December 31, 2021

 

Semi-Annual Report

 

Simplify Exchange Traded Funds

 

Simplify Health Care ETF (PINK)
Simplify Hedged Equity ETF (HEQT)
Simplify Interest Rate Hedge ETF (PFIX)
Simplify Nasdaq 100 PLUS Convexity ETF (QQC)
Simplify Nasdaq 100 PLUS Downside Convexity ETF (QQD)
Simplify Risk Parity Treasury ETF (TYA)
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 Cloud and Cybersecurity Disruption ETF (VCLO)
Simplify Volt Fintech Disruption ETF (VFIN)
Simplify Volt Pop Culture Disruption ETF (VPOP)
Simplify Volt RoboCar Disruption and Tech ETF (VCAR)
Simplify Volatility Premium ETF (SVOL)

 

 

 

 

 

 

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Simplify Exchange Traded Funds
Table of Contents

 

Fees and Expenses 4
Schedules of Investments:  
Simplify Health Care ETF 6
Simplify Hedged Equity ETF 8
Simplify Interest Rate Hedge ETF 10
Simplify Nasdaq 100 PLUS Convexity ETF 11
Simplify Nasdaq 100 PLUS Downside Convexity ETF 13
Simplify Risk Parity Treasury ETF 15
Simplify Tail Risk Strategy ETF 16
Simplify US Equity PLUS Convexity ETF 18
Simplify US Equity PLUS Downside Convexity ETF 20
Simplify US Equity PLUS GBTC ETF 22
Simplify US Equity PLUS Upside Convexity ETF 23
Simplify Volt Cloud and Cybersecurity Disruption ETF 24
Simplify Volt Fintech Disruption ETF 26
Simplify Volt Pop Culture Disruption ETF 28
Simplify Volt RoboCar Disruption and Tech ETF 30
Consolidated Schedule of Investments:  
Simplify Volatility Premium ETF 32
Statements of Assets and Liabilities 34
Consolidated Statement of Assets and Liabilities 38
Statements of Operations 39
Consolidated Statement of Operations 43
Statements of Changes in Net Assets 44
Consolidated Statement of Changes in Net Assets 50
Statement of Cash Flows 51
Financial Highlights 52
Consolidated Financial Highlights 60
Notes to Financial Statements 61
Board Consideration in Approval of Investment Advisory 76
Additional Information 79

 

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
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 Health Care ETF, Simplify Hedged Equity ETF, Simplify Interest Rate Hedge ETF, Simplify US Equity PLUS GBTC ETF, Simplify Volt Cloud and Cybersecurity Disruption ETF, Simplify Volt Fintech Disruption ETF, Simplify Volt Pop Culture Disruption ETF, Simplify Volt RoboCar Disruption and Tech 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 (July 1, 2021 except otherwise noted below, to December 31, 2021).

 

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
July 1,
2021
    Ending
Account Value
December 31,
2021
    Annualized
Expense
Ratio
    Expenses Paid
During the
Period
Per $1,000 (1)
 
Simplify Health Care ETF                                
Actual   $ 1,000.00     $ 1,117.80       0.50 %   $ 1.23 (2)
Hypothetical (5% return before expenses)   $ 1,000.00     $ 1,022.68       0.50 %   $ 2.55  
Simplify Hedged Equity ETF                                
Actual   $ 1,000.00     $ 1,025.10       0.50 %   $ 0.83 (3)
Hypothetical (5% return before expenses)   $ 1,000.00     $ 1,022.68       0.50 %   $ 2.55  
Simplify Interest Rate Hedge ETF                                
Actual   $ 1,000.00     $ 934.30       0.50 %   $ 2.44  
Hypothetical (5% return before expenses)   $ 1,000.00     $ 1,022.68       0.50 %   $ 2.55  
Simplify Nasdaq 100 PLUS Convexity ETF                                
Actual   $ 1,000.00     $ 1,003.70       0.25 %   $ 1.26  
Hypothetical (5% return before expenses)   $ 1,000.00     $ 1,023.95       0.25 %   $ 1.28  
Simplify Nasdaq 100 PLUS Downside Convexity ETF                                
Actual   $ 1,000.00     $ 1,010.00       0.25 %   $ 1.27  
Hypothetical (5% return before expenses)   $ 1,000.00     $ 1,023.95       0.25 %   $ 1.28  
Simplify Risk Parity Treasury ETF                                
Actual   $ 1,000.00     $ 994.40       0.15 %   $ 0.39 (4)
Hypothetical (5% return before expenses)   $ 1,000.00     $ 1,024.45       0.15 %   $ 0.77  
Simplify Tail Risk Strategy ETF                                
Actual   $ 1,000.00     $ 963.00       0.09 %   $ 0.26 (5)
Hypothetical (5% return before expenses)   $ 1,000.00     $ 1,024.75       0.09 %   $ 0.46  
Simplify US Equity PLUS Convexity ETF                                
Actual   $ 1,000.00     $ 1,047.40       0.25 %   $ 1.29  
Hypothetical (5% return before expenses)   $ 1,000.00     $ 1,023.95       0.25 %   $ 1.28  
Simplify US Equity PLUS Downside Convexity ETF                                
Actual   $ 1,000.00     $ 1,039.70       0.25 %   $ 1.29  
Hypothetical (5% return before expenses)   $ 1,000.00     $ 1,023.95       0.25 %   $ 1.28  
Simplify US Equity PLUS GBTC ETF                                
Actual   $ 1,000.00     $ 1,010.40       0.50 %   $ 2.53  
Hypothetical (5% return before expenses)   $ 1,000.00     $ 1,022.68       0.50 %   $ 2.55  

 

4

 

 

Simplify Exchange Traded Funds
Fees and Expenses (Unaudited) (Continued)

 

    Beginning
Account Value
July 1,
2021
    Ending
Account Value
December 31,
2021
    Annualized
Expense
Ratio
    Expenses Paid
During the
Period
Per $1,000 (1)
 
Simplify US Equity PLUS Upside Convexity ETF                                
Actual   $ 1,000.00     $ 1,054.20       0.25 %   $ 1.29  
Hypothetical (5% return before expenses)   $ 1,000.00     $ 1,023.95       0.25 %   $ 1.28  
Simplify Volt Cloud and Cybersecurity Disruption ETF                                
Actual   $ 1,000.00     $ 884.20       0.95 %   $ 4.51  
Hypothetical (5% return before expenses)   $ 1,000.00     $ 1,020.42       0.95 %   $ 4.84  
Simplify Volt Fintech Disruption ETF                                
Actual   $ 1,000.00     $ 849.00       0.95 %   $ 4.43  
Hypothetical (5% return before expenses)   $ 1,000.00     $ 1,020.42       0.95 %   $ 4.84  
Simplify Volt Pop Culture Disruption ETF                                
Actual   $ 1,000.00     $ 956.80       0.96 %   $ 4.73  
Hypothetical (5% return before expenses)   $ 1,000.00     $ 1,020.37       0.96 %   $ 4.89  
Simplify Volt RoboCar Disruption and Tech ETF                                
Actual   $ 1,000.00     $ 903.80       0.95 %   $ 4.56  
Hypothetical (5% return before expenses)   $ 1,000.00     $ 1,020.42       0.95 %   $ 4.84  
Simplify Volatility Premium ETF                                
Actual   $ 1,000.00     $ 1,063.00       0.53 %   $ 2.76  
Hypothetical (5% return before expenses)   $ 1,000.00     $ 1,022.53       0.53 %   $ 2.70  

 

(1) Expenses are equal to each Fund’s annualized expense ratio, multiplied by the average account value over the period, multiplied by 184 (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 85 (the number of days in the period October 8, 2021 (commencement of operations) to December 31, 2021), 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 60 (the number of days in the period November 2, 2021 (commencement of operations) to December 31, 2021), 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 95 (the number of days in the period September 28, 2021 (commencement of operations) to December 31, 2021), 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 109 (the number of days in the period September 14, 2021 (commencement of operations) to December 31, 2021), then divided by 365.

 

5

 

 

Simplify Health Care ETF
Schedule of Investments
December 31, 2021 (Unaudited)

 

    Shares     Value  
Common Stocks – 98.6%                
Consumer, Non-cyclical – 97.0%                
Abbott Laboratories     4,953     $ 697,085  
AbbVie, Inc.     1,463       198,090  
Align Technology, Inc.*     220       144,579  
Alnylam Pharmaceuticals, Inc.*     352       59,692  
Amgen, Inc.     610       137,232  
Anthem, Inc.     1,122       520,092  
AtriCure, Inc.*     5,330       370,595  
Baxter International, Inc.     1,716       147,301  
Becton Dickinson and Co.     858       215,770  
Bio-Techne Corp.     286       147,959  
Boston Scientific Corp.*     6,490       275,695  
Centene Corp.*     1,100       90,640  
Charles River Laboratories International, Inc.*     352       132,626  
Cigna Corp.     1,034       237,437  
Cooper Cos., Inc. (The)     88       36,867  
CVS Health Corp.     8,492       876,035  
Danaher Corp.     924       304,005  
Dexcom, Inc.*     1,211       650,246  
Edwards Lifesciences Corp.*     3,234       418,965  
Eli Lilly & Co.     1,826       504,378  
Gilead Sciences, Inc.     1,077       78,201  
HCA Healthcare, Inc.     1,122       288,264  
Henry Schein, Inc.*     440       34,113  
Horizon Therapeutics Plc*     3,696       398,281  
Humana, Inc.     528       244,918  
IDEXX Laboratories, Inc.*     110       72,431  
Insulet Corp.*     223       59,334  
Intuitive Surgical, Inc.*     1,773       637,039  
IQVIA Holdings, Inc.*     726       204,834  
Johnson & Johnson     2,489       425,793  
Laboratory Corp. of America Holdings*     1,394       438,009  
Lantheus Holdings, Inc.*     13,220       381,926  
LivaNova PLC*     7,124       622,851  
McKesson Corp.     506       125,776  
Medtronic PLC     1,480       153,106  
PerkinElmer, Inc.     198       39,810  
Pfizer, Inc.     10,019       591,622  
ResMed, Inc.     264       68,767  
Seagen, Inc.*     396       61,222  
STERIS PLC     176       42,840  
Stryker Corp.     742       198,426  
Thermo Fisher Scientific, Inc.     484       322,944  
United Therapeutics Corp.*     2,172       469,326  
UnitedHealth Group, Inc.     2,705       1,358,289  
Vertex Pharmaceuticals, Inc.*     178       39,089  
ViewRay, Inc.*     69,482       382,846  
Waters Corp.*     396       147,550  
West Pharmaceutical Services, Inc.     330       154,773  

 

See Notes to Financial Statements.

