December 31, 2022
Semi-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 Nasdaq 100 PLUS Convexity ETF (QQC)
Simplify Nasdaq 100 PLUS Downside Convexity ETF (QQD)
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 US Small Cap PLUS Downside Convexity ETF (RTYD)
Simplify Volt Cloud and Cybersecurity Disruption ETF (VCLO)
Simplify Volt RoboCar Disruption and Tech ETF (VCAR)
Simplify Bitcoin Strategy PLUS Income ETF (MAXI)
Simplify Macro Strategy ETF (FIG)
Simplify Managed Futures Strategy ETF (CTA)
Simplify Volatility Premium ETF (SVOL)
Simplify Exchange Traded Funds
Table of Contents
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.
i
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 Stable Income ETF, Simplify US Equity PLUS GBTC ETF, Simplify Volt Cloud and Cybersecurity Disruption ETF, Simplify Volt RoboCar Disruption and Tech ETF, Simplify Bitcoin Strategy PLUS Income 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 (July 1, 2022, except otherwise noted below, to December 31, 2022).
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, 2022 |
Ending Account Value December 31, 2022 |
Annualized Expense Ratio |
Expenses Paid During the Period Per $1,000(1) |
|||||||||||||
| Simplify Aggregate Bond PLUS Credit Hedge ETF | ||||||||||||||||
| Actual | $ | 1,000.00 | $ | 959.40 | 0.27 | % | $ | 1.33 | ||||||||
| Hypothetical (5% return before expenses) | $ | 1,000.00 | $ | 1,023.84 | 0.27 | % | $ | 1.38 | ||||||||
| Simplify Developed Ex-US PLUS Downside Convexity ETF | ||||||||||||||||
| Actual | $ | 1,000.00 | $ | 958.70 | 0.31 | % | $ | 1.53 | ||||||||
| Hypothetical (5% return before expenses) | $ | 1,000.00 | $ | 1,023.64 | 0.31 | % | $ | 1.58 | ||||||||
| Simplify Emerging Markets Equity PLUS Downside Convexity ETF | ||||||||||||||||
| Actual | $ | 1,000.00 | $ | 887.00 | 0.32 | % | $ | 1.52 | ||||||||
| Hypothetical (5% return before expenses) | $ | 1,000.00 | $ | 1,023.59 | 0.32 | % | $ | 1.63 | ||||||||
| Simplify Enhanced Income ETF | ||||||||||||||||
| Actual | $ | 1,000.00 | $ | 1,007.30 | 0.89 | % | $ | 1.59 | (2) | |||||||
| Hypothetical (5% return before expenses) | $ | 1,000.00 | $ | 1,020.72 | 0.89 | % | $ | 4.53 | ||||||||
| Simplify Health Care ETF | ||||||||||||||||
| Actual | $ | 1,000.00 | $ | 1,085.00 | 0.50 | % | $ | 2.63 | ||||||||
| Hypothetical (5% return before expenses) | $ | 1,000.00 | $ | 1,022.68 | 0.50 | % | $ | 2.55 | ||||||||
| Simplify Hedged Equity ETF | ||||||||||||||||
| Actual | $ | 1,000.00 | $ | 1,014.60 | 0.76 | % | $ | 3.86 | ||||||||
| Hypothetical (5% return before expenses) | $ | 1,000.00 | $ | 1,021.37 | 0.76 | % | $ | 3.87 | ||||||||
| Simplify High Yield PLUS Credit Hedge ETF | ||||||||||||||||
| Actual | $ | 1,000.00 | $ | 1,019.20 | 0.27 | % | $ | 1.37 | ||||||||
| Hypothetical (5% return before expenses) | $ | 1,000.00 | $ | 1,023.84 | 0.27 | % | $ | 1.38 | ||||||||
| Simplify Interest Rate Hedge ETF | ||||||||||||||||
| Actual | $ | 1,000.00 | $ | 1,268.20 | 0.50 | % | $ | 2.86 | ||||||||
| Hypothetical (5% return before expenses) | $ | 1,000.00 | $ | 1,022.68 | 0.50 | % | $ | 2.55 | ||||||||
| Simplify Intermediate Term Treasury Futures Strategy ETF | ||||||||||||||||
| Actual | $ | 1,000.00 | $ | 848.30 | 0.16 | % | $ | 0.75 | ||||||||
| Hypothetical (5% return before expenses) | $ | 1,000.00 | $ | 1,024.40 | 0.16 | % | $ | 0.82 | ||||||||
| Simplify Nasdaq 100 PLUS Convexity ETF | ||||||||||||||||
| Actual | $ | 1,000.00 | $ | 611.80 | 0.31 | % | $ | 1.26 | ||||||||
| Hypothetical (5% return before expenses) | $ | 1,000.00 | $ | 1,023.64 | 0.31 | % | $ | 1.58 | ||||||||
1
Simplify Exchange Traded Funds
Fees and Expenses (Unaudited) (Continued)
| Beginning Account Value July 1, 2022 |
Ending Account Value December 31, 2022 |
Annualized Expense Ratio |
Expenses Paid During the Period Per $1,000(1) |
|||||||||||||
| Simplify Nasdaq 100 PLUS Downside Convexity ETF | ||||||||||||||||
| Actual | $ | 1,000.00 | $ | 862.90 | 0.33 | % | $ | 1.55 | ||||||||
| Hypothetical (5% return before expenses) | $ | 1,000.00 | $ | 1,023.54 | 0.33 | % | $ | 1.68 | ||||||||
| Simplify Short Term Treasury Futures Strategy ETF | ||||||||||||||||
