UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR/A
CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number: 811-23570
Simplify Exchange Traded Funds
(Exact name of registrant as specified in charter)
222 Broadway, 22F
New York, NY 10038
(Address of principal executive offices) (Zip code)
The Corporation Trust Company
Corporation Trust Center
1209 Orange Street
Wilmington, DE 19801
(Name and address of agent for service)
Registrant’s telephone number, including area code: (646) 741-2438
Date of fiscal year end: June 30
Date of reporting period: June 30, 2023
Form N-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection, and policymaking roles.
A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSR unless the Form displays a currently valid Office of Management and Budget (“OMB”) control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 450 Fifth Street, NW, Washington, DC 20549-0609. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. § 3507.
| Item 1. | Reports to Stockholders. |
| (a) | Include a copy of the report transmitted to stockholders pursuant to Rule 30e-1 under the Act (17 CFR 270.30e-1). |
June 30, 2023
Annual Report
Simplify Exchange Traded Funds
Simplify Aggregate Bond PLUS Credit Hedge ETF (AGGH)
Simplify Developed Ex-US PLUS Downside Convexity ETF (EAFD)
Simplify Emerging Markets Equity PLUS Downside Convexity ETF (EMGD)
Simplify Enhanced Income ETF (HIGH)
Simplify Health Care ETF (PINK)
Simplify Hedged Equity ETF (HEQT)
Simplify High Yield PLUS Credit Hedge ETF (CDX)
Simplify Interest Rate Hedge ETF (PFIX)
Simplify Intermediate Term Treasury Futures Strategy ETF (formerly known as Simplify Risk Parity Treasury ETF) (TYA)
Simplify Market Neutral Equity Long/Short ETF (EQLS)
Simplify Opportunistic Income ETF (CRDT)
Simplify Propel Opportunities ETF (SURI)
Simplify Short Term Treasury Futures Strategy ETF (TUA)
Simplify Stable Income ETF (BUCK)
Simplify Tail Risk Strategy ETF (CYA)
Simplify US Equity PLUS Convexity ETF (SPYC)
Simplify US Equity PLUS Downside Convexity ETF (SPD)
Simplify US Equity PLUS GBTC ETF (SPBC)
Simplify US Equity PLUS Upside Convexity ETF (SPUC)
Simplify Volt RoboCar Disruption and Tech ETF (VCAR)
Simplify Bitcoin Strategy PLUS Income ETF (MAXI)
Simplify Commodities Strategy No K-1 ETF (HARD)
Simplify Macro Strategy ETF (FIG)
Simplify Managed Futures Strategy ETF (CTA)
Simplify Volatility Premium ETF (SVOL)
Simplify Exchange Traded Funds
Table of Contents
This report is provided for the general information of shareholders and is not authorized for distribution to prospective investors unless preceded or accompanied by a current prospectus.
Simplify Exchange Traded Funds
Table of Contents
This report is provided for the general information of shareholders and is not authorized for distribution to prospective investors unless preceded or accompanied by a current prospectus.
Simplify Exchange Traded Funds
Letter to Shareholders (Unaudited)
Dear Shareholder,
I am honored to write on behalf of all of us at Simplify Exchange Traded Funds (“Simplify ETFs”) and Simplify Asset Management Inc. (“Simplify”). First, thank you for your trust and investment in our strategies.
Our mission at Simplify is to help advisors and asset managers with their greatest investment needs: diversifying and de-risking portfolios, generating attractive income, and improving risk-adjusted returns. We provide tools to our advisors and their clients so they can stay the course on their financial plans and retirement goals in today’s varying market conditions and remain invested for the long term. We believe that transparency, education, and accessibility are more important than ever.
This past year demonstrated the importance of staying invested. The recession everyone predicted is yet to appear as the labor market remains tight. Higher policy rates have not yet begun to bite. As of June 30, 2023, US equities are up nearly 20% in the past 12 months. International equities are mixed with developed markets outperforming emerging markets. US bonds are down slightly in the same period as tighter credit spreads have offset some of the sting of rising rates.
We’ve seen volatility subsiding in both fixed income and equities. Among alternatives, commodities were lower, driven by falling energy and food prices. While US inflation rate fell sharply from 9.1% in June 2022 to 3% in June 2023, inflation remains well above the Fed’s target.
Looking ahead, the threat of stagflation and recession, geopolitical pressures, disruption in food and energy markets, shifting correlations between asset classes, and political uncertainty suggest a more volatile investment environment that requires steadfast focus on long-term investment goals and nimbleness in taking advantage of present opportunities.
As always, we are here to help and look forward to sharing our perspectives and strategies. We encourage you to reach out to your financial advisor and/or visit our website at www.simplify.us to learn more about Simplify and our team of committed professionals.
Thank you for your trust in us.
Best regards,
Paul Kim
President, Simplify Exchange Traded Funds
CEO and co-founder, Simplify Asset Management Inc.
1
Simplify Aggregate Bond PLUS Credit Hedge ETF
Management’s Discussion of Fund Performance
June 30, 2023 (Unaudited)
Simplify Aggregate Bond PLUS Credit Hedge ETF [Ticker: AGGH]
For the year ended June 30, 2023, AGGH returned 0.49% vs its referenced benchmark, Bloomberg Capital U.S. Aggregate Bond Index, return of -0.86%, outperforming the benchmark by 1.35%.
Although rising interest rates were a headwind for the Fund and the bond market in general. The Fund outperformed due to the income generated by structural volatility selling. The Fund used long and short positions in options across equities, fixed income, volatility indices, commodities, and currencies asset classes to hedge against relevant interest rate and credit risks as well as generate income.
In the next 12 months, we believe the Fed’s rate hike cycle to come to an end, which will potentially stall last year’s trend of rising rates. AGGH is well-positioned to deliver high returns and outperform the Bloomberg US Aggregate Bond Index due to structural volatility selling strategies.
HYPOTHETICAL GROWTH OF $10,000 INVESTMENT
For the period ended February 14, 2022* to June 30, 2023
| * | Inception date. |
HISTORICAL PERFORMANCE
Average Annual Total Return as of June 30, 2023
| One Year | Since inception* |
|||||||
| Simplify Aggregate Bond PLUS Credit Hedge ETF NAV | 0.49 | % | -3.24 | % | ||||
| Simplify Aggregate Bond PLUS Credit Hedge ETF Market Price | 0.55 | % | -3.09 | % | ||||
| Bloomberg Capital U.S. Aggregate Bond Index | -0.86 | % | -5.56 | % | ||||
Performance data quoted represents past performance and is no guarantee of future results. Current performance may be lower or higher than the performance data quoted. Investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than original cost. Fund NAV returns are calculated using the Fund’s daily 4:00 p.m. NAV. Returns shown include the reinvestment of all dividends and other distributions. Index returns do not include expenses. As stated in the current prospectus, the Fund’s annual operating expense ratio (gross) is 0.55% and the net expense ratio, after fee waiver, is 0.30%. (Actual expenses excluding acquired fund fees and expenses can be referenced in the Financial Highlights section later in this report.) The Fund’s advisor has agreed to waive a portion of its fees and/or reimburse expenses to the extent necessary to keep the Fund’s expenses from exceeding 0.25% until at least October 31, 2023. Returns less than one year are not annualized. The performance table and graph do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. For the Fund’s most recent month end performance, please call 1 (855) 772-8488.
| * | Since Inception February 14, 2022. |
The Bloomberg Capital U.S. Aggregate Bond Index is a broad-based flagship benchmark that measures the investment grade, US dollar denominated, fixed-rate taxable bond market. The index is unmanaged, its returns do not reflect any fees, expenses, or sales charges, and it is not available for direct investment.
Investments involve risk. Principal loss is possible. Redemptions are limited and often commissions are charged on each trade. The ETF may be non-diversified, which may be more sensitive to economic, business, political or other changes affecting individual issuers or investments than a diversified fund, which may result in greater fluctuation in the value of the Fund’s Shares and greater risk of loss. Unlike mutual funds, ETFs may trade at a premium or discount to their net asset value. The fund is new and has limited operating history to judge.
2
Simplify Developed Ex-US PLUS Downside Convexity ETF
Management’s Discussion of Fund Performance
June 30, 2023 (Unaudited)
Simplify Developed Ex-US PLUS Downside Convexity ETF [Ticker: EAFD]
For the year ended June 30, 2023, EAFD returned 4.67% vs its benchmark, MSCI EAFE IMI Index, return of 14.25%, underperforming the benchmark by -9.58%.
The Fund’s underperformance was predominantly driven by the challenges experienced during 4Q 2022, where we aggressively positioned the Fund for a continued drawdown at the expense of spending excess budget, which ultimately cost the Fund. To better control for these challenges, at the end of 4Q 2022 we implemented an updated algorithm to increase the probability of hitting strikes and monetizing by bringing strikes and expiries in, and have set strict budget limits for the option overlay.
In the next 12 months, we expect equity markets to remain in a relatively low volatility environment, where the Fund will hopefully continue to maintain a strong notional coverage with our new options structure.