 

6

 

 

Simplify Health Care ETF
Schedule of Investments (Continued)
December 31, 2021 (Unaudited)

 

    Shares     Value  
Common Stocks (continued)                
Consumer, Non-cyclical (continued)                
Zoetis, Inc.     2,838     $ 692,557  
              14,900,226  
Industrial – 1.2%                
Agilent Technologies, Inc.     902       144,004  
Mettler-Toledo International, Inc.*     22       37,339  
              181,343  
Technology – 0.4%                
Veeva Systems, Inc., Class A*     242       61,826  
Total Common Stocks (Cost $14,265,412)             15,143,395  
                 
Total Investments – 98.6%                
(Cost $14,265,412)           $ 15,143,395  
Other Assets in Excess of Liabilities – 1.4%             220,298  
Net Assets – 100.0%           $ 15,363,693  

 

* Non Income Producing

 

Summary of Schedule of Investments

 

Industry   % of Net
Assets
 
Common Stocks     98.6 %
Total Investments     98.6 %
Other Assets in Excess of Liabilities     1.4 %
Net Assets     100.0 %

 

See Notes to Financial Statements.

 

7

 

 

Simplify Hedged Equity ETF
Schedule of Investments
December 31, 2021 (Unaudited)

 

          Shares     Value  
Exchange-Traded Funds – 101.0%                        
iShares Core S&P 500 ETF(a)(b)                        
(Cost $13,377,676)             28,410     $ 13,551,286  
                         
      Number of Contracts     Notional Amount          
Purchased Options – 0.7%                        
                         
Puts – Exchange-Traded – 0.7%                        
S&P 500 Index, January Strike Price $4,355, Expires 1/21/22     10     $ 4,355,000     5,950  
S&P 500 Index, February Strike Price $4,465, Expires 2/18/22     10       4,465,000     35,250  
S&P 500 Index, March Strike Price $4,425, Expires 3/18/22     10       4,425,000     58,650  
                    99,850  
                         
Total Purchased Options (Cost $234,436)                   99,850  
                         
Total Investments – 101.7%                        
(Cost $13,612,112)                   $ 13,651,136  
Liabilities in Excess of Other Assets – (1.7)%                   (233,325 )
Net Assets – 100.0%                   $ 13,417,811  
                         
      Number of Contracts     Notional Amount          
Written Options – (1.8)%                        
                         
Calls – Exchange-Traded – (1.6)%                        
S&P 500 Index, January Strike Price $4,750, Expires 1/21/22     (10 )   $ (4,750,000 )   $ (67,400 )
S&P 500 Index, February Strike Price $4,850, Expires 2/18/22     (10 )     (4,850,000 )   (50,400 )
S&P 500 Index, March Strike Price $4,820, Expires 3/18/22     (10 )     (4,820,000 )   (97,700 )
                    (215,500 )
Puts – Exchange-Traded – (0.2)%                        
S&P 500 Index, January Strike Price $3,670, Expires 1/21/22     (10 )     (3,670,000 )   (1,175 )
S&P 500 Index, February Strike Price $3,760, Expires 2/18/22     (10 )     (3,760,000 )   (6,600 )
S&P 500 Index, March Strike Price $3,720, Expires 3/18/22     (10 )     (3,720,000 )   (14,050 )
                    (21,825 )
                         
Total Written Options (Premiums Received $298,845)                   $ (237,325 )

 

(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 $7,631,840 have been pledged as collateral for purchased options as of December 31, 2021.

 

See Notes to Financial Statements.

 

8

 

 

Simplify Hedged Equity ETF
Schedule of Investments (Continued)
December 31, 2021 (Unaudited)

 

Summary of Schedule of Investments

Industry   % of Net
Assets
 
Exchange-Traded Funds     101.0 %
Purchased Options     0.7 %
Total Investments     101.7 %
Liabilities in Excess of Other Assets     (1.7 )%
Net Assets     100.0 %

 

See Notes to Financial Statements.

 

9

 

 

Simplify Interest Rate Hedge ETF
Schedule of Investments
December 31, 2021 (Unaudited)

 

    Principal     Value  
U.S. Government Obligations – 65.5%                
U.S. Treasury Note, 0.75%, 4/30/2026(a)                
(Cost $77,239,185)   $ 77,500,000     $ 76,010,547  
                 
  Notional Amount        
Purchased Swaptions – (12.7)%                
                 
Puts – Over the Counter – (12.7)%                
Interest Rate Swaption, pay semi annually a fixed rate of 4.25% and received quarterly a floating rate of 3-month LIBOR, Expires 5/11/28 (counterparty: Bank of America NA)     820,000,000       (3,750,812 )
Interest Rate Swaption, pay semi annually a fixed rate of 4.25% and received quarterly a floating rate of 3-month LIBOR, Expires 5/12/28 (counterparty: Goldman Sachs International)     950,000,000       (5,731,444 )
Interest Rate Swaption, pay semi annually a fixed rate of 4.25% and received quarterly a floating rate of 3-month LIBOR, Expires 5/11/28 (counterparty: Morgan Stanley Capital Services LLC)     710,000,000       (5,209,573 )
              (14,691,829 )
                 
Total Purchased Swaptions (Cost $0)             (14,691,829 )
                 
Total Investments – 52.8%                
(Cost $77,239,185)           $ 61,318,718  
Other Assets in Excess of Liabilities – 47.2%             54,753,158  
Net Assets – 100.0%           $ 116,071,876  

 

(a) Security with an aggregate market value of $7,684,421 and cash of $15,310,000 have been pledged as collateral for purchased swaptions as of December 31, 2021.

 

Summary of Schedule of Investments

 

Industry   % of Net
Assets
 
U.S. Government Obligations     65.5 %
Purchased Swaptions     (12.7 )%
Total Investments     52.8 %
Other Assets in Excess of Liabilities     47.2 %
Net Assets     100.0 %

 

See Notes to Financial Statements.

 

10

 

 

Simplify Nasdaq 100 PLUS Convexity ETF
Schedule of Investments
December 31, 2021 (Unaudited)

 

          Shares     Value  
Exchange-Traded Funds – 96.6%                        
Invesco QQQ Trust Series 1(a)                        
(Cost $16,624,939)             44,782     $ 17,816,519  
                         
    Number of Contracts     Notional Amount          
Purchased Options – 3.5%                        
                         
Calls – Exchange-Traded – 3.0%                        
Invesco QQQ Trust, December Strike Price $470, Expires 12/16/22     199     $ 9,353,000       182,185  
Invesco QQQ Trust, December Strike Price $470, Expires 12/15/23     74       3,478,000       190,032  
NASDAQ 100 Index, March Strike Price $17,000, Expires 3/18/22     2       3,400,000       56,920  
NASDAQ 100 Index, September Strike Price $19,200, Expires 9/16/22     5       9,600,000       114,950  
                      544,087  
                         
Puts – Exchange-Traded – 0.5%                        
Invesco QQQ Trust, January Strike Price $375, Expires 1/07/22     19       712,500       342  
Invesco QQQ Trust, January Strike Price $395, Expires 1/21/22     25       987,500       12,987  
Invesco QQQ Trust, June Strike Price $100, Expires 6/17/22     656       6,560,000       4,920  
Invesco QQQ Trust, December Strike Price $170, Expires 12/16/22     198       3,366,000       27,027  
Invesco QQQ Trust, January Strike Price $200, Expires 1/20/23     145       2,900,000       38,787  
NASDAQ 100 Index, March Strike Price $7,000, Expires 3/18/22     1       700,000       253  
NASDAQ 100 Index, September Strike Price $7,000, Expires 9/16/22     3       2,100,000       10,275  
                      94,591  
                         
Total Purchased Options (Cost $664,183)                     638,678  
                         
            Shares          
Money Market Funds – 0.1%                        
Dreyfus Treasury Obligations Cash Management Fund, Institutional Shares, 0.01%(b)                        
(Cost $16,920)             16,920       16,920  
                         
Total Investments – 100.2%                        
(Cost $17,306,042)                   $ 18,472,117  
Liabilities in Excess of Other Assets – (0.2)%                     (33,810 )
Net Assets – 100.0%                   $ 18,438,307  
                         
    Number of Contracts     Notional Amount          
Written Options – (0.1)%                        
                         
Puts – Exchange-Traded – (0.1)%                        
Invesco QQQ Trust, January Strike Price $387, Expires 1/21/22     (25 )   $ (967,500 )   $ (7,713 )
Invesco QQQ Trust, December Strike Price $130, Expires 12/16/22     (196 )     (2,548,000 )     (12,054 )
                      (19,767 )
                         
Total Written Options (Premiums Received $20,826)                   $ (19,767 )

 

(a) A copy of the security’s annual report to shareholders may be obtained without charge at www.invesco.com.
(b) Rate shown reflects the 7-day yield as of December 31, 2021.

 

See Notes to Financial Statements.

 

11

 

 

Simplify Nasdaq 100 PLUS Convexity ETF
Schedule of Investments (Continued)
December 31, 2021 (Unaudited)

 

Summary of Schedule of Investments

 

Industry   % of Net
Assets
 
Exchange-Traded Funds     96.6 %
Purchased Options     3.5 %
Money Market Funds     0.1 %
Total Investments     100.2 %
Liabilities in Excess of Other Assets     (0.2 )%
Net Assets     100.0 %

 

See Notes to Financial Statements.