| Actual | $ | 1,000.00 | $ | 994.00 | 0.15 | % | $ | 0.19 | (3) | |||||||
| Hypothetical (5% return before expenses) | $ | 1,000.00 | $ | 1,024.45 | 0.15 | % | $ | 0.77 | ||||||||
| Simplify Stable Income ETF | ||||||||||||||||
| Actual | $ | 1,000.00 | $ | 1,007.70 | 0.42 | % | $ | 0.75 | (2) | |||||||
| Hypothetical (5% return before expenses) | $ | 1,000.00 | $ | 1,023.09 | 0.42 | % | $ | 2.14 | ||||||||
| Simplify Tail Risk Strategy ETF | ||||||||||||||||
| Actual | $ | 1,000.00 | $ | 618.60 | 0.44 | % | $ | 1.80 | ||||||||
| Hypothetical (5% return before expenses) | $ | 1,000.00 | $ | 1,022.99 | 0.44 | % | $ | 2.24 | ||||||||
| Simplify US Equity PLUS Convexity ETF | ||||||||||||||||
| Actual | $ | 1,000.00 | $ | 746.10 | 0.32 | % | $ | 1.41 | ||||||||
| Hypothetical (5% return before expenses) | $ | 1,000.00 | $ | 1,023.59 | 0.32 | % | $ | 1.63 | ||||||||
| Simplify US Equity PLUS Downside Convexity ETF | ||||||||||||||||
| Actual | $ | 1,000.00 | $ | 923.00 | 0.41 | % | $ | 1.99 | ||||||||
| Hypothetical (5% return before expenses) | $ | 1,000.00 | $ | 1,023.14 | 0.41 | % | $ | 2.09 | ||||||||
| Simplify US Equity PLUS GBTC ETF | ||||||||||||||||
| Actual | $ | 1,000.00 | $ | 987.10 | 0.50 | % | $ | 2.50 | ||||||||
| Hypothetical (5% return before expenses) | $ | 1,000.00 | $ | 1,022.68 | 0.50 | % | $ | 2.55 | ||||||||
| Simplify US Equity PLUS Upside Convexity ETF | ||||||||||||||||
| Actual | $ | 1,000.00 | $ | 993.30 | 0.26 | % | $ | 1.31 | ||||||||
| Hypothetical (5% return before expenses) | $ | 1,000.00 | $ | 1,023.89 | 0.26 | % | $ | 1.33 | ||||||||
| Simplify US Small Cap PLUS Downside Convexity ETF | ||||||||||||||||
| Actual | $ | 1,000.00 | $ | 937.60 | 0.31 | % | $ | 1.51 | ||||||||
| Hypothetical (5% return before expenses) | $ | 1,000.00 | $ | 1,023.64 | 0.31 | % | $ | 1.58 | ||||||||
| Simplify Volt Cloud and Cybersecurity Disruption ETF | ||||||||||||||||
| Actual | $ | 1,000.00 | $ | 624.00 | 0.98 | % | $ | 4.01 | ||||||||
| Hypothetical (5% return before expenses) | $ | 1,000.00 | $ | 1,020.27 | 0.98 | % | $ | 4.99 | ||||||||
| Simplify Volt RoboCar Disruption and Tech ETF | ||||||||||||||||
| Actual | $ | 1,000.00 | $ | 659.20 | 1.02 | % | $ | 4.27 | ||||||||
| Hypothetical (5% return before expenses) | $ | 1,000.00 | $ | 1,020.06 | 1.02 | % | $ | 5.19 | ||||||||
| Simplify Bitcoin Strategy PLUS Income ETF | ||||||||||||||||
| Actual | $ | 1,000.00 | $ | 869.30 | 10.86 | % | $ | 25.58 | (4) | |||||||
| Hypothetical (5% return before expenses) | $ | 1,000.00 | $ | 970.46 | 10.86 | % | $ | 53.94 | ||||||||
| Simplify Macro Strategy ETF | ||||||||||||||||
| Actual | $ | 1,000.00 | $ | 1,024.40 | 0.42 | % | $ | 2.14 | ||||||||
| Hypothetical (5% return before expenses) | $ | 1,000.00 | $ | 1,023.09 | 0.42 | % | $ | 2.14 | ||||||||
| Simplify Managed Futures Strategy ETF | ||||||||||||||||
| Actual | $ | 1,000.00 | $ | 1,025.20 | 0.71 | % | $ | 3.62 | ||||||||
| Hypothetical (5% return before expenses) | $ | 1,000.00 | $ | 1,021.63 | 0.71 | % | $ | 3.62 | ||||||||
| Simplify Volatility Premium ETF | ||||||||||||||||
| Actual | $ | 1,000.00 | $ | 954.30 | 1.40 | % | $ | 6.90 | ||||||||
| Hypothetical (5% return before expenses) | $ | 1,000.00 | $ | 1,018.15 | 1.40 | % | $ | 7.12 | ||||||||
| (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 65 (the number of days in the period October 28, 2022 (commencement of operations) to December 31, 2022), 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 47 (the number of days in the period November 15, 2022 (commencement of operations) to December 31, 2022), 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 92 (the number of days in the period September 30, 2022 (commencement of operations) to December 31, 2022), then divided by 365. |
2
Simplify Aggregate Bond PLUS Credit Hedge ETF
Schedule of Investments
December 31, 2022 (Unaudited)
| Shares | Value | |||||||
| Exchange-Traded Funds – 92.9% | ||||||||
| iShares Core U.S. Aggregate Bond ETF(a) | 15,730 | $ | 1,525,653 | |||||
| Simplify Interest Rate Hedge ETF(b) | 440 | 31,508 | ||||||
