                
Waiver                 (91,586 )      
Net expenses     1,219,894       8,723       123,287       1,017,431  
Net investment income (loss)     147,198       35,540       1,594,762       3,269,817  
                                 
Realized and Unrealized Gain (Loss)                                
Net realized gain (loss) from:                                
Investments     838,139       (405 )     273,582       (89,801 )
Affiliated investments                 (1,257,168 )      
In-kind redemptions                 8,150        
Affiliated in-kind redemptions                 143,011        
Futures     6,804,936       (168,260 )           (24,154,292 )
Written options     620,189             (1,129,909 )      
Foreign currency transactions                       17,351  
Capital gain distributions from affiliated funds                 104,844        
Net realized gain (loss)     8,263,264       (168,665 )     (1,857,490 )     (24,226,742 )
Net change in unrealized appreciation (depreciation) on:                                
Investments     28,225       63       915,885       10,111  
Affiliated investments                 (1,125,429 )      
Foreign currency translations                       1,979  
Futures     250,618       7,069             4,727,966  
Written options                 536,979        
Net unrealized gain (loss)     278,843       7,132       327,435       4,740,056  
Net realized and unrealized gain (loss)     8,542,107       (161,533 )     (1,530,055 )     (19,486,686 )
Net Increase (Decrease) in Net Assets Resulting from Operations   $ 8,689,305     $ (125,993 )   $ 64,707     $ (16,216,869 )

 

(1) For the period September 30, 2022 (commencement of operations) through June 30, 2023.
(2) For the period March 28, 2023 (commencement of operations) through June 30, 2023.

 

See Notes to Financial Statements.

 

122

 

 

Simplify Exchange Traded Funds

Consolidated Statements of Operations (Continued)

Year/Period Ended June 30, 2023

 

 

    Simplify
Volatility
Premium ETF
 
Investment Income        
Dividend income   $ 308,638  
Interest income     5,992,661  
Total income     6,301,299  
         
Expenses        
Investment advisory fees     785,661  
Interest on reverse repurchase agreement     591,039  
Interest expense     442,678  
Other expenses     852  
Total expenses     1,820,230  
Net investment income (loss)     4,481,069  
         
Realized and Unrealized Gain (Loss)        
Net realized gain (loss) from:        
Investments     (7,633,915 )
Futures     36,370,631  
Written options     (1,008 )
Net realized gain (loss)     28,735,708  
Net change in unrealized appreciation (depreciation) on:        
Investments     640,923  
Futures     4,876,574  
Net unrealized gain (loss)     5,517,497  
Net realized and unrealized gain (loss)     34,253,205  
Net Increase (Decrease) in Net Assets Resulting from Operations   $ 38,734,274  

 

See Notes to Financial Statements.

 

123

 

 

Simplify Exchange Traded Funds

Statements of Changes in Net Assets

 

 

    Simplify Aggregate Bond PLUS
Credit Hedge ETF
    Simplify Developed Ex-US PLUS
Downside Convexity ETF
 
    Year Ended
June 30,
2023
    For the
period
February 15,
2022(1) to
June 30,
2022
    Year Ended
June 30,
2023
    For the
period
January 11,
2022(1) to
June 30,
2022
 
Increase (Decrease) in Net Assets from Operations                                
Net investment income (loss)   $ 89,130     $ 6,406     $ 453,297     $ 383,738  
Net realized gain (loss)     (123,717 )     871       (2,404,484 )     (1,963,909 )
Net change in net unrealized appreciation (depreciation)     20,355       (68,334 )     2,654,592       (3,792,347 )
Net increase (decrease) in net assets resulting from operations     (14,232 )     (61,057 )     703,405       (5,372,518 )
                                 
Distributions to Shareholders from:                                
Distributions     (193,442 )     (6,769 )     (451,205 )     (383,771 )
Return of capital     (98,448 )                  
Total distributions     (291,890 )     (6,769 )     (451,205 )     (383,771 )
                                 
Fund Shares Transactions                                
Proceeds from shares sold     13,780,959       1,250,025       14,975,651       46,645,061  
Value of shares redeemed     (2,844,322 )           (18,191,143 )     (21,147,923 )
Net increase (decrease) in net assets resulting from fund share transactions     10,936,637       1,250,025       (3,215,492 )     25,497,138  
Total net increase (decrease) in Net Assets     10,630,515       1,182,199       (2,963,292 )     19,740,849  
                                 
Net Assets                                
Beginning of period     1,182,199             19,740,849        
End of period   $ 11,812,714     $ 1,182,199     $ 16,777,557     $ 19,740,849  
                                 
Changes in Shares Outstanding                                
Shares outstanding, beginning of period     50,001             1,025,001        
Shares sold     600,000       50,001 (2)      800,000       2,000,001 (2) 
Shares redeemed     (125,000 )           (975,000 )     (975,000 )
Shares outstanding, end of period     525,001       50,001       850,001       1,025,001  

 

(1) Commencement of operations.
(2) Shares not in increment of 25,000 shares, a creation unit, represent the Adviser’s initial seed investment in connection with the commencement of operations.

 

See Notes to Financial Statements.

 

124

 

 

Simplify Exchange Traded Funds

Statements of Changes in Net Assets (Continued)

 

 

    Simplify Emerging Markets
Equity PLUS Downside Convexity ETF
    Simplify
Enhanced
Income ETF
    Simplify Health
Care ETF
 
    Year Ended
June 30,
2023
    For the
period
January 11,
2022(1) to
June 30,
2022
    For the
period
October 28,
2022(1) to
June 30,
2023
    Year Ended
June 30,
2023
    For the
period
October 8,
2021(1) to
June 30,
2022
 
Increase (Decrease) in Net Assets from Operations                                        
Net investment income (loss)   $ 88,972     $ 84,736     $ 187,567     $ 353,397     $ 95,372  
Net realized gain (loss)     (1,048,064 )     (317,361 )     234,837       (3,223,584 )     (3,890,791 )
Net change in net unrealized appreciation (depreciation)     272,241       (933,698 )     1,982       4,827,651       (3,171,913 )
Net increase (decrease) in net assets resulting from operations     (686,851 )     (1,166,323 )     424,386       1,957,464       (6,967,332 )
                                         
Distributions     (88,043 )     (84,731 )     (453,041 )     (399,848 )     (85,814 )
                                         
Fund Shares Transactions                                        
Proceeds from shares sold     1,384,505       8,712,687       26,894,963       94,962,880       105,564,777  
Value of shares redeemed     (4,008,315 )           (1,255,570 )     (71,260,601 )     (64,707,505 )
Net increase (decrease) in net assets resulting from fund share transactions     (2,623,810 )     8,712,687       25,639,393       23,702,279       40,857,272  
Total net increase (decrease) in Net Assets     (3,398,704 )     7,461,633       25,610,738       25,259,895       33,804,126  
                                         
Net Assets                                        
Beginning of period     7,461,633                   33,804,126        
End of period   $ 4,062,929     $ 7,461,633     $ 25,610,738     $ 59,064,021     $ 33,804,126  
                                         
Changes in Shares Outstanding                                        
Shares outstanding, beginning of period     375,001                   1,375,001        
Shares sold     75,000       375,001 (2)      1,075,001 (2)      3,675,000       3,925,001 (2) 
Shares redeemed     (225,000 )           (50,000 )     (2,825,000 )     (2,550,000 )
Shares outstanding, end of period     225,001       375,001       1,025,001       2,225,001       1,375,001  

 

(1) Commencement of operations.
(2) Shares not in increment of 25,000 shares, a creation unit, represent the Adviser’s initial seed investment in connection with the commencement of operations.

 

See Notes to Financial Statements.

 

125

 

 

Simplify Exchange Traded Funds

Statements of Changes in Net Assets (Continued)

 

 

    Simplify Hedged
Equity ETF
    Simplify High Yield PLUS
Credit Hedge ETF
 
    Year Ended
June 30,
2023
    For the
period
November 2,
2021(1) to
June 30,
2022
    Year Ended
June 30,
2023
    For the
period
February 15,
2022(1) to
June 30,
2022
 
Increase (Decrease) in Net Assets from Operations                                
Net investment income (loss)   $ 900,809     $ 163,070     $ 1,342,066     $ 13,092  
Net realized gain (loss)     (537,959 )     2,079,317       534,079       (2,573,020 )
Net change in net unrealized appreciation (depreciation)     10,760,851       (4,207,546 )     54,828       (117,592 )
Net increase (decrease) in net assets resulting from operations     11,123,701       (1,965,159 )     1,930,973       (2,677,520 )
                                 
Distributions to Shareholders from:                                
Distributions     (4,428,969 )     (163,205 )     (2,959,704 )     (267,687 )
Return of capital                 (708,226 )     (128,698 )
Total distributions     (4,428,969 )     (163,205 )     (3,667,930 )     (396,385 )
                                 
Fund Shares Transactions                                
Proceeds from shares sold     119,805,768       40,756,521       43,515,463       35,417,121  
Variable transaction fees (see Note 8)                       11,467  
Value of shares redeemed     (57,066,544 )     (1,264,918 )     (26,548,334 )     (2,344,308 )
Net increase (decrease) in net assets resulting from fund share transactions     62,739,224       39,491,603       16,967,129       33,084,280  
Total net increase (decrease) in Net Assets     69,433,956       37,363,239       15,230,172       30,010,375  
                                 
Net Assets                                
Beginning of period     37,363,239             30,010,375        
End of period   $ 106,797,195     $ 37,363,239     $ 45,240,547     $ 30,010,375  
                                 
Changes in Shares Outstanding                                
Shares outstanding, beginning of period     1,625,001             1,350,001        
Shares sold     5,125,000       1,675,001 (2)      1,925,000       1,450,001 (2) 
Shares redeemed     (2,450,000 )     (50,000 )     (1,200,000 )     (100,000 )
Shares outstanding, end of period     4,300,001       1,625,001       2,075,001       1,350,001  

 

(1) Commencement of operations.
(2) Shares not in increment of 25,000 shares, a creation unit, represent the Adviser’s initial seed investment in connection with the commencement of operations.

 

See Notes to Financial Statements.

 

126

 

 

Simplify Exchange Traded Funds

Statements of Changes in Net Assets (Continued)

 

 

    Simplify Interest Rate
Hedge ETF
    Simplify Intermediate Term
Treasury Futures Strategy ETF
 
    Year Ended
June 30,
2023
    Year Ended
June 30,
2022
    Year Ended
June 30,
2023
    For the
period
September 28,
2021(1) to
June 30,
2022
 
Increase (Decrease) in Net Assets from Operations                                
Net investment income (loss)   $ 6,979,611     $ 84,026     $ 1,338,107     $ 211,551  
Net realized gain (loss)     93,935,396       (4,002,256 )     (8,252,209 )     (10,837,774 )
Net change in net unrealized appreciation (depreciation)     (58,638,322 )     63,416,182       (1,461,252 )     (1,130,315 )
Net increase (decrease) in net assets resulting from operations     42,276,685       59,497,952       (8,375,354 )     (11,756,538 )
                                 
Distributions     (3,979,978 )     (40,085 )     (1,438,455 )     (204,525 )
                                 
Fund Shares Transactions                                
Proceeds from shares sold     14,379,391       179,625,840       51,335,724       91,225,507  
Variable transaction fees (see Note 8)     2,285,825       2,721,271              
Value of shares redeemed     (139,082,947 )     (2,688,355 )     (28,395,498 )     (39,050,264 )
Net increase (decrease) in net assets resulting from fund share transactions     (122,417,731 )     179,658,756       22,940,226       52,175,243  
Total net increase (decrease) in Net Assets     (84,121,024 )     239,116,623       13,126,417       40,214,180  
                                 
Net Assets                                
Beginning of period     301,976,744       62,860,121       40,214,180        
End of period   $ 217,855,720     $ 301,976,744     $ 53,340,597     $ 40,214,180  
                                 
Changes in Shares Outstanding                                
Shares outstanding, beginning of period     5,275,001       1,550,001       2,200,001        
Shares sold     200,000       3,775,000       3,075,000       4,350,001 (2) 
Shares redeemed     (2,075,000 )     (50,000 )     (1,650,000 )     (2,150,000 )
Shares outstanding, end of period     3,400,001       5,275,001       3,625,001       2,200,001  

 

(1) Commencement of operations.
(2) Shares not in increment of 25,000 shares, a creation unit, represent the Adviser’s initial seed investment in connection with the commencement of operations.

 

See Notes to Financial Statements.

 

127

 

 

Simplify Exchange Traded Funds

Statements of Changes in Net Assets (Continued)

 

 

 
 
Simplify Market
Neutral Equity
Long/Short ETF
    Simplify
Opportunistic
Income ETF
    Simplify Propel
Opportunities ETF
    Simplify Short
Term Treasury
Futures
Strategy ETF
    Simplify Stable
Income ETF
 
    For the
period
June 14,
2023
(1) 
to
June 30,
2023
    For the
period
June 27,
2023
(1) 
to
June 30,
2023
    For the
period
February 8,
2023(1) to
June 30,
2023
    For the
period
November 15,
2022(1) to
June 30,
2023
    For the
period
October 28,
2022(1) to
June 30,
2023
 
Increase (Decrease) in Net Assets from Operations                                        
Net investment income (loss)   $ 5,382     $ 9,278     $ (129,558 )   $ 3,561,571     $ 220,611  
Net realized gain (loss)     (84,475 )           (990,028 )     (3,945,448 )     39,021  
Net change in net unrealized appreciation (depreciation)     (5,072 )     6,511       (3,583,016 )     (23,180,351 )     3,746  
Net increase (decrease) in net assets resulting from operations     (84,165 )     15,789       (4,702,602 )     (23,564,228 )     263,378  
                                         
Distributions to Shareholders from:                                        
Distributions                 (3,107,601 )     (4,542,976 )     (258,351 )
Return of capital                 (2,920,001 )            
Total distributions                 (6,027,602 )     (4,542,976 )     (258,351 )
                                         
Fund Shares Transactions                                        
Proceeds from shares sold     4,358,968       37,500,114       127,642,507       595,701,359       15,032,078  
Value of shares redeemed                 (16,740,643 )     (33,327,455 )     (627,595 )
Net increase (decrease) in net assets resulting from fund share transactions     4,358,968       37,500,114       110,901,864       562,373,904       14,404,483  
Total net increase (decrease) in Net Assets     4,274,803       37,515,903       100,171,660       534,266,700       14,409,510  
                                         
Net Assets                                        
Beginning of period                              
End of period   $ 4,274,803     $ 37,515,903     $ 100,171,660     $ 534,266,700     $ 14,409,510  
                                         
Changes in Shares Outstanding                                        
Shares outstanding, beginning of period                              
Shares sold     175,001 (2)      1,500,001 (2)      5,320,001 (2)      24,925,001 (2)      600,001 (2) 
Shares redeemed                 (750,000 )     (1,350,000 )     (25,000 )
Shares outstanding, end of period     175,001       1,500,001       4,570,001       23,575,001       575,001  

 

(1) Commencement of operations.
(2) Shares not in increment of 25,000 shares, a creation unit, represent the Adviser’s initial seed investment in connection with the commencement of operations.

 

See Notes to Financial Statements.

 

128

 

 

Simplify Exchange Traded Funds

Statements of Changes in Net Assets (Continued)

 

 

    Simplify Tail Risk
Strategy ETF
    Simplify US Equity PLUS
Convexity ETF
 
    Year Ended
June 30,
2023
    For the
period
September 14,
2021(1) to
June 30,
2022
    Year Ended
June 30,
2023
    Year Ended
June 30,
2022
 
Increase (Decrease) in Net Assets from Operations                                
Net investment income (loss)   $ 2,935,756     $ 953,022     $ 891,070     $ 1,002,679  
Net realized gain (loss)     (39,275,297 )     (14,596,077 )     (5,029,008 )     4,127,886  
Net change in net unrealized appreciation (depreciation)     (5,605,778 )     2,862,955       11,611,947       (16,329,153 )
Net increase (decrease) in net assets resulting from operations     (41,945,319 )     (10,780,100 )     7,474,009       (11,198,588 )
                                 
Distributions to Shareholders from:                                
Distributions     (2,839,722 )     (962,486 )     (890,883 )     (1,474,658 )
Return of capital           (2,924,115 )            
Total distributions     (2,839,722 )     (3,886,601 )     (890,883 )     (1,474,658 )
                                 
Fund Shares Transactions                                
Proceeds from shares sold     33,478,385       128,006,147       67,604,172       40,488,427  
Value of shares redeemed     (76,385,084 )     (8,940,176 )     (62,025,267 )     (55,509,149 )
Net increase (decrease) in net assets resulting from fund share transactions     (42,906,699 )     119,065,971       5,578,905       (15,020,722 )
Total net increase (decrease) in Net Assets     (87,691,740 )     104,399,270       12,162,031       (27,693,968 )
                                 
Net Assets                                
Beginning of period     104,399,270             61,252,502       88,946,470  
End of period   $ 16,707,530     $ 104,399,270     $ 73,414,533     $ 61,252,502  
                                 
Changes in Shares Outstanding                                
Shares outstanding, beginning of period     5,225,001             2,304,000       2,904,000  
Shares sold     2,700,000       5,650,001 (2)      2,550,000       1,250,000  
Shares redeemed     (5,075,000 )     (425,000 )     (2,328,999 )     (1,850,000 )
Shares outstanding, end of period     2,850,001       5,225,001       2,525,001       2,304,000  

 

(1) Commencement of operations.
(2) Shares not in increment of 25,000 shares, a creation unit, represent the Adviser’s initial seed investment in connection with the commencement of operations.

See Notes to Financial Statements.

 

129

 

 

Simplify Exchange Traded Funds

Statements of Changes in Net Assets (Continued)

 

 

    Simplify US Equity PLUS     Simplify US Equity PLUS  
    Downside Convexity ETF     GBTC ETF  
    Year Ended     Year Ended     Year Ended     Year Ended  
    June 30,
2023
    June 30,
2022
    June 30,
2023
    June 30,
2022
 
Increase (Decrease) in Net Assets from Operations                                
Net investment income (loss)   $ 3,188,274     $ 4,492,888     $ 270,618     $ 723,650  
Net realized gain (loss)     (70,678,125 )     2,022,408       (11,061,508 )     (1,939,170 )
Net change in net unrealized appreciation (depreciation)     57,383,667       (77,003,767 )     16,227,543       (17,674,515 )
Net increase (decrease) in net assets resulting from operations     (10,106,184 )     (70,488,471 )     5,436,653       (18,890,035 )
                                 
Distributions to Shareholders from:                                
Distributions     (3,166,409 )     (5,375,711 )     (94,553 )     (2,342,098 )
Return of capital                 (174,233 )      
Total distributions     (3,166,409 )     (5,375,711 )     (268,786 )     (2,342,098 )
                                 
Fund Shares Transactions                                
Proceeds from shares sold     92,541,300       424,502,655       1,855,304       14,440,227  
Value of shares redeemed     (408,472,788 )     (128,515,412 )     (85,622,116 )     (8,421,626 )
Net increase (decrease) in net assets resulting from fund share transactions     (315,931,488 )     295,987,243       (83,766,812 )     6,018,601  
Total net increase (decrease) in Net Assets     (329,204,081 )     220,123,061       (78,598,945 )     (15,213,532 )
                                 
Net Assets                                
Beginning of period     444,818,694       224,695,633       87,340,336       102,553,868  
End of period   $ 115,614,613     $ 444,818,694     $ 8,741,391     $ 87,340,336  
                                 
Changes in Shares Outstanding                                
Shares outstanding, beginning of period     16,800,001       7,425,001       4,275,001       4,050,001  
Shares sold     3,450,000       13,725,000       75,000       525,000  
Shares redeemed     (16,025,000 )     (4,350,000 )     (4,000,000 )     (300,000 )
Shares outstanding, end of period     4,225,001       16,800,001       350,001       4,275,001  

 

See Notes to Financial Statements.

 

130

 

 

Simplify Exchange Traded Funds

Statements of Changes in Net Assets (Continued)

 

 

    Simplify US Equity PLUS
Upside Convexity ETF
    Simplify Volt RoboCar
Disruption and Tech ETF
 
    Year Ended
June 30,
2023
    Year Ended
June 30,
2022
    Year Ended
June 30,
2023
    Year Ended
June 30,
2022
 
Increase (Decrease) in Net Assets from Operations                                
Net investment income (loss)   $ 158,690     $ 152,276     $ (461 )   $ 26,469  
Net realized gain (loss)     (613,652 )     1,133,499       (876,309 )     (3,553,320 )
Net change in net unrealized appreciation (depreciation)     1,807,682       (3,048,045 )     778,746       (338,137 )
Net increase (decrease) in net assets resulting from operations     1,352,720       (1,762,270 )     (98,024 )     (3,864,988 )
                                 
Distributions to Shareholders from:                                
Distributions     (113,758 )     (422,428 )           (18,980 )
Return of capital                       (12,160 )
Total distributions     (113,758 )     (422,428 )           (31,140 )
                                 
Fund Shares Transactions                                
Proceeds from shares sold     3,357,979       12,148,895       465,708       8,809,599  
Value of shares redeemed     (8,136,895 )     (7,293,147 )     (623,533 )     (2,438,630 )
Net increase (decrease) in net assets resulting from fund share transactions     (4,778,916 )     4,855,748       (157,825 )     6,370,969  
Total net increase (decrease) in Net Assets     (3,539,954 )     2,671,050       (255,849 )     2,474,841  
                                 
Net Assets                                
Beginning of period     11,968,103       9,297,053       4,550,435       2,075,594  
End of period   $ 8,428,149     $ 11,968,103     $ 4,294,586     $ 4,550,435  
                                 
Changes in Shares Outstanding                                
Shares outstanding, beginning of period     450,001       300,001       500,420       175,420  
Shares sold     125,000       375,000       50,000       525,000  
Shares redeemed     (300,000 )     (225,000 )     (75,419 )     (200,000 )
Shares outstanding, end of period     275,001       450,001       475,001       500,420  

 

See Notes to Financial Statements.

 

131

 

 

Simplify Exchange Traded Funds

Consolidated Statements of Changes in Net Assets

 

 

    Simplify Bitcoin
Strategy PLUS
Income ETF
    Simplify
Commodities
Strategy No K-1 ETF
    Simplify Macro
Strategy ETF
 
    For the
period
September 30,
2022(1) to
June 30,
2023
    For the
period
March 28,
2023(1) to
June 30,
2023
    Year Ended
June 30,
2023
    For the
period
May 17,
2022(1) 
to
June 30,
2022
 
Increase (Decrease) in Net Assets from Operations                                
Net investment income (loss)   $ 147,198     $ 35,540     $ 1,594,762     $ 27,306  
Net realized gain (loss)     8,263,264       (168,665 )     (1,857,490 )     (16,351 )
Net change in net unrealized appreciation (depreciation)     278,843       7,132       327,435       (349,718 )
Net increase (decrease) in net assets resulting from operations     8,689,305       (125,993 )     64,707       (338,763 )
                                 
Distributions     (1,198,175 )     (25,000 )     (1,363,559 )     (2,773 )
                                 
Fund Shares Transactions                                
Proceeds from shares sold     17,461,565       6,322,453       52,046,178       6,827,612  
Value of shares redeemed                 (5,936,670 )      
Net increase (decrease) in net assets resulting from fund share transactions     17,461,565       6,322,453       46,109,508       6,827,612  
Total net increase (decrease) in Net Assets     24,952,695       6,171,460       44,810,656       6,486,076  
                                 
Net Assets                                
Beginning of period                 6,486,076        
End of period   $ 24,952,695     $ 6,171,460     $ 51,296,732     $ 6,486,076  
                                 
Changes in Shares Outstanding                                
Shares outstanding, beginning of period                 275,001        
Shares sold     1,380,001 (2)      250,001 (2)      2,175,000       275,001 (2) 
Shares redeemed                 (250,000 )      
Shares outstanding, end of period     1,380,001       250,001       2,200,001       275,001  

 

(1) Commencement of operations.
(2) Shares not in increment of 25,000 shares, a creation unit, represent the Adviser’s initial seed investment in connection with the commencement of operations.

 

See Notes to Financial Statements.

 

132

 

 

Simplify Exchange Traded Funds

Consolidated Statements of Changes in Net Assets (Continued)

 

 

    Simplify Managed Futures
Strategy ETF
    Simplify Volatility
Premium ETF
 
    Year Ended
June 30,
2023
    For the
period
March 8,
2022(1) 
to
June 30,
2022
    Year Ended
June 30,
2023
    Year Ended
June 30,
2022
 
Increase (Decrease) in Net Assets from Operations                                
Net investment income (loss)   $ 3,269,817     $ (10,483 )   $ 4,481,069     $ 74,299  
Net realized gain (loss)     (24,226,742 )     (153,846 )     28,735,708       (5,287,825 )
Net change in net unrealized appreciation (depreciation)     4,740,056       1,538,662       5,517,497       (2,206,484 )
Net increase (decrease) in net assets resulting from operations     (16,216,869 )     1,374,333       38,734,274       (7,420,010 )
                                 
Distributions to Shareholders from:                                
Distributions     (10,767,132 )           (28,995,598 )     (123,628 )
Return of capital                       (11,320,688 )
Total distributions     (10,767,132 )           (28,995,598 )     (11,444,316 )
                                 
Fund Shares Transactions                                
Proceeds from shares sold     269,507,617       32,559,577       253,466,733       174,190,526  
Value of shares redeemed     (143,417,215 )     (5,297,406 )     (38,880,630 )     (70,918,163 )
Net increase (decrease) in net assets resulting from fund share transactions     126,090,402       27,262,171       214,586,103       103,272,363  
Total net increase (decrease) in Net Assets     99,106,401       28,636,504       224,324,779       84,408,037  
                                 
Net Assets                                
Beginning of period     28,636,504             99,265,156       14,857,119  
End of period   $ 127,742,905     $ 28,636,504     $ 323,589,935     $ 99,265,156  
                                 
Changes in Shares Outstanding                                
Shares outstanding, beginning of period     1,050,001             4,475,001       550,001  
Shares sold     9,350,000       1,250,001 (2)      11,425,000       6,875,000  
Shares redeemed     (5,400,000 )     (200,000 )     (1,775,000 )     (2,950,000 )
Shares outstanding, end of period     5,000,001       1,050,001       14,125,001       4,475,001  

 

(1) Commencement of operations.
(2) Shares not in increment of 25,000 shares, a creation unit, represent the Adviser’s initial seed investment in connection with the commencement of operations.