 

12

 

 

Simplify Nasdaq 100 PLUS Downside Convexity ETF
Schedule of Investments
December 31, 2021 (Unaudited)

 

          Shares     Value  
Exchange-Traded Funds – 99.1%                        
Invesco QQQ Trust Series 1(a)                        
(Cost $14,927,171)             40,082     $ 15,946,624  
                         
    Number of Contracts     Notional Amount          
Purchased Options – 1.1%                        
                         
Puts – Exchange-Traded – 1.1%                        
Invesco QQQ Trust, January Strike Price $375, Expires 1/07/22     30     $ 1,125,000       540  
Invesco QQQ Trust, January Strike Price $395, Expires 1/21/22     43       1,698,500       22,338  
Invesco QQQ Trust, June Strike Price $100, Expires 6/17/22     1,181       11,810,000       8,857  
Invesco QQQ Trust, December Strike Price $170, Expires 12/16/22     349       5,933,000       47,638  
Invesco QQQ Trust, January Strike Price $200, Expires 1/20/23     262       5,240,000       70,085  
NASDAQ 100 Index, March Strike Price $7,000, Expires 3/18/22     3       2,100,000       758  
NASDAQ 100 Index, September Strike Price $7,000, Expires 9/16/22     7       4,900,000       23,975  
                      174,191  
                         
Total Purchased Options (Cost $269,532)                     174,191  
                         
              Shares          
Money Market Funds – 0.0%†                        
Dreyfus Treasury Obligations Cash Management Fund, Institutional Shares, 0.01%(b)                        
(Cost $1,392)             1,392       1,392  
                         
Total Investments – 100.2%                        
(Cost $15,198,095)                   $ 16,122,207  
Liabilities in Excess of Other Assets – (0.2)%                     (34,643 )
Net Assets – 100.0%                   $ 16,087,564  
                         
    Number of Contracts     Notional Amount          
Written Options – (0.2)%                        
                         
Puts – Exchange-Traded – (0.2)%                        
Invesco QQQ Trust, January Strike Price $387, Expires 1/21/22     (43 )   $ (1,664,100 )   $ (13,266 )
Invesco QQQ Trust, December Strike Price $130, Expires 12/16/22     (346 )     (4,498,000 )     (21,279 )
                      (34,545 )
                         
Total Written Options (Premiums Received $37,226)                   $ (34,545 )

 

Less than 0.05%
(a) A copy of the security’s annual report to shareholders may be obtained without charge at www.invesco.com.
(b) Rate shown reflects the 7-day yield as of December 31, 2021.

 

See Notes to Financial Statements.

 

13

 

 

Simplify Nasdaq 100 PLUS Downside Convexity ETF
Schedule of Investments (Continued)
December 31, 2021 (Unaudited)

 

Summary of Schedule of Investments

 

Industry   % of Net
Assets
 
Exchange-Traded Funds     99.1 %
Purchased Options     1.1 %
Money Market Funds     0.0 %†
Total Investments     100.2 %
Liabilities in Excess of Other Assets     (0.2 )%
Net Assets     100.0 %

 

See Notes to Financial Statements.

 

14

 

 

Simplify Risk Parity Treasury ETF
Schedule of Investments
December 31, 2021 (Unaudited)

 

    Principal     Value  
U.S. Government Obligations – 62.8%                
U.S. Treasury Note, 1.00%, 7/31/2028                
(Cost $23,410,472)   $ 24,000,000     $ 23,389,687  
                 
Total Investments – 62.8%                
(Cost $23,410,472)           $ 23,389,687  
Other Assets in Excess of Liabilities – 37.2%             13,858,126  
Net Assets – 100.0%           $ 37,247,813  

 

At December 31, 2021 open futures contracts purchased were as follows:

 

    Number of
Contracts
  Notional
Value
    Expiration
Date
  Value/
Unrealized
Appreciation
(Depreciation)
 
U.S. Treasury 10 Year Note   720   $ 93,937,500     3/22/22   $ 860,854  

 

Summary of Schedule of Investments

 

Industry   % of Net
Assets
 
U.S. Government Obligations     62.8 %
Total Investments     62.8 %
Other Assets in Excess of Liabilities     37.2 %
Net Assets     100.0 %

 

See Notes to Financial Statements.

 

15

 

 

Simplify Tail Risk Strategy ETF
Schedule of Investments
December 31, 2021 (Unaudited)

 

          Shares     Value  
Exchange-Traded Funds – 88.6%                        
Simplify Risk Parity Treasury ETF(a)             119,944     $ 2,974,791  
Simplify Volatility Premium ETF(a)(b)(c)             840,269       22,670,458  
Total Exchange-Traded Funds (Cost $25,875,262)                     25,645,249  
                         
    Number of Contracts     Notional Amount          
Purchased Options – 8.0%                        
                         
Puts – Exchange-Traded – 8.0%                        
S&P 500 Index, January Strike Price $4,485, Expires 1/07/22     43     $ 19,285,500       4,408  
S&P 500 Index, January Strike Price $4,700, Expires 1/21/22     41       19,270,000       134,685  
S&P 500 Index, March Strike Price $2,000, Expires 3/18/22     256       51,200,000       26,880  
S&P 500 Index, June Strike Price $2,000, Expires 6/17/22     282       56,400,000       156,510  
S&P 500 Index, March Strike Price $2,400, Expires 3/17/23     214       51,360,000       778,960  
SPDR S&P 500, September Strike Price $210, Expires 9/16/22     4,165       87,465,000       556,027  
SPDR S&P 500, December Strike Price $225, Expires 12/16/22     2,750       61,875,000       653,125  
                      2,310,595  
                         
Total Purchased Options (Cost $3,002,711)                     2,310,595  
                         
Total Investments – 96.6%                        
(Cost $28,877,973)                   $ 27,955,844  
Other Assets in Excess of Liabilities – 3.4%                     996,069  
Net Assets – 100.0%                   $ 28,951,913  
                         
    Number of Contracts     Notional Amount          
Written Options – (1.3)%                        
                         
Puts – Exchange-Traded – (1.3)%                        
S&P 500 Index, January Strike Price $4,600, Expires 1/21/22     (41 )   $ (18,860,000 )   $ (75,235 )
SPDR S&P 500, September Strike Price $185, Expires 9/16/22     (3,063 )     (56,665,500 )     (298,643 )
                      (373,878 )
                         
Total Written Options (Premiums Received $403,599)                   $ (373,878 )

 

(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 $2,698,000 have been pledged as collateral for purchased options as of December 31, 2021.

 

See Notes to Financial Statements.

 

16

 

 

Simplify Tail Risk Strategy ETF
Schedule of Investments (Continued)
December 31, 2021 (Unaudited)

 

Affiliates

 

Fiscal period to date transactions with companies which are or were affiliates are as follows:

 

Affiliate   Value at
beginning
of the
period
    Purchases
Cost
    Sales
Proceeds
    Net
Realized
Gain/
(Loss)
    Net
Change in
Unrealized
    Value at the
end of the
period
    Number of
Shares at
the end of
the period
    Dividend
Income
    Capital
Gain
 
Simplify Risk Parity                                                                        
Treasury ETF   $     $ 2,982,426     $     $     $ (7,635 )   $ 2,974,791       119,944     $ 2,438     $  
Simplify Volatility Premium                                                                        
ETF           23,981,094       (1,072,058 )     (16,200 )     (222,378 )     22,670,458       840,269       729,640        
    $     $ 26,963,520     $ (1,072,058 )   $ (16,200 )   $ (230,013 )   $ 25,645,249       960,213     $ 732,078     $  

 

Summary of Schedule of Investments

 

Industry   % of Net
Assets
 
Exchange-Traded Funds     88.6 %
Purchased Options     8.0 %
Total Investments     96.6 %
Other Assets in Excess of Liabilities     3.4 %
Net Assets     100.0 %

 

See Notes to Financial Statements.

 

17

 

 

Simplify US Equity PLUS Convexity ETF
Schedule of Investments
December 31, 2021 (Unaudited)

 

          Shares     Value  
Exchange-Traded Funds – 96.9%                        
iShares Core S&P 500 ETF(a)                        
(Cost $94,203,875)             232,752     $ 111,020,377  
                         
    Number of Contracts     Notional Amount          
Purchased Options – 3.2%                        
                         
Calls – Exchange-Traded – 2.6%                        
S&P 500 Index, March Strike Price $5,000, Expires 3/18/22     198     $ 99,000,000       548,460  
S&P 500 Index, June Strike Price $5,600, Expires 6/16/23     108       60,480,000       1,058,400  
SPDR S&P 500, September Strike Price $510, Expires 9/16/22     581       29,631,000       656,240  
SPDR S&P 500, March Strike Price $510, Expires 3/17/23     326       16,626,000       706,768  
                      2,969,868  
                         
Puts – Exchange-Traded – 0.6%                        
S&P 500 Index, January Strike Price $4,485, Expires 1/07/22     14       6,279,000       1,435  
S&P 500 Index, January Strike Price $4,700, Expires 1/21/22     20       9,400,000       65,700  
S&P 500 Index, March Strike Price $2,000, Expires 3/18/22     74       14,800,000       7,770  
S&P 500 Index, June Strike Price $2,000, Expires 6/17/22     82       16,400,000       45,510  
S&P 500 Index, March Strike Price $2,400, Expires 3/17/23     69       16,560,000       251,160  
SPDR S&P 500, September Strike Price $210, Expires 9/16/22     1,176       24,696,000       156,996  
SPDR S&P 500, December Strike Price $225, Expires 12/16/22     803       18,067,500       190,712  
                      719,283  
                         
Total Purchased Options (Cost $2,735,133)                     3,689,151  
                         
            Shares          
Money Market Funds – 0.0%†                        
Dreyfus Government Cash Management Fund, Institutional Shares, 0.03%(b)                        
(Cost $711)             711       711  
                         
Total Investments – 100.1%                        
(Cost $96,939,719)                   $ 114,710,239  
Liabilities in Excess of Other Assets – (0.1)%                     (139,262 )
Net Assets – 100.0%                   $ 114,570,977  
                         
    Number of Contracts     Notional Amount          
Written Options – (0.1)%                        
                         
Puts – Exchange-Traded – (0.1)%                        
S&P 500 Index, January Strike Price $4,600, Expires 1/21/22     (20 )   $ (9,200,000 )   $ (36,700 )
SPDR S&P 500, September Strike Price $185, Expires 9/16/22     (1,176 )     (21,756,000 )     (114,660 )
                      (151,360 )
                         
Total Written Options (Premiums Received $181,743)                   $ (151,360 )

 

Less than 0.05%
(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 December 31, 2021.