HYPOTHETICAL GROWTH OF $10,000 INVESTMENT
For the period ended January 10, 2022* to June 30, 2023
| * | Inception date. |
HISTORICAL PERFORMANCE
Average Annual Total Return as of June 30, 2023
| One Year | Since inception* |
|||||||
| Simplify Developed Ex-US PLUS Downside Convexity ETF NAV | 4.67 | % | -12.50 | % | ||||
| Simplify Developed Ex-US PLUS Downside Convexity ETF Market Price | 4.74 | % | -13.25 | % | ||||
| MSCI EAFE IMI Index | 14.25 | % | -6.37 | % | ||||
Performance data quoted represents past performance and is no guarantee of future results. Current performance may be lower or higher than the performance data quoted. Investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than original cost. Fund NAV returns are calculated using the Fund’s daily 4:00 p.m. NAV. Returns shown include the reinvestment of all dividends and other distributions. Index returns do not include expenses. As stated in the current prospectus, the Fund’s annual operating expense ratio (gross) is 0.57% and the net expense ratio, after fee waiver, is 0.32%. (Actual expenses excluding acquired fund fees and expenses can be referenced in the Financial Highlights section later in this report.) The Fund’s advisor has agreed to waive a portion of its fees and/or reimburse expenses to the extent necessary to keep the Fund’s expenses from exceeding 0.25% until at least October 30, 2023. Returns less than one year are not annualized. The performance table and graph do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. For the Fund’s most recent month end performance, please call 1 (855) 772-8488.
| * | Since Inception January 10, 2022. |
The MSCI EAFE Investable Market Index (IMI), is an equity index which captures large, mid and small cap representation across Developed Markets countries around the world, excluding the US and Canada. With over 3,000 constituents, the index is comprehensive, covering approximately 99% of the free float-adjusted market capitalization in each country. The index is unmanaged, its returns do not reflect any fees, expenses, or sales charges, and it is not available for direct investment.
Investments involve risk. Principal loss is possible. Redemptions are limited and often commissions are charged on each trade. The ETF may be non-diversified, which may be more sensitive to economic, business, political or other changes affecting individual issuers or investments than a diversified fund, which may result in greater fluctuation in the value of the Fund’s Shares and greater risk of loss. Unlike mutual funds, ETFs may trade at a premium or discount to their net asset value. The fund is new and has limited operating history to judge.
3
Simplify Emerging Markets Equity PLUS Downside Convexity ETF
Management’s Discussion of Fund Performance
June 30, 2023 (Unaudited)
Simplify Emerging Markets Equity PLUS Downside Convexity ETF [Ticker: EMGD]
For the year ended June 30, 2023, EMGD returned -7.51% vs its benchmark, MSCI Emerging Markets Index, return of -1.15%, underperforming the benchmark by -6.36%.
The Fund’s underperformance was predominantly driven by the challenges experienced during 4Q 2022, where we aggressively positioned the Fund for a continued drawdown at the expense of spending excess budget, which ultimately cost the Fund. To better control for these challenges, at the end of 4Q 2022 we implemented an updated algorithm to increase the probability of hitting strikes and monetizing by bringing strikes and expiries in, and have set strict budget limits for the option overlay.
In the next 12 months, we expect equity markets to remain in a relatively low volatility environment, where the Fund will hopefully continue to maintain a strong notional coverage with our new options structure.
HYPOTHETICAL GROWTH OF $10,000 INVESTMENT
For the period January 10, 2022* to June 30, 2023
| * | Inception date. |
HISTORICAL PERFORMANCE
Average Annual Total Return as of June 30, 2023
| One Year | Since Inception* |
|||||||
| Simplify Emerging Markets Equity PLUS Downside Convexity ETF NAV | -7.51 | % | -18.20 | % | ||||
| Simplify Emerging Markets Equity PLUS Downside Convexity ETF Market Price | -7.92 | % | -19.70 | % | ||||
| MSCI Emerging Markets Index | -1.15 | % | -13.84 | % | ||||
Performance data quoted represents past performance and is no guarantee of future results. Current performance may be lower or higher than the performance data quoted. Investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than original cost. Fund NAV returns are calculated using the Fund’s daily 4:00 p.m. NAV. Returns shown include the reinvestment of all dividends and other distributions. Index returns do not include expenses. As stated in the current prospectus, the Fund’s annual operating expense ratio (gross) is 0.61% and the net expense ratio, after fee waiver, is 0.36%. (Actual expenses excluding acquired fund fees and expenses can be referenced in the Financial Highlights section later in this report.) The Fund’s advisor has agreed to waive a portion of its fees and/or reimburse expenses to the extent necessary to keep the Fund’s expenses from exceeding 0.25% until at least October 30, 2023. Returns less than one year are not annualized. The performance table and graph do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. For the Fund’s most recent month end performance, please call 1 (855) 772-8488.
| * | Since Inception January 10, 2022. |
The MSCI Emerging Markets Index captures large and mid cap representation across 24 Emerging Markets (EM) countries. With over 1,000 constituents, the index covers approximately 85% of the free float-adjusted market capitalization in each country. The index is unmanaged, its returns do not reflect any fees, expenses, or sales charges, and it is not available for direct investment.
Investments involve risk. Principal loss is possible. Redemptions are limited and often commissions are charged on each trade. The ETF may be non-diversified, which may be more sensitive to economic, business, political or other changes affecting individual issuers or investments than a diversified fund, which may result in greater fluctuation in the value of the Fund’s Shares and greater risk of loss. Unlike mutual funds, ETFs may trade at a premium or discount to their net asset value.
4
Management’s Discussion of Fund Performance
June 30, 2023 (Unaudited)
Simplify Enhanced Income ETF [Ticker: HIGH]
Since its inception on October 27, 2022, HIGH returned 5.07% vs. the benchmark, Bloomberg US Corporate High Yield Total Return Index, return of 7.08%, underperforming the benchmark by -2.01%.
It has been a challenging year for option-selling strategies. Implied Volatility continued to drift lower throughout the year and has recently been hovering around recent historical lows. Further, the Fund experienced, while very short-lived, a few episodes of heightened delivered volatility that negatively impacted the option strategy. Fortunately, the Fund was still able to eke out a positive return in its option-selling program versus short-term treasury over the period.
In the next 12 months, we expect the implied volatility to trend closer to their historical long-term average and the option-selling strategy to continue to deliver positive return.
HYPOTHETICAL GROWTH OF $10,000 INVESTMENT
For the period October 27, 2022* to June 30, 2023
| * | Inception date. |
HISTORICAL PERFORMANCE
Total Return as of June 30, 2023
| Cumulative Total Return* |
||||
| Simplify Enhanced Income ETF NAV | 5.07 | % | ||
| Simplify Enhanced Income ETF Market Price | 4.80 | % | ||
| Bloomberg U.S. Corporate High Yield Bond Index | 7.08 | % | ||
Performance data quoted represents past performance and is no guarantee of future results. Current performance may be lower or higher than the performance data quoted. Investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than original cost. Fund NAV returns are calculated using the Fund’s daily 4:00 p.m. NAV. Returns shown include the reinvestment of all dividends and other distributions. Index returns do not include expenses. As stated in the current prospectus, the Fund’s annual operating expense ratio (gross) is 0.51% and the net expense ratio is 0.51%. (Actual expenses excluding acquired fund fees and expenses can be referenced in the Financial Highlights section later in this report.) Returns less than one year are not annualized. The performance table and graph do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. For the Fund’s most recent month end performance, please call 1 (855) 772-8488.
| * | Since Inception October 27, 2022. |
The Bloomberg U.S. Corporate High Yield Bond Index measures the U.S. dollar-denominated, high yield, fixed-rate corporate bond market. The index is calculated on a total return basis. The index is unmanaged, its returns do not reflect any fees, expenses, or sales charges, and it is not available for direct investment.
Investments involve risk. Principal loss is possible. Redemptions are limited and often commissions are charged on each trade. The ETF may be non-diversified, which may be more sensitive to economic, business, political or other changes affecting individual issuers or investments than a diversified fund, which may result in greater fluctuation in the value of the Fund’s Shares and greater risk of loss. Unlike mutual funds, ETFs may trade at a premium or discount to their net asset value.
5
Management’s Discussion of Fund Performance
June 30, 2023 (Unaudited)
Simplify Health Care ETF [Ticker: PINK]
For the year ended June 30, 2023, PINK returned 8.81% vs its benchmark, MSCI USA IMI/Health Care Net Index, return of 5.36%, outperforming the benchmark by 3.45%.
The Fund’s material outperformance since inception is attributable to several factors including bottoms-up analysis, tactical alpha positions and strategic weighting in certain subsectors.
For FY23, PINK was negatively positioned on specific Pharmaceutical companies, relatively neutral on Health Maintenance Organizations (HMO) and materially positive on select MedTech stocks. We anticipate some material changes to risk and sector preference for FY24.
Looking ahead, PINK is positioned overweight MedTech, underweight Pharmaceutical and is selective in other areas. Pharmaceutical, while inexpensive, is viewed by PINK as fundamentally overall unattractive. We believe several large-cap Pharma names may suffer from material deficiencies in development pipelines (new drugs). HMOs will likely have a resurgence on easier comps and better pricing in 2024 and will become much more attractive heading into November 2024 elections. MedTech will likely continue to outperform, increasingly selectively focusing on new products and innovations.