 

See Notes to Financial Statements.

 

133

 

 

Simplify Exchange Traded Funds

Consolidated Statement of Cash Flows

For the Period Ended June 30, 2023

 

 

    Simplify Bitcoin
Strategy PLUS
Income ETF
 
Cash Flows Provided by (Used for) Operating Activities:        
Net increase (decrease) in net assets resulting from operations   $ 8,689,305  
Adjustments to reconcile net increase (decrease) in net assets resulting from operations to net cash provided by / (used for) operating activities:        
Purchases of long-term investment securities     (13,929,936 )
Net purchases and sales in short term investments     (63,606,444 )
Net change in unrealized (appreciation) / depreciation on investments     (28,225 )
Net realized (gain) / loss from sales of investments     (838,139 )
Net realized (gain) / loss from written options     (620,189 )
Proceeds from sale of securities     14,973,558  
Net amortization of premium / (discount)     (1,358,669 )
(Increase) Decrease in dividends and interest receivable     (5,975 )
(Increase) Decrease in securities sold receivable     (17,706,200 )
(Increase) Decrease in due from broker     (1,829,776 )
Increase (Decrease) in other accrued expenses     12,200  
Increase (Decrease) in investment advisory fees payable     15,804  
Net Cash Provided by / (Used for) Operating Activities     (76,232,686 )
Cash Flows Provided by (Used for) from Financing Activities:        
Shares Sold     17,461,565  
Proceeds from reverse repurchase agreement     5,369,171,616  
Payments made on reverse repurchase agreement     (5,309,199,665 )
Distributions paid     (991,175 )
Cash provided by (used for) financing activities     76,442,341  
Net increase (decrease) in cash     209,655  
Cash and Restricted Cash(2):        
Cash and Restricted Cash, at beginning of period      
Cash and Restricted Cash, at end of period   $ 209,655  

 

(1) For the period September 30, 2022 (commencement of operations) through June 30, 2023.
(2) Cash and restricted cash include cash and cash held as collateral for futures.

 

Supplemental Disclosure of Cash Flow Information        
Non-cash financing activities:        
Cash paid for interest on reverse repurchase agreements   $ 1,093,025  
         
Reconciliation of Restricted and Unrestricted Cash at the beginning of period to the Statements of Assets and Liabilities        
Cash   $  
         
Reconciliation of Restricted and Unrestricted Cash at the end of period to the Statements of Assets and Liabilities        
Cash   $ 209,655  

 

See Notes to Financial Statements.

 

134

 

 

Simplify Exchange Traded Funds

Consolidated Statement of Cash Flows

For the Year Ended June 30, 2023

 

 

    Simplify
Volatility
Premium ETF
 
Cash Flows Provided by (Used for) Operating Activities:        
Net increase (decrease) in net assets resulting from operations   $ 38,734,274  
Adjustments to reconcile net increase (decrease) in net assets resulting from operations to net cash provided by / (used for) operating activities:        
Purchases of long-term investment securities     (182,905,095 )
Net purchases and sales in short term investments     (312,898,818 )
Net change in unrealized (appreciation) / depreciation on investments     (640,923 )
Net realized (gain) / loss from sales of investments     7,633,915  
Net realized (gain) / loss from written options     1,008  
Proceeds from sale of securities     277,477,109  
Net amortization of premium / (discount)     (4,479,334 )
(Increase) Decrease in dividends and interest receivable     (153,980 )
(Increase) Decrease in securities sold receivable     (173,208,719 )
(Increase) Decrease in due from broker     (153,067,228 )
Interest payable on reverse repurchase agreement     (11,287 )
Increase (Decrease) in investment advisory fees payable     74,368  
Increase (Decrease) securities purchased payable     70,428,738  
Net Cash Provided by / (Used for) Operating Activities     (433,015,972 )
Cash Flows Provided by (Used for) from Financing Activities:        
Shares Sold     252,896,404  
Shares redeemed     (38,880,630 )
Proceeds from reverse repurchase agreement     946,615,956  
Payments made on reverse repurchase agreement     (839,529,023 )
Distributions paid     (24,627,598 )
Increase in bank overdraft     95,387,936  
Cash provided by (used for) financing activities     391,863,045  
Net increase (decrease) in cash     (41,152,927 )
Cash and Restricted Cash(1):        
Cash and Restricted Cash, at beginning of year     41,152,927  
Cash and Restricted Cash, at end of year   $  

 

(1) Cash and restricted cash include cash and cash held as collateral for futures.

 

Supplemental Disclosure of Cash Flow Information        
Non-cash financing activities:        
Cash paid for interest on reverse repurchase agreements   $ 591,039  
         
Reconciliation of Restricted and Unrestricted Cash at the beginning of year to the Statements of Assets and Liabilities        
Cash   $ 13,045,300  
Deposit at broker for futures contracts   $ 28,107,627  
         
Reconciliation of Restricted and Unrestricted Cash at the end of year to the Statements of Assets and Liabilities        
Cash   $  

 

See Notes to Financial Statements.

 

135

 

 

Simplify Exchange Traded Funds

Financial Highlights

 

 

Simplify Aggregate Bond PLUS Credit Hedge ETF
Selected Per Share Data
  Year Ended
June 30,
2023
    Period Ended
June 30,
2022
(a) 
 
Net Asset Value, beginning of period   $ 23.64     $ 25.00  
Income (loss) from investment operations:                
Net investment income (loss)(b)      0.55       0.13  
Net realized and unrealized gain (loss)     (0.45 )     (1.35 )
Total from investment operations     0.10       (1.22 )
Less distributions from:                
Net investment income     (0.83 )     (0.14 )
Return of capital     (0.41 )      
Total distributions     (1.24 )     (0.14 )
Net Asset Value, end of period   $ 22.50     $ 23.64  
Total Return (%)     0.49 (c)      (4.89 )(d) 
Ratios to Average Net Assets and Supplemental Data                
Net Assets, end of period ($ millions)   $ 12     $ 1  
Ratio of expenses before fee waiver (%)     0.87 (e)(f)      0.50 (f)(g) 
Ratio of expenses after fee waiver (%)     0.60 (e)(f)      0.25 (f)(g) 
Ratio of net investment income (loss) (%)     2.44       1.43 (g) 
Portfolio turnover rate (%)(h)      400       14 (d) 

 

Simplify Developed Ex-US PLUS Downside Convexity ETF
Selected Per Share Data
  Year Ended
June 30,
2023
    Period Ended
June 30,
2022
(i) 
 
Net Asset Value, beginning of period   $ 19.26     $ 25.00  
Income (loss) from investment operations:                
Net investment income (loss)(b)      0.40       0.31  
Net realized and unrealized gain (loss)     0.49       (5.68 )
Total from investment operations     0.89       (5.37 )
Less distributions from:                
Net investment income     (0.41 )     (0.37 )
Total distributions     (0.41 )     (0.37 )
Net Asset Value, end of period   $ 19.74     $ 19.26  
Total Return (%)     4.67       (21.47 )(d) 
Ratios to Average Net Assets and Supplemental Data                
Net Assets, end of period ($ millions)   $ 17     $ 20  
Ratio of expenses before fee waiver (%)     0.55 (f)(j)      0.50 (f)(g) 
Ratio of expenses after fee waiver (%)     0.30 (f)(j)      0.25 (f)(g) 
Ratio of net investment income (loss) (%)     2.08       2.97 (g) 
Portfolio turnover rate (%)(h)      0       4 (d) 

 

(a) For the period February 15, 2022 (commencement of operations) through June 30, 2022.
(b) Per share numbers have been calculated using the average shares method.
(c) Total Return would have been lower if certain expenses had not been waived/reimbursed by the Advisor.
(d) Not annualized.
(e) The ratios of expenses to average net assets includes interest expense fees of 0.36%.
(f) The Fund invests in other ETFs and indirectly bears its proportionate shares of fees and expenses incurred by the Underlying Funds in which the Fund is invested. This ratio does not included these indirect fees and expenses.
(g) Annualized.
(h) Excludes the impact of in-kind transactions related to the processing of capital share transactions in Creation Units.
(i) For the period January 11, 2022 (commencement of operations) through June 30, 2022.
(j) The ratios of expenses to average net assets includes interest expense fees of 0.05%.

 

See Notes to Financial Statements.

 

136

 

 

Simplify Exchange Traded Funds

Financial Highlights (Continued)

 

 

Simplify Emerging Markets Equity PLUS Downside Convexity ETF
Selected Per Share Data
  Year Ended
June 30,
2023
    Period Ended
June 30,
2022
(a) 
 
Net Asset Value, beginning of period   $ 19.90     $ 25.00  
Income (loss) from investment operations:                
Net investment income (loss)(b)      0.27       0.32  
Net realized and unrealized gain (loss)     (1.77 )     (5.19 )
Total from investment operations     (1.50 )     (4.87 )
Less distributions from:                
Net investment income     (0.34 )     (0.23 )
Total distributions     (0.34 )     (0.23 )
Net Asset Value, end of period   $ 18.06     $ 19.90  
Total Return (%)     (7.51 )     (19.50 )(c) 
Ratios to Average Net Assets and Supplemental Data                
Net Assets, end of period ($ millions)   $ 4     $ 7  
Ratio of expenses before fee waiver (%)     0.56 (d)(e)      0.50 (e)(f) 
Ratio of expenses after fee waiver (%)     0.31 (d)(e)      0.25 (e)(f) 
Ratio of net investment income (loss) (%)     1.48       3.09 (f) 
Portfolio turnover rate (%)(g)      0       2 (c) 

 

Simplify Enhanced Income ETF
Selected Per Share Data
  Period Ended
June 30,
2023
(h) 
 
Net Asset Value, beginning of period   $ 25.00  
Income (loss) from investment operations:        
Net investment income (loss)(b)      0.65  
Net realized and unrealized gain (loss)     0.60  
Total from investment operations     1.25  
Less distributions from:        
Net investment income     (1.23 )
Net realized gains     (0.03 )
Total distributions     (1.26 )
Net Asset Value, end of period   $ 24.99  
Total Return (%)     5.07 (c) 
Ratios to Average Net Assets and Supplemental Data        
Net Assets, end of period ($ millions)   $ 26  
Ratio of expenses (%)     0.87 (f)(i) 
Ratio of net investment income (loss) (%)     3.92 (f) 
Portfolio turnover rate (%)(g)      0 (c) 

 

(a) For the period January 11, 2022 (commencement of operations) through June 30, 2022.
(b) Per share numbers have been calculated using the average shares method.
(c) Not annualized.
(d) The ratios of expenses to average net assets includes interest expense fees of 0.06%.
(e) The Fund invests in other ETFs and indirectly bears its proportionate shares of fees and expenses incurred by the Underlying Funds in which the Fund is invested. This ratio does not included these indirect fees and expenses.
(f) Annualized.
(g) Excludes the impact of in-kind transactions related to the processing of capital share transactions in Creation Units.
(h) For the period October 28, 2022 (commencement of operations) through June 30, 2023.
(i) The ratios of expenses to average net assets includes interest expense fees of 0.36%.

 

See Notes to Financial Statements.

 

137

 

 

Simplify Exchange Traded Funds

Financial Highlights (Continued)

 

 

Simplify Health Care ETF
Selected Per Share Data
 

Year Ended

June 30,
2023

    Period Ended
June 30,
2022
(a) 
 
Net Asset Value, beginning of period   $ 24.58     $ 25.00  
Income (loss) from investment operations:                
Net investment income (loss)(b)      0.18       0.08  
Net realized and unrealized gain (loss)     1.99       (0.42 )
Total from investment operations     2.17       (0.34 )
Less distributions from:                
Net investment income     (0.20 )     (0.08 )
Total distributions     (0.20 )     (0.08 )
Net Asset Value, end of period   $ 26.55     $ 24.58  
Total Return (%)     8.81       (1.38 )(c) 
Ratios to Average Net Assets and Supplemental Data                
Net Assets, end of period ($ millions)   $ 59     $ 34  
Ratio of expenses (%)     0.50       0.50 (d) 
Ratio of net investment income (loss) (%)     0.72       0.45 (d) 
Portfolio turnover rate (%)(e)      118       146 (c) 

 

Simplify Hedged Equity ETF
Selected Per Share Data
 

Year Ended

June 30,
2023

    Period Ended
June 30,
2022
(f) 
 
Net Asset Value, beginning of period   $ 22.99     $ 25.00  
Income (loss) from investment operations:                
Net investment income (loss)(b)      0.24       0.18  
Net realized and unrealized gain (loss)     2.58       (2.04 )
Total from investment operations     2.82       (1.86 )
Less distributions from:                
Net investment income     (0.54 )     (0.15 )
Net realized gains     (0.43 )      
Total distributions     (0.97 )     (0.15 )
Net Asset Value, end of period   $ 24.84     $ 22.99  
Total Return (%)     12.65       (7.46 )(c) 
Ratios to Average Net Assets and Supplemental Data                
Net Assets, end of period ($ millions)   $ 107     $ 37  
Ratio of expenses (%)     0.73 (g)(h)      0.50 (d)(h) 
Ratio of net investment income (loss) (%)     1.02       1.16 (d) 
Portfolio turnover rate (%)(e)      10       2 (c) 

 

(a) For the period October 8, 2021 (commencement of operations) through June 30, 2022.
(b) Per share numbers have been calculated using the average shares method.
(c) Not annualized.
(d) Annualized.
(e) Excludes the impact of in-kind transactions related to the processing of capital share transactions in Creation Units.
(f) For the period November 2, 2021 (commencement of operations) through June 30, 2022.
(g) The ratios of expenses to average net assets includes interest expense fees of 0.23%.
(h) The Fund invests in other ETFs and indirectly bears its proportionate shares of fees and expenses incurred by the Underlying Funds in which the Fund is invested. This ratio does not included these indirect fees and expenses.

 

See Notes to Financial Statements.

 

138

 

 

Simplify Exchange Traded Funds

Financial Highlights (Continued)

 

 

Simplify High Yield PLUS Credit Hedge ETF
Selected Per Share Data
 

Year Ended

June 30,
2023

    Period Ended
June 30,
2022
(a) 
 
Net Asset Value, beginning of period   $ 22.23     $ 25.00  
Income (loss) from investment operations:                
Net investment income (loss)(b)      0.67       0.01  
Net realized and unrealized gain (loss)     0.76       (2.44 )
Total from investment operations     1.43       (2.43 )
Variable transaction fees (see Note 8)           0.01  
Less distributions from:                
Net investment income     (1.39 )     (0.24 )
Return of capital     (0.47 )     (0.11 )
Total distributions     (1.86 )     (0.35 )
Net Asset Value, end of period   $ 21.80     $ 22.23  
Total Return (%)     6.75       (9.74 )(c) 
Ratios to Average Net Assets and Supplemental Data                
Net Assets, end of period ($ millions)   $ 45     $ 30  
Ratio of expenses before fee waiver (%)     0.51 (d)      0.50 (e)(f) 
Ratio of expenses after fee waiver (%)     0.26 (d)      0.25 (e)(f) 
Ratio of net investment income (loss) (%)     3.05       0.15 (e) 
Portfolio turnover rate (%)(g)      0       77 (c) 

 

Simplify Interest Rate Hedge ETF

Selected Per Share Data

  Years Ended
June 30
    Period Ended
June 30,
 
  2023     2022     2021(h)   
Net Asset Value, beginning of period   $ 57.25     $ 40.55     $ 50.00  
Income (loss) from investment operations:                        
Net investment income (loss)(b)      1.45       0.03       (0.00 )(i) 
Net realized and unrealized gain (loss)     5.75       15.86       (10.42 )
Total from investment operations     7.20       15.89       (10.42 )
Variable transaction fees (see Note 8)     0.47       0.82       0.97  
Less distributions from:                        
Net investment income     (0.84 )     (0.01 )      
Total distributions     (0.84 )     (0.01 )      
Net Asset Value, end of period   $ 64.08     $ 57.25     $ 40.55  
Total Return (%)     13.35       41.18       (18.89 )(c) 
Ratios to Average Net Assets and Supplemental Data                        
Net Assets, end of period ($ millions)   $ 218     $ 302     $ 63  
Ratio of expenses (%)     0.50       0.50       0.50 (e) 
Ratio of net investment income (loss) (%)     2.26       0.05       (0.05 )(e) 
Portfolio turnover rate (%)(g)      124       3       0 (c) 

 

(a) For the period February 15, 2022 (commencement of operations) through June 30, 2022.
(b) Per share numbers have been calculated using the average shares method.
(c) Not annualized.
(d) The ratios of expenses to average net assets includes interest expense fees of 0.01%.
(e) Annualized.
(f) The Fund invests in other ETFs and indirectly bears its proportionate shares of fees and expenses incurred by the Underlying Funds in which the Fund is invested. This ratio does not included these indirect fees and expenses.
(g) Excludes the impact of in-kind transactions related to the processing of capital share transactions in Creation Units.
(h) For the period May 11, 2021 (commencement of operations) through June 30, 2021.
(i) Less than $.005.

 

See Notes to Financial Statements.

 

139

 

 

Simplify Exchange Traded Funds

Financial Highlights (Continued)

 

 

Simplify Intermediate Term Treasury Futures Strategy ETF
Selected Per Share Data
  Year Ended
June 30,
2023
    Period Ended
June 30,
2022
(a) 
 
Net Asset Value, beginning of period   $ 18.28     $ 25.00  
Income (loss) from investment operations:                
Net investment income (loss)(b)      0.51       0.14  
Net realized and unrealized gain (loss)     (3.53 )     (6.74 )
Total from investment operations     (3.02 )     (6.60 )
Less distributions from:                
Net investment income     (0.55 )     (0.12 )
Total distributions     (0.55 )     (0.12 )
Net Asset Value, end of period   $ 14.71     $ 18.28  
Total Return (%)     (16.61 )     (26.47 )(c) 
Ratios to Average Net Assets and Supplemental Data                
Net Assets, end of period ($ millions)   $ 53     $ 40  
Ratio of expenses before fee waiver (%)     0.27 (d)      0.25 (e) 
Ratio of expenses after fee waiver (%)     0.17 (d)      0.15 (e) 
Ratio of net investment income (loss) (%)     3.16       0.85 (e) 
Portfolio turnover rate (%)(f)      0       153 (c) 

 

Simplify Market Neutral Equity Long/Short ETF
Selected Per Share Data
  Period Ended
June 30,
2023
(g) 
 
Net Asset Value, beginning of period   $ 25.00  
Income (loss) from investment operations:        
Net investment income (loss)(b)      0.04  
Net realized and unrealized gain (loss)     (0.61 )
Total from investment operations     (0.57 )
Net Asset Value, end of period   $ 24.43  
Total Return (%)     (2.29 )(c) 
Ratios to Average Net Assets and Supplemental Data        
Net Assets, end of period ($ millions)   $ 4  
Ratio of expenses (%)     1.00 (e) 
Ratio of net investment income (loss) (%)     4.02 (e) 
Portfolio turnover rate (%)(f)      0 (c) 

 

(a) For the period September 28, 2021 (commencement of operations) through June 30, 2022.
(b) Per share numbers have been calculated using the average shares method.
(c) Not annualized.
(d) The ratios of expenses to average net assets includes interest expense fees of 0.02%.
(e) Annualized.
(f) Excludes the impact of in-kind transactions related to the processing of capital share transactions in Creation Units.
(g) For the period June 14, 2023 (commencement of operations) through June 30, 2023.

 

See Notes to Financial Statements.

 

140

 

 

Simplify Exchange Traded Funds

Financial Highlights (Continued)

 

 

Simplify Opportunistic Income ETF
Selected Per Share Data
  Period Ended
June 30,
2023
(a) 
 
Net Asset Value, beginning of period   $ 25.00  
Income (loss) from investment operations:        
Net investment income (loss)(b)      0.01  
Net realized and unrealized gain (loss)      
Total from investment operations     0.01  
Net Asset Value, end of period   $ 25.01  
Total Return (%)     0.04 (c) 
Ratios to Average Net Assets and Supplemental Data        
Net Assets, end of period ($ millions)   $ 38  
Ratio of expenses before fee waiver (%)     0.95 (d) 
Ratio of expenses after fee waiver (%)     0.50 (d) 
Ratio of net investment income (loss) (%)     4.52 (d) 
Portfolio turnover rate (%)(e)      0 (c) 

 

Simplify Propel Opportunities ETF
Selected Per Share Data
  Period Ended
June 30,
2023
(f) 
 
Net Asset Value, beginning of period   $ 25.00  
Income (loss) from investment operations:        
Net investment income (loss)(b)      (0.04 )
Net realized and unrealized gain (loss)     (1.36 )
Total from investment operations     (1.40 )
Less distributions from:        
Net investment income     (0.87 )
Return of capital     (0.81 )
Total distributions     (1.68 )
Net Asset Value, end of period   $ 21.92  
Total Return (%)     (4.97 )(c) 
Ratios to Average Net Assets and Supplemental Data        
Net Assets, end of period ($ millions)   $ 100  
Ratio of expenses before fee waiver (%)     2.75 (d)(g) 
Ratio of expenses after fee waiver (%)     2.50 (d)(g) 
Ratio of net investment income (loss) (%)     (0.50 )(d) 
Portfolio turnover rate (%)(e)      46 (c) 

 

(a) For the period June 27, 2023 (commencement of operations) through June 30, 2023.
(b) Per share numbers have been calculated using the average shares method.
(c) Not annualized.
(d) Annualized.
(e) Excludes the impact of in-kind transactions related to the processing of capital share transactions in Creation Units.
(f) For the period February 8, 2023 (commencement of operations) through June 30, 2023.
(g) The Fund invests in other ETFs and indirectly bears its proportionate shares of fees and expenses incurred by the Underlying Funds in which the Fund is invested. This ratio does not included these indirect fees and expenses.

 

See Notes to Financial Statements.

 

141

 

 

Simplify Exchange Traded Funds

Financial Highlights (Continued)

 

 

Simplify Short Term Treasury Futures Strategy ETF
Selected Per Share Data
  Period Ended
June 30,
2023
(a) 
 
Net Asset Value, beginning of period   $ 25.00  
Income (loss) from investment operations:        
Net investment income (loss)(b)      0.68  
Net realized and unrealized gain (loss)     (2.38 )
Total from investment operations     (1.70 )
Less distributions from:        
Net investment income     (0.64 )
Total distributions     (0.64 )
Net Asset Value, end of period   $ 22.66  
Total Return (%)     (6.97 )(c) 
Ratios to Average Net Assets and Supplemental Data        
Net Assets, end of period ($ millions)   $ 534  
Ratio of expenses before fee waiver (%)     0.26 (d)(e) 
Ratio of expenses after fee waiver (%)     0.15 (d)(e) 
Ratio of net investment income (loss) (%)     4.62 (d) 
Portfolio turnover rate (%)(f)      0 (c) 

 

Simplify Stable Income ETF
Selected Per Share Data
  Period Ended
June 30,
2023
(g) 
 
Net Asset Value, beginning of period   $ 25.00  
Income (loss) from investment operations:        
Net investment income (loss)(b)      0.70  
Net realized and unrealized gain (loss)     0.11  
Total from investment operations     0.81  
Less distributions from:        
Net investment income     (0.74 )
Net realized gains     (0.01 )
Total distributions     (0.75 )
Net Asset Value, end of period   $ 25.06  
Total Return (%)     3.27 (c) 
Ratios to Average Net Assets and Supplemental Data        
Net Assets, end of period ($ millions)   $ 14  
Ratio of expenses (%)     0.43 (d)(h) 
Ratio of net investment income (loss) (%)     4.21 (d) 
Portfolio turnover rate (%)(f)      0 (c) 

 

(a) For the period November 15, 2022 (commencement of operations) through June 30, 2023.
(b) Per share numbers have been calculated using the average shares method.
(c) Not annualized.
(d) Annualized.
(e) The ratios of expenses to average net assets includes interest expense fees of 0.01%.
(f) Excludes the impact of in-kind transactions related to the processing of capital share transactions in Creation Units.
(g) For the period October 28, 2022 (commencement of operations) through June 30, 2023.
(h) The ratios of expenses to average net assets includes interest expense fees of 0.08%.

 

See Notes to Financial Statements.