 

See Notes to Financial Statements.

 

18

 

 

Simplify US Equity PLUS Convexity ETF
Schedule of Investments (Continued)
December 31, 2021 (Unaudited)

 

Summary of Schedule of Investments

 

Industry   % of Net
Assets
 
Exchange-Traded Funds     96.9 %
Purchased Options     3.2 %
Money Market Funds     0.0 %†
Total Investments     100.1 %
Liabilities in Excess of Other Assets     (0.1 )%
Net Assets     100.0 %

 

See Notes to Financial Statements.

 

19

 

 

Simplify US Equity PLUS Downside Convexity ETF
Schedule of Investments
December 31, 2021 (Unaudited)

 

          Shares     Value  
Exchange-Traded Funds – 99.0%                        
iShares Core S&P 500 ETF(a)                        
(Cost $405,542,839)             950,016     $ 453,148,132  
                         
    Number of Contracts     Notional Amount          
Purchased Options – 1.3%                        
                         
Puts – Exchange-Traded – 1.3%                        
S&P 500 Index, January Strike Price $4,485, Expires 1/07/22     108     $ 48,438,000       11,070  
S&P 500 Index, January Strike Price $4,700, Expires 1/21/22     160       75,200,000       525,600  
S&P 500 Index, March Strike Price $2,000, Expires 3/18/22     611       122,200,000       64,155  
S&P 500 Index, June Strike Price $2,000, Expires 6/17/22     663       132,600,000       367,965  
S&P 500 Index, March Strike Price $2,400, Expires 3/17/23     566       135,840,000       2,060,240  
SPDR S&P 500, September Strike Price $210, Expires 9/16/22     9,642       202,482,000       1,287,207  
SPDR S&P 500, December Strike Price $225, Expires 12/16/22     6,532       146,970,000       1,551,350  
                      5,867,587  
                         
Total Purchased Options (Cost $9,006,068)                     5,867,587  
                         
            Shares          
Money Market Funds – 0.0%†                        
Dreyfus Government Cash Management Fund, Institutional Shares, 0.03%(b)                        
(Cost $56,733)             56,733       56,733  
                         
Total Investments – 100.3%                        
(Cost $414,605,640)                   $ 459,072,452  
Liabilities in Excess of Other Assets – (0.3)%                     (1,232,684 )
Net Assets – 100.0%                   $ 457,839,768  
                         
    Number of Contracts     Notional Amount          
Written Options – (0.3)%                        
                         
Puts – Exchange-Traded – (0.3)%                        
S&P 500 Index, January Strike Price $4,600, Expires 1/21/22     (160 )   $ (73,600,000 )   $ (293,600 )
SPDR S&P 500, September Strike Price $185, Expires 9/16/22     (9,564 )     (176,934,000 )     (932,490 )
                      (1,226,090 )
                         
Total Written Options (Premiums Received $1,423,967)                   $ (1,226,090 )

 

Less than 0.05%
(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 December 31, 2021.

 

See Notes to Financial Statements.

 

20

 

 

Simplify US Equity PLUS Downside Convexity ETF
Schedule of Investments (Continued)
December 31, 2021 (Unaudited)

 

Summary of Schedule of Investments

 

Industry   % of Net
Assets
 
Exchange-Traded Funds     99.0 %
Purchased Options     1.3 %
Money Market Funds     0.0 %†
Total Investments     100.3 %
Liabilities in Excess of Other Assets     (0.3 )%
Net Assets     100.0 %

 

See Notes to Financial Statements.

 

21

 

 

Simplify US Equity PLUS GBTC ETF
Schedule of Investments
December 31, 2021 (Unaudited)

 

    Shares     Value  
Exchange-Traded Funds – 85.4%                
iShares Core S&P 500 ETF(a)                
(Cost $91,279,653)     214,163     $ 102,153,609  
Grantor Trusts – 9.4%                
Grayscale Bitcoin Trust BTC*                
(Cost $10,740,749)     328,162       11,239,549  
                 
Total Investments – 94.8%                
(Cost $102,020,402)           $ 113,393,158  
Other Assets in Excess of Liabilities – 5.2%             6,187,519  
Net Assets – 100.0%           $ 119,580,677  

 

* Non Income Producing
(a) A copy of the security’s annual report to shareholders may be obtained without charge at www.ishares.com.

 

At December 31, 2021 open futures contracts purchased were as follows:

 

    Number of
Contracts
  Notional
Value
    Expiration
Date
  Value/
Unrealized
Appreciation
(Depreciation)
 
S&P 500 E-Mini Future   76   $ 18,082,300     3/18/22   $ 209,744  

 

Summary of Schedule of Investments

 

Industry   % of Net
Assets
 
Exchange-Traded Funds     85.4 %
Grantor Trusts     9.4 %
Total Investments     94.8 %
Other Assets in Excess of Liabilities     5.2 %
Net Assets     100.0 %

 

See Notes to Financial Statements.

 

22

 

 

Simplify US Equity PLUS Upside Convexity ETF
Schedule of Investments
December 31, 2021 (Unaudited)

 

          Shares     Value  
Exchange-Traded Funds – 94.8%                        
iShares Core S&P 500 ETF(a)                        
(Cost $17,520,397)             42,174     $ 20,116,576  
                         
    Number of Contracts     Notional Amount          
Purchased Options – 5.2%                        
                         
Calls – Exchange-Traded – 5.2%                        
S&P 500 Index, March Strike Price $5,000, Expires 3/18/22     72     $ 36,000,000       199,440  
S&P 500 Index, June Strike Price $5,600, Expires 6/16/23     40       22,400,000       392,000  
SPDR S&P 500, September Strike Price $510, Expires 9/16/22     215       10,965,000       242,843  
SPDR S&P 500, March Strike Price $510, Expires 3/17/23     120       6,120,000       260,160  
                      1,094,443  
                         
Total Purchased Options (Cost $681,814)                     1,094,443  
                         
            Shares          
Money Market Funds – 0.1%                        
Dreyfus Government Cash Management Fund, Institutional Shares, 0.03%(b)                        
(Cost $15,994)             15,994       15,994  
                         
Total Investments – 100.1%                        
(Cost $18,218,205)                   $ 21,227,013  
Liabilities in Excess of Other Assets – (0.1)%                     (13,823 )
Net Assets – 100.0%                   $ 21,213,190  

 

(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 December 31, 2021.

 

Summary of Schedule of Investments

 

Industry   % of Net
Assets
 
Exchange-Traded Funds     94.8 %
Purchased Options     5.2 %
Money Market Funds     0.1 %
Total Investments     100.1 %
Liabilities in Excess of Other Assets     (0.1 )%
Net Assets     100.0 %

 

See Notes to Financial Statements.

 

23

 

 

Simplify Volt Cloud and Cybersecurity Disruption ETF
Schedule of Investments
December 31,2021 (Unaudited)

 

          Shares     Value  
Common Stocks – 96.9%                        
Communications – 12.0%                        
Alphabet, Inc., Class C*             164     $ 474,549  
Amazon.com, Inc.*             129       430,130  
Mandiant, Inc.*             27,948       490,208  
Okta, Inc.*             1,887       423,009  
Wix.com Ltd.*             559       88,204  
                      1,906,100  
Technology – 84.9%                        
Apple, Inc.             2,941       522,233  
Braze, Inc., Class A*             2,530       195,215  
Cloudflare, Inc., Class A*             14,300       1,880,450  
Confluent, Inc., Class A*             10,377       791,142  
Crowdstrike Holdings, Inc., Class A*(a)             5,429       1,111,588  
Datadog, Inc., Class A*             9,757       1,737,819  
DigitalOcean Holdings, Inc.*             7,057       566,889  
Dropbox, Inc., Class A*             17,813       437,131  
Elastic NV*             2,428       298,863  
Fastly, Inc., Class A*             14,118       500,483  
Microsoft Corp.             2,177       732,169  
NVIDIA Corp.             2,518       740,569  
PagerDuty, Inc.*             11,048       383,918  
Palantir Technologies, Inc., Class A*             57,481       1,046,729  
salesforce.com, Inc.*             1,982       503,686  
SentinelOne, Inc., Class A*             3,298       166,516  
Snowflake, Inc., Class A*             2,116       716,795  
Twilio, Inc., Class A*             636       167,484  
UserTesting, Inc.*             21,096       177,628  
Zoom Video Communications, Inc., Class A*             892       164,048  
Zscaler, Inc.*             2,259       725,884  
                      13,567,239  
Total Common Stocks (Cost $15,885,141)                     15,473,339  
                         
    Number of Contracts     Notional Amount          
Purchased Options – 2.9%                        
                         
Calls – Exchange-Traded – 2.0%                        
Cloudflare, Inc., January Strike Price $230, Expires 1/20/23     157     $ 3,611,000       142,870  
Crowdstrike Holdings, Inc., January Strike Price $310, Expires 1/20/23     168       5,208,000       179,340  
                      322,210  
                         
Puts – Exchange-Traded – 0.9%                        
Invesco QQQ Trust, June Strike Price $100, Expires 6/17/22     963       9,630,000       7,223  
Invesco QQQ Trust, December Strike Price $170, Expires 12/16/22     382       6,494,000       52,143  
Invesco QQQ Trust, January Strike Price $200, Expires 1/20/23     276       5,520,000       73,830  
NASDAQ 100 Index, March Strike Price $7,000, Expires 3/18/22     4       2,800,000       1,010  

 

See Notes to Financial Statements

 

24

 

 

Simplify Volt Cloud and Cybersecurity Disruption ETF
Schedule of Investments (Continued)
December 31,2021 (Unaudited)

 

    Number of Contracts     Notional Amount     Value  
Purchased Options – 2.9% (continued)                        
Puts – Exchange-Traded – 0.9% (continued)                        
NASDAQ 100 Index, September Strike Price $7,000, Expires 9/16/22     3     $ 2,100,000     $ 10,275  
                      144,481  
                         
Total Purchased Options (Cost $689,710)                     466,691  
                         
            Shares          
Money Market Funds – 0.3%                        
Dreyfus Treasury Obligations Cash Management Fund, Institutional Shares, 0.01%(b)                        
(Cost $48,924)             48,924       48,924  
                         
Total Investments – 100.1%                        
(Cost $16,623,775)                   $ 15,988,954  
Liabilities in Excess of Other Assets – (0.1)%                     (14,161 )
Net Assets – 100.0%                   $ 15,974,793  

 

* Non Income Producing
(a) Securities with an aggregate market value of $716,625 have been pledged as collateral for purchased options as of December 31, 2021.
(b) Rate shown reflects the 7-day yield as of December 31, 2021.