HYPOTHETICAL GROWTH OF $10,000 INVESTMENT
For the period October 7, 2021* to June 30, 2023
| * | Inception date. |
6
Simplify Health Care ETF
Management’s Discussion of Fund Performance (Continued)
June 30, 2023 (Unaudited)
HISTORICAL PERFORMANCE
Average Annual Total Return as of June 30, 2023
| One Year |
Since Inception* |
|||||||
| Simplify Health Care ETF NAV | 8.81 | % | 4.16 | % | ||||
| Simplify Health Care ETF Market Price | 8.63 | % | 4.33 | % | ||||
| MSCI USA IMI Health Care Net (USD) Index | 5.36 | % | 0.44 | % | ||||
Performance data quoted represents past performance and is no guarantee of future results. Current performance may be lower or higher than the performance data quoted. Investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than original cost. Fund NAV returns are calculated using the Fund’s daily 4:00 p.m. NAV. Returns shown include the reinvestment of all dividends and other distributions. Index returns do not include expenses. As stated in the current prospectus, the Fund’s annual operating expense ratio (gross) is 0.50% and the net expense ratio is 0.50%. (Actual expenses excluding acquired fund fees and expenses can be referenced in the Financial Highlights section later in this report.) Returns less than one year are not annualized. The performance table and graph do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. For the Fund’s most recent month end performance, please call 1 (855) 772-8488.
| * | Since Inception October 7, 2021. |
The MSCI USA IMI Health Care Net (USD) Index is designed to capture the large, mid and small cap segments of the US equity universe. All securities in the index are classified in the Health Care sector as per the Global Industry Classification Standard (GICS®).
Investments involve risk. Principal loss is possible. Redemptions are limited and often commissions are charged on each trade. The ETF may be non-diversified, which may be more sensitive to economic, business, political or other changes affecting individual issuers or investments than a diversified fund, which may result in greater fluctuation in the value of the Fund’s Shares and greater risk of loss. Unlike mutual funds, ETFs may trade at a premium or discount to their net asset value.
7
Management’s Discussion of Fund Performance
June 30, 2023 (Unaudited)
Simplify Hedged Equity ETF [Ticker: HEQT]
For the year ended June 30, 2023, HEQT returned 12.65% vs. the benchmark, Bloomberg US EG:FI 60:40 Index, return of 11.24%, outperforming the benchmark by 1.41%. HEQT achieved a lower volatility of 10.22% vs 12.45% for the benchmark over the same period.
Call strike on the monthly roll overwrite averaged 4.50% to 5.50% OTM, as a continuous slide in implied and realized volatility through Q2 2023 limited the market’s overall upside. HEQT’s 12-month beta to stocks was 0.43, as upside calls were exercised but not at sizable losses as the market drifted higher. In our view, costless collars are still an attractive method to sell volatility while hedging a larger drawdown in equities.
In the next 12 months, we expect slower-than-average equity market gains will allow HEQT’s returns to be competitive with similar strategies.
HYPOTHETICAL GROWTH OF $10,000 INVESTMENT
For the period November 1, 2021* to June 30, 2023
| * | Inception date. |
8
Simplify Hedged Equity ETF
Management’s Discussion of Fund Performance (Continued)
June 30, 2023 (Unaudited)
HISTORICAL PERFORMANCE
Average Annual Total Return as of June 30, 2023
| One Year | Since Inception* |
|||||||
| Simplify Hedged Equity ETF NAV | 12.65 | % | 2.54 | % | ||||
| Simplify Hedged Equity ETF Market Price | 12.49 | % | 2.23 | % | ||||
| S&P 500 Index Total Return | 19.59 | % | -0.52 | % | ||||
| Bloomberg US EQ:FI 60:40 Index | 11.24 | % | -3.67 | % | ||||
Performance data quoted represents past performance and is no guarantee of future results. Current performance may be lower or higher than the performance data quoted. Investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than original cost. Fund NAV returns are calculated using the Fund’s daily 4:00 p.m. NAV. Returns shown include the reinvestment of all dividends and other distributions. Index returns do not include expenses. As stated in the current prospectus, the Fund’s annual operating expense ratio (gross) is 0.53% and the net expense ratio is 0.53%. (Actual expenses excluding acquired fund fees and expenses can be referenced in the Financial Highlights section later in this report.) Returns less than one year are not annualized. The performance table and graph do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. For the Fund’s most recent month end performance, please call 1 (855) 772-8488.
| * | Since Inception November 1, 2021. |
The S&P 500® Index is a free-float market capitalization-weighted index of 500 of the largest U.S. companies. The index is calculated on a total return basis with dividends reinvested. The index is unmanaged, its returns do not reflect any fees, expenses, or sales charges, and it is not available for direct investment.
The Bloomberg US EQ:FI 60:40 Index is designed to measure cross-asset market performance in the US. The index rebalances monthly to 60% equities and 40% fixed income. The equity and fixed income allocation is represented by the Bloomberg US Large Cap Total Return Index and the Bloomberg US Aggregate Bond Index respectively. The Bloomberg US Large Cap Total Return Index is a float market-cap-weighted benchmark of the 500 most highly capitalized US companies. Index performance is based on total returns. The index is unmanaged, its returns do not reflect any fees, expenses, or sales charges, and it is not available for direct investment.
Effective July 1, 2022, HEQT changed its benchmark index from S&P 500 Index Total Return to the Bloomberg US EQ:FI 60:40 Index.
Investments involve risk. Principal loss is possible. Redemptions are limited and often commissions are charged on each trade. The ETF may be non-diversified, which may be more sensitive to economic, business, political or other changes affecting individual issuers or investments than a diversified fund, which may result in greater fluctuation in the value of the Fund’s Shares and greater risk of loss. Unlike mutual funds, ETFs may trade at a premium or discount to their net asset value.
9
Simplify High Yield PLUS Credit Hedge ETF
Management’s Discussion of Fund Performance
June 30, 2023 (Unaudited)
Simplify High Yield PLUS Credit Hedge ETF [Ticker: CDX]
For the year ended June 30, 2023, CDX returned 6.75% vs its benchmark, ICE BofA US High Yield Index 4PM, return of 8.97%, underperforming the benchmark by -2.22%.
The Fund’s underperformance primarily reflects spending on S&P 500 put options used to hedge a significant downside event in 2022; while 2022 equity markets were negative, the drawdowns failed to reach levels at which the protection paid off, resulting in unrecovered costs of hedging. In contrast, the remaining hedges, expressed as a Quality-Junk overlay contributed positively in both 2022 and 2023.
Looking forward, as interest expenses rise significantly versus EBITDA, the junk-bond market may experience material credit metric deterioration and pose refinancing challenge for these junk-bond companies. Under these conditions, we anticipate a widening of credit spreads and improved hedging performance.
HYPOTHETICAL GROWTH OF $10,000 INVESTMENT
For the period February 14, 2022* to June 30, 2023
| * | Inception date. |
HISTORICAL PERFORMANCE
Average Annual Total Return as of June 30, 2023
| One Year | Since Inception* |
|||||||
| Simplify High Yield PLUS Credit Hedge ETF NAV | 6.75 | % | -2.66 | % | ||||
| Simplify High Yield PLUS Credit Hedge ETF Market Price | 6.79 | % | -2.57 | % | ||||
| ICE BofA US High Yield Index 4PM | 8.97 | % | -1.39 | % | ||||
Performance data quoted represents past performance and is no guarantee of future results. Current performance may be lower or higher than the performance data quoted. Investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than original cost. Fund NAV returns are calculated using the Fund’s daily 4:00 p.m. NAV. Returns shown include the reinvestment of all dividends and other distributions. Index returns do not include expenses. As stated in the current prospectus, the Fund’s annual operating expense ratio (gross) is 0.50% and the net expense ratio, after fee waiver, is 0.25%. (Actual expenses excluding acquired fund fees and expenses can be referenced in the Financial Highlights section later in this report.) The Fund’s advisor has agreed to waive a portion of its fees and/or reimburse expenses to the extent necessary to keep the Fund’s expenses from exceeding 0.25% until at least October 31, 2023. Returns less than one year are not annualized. The performance table and graph do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. For the Fund’s most recent month end performance, please call 1 (855) 772-8488.
| * | Since Inception February 14, 2022. |
The ICE BofA US High Yield Index is market capitalization weighted and is designed to measure the performance of U.S. dollar denominated below investment grade (commonly referred to as “junk”) corporate debt publicly issued in the U.S. domestic market. The index is unmanaged, its returns do not reflect any fees, expenses, or sales charges, and it is not available for direct investment.
10
Simplify High Yield PLUS Credit Hedge ETF
Management’s Discussion of Fund Performance (Continued)
June 30, 2023 (Unaudited)
Investments involve risk. Principal loss is possible. Redemptions are limited and often commissions are charged on each trade. The ETF may be non-diversified, which may be more sensitive to economic, business, political or other changes affecting individual issuers or investments than a diversified fund, which may result in greater fluctuation in the value of the Fund’s Shares and greater risk of loss. Unlike mutual funds, ETFs may trade at a premium or discount to their net asset value.
11
Simplify Interest Rate Hedge ETF
Management’s Discussion of Fund Performance
June 30, 2023 (Unaudited)
Simplify Interest Rate Hedge ETF [Ticker: PFIX]
For the year ended June 30, 2023, PFIX returned 13.35% vs its benchmark, ICE U.S. Treasury 20+ Year Bond Index 4PM, return of -8.46%, outperforming the benchmark by 21.81%.
The main reason for the difference is that PFIX holds a long position in a set of out of the money pay fixed option with 5 to 7 years to expiry into a 20-year swap. These swaptions performed well as the forward interest rates that underly them increased. These increases were offset somewhat by declines in the level of implied volatility, time decay on the options and increases in the rates used to discount the option payoff.