 

142

 

 

Simplify Exchange Traded Funds

Financial Highlights (Continued)

 

 

Simplify Tail Risk Strategy ETF
Selected Per Share Data
 

Year Ended

June 30,
2023

    Period Ended
June 30,
2022
(a) 
 
Net Asset Value, beginning of period   $ 19.98     $ 25.00  
Income (loss) from investment operations:                
Net investment income (loss)(b)      0.97       0.38  
Net realized and unrealized gain (loss)     (14.17 )     (4.04 )
Total from investment operations     (13.20 )     (3.66 )
Less distributions from:                
Net investment income     (0.92 )     (0.34 )
Return of capital           (1.02 )
Total distributions     (0.92 )     (1.36 )
Net Asset Value, end of period   $ 5.86     $ 19.98  
Total Return (%)     (68.31 )     (15.01 )(c)(d) 
Ratios to Average Net Assets and Supplemental Data                
Net Assets, end of period ($ millions)   $ 17     $ 104  
Ratio of expenses before fee waiver (%)     0.95 (e)(f)      0.76 (f)(g)(h) 
Ratio of expenses after fee waiver (%)     0.45 (e)(f)(i)      0.17 (f)(g)(h) 
Ratio of net investment income (loss) (%)     6.92       2.27 (g) 
Portfolio turnover rate (%)(j)      68       125 (d) 

 

Simplify US Equity PLUS Convexity ETF

Selected Per Share Data

  Years Ended
June 30
    Period Ended
June 30,
 
  2023     2022     2021(k)   
Net Asset Value, beginning of period   $ 26.59     $ 30.63     $ 25.00  
Income (loss) from investment operations:                        
Net investment income (loss)(b)      0.36       0.33       0.31  
Net realized and unrealized gain (loss)     2.46       (3.85 )     5.59  
Total from investment operations     2.82       (3.52 )     5.90  
Less distributions from:                        
Net investment income     (0.33 )     (0.52 )     (0.27 )
Total distributions     (0.33 )     (0.52 )     (0.27 )
Net Asset Value, end of period   $ 29.08     $ 26.59     $ 30.63  
Total Return (%)     10.67       (11.68 )     23.68 (d) 
Ratios to Average Net Assets and Supplemental Data                        
Net Assets, end of period ($ millions)   $ 73     $ 61     $ 89  
Ratio of expenses before fee waiver (%)     0.53 (f)(l)      0.50 (f)      0.50 (f)(g) 
Ratio of expenses after fee waiver (%)     0.28 (f)(l)      0.25 (f)      0.25 (f)(g) 
Ratio of net investment income (loss) (%)     1.35       1.04       1.35 (g) 
Portfolio turnover rate (%)(j)      1       3       6 (d) 

 

(a) For the period September 14, 2021 (commencement of operations) through June 30, 2022.
(b) Per share numbers have been calculated using the average shares method.
(c) Total Return would have been lower if certain expenses had not been waived/reimbursed by the Advisor.
(d) Not annualized.
(e) The ratios of expenses to average net assets includes interest expense fees of 0.20%.
(f) The Fund invests in other ETFs and indirectly bears its proportionate shares of fees and expenses incurred by the Underlying Funds in which the Fund is invested. This ratio does not included these indirect fees and expenses.
(g) Annualized.
(h) The ratios of expenses to average net assets includes interest expense fees of 0.01%.
(i) The ratio of expenses after fee waiver includes a voluntary waiver of 0.25%. See note 6.
(j) Excludes the impact of in-kind transactions related to the processing of capital share transactions in Creation Units.
(k) For the period September 4, 2020 (commencement of operations) through June 30, 2021.
(l) The ratios of expenses to average net assets includes interest expense fees of 0.03%.

 

See Notes to Financial Statements.

 

143

 

 

Simplify Exchange Traded Funds

Financial Highlights (Continued)

 

 

Simplify US Equity PLUS Downside Convexity ETF

Selected Per Share Data

  Years Ended
June 30
    Period Ended
June 30,
 
  2023     2022     2021(a)   
Net Asset Value, beginning of period   $ 26.48     $ 30.26     $ 25.00  
Income (loss) from investment operations:                        
Net investment income (loss)(b)      0.30       0.35       0.36  
Net realized and unrealized gain (loss)     1.07 (c)      (3.76 )     5.14  
Total from investment operations     1.37       (3.41 )     5.50  
Less distributions from:                        
Net investment income     (0.49 )     (0.37 )     (0.24 )
Total distributions     (0.49 )     (0.37 )     (0.24 )
Net Asset Value, end of period   $ 27.36     $ 26.48     $ 30.26  
Total Return (%)     5.31       (11.38 )     22.07 (d) 
Ratios to Average Net Assets and Supplemental Data                        
Net Assets, end of period ($ millions)   $ 116     $ 445     $ 225  
Ratio of expenses before fee waiver (%)     0.62 (e)(f)      0.50 (f)      0.50 (f)(g) 
Ratio of expenses after fee waiver (%)     0.37 (e)(f)      0.25 (f)      0.25 (f)(g) 
Ratio of net investment income (loss) (%)     1.15       1.14       1.53 (g) 
Portfolio turnover rate (%)(h)      0       5       4 (d) 

 

Simplify US Equity PLUS GBTC ETF

Selected Per Share Data

  Years Ended
June 30
    Period Ended
June 30,
 
  2023     2022     2021(i)   
Net Asset Value, beginning of period   $ 20.43     $ 25.32     $ 25.00  
Income (loss) from investment operations:                        
Net investment income (loss)(b)      0.18       0.17       0.06  
Net realized and unrealized gain (loss)     5.35       (4.51 )     0.30  
Total from investment operations     5.53       (4.34 )     0.36  
Less distributions from:                        
Net investment income     (0.11 )     (0.21 )     (0.04 )
Net realized gains           (0.34 )      
Return of capital     (0.87 )            
Total distributions     (0.98 )     (0.55 )     (0.04 )
Net Asset Value, end of period   $ 24.98     $ 20.43     $ 25.32  
Total Return (%)     27.69       (17.66 )     1.46 (d) 
Ratios to Average Net Assets and Supplemental Data                        
Net Assets, end of period ($ millions)   $ 9     $ 87     $ 103  
Ratio of expenses (%)     0.51 (f)(j)      0.50 (f)      0.51 (f)(g)(j) 
Ratio of net investment income (loss) (%)     0.84       0.66       2.65 (g) 
Portfolio turnover rate (%)(h)      8       6       2 (d) 

 

(a) For the period September 4, 2020 (commencement of operations) through June 30, 2021.
(b) Per share numbers have been calculated using the average shares method.
(c) Because of the timing of subscriptions and redemptions in relation to fluctuating markets at value, the amount shown may not agree with the change in aggregate gains and losses.
(d) Not annualized.
(e) The ratios of expenses to average net assets includes interest expense fees of 0.12%.
(f) The Fund invests in other ETFs and indirectly bears its proportionate shares of fees and expenses incurred by the Underlying Funds in which the Fund is invested. This ratio does not included these indirect fees and expenses.
(g) Annualized.
(h) Excludes the impact of in-kind transactions related to the processing of capital share transactions in Creation Units.
(i) For the period May 25, 2021 (commencement of operations) through June 30, 2021.
(j) The ratios of expenses to average net assets includes interest expense fees of 0.01%.

 

See Notes to Financial Statements.

 

144

 

 

Simplify Exchange Traded Funds

Financial Highlights (Continued)

 

 

Simplify US Equity PLUS Upside Convexity ETF

Selected Per Share Data

  Years Ended
June 30
    Period Ended
June 30,
 
  2023     2022     2021(a)   
Net Asset Value, beginning of period   $ 26.60     $ 30.99     $ 25.00  
Income (loss) from investment operations:                        
Net investment income (loss)(b)      0.40       0.36       0.32  
Net realized and unrealized gain (loss)     3.99       (3.91 )     6.02  
Total from investment operations     4.39       (3.55 )     6.34  
Less distributions from:                        
Net investment income     (0.34 )     (0.43 )     (0.35 )
Net realized gains           (0.41 )      
Total distributions     (0.34 )     (0.84 )     (0.35 )
Net Asset Value, end of period   $ 30.65     $ 26.60     $ 30.99  
Total Return (%)     16.65       (11.99 )     25.52 (c) 
Ratios to Average Net Assets and Supplemental Data                        
Net Assets, end of period ($ millions)   $ 8     $ 12     $ 9  
Ratio of expenses before fee waiver (%)     0.50 (d)      0.50 (d)      0.50 (d)(e) 
Ratio of expenses after fee waiver (%)     0.25 (d)      0.25 (d)      0.25 (d)(e) 
Ratio of net investment income (loss) (%)     1.46       1.13       1.37 (e) 
Portfolio turnover rate (%)(f)      0       4       5 (c) 

 

Simplify Volt RoboCar Disruption and Tech ETF

Selected Per Share Data

  Years Ended
June 30
    Period Ended
June 30,
 
  2023     2022     2021(g)   
Net Asset Value, beginning of period   $ 9.09     $ 11.83     $ 12.50  
Income (loss) from investment operations:                        
Net investment income (loss)(b)      (0.00 )(h)      0.06       (0.04 )
Net realized and unrealized gain (loss)     (0.05 )     (2.75 )     (0.63 )
Total from investment operations     (0.05 )     (2.69 )     (0.67 )
Less distributions from:                        
Net investment income           (0.03 )      
Return of capital           (0.02 )      
Total distributions           (0.05 )      
Net Asset Value, end of period   $ 9.04     $ 9.09     $ 11.83  
Total Return (%)     (0.54 )     (22.91 )     (5.34 )(c) 
Ratios to Average Net Assets and Supplemental Data                        
Net Assets, end of period ($ millions)   $ 4     $ 5     $ 2  
Ratio of expenses (%)     0.99 (i)      0.95       0.95 (d)(e) 
Ratio of net investment income (loss) (%)     (0.01 )     0.46       (0.71 )(e) 
Portfolio turnover rate (%)(f)      255       254       20 (c) 

 

(a) For the period September 4, 2020 (commencement of operations) through June 30, 2021.
(b) Per share numbers have been calculated using the average shares method.
(c) Not annualized.
(d) The Fund invests in other ETFs and indirectly bears its proportionate shares of fees and expenses incurred by the Underlying Funds in which the Fund is invested. This ratio does not included these indirect fees and expenses.
(e) Annualized.
(f) Excludes the impact of in-kind transactions related to the processing of capital share transactions in Creation Units.
(g) For the period December 29, 2020 (commencement of operations) through June 30, 2021.
(h) Less than $.005.
(i) The ratios of expenses to average net assets includes interest expense fees of 0.03%.

 

See Notes to Financial Statements.

 

145

 

 

Simplify Exchange Traded Funds

Consolidated Financial Highlights

 

 

Simplify Bitcoin Strategy PLUS Income ETF
Selected Per Share Data
  Period Ended
June 30,
2023(a)(b) 
 
Net Asset Value, beginning of period   $ 12.50  
Income (loss) from investment operations:        
Net investment income (loss)(c)      0.15  
Net realized and unrealized gain (loss)     6.64  
Total from investment operations     6.79  
Less distributions from:        
Net investment income     (1.15 )
Net realized gains     (0.06 )
Total distributions     (1.21 )
Net Asset Value, end of period   $ 18.08  
Total Return (%)     58.15 (d) 
Ratios to Average Net Assets and Supplemental Data        
Net Assets, end of period ($ millions)   $ 25  
Ratio of expenses (%)     11.18 (e)(f)(g) 
Ratio of net investment income (loss) (%)     1.35 (e) 
Portfolio turnover rate (%)(h)      0 (d) 

 

Simplify Commodities Strategy No K-1 ETF
Selected Per Share Data
  Period Ended
June 30,
2023
(i) 
 
Net Asset Value, beginning of period   $ 25.00  
Income (loss) from investment operations:        
Net investment income (loss)(c)      0.20  
Net realized and unrealized gain (loss)     (0.41 )
Total from investment operations     (0.21 )
Less distributions from:        
Net investment income     (0.10 )
Total distributions     (0.10 )
Net Asset Value, end of period   $ 24.69  
Total Return (%)     (0.86 )(d) 
Ratios to Average Net Assets and Supplemental Data        
Net Assets, end of period ($ millions)   $ 6  
Ratio of expenses (%)     0.75 (e)(g) 
Ratio of net investment income (loss) (%)     3.06 (e) 
Portfolio turnover rate (%)(h)      0 (d) 

 

(a) For the period September 30, 2022 (commencement of operations) through June 30, 2023.
(b) As a result of the Fund having earmarked or segregated securities to collateralize its reverse repurchase agreement transactions or otherwise having covered the transactions, in accordance with releases and interpretive letters issued by the Securities and Exchange Commission (the “SEC”), the Fund does not treat its obligations under such transactions as senior securities representing indebtedness for purposes of the Investment Company Act of 1940, as amended. Therefore, a “Senior Securities” table is not disclosed.
(c) Per share numbers have been calculated using the average shares method.
(d) Not annualized.
(e) Annualized.
(f) The ratios of expenses to average net assets includes interest expense fees of 10.23%.
(g) The Fund invests in other ETFs and indirectly bears its proportionate shares of fees and expenses incurred by the Underlying Funds in which the Fund is invested. This ratio does not included these indirect fees and expenses.
(h) Excludes the impact of in-kind transactions related to the processing of capital share transactions in Creation Units.
(i) For the period March 28, 2023 (commencement of operations) through June 30, 2023.

 

See Notes to Financial Statements.

 

146

 

 

Simplify Exchange Traded Funds

Consolidated Financial Highlights (Continued)

 

 

Simplify Macro Strategy ETF
Selected Per Share Data
 

Year Ended

June 30,
2023

    Period Ended
June 30,
2022
(a)
 
Net Asset Value, beginning of period   $ 23.59     $ 25.00  
Income (loss) from investment operations:                
Net investment income (loss)(b)      1.35       0.16  
Net realized and unrealized gain (loss)     (0.43 )     (1.56 )
Total from investment operations     0.92       (1.40 )
Less distributions from:                
Net investment income     (1.19 )     (0.01 )
Total distributions     (1.19 )     (0.01 )
Net Asset Value, end of period   $ 23.32     $ 23.59  
Total Return (%)     3.94 (c)      (5.61 )(c)(d) 
Ratios to Average Net Assets and Supplemental Data                
Net Assets, end of period ($ millions)   $ 51     $ 6  
Ratio of expenses before fee waiver (%)     0.77 (e)(f)      0.75 (f)(g) 
Ratio of expenses after fee waiver (%)     0.44 (e)(f)(h)      0.45 (f)(g) 
Ratio of net investment income (loss) (%)     5.74       5.88 (g) 
Portfolio turnover rate (%)(i)      71       11 (d) 

 

Simplify Managed Futures Strategy ETF
Selected Per Share Data
 

Year Ended

June 30,
2023

    Period Ended
June 30,
2022
(j)
 
Net Asset Value, beginning of period   $ 27.27     $ 25.00  
Income (loss) from investment operations:                
Net investment income (loss)(b)      0.67       (0.02 )
Net realized and unrealized gain (loss)     (0.58 )     2.29  
Total from investment operations     0.09       2.27  
Less distributions from:                
Net investment income     (1.14 )      
Net realized gains     (0.67 )      
Total distributions     (1.81 )      
Net Asset Value, end of period   $ 25.55     $ 27.27  
Total Return (%)     0.13       9.07 (d) 
Ratios to Average Net Assets and Supplemental Data                
Net Assets, end of period ($ millions)   $ 128     $ 29  
Ratio of expenses (%)     0.78 (f)(k)      0.75 (f)(g) 
Ratio of net investment income (loss) (%)     2.49       (0.27 )(g) 
Portfolio turnover rate (%)(i)      0       0 (d) 

 

(a) For the period May 17, 2022 (commencement of operations) through June 30, 2022.
(b) Per share numbers have been calculated using the average shares method.
(c) Total Return would have been lower if certain expenses had not been waived/reimbursed by the Advisor.
(d) Not annualized.
(e) The ratios of expenses to average net assets includes interest expense fees of 0.02%.
(f) The Fund invests in other ETFs and indirectly bears its proportionate shares of fees and expenses incurred by the Underlying Funds in which the Fund is invested. This ratio does not included these indirect fees and expenses.
(g) Annualized.
(h) The ratio of expenses after fee waiver includes a voluntary waiver of 0.12%. See note 6.
(i) Excludes the impact of in-kind transactions related to the processing of capital share transactions in Creation Units.
(j) For the period March 8, 2022 (commencement of operations) through June 30, 2022.
(k) The ratios of expenses to average net assets includes interest expense fees of 0.03%.

 

See Notes to Financial Statements.

 

147

 

 

Simplify Exchange Traded Funds

Consolidated Financial Highlights (Continued)

 

 

Simplify Volatility Premium ETF

Selected Per Share Data

  Years Ended
June 30
    Period Ended
June 30,
 
  2023(b)     2022(b)     2021(a)  
Net Asset Value, beginning of period   $ 22.18     $ 27.01     $ 25.00  
Income (loss) from investment operations:                        
Net investment income (loss)(c)      0.63       0.03       (0.02 )
Net realized and unrealized gain (loss)     3.97       (1.54 )     2.03  
Total from investment operations     4.60       (1.51 )     2.01  
Less distributions from:                        
Net investment income     (3.87 )     (0.04 )      
Return of capital           (3.28 )      
Total distributions     (3.87 )     (3.32 )      
Net Asset Value, end of period   $ 22.91     $ 22.18     $ 27.01  
Total Return (%)     23.14       (6.23 )     8.05 (d) 
Ratios to Average Net Assets and Supplemental Data                        
Net Assets, end of period ($ millions)   $ 324     $ 99     $ 15  
Ratio of expenses (%)     1.16 (e)(f)      0.61 (f)(g)      0.51 (f)(h)(i) 
Ratio of net investment income (loss) (%)     2.85       0.10       (0.51 )(h) 
Portfolio turnover rate (%)(j)      260       207       10 (d) 

 

(a) For the period May 13, 2021 (commencement of operations) through June 30, 2021.
(b) As a result of the Fund having earmarked or segregated securities to collateralize its reverse repurchase agreement transactions or otherwise having covered the transactions, in accordance with releases and interpretive letters issued by the Securities and Exchange Commission (the “SEC”), the Fund does not treat its obligations under such transactions as senior securities representing indebtedness for purposes of the Investment Company Act of 1940, as amended. Therefore, a “Senior Securities” table is not disclosed.
(c) Per share numbers have been calculated using the average shares method.
(d) Not annualized.
(e) The ratios of expenses to average net assets includes interest expense fees of 0.66%.
(f) The Fund invests in other ETFs and indirectly bears its proportionate shares of fees and expenses incurred by the Underlying Funds in which the Fund is invested. This ratio does not included these indirect fees and expenses.
(g) The ratios of expenses to average net assets includes interest expense fees of 0.11%.
(h) Annualized.
(i) The ratios of expenses to average net assets includes interest expense fees of 0.01%.
(j) Excludes the impact of in-kind transactions related to the processing of capital share transactions in Creation Units.

 

See Notes to Financial Statements.

 

148

 

 

Simplify Exchange Traded Funds

Notes to Financial Statements

June 30, 2023

 

 

1. Organization

 

Simplify Exchange Traded Funds (the “Trust”) is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end registered management investment company organized as a Delaware statutory trust.

 

As of June 30, 2023, the Trust consists of twenty five investment series of exchange-traded funds (“ETFs”) (each a “Fund” and collectively, the “Funds”) in operation and trading. These financial statements report on the Funds listed below:

 

Simplify Aggregate Bond PLUS Credit Hedge ETF
Simplify Developed Ex-US PLUS Downside Convexity ETF
Simplify Emerging Markets Equity PLUS Downside Convexity ETF
Simplify Enhanced Income ETF
Simplify Health Care ETF
Simplify Hedged Equity ETF
Simplify High Yield PLUS Credit Hedge ETF
Simplify Interest Rate Hedge ETF
Simplify Intermediate Term Treasury Futures Strategy ETF
Simplify Market Neutral Equity Long/Short ETF
Simplify Opportunistic Income ETF
Simplify Propel Opportunities ETF
Simplify Short Term Treasury Futures Strategy ETF
Simplify Stable Income ETF
Simplify Tail Risk Strategy ETF
Simplify US Equity PLUS Convexity ETF
Simplify US Equity PLUS Downside Convexity ETF
Simplify US Equity PLUS GBTC ETF
Simplify US Equity PLUS Upside Convexity ETF
Simplify Volt RoboCar Disruption and Tech ETF
Simplify Bitcoin Strategy PLUS Income ETF
Simplify Commodities Strategy No K-1 ETF
Simplify Macro Strategy ETF
Simplify Managed Futures Strategy ETF
Simplify Volatility Premium ETF

 

Effective October 28, 2022, Simplify Risk Parity Treasury ETF changed its name to Simplify Intermediate Term Treasury Futures Strategy ETF.

 

The Simplify Aggregate Bond PLUS Credit Hedge ETF, Simplify High Yield PLUS Credit Hedge ETF, Simplify Interest Rate Hedge ETF, Simplify Propel Opportunities ETF, Simplify Volt Robocar Disruption and Tech ETF, Simplify Bitcoin Strategy PLUS Income ETF, Simplify Macro Strategy ETF and Simplify Managed Futures Strategy ETF are each a non-diversified Fund of the Trust.

 

Simplify Asset Management Inc. (the “Adviser”) serves as investment adviser to the Funds and has overall responsibility for the general management and administration of the Funds, subject to the oversight of the Trust’s Board of Trustees (the “Board”).

 

Each Fund offers shares that are listed and traded on the NYSE Arca, Inc. (“NYSE Arca”), except for Simplify Intermediate Term Treasury Futures Strategy ETF which offers shares that are listed and traded on the CBOE BZX Exchange, Inc. and Simplify US Equity PLUS GBTC ETF and Simplify Bitcoin Strategy PLUS Income ETF which offer shares that are listed and traded on the Nasdaq Stock Market LLC (“Nasdaq”). Unlike mutual funds, each Fund issues and redeems shares on a continuous basis, at net asset value (“NAV”), only in large specified lots consisting of 25,000 shares, each called a “Creation Unit”, to authorized participants who have entered into agreements with the Funds’ distributor. Shares are not individually redeemable securities of the Funds, and owners of the shares may acquire those shares from the Funds, or tender such shares for redemption to the Funds, in Creation Units only.

 

Fund   Investment objectives
Simplify Aggregate Bond PLUS Credit Hedge ETF   The Fund seeks to maximize total return by investing primarily in investment grade (IG) bonds while mitigating credit risk.
Simplify Developed Ex-US PLUS Downside Convexity ETF   The Fund seeks to provide capital appreciation.
Simplify Emerging Markets Equity PLUS Downside Convexity ETF   The Fund seeks to provide capital appreciation.
Simplify Enhanced Income ETF   The Fund seeks to provide monthly income.
Simplify Health Care ETF   The Fund seeks long-term capital appreciation.
Simplify Hedged Equity ETF   The Fund seeks to provide capital appreciation.
Simplify High Yield PLUS Credit Hedge ETF   The Fund seeks to maximize current income by investing primarily in high-yield bonds while mitigating credit risk.

 

149

 

 

Simplify Exchange Traded Funds

Notes to Financial Statements (Continued)

June 30, 2023

 

 

Fund   Investment objectives
Simplify Interest Rate Hedge ETF   The Fund seeks to hedge interest rate movements arising from rising long-term interest rates, and to benefit from market stress when fixed income volatility increases, while providing the potential for income.
Simplify Intermediate Term Treasury Futures Strategy ETF   The Fund seeks to provide total return, before fees and expenses that matches or outperforms the performance of the ICE US Treasury 20+ Year Index on a calendar quarter basis. The Fund does not seek to achieve its stated investment objective over a period of time different than a full calendar quarter.
Simplify Market Neutral Equity Long/Short ETF   The Fund seeks to provide positive absolute returns and income.
Simplify Opportunistic Income ETF   The Fund seeks to provide current income. Long-term capital appreciation is a secondary objective.
Simplify Propel Opportunities ETF   The Fund seeks to provide long-term growth of capital.
Simplify Short Term Treasury Futures Strategy ETF   The Fund seeks to provide total return, before fees and expenses that matches or outperforms the performance of the ICE US Treasury 7-10 Year Bond Index on a calendar quarter basis. The Fund does not seek to achieve its stated investment objective over a period of time different than a full calendar quarter.
Simplify Stable Income ETF   The Fund seeks to provide monthly income.
Simplify Tail Risk Strategy ETF   The Fund seeks to provide income and capital appreciation while protecting against significant downside risk.
Simplify US Equity PLUS Convexity ETF   The Fund seeks to provide capital appreciation.
Simplify US Equity PLUS Downside Convexity ETF   The Fund seeks to provide capital appreciation.
Simplify US Equity PLUS GBTC ETF   The Fund seeks to provide capital appreciation.
Simplify US Equity PLUS Upside Convexity ETF   The Fund seeks to provide capital appreciation.
Simplify Volt RoboCar Disruption and Tech ETF   The Fund seeks to provide capital appreciation.
Simplify Bitcoin Strategy PLUS Income ETF   The Fund seeks income and capital gains.
Simplify Commodities Strategy No K-1 ETF   The Fund seeks long term capital appreciation.
Simplify Macro Strategy ETF   The Fund seeks to provide absolute returns.
Simplify Managed Futures Strategy ETF   The Fund seeks long term capital appreciation.
Simplify Volatility Premium ETF   The Fund seeks to provide investment results, before fees and expenses, that correspond approximately to one-fifth to three-tenths the inverse (-0.2x to -0.3x) of the performance of the S&P 500 VIX short-term futures index while seeking to mitigate extreme volatility.

 

2. Consolidation of Subsidiary

 

The Consolidated Schedules of Investments, Consolidated Statements of Assets and Liabilities, Consolidated Statements of Operations, Consolidated Statement of Changes in Net Assets, and the Consolidated Financial Highlights of the Funds listed below include the accounts of a wholly owned subsidiaries. All inter-company accounts and transactions have been eliminated in consolidation.

 

Each Subsidiary is a Cayman Islands exempted company with limited liability. For tax purposes, each Fund is required to increase its taxable income by its shares of the Cayman subsidiary’s income. Net losses incurred by each Subsidiary cannot offset income earned by each Fund and cannot be carried back or forward by each Subsidiary to offset income from prior or future years.