 

Summary of Schedule of Investments

 

Industry   % of Net
Assets
 
Common Stocks     96.9 %
Purchased Options     2.9 %
Money Market Funds     0.3 %
Total Investments     100.1 %
Liabilities in Excess of Other Assets     (0.1 )%
Net Assets     100.0 %

 

See Notes to Financial Statements

 

25

 

 

Simplify Volt Fintech Disruption ETF
Schedule of Investments
December 31, 2021 (Unaudited)

 

          Shares     Value  
Common Stocks – 89.1%                        
Communications – 26.2%                        
Alphabet, Inc., Class C*             20     $ 57,872  
Amazon.com, Inc.*             24       80,024  
Fiverr International Ltd.*             190       21,603  
MercadoLibre, Inc.*             52       70,117  
Meta platfirms, Inc., Class A*             224       75,343  
Pinterest, Inc., Class A*             581       21,119  
Robinhood Markets, Inc., Class A*             3,136       55,695  
Shopify, Inc., Class A*(a)             125       172,174  
                      553,947  
Consumer, Cyclical – 4.1%                        
Tesla, Inc.*             83       87,713  
Consumer, Non-cyclical – 30.4%                        
Adyen NV, ADR*             1,969       51,824  
Affirm Holdings, Inc.*             1,381       138,874  
Block, Inc., Class A*(a)             818       132,115  
Marathon Digital Holdings, Inc.*             1,949       64,044  
PayPal Holdings, Inc.*             371       69,963  
Shift4 Payments, Inc., Class A*             1,930       111,805  
Toast, Inc., Class A*             2,175       75,494  
                      644,119  
Financial – 20.5%                        
Coinbase Global, Inc., Class A*             379       95,648  
Lemonade, Inc.*(a)             4,091       172,272  
LendingClub Corp.*             357       8,632  
NerdWallet, Inc., Class A*             1,394       21,677  
Upstart Holdings, Inc.*             901       136,321  
                      434,550  
Technology – 7.9%                        
Apple, Inc.             544       96,598  
Intuit, Inc.             34       21,870  
Lightspeed Commerce, Inc.*             1,189       48,071  
                      166,539  
Total Common Stocks (Cost $2,349,756)                     1,886,868  
                         
    Number of Contracts     Notional Amount          
Purchased Options – 8.8%                        
                         
Calls – Exchange-Traded – 7.5%                        
Block, Inc., January Strike Price $240, Expires 1/19/24     13     $ 312,000       24,733  
Block, Inc., January Strike Price $380, Expires 1/19/24     17       646,000       10,370  
Lemonade, Inc., January Strike Price $90, Expires 1/20/23     37       333,000       15,170  
Lemonade, Inc., January Strike Price $100, Expires 1/20/23     207       2,070,000       71,415  
Lemonade, Inc., January Strike Price $120, Expires 1/20/23     50       600,000       13,625  
Lemonade, Inc., January Strike Price $190, Expires 1/20/23     46       874,000       7,590  
Lemonade, Inc., January Strike Price $115, Expires 1/19/24     23       264,500       16,100  
Zillow Group, Inc., January Strike Price $125, Expires 1/21/22     212       2,650,000       424  
                      159,427  

 

See Notes to Financial Statements.

 

26

 

 

Simplify Volt Fintech Disruption ETF
Schedule of Investments (Continued)
December 31, 2021 (Unaudited)

 

    Number of Contracts     Notional Amount     Value  
Purchased Options – 8.8% (continued)                        
Puts – Exchange-Traded – 1.3%                        
Invesco QQQ Trust, June Strike Price $100, Expires 6/17/22     223     $ 2,230,000     $ 1,672  
Invesco QQQ Trust, December Strike Price $170, Expires 12/16/22     67       1,139,000       9,145  
Invesco QQQ Trust, January Strike Price $200, Expires 1/20/23     34       680,000       9,095  
NASDAQ 100 Index, March Strike Price $7,000, Expires 3/18/22     2       1,400,000       505  
NASDAQ 100 Index, September Strike Price $7,000, Expires 9/16/22     2       1,400,000       6,850  
                      27,267  
                         
Total Purchased Options (Cost $375,463)                     186,694  
                         
            Shares          
Money Market Funds – 2.2%                        
Dreyfus Treasury Obligations Cash Management Fund, Institutional Shares, 0.01%(b)                        
(Cost $47,532)             47,532       47,532  
                         
Total Investments – 100.1%                        
(Cost $2,772,751)                   $ 2,121,094  
Liabilities in Excess of Other Assets – (0.1)%                     (1,978 )
Net Assets – 100.0%                   $ 2,119,116  

 

* Non Income Producing
(a) Securities with an aggregate market value of $301,764 have been pledged as collateral for purchased options as of December 31, 2021.
(b) Rate shown reflects the 7-day yield as of December 31, 2021.

ADR : American Depositary Receipt

 

Summary of Schedule of Investments

 

Industry   % of Net
Assets
 
Common Stocks     89.1 %
Purchased Options     8.8 %
Money Market Funds     2.2 %
Total Investments     100.1 %
Liabilities in Excess of Other Assets     (0.1 )%
Net Assets     100.0 %

 

See Notes to Financial Statements.

 

27

 

 

Simplify Volt Pop Culture Disruption ETF
Schedule of Investments
December 31, 2021 (Unaudited)

 

          Shares     Value  
Common Stocks – 95.6%                        
Communications – 58.1%                        
Alphabet, Inc., Class C*             17     $ 49,191  
Amazon.com, Inc.*             12       40,012  
Meta platfirms, Inc., Class A*             320       107,632  
Netflix, Inc.*             179       107,837  
Snap, Inc., Class A*(a)             3,471       163,241  
Spotify Technology SA*             231       54,061  
Tencent Holdings Ltd., ADR             835       48,680  
Twitter, Inc.*             1,030       44,517  
Walt Disney Co. (The)*             275       42,595  
                      657,766  
Consumer, Cyclical – 5.9%                        
Peloton Interactive, Inc., Class A*             431       15,413  
Tesla, Inc.*             49       51,782  
                      67,195  
Technology – 31.6%                        
Activision Blizzard, Inc.             645       42,912  
Apple, Inc.             285       50,608  
Microsoft Corp.             150       50,448  
Roblox Corp., Class A*(a)             1,590       164,024  
salesforce.com, Inc.*             87       22,109  
Unity Software, Inc.*             194       27,740  
                      357,841  
Total Common Stocks (Cost $1,210,005)                     1,082,802  
                         
    Number of Contracts     Notional Amount          
Purchased Options – 2.0%                        
                         
Calls – Exchange-Traded – 0.8%                        
Snap, Inc., January Strike Price $105, Expires 1/20/23     68     $ 714,000       8,228  
Spotify Technology SA, January Strike Price $500, Expires 1/21/22     5       250,000       87  
Spotify Technology SA, January Strike Price $500, Expires 1/20/23     2       100,000       590  
                      8,905  
                         
Puts – Exchange-Traded – 1.2%                        
Invesco QQQ Trust, June Strike Price $100, Expires 6/17/22     198       1,980,000       1,485  
Invesco QQQ Trust, December Strike Price $170, Expires 12/16/22     28       476,000       3,822  
Invesco QQQ Trust, January Strike Price $200, Expires 1/20/23     18       360,000       4,815  
NASDAQ 100 Index, March Strike Price $7,000, Expires 3/18/22     1       700,000       253  
NASDAQ 100 Index, September Strike Price $7,000, Expires 9/16/22     1       700,000       3,425  
                      13,800  
                         
Total Purchased Options (Cost $100,826)                     22,705  

 

See Notes to Financial Statements.

 

28

 

 

Simplify Volt Pop Culture Disruption ETF
Schedule of Investments (Continued)
December 31, 2021 (Unaudited)

 

    Shares     Value  
Money Market Funds – 2.5%                
Dreyfus Treasury Obligations Cash Management Fund, Institutional Shares, 0.01%(b)                
(Cost $27,949)     27,949     $ 27,949  
                 
Total Investments – 100.1%                
(Cost $1,338,780)           $ 1,133,456  
Liabilities in Excess of Other Assets – (0.1)%             (925 )
Net Assets – 100.0%           $ 1,132,531  

 

* Non Income Producing
(a) Securities with an aggregate market value of $244,250 have been pledged as collateral for purchased options as of December 31, 2021.
(b) Rate shown reflects the 7-day yield as of December 31, 2021.

ADR : American Depositary Receipt

 

Summary of Schedule of Investments

 

Industry   % of Net
Assets
 
Common Stocks     95.6 %
Purchased Options     2.0 %
Money Market Funds     2.5 %
Total Investments     100.1 %
Liabilities in Excess of Other Assets     (0.1 )%
Net Assets     100.0 %

 

See Notes to Financial Statements.