Looking forward, the path of future interest rates and implied volatilities will continue to drive PFIX performance.
Increases in rates that drive increases in the forward rates along with increases in implied volatilities would be beneficial to the Fund’s performance while decreases in forward rates and declines in implied volatilities would be harmful.
HYPOTHETICAL GROWTH OF $10,000 INVESTMENT
For the period ended May 10, 2021* to June 30, 2023
| * | Inception date. |
12
Simplify Interest Rate Hedge ETF
Management’s Discussion of Fund Performance (Continued)
June 30, 2023 (Unaudited)
HISTORICAL PERFORMANCE
Average Annual Total Return as of June 30, 2023
| One Year | Since Inception* |
|||||||
| Simplify Interest Rate Hedge ETF NAV | 13.35 | % | 12.97 | % | ||||
| Simplify Interest Rate Hedge ETF Market Price | 12.60 | % | 11.90 | % | ||||
| ICE U.S. Treasury 20+ Year Bond Index 4PM | -8.46 | % | -10.93 | % | ||||
Performance data quoted represents past performance and is no guarantee of future results. Current performance may be lower or higher than the performance data quoted. Investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than original cost. Fund NAV returns are calculated using the Fund’s daily 4:00 p.m. NAV. Returns shown include the reinvestment of all dividends and other distributions. Index returns do not include expenses. As stated in the current prospectus, the Fund’s annual operating expense ratio (gross) is 0.50% and the net expense ratio is 0.50%. (Actual expenses excluding acquired fund fees and expenses can be referenced in the Financial Highlights section later in this report.) Returns less than one year are not annualized. The performance table and graph do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. For the Fund’s most recent month end performance, please call 1 (855) 772-8488.
| * | Since Inception May 10, 2021. |
The ICE U.S. Treasury 20+ Year Bond Index is part of a series of indices intended to the assess U.S. Treasury market. The Index is market value weighted and is designed to measure the performance of U.S. dollar denominated, fixed rate securities with minimum term to maturity greater than twenty years. The index is unmanaged, its returns do not reflect any fees, expenses, or sales charges, and it is not available for direct investment.
Investments involve risk. Principal loss is possible. Redemptions are limited and often commissions are charged on each trade. The ETF may be non-diversified, which may be more sensitive to economic, business, political or other changes affecting individual issuers or investments than a diversified fund, which may result in greater fluctuation in the value of the Fund’s Shares and greater risk of loss. Unlike mutual funds, ETFs may trade at a premium or discount to their net asset value.
13
Simplify Intermediate Term Treasury Futures Strategy ETF
Management’s Discussion of Fund Performance
June 30, 2023 (Unaudited)
Simplify Intermediate Term Treasury Futures Strategy ETF [Ticker: TYA]
For the year ended June 30, 2023, TYA returned -16.61% vs its benchmark, ICE U.S. Treasury 20+ Year Bond Index 4PM, return of -8.46%, underperforming the benchmark by -8.15%.
The Fund’s underperformance was due to the changes in the term structure of interest rates in the past 12 months. The Fund gains its exposure via investments in treasury futures contracts that invest in the 7-year to 10-year segment of the yield curve. The Fund then leverages its duration exposure to get close to that of the ICE U.S. Treasury 20+ Year Bond Index, while paying borrowing cost at 3-month or shorter-term interest rates.
Although the entire term structure of rates went higher, hurting the performance of all bonds, the increases were largest in the short end of the yield curve, and relatively larger in the intermediate-portion of the yield curve than the longer-term rates used to price the bonds in the benchmark.
Looking forward, the path of future interest rates and their term structure will continue to drive TYA performance. Increases in rates and/ or further inversions will generally be harmful to performance while decreases in rates accompanied by steepening would be beneficial.
HYPOTHETICAL GROWTH OF $10,000 INVESTMENT
For the period September 27, 2021* to June 30, 2023
| * | Inception date. |
14
Simplify Intermediate Term Treasury Futures Strategy ETF
Management’s Discussion of Fund Performance (Continued)
June 30, 2023 (Unaudited)
HISTORICAL PERFORMANCE
Average Annual Total Return as of June 30, 2023
| One Year |
Since Inception* |
|||||||
| Simplify Intermediate Term Treasury Futures Strategy ETF NAV | -16.61 | % | -24.31 | % | ||||
| Simplify Intermediate Term Treasury Futures Strategy ETF Market Price | -16.37 | % | -24.38 | % | ||||
| ICE U.S. Treasury 20+ Year Bond Index 4PM | -8.46 | % | -16.37 | % | ||||
Performance data quoted represents past performance and is no guarantee of future results. Current performance may be lower or higher than the performance data quoted. Investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than original cost. Fund NAV returns are calculated using the Fund’s daily 4:00 p.m. NAV. Returns shown include the reinvestment of all dividends and other distributions. Index returns do not include expenses. As stated in the current prospectus, the Fund’s annual operating expense ratio (gross) is 0.25% and the net expense ratio, after fee waiver, is 0.15%. (Actual expenses excluding acquired fund fees and expenses can be referenced in the Financial Highlights section later in this report.) The Fund’s advisor has agreed to waive a portion of its fees and/or reimburse expenses to the extent necessary to keep the Fund’s expenses from exceeding 0.15% until at least October 31, 2023. Returns less than one year are not annualized. The performance table and graph do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. For the Fund’s most recent month end performance, please call 1 (855) 772-8488.
| * | Since Inception September 27, 2021. |
The ICE U.S. Treasury 20+ Year Bond Index is part of a series of indices intended to the assess U.S. Treasury market. The Index is market value weighted and is designed to measure the performance of U.S. dollar denominated, fixed rate securities with minimum term to maturity greater than twenty years. The index is unmanaged, its returns do not reflect any fees, expenses, or sales charges, and it is not available for direct investment.
Investments involve risk. Principal loss is possible. Redemptions are limited and often commissions are charged on each trade. The ETF may be non-diversified, which may be more sensitive to economic, business, political or other changes affecting individual issuers or investments than a diversified fund, which may result in greater fluctuation in the value of the Fund’s Shares and greater risk of loss. Unlike mutual funds, ETFs may trade at a premium or discount to their net asset value.
15
Simplify Market Neutral Equity Long/Short ETF
Management’s Discussion of Fund Performance
June 30, 2023 (Unaudited)
Simplify Market Neutral Equity Long Short ETF [Ticker: EQLS]
Since its inception on June 12, 2023, EQLS returned -2.29% vs. the benchmark, MSCI World Index, return of 1.26%, underperforming the benchmark by -3.55%.
June was a difficult month for quants as systematic strategies suffered due to a reversion in factor performance. Detractors to performance include systematic factor exposures such as individual country biases, short Value, short Financials; stock selection performance not explained by traditional factors; and implementation costs. Contributors to positive performance include long exposure to Profitability, Momentum, and Consumer Discretionary names.
In the next 12 months, should market sentiment settle and investors gain more certainty regarding the path of interest rates, we expect systematic factors to stabilize, which may enhance the performance of quantitative strategies.
At June 30, 2023, the fund’s financial statements covered a period of less than 6 months, therefore a line graph is not presented.
HISTORICAL PERFORMANCE
Total Return as of June 30, 2023
| Cumulative Total Return* |
||||
| Simplify Market Neutral Equity Long Short ETF NAV | -2.29 | % | ||
| Simplify Market Neutral Equity Long Short ETF Market Price | -1.72 | % | ||
| MSCI World Index Price | 1.26 | % | ||
Performance data quoted represents past performance and is no guarantee of future results. Current performance may be lower or higher than the performance data quoted. Investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than original cost. Fund NAV returns are calculated using the Fund’s daily 4:00 p.m. NAV. Returns shown include the reinvestment of all dividends and other distributions. Index returns do not include expenses. As stated in the current prospectus, the Fund’s annual operating expense ratio (gross) is 1.00% and the net expense ratio is 1.00%. (Actual expenses excluding acquired fund fees and expenses can be referenced in the Financial Highlights section later in this report.) Returns less than one year are not annualized. The performance table and graph do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. For the Fund’s most recent month end performance, please call 1 (855) 772-8488.
| * | Since Inception June 13, 2023. |
The MSCI World Index is a broad global equity index that represents large and mid-cap equity performance across all 23 developed markets countries. The index is unmanaged, its returns do not reflect any fees, expenses, or sales charges, and it is not available for direct investment.
Investments involve risk. Principal loss is possible. Redemptions are limited and often commissions are charged on each trade. The ETF may be non-diversified, which may be more sensitive to economic, business, political or other changes affecting individual issuers or investments than a diversified fund, which may result in greater fluctuation in the value of the Fund’s Shares and greater risk of loss. Unlike mutual funds, ETFs may trade at a premium or discount to their net asset value.
16
Simplify Opportunistic Income ETF
Management’s Discussion of Fund Performance
June 30, 2023 (Unaudited)
Simplify Opportunistic Income ETF [Ticker: CRDT]
Since its inception on June 27, 2023, CRDT returned 0.04% vs. the benchmark, ICE BofA US High Yield Index 4PM, return of 0.77%, underperforming the benchmark by 0.73%. CRDT began scaling into holdings with an estimated yield of 5.15% at quarter-end.