 

Fund   Wholly Owned Subsidiary
Simplify Bitcoin Strategy PLUS Income ETF   Simplify Bitcoin Strategy PLUS Income Cayman Fund
Simplify Commodities Strategy No K-1 ETF   Simplify Commodities Strategy No K-1 Cayman Fund
Simplify Macro Strategy ETF   Simplify Macro Strategy Cayman Fund
Simplify Managed Futures Strategy ETF   Simplify Managed Futures Strategy Cayman Fund
Simplify Volatility Premium ETF   Simplify Volatility Premium Cayman Fund

 

A summary of each Fund’s investment in its corresponding subsidiary is as follows:

 

Fund   Inception Date of
Subsidiary
    Subsidiary Net
Assets at
June 30,
2023
    % of Fund’s
Consolidated
Total Assets at
June 30,
2023
 
Simplify Bitcoin Strategy PLUS Income ETF   September 30, 2022     $ 19,931,674       23.4 %
Simplify Commodities Strategy No K-1 ETF   March 28, 2023     $ 1,326,737       21.4 %
Simplify Macro Strategy ETF   May 17, 2022     $ 3,632,935       6.9 %
Simplify Managed Futures Strategy ETF   March 8, 2022     $ 28,555,393       22.2 %
Simplify Volatility Premium ETF   May 13, 2021     $ 110,217,122       17.3 %

 

150

 

 

Simplify Exchange Traded Funds

Notes to Financial Statements (Continued)

June 30, 2023

 

 

3. Significant Accounting Policies

 

The financial statements have been prepared in conformity with U.S. generally accepted accounting principles (“U.S. GAAP”), which require management to make certain estimates and assumptions that affect the reported amounts and disclosures of contingent assets and liabilities at the date of the financial statement and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates. The Funds are investment companies and accordingly follow the investment company accounting and reporting guidance of the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946 Financial Services – Investment Companies including Accounting Standards Update 2013-08. The following is a summary of significant accounting policies followed by the Funds.

 

Investment Valuation

 

Each Fund’s investments are valued using procedures approved by the Board and are generally valued using market valuations (Market Approach). A market valuation generally means a valuation (i) obtained from an exchange, a pricing service, or a major market maker (or dealer) or (ii) based on a price quotation or other equivalent indication of value supplied by an exchange, a pricing service, or a major market maker (or dealer). A price obtained from a pricing service based on such pricing service’s valuation matrix may be considered a market valuation. Any assets or liabilities denominated in currencies other than the U.S. dollar are converted into U.S. dollars at the current market rates on the date of valuation as quoted by one or more sources.

 

If market quotations are not readily available, securities will be valued at their fair market value as determined using the “fair value” procedures approved by the Board. Fair value pricing involves subjective judgments and it is possible that the fair value determined for a security may be materially different than the value that could be realized upon the sale of that security. The fair value prices can differ from market prices when they become available or when a price becomes available. The Board has delegated execution of these procedures to the Adviser, as valuation designee pursuant to Rule 2a-5 under the 1940 Act. The Adviser may also enlist third party consultants such as an audit firm or financial officer of a security issuer on an as-needed basis to assist in determining a security-specific fair value. These securities are either categorized as Level 2 or 3 of the fair value hierarchy depending on the relevant inputs used. The Board reviews and ratifies the execution of this process and the resultant fair value prices at least quarterly to assure the process produces reliable results.

 

Equity securities and ETFs are valued at the most recent sale price or official closing price reported on the exchange (U.S. or foreign) or over-the-counter market on which they trade. Securities or ETFs for which no sales are reported are valued at the calculated mean between the most recent bid and asked quotations on the relevant market or, if a mean cannot be determined, at the most recent bid quotation. Equity securities and ETFs are generally categorized as Level 1 of the fair value hierarchy.

 

Exchange traded options are valued at the mean between the current bid and ask prices on the exchange on which such options are traded. If a mean price is not available, the closing price is used. Exchange trade options are categorized as Level 1. Options with international equity exposure are marked to market using closing prices for the underlying and interpolated option implied volatilities obtained from mid-market prices for options on the same underlying of similar expiries and strike prices. These securities are categorized as Level 2 in the fair value hierarchy.

 

Debt securities not traded on an exchange may be valued at prices supplied by a pricing agent(s) based on broker or dealer supplied valuations or matrix pricing, a method of valuing securities by reference to the value of other securities with similar characteristics, such as rating, interest rate and maturity. Debt securities are generally categorized as Level 2 of the fair value hierarchy.

 

Swaptions are valued based on prices provided by a third-party pricing vendor that collects and aggregates market data to produce valuations. These securities are categorized as Level 2 in the fair value hierarchy.

 

Futures contracts are generally valued at the settlement prices established each day on the exchange on which they are traded and are categorized as Level 1.

 

Reverse repurchase agreements are valued at cost plus accrued interest. These securities are categorized as Level 2 in the fair value hierarchy.

 

Swap agreements and other derivatives are generally valued daily depending on the type of instrument and reference assets based upon market prices, the mean between bid and asked prices quotations from market makers or by a pricing service or other parties in accordance with the valuation procedures approved by the Board.

 

Each Fund categorizes the inputs to valuation techniques used to value its investments into a disclosure hierarchy consisting of three levels as shown below:

 

Level 1 – Quoted prices in active markets for identical assets that the funds have the ability to access.

 

Level 2 – Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).

 

Level 3 – Significant unobservable inputs (including each Fund’s own assumptions in determining the fair value of investments).

 

151

 

 

Simplify Exchange Traded Funds

Notes to Financial Statements (Continued)

June 30, 2023

 

 

The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

 

The following is a summary of the valuations as of June 30, 2023 for each Fund based upon the three levels defined above:

 

Simplify Aggregate Bond PLUS Credit Hedge ETF

 

Assets   Level 1     Level 2     Level 3     Total  
Exchange-Traded Funds   $ 7,348,385     $     $     $ 7,348,385  
U.S. Government Obligations     132,701       3,450,818             3,583,519  
U.S. Treasury Bills     485,374                   485,374  
Total Return Swaps           8,459             8,459  
TOTAL   $ 7,966,460     $ 3,459,277     $     $ 11,425,737  

 

Liabilities   Level 1     Level 2     Level 3     Total  
Written Options   $ (58,910 )   $     $     $ (58,910 )
Total Return Swaps           (6,081 )           (6,081 )
Futures     (28,513 )                 (28,513 )
TOTAL   $ (87,423 )   $ (6,081 )   $     $ (93,504 )

 

Simplify Developed Ex-US PLUS Downside Convexity ETF

 

Assets   Level 1     Level 2     Level 3     Total  
Exchange-Traded Funds   $ 16,731,698     $     $     $ 16,731,698  
Purchased Options           145,436             145,436  
Money Market Funds     305,744                   305,744  
TOTAL   $ 17,037,442     $ 145,436     $     $ 17,182,878  

 

Liabilities   Level 1     Level 2     Level 3     Total  
Written Options   $     $ (110,772 )   $     $ (110,772 )
TOTAL   $     $ (110,772 )   $     $ (110,772 )

 

Simplify Emerging Markets Equity PLUS Downside Convexity ETF

 

Assets   Level 1     Level 2     Level 3     Total  
Exchange-Traded Funds   $ 4,048,730     $     $     $ 4,048,730  
Purchased Options           29,008             29,008  
Money Market Funds     25,269                   25,269  
TOTAL   $ 4,073,999     $ 29,008     $     $ 4,103,007  

 

Liabilities   Level 1     Level 2     Level 3     Total  
Written Options   $     $ (19,408 )   $     $ (19,408 )
TOTAL   $     $ (19,408 )   $     $ (19,408 )

 

Simplify Enhanced Income ETF

 

Assets   Level 1     Level 2     Level 3     Total  
U.S. Treasury Bills   $ 25,303,800     $     $     $ 25,303,800  
TOTAL   $ 25,303,800     $     $     $ 25,303,800  

 

152

 

 

Simplify Exchange Traded Funds

Notes to Financial Statements (Continued)

June 30, 2023

 

 

Simplify Health Care ETF

 

Assets   Level 1     Level 2     Level 3     Total  
Common Stocks   $ 57,264,070     $     $     $ 57,264,070  
Money Market Funds     179,500                   179,500  
TOTAL   $ 57,443,570     $     $     $ 57,443,570  

 

Simplify Hedged Equity ETF

 

Assets   Level 1     Level 2     Level 3     Total  
Exchange-Traded Funds   $ 109,202,515     $     $     $ 109,202,515  
Purchased Options     355,485                   355,485  
Money Market Funds     368,970                   368,970  
TOTAL   $ 109,926,970     $     $     $ 109,926,970  

 

Liabilities   Level 1     Level 2     Level 3     Total  
Written Options   $ (2,748,303 )   $     $     $ (2,748,303 )
TOTAL   $ (2,748,303 )   $     $     $ (2,748,303 )

 

Simplify High Yield PLUS Credit Hedge ETF

 

Assets   Level 1     Level 2     Level 3     Total  
U.S. Treasury Bills   $ 45,161,406     $     $     $ 45,161,406  
Purchased Options     32,970                   32,970  
Total Return Swaps           213,294             213,294  
TOTAL   $ 45,194,376     $ 213,294     $     $ 45,407,670  

 

Liabilities   Level 1     Level 2     Level 3     Total  
Written Options   $ (20,858 )   $     $     $ (20,858 )
Total Return Swaps           (261,661 )           (261,661 )
TOTAL   $ (20,858 )   $ (261,661 )   $     $ (282,519 )

 

Simplify Interest Rate Hedge ETF

 

Assets   Level 1     Level 2     Level 3     Total  
U.S. Treasury Bills   $ 118,692,466     $     $     $ 118,692,466  
U.S. Government Obligations     100,860,468                   100,860,468  
Purchased Swaptions           7,668,949             7,668,949  
Interest Rate Swaps           1,195             1,195  
TOTAL   $ 219,552,934     $ 7,670,144     $     $ 227,223,078  

 

Liabilities   Level 1     Level 2     Level 3     Total  
Purchased Swaptions   $     $ (14,246,455 )   $     $ (14,246,455 )
TOTAL   $     $ (14,246,455 )   $     $ (14,246,455 )

 

153

 

 

Simplify Exchange Traded Funds

Notes to Financial Statements (Continued)

June 30, 2023

 

 

Simplify Intermediate Term Treasury Futures Strategy ETF

 

Assets   Level 1     Level 2     Level 3     Total  
U.S. Treasury Bills   $ 52,967,508     $     $     $ 52,967,508  
Money Market Funds     207,470                   207,470  
TOTAL   $ 53,174,978     $     $     $ 53,174,978  

 

Liabilities   Level 1     Level 2     Level 3     Total  
Futures   $ (2,602,668 )   $     $     $ (2,602,668 )
TOTAL   $ (2,602,668 )   $     $     $ (2,602,668 )

 

Simplify Market Neutral Equity Long/Short ETF

 

Assets   Level 1     Level 2     Level 3     Total  
U.S. Treasury Bills   $ 4,339,165     $     $     $ 4,339,165  
Total Return Swaps           6,117             6,117  
TOTAL   $ 4,339,165     $ 6,117     $     $ 4,345,282  

 

Liabilities   Level 1     Level 2     Level 3     Total  
Total Return Swaps   $     $ (12,006 )   $     $ (12,006 )
TOTAL   $     $ (12,006 )   $     $ (12,006 )

 

Simplify Opportunistic Income ETF

 

Assets   Level 1     Level 2     Level 3     Total  
U.S. Treasury Bills   $ 35,185,671     $     $     $ 35,185,671  
Corporate Bonds           590,668             590,668  
TOTAL   $ 35,185,671     $ 590,668     $     $ 35,776,339  

 

Simplify Propel Opportunities ETF

 

Assets   Level 1     Level 2     Level 3     Total  
Common Stocks   $ 70,622,459     $     $     $ 70,622,459  
Exchange-Traded Funds     24,403,039                   24,403,039  
Corporate Bonds           1,693,568             1,693,568  
Closed-End Funds     1,196,848                   1,196,848  
Money Market Funds     3,276,908                   3,276,908  
TOTAL   $ 99,499,254     $ 1,693,568     $     $ 101,192,822  

 

Simplify Short Term Treasury Futures Strategy ETF

 

Assets   Level 1     Level 2     Level 3     Total  
U.S. Treasury Bills   $ 526,246,074     $     $     $ 526,246,074  
TOTAL   $ 526,246,074     $     $     $ 526,246,074  

 

Liabilities   Level 1     Level 2     Level 3     Total  
Futures   $ (23,297,280 )   $     $     $ (23,297,280 )
TOTAL   $ (23,297,280 )   $     $     $ (23,297,280 )

 

Simplify Stable Income ETF

 

Assets   Level 1     Level 2     Level 3     Total  
U.S. Treasury Bills   $ 14,276,432     $     $     $ 14,276,432  
TOTAL   $ 14,276,432     $     $     $ 14,276,432  

 

154

 

 

Simplify Exchange Traded Funds

Notes to Financial Statements (Continued)

June 30, 2023

 

 

Simplify Tail Risk Strategy ETF

 

Assets   Level 1     Level 2     Level 3     Total  
Exchange-Traded Funds   $ 15,472,993     $     $     $ 15,472,993  
Purchased Options     2,626,687                   2,626,687  
Money Market Funds     33,778                   33,778  
TOTAL   $ 18,133,458     $     $     $ 18,133,458  

 

Liabilities   Level 1     Level 2     Level 3     Total  
Written Options   $ (1,420,133 )   $     $     $ (1,420,133 )
TOTAL   $ (1,420,133 )   $     $     $ (1,420,133 )

 

Simplify US Equity PLUS Convexity ETF

 

Assets   Level 1     Level 2     Level 3     Total  
Exchange-Traded Funds   $ 72,733,632     $     $     $ 72,733,632  
Purchased Options     946,565                   946,565  
Money Market Funds     334,496                   334,496  
TOTAL   $ 74,014,693     $     $     $ 74,014,693  

 

Liabilities   Level 1     Level 2     Level 3     Total  
Written Options   $ (256,603 )   $     $     $ (256,603 )
TOTAL   $ (256,603 )   $     $     $ (256,603 )

 

Simplify US Equity PLUS Downside Convexity ETF

 

Assets   Level 1     Level 2     Level 3     Total  
Exchange-Traded Funds   $ 115,353,759     $     $     $ 115,353,759  
Purchased Options     805,033                   805,033  
Money Market Funds     70,259                   70,259  
TOTAL   $ 116,229,051     $     $     $ 116,229,051  

 

Liabilities   Level 1     Level 2     Level 3     Total  
Written Options   $ (509,225 )   $     $     $ (509,225 )
TOTAL   $ (509,225 )   $     $     $ (509,225 )

 

Simplify US Equity PLUS GBTC ETF

 

Assets   Level 1     Level 2     Level 3     Total  
Exchange-Traded Funds   $ 7,447,369     $     $     $ 7,447,369  
Grantor Trusts     847,814                   847,814  
Money Market Funds     19,302                   19,302  
Futures     30,528                   30,528  
TOTAL   $ 8,345,013     $     $     $ 8,345,013  

 

155

 

 

Simplify Exchange Traded Funds

Notes to Financial Statements (Continued)

June 30, 2023

 

 

Simplify US Equity PLUS Upside Convexity ETF

 

Assets   Level 1     Level 2     Level 3     Total  
Exchange-Traded Funds   $ 8,261,235     $     $     $ 8,261,235  
Purchased Options     164,480                   164,480  
Money Market Funds     78,904                   78,904  
TOTAL   $ 8,504,619     $     $     $ 8,504,619  

 

Liabilities   Level 1     Level 2     Level 3     Total  
Written Options   $ (22,650 )   $     $     $ (22,650 )
TOTAL   $ (22,650 )   $     $     $ (22,650 )

 

Simplify Volt RoboCar Disruption and Tech ETF

 

Assets   Level 1     Level 2     Level 3     Total  
Common Stocks   $ 4,084,395     $     $     $ 4,084,395  
Purchased Options     103,135                   103,135  
Money Market Funds     126,771                   126,771  
TOTAL   $ 4,314,301     $     $     $ 4,314,301  

 

Liabilities   Level 1     Level 2     Level 3     Total  
Written Options   $ (17,630 )   $     $     $ (17,630 )
TOTAL   $ (17,630 )   $     $     $ (17,630 )

 

Simplify Bitcoin Strategy PLUS Income ETF

 

Assets   Level 1     Level 2     Level 3     Total  
U.S. Treasury Bills   $ 65,408,044     $     $     $ 65,408,044  
Futures     250,618                   250,618  
TOTAL   $ 65,658,662     $     $     $ 65,658,662  

 

Liabilities   Level 1     Level 2     Level 3     Total  
Reverse Repurchase Agreements   $ (59,971,951 )   $     $     $ (59,971,951 )
TOTAL   $ (59,971,951 )   $     $     $ (59,971,951 )

 

Simplify Commodities Strategy No K-1 ETF

 

Assets   Level 1     Level 2     Level 3     Total  
U.S. Treasury Bills   $ 5,424,372     $     $     $ 5,424,372  
Futures     46,109                   46,109  
TOTAL   $ 5,470,481     $     $     $ 5,470,481  

 

Liabilities   Level 1     Level 2     Level 3     Total  
Futures   $ (39,040 )   $     $     $ (39,040 )
TOTAL   $ (39,040 )   $     $     $ (39,040 )

 

156

 

 

Simplify Exchange Traded Funds

Notes to Financial Statements (Continued)

June 30, 2023

 

 

Simplify Macro Strategy ETF

 

Assets   Level 1     Level 2     Level 3     Total  
Exchange-Traded Funds   $ 40,780,191     $     $     $ 40,780,191  
U.S. Treasury Bills     4,273,154                   4,273,154  
Purchased Options     4,919,184                   4,919,184  
Money Market Funds     1,238,179                   1,238,179  
TOTAL   $ 51,210,708     $     $     $ 51,210,708  

 

Liabilities   Level 1     Level 2     Level 3     Total  
Written Options   $ (979,485 )   $     $     $ (979,485 )
TOTAL   $ (979,485 )   $     $     $ (979,485 )

 

Simplify Managed Futures Strategy ETF

 

Assets   Level 1     Level 2     Level 3     Total  
U.S. Treasury Bills   $ 108,364,558     $     $     $ 108,364,558  
Futures     6,770,054                   6,770,054  
TOTAL   $ 115,134,612     $     $     $ 115,134,612  

 

Liabilities   Level 1     Level 2     Level 3     Total  
Futures   $ (496,925 )   $     $     $ (496,925 )
TOTAL   $ (496,925 )   $     $     $ (496,925 )

 

Simplify Volatility Premium ETF

 

Assets   Level 1     Level 2     Level 3     Total  
U.S. Treasury Bills   $ 192,850,691     $     $     $ 192,850,691  
U.S. Government Obligations     96,201       117,435,748             117,531,949  
Purchased Options     933,100                   933,100  
Futures     4,411,369                   4,411,369  
TOTAL   $ 198,291,361     $ 117,435,748     $     $ 315,727,109  

 

Liabilities   Level 1     Level 2     Level 3     Total  
Reverse Repurchase Agreements   $ (144,536,933 )   $     $     $ (144,536,933 )
TOTAL   $ (144,536,933 )   $     $     $ (144,536,933 )

 

Cash

 

Cash consists of cash on deposit with a major financial institution which may exceed federally insured limits.

 

Foreign Currency Translations

 

The books and records of the Funds are maintained in U.S. dollars. Investment securities and other assets and liabilities denominated in a foreign currency are translated into U.S. dollars at the prevailing exchange rates at period end. Purchases and sales of investment securities, income and expenses are translated into U.S. dollars at the prevailing exchange rates on the respective dates of the transactions.

 

Net realized and unrealized gains and losses on foreign currency transactions represent net gains and losses between trade and settlement dates on securities transactions, the acquisition and disposition of foreign currencies, and the difference between the amount of net investment income accrued and the U.S. dollar amount actually received. The portion of both realized and unrealized gains and losses on investments that results from fluctuations in foreign currency exchange rates is not separately disclosed, but is included with net realized and unrealized gain/appreciation and loss/depreciation on investments.

 

Investment Transactions and Related Income

 

For financial reporting purposes, investment transactions are reported on the trade date. However, for daily NAV determination, portfolio securities transactions are reflected no later than in the first calculation on the first business day following trade date. Dividend income is recorded on the ex-dividend date. Interest income is recognized on an accrual basis and includes, where applicable, the amortization of premium or accretion of discount based on effective yield. Gains or losses realized on sales of securities are determined using the

 

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specific identification method by comparing the identified cost of the security lot sold with the net sales proceeds. Dividend Income on the Statements of Operations is shown net of any foreign taxes withheld on income from foreign securities, which are provided for in accordance with each Fund’s understanding of the applicable tax rules and regulations.

 

Income Tax Information and Distributions to Shareholders

 

It is the Funds’ policy to comply with all requirements of the Internal Revenue Code of 1986, as amended (“the Code”). Each Fund intends to qualify for and to elect treatment as a separate Regulated Investment Company (“RIC”) under Subchapter M of the Code. It is each Fund’s policy is to pay out dividends from net investment income quarterly, except for Simplify Aggregate Bond PLUS Credit Hedge ETF, Simplify Enhanced Income ETF, Simplify High Yield PLUS Credit Hedge ETF, Simplify Interest Rate Hedge ETF, Simplify Intermediate Term Treasury Futures Strategy ETF, Simplify Opportunistic Income ETF, Simplify Short Term Treasury Futures Strategy ETF, Simplify Stable Income ETF, Simplify Tail Risk Strategy ETF, Simplify Bitcoin Strategy PLUS Income ETF, Simplify Commodities Strategy No K-1 ETF, Simplify Macro Strategy ETF, Simplify Managed Futures Strategy ETF and Simplify Volatility Premium ETF. The policy of Simplify Aggregate Bond PLUS Credit Hedge ETF, Simplify Enhanced Income ETF, Simplify High Yield PLUS Credit Hedge ETF, Simplify Interest Rate Hedge ETF, Simplify Intermediate Term Treasury Futures Strategy ETF, Simplify Opportunistic Income ETF, Simplify Short Term Treasury Futures Strategy ETF, Simplify Stable Income ETF, Simplify Tail Risk Strategy ETF, Simplify Bitcoin Strategy PLUS Income ETF, Simplify Commodities Strategy No K-1 ETF, Simplify Macro Strategy ETF, Simplify Managed Futures Strategy ETF and Simplify Volatility Premium ETF is to pay out dividends from net investment income monthly. Taxable net realized gains from investment transactions, reduced by capital loss carryforwards, if any, will be declared and distributed to shareholders at least annually. The capital loss carryforward amount, if any, will be available to offset future net capital gains. Each Fund may occasionally be required to make supplemental distributions at some other time during the year. Each Fund reserves the right to declare special distributions if, in its reasonable discretion, such action is necessary or advisable to preserve the status of a Fund as a RIC or to avoid imposition of income or excise taxes on undistributed income. Dividends and distributions to shareholders, if any, will be recorded on the ex-dividend date. The amount of dividends and distributions from net investment income and net realized capital gains will be determined in accordance with Federal income tax regulations which may differ from U.S. GAAP. These “book/tax” differences are either considered temporary or permanent in nature. To the extent these differences are permanent in nature, (e.g., return of capital and distribution reclassifications), such amounts are reclassified within the composition of net assets based on their federal tax basis treatment; temporary differences (e.g., wash sales and straddles) do not require a reclassification. Dividends and distributions, which exceed earnings and profits for the full year for tax purposes, will be reported as a tax return of capital.

 

In accordance with U.S. GAAP requirements regarding accounting for uncertainties in income taxes, management has analyzed each Fund’s tax positions expected to be taken on foreign, federal and state income tax returns for all open tax years and has concluded that no provision for income tax is required in any Fund’s financial statement.

 

Each Fund will recognize interest and penalties, if any, related to uncertain tax positions as income tax expense on the Statement of Operations.

 

4. Derivative Financial Instruments

 

Futures Contracts

 

A futures contract provides for the future sale by one party and purchase by another party of a specified amount of a specific financial instrument (e.g., units of a stock index) for a specified price, date, time and place designated at the time the contract is made. Brokerage fees are paid when a futures contract is bought or sold and margin deposits must be maintained. Unlike when a Fund purchases or sells a security, no price would be paid or received by a Fund upon the purchase or sale of a futures contract. Upon entering into a futures contract, and to maintain a Fund’s open positions in futures contracts, a Fund would be required to deposit with its custodian or futures broker in a segregated account in the name of the futures broker an amount of cash, U.S. government securities, suitable money market instruments, or other liquid securities, known as “initial margin.” The margin required for a particular futures contract is set by the exchange on which the contract is traded, and may be significantly modified from time to time by the exchange during the term of the contract. If the price of an open futures contract changes (by increase in underlying instrument or index in the case of a sale or by decrease in the case of a purchase) so that the loss on the futures contract reaches a point at which the margin on deposit does not satisfy margin requirements, the broker will require an increase in the margin. However, if the value of a position increases because of favorable price changes in the futures contract so that the margin deposit exceeds the required margin, the broker will pay the excess to a Fund.

 

These subsequent payments, called “variation margin,” to and from the futures broker, are made on a daily basis as the price of the underlying assets fluctuate making the long and short positions in the futures contract more or less valuable, a process known as “marking to the market.” A Fund expects to earn interest income on margin deposits.