| Total Exchange-Traded Funds (Cost $1,656,961) | 1,557,161 | |||||||
| Total Investments – 92.9% | ||||||||
| (Cost $1,656,961) | $ | 1,557,161 | ||||||
| Other Assets in Excess of Liabilities – 7.1% | 118,988 | |||||||
| Net Assets – 100.0% | $ | 1,676,149 | ||||||
| (a) | A copy of the security’s annual report to shareholders may be obtained without charge at www.ishares.com. |
| (b) | Affiliated fund managed by Simplify Asset Management Inc. |
At December 31, 2022, 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 | 4.03 | %(c) | Morgan Stanley Capital Services LLC | 179,358 | $ | 2,145 | ||||||||||
| Morgan Stanley Custom Quality Index* | 2/15/2024 | 4.73 | %(c) | Morgan Stanley Capital Services LLC | (248,365 | ) | (2,747 | ) | |||||||||
| $ | (602 | ) | |||||||||||||||
| * | 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. | (41 | ) | $ | (1,881 | ) | 1.06 | % | |||||
| Axalta Coating Systems Ltd. | (70 | ) | (1,785 | ) | 1.01 | % | ||||||
| Chemours Co. (The) | (59 | ) | (1,816 | ) | 1.02 | % | ||||||
| Cleveland-Cliffs, Inc. | (120 | ) | (1,926 | ) | 1.08 | % | ||||||
| Sylvamo Corp. | (35 | ) | (1,723 | ) | 0.97 | % | ||||||
| U.S. Steel Corp. | (76 | ) | (1,903 | ) | 1.07 | % | ||||||
| (11,034 | ) | |||||||||||
| Communications | ||||||||||||
| Altice USA, Inc., Class A | (471 | ) | (2,168 | ) | 1.22 | % | ||||||
| AT&T, Inc. | (136 | ) | (2,512 | ) | 1.41 | % | ||||||
| Cable One Inc. | (3 | ) | (1,786 | ) | 1.00 | % | ||||||
| Charter Communications Inc, Class A | (6 | ) | (2,193 | ) | 1.23 | % | ||||||
| Commscope Holding Co., Inc. | (150 | ) | (1,104 | ) | 0.62 | % | ||||||
| Dish Network Corp., Class A | (122 | ) | (1,717 | ) | 0.97 | % | ||||||
See Notes to Financial Statements.
3
Simplify Aggregate Bond PLUS Credit Hedge ETF
Schedule of Investments (Continued)
December 31, 2022 (Unaudited)
| Shares | Value | %
of basket |
||||||||||
| Common Stocks (continued) | ||||||||||||
| Communications (continued) | ||||||||||||
| Frontier Communications Parent | (74 | ) | $ | (1,893 | ) | 1.06 | % | |||||
| Lumen Technologies, Inc. | (336 | ) | (1,754 | ) | 0.99 | % | ||||||
| Nexstar Media Group, Inc., Class A | (9 | ) | (1,636 | ) | 0.92 | % | ||||||
| Telephone And Data Systems, Inc. | (128 | ) | (1,343 | ) | 0.76 | % | ||||||
| Viasat, Inc. | (59 | ) | (1,863 | ) | 1.05 | % | ||||||
| Warner Bros Discovery Inc. | (192 | ) | (1,823 | ) | 1.03 | % | ||||||
| (21,792 | ) | |||||||||||
| Consumer, Cyclical | ||||||||||||
| Alaska Air Group, Inc. | (42 | ) | (1,793 | ) | 1.01 | % | ||||||
| American Airlines Group, Inc. | (142 | ) | (1,812 | ) | 1.02 | % | ||||||
| Aramark | (11 | ) | (445 | ) | 0.25 | % | ||||||
| Bath & Body Works, Inc. | (20 | ) | (856 | ) | 0.48 | % | ||||||
| Caesars Entertainment, Inc. | (38 | ) | (1,599 | ) | 0.90 | % | ||||||
| Carnival Corp. | (213 | ) | (1,721 | ) | 0.97 | % | ||||||
| Core & Main, Inc., Class A | (23 | ) | (443 | ) | 0.25 | % | ||||||
| Delta Air Lines, Inc. | (57 | ) | (1,887 | ) | 1.06 | % | ||||||
| Foot Locker Inc. | (50 | ) | (1,875 | ) | 1.05 | % | ||||||
| Gap, Inc. (The) | (137 | ) | (1,546 | ) | 0.87 | % | ||||||
| Hanesbrands, Inc. | (301 | ) | (1,916 | ) | 1.08 | % | ||||||
| Jetblue Airways Corp. | (266 | ) | (1,724 | ) | 0.97 | % | ||||||
| Kohl’s Corp. | (67 | ) | (1,703 | ) | 0.96 | % | ||||||
| Macy’s Inc. | (86 | ) | (1,766 | ) | 0.99 | % | ||||||
| Nordstrom, Inc. | (107 | ) | (1,727 | ) | 0.97 | % | ||||||
| Norwegian Cruise Line Holdings Ltd. | (108 | ) | (1,327 | ) | 0.75 | % | ||||||
| Penn National Gaming, Inc. | (55 | ) | (1,621 | ) | 0.91 | % | ||||||
| Petco Health & Wellness Co., Inc., Class A | (178 | ) | (1,690 | ) | 0.95 | % | ||||||
| PVH Corp. | (25 | ) | (1,796 | ) | 1.01 | % | ||||||
| Qurate Retail, Inc., Series A | (616 | ) | (1,004 | ) | 0.56 | % | ||||||
| RH | (7 | ) | (1,741 | ) | 0.98 | % | ||||||
| Royal Caribbean Cruises Ltd. | (32 | ) | (1,596 | ) | 0.90 | % | ||||||
| Scotts Miracle-Gro Co/The | (37 | ) | (1,776 | ) | 1.00 | % | ||||||
| Six Flags Entertainment Corp. | (82 | ) | (1,900 | ) | 1.07 | % | ||||||
| Southwest Airlines Co. | (45 | ) | (1,522 | ) | 0.86 | % | ||||||