In the next 12 months, we believe selective credit investment will provide ample alpha opportunities as a result of the general richness of the index products in the current environment.
At June 30, 2023, the fund’s financial statements covered a period of less than 6 months, therefore a line graph is not presented.
HISTORICAL PERFORMANCE
Total Return as of June 30, 2023
| Cumulative Total Return* |
||||
| Simplify Opportunistic Income ETF NAV | 0.04 | % | ||
| Simplify Opportunistic Income ETF Market Price | -0.08 | % | ||
| ICE BofA US High Yield Index 4PM | 0.77 | % | ||
Performance data quoted represents past performance and is no guarantee of future results. Current performance may be lower or higher than the performance data quoted. Investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than original cost. Fund NAV returns are calculated using the Fund’s daily 4:00 p.m. NAV. Returns shown include the reinvestment of all dividends and other distributions. Index returns do not include expenses. As stated in the current prospectus, the Fund’s annual operating expense ratio (gross) is 0.95% and the net expense ratio is 0.50%. The adviser has contractually agreed to waive its fee payable under the management agreement by 0.45% until 1-year from Fund launch. (Actual expenses excluding acquired fund fees and expenses can be referenced in the Financial Highlights section later in this report.) Returns less than one year are not annualized. The performance table and graph do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. For the Fund’s most recent month end performance, please call 1 (855) 772-8488.
| * | Since Inception June 26, 2023. |
The ICE BofA US High Yield Index is market capitalization weighted and is designed to measure the performance of U.S. dollar denominated below investment grade (commonly referred to as “junk”) corporate debt publicly issued in the U.S. domestic market. The index is unmanaged, its returns do not reflect any fees, expenses, or sales charges, and it is not available for direct investment.
Investments involve risk. Principal loss is possible. Redemptions are limited and often commissions are charged on each trade. The ETF may be non-diversified, which may be more sensitive to economic, business, political or other changes affecting individual issuers or investments than a diversified fund, which may result in greater fluctuation in the value of the Fund’s Shares and greater risk of loss. Unlike mutual funds, ETFs may trade at a premium or discount to their net asset value.
17
Simplify Propel Opportunities ETF
Management’s Discussion of Fund Performance
June 30, 2023 (Unaudited)
Simplify Propel Opportunities ETF [Ticker: SURI]
Since its inception on February 7, 2023, SURI returned -4.97% vs. the benchmark, MSCI USA IMI/Health Care Net Index, return of 0.34%, underperforming the benchmark by -5.31%.
The Fund’s relative underperformance was driven by heavier weighting of early-stage and small/mid-cap (SMID) companies. Due to volatility in the overall market, we saw weakness in this subset of the healthcare sector versus later stage and large cap health care companies. The healthcare sector has generally seen underperformance versus the broader market during this same time period.
In the next 12 months, while we anticipate continued volatility in SMID healthcare companies versus the overall market, we expect specific catalysts within the SURI portfolio along with increased M&A and strategic activities targeting SMID healthcare companies to drive outperformance.
At June 30, 2023, the fund’s financial statements covered a period of less than 6 months, therefore a line graph is not presented.
HISTORICAL PERFORMANCE
Total Return as of June 30, 2023
| Cumulative Total Return* |
||||
| Simplify Propel Opportunities ETF NAV | -4.97 | % | ||
| Simplify Propel Opportunities ETF Market Price | -3.57 | % | ||
| MSCI USA IMI Health Care Net (USD) Index | 0.34 | % | ||
Performance data quoted represents past performance and is no guarantee of future results. Current performance may be lower or higher than the performance data quoted. Investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than original cost. Fund NAV returns are calculated using the Fund’s daily 4:00 p.m. NAV. Returns shown include the reinvestment of all dividends and other distributions. Index returns do not include expenses. As stated in the current prospectus, the Fund’s annual operating expense ratio (gross) is 2.75% and the net expense ratio is 2.51%. (Actual expenses excluding acquired fund fees and expenses can be referenced in the Financial Highlights section later in this report.) Returns less than one year are not annualized. The performance table and graph do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. For the Fund’s most recent month end performance, please call 1 (855) 772-8488.
| * | Since Inception February 7, 2023. |
The MSCI USA IMI Health Care Net (USD) Index is designed to capture the large, mid and small cap segments of the US equity universe. All securities in the index are classified in the Health Care sector as per the Global Industry Classification Standard (GICS®). The index is unmanaged, its returns do not reflect any fees, expenses, or sales charges, and it is not available for direct investment.
Investments involve risk. Principal loss is possible. Redemptions are limited and often commissions are charged on each trade. The ETF may be non-diversified, which may be more sensitive to economic, business, political or other changes affecting individual issuers or investments than a diversified fund, which may result in greater fluctuation in the value of the Fund’s Shares and greater risk of loss. Unlike mutual funds, ETFs may trade at a premium or discount to their net asset value.
18
Simplify Short Term Treasury Futures Strategy ETF
Management’s Discussion of Fund Performance
June 30, 2023 (Unaudited)
Simplify Short Term Treasury Futures Strategy ETF [Ticker: TUA]
Since its inception on November 14, 2022, TUA returned -6.97% vs. the benchmark, ICE U.S. Treasury 7-10 Year Bond Index, return of 2.45%, underperforming the benchmark by -9.42%.
The Fund’s underperformance was due to the changes in the term structure of interest rates since inception of the fund. The Fund gains its exposure via investments in treasury futures contracts that invest in the 1.5-year to 2-year segment of the yield curve. The Fund then leverages its duration exposure to get close to that of the ICE U.S. Treasury 7-10 Year Bond Index, while paying borrowing cost at 3-month or shorter-term interest rates.
Although the intermediate portion of the yield curve remains relatively stable since inception of the fund, the front end of the yield curve moved up, increasing borrowing cost and decreasing the prices of the bonds held in the futures contracts.
Looking forward, the path of future interest rates and their term structure will continue to drive TUA performance. Increases in rates and/ or further inversions will generally be harmful to performance while decreases in rates accompanied by steepening would be beneficial.
HYPOTHETICAL GROWTH OF $10,000 INVESTMENT
For the period November 14, 2022* to June 30, 2023
| * | Inception date. |
HISTORICAL PERFORMANCE
Total Return as of June 30, 2023
| Cumulative Total Return* |
||||
| Simplify Macro Strategy ETF NAV | -6.97 | % | ||
| Simplify Macro Strategy ETF Market Price | -6.99 | % | ||
| ICE U.S. Treasury 7-10 Year Bond Index | 2.45 | % | ||
Performance data quoted represents past performance and is no guarantee of future results. Current performance may be lower or higher than the performance data quoted. Investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than original cost. Fund NAV returns are calculated using the Fund’s daily 4:00 p.m. NAV. Returns shown include the reinvestment of all dividends and other distributions. Index returns do not include expenses. As stated in the current prospectus, the Fund’s annual operating expense ratio (gross) is 0.25% and the net expense ratio, after fee waiver, is 0.15%. (Actual expenses excluding acquired fund fees and expenses can be referenced in the Financial Highlights section later in this report.) The Fund’s advisor has agreed to waive a portion of its fees and/or reimburse expenses to the extent necessary to keep the Fund’s expenses from exceeding 0.15% until at least October 31, 2023. Returns less than one year are not annualized. The performance table and graph do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. For the Fund’s most recent month end performance, please call 1 (855) 772-8488.
| * | Since Inception November 14, 2022. |
The ICE U.S. Treasury 7-10 Year Bond Index is part of a series of indices intended to assess the U.S. Treasury market. The Index is market value weighted and is designed to measure the performance of U.S. dollar-denominated, fixed rate securities with minimum term to maturity greater than seven years and less than or equal to ten years. The index is unmanaged, its returns do not reflect any fees, expenses, or sales charges, and it is not available for direct investment.
19
Simplify Short Term Treasury Futures Strategy ETF
Management’s Discussion of Fund Performance (Continued)
June 30, 2023 (Unaudited)
Investments involve risk. Principal loss is possible. Redemptions are limited and often commissions are charged on each trade. The ETF may be non-diversified, which may be more sensitive to economic, business, political or other changes affecting individual issuers or investments than a diversified fund, which may result in greater fluctuation in the value of the Fund’s Shares and greater risk of loss. Unlike mutual funds, ETFs may trade at a premium or discount to their net asset value.
20
Management’s Discussion of Fund Performance
June 30, 2023 (Unaudited)
Simplify Stable Income ETF [Ticker: BUCK]
Since its inception on October 27, 2022, BUCK returned 3.27% vs. the benchmark, Bloomberg 1-3 Month U.S. Treasury Bill Index, return of 3.04%, slightly outperforming the benchmark by 0.23%.
It has been a challenging year for option-selling strategies. Implied Volatility continued to drift lower throughout the year and has recently been hovering around recent historical lows. Further, we experienced, while very short-lived, a few episodes of heightened delivered volatility that negatively impacted the option strategy. Fortunately, the Fund was still able to deliver a small positive return in our option-selling program over the period.
In the next 12 months, we expect the implied volatility to trend closer to their historical long-term average and the option-selling strategy to continue to deliver positive return.