 

The primary risks associated with the use of futures contracts are (a) the imperfect correlation between the change in market value of the instruments held by a Fund and the price of the forward or futures contract; (b) possible lack of a liquid secondary market for a forward or futures contract and the resulting inability to close a forward or futures contract when desired; (c) investments in futures contracts involves leverage, which means a small percentage of assets in futures can have a disproportionately large impact on a Fund and the Fund can lose more than the principal amount invested; (d) losses caused by unanticipated market movements, which are potentially unlimited; (e) the adviser’s inability to predict correctly the direction of securities prices, interest rates, currency exchange rates and other economic

 

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factors; (f) the possibility that the counterparty will default in the performance of its obligations; and (g) if the Fund has insufficient cash, it may have to sell securities from its portfolio to meet daily variation margin requirements, and a Fund may have to sell securities at a time when it may be disadvantageous to do so.

 

Option Contracts

 

A Fund may purchase and write (i.e., sell) put and call options. Such options may relate to particular securities or stock indices, and may or may not be listed on a domestic or foreign securities exchange and may or may not be issued by the Options Clearing Corporation. Options trading is a highly specialized activity that entails greater than ordinary investment risk. Options may be more volatile than the underlying instruments, and therefore, on a percentage basis, an investment in options may be subject to greater fluctuation than an investment in the underlying instruments themselves.

 

A call option for a particular security gives the purchaser of the option the right to buy, and the writer (seller) the obligation to sell, the underlying security at the stated exercise price at any time prior to the expiration of the option, regardless of the market price of the security. The premium paid to the writer is in consideration for undertaking the obligation under the option contract. A put option for a particular security gives the purchaser the right to sell the security at the stated exercise price at any time prior to the expiration date of the option, regardless of the market price of the security. Stock index options are put options and call options on various stock indices. In most respects, they are identical to listed options on common stocks. The primary difference between stock options and index options occurs when index options are exercised. In the case of stock options, the underlying security, common stock, is delivered. However, upon the exercise of an index option, settlement does not occur by delivery of the securities comprising the index. The option holder who exercises the index option receives an amount of cash if the closing level of the stock index upon which the option is based is greater than, in the case of a call, or less than, in the case of a put, the exercise price of the option. This amount of cash is equal to the difference between the closing price of the stock index and the exercise price of the option expressed in dollars times a specified multiple. A stock index fluctuates with changes in the market value of the stocks included in the index.

 

Premiums paid on options purchased and premiums received on options written, as well as the daily fluctuation in market value, are included in investments at value and options written at value, respectively, in the Statements of Assets and Liabilities. When an instrument is purchased or sold through the exercise of an option, the premium is offset against the cost or proceeds of the underlying instrument. When an option expires, a realized gain or loss is recorded in the Statements of Operations to the extent of the premiums received or paid. When an option is closed or sold, a gain or loss is recorded in the Statements of Operations to the extent the cost of the closing transaction exceeds the premiums received or paid. When the Funds write a call option, such option is typically “covered,” meaning that they hold the underlying instrument subject to being called by the option counterparty. When the Funds write a put option, cash is segregated in an amount sufficient to cover the obligation. These amounts, which are considered restricted, are included in cash pledged as collateral for options written in the Statements of Assets and Liabilities.

 

Swaptions. A swaption is a contract that gives a counterparty the right (but not the obligation) to enter into a new swap agreement or to shorten, extend, cancel or otherwise modify an existing swap agreement, at some designated future time on specified terms. A Fund may write (sell) and purchase put and call swaptions. Depending on the terms of the particular swaption agreement, a Fund will generally incur a greater degree of risk when it writes a swaption than it will incur when it purchases a swaption. When a Fund purchases a swaption, it risks losing only the amount of the premium it has paid should it decide to let the swaption expire unexercised. However, when a Fund writes a swaption, it becomes obligated (if the swaption is exercised) according to the terms of the underlying agreement.

 

When a Fund writes a swaption, an amount equal to the premium received by a Fund is recorded as a liability, the value of which is marked-to-market daily to reflect the current market value of the swaption written. If the written swaption expires, a Fund realizes a gain equal to the amount of the premium paid, which is included in realized gain (loss) on written swaptions in the Statement of Operations. If the written swaption is exercised or sold, the premium received is added to the proceeds or offset against amounts paid on the underlying security to determine the realized gain or loss, which is reported as gain (loss) on written swaptions in the Statements of Operations.

 

A Fund may also purchase swaptions which involve the payment of premium in exchange for an option to enter into an interest rate swap and credit default swap with specified terms and conditions on a future date. The purchaser has the right, but not the obligation, to enter into the new swap agreement. Periodic payments are typically made during the life of the swap agreement according to the terms of such agreement. Changes in value of purchased swaptions are reported as part of change in unrealized gain (loss) on investments in the Statements of Operations. When the purchased swaption is exercised, terminated, expires or is sold, a Fund will record a gain or loss, which is reported as part of realized gain (loss) on investments in the Statements of Operations.

 

Swaps. Swap agreements are agreements between a Fund and a counterparty to exchange cash flows, assets, foreign currencies or market-linked returns at specified intervals. Swap agreements are privately negotiated in the OTC market (OTC swaps) or may be executed on a registered commodities exchange (centrally cleared swaps). Swaps are marked-to-market daily and the change in value is recorded as a component of unrealized appreciation/depreciation of swap contracts. The value of the swap will typically impose collateral posting obligations on the party that is considered out-of-the-money on the swap. Upfront payments made/received by the fund, if any, are amortized/accreted for financial reporting purposes, with the unamortized/unaccreted portion included in the Statement of assets and liabilities. A termination payment by the counterparty or the fund is recorded as realized gain or loss, as well as the net periodic payments received or paid by the fund. Entering into swap agreements involves, to varying degrees, elements of credit, market and documentation risk that may provide outcomes that produce losses in excess of the amounts recognized on the Statement of assets and liabilities. Such

 

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risks involve the possibility that there will be no liquid market for the swap, or that a counterparty may default on its obligation or delay payment under the swap terms. The counterparty may disagree or contest the terms of the swap. In addition to interest rate risk, market risks may also impact the swap. The fund may also suffer losses if it is unable to terminate or assign outstanding swaps or reduce its exposure through offsetting transactions.

 

Total Return Swaps. Total return swaps are commitments where one party pays a fixed or variable rate premium (the Buyer) in exchange for a market-linked return (the Seller). The Seller pays the total return of a specific reference asset or index and in return receives interest payments from the Buyer. To the extent the total return of the underlying asset or index exceeds or falls short of the offsetting interest rate obligation, the Buyer will receive or make a payment to the Seller. A fund may enter into total return swaps in which it may act as either the Buyer or the Seller. Total return swap contracts are subject to the risk associated with the investment in the underlying reference asset or index. The risk in the case of short total return swap contracts is unlimited based on the potential for unlimited increases in the market value of the underlying reference asset or index.

 

The following table summarizes the value of the Funds’ derivative instruments held as of June 30, 2023 and the related location in the accompanying Statement of Assets and Liabilities or Consolidated Statement of Assets and Liabilities, presented by underlying risk exposure:

 

Fund   Asset Derivatives     Liability Derivatives  
Simplify Aggregate Bond PLUS Credit Hedge ETF  
                         
Interest Rate Contracts   Unrealized appreciation on futures contracts*   $     Unrealized depreciation on futures contracts*   $ 28,513  
                         
Equity Contracts   Unrealized appreciation on OTC swaps   $ 8,459     Unrealized depreciation on OTC swaps   $ 6,081  
                         
Equity Contracts   Written options   $     Written options   $ 31,894  
                         
Interest Rate Contracts   Written options   $     Written options   $ 27,016  
                         
Simplify Developed Ex-US PLUS Downside Convexity ETF  
                         
Equity Contracts   Investments, at value(1)   $ 145,436     Investments, at value(1)   $  
                         
Equity Contracts   Written options   $     Written options   $ 110,772  
                         
Simplify Emerging Markets Equity PLUS Downside Convexity ETF  
                         
Equity Contracts   Investments, at value(1)   $ 29,008     Investments, at value(1)   $  
                         
Equity Contracts   Written options   $     Written options   $ 19,408  
                         
Simplify Hedged Equity ETF  
                         
Equity Contracts   Investments, at value(1)   $ 355,485     Investments, at value(1)   $  
                         
Equity Contracts   Written options   $     Written options   $ 2,748,303  
                         
Simplify High Yield PLUS Credit Hedge ETF  
                         
Equity Contracts   Investments, at value(1)   $ 32,970     Investments, at value(1)   $  
                         
Equity Contracts   Unrealized appreciation on OTC swaps   $ 213,294     Unrealized depreciation on OTC swaps   $ 261,661  
                         
Equity Contracts   Written options   $     Written options   $ 20,858  
                         
Simplify Interest Rate Hedge ETF  
                         
Interest Rate Contracts   Unrealized appreciation on OTC swaps   $ 1,195     Unrealized depreciation on OTC swaps   $  
                         
Interest Rate Contracts   Investments, at value(2)   $ 7,668,949     Investments, at value(2)   $ 14,246,455  

 

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Fund   Asset Derivatives     Liability Derivatives  
Simplify Intermediate Term Treasury Futures Strategy ETF  
                         
Interest Rate Contracts   Unrealized appreciation on futures contracts*   $     Unrealized depreciation on futures contracts*   $ 2,602,668  
                         
Simplify Market Neutral Equity Long/Short ETF  
                         
Equity Contracts   Unrealized appreciation on OTC swaps   $ 6,117     Unrealized depreciation on OTC swaps   $ 12,006  
                         
Simplify Short Term Treasury Futures Strategy ETF

                         
Interest Rate Contracts   Unrealized appreciation on futures contracts*   $     Unrealized depreciation on futures contracts*   $ 23,297,280  
                         
Simplify Tail Risk Strategy ETF  
                         
Equity Contracts   Investments, at value(1)   $ 2,626,687     Investments, at value(1)   $  
                         
Equity Contracts   Written options   $     Written options   $ 1,420,133  
                         
Simplify US Equity PLUS Convexity ETF  
                         
Equity Contracts   Investments, at value(1)   $ 946,565     Investments, at value(1)   $  
                         
Equity Contracts   Written options   $     Written options   $ 256,603  
                         
Simplify US Equity PLUS Downside Convexity ETF  
                         
Equity Contracts   Investments, at value(1)   $ 805,033     Investments, at value(1)   $  
                         
Equity Contracts   Written options   $     Written options   $ 509,225  
                         
Simplify US Equity PLUS GBTC ETF  
                         
Equity Contracts   Unrealized appreciation on futures contracts*   $ 30,528     Unrealized depreciation on futures contracts*   $  
                         
Simplify US Equity PLUS Upside Convexity ETF  
                         
Equity Contracts   Investments, at value(1)   $ 164,480     Investments, at value(1)   $  
                         
Equity Contracts   Written options   $     Written options   $ 22,650  
                         
Simplify Volt RoboCar Disruption and Tech ETF  
                         
Equity Contracts   Investments, at value(1)   $ 103,135     Investments, at value(1)   $  
                         
Equity Contracts   Written options   $     Written options   $ 17,630  
                         
Simplify Bitcoin Strategy PLUS Income ETF  
                         
Commodity Contracts   Unrealized appreciation on futures contracts*   $ 250,618     Unrealized depreciation on futures contracts*   $  
                         
Simplify Commodities Strategy No K-1 ETF  
                         
Commodity Contracts   Unrealized appreciation on futures contracts*   $ 46,109     Unrealized depreciation on futures contracts*   $ 39,040  
                         
Simplify Macro Strategy ETF  
                         
Equity Contracts   Investments, at value(1)   $ 4,801,247     Investments, at value(1)   $  
                         
Interest Rate Contracts   Investments, at value(1)   $ 117,937     Investments, at value(1)   $  
                         
Equity Contracts   Written options   $     Written options   $ 926,891  
                         
Interest Rate Contracts   Written options   $     Written options   $ 52,594  

 

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Fund     Asset Derivatives     Liability Derivatives  
Simplify Managed Futures Strategy ETF    
                           
Commodity Contracts     Unrealized appreciation on futures contracts*   $ 1,730,264     Unrealized depreciation on futures contracts*   $ 496,925  
                           
Interest Rate Contracts     Unrealized appreciation on futures contracts*   $ 5,039,790     Unrealized depreciation on futures contracts*   $  
                           
Simplify Volatility Premium ETF    
                           
Equity Contracts     Unrealized appreciation on futures contracts*   $ 4,411,369     Unrealized depreciation on futures contracts*   $  
                           
Equity Contracts     Investments, at value(1)   $ 933,100     Investments, at value(1)   $  

 

* Includes cumulative unrealized appreciation or unrealized cumulative depreciation on futures contracts as disclosed in the Schedule of Investments.
(1) Purchased option contracts are included in Investments within the Statement of Assets and Liabilities or Consolidated Statement of Assets and Liabilities.
(2) Purchased swaption contracts are included in Investments within the Statement of Assets and Liabilities.

 

For the year/period ended June 30, 2023, realized gains/(losses) and the change in unrealized appreciation/(depreciation) on purchased option contracts(a) by risk type, as disclosed in the Statements of Operations, is as follows:

 

Fund   Risk Type     Realized Gain/
(Loss)
  Change in
Unrealized
Appreciation/
(Depreciation)
 
Simplify Aggregate Bond PLUS Credit Hedge ETF   Equity     $ (112,370 )   $ (2,471 )
Simplify Developed Ex-US PLUS Downside Convexity ETF   Equity       (3,860,195 )     (323,641 )
Simplify Emerging Markets Equity PLUS Downside Convexity ETF   Equity       (1,254,607 )     (13,286 )
Simplify Enhanced Income ETF   Equity       (85,290 )      
Simplify Hedged Equity ETF   Equity       (7,171,912 )     (1,652,074 )
Simplify High Yield PLUS Credit Hedge ETF   Equity       (2,031,425 )     (112,288 )
Simplify Stable Income ETF   Equity       (20,349 )      
Simplify Tail Risk Strategy ETF   Equity       (83,599,485 )     (9,044,959 )
Simplify US Equity PLUS Convexity ETF   Equity       (7,937,237 )     257,156  
Simplify US Equity PLUS Downside Convexity ETF   Equity       (90,707,988 )     (5,547,090 )
Simplify US Equity PLUS Upside Convexity ETF   Equity       (762,783 )     324,645  
Simplify Volt RoboCar Disruption and Tech ETF   Equity       (6,947,479 )     (9,439 )
Simplify Bitcoin Strategy PLUS Income ETF   Equity       (151,349 )      
Simplify Macro Strategy ETF   Equity       (706,170 )     1,270,328  
Simplify Macro Strategy ETF   Interest Rate       863,091       (455,324 )
Simplify Volatility Premium ETF   Equity       (4,644,479 )     (449,941 )

 

(a) Purchased option contracts are included in Net Realized Gain (Loss) on Investments within the Statement of Operations or Consolidated Statement of Operations.

 

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June 30, 2023

 

 

For the year ended June 30, 2023, realized gains/(losses) and the change in unrealized appreciation/(depreciation) on purchased swaption contracts(b) by risk type, as disclosed in the Statements of Operations, is as follows:

 

Fund   Risk Type     Realized Gain/
(Loss)
    Change in
Unrealized
Appreciation/
(Depreciation)
 
Simplify Interest Rate Hedge ETF   Interest Rate     $ 105,918,842     $ (64,812,864 )

 

(b) Purchased Swaptions are included in Net Realized Gain (Loss) on Investments within the Statement of Operations or Consolidated Statement of Operations.

 

For the year/period ended June 30, 2023, realized gains/(losses) and the change in unrealized appreciation/(depreciation) on swap contracts by risk type, as disclosed in the Statements of Operations, is as follows:

 

Fund   Risk Type     Realized Gain/
(Loss)
    Change in
Unrealized
Appreciation/
(Depreciation)
 
Simplify Aggregate Bond PLUS Credit Hedge ETF   Equity     $ 25,222     $ (2,859 )
Simplify High Yield PLUS Credit Hedge ETF   Equity       1,628,717       (383,311 )
Simplify High Yield PLUS Credit Hedge ETF   Interest Rate       (374,138 )     465,039  
Simplify Interest Rate Hedge ETF   Interest Rate             466  
Simplify Market Neutral Equity Long/Short ETF   Equity       (84,475 )     (5,889 )

 

For the year/period ended June 30, 2023, realized gains/(losses) and the change in unrealized appreciation/(depreciation) on futures contracts by risk type, as disclosed in the Statements of Operations, is as follows:

 

Fund   Risk Type     Realized Gain/
(Loss)
    Change in
Unrealized
Appreciation/
(Depreciation)
 
Simplify Aggregate Bond PLUS Credit Hedge ETF   Equity     $ 3,258     $  
Simplify Aggregate Bond PLUS Credit Hedge ETF   Interest Rate       (14,854 )     (28,513 )
Simplify Intermediate Term Treasury Futures Strategy ETF   Interest Rate       (8,241,602 )     (1,474,068 )
Simplify Short Term Treasury Futures Strategy ETF   Interest Rate       (3,945,082 )     (23,297,280 )
Simplify US Equity PLUS GBTC ETF   Equity       560,222       26,412  
Simplify Bitcoin Strategy PLUS Income ETF   Commodity       6,804,936       250,618  
Simplify Commodities Strategy No K-1 ETF   Commodity       (168,260 )     7,069  
Simplify Managed Futures Strategy ETF   Commodity       (31,249,227 )     (242,191 )
Simplify Managed Futures Strategy ETF   Interest Rate       7,094,935       4,970,157  
Simplify Volatility Premium ETF   Equity       36,370,631       4,876,574  

 

For the year/period ended June 30, 2023, realized gains/(losses) and the change in unrealized appreciation/(depreciation) on written option contracts by risk type, as disclosed in the Statements of Operations, is as follows:

 

Fund   Risk Type     Realized Gain/
(Loss)
    Change in
Unrealized
Appreciation/
(Depreciation)
 
Simplify Aggregate Bond PLUS Credit Hedge ETF   Equity     $ 175,090     $ 24,593  
Simplify Aggregate Bond PLUS Credit Hedge ETF   Interest Rate       3,963       3,276  
Simplify Developed Ex-US PLUS Downside Convexity ETF   Equity       1,798,409       63,976  
Simplify Emerging Markets Equity PLUS Downside Convexity ETF   Equity       609,158       8,017  
Simplify Enhanced Income ETF   Equity       319,946        
Simplify Hedged Equity ETF   Equity       5,309,471       (1,741,256 )
Simplify High Yield PLUS Credit Hedge ETF   Equity       1,364,438       15,460  
Simplify Stable Income ETF   Equity       59,559        
Simplify Tail Risk Strategy ETF   Equity       46,327,916       2,456,091  

 

163

 

 

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Notes to Financial Statements (Continued)

June 30, 2023

 

 

Fund   Risk Type     Realized Gain/
(Loss)
    Change in
Unrealized
Appreciation/
(Depreciation)
 
Simplify US Equity PLUS Convexity ETF   Equity     $ 3,036,874     $ 209,135  
Simplify US Equity PLUS Downside Convexity ETF   Equity       53,512,705       701,472  
Simplify US Equity PLUS Upside Convexity ETF   Equity       148,128       (9,273 )
Simplify Volt RoboCar Disruption and Tech ETF   Equity       6,118,417       25,240  
Simplify Bitcoin Strategy PLUS Income ETF   Equity       620,189        
Simplify Macro Strategy ETF   Equity       (329,282 )     313,909  
Simplify Macro Strategy ETF   Interest Rate       (800,627 )     223,070  
Simplify Volatility Premium ETF   Equity       (1,008 )      

 

For the year ended June 30, 2023, the average fiscal quarter end balances of outstanding derivative financial instruments were as follows:

 

Fund   Purchased Option
Contracts
(Contract Value)
    Purchased Swaption
Contracts
(Contract Value)
    Futures Contracts
(Notional Value)
    Written Option
Contracts
(Contract Value)
    Swaps
(Notional Value)
 
Simplify Aggregate Bond PLUS Credit Hedge ETF   $ 29,393     $     $ 1,210,886     $ (17,783 )   $ 31,861  
Simplify Developed Ex-US PLUS Downside Convexity ETF     651,086                   (319,972 )      
Simplify Emerging Markets Equity PLUS Downside Convexity ETF     204,033                   (106,602 )      
Simplify Enhanced Income ETF     691                   (3,465 )      
Simplify Hedged Equity ETF     1,842,540                   (505,236 )      
Simplify High Yield PLUS Credit Hedge ETF     586,730                   (345,465 )     (15,338,455 )
Simplify Interest Rate Hedge ETF           60,102,213                   6,000  
Simplify Intermediate Term Treasury Futures Strategy ETF                 129,655,522              
Simplify Market Neutral Equity Long/Short ETF                             (3,846 )
Simplify Short Term Treasury Futures Strategy ETF                 1,239,893,673              
Simplify Stable Income ETF     238                   (770 )      
Simplify Tail Risk Strategy ETF     18,863,767             (441,111 )     (10,239,822 )      
Simplify US Equity PLUS Convexity ETF     1,552,519                   (634,499 )      
Simplify US Equity PLUS Downside Convexity ETF     21,193,034                   (11,623,539 )      
Simplify US Equity PLUS GBTC ETF                 5,733,465              
Simplify US Equity PLUS Upside Convexity ETF     59,758                   (1,620 )      
Simplify Volt RoboCar Disruption and Tech ETF     452,983                   (174,592 )      
Simplify Bitcoin Strategy PLUS Income ETF     1,292                   (3,850 )      
Simplify Commodities Strategy No K-1 ETF                              
Simplify Macro Strategy ETF     3,102,929                   (345,857 )      
Simplify Managed Futures Strategy ETF                 (875,178,606 )            
Simplify Volatility Premium ETF     568,385             (38,785,913 )            

 

Certain Funds enter into International Swaps and Derivatives Association, Inc. Master Agreements (“ISDA Master Agreements”) or similar master agreements (collectively, “Master Agreements”) with its OTC derivative contract counterparties in order to, among other things, reduce its credit risk to counterparties. ISDA Master Agreements include provisions for general obligations, representations, collateral and events of default or termination. Under an ISDA Master Agreement, the Fund typically may offset with the counterparty certain

 

164

 

 

Simplify Exchange Traded Funds

Notes to Financial Statements (Continued)

June 30, 2023

 

 

derivative financial instrument’s payables and/or receivables with collateral held and/or posted and create one single net payment (close-out netting) in the event of default or termination.

 

The following table presents Funds’ derivative assets and liabilities by counterparty net of amounts available for offset under a master netting agreement or similar arrangement (collectively referred to as “MNA”) and net of the related collateral received/pledged by the Fund as of June 30, 2023:

 

Fund   Gross Amounts of
Assets Presented
in the Statement
of Assets and
Liabilities
    Financial
Instruments
and Derivatives
Available for Offset
    Collateral
Received(1) 
    Non-Cash Collateral
Pledged(1) 
    Net Amount of
Derivatives
Assets
 
Simplify Aggregate Bond PLUS Credit Hedge ETF                                        
Goldman Sachs International   $     $     $     $     $  
Morgan Stanley Capital Services LLC     8,459       (6,081 )                 2,378  
Bank of America NA                              
    $ 8,459     $ (6,081 )   $     $     $ 2,378  

 

(1) The actual collateral received and/or pledged may be more than amount shown.

 

Fund   Gross Amounts of
Liabilities Presented
in the Statements
of Assets and
Liabilities
    Financial
Instruments
and Derivatives
Available for Offset
  Cash
Collateral
Pledged(1) 
    Non-Cash Collateral
Pledged(1) 
  Net Amount of
Derivatives
Liabilities
 
Simplify Aggregate Bond PLUS Credit Hedge ETF                                        
Goldman Sachs International   $     $     $     $     $  
Morgan Stanley Capital Services LLC     (6,081 )     6,081                    
Bank of America NA                              
    $ (6,081 )   $ 6,081     $     $     $  

 

(1) The actual collateral received and/or pledged may be more than amount shown.

 

Fund   Gross Amounts of
Assets Presented
in the Statement
of Assets and
Liabilities
  Financial
Instruments
and Derivatives
Available for Offset
  Collateral
Received(1) 
  Non-Cash Collateral
Pledged(1) 
    Net Amount of
Derivatives
Assets
 
Simplify High Yield PLUS Credit Hedge ETF                                        
Goldman Sachs International   $     $     $     $     $  
Morgan Stanley Capital Services LLC     207,769       (207,769 )                  
Bank of America NA                              
    $ 207,769     $ (207,769 )   $     $     $  

 

(1) The actual collateral received and/or pledged may be more than amount shown.

 

Fund   Gross Amounts of
Liabilities Presented
in the Statements
of Assets and
Liabilities
    Financial
Instruments
and Derivatives
Available for Offset
   
Cash
Collateral
Pledged(1) 
   
Non-Cash Collateral
Pledged(1) 
    Net Amount of
Derivatives
Liabilities
 
Simplify High Yield PLUS Credit Hedge ETF                                        
Goldman Sachs International   $     $     $     $     $  

 

165

 

 

Simplify Exchange Traded Funds

Notes to Financial Statements (Continued)

June 30, 2023

 

 

Fund   Gross Amounts of
Liabilities Presented
in the Statements
of Assets and
Liabilities
    Financial
Instruments
and Derivatives
Available for Offset
    Cash
Collateral
Pledged(1) 
    Non-Cash Collateral
Pledged(1) 
    Net Amount of
Derivatives
Liabilities
 
Morgan Stanley Capital Services LLC   $ (260,149 )   $ 207,769     $     $     $ (52,380 )
Bank of America NA                              
    $ (260,149 )   $ 207,769     $     $     $ (52,380 )

 

(1) The actual collateral received and/or pledged may be more than amount shown.