| Travel + Leisure Co. | (46 | ) | (1,665 | ) | 0.94 | % | ||||||
| United Airlines Holdings, Inc. | (48 | ) | (1,826 | ) | 1.03 | % | ||||||
| Victoria’s Secret & Co. | (45 | ) | (1,611 | ) | 0.91 | % | ||||||
| Walgreens Boots Alliance, Inc. | (48 | ) | (1,787 | ) | 1.00 | % | ||||||
| WESCO International Inc. | (14 | ) | (1,757 | ) | 0.99 | % | ||||||
| (47,432 | ) | |||||||||||
| Consumer, Non-cyclical | ||||||||||||
| Avis Budget Group Inc. | (10 | ) | (1,589 | ) | 0.89 | % | ||||||
| Clarivate PLC | (205 | ) | (1,706 | ) | 0.96 | % | ||||||
| Coty, Inc., Class A | (227 | ) | (1,941 | ) | 1.09 | % | ||||||
| DaVita, Inc. | (25 | ) | (1,860 | ) | 1.05 | % | ||||||
| Elanco Animal Health Inc. | (147 | ) | (1,796 | ) | 1.01 | % | ||||||
| Exact Sciences Corp. | (40 | ) | (1,993 | ) | 1.12 | % | ||||||
| Guardant Health, Inc. | (44 | ) | (1,184 | ) | 0.67 | % | ||||||
| Herbalife Nutrition Ltd. | (79 | ) | (1,176 | ) | 0.66 | % | ||||||
| Jazz Pharmaceuticals PLC | (7 | ) | (1,131 | ) | 0.64 | % | ||||||
See Notes to Financial Statements.
4
Simplify Aggregate Bond PLUS Credit Hedge ETF
Schedule of Investments (Continued)
December 31, 2022 (Unaudited)
| Shares | Value | % of basket |
||||||||||
| Common Stocks (continued) | ||||||||||||
| Consumer, Non-cyclical (continued) | ||||||||||||
| Mednax, Inc. | (96 | ) | $ | (1,432 | ) | 0.81 | % | |||||
| Nektar Therapeutics, Class A | (490 | ) | (1,106 | ) | 0.62 | % | ||||||
| Organon & Co. | (65 | ) | (1,811 | ) | 1.02 | % | ||||||
| Perrigo Co. PLC | (42 | ) | (1,444 | ) | 0.81 | % | ||||||
| Post Holdings, Inc. | (19 | ) | (1,719 | ) | 0.97 | % | ||||||
| Sabre Corp. | (251 | ) | (1,551 | ) | 0.87 | % | ||||||
| Shift4 Payments, Inc., Class A | (34 | ) | (1,880 | ) | 1.06 | % | ||||||
| Sotera Health Co. | (106 | ) | (884 | ) | 0.50 | % | ||||||
| Stoneco Ltd., Class A | (156 | ) | (1,472 | ) | 0.83 | % | ||||||
| Syneos Health Inc. | (52 | ) | (1,913 | ) | 1.08 | % | ||||||
| Tenet Healthcare Corp. | (40 | ) | (1,969 | ) | 1.11 | % | ||||||
| TreeHouse Foods, Inc. | (36 | ) | (1,782 | ) | 1.00 | % | ||||||
| US Foods Holding Corp. | (51 | ) | (1,731 | ) | 0.97 | % | ||||||
| Viatris, Inc. | (168 | ) | (1,867 | ) | 1.05 | % | ||||||
| (36,937 | ) | |||||||||||
| Energy | ||||||||||||
| Apa Corp. | (42 | ) | (1,943 | ) | 1.09 | % | ||||||
| Cheniere Energy, Inc. | (10 | ) | (1,479 | ) | 0.83 | % | ||||||
| Equities Corp. | (38 | ) | (1,285 | ) | 0.72 | % | ||||||
| Kosmos Energy Ltd. | (268 | ) | (1,704 | ) | 0.96 | % | ||||||
| Nov, Inc. | (83 | ) | (1,740 | ) | 0.98 | % | ||||||
| Occidental Petroleum Corp. | (29 | ) | (1,848 | ) | 1.04 | % | ||||||
| Ovintiv Inc. | (32 | ) | (1,615 | ) | 0.91 | % | ||||||
| PBF Energy, Inc., Class A | (37 | ) | (1,519 | ) | 0.86 | % | ||||||
| Southwestern Energy Co. | (283 | ) | (1,654 | ) | 0.93 | % | ||||||
| Sunrun, Inc. | (57 | ) | (1,377 | ) | 0.77 | % | ||||||
| Valero Energy Corp. | (16 | ) | (1,988 | ) | 1.12 | % | ||||||
| (18,152 | ) | |||||||||||
| Financial | ||||||||||||
| Air Lease Corp., Class A | (48 | ) | (1,828 | ) | 1.03 | % | ||||||
| Industrial | ||||||||||||
| Berry Global Group, Inc. | (30 | ) | (1,807 | ) | 1.02 | % | ||||||
| Coherent Corp. | (52 | ) | (1,813 | ) | 1.02 | % | ||||||
| Enovis Corp. | (27 | ) | (1,425 | ) | 0.80 | % | ||||||
| FedEx Corp. | (9 | ) | (1,620 | ) | 0.91 | % | ||||||
| Fluor Corp. | (35 | ) | (1,222 | ) | 0.69 | % | ||||||
| Gates Industrial Corp. PLC | (94 | ) | (1,076 | ) | 0.60 | % | ||||||
| General Electric Co. | (29 | ) | (2,423 | ) | 1.36 | % | ||||||
| O-I Glass, Inc., Class I | (104 | ) | (1,729 | ) | 0.97 | % | ||||||
| Ryder System, Inc. | (21 | ) | (1,771 | ) | 1.00 | % | ||||||
| Silgan Holdings, Inc. | (20 | ) | (1,023 | ) | 0.58 | % | ||||||
| Spirit Aerosystems Holdings, Inc., Class A | (64 | ) | (1,885 | ) | 1.06 | % | ||||||
| TD Synnex Corp. | (10 | ) | (972 | ) | 0.55 | % | ||||||
| Vertiv Holdings Co., Class A | (136 | ) | (1,851 | ) | 1.04 | % | ||||||
| Westrock Co. | (52 | ) | (1,813 | ) | 1.02 | % | ||||||
| XPO Logistics, Inc. | (49 | ) | (1,638 | ) | 0.92 | % | ||||||
| (24,068 | ) | |||||||||||
See Notes to Financial Statements.