HYPOTHETICAL GROWTH OF $10,000 INVESTMENT
For the period October 27, 2022* to June 30, 2023
| * | Inception date. |
HISTORICAL PERFORMANCE
Total Return as of June 30, 2023
| Cumulative Total Return* |
||||
| Simplify Stable Income ETF NAV | 3.27 | % | ||
| Simplify Stable Income ETF Market Price | 2.86 | % | ||
| Bloomberg 1-3 Month U.S. Treasury Bill Index | 3.04 | % | ||
Performance data quoted represents past performance and is no guarantee of future results. Current performance may be lower or higher than the performance data quoted. Investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than original cost. Fund NAV returns are calculated using the Fund’s daily 4:00 p.m. NAV. Returns shown include the reinvestment of all dividends and other distributions. Index returns do not include expenses. As stated in the current prospectus, the Fund’s annual operating expense ratio (gross) is 0.36% and the net expense ratio is 0.36%. (Actual expenses excluding acquired fund fees and expenses can be referenced in the Financial Highlights section later in this report.) Returns less than one year are not annualized. The performance table and graph do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. For the Fund’s most recent month end performance, please call 1 (855) 772-8488.
| * | Since Inception October 27, 2022. |
The Bloomberg 1-3 Month U.S. Treasury Bill Index is designed to measure the performance of public obligations of the U.S. Treasury that have a remaining maturity of greater than or equal to 1 month and less than 3 months. The index is unmanaged, its returns do not reflect any fees, expenses, or sales charges, and it is not available for direct investment.
Investments involve risk. Principal loss is possible. Redemptions are limited and often commissions are charged on each trade. The ETF may be non-diversified, which may be more sensitive to economic, business, political or other changes affecting individual issuers or investments than a diversified fund, which may result in greater fluctuation in the value of the Fund’s Shares and greater risk of loss. Unlike mutual funds, ETFs may trade at a premium or discount to their net asset value.
21
Simplify Tail Risk Strategy ETF
Management’s Discussion of Fund Performance
June 30, 2023 (Unaudited)
Simplify Tail Risk Strategy ETF [Ticker: CYA]
For the year ended June 30, 2023, CYA returned -68.31% vs its referenced benchmark, ICE BofA 3 Month U.S. Treasury Bill Index 4PM, return of 3.62%, underperforming the benchmark by -71.93%.
The Fund’s tail risk hedging strategy underperformed for the period amid the equity market continued to grow without a significant drawdown. The Fund’s updated guidelines of closer to 50% annual budget spend on hedges have been successful in creating payoff profiles more in line with our expectations of a tail risk strategy.
In the next 12 months, we expect CYA to continue to focus on hedges beyond just equity puts, e.g., VIX options, and to create payoff profiles that are also more diversified.
HYPOTHETICAL GROWTH OF $10,000 INVESTMENT
For the period September 13, 2021* to June 30, 2023
| * | Inception date. |
22
Simplify Tail Risk Strategy ETF
Management’s Discussion of Fund Performance (Continued)
June 30, 2023 (Unaudited)
HISTORICAL PERFORMANCE
Average Annual Total Return as of June 30, 2023
| One Year | Since Inception* |
|||||||
| Simplify Tail Risk Strategy ETF NAV | -68.31 | % | -51.86 | % | ||||
| Simplify Tail Risk Strategy ETF Market Price | -68.50 | % | -52.06 | % | ||||
| ICE BofA 3 Month U.S. Treasury Bill Index 4PM | 3.62 | % | 2.09 | % | ||||
Performance data quoted represents past performance and is no guarantee of future results. Current performance may be lower or higher than the performance data quoted. Investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than original cost. Fund NAV returns are calculated using the Fund’s daily 4:00 p.m. NAV. Returns shown include the reinvestment of all dividends and other distributions. Index returns do not include expenses. As stated in the current prospectus, the Fund’s annual operating expense ratio (gross) is 1.09% and the net expense ratio, after fee waiver, is 0.84%. (Actual expenses excluding acquired fund fees and expenses can be referenced in the Financial Highlights section later in this report.) The Fund’s advisor has agreed to waive a portion of its fees and/or reimburse expenses to the extent necessary to keep the Fund’s expenses from exceeding 0.50% until at least October 31, 2023. Returns less than one year are not annualized. The performance table and graph do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. For the Fund’s most recent month end performance, please call 1 (855) 772-8488.
| * | Since Inception September 13, 2021. |
The ICE BofA 3 Month U.S. Treasury Bill Index measures the performance of a single issue of outstanding treasury bill which matures closest to, but not beyond, three months from the rebalancing date. The issue is purchased at the beginning of the month and held for a full month; at the end of the month that issue is sold and rolled into a newly selected issue. The index is unmanaged, its returns do not reflect any fees, expenses, or sales charges, and it is not available for direct investment.
Investments involve risk. Principal loss is possible. Redemptions are limited and often commissions are charged on each trade. The ETF may be non-diversified, which may be more sensitive to economic, business, political or other changes affecting individual issuers or investments than a diversified fund, which may result in greater fluctuation in the value of the Fund’s Shares and greater risk of loss. Unlike mutual funds, ETFs may trade at a premium or discount to their net asset value.
23
Simplify US Equity PLUS Convexity ETF
Management’s Discussion of Fund Performance
June 30, 2023 (Unaudited)
Simplify US Equity PLUS Convexity ETF [Ticker: SPYC]
For the year ended June 30, 2023, SPYC returned 10.67% vs its benchmark, S&P 500 Index, return of 19.59%, underperforming the benchmark by -8.92%.
The Fund’s underperformance was predominantly due to the challenges experienced during 4Q 2022 on both the downside and upside convexity components, where we aggressively positioned the Fund for a continued drawdown at the expense of spending excess budget. To better control for these challenges, at the end of 4Q 2022 we implemented an updated algorithm to increase the probability of hitting strikes and monetizing by bringing strikes and expiries in, and have set strict budget limits for the option overlay.
In the next 12 months, we expect equity markets to remain in a relatively low volatility environment, where the Fund will hopefully continue to maintain a strong notional coverage with our new options structure.
HYPOTHETICAL GROWTH OF $10,000 INVESTMENT
For the period September 3, 2020* to June 30, 2023
| * | Inception date. |
24
Simplify US Equity PLUS Convexity ETF
Management’s Discussion of Fund Performance (Continued)
June 30, 2023 (Unaudited)
HISTORICAL PERFORMANCE
Average Annual Total Return as of June 30, 2023
| One Year | Since Inception* |
|||||||
| Simplify US Equity PLUS Convexity ETF NAV | 10.67 | % | 6.95 | % | ||||
| Simplify US Equity PLUS Convexity ETF Market Price | 11.05 | % | 7.22 | % | ||||
| S&P 500 Index Total Return | 19.59 | % | 11.11 | % | ||||
Performance data quoted represents past performance and is no guarantee of future results. Current performance may be lower or higher than the performance data quoted. Investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than original cost. Fund NAV returns are calculated using the Fund’s daily 4:00 p.m. NAV. Returns shown include the reinvestment of all dividends and other distributions. Index returns do not include expenses. As stated in the current prospectus, the Fund’s annual operating expense ratio (gross) is 0.53% and the net expense ratio, after fee waiver, is 0.28%. (Actual expenses excluding acquired fund fees and expenses can be referenced in the Financial Highlights section later in this report.) The Fund’s advisor has agreed to waive a portion of its fees and/or reimburse expenses to the extent necessary to keep the Fund’s expenses from exceeding 0.25% until at least October 31, 2023. Returns less than one year are not annualized. The performance table and graph do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. For the Fund’s most recent month end performance, please call 1 (855) 772-8488.
| * | Since Inception September 3, 2020. |
The S&P 500® Index is a free-float market capitalization-weighted index of 500 of the largest U.S. companies. The index is calculated on a total return basis with dividends reinvested. The index is unmanaged, its returns do not reflect any fees, expenses, or sales charges, and it is not available for direct investment.
Investments involve risk. Principal loss is possible. Redemptions are limited and often commissions are charged on each trade. The ETF may be non-diversified, which may be more sensitive to economic, business, political or other changes affecting individual issuers or investments than a diversified fund, which may result in greater fluctuation in the value of the Fund’s Shares and greater risk of loss. Unlike mutual funds, ETFs may trade at a premium or discount to their net asset value.
25
Simplify US Equity PLUS Downside Convexity ETF
Management’s Discussion of Fund Performance
June 30, 2023 (Unaudited)
Simplify US Equity PLUS Downside Convexity ETF [Ticker: SPD]
For the year ended June 30, 2023, SPD returned 5.31% vs its benchmark, S&P 500 Index, return of 19.59%, underperforming the benchmark by -14.28%.
The Fund’s underperformance was predominantly driven by the challenges experienced during 4Q 2022, where we aggressively positioned the Fund for a continued drawdown at the expense of spending excess budget, which ultimately cost the Fund. To better control for these challenges, at the end of 4Q 2022 we implemented an updated algorithm to increase the probability of hitting strikes and monetizing by bringing strikes and expiries in, and have set strict budget limits for the option overlay.
In the next 12 months, we expect equity markets to remain in a relatively low volatility environment, where the Fund will hopefully continue to maintain a strong notional coverage with our new options structure.