 

Fund   Gross Amounts of
Assets Presented
in the Statement
of Assets and
Liabilities(1) 
    Financial
Instruments
and Derivatives
Available for Offset
    Collateral
Received(2) 
  Non-Cash Collateral
Pledged(2) 
    Net Amount of
Derivatives
Assets
 
Simplify Interest Rate Hedge ETF                                      
Goldman Sachs International   $ 531,050     $ (531,050 )   $     $     $  
Morgan Stanley Capital Services LLC     3,384,467       (2,210,656 )           (1,173,811 )      
Bank of America NA     3,753,432       (1,433,469 )           (2,319,963 )      
    $ 7,668,949     $ (4,175,175 )   $     $ (3,493,774 )   $  

 

(1) Purchased swaption contracts are included in Investments within the Statement of Assets and Liabilities.
(2) The actual collateral received and/or pledged may be more than amount shown.

 

Fund   Gross Amounts of
Liabilities Presented
in the Statements

of Assets and
Liabilities(1) 
    Financial
Instruments
and Derivatives
Available for Offset
    Cash
Collateral
Pledged(2) 
    Non-Cash Collateral
Pledged(2) 
    Net Amount of
Derivatives
Liabilities
 
Simplify Interest Rate Hedge ETF                                        
Goldman Sachs International   $ 10,602,330     $ (531,050 )   $     $ (10,071,280 )   $  
Morgan Stanley Capital Services LLC     2,210,656       (2,210,656 )                  
Bank of America NA     1,433,469       (1,433,469 )                  
    $ 14,246,455     $ (4,175,175 )   $     $ (10,071,280 )   $  

 

(1) Purchased swaption contracts are included in Investments within the Statement of Assets and Liabilities.
(2) The actual collateral received and/or pledged may be more than amount shown.

 

Fund   Gross Amounts of
Assets Presented
in the Statement
of Assets and
Liabilities
  Financial
Instruments
and Derivatives
Available for Offset
    Collateral
Received(1) 
    Non-Cash Collateral
Pledged(1) 
    Net Amount of
Derivatives
Assets
 
Simplify Market Neutral Equity Long/Short ETF                                        
Goldman Sachs International   $     $     $     $     $  
Morgan Stanley Capital Services LLC     6,117       (6,117 )                  
Bank of America NA                              
    $ 6,117     $ (6,117 )   $     $     $  

 

(1) The actual collateral received and/or pledged may be more than amount shown.

 

166

 

 

Simplify Exchange Traded Funds

Notes to Financial Statements (Continued)

June 30, 2023

 

 

Fund   Gross Amounts of
Liabilities Presented
in the Statements
of Assets and
Liabilities
    Financial
Instruments
and Derivatives
Available for Offset
    Cash
Collateral
Pledged(1) 
    Non-Cash Collateral
Pledged(1) 
    Net Amount of
Derivatives
Liabilities
 
Simplify Market Neutral Equity Long/Short ETF                                        
Goldman Sachs International   $     $     $     $     $  
Morgan Stanley Capital Services LLC     (12,006 )     6,117                   (5,889 )
Bank of America NA                              
    $ (12,006 )   $ 6,117     $     $     $ (5,889 )

 

(1) The actual collateral received and/or pledged may be more than amount shown.

 

Reverse repurchase agreements are executed under standardized netting agreements. A netting arrangement creates an enforceable right of set-off that becomes effective, and affects the realization of settlement on individual assets, liabilities and collateral amounts, only following a specified event of default or early termination. Default events may include the failure to make payments or deliver securities timely, material adverse changes in financial condition or insolvency, the breach of minimum regulatory capital requirements, or loss of license, charter or other legal authorization necessary to perform under the contract. These agreements mitigate counterparty credit risk by providing for a single net settlement with a counterparty of all financial transactions covered by the agreement in an event of default as defined under such agreement.

 

Offsetting of Reverse Repurchase Agreements Liabilities

 

Simplify Bitcoin Strategy PLUS Income ETF  
    Gross Amounts of     Gross Amounts
Offset in the
Consolidated
Statements of
    Net Amounts
Presented in the
Consolidated
Statements of
    Gross Amounts Not Offset in the Statements of
Assets and Liabilities
 
    Recognized
Liabilities
    Assets and
Liabilities
    Assets and
Liabilities
    Financial
Instruments(a)
    Collateral
Pledged(a)
    Net Amount
Payable
 
Reverse Repurchase Agreements   $ 59,971,951     $     $ 59,971,951     $ 59,971,951     $ 59,971,951     $  

 

(a) These amounts are limited to the derivatives asset/liability balance and, accordingly, do not include excess collateral received/pledged.

 

Offsetting of Reverse Repurchase Agreements Liabilities

 

Simplify Volatility Premium ETF  
    Gross Amounts of     Gross Amounts
Offset in the
Consolidated
Statements of
    Net Amounts
Presented in the
Consolidated
Statements of
    Gross Amounts Not Offset in the Statements of
Assets and Liabilities
 
    Recognized
Liabilities
    Assets and
Liabilities
    Assets and
Liabilities
    Financial
Instruments(a)
    Collateral
Pledged(a)
    Net Amount
Payable
 
Reverse Repurchase Agreements   $ 144,536,933     $     $ 144,536,933     $ 144,536,933     $ 144,536,933     $  

 

(a) These amounts are limited to the derivatives asset/liability balance and, accordingly, do not include excess collateral received/pledged.

 

5. Reverse Repurchase Agreements

 

Reverse repurchase agreements involve the sale of securities held by the Simplify Bitcoin Strategy PLUS Income ETF and Simplify Volatility Premium ETF with an agreement to repurchase the securities at an agreed-upon price, date and interest payment. The Funds may borrow for investment purposes indirectly using reverse repurchase agreements. Cash received in exchange for securities delivered

 

167

 

 

Simplify Exchange Traded Funds

Notes to Financial Statements (Continued)

June 30, 2023

 

 

plus accrued interest payments to be made by the Funds to counterparties are reflected as a liability on the Consolidated Statement of Assets and Liabilities. Interest payments made by the Funds to counterparties are recorded as a component of interest expense on each Fund’s Consolidated Statement of Operations. Borrowing may cause the Funds to liquidate positions under adverse market conditions to satisfy its repayment obligations. The use of reverse repurchase agreements involves risks that are different from those associated with ordinary portfolio securities transactions. The Funds are subject to credit risk (i.e., the risk that a counterparty is or is perceived to be unwilling or unable to meet its contractual obligations) with respect to the security it expects to receive back from a counterparty. If a counterparty becomes bankrupt or fails to perform its obligations, or if any collateral posted by the counterparty for the benefit of the Funds is insufficient or there are delays in the Funds’ ability to access such collateral, the value of an investment in the Funds may decline. For the period ended June 30, 2023, the average amount of reverse repurchase agreements outstanding and the daily weighted average interest rate for the Simplify Bitcoin Strategy PLUS Income ETF and Simplify Volatility Premium ETF were $21,236,804 and 4.68%, and $34,931,733 and 3.08%, respectively.

 

The following table indicates the total amount of reverse repurchased agreements, including accrued interest, reconciled to the Simplify Bitcoin Strategy PLUS Income ETF liability as of June 30, 2023:

 

    Less than
30 days
    30-90 days     Greater than
90 days
    Total  
U.S. Government Obligations   $     $     $ 59,971,951     $ 59,971,951  

 

The following table indicates the total amount of reverse repurchased agreements, including accrued interest, reconciled to the Simplify Volatility Premium ETF liability as of June 30, 2023:

 

    Less than
30 days
    30-90 days     Greater than
90 days
    Total  
U.S. Government Obligations   $     $     $ 144,536,933     $ 144,536,933  

 

6. Investment Advisory Agreement and Other Agreements

 

The Adviser has overall responsibility for the general management and administration of the Funds, subject to the oversight of the Board. Under an investment advisory agreement between the Trust, on behalf of the Funds, and the Adviser (the “Investment Advisory Agreement”), the Adviser is responsible for arranging sub-advisory, transfer agency, custody, fund administration, and all other non-distribution related services for the Funds to operate.

 

Volt Equity LLC (the “Sub-Adviser”) serves as investment sub-adviser to Simplify Volt Cloud and Cybersecurity Disruption ETF and Simplify Volt RoboCar Disruption and Tech ETF. The Sub-Adviser is responsible for day-to-day management of these Funds, subject to supervision of the Adviser. Altis Partners (Jersey) Limited (the “Futures Adviser”) serves as the futures adviser to the Simplify Managed Futures Strategy ETF. Subject to the oversight of the Board and Adviser, the Futures Adviser is responsible for management of the Simplify Managed Futures Strategy ETF’s portfolio. The Futures Adviser was established for the purpose of advising futures strategies. The Futures Adviser is paid by the Adviser, not the Fund.

 

For its investment advisory services to the Funds below, the Adviser was entitled to receive a management fee based on each Fund’s average daily net assets, computed and accrued daily and payable monthly, at an annual rate equal to:

 

Fund   Management
Fee
 
Simplify Aggregate Bond PLUS Credit Hedge ETF     0.50 %
Simplify Developed Ex-US PLUS Downside Convexity ETF     0.50 %
Simplify Emerging Markets Equity PLUS Downside Convexity ETF     0.50 %
Simplify Enhanced Income ETF     0.50 %
Simplify Health Care ETF     0.50 %
Simplify Hedged Equity ETF     0.50 %
Simplify High Yield PLUS Credit Hedge ETF     0.50 %
Simplify Interest Rate Hedge ETF     0.50 %
Simplify Intermediate Term Treasury Futures Strategy ETF     0.25 %
Simplify Market Neutral Equity Long Short ETF     1.00 %
Simplify Opportunistic Income ETF     0.95 %
Simplify Propel Opportunities ETF     2.75 %
Simplify Short Term Treasury Futures Strategy ETF     0.25 %
Simplify Stable Income ETF     0.35 %
Simplify Tail Risk Strategy ETF     0.75 %
Simplify US Equity PLUS Convexity ETF     0.50 %
Simplify US Small Cap PLUS Downside Convexity ETF     0.50 %
Simplify US Equity PLUS GBTC ETF     0.50 %
Simplify US Equity PLUS Upside Convexity ETF     0.50 %
Simplify Volt RoboCar Disruption and Tech ETF     0.95 %

 

168

 

 

Simplify Exchange Traded Funds

Notes to Financial Statements (Continued)

June 30, 2023

 

 

Fund   Management
Fee
 
Simplify Bitcoin Strategy Plus Income ETF     0.85 %
Simplify Commodities Strategy No K-1 ETF     0.75 %
Simplify Macro Strategy ETF     0.75 %
Simplify Managed Futures Strategy ETF     0.75 %
Simplify Volatility Premium ETF     0.50 %

 

The Adviser for the Funds below has contractually agreed, until at least October 31, 2023, to waive its management fees and/or pay or absorb each Fund’s expenses, in order to limit the amount of “Specified Expenses” borne by each Fund to 0.25% of the Fund’s average daily net assets. “Specified Expenses” means all ordinary operating expenses of the Fund, except for interest expenses, taxes, brokerage expenses, Rule 12b-1 fees (if any), acquired fund fees and expenses, and expenses incidental to a meeting of the Fund’s shareholders. The agreement may only be terminated by the Board on 60 days’ written notice to the Adviser. For the year/period ended June 30, 2023, the Adviser waived expenses of the Funds as follows:

 

Fund   Expenses
Waived
 
Simplify Aggregate Bond PLUS Credit Hedge ETF   $ 9,735  
Simplify High Yield PLUS Credit Hedge ETF     109,850  
Simplify US Equity PLUS Convexity ETF     164,774  
Simplify US Equity PLUS Downside Convexity ETF     695,218  
Simplify US Equity PLUS Upside Convexity ETF     27,233  

 

The Adviser for the Funds below has contractually agreed, until at least October 30, 2023, to waive its management fees and/or pay or absorb each Fund’s expenses, in order to limit the amount of “Specified Expenses” borne by each Fund to 0.25% of the Fund’s average daily net assets. “Specified Expenses” means all ordinary operating expenses of the Fund, except for interest expenses, taxes, brokerage expenses, Rule 12b-1 fees (if any), acquired fund fees and expenses, and expenses incidental to a meeting of the Fund’s shareholders. The agreement may only be terminated by the Board on 60 days’ written notice to the Adviser. For the period ended June 30, 2023, the Adviser waived expenses of the Fund as follows:

 

Fund   Expenses
Waived
 
Simplify Developed Ex-US PLUS Downside Convexity ETF   $ 54,550  
Simplify Emerging Markets Equity PLUS Downside Convexity ETF     15,011  

 

The Adviser for the Fund below has contractually agreed, until at least October 31, 2023, to waive its management fees and/or pay or absorb each Fund’s expenses, in order to limit the amount of “Specified Expenses” borne by each Fund to 0.15% of the Fund’s average daily net assets. “Specified Expenses” means all ordinary operating expenses of the Fund, except for interest expenses, taxes, brokerage expenses, Rule 12b-1 fees (if any), acquired fund fees and expenses, and expenses incidental to a meeting of the Fund’s shareholders. The agreement may only be terminated by the Board on 60 days’ written notice to the Adviser. For the period ended June 30, 2023, the Adviser waived expenses of the Fund as follows:

 

Fund   Expenses
Waived
 
Simplify Intermediate Term Treasury Futures Strategy ETF   $ 42,464  
Simplify Short Term Treasury Futures Strategy ETF     84,563  

 

The Adviser for the Fund below has contractually agreed, until at least October 31, 2023, to waive its management fees and/or pay or absorb each Fund’s expenses, in order to limit the amount of “Specified Expenses” borne by each Fund to 0.50% of the Fund’s average daily net assets. “Specified Expenses” means all ordinary operating expenses of the Fund, except for interest expenses, taxes, brokerage expenses, Rule 12b-1 fees (if any), non-affiliated acquired fund fees and expenses, and expenses incidental to a meeting of the Fund’s shareholders. The agreement may only be terminated by the Board on 60 days’ written notice to the Adviser. For the period ended June 30, 2023, the Adviser waived expenses of the Fund as follows:

 

Fund   Expenses
Waived
 
Simplify Tail Risk Strategy ETF   $ 105,825  

 

The Adviser has agreed to waive a portion of its management fee earned by investing a Fund’s assets invested in an affiliated fund. The affiliated funds fee waivers are not subject to recoupment. For the period ended June 30, 2023, the affiliated funds fees waived by the Adviser are as follows:

 

Fund   Affiliated Fees
Waived
 
Simplify Tail Risk Strategy ETF   $ 106,121  

 

169

 

 

Simplify Exchange Traded Funds

Notes to Financial Statements (Continued)

June 30, 2023

 

 

Fund   Affiliated Fees
Waived
 
Simplify Macro Strategy ETF   $ 33,610  

 

For Simplify Opportunistic Income ETF, the Adviser has contractually agreed to waive its fee payable under the management agreement by 0.45% until 1-year from Fund launch. This agreement may be terminated only by the Board of Trustees on 60 days’ written notice to the Adviser. For the period ended June 30, 2023, the Adviser waived expenses of $924.

 

For Simplify Propel Opportunities ETF, the Adviser and Sub-Adviser have collectively agreed to waive 0.25% of the management and sub advisory fee on an annualized basis through December 31, 2023. This waiver may be terminated by the Fund’s Board of Trustees on 60 days’ notice and terminates automatically if the management agreement or sub-advisory agreement is terminated. For the period ended June 30, 2023, the Adviser waived expenses of $65,312.

 

The Adviser may recoup from a Fund fees previously waived or expenses previously reimbursed by the Adviser with respect to that Fund pursuant to these agreements (or a previous expense limitation agreement) if: (1) such recoupment by the Adviser does not cause the Fund, at the time of recoupment, to exceed the lesser of (a) the expense limitation in effect at the time the relevant amount was waived and/or reimbursed, or (b) the expense limitation in effect at the time of the proposed recoupment, and (2) the recoupment is made within three years after the fiscal year end date as of which the amount to be waived or reimbursed was determined and the waiver or reimbursement occurred. As of June 30, 2023, the Adviser may potentially recoup the following amounts from the Funds listed below:

 

    Expires June 30,  
Fund   2024     2025     2026  
Simplify Aggregate Bond PLUS Credit Hedge ETF   $     $ 1,118     $ 9,126  
Simplify Developed Ex-US PLUS Downside Convexity ETF           32,273       54,550  
Simplify Emerging Markets Equity PLUS Downside Convexity ETF           6,864       15,011  
Simplify High Yield PLUS Credit Hedge ETF           21,199       109,850  
Simplify Intermediate Term Treasury Futures Strategy ETF     3,785       24,822       42,464  
Simplify Short Term Treasury Futures Strategy ETF                 84,563  
Simplify Tail Risk Strategy ETF           104,956       105,825  
Simplify US Equity PLUS Convexity ETF     134,087       240,785       164,774  
Simplify US Equity PLUS Downside Convexity ETF     164,985       985,654       695,218  
Simplify US Equity PLUS Upside Convexity ETF     11,984       33,708       27,233  
Simplify Macro Strategy ETF                 57,876  

 

Under the Investment Advisory Agreement, the Adviser has agreed to pay all expenses of each Fund except for the management fee, interest, taxes, brokerage commissions and other expenses incurred in placing orders for the purchase and sale of securities and other investment instruments, acquired fund fees and expenses, accrued deferred tax liability, extraordinary expenses, and distribution fees and expenses paid by the Trust under any distribution plan adopted pursuant to Rule 12b-1 under the 1940 Act.

 

The Board has adopted a Distribution and Service Plan pursuant to Rule 12b-1 under the 1940 Act. In accordance with its Rule 12b- 1 plan, each Fund is authorized to pay an amount up to 0.25% of its average daily net assets each year to finance activities primarily intended to result in the sale of Creation Units of the Fund or the provision of investor services. No Rule 12b-1 fees are currently paid by the Funds and there are no plans to impose these fees. However, in the event Rule 12b-1 fees are charged in the future, they will be paid out of the Fund’s assets, and directly impact the NAV per share of each Fund.

 

The Bank of New York Mellon, a wholly-owned subsidiary of The Bank of New York Mellon Corporation, serves as Administrator, Custodian, Accounting Agent and Transfer Agent for each Fund.

 

Foreside Financial Services, LLC (the “Distributor”) serves as the distributor of Creation Units for each Fund on an agency basis. The Distributor does not maintain a secondary market in shares of a Fund. Foreside Fund Officer Services, LLC a related party to the Distributor also serves as the Trust’s Compliance Officer.

 

A Trustee and certain Officers of the Trust are also employees of the Adviser and/or the Distributor.

 

7. Investment Transactions

 

Purchases and sales of securities, other than short-term securities, U.S. Government Securities and in-kind transactions were as follows:

 

Fund   Purchases     Sales  
Simplify Aggregate Bond PLUS Credit Hedge ETF   $ 15,502,928     $ 12,018,748  
Simplify Developed Ex-US PLUS Downside Convexity ETF           1,921,199  
Simplify Emerging Markets Equity PLUS Downside Convexity ETF           577,580  
Simplify Enhanced Income ETF            
Simplify Health Care ETF     58,471,288       59,307,333  
Simplify Hedged Equity ETF     9,013,584       8,492,972  
Simplify High Yield PLUS Credit Hedge ETF           408,795  

 

170

 

 

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Notes to Financial Statements (Continued)

June 30, 2023

 

 

Fund   Purchases     Sales  
Simplify Interest Rate Hedge ETF   $     $  
Simplify Intermediate Term Treasury Futures Strategy ETF            
Simplify Market Neutral Equity Long/Short ETF            
Simplify Opportunistic Income ETF     592,000        
Simplify Propel Opportunity ETF     26,720,036       30,823,795  
Simplify Short Term Treasury Futures Strategy ETF            
Simplify Stable Income ETF            
Simplify Tail Risk Strategy ETF     26,586,712       72,078,995  
Simplify US Equity PLUS Convexity ETF     499,554       4,064,841  
Simplify US Equity PLUS Downside Convexity ETF     1,173,842       36,958,657  
Simplify US Equity PLUS GBTC ETF     2,605,584       2,385,927  
Simplify US Equity PLUS Upside Convexity ETF     424       430,795  
Simplify Volt RoboCar Disruption and Tech ETF     8,553,369       8,080,987  
Simplify Bitcoin Strategy PLUS Income ETF     13,930,614       14,973,558  
Simplify Commodities Strategy No K-1 ETF            
Simplify Macro Strategy ETF     34,719,804       17,263,202  
Simplify Managed Futures Strategy ETF            
Simplify Volatility Premium ETF     56,525,315       56,754,151  

 

Securities received and delivered in-kind through subscriptions and redemptions were as follows:

 

Fund   Purchases     Sales  
Simplify Aggregate Bond PLUS Credit Hedge ETF   $ 4,056,413     $ 1,052,605  
Simplify Developed Ex-US PLUS Downside Convexity ETF     14,834,611       18,075,384  
Simplify Emerging Markets Equity PLUS Downside Convexity ETF     1,377,198       4,003,523  
Simplify Enhanced Income ETF            
Simplify Health Care ETF     94,053,129       70,717,770  
Simplify Hedged Equity ETF     112,915,023       55,682,879  
Simplify High Yield PLUS Credit Hedge ETF     299,342        
Simplify Interest Rate Hedge ETF     3,304,321        
Simplify Intermediate Term Treasury Futures Strategy ETF            
Simplify Market Neutral Equity Long/Short ETF            
Simplify Opportunistic Income ETF            
Simplify Propel Opportunity ETF     103,369,372       15,792,705  
Simplify Short Term Treasury Futures Strategy ETF            
Simplify Stable Income ETF            
Simplify Tail Risk Strategy ETF     25,058,128       52,910,571  
Simplify US Equity PLUS Convexity ETF     66,467,633       61,334,776  
Simplify US Equity PLUS Downside Convexity ETF     88,787,309       396,567,126  
Simplify US Equity PLUS GBTC ETF     1,763,325       81,215,392  
Simplify US Equity PLUS Upside Convexity ETF     3,314,646       8,052,374  
Simplify Volt RoboCar Disruption and Tech ETF     439,044       324,316  
Simplify Bitcoin Strategy Plus Income ETF            
Simplify Commodities Strategy No K-1 ETF            
Simplify Macro Strategy ETF     24,993,938       4,692,848  
Simplify Managed Futures Strategy ETF            
Simplify Volatility Premium ETF            

 

Purchases and sales of long term U.S. Government Securities were as follows:

 

Fund   Purchases     Sales  
Simplify Interest Rate Hedge ETF   $ 163,597,018     $ 181,832,413  
Simplify Volatility Premium ETF     126,375,899       220,722,957  

 

8. Fund Share Transactions

 

The Funds issue and redeem Shares at NAV only in large blocks of 25,000 Shares (each block of Shares is called a “Creation Unit”). Creation Units are issued and redeemed primarily in-kind for securities but may include cash. Individual Shares may only be purchased and sold in secondary market transactions through brokers. Except when aggregated in Creation Units in transactions with Authorized Participants, the Shares are not redeemable securities of the Fund.

 

Fund Shares are listed and traded on the Exchange on each day that the Exchange is open for business (“Business Day”). Each Fund’s Shares may only be purchased and sold on the Exchange through a broker-dealer. Because each Fund’s Shares trade at market prices rather than at their NAV, Shares may trade at a price equal to the NAV, greater than NAV (premium) or less than NAV (discount).

 

Authorized participants pay a fixed transaction fee of $500 to the shareholder servicing agent when purchasing and redeeming Creation Units of a Fund. The transaction fee is used to defray the costs associated with the issuance and redemption of Creation Units. In addition

 

171

 

 

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Notes to Financial Statements (Continued)

June 30, 2023

 

 

to the fixed transaction fee, the Funds may charge an additional maximum 3% of the amount invested variable fee for creations and redemptions in cash, to offset brokerage and impact expenses associated with a cash transaction.

 

9. Federal Income Taxes

 

For the year/period ended June 30, 2023, the effect of permanent “book/tax” reclassifications to the components of net assets are included below. These differences are primarily due to redemptions-in-kind, non-deductible excise tax paid, prior year true ups, distributions in excess, return of capital distributions, and controlled foreign corporations income reversal.