5
Simplify Aggregate Bond PLUS Credit Hedge ETF
Schedule of Investments (Continued)
December 31, 2022 (Unaudited)
| Shares | Value | % of basket |
||||||||||
| Common Stocks (continued) | ||||||||||||
| Technology | ||||||||||||
| Coupa Software, Inc. | (23 | ) | $ | (1,808 | ) | 1.02 | % | |||||
| Dell Technologies, Inc., Class C | (41 | ) | (1,656 | ) | 0.93 | % | ||||||
| Dxc Technology Co. | (68 | ) | (1,795 | ) | 1.01 | % | ||||||
| Everbridge, Inc. | (50 | ) | (1,476 | ) | 0.83 | % | ||||||
| Fastly, Inc., Class A | (182 | ) | (1,490 | ) | 0.84 | % | ||||||
| MKS Instruments Inc. | (22 | ) | (1,868 | ) | 1.05 | % | ||||||
| NCR Corp. | (78 | ) | (1,817 | ) | 1.02 | % | ||||||
| RingCentral Inc, Class A | (44 | ) | (1,548 | ) | 0.87 | % | ||||||
| Western Digital Corp. | (42 | ) | (1,322 | ) | 0.75 | % | ||||||
| Xerox Holdings Corp. | (116 | ) | (1,693 | ) | 0.95 | % | ||||||
| (16,473 | ) | |||||||||||
| Total | $ | (177,716 | ) | 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 | ||||||||||||
| Ecolab, Inc. | 17 | $ | 2,490 | 1.01 | % | |||||||
| International Flavors & Fragrances, Inc. | 24 | 2,519 | 1.02 | % | ||||||||
| Sherwin-Williams Co/The | 10 | 2,417 | 0.98 | % | ||||||||
| 7,426 | ||||||||||||
| Communications | ||||||||||||
| Interpublic Group of Cos Inc/T | 76 | 2,539 | 1.03 | % | ||||||||
| Meta Platforms, Inc., Class A | 21 | 2,576 | 1.04 | % | ||||||||
| Omnicom Group, Inc. | 32 | 2,587 | 1.05 | % | ||||||||
| Sirius XM Holdings, Inc. | 416 | 2,432 | 0.99 | % | ||||||||
| 10,134 | ||||||||||||
| Consumer, Cyclical | ||||||||||||
| Autozone, Inc. | 1 | 2,600 | 1.06 | % | ||||||||
| Cintas Corp. | 6 | 2,526 | 1.03 | % | ||||||||
| Copart Inc. | 41 | 2,500 | 1.01 | % | ||||||||
| Domino’s Pizza, Inc. | 7 | 2,413 | 0.98 | % | ||||||||
| Home Depot, Inc. (The) | 8 | 2,397 | 0.97 | % | ||||||||
| LKQ Corp. | 47 | 2,493 | 1.01 | % | ||||||||
| Lululemon Athletica Inc. | 8 | 2,449 | 0.99 | % | ||||||||
| Marriott International, Inc., Class A | 16 | 2,382 | 0.97 | % | ||||||||
| O’reilly Automotive, Inc. | 3 | 2,600 | 1.06 | % | ||||||||
| Pool Corp. | 8 | 2,349 | 0.95 | % | ||||||||
| Tempur Sealy International, Inc. | 73 | 2,511 | 1.02 | % | ||||||||
| Thor Industries, Inc. | 31 | 2,302 | 0.93 | % | ||||||||
| Wyndham Hotels & Resorts, Inc. | 35 | 2,484 | 1.01 | % | ||||||||
| Yum! Brands, Inc. | 19 | 2,441 | 0.99 | % | ||||||||
| 34,447 | ||||||||||||
| Consumer, Non-cyclical | ||||||||||||
| Anthem, Inc. | 5 | 2,506 | 1.02 | % | ||||||||
| Automatic Data Processing, Inc. | 10 | 2,387 | 0.97 | % | ||||||||
| Avery Dennison Corp. | 14 | 2,482 | 1.01 | % | ||||||||
| Centene Corp. | 31 | 2,539 | 1.03 | % | ||||||||
See Notes to Financial Statements.