HYPOTHETICAL GROWTH OF $10,000 INVESTMENT
For the period September 3, 2020* to June 30, 2023
| * | Inception date. |
26
Simplify US Equity PLUS Downside Convexity ETF
Management’s Discussion of Fund Performance (Continued)
June 30, 2023 (Unaudited)
HISTORICAL PERFORMANCE
Average Annual Total Return as of June 30, 2023
| One Year |
Since Inception* |
|||||||
| Simplify US Equity PLUS Downside Convexity ETF NAV | 5.31 | % | 4.73 | % | ||||
| Simplify US Equity PLUS Downside Convexity ETF Market Price | 5.16 | % | 4.90 | % | ||||
| S&P 500 Index Total Return | 19.59 | % | 11.11 | % | ||||
Performance data quoted represents past performance and is no guarantee of future results. Current performance may be lower or higher than the performance data quoted. Investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than original cost. Fund NAV returns are calculated using the Fund’s daily 4:00 p.m. NAV. Returns shown include the reinvestment of all dividends and other distributions. Index returns do not include expenses. As stated in the current prospectus, the Fund’s annual operating expense ratio (gross) is 0.53% and the net expense ratio, after fee waiver, is 0.28%. (Actual expenses excluding acquired fund fees and expenses can be referenced in the Financial Highlights section later in this report.) The Fund’s advisor has agreed to waive a portion of its fees and/or reimburse expenses to the extent necessary to keep the Fund’s expenses from exceeding 0.25% until at least October 31, 2023. Returns less than one year are not annualized. The performance table and graph do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. For the Fund’s most recent month end performance, please call 1 (855) 772-8488.
| * | Since Inception September 3, 2020. |
The S&P 500® Index is a free-float market capitalization-weighted index of 500 of the largest U.S. companies. The index is calculated on a total return basis with dividends reinvested. The index is unmanaged, its returns do not reflect any fees, expenses, or sales charges, and it is not available for direct investment.
Investments involve risk. Principal loss is possible. Redemptions are limited and often commissions are charged on each trade. The ETF may be non-diversified, which may be more sensitive to economic, business, political or other changes affecting individual issuers or investments than a diversified fund, which may result in greater fluctuation in the value of the Fund’s Shares and greater risk of loss. Unlike mutual funds, ETFs may trade at a premium or discount to their net asset value.
27
Simplify US Equity PLUS GBTC ETF
Management’s Discussion of Fund Performance
June 30, 2023 (Unaudited)
Simplify US Equity PLUS GBTC ETF [Ticker: SPBC]
For the year ended June 30, 2023, SPBC returned 27.69% vs its benchmark, S&P 500 Index, return of 19.59%, outperforming the benchmark by 8.10%.
The Fund outperformed over large cap stocks on the back of the rally in GBTC and the narrowing of its discount to NAV (+59% last 1yr). As stocks’ correlation to bitcoin narrowed in 2023, SPBC has seen its realized volatility decline below 20% and hence offers an improving and effective diversifying complement to a large cap stock portfolio.
Looking forward, our view is that the growth of competitors’ funds will improve the technicals in the sector favorable to SPBC’s return prospects.
HYPOTHETICAL GROWTH OF $10,000 INVESTMENT
For the period May 24, 2021* to June 30, 2023
| * | Inception date. |
28
Simplify US Equity PLUS GBTC ETF
Management’s Discussion of Fund Performance (Continued)
June 30, 2023 (Unaudited)
HISTORICAL PERFORMANCE
Average Annual Total Return as of June 30, 2023
| One Year | Since Inception* |
|||||||
| Simplify US Equity PLUS GBTC ETF NAV | 27.69 | % | 3.12 | % | ||||
| Simplify US Equity PLUS GBTC ETF Market Price | 27.93 | % | 3.51 | % | ||||
| S&P 500 Index Total Return | 19.59 | % | 11.11 | % | ||||
Performance data quoted represents past performance and is no guarantee of future results. Current performance may be lower or higher than the performance data quoted. Investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than original cost. Fund NAV returns are calculated using the Fund’s daily 4:00 p.m. NAV. Returns shown include the reinvestment of all dividends and other distributions. Index returns do not include expenses. As stated in the current prospectus, the Fund’s annual operating expense ratio (gross) is 0.73% and the net expense ratio is 0.73%. (Actual expenses excluding acquired fund fees and expenses can be referenced in the Financial Highlights section later in this report.) Returns less than one year are not annualized. The performance table and graph do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. For the Fund’s most recent month end performance, please call 1 (855) 772-8488.
| * | Since Inception May 24, 2021. |
The S&P 500® Index is a free-float market capitalization-weighted index of 500 of the largest U.S. companies. The index is calculated on a total return basis with dividends reinvested. The index is unmanaged, its returns do not reflect any fees, expenses, or sales charges, and it is not available for direct investment.
Investments involve risk. Principal loss is possible. Redemptions are limited and often commissions are charged on each trade. The ETF may be non-diversified, which may be more sensitive to economic, business, political or other changes affecting individual issuers or investments than a diversified fund, which may result in greater fluctuation in the value of the Fund’s Shares and greater risk of loss. Unlike mutual funds, ETFs may trade at a premium or discount to their net asset value.
29
Simplify US Equity PLUS Upside Convexity ETF
Management’s Discussion of Fund Performance
June 30, 2023 (Unaudited)
Simplify US Equity PLUS Upside Convexity ETF [Ticker: SPUC]
For the year ended June 30, 2023, SPUC returned 16.65% vs its benchmark, S&P 500 Index, return of 19.59%, underperforming the benchmark by -2.94%.
The Fund’s underperformance was predominantly driven by the challenges experienced during 4Q 2022, where the lion’s share of the 3% annual budget was spent to prepare for a potential market rebound at the expense of spending excess budget. To better control for these challenges, at the end of 4Q 2022 we implemented an updated algorithm to increase the probability of hitting strikes and monetizing by bringing strikes and expiries in, and have set strict budget limits for the option overlay. We saw the benefits of this new system already in the first half of 2023, where SPUC outperformed its index benchmark by more than 0.5%.
In the next 12 months, we expect equity markets to remain in a relatively low volatility environment, where the Fund will hopefully continue to maintain a strong notional coverage with our new options structure.
HYPOTHETICAL GROWTH OF $10,000 INVESTMENT
For the period September 3, 2020* to June 30, 2023
| * | Inception date. |
30
Simplify US Equity PLUS Upside Convexity ETF
Management’s Discussion of Fund Performance (Continued)
June 30, 2023 (Unaudited)
HISTORICAL PERFORMANCE
Average Annual Total Return as of June 30, 2023
| One Year | Since Inception* |
|||||||
| Simplify US Equity PLUS Upside Convexity ETF NAV | 16.65 | % | 9.40 | % | ||||
| Simplify US Equity PLUS Upside Convexity ETF Market Price | 17.09 | % | 9.71 | % | ||||
| S&P 500 Index Total Return | 19.59 | % | 11.11 | % | ||||
Performance data quoted represents past performance and is no guarantee of future results. Current performance may be lower or higher than the performance data quoted. Investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than original cost. Fund NAV returns are calculated using the Fund’s daily 4:00 p.m. NAV. Returns shown include the reinvestment of all dividends and other distributions. Index returns do not include expenses. As stated in the current prospectus, the Fund’s annual operating expense ratio (gross) is 0.53% and the net expense ratio, after fee waiver, is 0.28%. (Actual expenses excluding acquired fund fees and expenses can be referenced in the Financial Highlights section later in this report.) The Fund’s advisor has agreed to waive a portion of its fees and/or reimburse expenses to the extent necessary to keep the Fund’s expenses from exceeding 0.25% until at least October 31, 2023. Returns less than one year are not annualized. The performance table and graph do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. For the Fund’s most recent month end performance, please call 1 (855) 772-8488.
| * | Since Inception September 3, 2020. |
The S&P 500® Index is a free-float market capitalization-weighted index of 500 of the largest U.S. companies. The index is calculated on a total return basis with dividends reinvested. The index is unmanaged, its returns do not reflect any fees, expenses, or sales charges, and it is not available for direct investment.
Investments involve risk. Principal loss is possible. Redemptions are limited and often commissions are charged on each trade. The ETF may be non-diversified, which may be more sensitive to economic, business, political or other changes affecting individual issuers or investments than a diversified fund, which may result in greater fluctuation in the value of the Fund’s Shares and greater risk of loss. Unlike mutual funds, ETFs may trade at a premium or discount to their net asset value.
31
Simplify Volt RoboCar Disruption and Tech ETF
Management’s Discussion of Fund Performance
June 30, 2023 (Unaudited)
Simplify Volt Robocar Disruption and Tech ETF [Ticker: VCAR]
For the year ended June 30, 2023, VCAR returned -0.54% vs its benchmark, S&P 500 Index, return of 19.59%, underperforming the benchmark by -20.13%.
The Fund’s underperformance is due to a steep drop in tech stocks at the end of 2022 and though in 2023 there has been significant recovery, it has not been more than the S&P 500’s performance.
In the next 12 months, the Fund’s performance with relatively high exposure to robocar and technology names could continue to deviate from the broader U.S. market. We are optimistic that the Fund’s exposure to Robocar Disruption and Tech names will prove bullish in light of the significant advancements in Artificial Intelligence and the dramatic change in the technological landscape.