 

Fund   Distributable
earnings (loss)
    Paid-in
Capital
 
Simplify Aggregate Bond PLUS Credit Hedge ETF   $ 46,646     $ (46,646 )
Simplify Developed Ex-US PLUS Downside Convexity ETF     350,094       (350,094 )
Simplify Emerging Markets Equity PLUS Downside Convexity ETF     260,459       (260,459 )
Simplify Enhanced Income ETF            
Simplify Health Care ETF     (1,892,986 )     1,892,986  
Simplify Hedged Equity ETF     (2,355,239 )     2,355,239  
Simplify High Yield PLUS Credit Hedge ETF            
Simplify Interest Rate Hedge ETF            
Simplify Intermediate Term Treasury Futures Strategy ETF            
Simplify Market Neutral Equity Long/Short ETF     2,550       (2,550 )
Simplify Opportunistic Income ETF            
Simplify Propel Opportunities ETF     3,507,147       (3,507,147 )
Simplify Short Term Treasury Futures Strategy ETF     1,947       (1,947 )
Simplify Stable Income ETF            
Simplify Tail Risk Strategy ETF     4,551,971       (4,551,971 )
Simplify US Equity PLUS Convexity ETF     147,380       (147,380 )
Simplify US Equity PLUS Downside Convexity ETF     30,065,647       (30,065,647 )
Simplify US Equity PLUS GBTC ETF     10,312,694       (10,312,694 )
Simplify US Equity PLUS Upside Convexity ETF     (41,011 )     41,011  
Simplify Volt RoboCar Disruption and Tech ETF     67,316       (67,316 )
Simplify Bitcoin Strategy PLUS Income ETF     250,679       (250,679 )
Simplify Commodities Strategy No K-1 ETF     160,278       (160,278 )
Simplify Macro Strategy ETF     (90,579 )     90,579  
Simplify Managed Futures Strategy ETF     31,897,190       (31,897,190 )
Simplify Volatility Premium ETF     4,281,731       (4,281,731 )

 

The tax character of dividends and distributions declared for the year/period ended June 30, 2023 were as follows:

 

Fund   Ordinary
Income*
    Long -Term
Capital Gains
    Return of
Capital
 
Simplify Aggregate Bond PLUS Credit Hedge ETF   $ 193,442     $     $ 98,448  
Simplify Developed Ex-US PLUS Downside Convexity ETF     451,205              
Simplify Emerging Markets Equity PLUS Downside Convexity ETF     88,043              
Simplify Enhanced Income ETF     450,816       2,225        
Simplify Health Care ETF     399,848              
Simplify Hedged Equity ETF     2,448,208       1,980,761        
Simplify High Yield PLUS Credit Hedge ETF     2,959,704             708,226  
Simplify Interest Rate Hedge ETF     3,979,978              
Simplify Intermediate Term Treasury Futures Strategy ETF     1,438,455              
Simplify Propel Opportunities ETF     3,107,601             2,920,001  
Simplify Short Term Treasury Futures Strategy ETF     4,542,976              
Simplify Stable Income ETF     257,816       535        
Simplify Tail Risk Strategy ETF     2,839,722              

 

172

 

 

Simplify Exchange Traded Funds

Notes to Financial Statements (Continued)

June 30, 2023

 

 

Fund   Ordinary
Income*
    Long -Term
Capital Gains
    Return of
Capital
 
Simplify US Equity PLUS Convexity ETF   $ 890,883     $     $  
Simplify US Equity PLUS Downside Convexity ETF     3,166,409              
Simplify US Equity PLUS GBTC ETF     94,553             174,233  
Simplify US Equity PLUS Upside Convexity ETF     113,758              
Simplify Bitcoin Strategy PLUS Income ETF     1,171,779       26,396        
Simplify Commodities Strategy No K-1 ETF     25,000              
Simplify Macro Strategy ETF     1,363,559              
Simplify Managed Futures Strategy ETF     6,630,857       4,136,275        
Simplify Volatility Premium ETF     28,995,598              

 

* For tax purposes short-term capital gain distributions are considered ordinary income distributions.

 

The tax character of dividends and distributions declared for the year/period ended June 30, 2022 were as follows:

 

Fund   Ordinary
Income*
    Long -Term
Capital Gains
    Return of
Capital
 
Simplify Aggregate Bond PLUS Credit Hedge ETF   $ 6,769     $     $  
Simplify Developed Ex-US PLUS Downside Convexity ETF     383,771              
Simplify Emerging Markets Equity PLUS Downside Convexity ETF     84,731              
Simplify Health Care ETF     85,814              
Simplify Hedged Equity ETF     163,205              
Simplify High Yield PLUS Credit Hedge ETF     267,687             128,698  
Simplify Interest Rate Hedge ETF     40,085              
Simplify Intermediate Term Treasury Futures Strategy ETF     204,525              
Simplify Tail Risk Strategy ETF     962,486             2,924,115  
Simplify US Equity PLUS Convexity ETF     1,474,658              
Simplify US Equity PLUS Downside Convexity ETF     5,375,711              
Simplify US Equity PLUS GBTC ETF     1,475,693       866,405        
Simplify US Equity PLUS Upside Convexity ETF     298,034       124,394        
Simplify Volt RoboCar Disruption and Tech ETF     18,979             12,160  
Simplify Macro Strategy ETF     2,773              
Simplify Volatility Premium ETF     123,628             11,320,688  

 

* For tax purposes short-term capital gain distributions are considered ordinary income distributions.

 

As of June 30, 2023, the components of accumulated earnings (losses) on a tax basis were as follows:

 

Fund   Undistributed
Ordinary
Income
    Undistributed
Long-term
Capital Gains
    Temporary
Book/Tax
Differences(a) 
    Net Unrealized
Appreciation
(Depreciation)
    Accumulated
Capital and
Other Losses
    Post-October
/ Late-year
Ordinary Loss
Deferrals
    Distributable
earnings (loss)
 
Simplify Aggregate Bond PLUS Credit Hedge ETF   $     $     $ (100,000 )   $ (99,623 )   $ (29,231 )   $     $ (228,854 )
Simplify Developed Ex-US PLUS Downside Convexity ETF     367,592             (365,500 )     (1,137,755 )     (3,606,560 )           (4,742,223 )
Simplify Emerging Markets Equity PLUS Downside Convexity ETF     30,184             (29,250 )     (664,768 )     (1,101,655 )           (1,765,489 )
Simplify Enhanced Income ETF     25,759       78,639       (135,000 )     1,947                   (28,655 )
Simplify Health Care ETF     232,857             (269,750 )     446,286       (6,677,297 )           (6,267,904 )
Simplify Hedged Equity ETF     1,643,338       2,291,888       (9,417,585 )     7,685,052                   2,202,693  
Simplify High Yield PLUS Credit Hedge ETF                 (207,500 )     (66,514 )     (3,699,924 )           (3,973,938 )
Simplify Interest Rate Hedge ETF     20,366,880       72,949,145       (342,500 )     (7,064,485 )                 85,909,040  
Simplify Intermediate Term Treasury Futures Strategy ETF     86,678             (180,000 )     10,916       (20,691,088 )           (20,773,494 )
Simplify Market Neutral Equity Long/Short ETF                       2,860       (84,475 )           (81,615 )

 

173

 

 

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Notes to Financial Statements (Continued)

June 30, 2023

 

 

Fund   Undistributed
Ordinary
Income
    Undistributed
Long-term
Capital Gains
    Temporary
Book/Tax
Differences(a) 
    Net Unrealized
Appreciation
(Depreciation)
    Accumulated
Capital and
Other Losses
    Post-October
/ Late-year
Ordinary Loss
Deferrals
    Distributable
earnings (loss)
 
Simplify Opportunistic Income ETF   $ 9,278     $     $     $ 6,511     $     $     $ 15,789  
Simplify Propel Opportunities ETF                 (3,107,601 )     (956,180 )     (239,275 )           (4,303,056 )
Simplify Short Term Treasury Futures Strategy ETF     1,100,542             (2,080,000 )     116,792             (27,242,591)       (28,105,257 )
Simplify Stable Income ETF     45,494       13,287       (57,500 )     3,746                   5,027  
Simplify Tail Risk Strategy ETF     155,720             (114,000 )     (786,618 )     (51,109,003 )           (51,853,901 )
Simplify US Equity PLUS Convexity ETF     479,937             (3,915,228 )     2,826,431       (3,376,519 )           (3,985,379 )
Simplify US Equity PLUS Downside Convexity ETF     835,615             (813,750 )     (3,887,073 )     (52,599,076 )           (56,464,284 )
Simplify US Equity PLUS GBTC ETF                 (27,500 )     148,049       (4,837,871 )           (4,717,322 )
Simplify US Equity PLUS Upside Convexity ETF     53,001             (52,250 )     (160,276 )     (899,978 )           (1,059,503 )
Simplify Volt RoboCar Disruption and Tech ETF                       (2,636 )     (4,455,172 )           (4,457,808 )
Simplify Bitcoin Strategy PLUS Income ETF     7,512,008       157,958       (207,000 )     278,843                   7,741,809  
Simplify Commodities Strategy No K-1 ETF     27,288             (25,000 )     7,132       (135 )           9,285  
Simplify Macro Strategy ETF     335,393             (152,250 )     (465,621 )     (1,448,734 )           (1,731,212 )
Simplify Managed Futures Strategy ETF     2,663,160       2,568,845       (490,000 )     1,378,791                   6,120,796  
Simplify Volatility Premium ETF     16,274,496             (4,368,000 )     3,888,527       (4,391,919 )           11,403,104  

 

(a) The temporary book/tax differences was attributable primarily dividend payable, straddles deferral and Subpart F income.

 

At June 30, 2023, gross unrealized appreciation and depreciation of investments owned by each Fund, based on cost for federal income tax purposes were as follows:

 

Fund   Tax Cost     Gross
Unrealized
Appreciation
    Gross
Unrealized
Depreciation
    Net
Unrealized
Appreciation
(Depreciation)
 
Simplify Aggregate Bond PLUS Credit Hedge ETF   $ 11,541,489     $ 1,098,960     $ (1,198,583 )   $ (99,623 )
Simplify Developed Ex-US PLUS Downside Convexity ETF     18,384,609       63,976       (1,201,731 )     (1,137,755 )
Simplify Emerging Markets Equity PLUS Downside Convexity ETF     4,775,792       17,060       (681,828 )     (664,768 )
Simplify Enhanced Income ETF     25,301,853       3,014       (1,067 )     1,947  
Simplify Health Care ETF     56,997,284       3,021,147       (2,574,861 )     446,286  
Simplify Hedged Equity ETF     102,241,918       8,503,481       (818,429 )     7,685,052  
Simplify High Yield PLUS Credit Hedge ETF     45,187,059       72,544,398       (72,610,912 )     (66,514 )
Simplify Interest Rate Hedge ETF     220,041,108       7,721,693       (14,786,178 )     (7,064,485 )
Simplify Intermediate Term Treasury Futures Strategy ETF     53,164,062       11,539       (623 )     10,916  
Simplify Market Neutral Equity Long/Short ETF     4,338,348       17,538,680       (17,535,820 )     2,860  
Simplify Opportunistic Income ETF     35,769,828       7,843       (1,332 )     6,511  
Simplify Propel Opportunities ETF     102,149,002       19,077,435       (20,033,615 )     (956,180 )
Simplify Short Term Treasury Futures Strategy ETF     526,129,282       118,744       (1,952 )     116,792  
Simplify Stable Income ETF     14,272,686       3,746             3,746  
Simplify Tail Risk Strategy ETF     19,020,084       583,342       (1,369,960 )     (786,618 )
Simplify US Equity PLUS Convexity ETF     71,188,262       3,307,507       (481,076 )     2,826,431  
Simplify US Equity PLUS Downside Convexity ETF     120,116,124       701,473       (4,588,546 )     (3,887,073 )
Simplify US Equity PLUS GBTC ETF     8,166,471       280,139       (132,090 )     148,049  
Simplify US Equity PLUS Upside Convexity ETF     8,664,895             (160,276 )     (160,276 )
Simplify Volt RoboCar Disruption and Tech ETF     4,316,937       583,015       (585,651 )     (2,636 )
Simplify Bitcoin Strategy PLUS Income ETF     65,379,819       278,853       (10 )     278,843  
Simplify Commodities Strategy No K-1 ETF     5,424,309       48,143       (41,011 )     7,132  
Simplify Macro Strategy ETF     52,055,145       2,306,764       (2,772,385 )     (465,621 )
Simplify Managed Futures Strategy ETF     108,362,041       2,035,201       (659,483 )     1,378,791  

 

174

 

 

Simplify Exchange Traded Funds

Notes to Financial Statements (Continued)

June 30, 2023

 

 

Fund   Tax Cost     Gross
Unrealized
Appreciation
    Gross
Unrealized
Depreciation
    Net
Unrealized
Appreciation
(Depreciation)
 
Simplify Volatility Premium ETF   $ 311,838,582     $ 4,494,032     $ (605,505 )   $ 3,888,527  

 

The differences between book-basis and tax-basis components of net assets are primarily attributable to the tax deferral of losses on wash sales, grantor trust adjustments, section 1256 mark-to-market treatment of derivatives and return of capital basis adjustments from underlying investments.

 

The following Funds utilized capital loss carryforwards to offset taxable gains realized during the year ended June 30, 2023:

 

Fund   Amount  
Simplify Interest Rate Hedge ETF   $ 3,805,662  
Simplify Managed Futures Strategy ETF     337,047  

 

At June 30, 2023, for federal income tax purposes, the Funds had capital loss carryforwards available as shown in the table below, to the extent provided by regulations, to offset future capital gains for an unlimited period. To the extent that these capital loss carryforwards are used to offset future capital gains, it is probable that the capital gains so offset will not be distributed to shareholders.

 

Fund   Short-Term     Long-Term     Total Amount  
Simplify Aggregate Bond PLUS Credit Hedge ETF   $     $ 29,231     $ 29,231  
Simplify Developed Ex-US PLUS Downside Convexity ETF     2,597,420       1,009,140       3,606,560  
Simplify Emerging Markets Equity PLUS Downside Convexity ETF     797,624       304,031       1,101,655  
Simplify Health Care ETF     5,821,502       855,795       6,677,297  
Simplify High Yield PLUS Credit Hedge ETF     3,340,554       359,370       3,699,924  
Simplify Intermediate Term Treasury Futures Strategy ETF     9,304,629       11,386,459       20,691,088  
Simplify Market Neutral Equity Long/Short ETF     84,475             84,475  
Simplify Propel Opportunities ETF     6,051       233,224       239,275  
Simplify Tail Risk Strategy ETF     31,935,804       19,173,199       51,109,003  
Simplify US Equity PLUS Convexity ETF     2,320,987       1,055,532       3,376,519  
Simplify US Equity PLUS Downside Convexity ETF     33,960,066       18,639,010       52,599,076  
Simplify US Equity PLUS GBTC ETF     2,154,588       2,683,283       4,837,871  
Simplify US Equity PLUS Upside Convexity ETF     351,002       548,976       899,978  
Simplify Volt RoboCar Disruption and Tech ETF     4,169,739       285,433       4,455,172  
Simplify Commodities Strategy No K-1 ETF     135             135  
Simplify Macro Strategy ETF     1,259,836       188,898       1,448,734  
Simplify Volatility Premium ETF     4,391,919             4,391,919  

 

Certain capital and qualified late year ordinary losses incurred after October 31 and December 31, respectively, and within the current taxable year, are deemed to arise on the first business day of each Fund’s next taxable year. At June 30 2023, the following Funds incurred and will elect to defer post-October capital losses and late year ordinary losses:

 


Fund
  Capital Post-
October Losses
    Late-year
Ordinary Losses
 
Simplify Short Term Treasury Futures Strategy ETF   $ 27,242,591     $  

 

10. In-Kind Seeding

 

Net assets and other attributes contributed for Simplify Propel Opportunities ETF (SURI) were $60,286,654 in cash and securities at fair market of $71,250,025 and unrealized appreciation of $10,963,371, in exchange for 2,850,001 shares at a NAV of $25 on February 7, 2023. On June 21, 2023, additional net assets and other attributes contributed for Simplify Propel Opportunities ETF (SURI) were $29,722,184 in cash and securities at fair market of $37,751,058 and unrealized appreciation of $8,028,874 in exchange for 1,650,000 shares at a NAV of $22.88. The fair value of assets contributed for Simplify Propel Opportunities ETF (SURI) became the new cost basis for financial reporting purposes.

 

175

 

 

Simplify Exchange Traded Funds

Notes to Financial Statements (Continued)

June 30, 2023

 

 

11. Subsequent Events

 

Management has evaluated subsequent events through the date of issuance of these financial statements and has determined that there are no subsequent events that require adjustment to, or disclosure in, the financial statement.

 

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Report of Independent Registered Public Accounting Firm

 

 

To the Shareholders and Board of Trustees of
Simplify Exchange Traded Funds

 

Opinion on the Financial Statements

 

We have audited the accompanying statements of assets and liabilities or consolidated statements of assets and liabilities, including the schedules of investments or consolidated schedules of investments, of Simplify Exchange Traded Funds comprising the funds listed below (the “Funds”) as of June 30, 2023, the related statements of operations or consolidated statements of operations and cash flows (as applicable), the statements of changes in net assets or consolidated statements of changes in net assets, the related notes, and the financial highlights or consolidated financial highlights for each of the periods indicated below (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of each of the Funds as of June 30, 2023, the results of their operations and cash flows (as applicable), the changes in their net assets, and the financial highlights for each of the periods indicated below in conformity with accounting principles generally accepted in the United States of America.

 

Fund Name

 

Statements of
Operations and Cash Flows
(as applicable)

 

Statements of
Changes in
Net Assets

 

Financial Highlights

Simplify US Equity PLUS Convexity ETF, Simplify US Equity PLUS Downside Convexity ETF, and Simplify US Equity PLUS Upside Convexity ETF

 

For the year ended June 30, 2023

 

For the years ended June 30, 2023 and 2022

  For the years ended June 30, 2023 and 2022, and for the period from September 4, 2020 (commencement of operations) through June 30, 2021

Simplify Volt RoboCar Disruption and Tech ETF

 

For the year ended June 30, 2023

 

For the years ended June 30, 2023 and 2022

  For the years ended June 30, 2023 and 2022, and for the period from December 29, 2020 (commencement of operations) through June 30, 2021

Simplify Interest Rate Hedge ETF

 

For the year ended June 30, 2023

 

For the years ended June 30, 2023 and 2022

  For the years ended June 30, 2023 and 2022, and for the period from May 11, 2021 (commencement of operations) through June 30, 2021

Simplify US Equity PLUS GBTC ETF

 

For the year ended June 30, 2023

 

For the years ended June 30, 2023 and 2022

  For the years ended June 30, 2023 and 2022, and for the period from May 25, 2021 (commencement of operations) through June 30, 2021

Simplify Volatility Premium ETF

 

Consolidated for the year ended June 30, 2023

 

Consolidated for the years ended June 30, 2023 and 2022

  Consolidated for the years ended June 30, 2023 and 2022, and for the period from May 13, 2021 (commencement of operations) through June 30, 2021

Simplify Health Care ETF

 

For the year ended June 30, 2023

  For the year ended June 30, 2023, and for the period from October 8, 2021 (commencement of operations) through June 30, 2022

 

177

 

 

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Report of Independent Registered Public Accounting Firm(Continued)

 

 

Fund Name   Statements of
Operations and Cash Flows
(as applicable)
  Statements of
Changes in
Net Assets
  Financial Highlights

Simplify Developed Ex-US PLUS Downside Convexity ETF and Simplify Emerging Markets Equity PLUS Downside Convexity ETF

 

For the year ended June 30, 2023

 

For the year ended June 30, 2023, and for the period from January 11, 2022 (commencement of operations) through June 30, 2022

Simplify Intermediate Term Treasury Futures Strategy ETF (formerly Simplify Risk Parity Treasury ETF)

 

For the year ended June 30, 2023

 

For the year ended June 30, 2023, and for the period from September 28, 2021 (commencement of operations) through June 30, 2022

Simplify Tail Risk Strategy ETF

 

For the year ended June 30, 2023

 

For the year ended June 30, 2023, and for the period from September 14, 2021 (commencement of operations) through June 30, 2022

Simplify Hedged Equity ETF

 

For the year ended June 30, 2023

 

For the year ended June 30, 2023, and for the period from November 2, 2021 (commencement of operations) through June 30, 2022

Simplify Macro Strategy ETF

 

Consolidated for the year ended June 30, 2023

 

Consolidated for the year ended June 30, 2023, and for the period from May 17, 2022 (commencement of operations) through June 30, 2022

Simplify Aggregate Bond PLUS Credit Hedge ETF and Simplify High Yield PLUS Credit Hedge ETF

 

For the year ended June 30, 2023

 

For the year ended June 30, 2023, and for the period from February 15, 2022 (commencement of operations) through June 30, 2022

Simplify Managed Futures Strategy ETF

 

Consolidated for the year ended June 30, 2023

 

Consolidated for the year ended June 30, 2023, and for the period from March 8, 2022 (commencement of operations) through June 30, 2022

Simplify Short Term Treasury Futures Strategy ETF

 

For the period from November 15, 2022 (commencement of operations) through June 30, 2023

Simplify Enhanced Income ETF and Simplify Stable Income ETF

 

For the period from October 28, 2022 (commencement of operations) through June 30, 2023

Simplify Propel Opportunities ETF

 

For the period from February 8, 2023 (commencement of operations) through June 30, 2023

Simplify Bitcoin Strategy PLUS Income ETF

 

Consolidated statement of operations, statement of changes in net assets, and financial highlights for the period from September 30, 2022 (commencement of operations) through June 30, 2023

Simplify Commodities Strategy No K-1 ETF

 

Consolidated statement of operations, statement of changes in net assets, and financial highlights for the period from March 28, 2023 (commencement of operations) through June 30, 2023

Simplify Market Neutral Equity Long/Short ETF

 

For the period from June 14, 2023 (commencement of operations) through June 30, 2023

Simplify Opportunistic Income ETF

 

For the period from June 27, 2023 (commencement of operations) through June 30, 2023

 

178

 

 

Simplify Exchange Traded Funds

Report of Independent Registered Public Accounting Firm(Continued)

 

 

Basis for Opinion

 

These financial statements are the responsibility of the Funds’ management. Our responsibility is to express an opinion on the Funds’ financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.

 

We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement whether due to error or fraud.

 

Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that our audits provide a reasonable basis for our opinion. We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement whether due to error or fraud.

 

We have served as the Funds’ auditor since 2020.

 

 

COHEN & COMPANY, LTD.
Cleveland, Ohio
August 29, 2023

 

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Trustees and Officers (Unaudited)

 

 

The following is a list of the Trustees and executive officers of the Trust and each person’s principal occupation over the last five years. The business address of each Trustee and Officer is Simplify Exchange Traded Funds 222 Broadway, 22nd Floor, New York, NY 10038. All correspondence to the Trustees and Officers should be directed to c/o Simplify Exchange Traded Funds 222 Broadway, 22nd Floor, New York, NY 10038.

 

Independent Trustees

 

Name and Year of Birth   Position/Term of
Office*
  Principal Occupations
during the Past 5 Years
  Number of
Portfolios
during Fund
Complex**
Overseen by
Trustee
  Other
Directorships Held
during the
Past 5 Years
Christopher Caltagirone
Year of Birth: 1971
  Independent Trustee   Deputy Sheriff, Ravalli County Sheriff’s Department (2019 to Present); Unemployed (2015 to 2019); Portfolio Manager, PIMCO (2006 to 2015)   25   None
Craig Enders
Year of Birth: 1968
  Independent Trustee   Professor, University of California Los Angeles (2015 to Present)   25   None
Zung Nguyen
Year of Birth: 1955
  Independent Trustee   Founder, ZTN Capital Consulting, LLC (2015 to Present)   25   None

 

Interested Trustee and Officers

 

Name and Year of Birth   Position/Term of
Office*
  Principal Occupations
during the Past 5 Years
  Number of
Portfolios
during Fund
Complex**
Overseen by
Trustee
  Other
Directorships Held
during the
Past 5 Years
Paul Kim
Year of Birth: 1977
  Trustee, President and Treasurer since 2020   Co-Founder, Simplify Asset Management Inc. (February 2020 to Present); Managing Director, Principal Global Advisors (2015 to 2020)   25   None
David Berns
Year of Birth: 1978
  Secretary since 2020   Co-Founder, Simplify Asset Management Inc. (February 2020 to Present); CEO, Portfolio Designer, LLC (2019 to Present); Managing Director, Nasdaq (2018 to 2019); CEO, DMB Trading, LLC (2015 to 2018).   N/A   N/A
James Nash
Year of Birth: 1981
  Chief Compliance Officer since 2020   Director, Foreside Financial Group, LLC (2016 to Present); Regulatory Administration Advisor, JP Morgan Chase & Co. (2014 to 2016).   N/A   N/A

 

* The term of office for each Trustee and officer listed above will continue indefinitely until the individual resigns or is removed.
** The term “Fund Complex” applies only to the funds in the Trust.

 

Each Funds’ SAI includes additional information about the Trustees and is available free of charge, upon request, by calling toll-free at 1-855-772-8488.

 

180

 

 

Simplify Exchange Traded Funds

Board Considerations in Approval of Investment Advisory and Sub-Advisory Agreements (Unaudited)

 

 

Simplify Commodities Strategy No K-1 ETF (and subsidiary)

 

In connection with the meeting of the Board of Trustees (the “Board” or “Trustees”) of Simplify Exchange Traded Funds (the “Trust”) held on March 22, 2023 (the “Meeting”), the Trustees, including a majority of the Trustees who are not “interested persons” as that term is defined in the Investment Company Act of 1940, as amended, discussed the approval of an investment advisory agreement between the Simplify Asset Management, Inc. (the “Adviser” or “Simplify”) and the Trust, on behalf of the Commodities Strategy No K-1 ETF (the “Fund” or “New Fund”) and its Cayman subsidiary; and a sub-advisory agreement between Simplify and Altis Partners (Jersey) Limited (the “Sub-Adviser” or “Altis”) with respect to the New Fund.

 

The Trustees reviewed and discussed the materials that were provided in advance of the Meeting and deliberated on the approval of the agreements. The Trustees relied upon the advice of independent legal counsel and their own business judgment in determining the material factors to be considered in evaluating the agreements on behalf of the New Fund and the weight to be given to each factor considered. The conclusions reached by the Trustees were based on a comprehensive evaluation of all of the information provided and were not the result of any one factor. Moreover, each Trustee may have afforded different weight to the various factors in reaching his conclusions with respect to the approval of the agreements.

 

Nature, Extent, and Quality of Service. The Trustees noted that Simplify was founded in 2020, managed approximately $1.42 billion in assets as of December 31, 2022, and specialized in offering a variety of innovative investment strategies that incorporated various derivative overlays. They reviewed the background information of the key investment personnel that would be responsible for servicing the New Fund and noted the extensive industry experience. The Trustees discussed the personnel added to the service term by the Adviser since the launch of the Trust, noting the high quality and prior experience of each. They noted their appreciation for direct access to the most senior members of the management team of Simplify. The Trustees then discussed that the Adviser would manage the day-to-day portfolio selection, administration, trade execution and compliance monitoring, and that the Adviser would also manage the composition of the portfolio. The Trustees also discussed that the Sub-Adviser would be responsible for the portfolio modeling on futures trading, advise the day-to-day portfolio administration including inflow investment and outflow security liquidations, rebalancing and compliance trade execution. They noted the Adviser’s belief that the proposed New Fund will provide clients with differentiated multi-asset strategies, leveraging the Adviser’s expertise in asset allocation as well as convex risk mitigation and return enhancement. The Trustees noted that Simplify would monitor compliance with the New Fund’s investment restrictions. The Trustees considered the growth in the size and number of funds in the Trust, observed that the Adviser had sufficient financial and personnel resources to service the New Fund, and concluded that, based on the Board’s experience with the Adviser had the resources and access to capital to provide high quality service to the New Fund and its shareholders.