 

29

 

 

Simplify Volt RoboCar Disruption and Tech ETF
Schedule of Investments
December 31, 2021 (Unaudited)

 

          Shares     Value  
Common Stocks – 85.0%                        
Basic Materials – 14.8%                        
Albemarle Corp.             1,472     $ 344,109  
MMC Norilsk Nickel PJSC, ADR             13,322       408,586  
Vale SA, ADR             40,417       566,646  
                      1,319,341  
Communications – 11.7%                        
Alphabet, Inc., Class C*             68       196,764  
Amazon.com, Inc.*             104       346,771  
Netflix, Inc.*             482       290,376  
Walt Disney Co. (The)*             1,314       203,526  
                      1,037,437  
Consumer, Cyclical – 15.3%                        
Aurora Innovation, Inc.*             14,902       167,796  
Lucid Group, Inc.*             5,139       195,539  
Rivian Automotive, Inc., Class A*             1,840       190,790  
Tesla, Inc.*(a)             768       811,607  
                      1,365,732  
Industrial – 4.8%                        
Kuka AG, ADR             4,992       423,272  
Technology – 38.4%                        
Advanced Micro Devices, Inc.*             2,975       428,102  
Apple, Inc.             2,182       387,458  
Broadcom, Inc.             390       259,510  
Intel Corp.             4,730       243,595  
Microsoft Corp.             599       201,456  
NVIDIA Corp.             3,898       1,146,441  
Qualcomm, Inc.             1,309       239,377  
Taiwan Semiconductor Manufacturing Co. Ltd., ADR             4,260       512,520  
                      3,418,459  
Total Common Stocks (Cost $7,545,093)                     7,564,241  
                         
    Number of Contracts     Notional Amount          
Purchased Options – 14.3%                        
                         
Calls – Exchange-Traded – 13.5%                        
Tesla Inc, February Strike Price $1,700, Expires 2/18/22     131     $ 22,270,000       57,313  
Tesla Inc, May Strike Price $1,700, Expires 5/20/22     52       8,840,000       143,910  
Tesla, Inc., January Strike Price $1,275, Expires 1/20/23     36       4,590,000       703,800  
Tesla, Inc., March Strike Price $1,725, Expires 3/17/23     23       3,967,500       295,780  
                      1,200,803  
                         
Puts – Exchange-Traded – 0.8%                        
Invesco QQQ Trust, June Strike Price $100, Expires 6/17/22     634       6,340,000       4,755  
Invesco QQQ Trust, December Strike Price $170, Expires 12/16/22     154       2,618,000       21,021  
Invesco QQQ Trust, January Strike Price $200, Expires 1/20/23     139       2,780,000       37,182  
NASDAQ 100 Index, March Strike Price $7,000, Expires 3/18/22     3       2,100,000       758  

 

See Notes to Financial Statements.

 

30

 

 

Simplify Volt RoboCar Disruption and Tech ETF
Schedule of Investments (Continued)
December 31, 2021 (Unaudited)

 

    Number of Contracts     Notional Amount     Value  
Purchased Options – 14.3% (continued)                        
Puts – Exchange-Traded – 0.8% (continued)                        
NASDAQ 100 Index, September Strike Price $7,000, Expires 9/16/22     2     $ 1,400,000     $ 6,850  
                      70,566  
                         
Total Purchased Options (Cost $1,344,498)                     1,271,369  
                         
            Shares          
Money Market Funds – 0.8%                        
Dreyfus Treasury Obligations Cash Management Fund, Institutional Shares, 0.01%(b)                        
(Cost $74,912)             74,912       74,912  
                         
Total Investments – 100.1%                        
(Cost $8,964,503)                   $ 8,910,522  
Liabilities in Excess of Other Assets – (0.1)%                     (4,801 )
Net Assets – 100.0%                   $ 8,905,721  

 

* Non Income Producing
(a) Securities with an aggregate market value of $1,268,136 have been pledged as collateral for purchased options as of December 31, 2021.
(b) Rate shown reflects the 7-day yield as of December 31, 2021.

ADR : American Depositary Receipt

 

Summary of Schedule of Investments

 

Industry   % of Net
Assets
 
Common Stocks     85.0 %
Purchased Options     14.3 %
Money Market Funds     0.8 %
Total Investments     100.1 %
Liabilities in Excess of Other Assets     (0.1 )%
Net Assets     100.0 %

 

See Notes to Financial Statements.

 

31

 

 

Simplify Volatility Premium ETF
Consolidated Schedule of Investments
December 31, 2021 (Unaudited)

 

          Principal     Value  
U.S. Government Obligations – 0.4%                        
U.S. Treasury Note, 0.13%, 4/30/2023(a)                        
(Cost $298,981)           $ 300,000     $ 298,418  
                         
    Number of Contracts     Notional Amount          
Purchased Option – 0.1%                        
                         
Calls – Exchange-Traded – 0.1%                        
iPath Series B S&P 500 VIX Short-Term Futures ETN, January Strike Price $60, Expires 1/21/22     6,300     $ 37,800,000       56,700  
                         
Total Purchased Options (Cost $242,917)                     56,700  
                         
Total Investments – 0.5%                        
(Cost $541,898)                   $ 355,118  
Other Assets in Excess of Liabilities – 99.5%                     72,043,326  
Net Assets – 100.0%                   $ 72,398,444  

 

(a) Securities with an aggregate market value of $298,441 have been pledged as collateral for purchased options as of December 31, 2021.

 

At December 31, 2021 open futures contracts sold were as follows:

 

    Number of
Contracts
    Notional
Value
    Expiration
Date
    Value/
Unrealized
Appreciation
(Depreciation)
 
CBOE VIX Future   (489)   $ (9,620,830 )   1/19/22     $ 2,174,218  
CBOE VIX Future   (326)       (7,162,383 )   2/16/22       231,431  
Total net unrealized appreciation                       $ 2,405,649  

 

Summary of Schedule of Investments

 

Industry   % of Net
Assets
 
U.S. Government Obligations     0.4 %
Purchased Options     0.1 %
Total Investments     0.5 %
Other Assets in Excess of Liabilities     99.5 %
Net Assets     100.0 %

 

See Notes to Financial Statements.

 

32

 

 

(This page intentionally left blank)

 

33

 

 

Simplify Exchange Traded Funds
Statements of Assets and Liabilities
December 31, 2021 (Unaudited)

 

    Simplify
Health Care
ETF
    Simplify
Hedged
Equity
ETF
    Simplify
Interest Rate
Hedge
ETF
    Simplify
Nasdaq
100 PLUS
Convexity
ETF
 
Assets                                
Investments, at value   $ 15,143,395     $ 13,651,136     $ 61,318,718     $ 18,472,117  
Cash     223,201       7,581       39,395,965       2,952  
Cash held as collateral for swaptions                 15,310,000        
Receivables:                                
Dividends     1,604                    
Interest                 97,945        
Due from broker           42,527              
Investment adviser                       3,807  
Total assets     15,368,200       13,701,244       116,122,628       18,478,876  
 
Liabilities                                
Payables:                                
Investment advisory fees     4,507       5,500       50,752       7,610  
Securities purchased           40,608             13,192  
Written options           237,325             19,767  
Total liabilities     4,507       283,433       50,752       40,569  
Net Assets   $ 15,363,693     $ 13,417,811     $ 116,071,876     $ 18,438,307  
 
Net Assets Consist of                                
Paid-in capital   $ 14,437,338     $ 13,272,148     $ 136,908,227     $ 17,232,535  
Distributable earnings (loss)     926,355       145,663       (20,836,351 )     1,205,772  
Net Assets   $ 15,363,693     $ 13,417,811     $ 116,071,876     $ 18,438,307  
Number of Common Shares outstanding     550,001       525,001       3,100,001       550,001  
Net Asset Value, offering and redemption price per share   $ 27.93     $ 25.56     $ 37.44     $ 33.52  
Investments, at cost   $ 14,265,412     $ 13,612,112     $ 77,239,185     $ 17,306,042  
Premiums received   $     $ 298,845     $     $ 20,826  

 

See Notes to Financial Statements.

 

34

 

 

Simplify Exchange Traded Funds
Statements of Assets and Liabilities (Continued)
December 31, 2021 (Unaudited)

 

    Simplify
Nasdaq
100 PLUS
Downside
Convexity
ETF
    Simplify
Risk Parity
Treasury
ETF
    Simplify Tail
Risk Strategy
ETF
    Simplify US
Equity PLUS
Convexity
ETF
 
Assets                        
Investments, at value   $ 16,122,207     $ 23,389,687     $ 27,955,844     $ 114,710,239  
Cash     2,949       7,313,309       1,357,398        
Cash held as collateral for futures           8,900,000              
Receivables:                                
Investment adviser     3,051       2,819       29,810       23,733  
Interest           93,546              
Dividends                       3  
Variation margin on futures contracts           45,000              
Due from broker           120,640              
Securities sold                       35,829  
Total assets     16,128,207       39,865,001       29,343,052       114,769,804  
                                 
Liabilities                                
Payables:                                
Written options     34,545             373,878       151,360  
Investment advisory fees     6,098       7,047       17,261       47,467  
Securities purchased           2,610,141              
Total liabilities     40,643       2,617,188       391,139       198,827  
Net Assets   $ 16,087,564     $ 37,247,813     $ 28,951,913     $ 114,570,977  
 
Net Assets Consist of                                
Paid-in capital   $ 15,015,366     $ 37,147,316     $ 30,235,307     $ 95,677,547  
Distributable earnings (loss)     1,072,198       100,497       (1,283,394 )     18,893,430  
Net Assets   $ 16,087,564     $ 37,247,813     $ 28,951,913     $ 114,570,977  
Number of Common Shares outstanding     500,001       1,500,001       1,225,001       3,329,000  
Net Asset Value, offering and redemption price per share   $ 32.18     $ 24.83     $ 23.63     $ 34.42  
Investments, at cost   $ 15,198,095     $ 23,410,472     $ 28,877,973     $ 96,939,719  
Premiums received   $ 37,226     $     $ 403,599     $ 181,743  

 

See Notes to Financial Statements.