6
Simplify Aggregate Bond PLUS Credit Hedge ETF
Schedule of Investments (Continued)
December 31, 2022 (Unaudited)
| Shares | Value | % of basket |
||||||||||
| Common Stocks (continued) | ||||||||||||
| Consumer, Non-cyclical (continued) | ||||||||||||
| Chemed Corp. | 5 | $ | 2,519 | 1.02 | % | |||||||
| Cigna Corp. | 8 | 2,486 | 1.01 | % | ||||||||
| Colgate-Palmolive Co. | 32 | 2,515 | 1.02 | % | ||||||||
| CVS Health Corp. | 25 | 2,374 | 0.96 | % | ||||||||
| Danaher Corp. | 9 | 2,444 | 0.99 | % | ||||||||
| FleetCor Technologies Inc. | 14 | 2,502 | 1.02 | % | ||||||||
| General Mills Inc. | 29 | 2,398 | 0.97 | % | ||||||||
| Global Payments, Inc. | 26 | 2,601 | 1.06 | % | ||||||||
| Grand Canyon Education, Inc. | 24 | 2,485 | 1.01 | % | ||||||||
| Hershey Co. (The) | 11 | 2,459 | 1.00 | % | ||||||||
| Johnson & Johnson | 14 | 2,475 | 1.00 | % | ||||||||
| Kraft Heinz Co. (The) | 62 | 2,541 | 1.03 | % | ||||||||
| Mondelez International Inc, Class A | 37 | 2,496 | 1.01 | % | ||||||||
| Moody’s Corp. | 9 | 2,415 | 0.98 | % | ||||||||
| Procter & Gamble Co. (The) | 16 | 2,494 | 1.01 | % | ||||||||
| Regeneron Pharmaceuticals, Inc. | 3 | 2,453 | 1.00 | % | ||||||||
| ResMed, Inc. | 12 | 2,407 | 0.98 | % | ||||||||
| Rollins, Inc. | 67 | 2,443 | 0.99 | % | ||||||||
| Stryker Corp. | 10 | 2,481 | 1.01 | % | ||||||||
| Thermo Fisher Scientific, Inc. | 4 | 2,472 | 1.00 | % | ||||||||
| UnitedHealth Group, Inc. | 5 | 2,498 | 1.01 | % | ||||||||
| Verisk Analytics, Inc., Class A | 14 | 2,484 | 1.01 | % | ||||||||
| 64,356 | ||||||||||||
| Energy | ||||||||||||
| Antero Midstream Corp. | 232 | 2,503 | 1.02 | % | ||||||||
| DT Midstream Inc. | 44 | 2,415 | 0.98 | % | ||||||||
| Oneok, Inc. | 38 | 2,525 | 1.03 | % | ||||||||
| Texas Pacific Land Corp. | 1 | 2,202 | 0.89 | % | ||||||||
| 9,645 | ||||||||||||
| Financial | ||||||||||||
| Arthur J Gallagher & Co. | 13 | 2,492 | 1.01 | % | ||||||||
| BlackRock Inc, Class A | 4 | 2,524 | 1.02 | % | ||||||||
| Brown & Brown, Inc. | 44 | 2,504 | 1.02 | % | ||||||||
| Cboe Global Markets, Inc. | 20 | 2,513 | 1.02 | % | ||||||||
| CME Group Inc, Class A | 14 | 2,424 | 0.98 | % | ||||||||
| Digital Realty Trust, Inc. | 24 | 2,391 | 0.97 | % | ||||||||
| EastGroup Properties Inc. | 16 | 2,426 | 0.99 | % | ||||||||
| Extra Space Storage Inc. | 16 | 2,352 | 0.96 | % | ||||||||
| Intercontinental Exchange, Inc. | 24 | 2,495 | 1.01 | % | ||||||||
| Life Storage Inc. | 24 | 2,336 | 0.95 | % | ||||||||
| National Storage Affiliates Trust | 65 | 2,365 | 0.96 | % | ||||||||
| OMEGA Healthcare Investors, Inc. | 85 | 2,374 | 0.96 | % | ||||||||
| ProLogis, Inc. | 21 | 2,363 | 0.96 | % | ||||||||
| 31,559 | ||||||||||||
| Industrial | ||||||||||||
| Allegion PLC | 24 | 2,476 | 1.01 | % | ||||||||
| AMETEK Inc. | 18 | 2,513 | 1.02 | % | ||||||||
| Amphenol Corp., Class A | 32 | 2,422 | 0.98 | % | ||||||||
| Ball Corp. | 48 | 2,462 | 1.00 | % | ||||||||
| CH Robinson Worldwide, Inc. | 26 | 2,402 | 0.98 | % | ||||||||
See Notes to Financial Statements.