 

Performance

 

The Trustees reviewed the investment objective of the Fund and considered the performance of other Funds in the Trust. They reviewed the hypothetical, back-tested annualized returns as of December 31, 2022, noting that the strategy performed well, but that it underperformed the benchmark for the one- and five-year, and since inception periods ended December 31, 2022. The Trustees considered the Adviser’s experience managing specialized thematic ETFs including managed futures and noted that the Fund is expected to produce returns with significantly less volatility than an all-equity allocation. Taking all factors into consideration and recognizing that the back-tested returns were not those of an actual account, the Trustees concluded that Simplify had the tools to deliver favorable returns to the shareholders of the New Fund.

 

Fees and Expenses

 

The Trustees acknowledged that the New Fund had a proposed advisory fee and net expense ratio of 0.75% and 0.75%, respectively. The Trustees noted that the proposed advisory fee was slightly higher than the Fund’s peer group and the Morningstar category averages, and that the net expense ratio was slightly higher than the peer group average, but below the Morningstar category’s average. The Trustees acknowledged that the fees charged by the Adviser and the total expense ratio were in line with the fees charged by the peer group and Morningstar category. They also acknowledged that the Fund incorporated a derivatives overlay strategy to augment the risk return profile of the Fund and as such, the fees to be charged by the adviser were well within reason for the strategy. The Trustees agreed that the proposed advisory fees were not unreasonable.

 

Profitability

 

The Trustees reviewed the profit analysis provided by Simplify. They noted that because the New Fund had not yet commenced operations, the profitability analysis provided was estimated based on projected asset growth over the first 24 months of operations. They further noted that Simplify projected making a modest profit in each of year one and year two in connection with the New Fund if estimated asset levels were achieved. They concluded that based on the information provided by Simplify, the estimated profitability was not excessive with respect to the New Fund.

 

Economies of Scale

 

The Trustees considered whether economies of scale would likely be realized by Simplify during the initial term of the proposed advisory agreement. They discussed the New Fund’s prospects for growth. The Trustees noted the Adviser’s belief that the current proposed advisory fees were very competitive and provided the shareholders the benefits of economies of scale even at low initial asset levels. They

 

181

 

 

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Board Considerations in Approval of Investment Advisory and Sub-Advisory Agreements (Unaudited) (Continued)

 

 

discussed whether the Adviser would benefit from economies of scale related to the New Fund from lower variable costs and decreasing impact of fixed costs but acknowledged these were likely offset by the additional resources necessary to manage the New Fund. They noted that Simplify had agreed to consider breakpoints for the New Fund if assets of the New Fund reached a certain level. Based on these and other considerations, the Trustees agreed that the proposed arrangements were acceptable and would be reconsidered at the first contract renewal in two years.

 

Conclusion

 

Having requested and received such information from Simplify as the Trustees believed to be reasonably necessary to evaluate the terms of the advisory agreement, and as assisted by the advice of independent counsel, the Trustees determined that approval of the advisory agreement was in the best interest of the New Fund and its respective future shareholders.

 

Simplify Management Agreement with respect to Cayman Controlled Foreign Corporation (Simplify Commodities Strategy No K-1 Cayman Fund)

 

The Trustees concluded that their prior deliberations with respect to the investment advisory agreement applied as well to the management agreement (the “Cayman Agreement”) between the Adviser and Simplify Commodities Strategy No K-1 Cayman Fund (the “Cayman Subsidiary”). Having requested and received such information from Simplify as the Trustees believed to be reasonably necessary to evaluate the terms of the Cayman Agreement, and as assisted by the advice of independent counsel, the Trustees determined that approval of the Cayman Agreement was in the best interest of the Cayman Subsidiary and the Fund.

 

Simplify Commodities Strategy No K-1 ETF—Trading Advisory Agreement (Altis Partners (Jersey) Limited)

 

Nature, Extent, and Quality of Service. The Trustees noted that Altis Partners London (“APL”) was founded in 2000 by four principals, two of whom remain active partners, and redomiciled to Jersey in 2005, creating Altis. They also noted that the Sub-Adviser currently provides investment advisory services. They acknowledged that Altis would provide proprietary research, analysis and recommendations to the Adviser to assist the New Fund in achieving its goals. The Trustees reviewed the background information on the key investment personnel who would be responsible for servicing the New Fund, taking into account their education and business experience, and noting the investment team’s experience with technology. The Trustees acknowledged that the Sub-Adviser offers investors liquid and transparent products supported by a highly refined infrastructure. The Trustees discussed the Sub-Adviser’s investment process, noting that the Sub-Adviser evaluated company financial condition, management team, corporate and product development strategy, governance, shareholder constituency and potential catalysis for growth. They then discussed the Sub-Adviser’s approach to ensuring compliance with the Fund’s investment limitations before making recommendations. It was noted that there have been no material compliance issues that arose within the past thirty six months regarding any other mutual fund, pooled investment vehicle or private account managed by Altis. The Trustees concluded that the Sub-Adviser was expected to provide quality service to the New Fund and its shareholders.

 

Performance

 

The Trustees reviewed the Altis Master Fund ICC/Altis Enhanced Macro Master Fund Incorporated Cell and Simplify Managed Futures Strategy ETF returns versus the benchmark, Soc Gen CTA Index, for the one-, five-, ten-year and since inception periods ended December 31, 2022, annualized over a twelve-month period. The Trustees noted that in managing the investment strategy of the New Fund, Altis would utilize the same approach as previously discussed. The Trustees acknowledged that the Sub-Adviser provided the track record of a related Simplify ETF and they discussed the performance and volatility of the relevant ETF. Taking all factors into consideration, the Trustees concluded that Altis had the tools to deliver favorable returns to the shareholders of the New Fund.

 

Fees and Expenses

 

The Trustees acknowledged that Simplify, rather than the Fund, would pay Altis a sub-advisory fee equal to 0.375% of 0.75% advisory fee. The Trustees also considered the fee paid to the Sub-Adviser by the recently launched Simplify Managed Futures ETF of 0.25% annually, with a fee range from 1% management fee to 20% performance fee. The Trustees considered the allocation of advisory fees among the Adviser and Sub-Adviser in light of their respective duties. The Trustees noted that the total fees are less than the average for the other accounts managed by the Sub-Adviser and they agreed that the proposed sub-advisory fee was not unreasonable.

 

Profitability

 

The Trustees reviewed the profit analysis provided by Altis. They noted that because the Fund had not yet commenced operations, the profitability analysis provided was an estimate based on projected asset growth over the first 24 months of operations, with projections of 12% profit in year one, and 70% profit in year two, if estimated asset levels were achieved. They concluded that based on the information provided by Altis, the estimated profitability was not excessive.

 

Economies of Scale

 

The Trustees considered whether Altis would realize economies of scale with respect to the sub-advisory services provided to the New Fund. The Trustees agreed that the sub-advisory fee, as the principal component of the overall advisory fee, was the primary consideration with respect to economies of scale. The Trustees considered whether breakpoints would be appropriate. The Trustees agreed that the proposed arrangement was acceptable and would be reevaluate at the first contract renewal in two years.

 

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Board Considerations in Approval of Investment Advisory and Sub-Advisory Agreements (Unaudited) (Continued)

 

 

Conclusion

 

Having requested and received such information from Altis as the Trustees believed to be reasonably necessary to evaluate the terms of the sub-advisory agreement, and as assisted by the advice of independent counsel, the Trustees determined that approval of the Trading Advisory Agreement was in the best interest of Altis and its future shareholders.

 

Simplify Market Neutral Long/Short ETF (EQLS)

 

In connection with the meeting of the Board of Trustees (the “Board” or “Trustees”) of Simplify Exchange Traded Funds (the “Trust”) held on May 19, 2023 (the “Meeting”), the Trustees, including a majority of the Trustees who are not “interested persons” as that term is defined in the Investment Company Act of 1940, as amended, discussed the approval of an investment advisory agreement between Simplify Asset Management, Inc. (the “Adviser” or “Simplify”) and the Trust, on behalf of Simplify Market Neutral Long/Short ETF (the “Fund”).

 

The Trustees reviewed and discussed the materials that were provided in advance of the Meeting and deliberated on the approval of the agreement. The Trustees relied upon the advice of independent legal counsel and their own business judgment in determining the material factors to be considered in evaluating the agreement on behalf of the Fund and the weight to be given to each factor considered. The conclusions reached by the Trustees were based on a comprehensive evaluation of all of the information provided and were not the result of any one factor. Moreover, each Trustee may have afforded different weight to the various factors in reaching his conclusions with respect to the approval of the agreement.

 

Nature, Extent, and Quality of Service. The Trustees noted that Simplify was founded in 2020, managed approximately $1.34 billion in assets as of March 31, 2023, and specialized in offering a variety of innovative investment strategies that incorporated various derivative overlays. They reviewed the background information of the key investment personnel that would be responsible for servicing the Fund and noted the extensive industry experience. The Trustees discussed the personnel added to the service term by the Adviser since the launch of the Trust, noting the high quality and prior experience of each. The Trustees discussed that the Adviser would manage the day-to-day portfolio selection, administration, trade execution and compliance monitoring. They discussed the Adviser’s role with, and without, the services of a sub-adviser. They noted the Adviser’s belief that the Fund would provide investors with diverse exposure to investments strategies, in addition to the Trust’s current offerings, allowing for diversification and potential return enhancement. The Trustees noted that Simplify would monitor compliance with the Fund’s investment restrictions. The Trustees considered the growth in the size and number of funds in the Trust, observed that the Adviser had sufficient personnel resources to service the Fund, access to capital, and concluded that, based on the Board’s experience with the Adviser, Simplify would provide high quality service to the Fund and its shareholders.

 

Performance

 

The Trustees reviewed the investment objective of the Fund and considered the performance of other Funds in the Trust. They reviewed the hypothetical, back-tested annualized returns as of December 31, 2022, noting that the strategy outperformed the benchmark for the one- five-, and ten-year, and since inception periods ended December 31, 2022. The Trustees considered the Adviser’s experience managing specialized thematic ETFs and noted that the Fund was expected to produce returns with significantly less volatility than an all-equity allocation.

 

Taking all factors into consideration and recognizing that the back-tested returns were not those of an actual account, the Trustees concluded that Simplify had the tools to deliver favorable returns to the shareholders of the Fund.

 

Fees and Expenses

 

The Trustees acknowledged that Simplify Market Neutral Equity Long/Short ETF had a proposed annual advisory fee of 1.00% The Trustees noted that the proposed advisory fee was higher than the Fund’s adviser selected peer group (six funds) average advisory fee and Morningstar category average advisory fee, and that the estimated net expense ratio was lower than the averages of its peer group and expected Morningstar category.

 

The Trustees acknowledged that the fees to be charged by the Adviser were competitive with the fees charged by other similar funds in the industry. They also acknowledged that the Fund incorporated a derivative overlay strategy to augment the risk return profile of the Fund and as such, the fees to be charged by the Adviser were well within reason for the strategy. The Trustees agreed that the proposed advisory fee was not unreasonable.

 

Profitability

 

The Trustees reviewed the profit analysis provided by Simplify. They noted that because the Fund had not yet commenced operations, the profitability analysis provided were estimated based on projected asset growth over the first 24 months of operations. They further noted that Simplify projected making a reasonable profit in connection with the Fund if estimated asset levels were achieved. The Trustees concluded that based on the information provided by Simplify, the estimated profitability was not excessive with respect to the Fund.

 

183

 

 

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Board Considerations in Approval of Investment Advisory and Sub-Advisory Agreements (Unaudited) (Continued)

 

 

Economies of Scale

 

The Trustees considered whether economies of scale would likely be realized by Simplify during the initial term of the proposed advisory agreement. They discussed the Fund’s prospects for growth. The Trustees noted the Adviser’s belief that the current proposed advisory fee was very competitive and provided the shareholders the benefits of economies of scale even at low initial asset levels. They discussed whether the Adviser would benefit from economies of scale related to the Fund from lower variable costs and decreasing impact of fixed costs. They noted that Simplify had agreed to consider breakpoints for the Fund if assets of the Fund reached a certain level. Based on these and other considerations, the Trustees agreed that the proposed arrangements were acceptable and would be reconsidered at the first contract renewal in two years.

 

Conclusion

 

Having requested and received such information from Simplify as the Trustees believed to be reasonably necessary to evaluate the terms of the advisory agreement, and as assisted by the advice of independent counsel, the Trustees determined that approval of the advisory agreement was in the best interest of the Fund and its future shareholders.

 

Simplify Opportunistic Income ETF

 

In connection with the meeting of the Board of Trustees (the “Board” or “Trustees”) of Simplify Exchange Traded Funds (the “Trust”) held on May 26, 2023 (the “Meeting”), the Trustees, including a majority of the Trustees who are not “interested persons” as that term is defined in the Investment Company Act of 1940, as amended, discussed the approval of an investment management agreement between Simplify Asset Management, Inc. (the “Adviser” or “Simplify”) and the Trust, on behalf of Simplify Opportunistic Income ETF (the “Fund”) and the approval of the sub-advisory agreement between Simplify, Asterozoa Management LLC (the “Sub-Adviser” or “Asterozoa”) and the Trust on behalf of the Fund.

 

Nature, Extent, and Quality of Service. The Board noted that the Adviser was founded in 2020, managed approximately $1.34 billion in assets as of March 31, 2023, and specialized in offering a variety of innovative investment strategies that incorporated various derivative overlays. The Board reviewed the credentials of the key investment personnel that would be responsible for servicing the Fund, noting that each had considerable experience in the asset management industry. The Board discussed the personnel added to the service team by the Adviser since the launch of the Trust, noting the high quality and prior experience of each. The Board considered that the Adviser would manage the Fund’s derivatives strategy, administration, trade execution and compliance monitoring. They discussed the Adviser’s role in conjunction with the services of the Sub-Adviser. They noted the Adviser’s belief that the Fund would provide investors with diverse exposure to investments strategies, in addition to the Trust’s current offerings, allowing for diversification and potential return enhancement. The Board noted that the Adviser would monitor compliance with the Fund’s investment restrictions. The Board considered the growth in the size and number of funds in the Trust and access to capital and observed that the Adviser had sufficient personnel resources to service the Fund. The Board concluded that, based on its experience with the Adviser, they could expect the Adviser to provide high quality service to the Fund and its shareholders.

 

Performance

 

The Board reviewed the investment objective of the Fund and examined the performance of other Funds in the Trust. They noted that the Sub-Adviser would be responsible for fixed income security selection and the Adviser would be responsible for the Fund’s derivatives strategy and trade execution. The Board discussed the Adviser’s experience working with sub-advisers and the value that the Adviser can bring to a strategy. Taking all factors into consideration and recognizing that the back-tested returns were not those of an actual account, the Board concluded that the Adviser had the potential deliver favorable returns to the shareholders of the Fund.

 

Fees and Expenses

 

The Trustees noted that the Adviser proposed annual advisory fee of 0.95% for the Fund, waived to 0.50% for the first year of operations. The Trustees then acknowledged the proposed advisory fee before the waiver was higher than the average advisory fee of the Fund’s expected Morningstar category and on par with the adviser selected peer group (four funds), and that the estimated net expense ratio was lower than both the average of its peer group and its expected Morningstar category. The Board discussed the cost of the Sub-Adviser services relative to the Adviser services, and the allocation of duties among them. The Board acknowledged that the proposed fee was competitive with the fees charged by other similar funds in the industry. They also acknowledged the complexity of incorporating a derivative overlay strategy to augment the risk return profile of the Fund and as such, the fee to be charged by the Adviser was well within reason for the strategy. Given these considerations, the Board concluded that the Adviser’s proposed advisory fee was not unreasonable.

 

Profitability

 

The Trustees reviewed the profit analysis provided by the Adviser. They noted that because the Fund had not yet commenced operations, the profitability analysis provided were estimated based on projected asset growth over the first 24 months of operations. They further noted that Simplify projected a small loss for the first 12 months and a reasonable profit in 24 months if estimated asset levels were achieved. The Board agreed that based on the information provided by the Adviser, the estimated profits, both in terms of actual dollars and as a percent of total revenue, would not be excessive.

 

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Board Considerations in Approval of Investment Advisory and Sub-Advisory Agreements (Unaudited) (Continued)

 

 

Economies of Scale

 

The Board considered whether economies of scale would likely be realized by the Adviser during the initial term of the Management Agreement. They discussed the Fund’s prospects for growth. The Board noted the Adviser’s belief that the current proposed advisory fee was very competitive and provided the shareholders the benefits of economies of scale even at low initial asset levels. They discussed whether the Adviser would benefit from economies of scale related to the Fund from lower variable costs and decreasing impact of fixed costs. The Board noted that the Adviser had agreed to consider breakpoints for the Fund if assets reached a certain level. Based on these and other considerations, the Board agreed that the proposed arrangement was acceptable and would be reconsidered at the first contract renewal in two years.

 

Conclusion

 

Having requested and received such information from the Adviser as the Board believed to be reasonably necessary to evaluate the terms of the Management Agreement, and as assisted by the advice of independent counsel, the Trustees determined that approval of the Management Agreement was in the best interest of the Fund and its future shareholders.

 

Simplify Opportunistic Income ETF—Approval of Sub-Advisory Agreement (Asterozoa)

 

Nature, Extent, and Quality of Service. The Board noted that Asterozoa, an alternatives investment manager, was founded in 2021, managed approximately $8 million in assets as of March 31, 2023, and specialized in offering investors differentiated alternatives products designed to create unique portfolio exposures for investors who are concerned with broad market correlation and enhancing portfolio diversification. The Board acknowledged that the Sub-Adviser would be responsible for fixed income security selection and the Adviser would be responsible for the Fund’s derivatives strategy and trade execution. They reviewed the background information of the personnel who would be responsible for servicing the Fund, considering the portfolio manager’s strong background and experience at leading financial institutions. The Board discussed the Sub-Adviser’s investment approach, and the Adviser’s approach to compliance. The Board concluded that it could expect the Sub-Adviser to provide quality service to the Fund and its shareholders.

 

Performance

 

The Board reviewed the returns of two private fund managed by the Sub-Adviser, noting that in each case it was difficult to draw conclusions due to their short performance histories and the unique nature of the strategies employed. The Board discussed the performance and volatility of the strategies. The Board considered that the Adviser had assessed and recommended Asterozoa and believed it had the resources to deliver favorable returns to the shareholders of the Fund. The Board concluded that retaining the services of Asterozoa as sub-adviser to the Fund was in the best interests of shareholders.

 

Fees and Expenses

 

The Trustees acknowledged that the Adviser, rather than the Fund, would pay the Sub-Adviser a sub-advisory fee equal to 0.60% of the Fund’s net assets with a waiver for 1-year, resulting in a sub-advisory fee of 0.35% lower than the stated sub-advisory fee. The Board observed that private funds managed by Asterozoa each paid a 2% management fee and 20% performance fee. The Board considered the allocation of advisory fees among the Adviser and Sub-Adviser in light of their respective duties. The Board agreed that the proposed sub-advisory fee was not unreasonable.

 

Profitability

 

The Board reviewed the profit analysis provided by the Sub-Adviser. They noted that because the Fund had not yet commenced operations, the profitability analysis provided was an estimate based on projected asset growth over the first 24 months of operations. The Board further noted that the Sub-Adviser projected making a modest profit after the second year of operations in connection with the Fund, assuming estimated asset levels were achieved. The Board concluded that based on the information provided by the Sub-Adviser, the estimated profitability was not excessive.

 

Economies of Scale

 

The Board considered whether the Sub-Adviser would realize economies of scale with respect to the sub-advisory services to be provided to the Fund. The Board agreed that this was primarily an adviser level issue and had been considered with respect to the overall advisory agreement, taking into consideration the impact of the sub-advisory expense and the estimated growth of the Fund.

 

Conclusion

 

Having requested and received such information from Asterozoa as the Board believed to be reasonably necessary to evaluate the terms of the Sub-Advisory Agreement, and as assisted by the advice of independent counsel, the Trustees determined that approval of the Sub-Advisory Agreement was in the best interest of the Fund and its future shareholders.

 

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Simplify Exchange Traded Funds

Liquidity Risk Management (Unaudited)

 

 

Pursuant to Rule 22e-4 (the “Liquidity Rule”) under the 1940 Act, the Funds have adopted and implemented a Liquidity Risk Management Program (the “Program”). The Program addresses the Liquidity Rule’s requirements for the periodic assessment and management of Funds’ liquidity risk and compliance with the Liquidity Rule’s restrictions on investments in illiquid investments. The Simplify Liquidity Risk Management Program Administrator (“Administrator”) has been designated to administer the Program. The Administrator consists of certain Trust officers and representatives from Simplify Asset Management, Inc., the Funds’ investment adviser.

 

At its August 18, 2023 meeting, the Board reviewed a written report (the “Report”) prepared by the Administrator addressing the operation of the Program and assessing its adequacy and effectiveness of implementation, as required under the Liquidity Rule, for the period from July 1, 2022 through June 30, 2023 (the “Reporting Period”). Among other things, the Report summarized the Administrator’s annual liquidity risk assessment, classification of the Funds’ portfolio holdings and monitoring for compliance with the Liquidity Rule’s restrictions on investments in illiquid investments. Further, the Report noted that the Program compiled with key factors for consideration under the Liquidity Rule for assessing, managing and periodically reviewing each Fund’s liquidity risk, including reviewing the Funds’ investment strategies and liquidity of portfolio investments during both normal and reasonably foreseeable stressed conditions; investments in derivatives; short-term and long-term cash flow projections during both normal and reasonably foreseeable stressed conditions; holdings of cash and cash equivalents as well as borrowing arrangements and other funding sources; the relationship between each Fund’s portfolio liquidity and the way in which, and the price and spreads at which, each Fund’s shares trade, including the efficiency of the arbitrage function and the level of active participation by market participants (including authorized participants); and the effect of the composition of baskets on the overall liquidity of each Fund’s portfolio.

 

The Report concluded that, during the Reporting Period: (1) there were no material changes to the Program; (2) there were no significant liquidity events impacting any Fund; and (3) that it is the Administrator’s assessment that the Program is adequately designed and has been effective in managing each Fund’s liquidity risk and in implementing the requirements of the Liquidity Rule.

 

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Simplify Exchange Traded Funds

Additional Information (Unaudited)

 

 

Proxy Voting Policies and Procedures

 

The Funds’ policies and procedures for voting proxies for portfolio securities and information about how each Fund voted proxies related to its portfolio securities during the most recent 12-month period ended June 30 are available on our Web site at www.simplify.us at or on the SEC’s Web site — www.sec.gov. To obtain a written copy of the Funds’ policies and procedures without charge, upon request, call us toll free at (855) 772-8488.

 

Portfolio Holdings Information

 

The Funds are required to file their complete schedule of portfolio holdings with the SEC for their first and third fiscal quarters on Form N-PORT. Copies of the filings are available without charge, upon request on the SEC’s website at www.sec.gov and are available by calling the Trust at 855-772-8488.

 

Discount & Premium Information

 

Information regarding how often shares of each Fund traded on NYSE Arca or NASDAQ, as applicable, at a price above (i.e., at a premium) or below (i.e., at a discount) the NAV of the Fund can be found at www.simplify.us.

 

Tax Information

 

Form 1099-DIV and other year-end tax information provide shareholders with actual calendar year amounts that should be included in their tax returns. Shareholders should consult their tax advisors.

 

Each Fund designates the following amounts or, if subsequently determined to be different, the maximum allowable for its period ended June 30, 2023.

 

Fund   Qualified
Dividend
Income*
    Dividends
Received
Deduction
 
Simplify Developed Ex-US PLUS Downside Convexity ETF     100.00 %     00.00 %
Simplify Emerging Markets Equity PLUS Downside Convexity ETF     60.17 %     00.00 %
Simplify Health Care ETF     100.00 %     99.60 %
Simplify Tail Risk Strategy ETF     1.88 %     00.00 %
Simplify US Equity PLUS Convexity ETF     100.00 %     100.00 %
Simplify US Equity PLUS Downside Convexity ETF     100.00 %     100.00 %
Simplify US Equity PLUS GBTC ETF     100.00 %     100.00 %
Simplify US Equity PLUS Upside Convexity ETF     100.00 %     98.25 %

 

* The above percentage is based on ordinary income dividends paid to shareholders during each Fund’s fiscal year.

 

This report must be preceded or accompanied by a prospectus.

 

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Investment Adviser
Simplify Asset Management Inc.
222 Broadway, 22/Floor
New York, NY 10038
  Investment Sub-Adviser
Volt Equity LLC
1423 Broadway PMB 137
Oakland, CA 94612
  Custodian, Administrator & Transfer Agent
The Bank of New York Mellon
240 Greenwich Street
New York, NY 10286
 
Distributor
Foreside Financial Services, LLC
Three Canal Plaza, Suite 100
Portland, ME 04101
  Independent Registered Public Accounting Firm
Cohen & Company Ltd.
1350 Euclid Ave., Suite 800
Cleveland, OH 44115
  Legal Counsel
Thompson Hine LLP
41 South High Street
Suite 1700
Columbus, OH 43215
     
    Simplify Exchange Traded Funds
222 Broadway, 22/F
New York, NY 10038