 

35

 

 

Simplify Exchange Traded Funds
Statements of Assets and Liabilities (Continued)
December 31, 2021 (Unaudited)

 

    Simplify US
Equity PLUS
Downside
Convexity
ETF
    Simplify US
Equity PLUS
GBTC
ETF
    Simplify US
Equity PLUS
Upside
Convexity
ETF
    Simplify Volt
Cloud and
Cybersecurity
Disruption
ETF
 
Assets                                
Investments, at value   $ 459,072,452     $ 113,393,158     $ 21,227,013     $ 15,988,954  
Cash           377,845              
Cash held as collateral for futures           3,752,422              
Receivables:                                
Capital shares     12,420,951                    
Securities sold     315,855       52,250              
Investment adviser     81,975             3,992        
Dividends     13             1       2  
Due from broker           2,109,853              
Total assets     471,891,246       119,685,528       21,231,006       15,988,956  
 
Liabilities                                
Due to custodian                       82  
Due to broker     193,127             2,666        
Payables:                                
Securities purchased     12,468,310             7,166        
Written options     1,226,090                    
Investment advisory fees     163,951       52,601       7,984       14,081  
Variation margin on futures contracts           52,250              
Total liabilities     14,051,478       104,851       17,816       14,163  
Net Assets   $ 457,839,768     $ 119,580,677     $ 21,213,190     $ 15,974,793  
 
Net Assets Consist of                                
Paid-in capital   $ 414,294,059     $ 106,745,971     $ 18,242,547     $ 16,627,140  
Distributable earnings (loss)     43,545,709       12,834,706       2,970,643       (652,347 )
Net Assets   $ 457,839,768     $ 119,580,677     $ 21,213,190     $ 15,974,793  
Number of Common Shares outstanding     13,825,001       4,250,001       600,001       1,050,316  
Net Asset Value, offering and redemption price per share   $ 33.12     $ 28.14     $ 35.36     $ 15.21  
Investments, at cost   $ 414,605,640     $ 102,020,402     $ 18,218,205     $ 16,623,775  
Premiums received   $ 1,423,967     $     $     $  

 

See Notes to Financial Statements.

 

36

 

 

Simplify Exchange Traded Funds
Statements of Assets and Liabilities (Continued)
December 31, 2021 (Unaudited)

 

    Simplify Volt
Fintech
Disruption
ETF
    Simplify Volt
Pop Culture
Disruption
ETF
    Simplify Volt
RoboCar
Disruption
and Tech
ETF
 
Assets                        
Investments, at value   $ 2,121,094     $ 1,133,456     $ 8,910,522  
Receivables:                        
Interest                 1  
Dividends                 2,920  
Total assets     2,121,094       1,133,456       8,913,443  
 
Liabilities                        
Due to broker                 53  
Payables:                        
Investment advisory fees     1,978       925       7,669  
Total liabilities     1,978       925       7,722  
Net Assets   $ 2,119,116     $ 1,132,531     $ 8,905,721  
 
Net Assets Consist of                        
Paid-in capital   $ 3,503,680     $ 1,215,554     $ 9,551,954  
Distributable earnings (loss)     (1,384,564 )     (83,023 )     (646,233 )
Net Assets   $ 2,119,116     $ 1,132,531     $ 8,905,721  
Number of Common Shares outstanding     250,316       100,316       575,420  
Net Asset Value, offering and redemption price per share   $ 8.47     $ 11.29     $ 15.48  
Investments, at cost   $ 2,772,751     $ 1,338,780     $ 8,964,503  

 

See Notes to Financial Statements.

 

37

 

 

Simplify Exchange Traded Funds
Consolidated Statement of Assets and Liabilities
December 31, 2021 (Unaudited)

 

    Simplify
Volatility
Premium
ETF
 
Assets        
Investments, at value   $ 355,118  
Cash     55,327,673  
Cash held as collateral for futures     13,332,274  
Receivables:        
Due from broker     3,414,448  
Variation margin on futures contracts     156,676  
Interest     63  
Total assets     72,586,252  
         
Liabilities        
Payables:        
Securities purchased     156,453  
Investment advisory fees     31,132  
Distributions payable     223  
Total liabilities     187,808  
Net Assets   $ 72,398,444  
         
Net Assets Consist of        
Paid-in capital   $ 70,532,750  
Distributable earnings (loss)     1,865,694  
Net Assets   $ 72,398,444  
Number of Common Shares outstanding     2,650,001  
Net Asset Value, offering and redemption price per share   $ 27.32  
Investments, at cost   $ 541,898  

 

See Notes to Financial Statements.

 

38

 

 

Simplify Exchange Traded Funds
Statements of Operations
For the Six Months Ended December 31, 2021 (Unaudited)

 

    Simplify
Health Care
ETF(1)
    Simplify
Hedged
Equity
ETF(2)
    Simplify
Interest Rate
Hedge
ETF
    Simplify
Nasdaq
100 PLUS
Convexity
ETF
 
Investment Income                                
Dividend income*   $ 12,723     $ 42,527     $     $ 30,456  
Interest income                 260,246        
Total income     12,723       42,527       260,246       30,456  
 
Expenses                                
Investment advisory fees     7,498       9,593       253,732       20,329  
Interest expense                       11  
Other expenses                 30       44  
Total expenses     7,498       9,593       253,762       20,384  
Less fees waived (see Note 5):                                
Waiver                       (10,209 )
Net expenses     7,498       9,593       253,762       10,175  
Net investment income (loss)     5,225       32,934       6,484       20,281  
 
Realized and Unrealized Gain (Loss)                                
Net realized gain (loss) from:                                
Investments     49,582       (31,688 )     (4,916,056 )     31,094  
In-kind redemptions           8,436              
Written options           68,236             18,643  
Net realized gain (loss)     49,582       44,984       (4,916,056 )     49,737  
Net change in unrealized appreciation (depreciation) on:                                
Investments     877,983       39,024       (4,078,122 )     769,381  
Written options           61,520             1,059  
Net unrealized gain (loss)     877,983       100,544       (4,078,122 )     770,440  
Net realized and unrealized gain (loss)     927,565       145,528       (8,994,178 )     820,177  
Net Increase (Decrease) in Net Assets Resulting from Operations   $ 932,790     $ 178,462     $ (8,987,694 )   $ 840,458  
* Withholding tax   $ 18     $     $     $  

 

(1) For the period October 8, 2021 (commencement of operations) through December 31, 2021.
(2) For the period November 2, 2021 (commencement of operations) through December 31, 2021.

 

See Notes to Financial Statements.

 

39

 

 

Simplify Exchange Traded Funds
Statements of Operations (Continued)
For the Six Months Ended December 31, 2021 (Unaudited)

 

    Simplify
Nasdaq
100 PLUS
Downside
Convexity
ETF
    Simplify
Risk Parity
Treasury
ETF(1)
    Simplify Tail
Risk Strategy
ETF(2)
    Simplify US
Equity PLUS
Convexity
ETF
 
Investment Income                                
Dividend income   $ 25,354     $     $     $ 733,340  
Affiliated dividend income                 732,078        
Interest income           40,494              
Total income     25,354       40,494       732,078       733,340  
 
Expenses                                
Investment advisory fees     20,726       12,744       42,675       257,232  
Interest expense     17                   7  
Other expenses     44                   57  
Total expenses     20,787       12,744       42,675       257,296  
Less fees waived (see Note 5):                                
Waiver     (10,409 )     (5,098 )     (37,674 )     (128,673 )
Net expenses     10,378       7,646       5,001       128,623  
Net investment income (loss)     14,976       32,848       727,077       604,717  
 
Realized and Unrealized Gain (Loss)                                
Net realized gain (loss) from:                                
Investments     (71,965 )     1       (784,136 )     357,173  
Affiliated investments                 (16,200 )      
In-kind redemptions     221,525                   1,311,694  
Futures           (740,200 )            
Written options     21,040             158,198       53,896  
Net realized gain (loss)     170,600       (740,199 )     (642,138 )     1,722,763  
Net change in unrealized appreciation (depreciation) on:                                
Investments     683,548       (20,785 )     (692,116 )     9,913,173  
Affiliated investments                 (230,013 )      
Futures           860,854              
Written options     2,681             29,721       30,383  
Net unrealized gain (loss)     686,229       840,069       (892,408 )     9,943,556  
Net realized and unrealized gain (loss)     856,829       99,870       (1,534,546 )     11,666,319  
Net Increase (Decrease) in Net Assets Resulting from Operations   $ 871,805     $ 132,718     $ (807,469 )   $ 12,271,036  

 

(1) For the period September 28, 2021 (commencement of operations) through December 31, 2021.
(2) For the period September 14, 2021 (commencement of operations) through December 31, 2021.

 

See Notes to Financial Statements.

 

40

 

 

Simplify Exchange Traded Funds
Statements of Operations (Continued)
For the Six Months Ended December 31, 2021 (Unaudited)

 

    Simplify US
Equity PLUS
Downside
Convexity
ETF
    Simplify US
Equity PLUS
GBTC
ETF
    Simplify US
Equity PLUS
Upside
Convexity
ETF
    Simplify Volt
Cloud and
Cybersecurity
Disruption
ETF
 
Investment Income                                
Dividend income   $ 2,402,620     $ 696,550     $ 113,155     $ 2,371  
                                 
Expenses                                
Investment advisory fees     798,424       286,443       34,916       53,340  
Interest expense     27       200       1       1  
Other expenses     57       30       57       44  
Total expenses     798,508       286,673       34,974       53,385  
Less fees waived (see Note 5):                                
Waiver     (399,257 )           (17,516 )      
Net expenses     399,251       286,673       17,458       53,385  
Net investment income (loss)     2,003,369       409,877       95,697       (51,014 )
                                 
Realized and Unrealized Gain (Loss)                                
Net realized gain (loss) from:                                
Investments     (3,722,909 )     7,593       179,999       966,838  
In-kind redemptions     2,792,609       761,221             284,557  
Futures           1,773,532              
Written options     359,570                    
Net realized gain (loss)     (570,730 )     2,542,346       179,999       1,251,395  
Net change in unrealized appreciation (depreciation) on:                                
Investments     29,012,666       10,248,982       1,850,719       (1,213,202 )
Futures           32,008              
Written options     197,877                    
Net unrealized gain (loss)     29,210,543       10,280,990       1,850,719       (1,213,202 )
Net realized and unrealized gain (loss)     28,639,813       12,823,336       2,030,718       38,193  
Net Increase (Decrease) in Net Assets Resulting from Operations   $ 30,643,182     $ 13,233,213     $ 2,126,415     $ (12,821 )

 

See Notes to Financial Statements.