7
Simplify Aggregate Bond PLUS Credit Hedge ETF
Schedule of Investments (Continued)
December 31, 2022 (Unaudited)
| Shares | Value | % of basket |
||||||||||
| Common Stocks (continued) | ||||||||||||
| Industrial (continued) | ||||||||||||
| Crown Holdings Inc. | 31 | $ | 2,574 | 1.04 | % | |||||||
| Dover Corp. | 18 | 2,500 | 1.02 | % | ||||||||
| Esab Corp. | 53 | 2,485 | 1.01 | % | ||||||||
| Fortune Brands Home & Security, Inc. | 43 | 2,464 | 1.00 | % | ||||||||
| Mettler-Toledo International, Inc. | 2 | 2,534 | 1.03 | % | ||||||||
| Middleby Corp. (The) | 18 | 2,474 | 1.00 | % | ||||||||
| Nordson Corp. | 10 | 2,444 | 0.99 | % | ||||||||
| Pentair PLC | 56 | 2,513 | 1.02 | % | ||||||||
| Stanley Black & Decker, Inc. | 32 | 2,392 | 0.97 | % | ||||||||
| Trex Co Inc. | 55 | 2,336 | 0.95 | % | ||||||||
| Trimble Inc. | 48 | 2,424 | 0.98 | % | ||||||||
| 39,415 | ||||||||||||
| Technology | ||||||||||||
| Accenture PLC, Class A | 9 | 2,360 | 0.96 | % | ||||||||
| Black Knight, Inc. | 42 | 2,573 | 1.04 | % | ||||||||
| Broadridge Financial Solutions, Inc. | 18 | 2,471 | 1.00 | % | ||||||||
| CACI International, Inc., Class A | 8 | 2,488 | 1.01 | % | ||||||||
| CCC Intelligent Solutions Hold | 283 | 2,461 | 1.00 | % | ||||||||
| Cognizant Technology Solutions Corp., Class A | 44 | 2,523 | 1.02 | % | ||||||||
| Fidelity National Information Services, Inc. | 36 | 2,417 | 0.98 | % | ||||||||
| Fiserv, Inc. | 25 | 2,552 | 1.04 | % | ||||||||
| International Business Machine | 17 | 2,461 | 1.00 | % | ||||||||
| Intuit, Inc. | 6 | 2,441 | 0.99 | % | ||||||||
| KLA Corp. | 6 | 2,437 | 0.99 | % | ||||||||
| Paychex, Inc. | 21 | 2,454 | 1.00 | % | ||||||||
| Texas Instruments, Inc. | 15 | 2,416 | 0.98 | % | ||||||||
| Tyler Technologies Inc. | 8 | 2,483 | 1.01 | % | ||||||||
| Zebra Technologies Corp., Class A | 10 | 2,540 | 1.03 | % | ||||||||
| 37,077 | ||||||||||||
| Utilities | ||||||||||||
| AES Corp/The | 87 | 2,491 | 1.01 | % | ||||||||
| Alliant Energy Corp. | 45 | 2,478 | 1.01 | % | ||||||||
| DTE Energy Co. | 21 | 2,453 | 1.00 | % | ||||||||
| Edison International | 37 | 2,371 | 0.96 | % | ||||||||
| Public Service Enterprise Group, Inc. | 41 | 2,525 | 1.02 | % | ||||||||
| 12,318 | ||||||||||||
| Total | $ | 246,377 | 100.00 | % | ||||||||
See Notes to Financial Statements.
8
Simplify Aggregate Bond PLUS Credit Hedge ETF
Schedule of Investments (Continued)
December 31, 2022 (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 Distributions |
|||||||||||||||||||||||||||
| Simplify Interest Rate Hedge ETF | $ | 32,075 | $ | 115,610 | $ | (133,531 | ) | $ | 14,047 | $ | 3,307 | $ | 31,508 | 440 | $ | 255 | $ | - | ||||||||||||||||||
Summary of Investment Type
| Industry | %
of Net Assets |
|||
| Exchange-Traded Funds | 92.9 | % | ||
| Total Investments | 92.9 | % | ||
| Other Assets in Excess of Liabilities | 7.1 | % | ||
| Net Assets | 100.0 | % | ||
See Notes to Financial Statements.
9
Simplify Developed Ex-US PLUS Downside Convexity ETF
Schedule of Investments
December 31, 2022 (Unaudited)
| Shares | Value | |||||||
| Exchange-Traded Funds – 99.7% | ||||||||
| iShares Core MSCI EAFE ETF(a)(b) | ||||||||
| (Cost $24,767,988) | 357,240 | $ | 22,020,274 | |||||
| Number
of Contracts |
Notional Amount |
||||||||||
| Purchased Options – 0.2% | |||||||||||
| Puts – Exchange-Traded – 0.2% | |||||||||||
| S&P 500 Index, January Strike Price $3,620, Expires 1/20/23 | 27 | $ | 9,774,000 | 38,205 | |||||||
| Total Purchased Options (Cost $41,434) | 38,205 | ||||||||||
| Shares | ||||||||
| Money Market Funds – 0.0%† | ||||||||
| Fidelity Investments Money Market Treasury Only Portfolio - Class I, 3.89%(c) | ||||||||
| (Cost $88) | 88 | 88 | ||||||
| Total Investments – 99.9% | ||||||||
| (Cost $24,809,510) | $ | 22,058,567 | ||||||
| Other Assets in Excess of Liabilities – 0.1% | 15,086 | |||||||
| Net Assets – 100.0% | $ | 22,073,653 | ||||||
| † | 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) | Securities with an aggregate market value of $12,330,000 have been pledged as collateral for options as of December 31, 2022. |
| (c) | Rate shown reflects the 7-day yield as of December 31, 2022. |
Summary of Investment Type
| Industry | %
of Net Assets |
|||
| Exchange-Traded Funds | 99.7 | % | ||
| Purchased Options | 0.2 | % | ||
| Money Market Funds | 0.0 | %† | ||
| Total Investments | 99.9 | % | ||
| Other Assets in Excess of Liabilities | 0.1 | % | ||
| Net Assets | 100.0 | % | ||
See Notes to Financial Statements.