 

41

 

 

Simplify Exchange Traded Funds
Statements of Operations (Continued)
For the Six Months Ended December 31, 2021 (Unaudited)

 

    Simplify Volt
Fintech
Disruption
ETF
    Simplify Volt
Pop Culture
Disruption
ETF
    Simplify Volt
RoboCar
Disruption
and Tech
ETF
 
Investment Income                        
Dividend income*   $ 162     $ 230     $ 22,729  
 
Expenses                        
Investment advisory fees     14,118       7,164       19,622  
Interest expense     14       2       3  
Other expenses     44       44       44  
Total expenses     14,176       7,210       19,669  
Net investment income (loss)     (14,014 )     (6,980 )     3,060  
 
Realized and Unrealized Gain (Loss)                        
Net realized gain (loss) from:                        
Investments     (401,911 )     (13,835 )     (272,642 )
In-kind redemptions     (37,837 )     184,180       109,987  
Net realized gain (loss)     (439,748 )     170,345       (162,655 )
Net change in unrealized appreciation (depreciation) on:                        
Investments     (472,609 )     (231,555 )     12,740  
Net unrealized gain (loss)     (472,609 )     (231,555 )     12,740  
Net realized and unrealized gain (loss)     (912,357 )     (61,210 )     (149,915 )
Net Increase (Decrease) in Net Assets Resulting from Operations   $ (926,371 )   $ (68,190 )   $ (146,855 )
* Withholding tax   $     $     $ 144  

 

See Notes to Financial Statements.

 

42

 

 

Simplify Exchange Traded Funds
Consolidated Statement of Operations
For the Six Months Ended December 31, 2021 (Unaudited)

 

    Simplify
Volatility
Premium
ETF
 
Investment Income        
Dividend income   $ 77  
 
Expenses        
Investment advisory fees     111,566  
Interest expense     6,350  
Other expenses     30  
Total expenses     117,946  
Net investment income (loss)     (117,869 )
 
Realized and Unrealized Gain (Loss)        
Net realized gain (loss) from:        
Investments     (201,308 )
In-kind redemptions     118,493  
Futures     2,512,667  
Net realized gain (loss)     2,429,852  
Net change in unrealized appreciation (depreciation) on:        
Investments     (770,377 )
Futures     2,405,772  
Net unrealized gain (loss)     1,635,395  
Net realized and unrealized gain (loss)     4,065,247  
Net Increase (Decrease) in Net Assets Resulting from Operations   $ 3,947,378  

 

See Notes to Financial Statements.

 

43

 

 

Simplify Exchange Traded Funds
Statements of Changes in Net Assets

 

    Simplify
Health Care
ETF
    Simplify
Hedged
Equity
ETF
    Simplify Interest
Rate Hedge
ETF
 
    For the period
October 8,
2021(1) to
December 31,
2021

(Unaudited)
    For the period
November 2,
2021(1) to
December 31,
2021

(Unaudited)
    For the Six
Months
Ended
December 31,
2021
(Unaudited)
    For the period
May 11,
2021(1) to
June 30,
2021
 
Increase (Decrease) in Net Assets from Operations                                
Net investment income (loss)   $ 5,225     $ 32,934     $ 6,484     $ (3,191 )
Net realized gain (loss)     49,582       44,984       (4,916,056 )     (2 )
Net change in net unrealized appreciation (depreciation)     877,983       100,544       (4,078,122 )     (11,842,345 )
Net increase (decrease) in net assets resulting from operations     932,790       178,462       (8,987,694 )     (11,845,538 )
 
Distributions     (6,435 )     (32,799 )     (3,119 )      
 
Fund Shares Transactions                                
Proceeds from shares sold     14,437,338       14,537,066       61,283,318       73,682,046  
Variable transaction fees (see Note 7)                 919,250       1,023,613  
Value of shares redeemed           (1,264,918 )            
Net increase (decrease) in net assets resulting from fund share transactions     14,437,338       13,272,148       62,202,568       74,705,659  
Total net increase (decrease) in Net Assets     15,363,693       13,417,811       53,211,755       62,860,121  
 
Net Assets                                
Beginning of period                 62,860,121        
End of period   $ 15,363,693     $ 13,417,811     $ 116,071,876     $ 62,860,121  
 
Changes in Shares Outstanding                                
Shares outstanding, beginning of period                 1,550,001        
Shares sold     550,001 (2)     575,001 (2)     1,550,000       1,550,001 (2)
Shares redeemed           (50,000 )            
Shares outstanding, end of period     550,001       525,001       3,100,001       1,550,001  

 

(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.

 

44

 

 

Simplify Exchange Traded Funds
Statements of Changes in Net Assets (Continued)

 

    Simplify Nasdaq 100 PLUS
Convexity ETF
    Simplify Nasdaq 100 PLUS
Downside Convexity ETF
    Simplify
Risk Parity
Treasury ETF
 
    For the Six
Months
Ended
December 31,
2021
(Unaudited)
    For the period
December 11,
2020(1) to
June 30,
2021
    For the Six
Months
Ended
December 31,
2021
(Unaudited)
    For the period
December 11,
2020(1) to
June 30,
2021
    For the period
September
28, 2021(1) to
December 31,
2021

(Unaudited)
 
Increase (Decrease) in Net Assets from Operations                                        
Net investment income (loss)   $ 20,281     $ 7,393     $ 14,976     $ 6,109     $ 32,848  
Net realized gain (loss)     49,737       (11,083 )     170,600       38,513       (740,199 )
Net change in net unrealized appreciation (depreciation)     770,440       396,694       686,229       240,564       840,069  
Net increase (decrease) in net assets resulting from operations     840,458       393,004       871,805       285,186       132,718  
 
Distributions     (20,294 )     (7,396 )     (15,019 )     (6,111 )     (32,221 )
 
Fund Shares Transactions                                        
Proceeds from shares sold     14,665,502       2,567,033       13,787,185       3,942,427       37,147,316  
Value of shares redeemed                 (1,456,963 )     (1,320,946 )      
Net increase (decrease) in net assets resulting from fund share transactions     14,665,502       2,567,033       12,330,222       2,621,481       37,147,316  
Total net increase (decrease) in Net Assets     15,485,666       2,952,641       13,187,008       2,900,556       37,247,813  
 
Net Assets                                        
Beginning of period     2,952,641             2,900,556              
End of period   $ 18,438,307     $ 2,952,641     $ 16,087,564     $ 2,900,556     $ 37,247,813  
 
Changes in Shares Outstanding                                        
Shares outstanding, beginning of period     100,001             100,001              
Shares sold     450,000       100,001 (2)     450,000       150,001 (2)     1,500,001 (2)
Shares redeemed                 (50,000 )     (50,000 )      
Shares outstanding, end of period     550,001       100,001       500,001       100,001       1,500,001  

 

(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.

 

45

 

 

Simplify Exchange Traded Funds
Statements of Changes in Net Assets (Continued)

 

    Simplify Tail
Risk Strategy
ETF
    Simplify US Equity PLUS
Convexity ETF
    Simplify US Equity PLUS
Downside Convexity ETF
 
    For the period
September
14, 2021(1) to
December 31,
2021

(Unaudited)
    For the Six
Months
Ended
December 31,
2021
(Unaudited)
    For the period
September 4,
2020(1) to
June 30,
2021
    For the Six
Months
Ended
December 31,
2021
(Unaudited)
    For the period
September 4,
2020(1) to
June 30,
2021
 
Increase (Decrease) in Net Assets from Operations                                        
Net investment income (loss)   $ 727,077     $ 604,717     $ 723,164     $ 2,003,369     $ 1,008,964  
Net realized gain (loss)     (642,138 )     1,722,763       10,734,712       (570,730 )     1,723,772  
Net change in net unrealized appreciation (depreciation)     (892,408 )     9,943,556       7,857,347       29,210,543       15,454,146  
Net increase (decrease) in net assets resulting from operations     (807,469 )     12,271,036       19,315,223       30,643,182       18,186,882  
 
Distributions     (475,925 )     (604,762 )     (723,257 )     (2,005,836 )     (1,009,141 )
 
Fund Shares Transactions                                        
Proceeds from shares sold     30,235,307       20,281,635       127,487,621       218,677,364       225,771,624  
Value of shares redeemed           (6,323,402 )     (57,233,117 )     (14,170,575 )     (18,253,732 )
Net increase (decrease) in net assets resulting from fund share transactions     30,235,307       13,958,233       70,254,504       204,506,789       207,517,892  
Total net increase (decrease) in Net Assets     28,951,913       25,624,507       88,846,470       233,144,135       224,695,633  
 
Net Assets                                        
Beginning of period           88,946,470       100,000       224,695,633        
End of period   $ 28,951,913     $ 114,570,977     $ 88,946,470     $ 457,839,768     $ 224,695,633  
 
Changes in Shares Outstanding                                        
Shares outstanding, beginning of period           2,904,000       4,000       7,425,001        
Shares sold     1,225,001 (2)     625,000       4,825,000       6,850,000       8,079,001 (2)
Shares redeemed           (200,000 )     (1,925,000 )     (450,000 )     (654,000 )
Shares outstanding, end of period     1,225,001       3,329,000       2,904,000       13,825,001       7,425,001  

 

(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.

 

46

 

 

Simplify Exchange Traded Funds
Statements of Changes in Net Assets (Continued)

 

<
    Simplify US Equity PLUS
GBTC ETF
    Simplify US Equity PLUS
Upside Convexity ETF
 
    For the Six
Months
Ended
December 31,
2021
(Unaudited)
    For the period
May 25,
2021(1) to
June 30,
2021
    For the Six
Months
Ended
December 31,
2021
(Unaudited)
    For the period
September 4,
2020(1) to
June 30,
2021
 
Increase (Decrease) in Net Assets from Operations                                
Net investment income (loss)   $ 409,877     $ 177,357     $ 95,697     $ 65,241  
Net realized gain (loss)     2,542,346       127,758       179,999       186,926  
Net change in net unrealized appreciation (depreciation)     10,280,990       1,301,510       1,850,719       1,158,089  
Net increase (decrease) in net assets resulting from operations     13,233,213       1,606,625       2,126,415       1,410,256  
 
Distributions     (1,827,702 )     (177,430 )     (321,670 )     (65,305 )
 
Fund Shares Transactions