10
Simplify Emerging Markets Equity PLUS Downside Convexity ETF
Schedule of Investments
December 31, 2022 (Unaudited)
| Shares | Value | |||||||
| Exchange-Traded Funds – 99.9% | ||||||||
| iShares Core MSCI Emerging Markets ETF(a)(b) | ||||||||
| (Cost $5,754,924) | 102,564 | $ | 4,789,739 | |||||
|
Number of Contracts |
Notional Amount |
||||||||||
| Purchased Options – 0.1% | |||||||||||
| Puts – Exchange-Traded – 0.1% | |||||||||||
| S&P 500 Index, January Strike Price $3,620, Expires 1/20/23 | 5 | $ | 1,810,000 | 7,075 | |||||||
| Total Purchased Options (Cost $7,654) | 7,075 | ||||||||||
| Shares | ||||||||
| Money Market Funds – 0.0%† | ||||||||
| Fidelity Investments Money Market Treasury Only Portfolio - Class I, 3.89%(c) | ||||||||
| (Cost $1,089) | 1,089 | 1,089 | ||||||
| Total Investments – 100.0% | ||||||||
| (Cost $5,763,667) | $ | 4,797,903 | ||||||
| Liabilities in Excess of Other Assets – (0.0)%† | (1,421 | ) | ||||||
| Net Assets – 100.0% | $ | 4,796,482 | ||||||
| † | 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) | Securities with an aggregate market value of $4,763,400 have been pledged as collateral for options as of December 31, 2022. |
| (c) | Rate shown reflects the 7-day yield as of December 31, 2022. |
Summary of Investment Type
| Industry | % of
Net Assets |
|||
| Exchange-Traded Funds | 99.9 | % | ||
| Purchased Options | 0.1 | % | ||
| Money Market Funds | 0.0 | %† | ||
| Total Investments | 100.0 | % | ||
| Liabilities in Excess of Other Assets | (0.0 | )%† | ||
| Net Assets | 100.0 | % | ||
See Notes to Financial Statements.
11
Schedule of Investments
December 31, 2022 (Unaudited)
| Principal | Value | |||||||
| U.S. Treasury Bills – 99.5% | ||||||||
| U.S. Treasury Bill, 4.13%, 2/2/2023(a) | $ | 1,720,000 | $ | 1,714,550 | ||||
| U.S. Treasury Bill, 4.10%, 2/23/2023(a) | 780,000 | 775,311 | ||||||
| Total U.S. Treasury Bills (Cost $2,489,212) | 2,489,861 | |||||||
|
Number of Contracts |
Notional Amount |
||||||||||
| Purchased Options – 0.0%† | |||||||||||
| Puts – Exchange-Traded – 0.0%† | |||||||||||
| S&P 500 Index, January Strike Price $3,250, Expires 1/13/23 | 9 | 2,925,000 | 743 | ||||||||
| Total Purchased Options (Cost $772) | 743 | ||||||||||
| Total Investments – 99.5% | |||||||||||
| (Cost $2,489,984) | $ | 2,490,604 | |||||||||
| Other Assets in Excess of Liabilities – 0.5% | 12,130 | ||||||||||
| Net Assets – 100.0% | $ | 2,502,734 | |||||||||
|
|
Number of Contracts |
Notional Amount |
|||||||||
| Written Option – (0.4)% | |||||||||||
| Puts – Exchange-Traded – (0.4)% | |||||||||||
| S&P 500 Index, January Strike Price $3,650, Expires 1/13/23 (Premiums Received $13,222) | (9) | (3,285,000 | ) | $ | (10,395 | ) | |||||
| † | Less than 0.05% |
| (a) | Represents a zero coupon bond. Rate shown reflects the effective yield. |
Summary of Investment Type
| Industry | %
of Net Assets |
|||
| U.S. Treasury Bills | 99.5 | % | ||
| Purchased Options | 0.0 | %† | ||
| Total Investments | 99.5 | % | ||
| Other Assets in Excess of Liabilities | 0.5 | % | ||
| Net Assets | 100.0 | % | ||
See Notes to Financial Statements.
12
Schedule of Investments
December 31, 2022 (Unaudited)
| Shares | Value | |||||||
| Common Stocks – 95.2% | ||||||||
| Consumer, Non-cyclical – 93.8% | ||||||||
| Abbott Laboratories | 10,894 | $ | 1,196,052 | |||||
| AbbVie, Inc. | 5,753 | 929,742 | ||||||
| Align Technology, Inc.* | 192 | 40,493 | ||||||
| Alnylam Pharmaceuticals, Inc.* | 1,392 | 330,809 | ||||||
| Amgen, Inc. | 1,309 | 343,796 | ||||||
| AtriCure, Inc.* | 11,388 | 505,399 | ||||||
| Baxter International, Inc. | 30,522 | 1,555,706 | ||||||
| Becton Dickinson and Co. | 3,393 | 862,840 | ||||||
| Biogen, Inc.* | 5,836 | 1,616,105 | ||||||
| Bio-Techne Corp. | 4,524 | 374,949 | ||||||
| Boston Scientific Corp.* | 11,546 | 534,233 | ||||||
| Centene Corp.* | 27,753 | 2,276,024 | ||||||
| Cigna Corp. | 8,851 | 2,932,690 | ||||||
| Cooper Cos., Inc. (The) | 1,676 | 554,203 | ||||||
| Cutera, Inc.* | 60,788 | 2,688,045 | ||||||
| CVS Health Corp. | 9,042 | 842,624 | ||||||
| Danaher Corp. | 630 | 167,215 | ||||||
| Dexcom, Inc.* | 21,574 | 2,443,040 | ||||||
| Edwards Lifesciences Corp.* | 849 | 63,344 | ||||||
| Elevance Health, Inc. | 4,437 | 2,276,048 | ||||||
| Eli Lilly & Co. | 7,652 | 2,799,408 | ||||||
| Embecta Corp. | 687 | 17,374 | ||||||
| Establishment Labs Holdings, Inc.* | 35,528 | 2,332,413 | ||||||
| Gilead Sciences, Inc. | 4,262 | 365,893 | ||||||
| HCA Healthcare, Inc. | 703 | 168,692 | ||||||
| Henry Schein, Inc.* | 1,740 | 138,974 | ||||||
| Humana, Inc. | 1,635 | 837,431 | ||||||
| IDEXX Laboratories, Inc.* | 107 | 43,652 | ||||||
| Illumina, Inc.* | 430 | 86,946 | ||||||
| Insulet Corp.* | 873 | < | ||||||