HYPOTHETICAL GROWTH OF $10,000 INVESTMENT
For the period December 28, 2020* to June 30, 2023
| * | Inception date. |
32
Simplify Volt RoboCar Disruption and Tech ETF
Management’s Discussion of Fund Performance (Continued)
June 30, 2023 (Unaudited)
HISTORICAL PERFORMANCE
Average Annual Total Return as of June 30, 2023
| One Year | Since Inception* |
|||||||
| Simplify Volt RoboCar Disruption and Tech ETF NAV | -0.54 | % | -12.01 | % | ||||
| Simplify Volt RoboCar Disruption and Tech ETF Market Price | -0.44 | % | -11.98 | % | ||||
| S&P 500 Index Total Return | 19.59 | % | 8.94 | % | ||||
Performance data quoted represents past performance and is no guarantee of future results. Current performance may be lower or higher than the performance data quoted. Investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than original cost. Fund NAV returns are calculated using the Fund’s daily 4:00 p.m. NAV. Returns shown include the reinvestment of all dividends and other distributions. Index returns do not include expenses. As stated in the current prospectus, the Fund’s annual operating expense ratio (gross) is 0.95% and the net expense ratio is 0.95%. (Actual expenses excluding acquired fund fees and expenses can be referenced in the Financial Highlights section later in this report.) Returns less than one year are not annualized. The performance table and graph do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. For the Fund’s most recent month end performance, please call 1 (855) 772-8488.
| * | Since Inception December 28, 2020. |
The S&P 500® Index is a free-float market capitalization-weighted index of 500 of the largest U.S. companies. The index is calculated on a total return basis with dividends reinvested. The index is unmanaged, its returns do not reflect any fees, expenses, or sales charges, and it is not available for direct investment.
Investments involve risk. Principal loss is possible. Redemptions are limited and often commissions are charged on each trade. The ETF may be non-diversified, which may be more sensitive to economic, business, political or other changes affecting individual issuers or investments than a diversified fund, which may result in greater fluctuation in the value of the Fund’s Shares and greater risk of loss. Unlike mutual funds, ETFs may trade at a premium or discount to their net asset value.
33
Simplify Bitcoin Strategy PLUS Income ETF
Management’s Discussion of Fund Performance
June 30, 2023 (Unaudited)
Simplify Bitcoin Strategy PLUS Income ETF [Ticker: MAXI]
Since its inception on September 29, 2022, MAXI returned 58.15% vs. the benchmark, Nasdaq Bitcoin Reference Price Index, return of 56.48% for the same period, with the income from the option overlay offsetting futures roll costs (currently running -6 to -8% annually).
The strike profile of MAXI’s volatility sales along with effective risk management helped the Fund benefit from higher bitcoin and risk assets. The Fund has also outperformed its ETF competitors which run comparable synthetic bitcoin exposure. The daily return correlation between Bitcoin and large cap stocks was 0.5 in the last 12 months, which highlighted the diversification features of cryptocurrency assets.
In the next 12 months, we expect that MAXI has similar potential to outperform alternative bitcoin-only investment options due to the low level of realized volatility.
HYPOTHETICAL GROWTH OF $10,000 INVESTMENT
For the period September 29, 2022* to June 30, 2023
| * | Inception date. |
HISTORICAL PERFORMANCE
Total Return as of June 30, 2023
| Cumulative Total Return* |
||||
| Simplify Bitcoin Strategy PLUS Income ETF NAV | 58.15 | % | ||
| Simplify Bitcoin Strategy PLUS Income ETF Market Price | 60.09 | % | ||
| Nasdaq Bitcoin Reference Price Index | 56.48 | % | ||
Performance data quoted represents past performance and is no guarantee of future results. Current performance may be lower or higher than the performance data quoted. Investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than original cost. Fund NAV returns are calculated using the Fund’s daily 4:00 p.m. NAV. Returns shown include the reinvestment of all dividends and other distributions. Index returns do not include expenses. As stated in the current prospectus, the Fund’s annual operating expense ratio (gross) is 0.97% and the net expense ratio is 0.97%. (Actual expenses excluding acquired fund fees and expenses can be referenced in the Financial Highlights section later in this report.) Returns less than one year are not annualized. The performance table and graph do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. For the Fund’s most recent month end performance, please call 1 (855) 772-8488.
| * | Since Inception September 29, 2022. |
The Nasdaq Bitcoin Reference Price is designed to measure the performance of Bitcoin and settle risk in this new and emerging asset. The index is unmanaged, its returns do not reflect any fees, expenses, or sales charges, and it is not available for direct investment.
Investments involve risk. Principal loss is possible. Redemptions are limited and often commissions are charged on each trade. The ETF may be non-diversified, which may be more sensitive to economic, business, political or other changes affecting individual issuers or investments than a diversified fund, which may result in greater fluctuation in the value of the Fund’s Shares and greater risk of loss. Unlike mutual funds, ETFs may trade at a premium or discount to their net asset value.
34
Simplify Commodities Strategy No K-1 ETF
Management’s Discussion of Fund Performance
June 30, 2023 (Unaudited)
Simplify Commodities Strategy No. K-1 ETF [Ticker: HARD]
Since its inception on March 27, 2023, HARD returned -0.86% vs. the benchmark, Bloomberg Commodity Total Return Index, return of -0.86%, matching the performance of the benchmark.
HARD avoided May’s drawdown in the sector and fared better than the broad commodity fund universe, which experienced up to 6% losses. With no continuous price trend in broader commodities since inception, HARD benefited from timely positioning in Soybean oil. Gold and Copper meanwhile were consistent shorts which led to slightly negative commodity risk overall, but the Fund maintained a positive roll yield on account of its negative carry minimization bias. In addition, the realized volatility of the Fund was in the 9-10% annualized range, below that of its benchmark, Bloomberg Commodity Total Return Index.
Looking forward, HARD is well-positioned for a cyclical increase in commodity prices in the near-term, with most of the security set curves currently in backwardation and seasonal tailwinds approaching.
At June 30, 2023, the fund’s financial statements covered a period of less than 6 months, therefore a line graph is not presented.
HISTORICAL PERFORMANCE
Total Return as of June 30, 2023
| Cumulative Total Return* |
||||
| Simplify Commodities Strategy No. K-1 ETF NAV | -0.86 | % | ||
| Simplify Commodities Strategy No. K-1 ETF Market Price | -0.86 | % | ||
| Bloomberg Commodity Total Return Index | -0.86 | % | ||
Performance data quoted represents past performance and is no guarantee of future results. Current performance may be lower or higher than the performance data quoted. Investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than original cost. Fund NAV returns are calculated using the Fund’s daily 4:00 p.m. NAV. Returns shown include the reinvestment of all dividends and other distributions. Index returns do not include expenses. As stated in the current prospectus, the Fund’s annual operating expense ratio (gross) is 0.75% and the net expense ratio is 0.75%. (Actual expenses excluding acquired fund fees and expenses can be referenced in the Financial Highlights section later in this report.) Returns less than one year are not annualized. The performance table and graph do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. For the Fund’s most recent month end performance, please call 1 (855) 772-8488.
| * | Since Inception March 27, 2023. |
Bloomberg Commodity Total Return Index is composed of futures contracts and reflects the returns on a fully collateralized investment in the BCOM.
Investments involve risk. Principal loss is possible. Redemptions are limited and often commissions are charged on each trade. The ETF may be non-diversified, which may be more sensitive to economic, business, political or other changes affecting individual issuers or investments than a diversified fund, which may result in greater fluctuation in the value of the Fund’s Shares and greater risk of loss. Unlike mutual funds, ETFs may trade at a premium or discount to their net asset value.
35
Management’s Discussion of Fund Performance
June 30, 2023 (Unaudited)
Simplify Macro Strategy ETF [Ticker: FIG]
For the year ended June 30, 2023, FIG returned 3.94% vs its benchmark, Bloomberg US EQ: FI 60:40 Index, return of 11.24%, underperforming the benchmark by -7.30%.
The underperformance was predominantly due to poorly timed reduction in equity exposure and the positioning for widening of credit spreads. Both factors created a drag to the Fund’s performance as U.S. equities have rallied strongly in 2023 and credit spreads have narrowed despite rising credit stress manifesting in a surge in corporate bankruptcies over the last six months. We believe both dynamics lack a fundamental basis and are instead being driven by flows into price-insensitive passive strategies.
For the remainder of 2023, FIG is positioned for slowing economic growth and an end to global central bank hiking cycles. The Fund has an oversized allocation to U.S. front-end rates through Simplify’s Short Term Treasury Futures ETF (TUA) and intermediate term rates through Simplify’s Intermediate Term Treasury Futures ETF (TYA). With the Federal Reserve indicating expectations for rate cuts in 2024 and 2025, these funds should contribute to positive performance.
HYPOTHETICAL GROWTH OF $10,000 INVESTMENT
For the period May 16, 2022* to June 30, 2023
| * | Inception date. |
HISTORICAL PERFORMANCE
Average Annual Total Return as of June 30, 2023
| One Year | Since Inception* |
|||||||
| Simplify Macro Strategy ETF NAV | 3.94 | % | -1.68 | % | ||||
| Simplify Macro Strategy ETF Market Price | 4.33 | % | -1.40 | % | ||||
| Bloomberg US EQ:FI 60:40 Index | 11.24 | % | 6.56 | % | ||||
Performance data quoted represents past performance and is no guarantee of future results. Current performance may be lower or higher than the performance data quoted. Investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than original cost. Fund NAV returns are calculated using the Fund’s daily 4:00 p.m. NAV. Returns shown include the reinvestment of all dividends and other distributions. Index returns do not include expenses. As stated in the current prospectus, the Fund’s annual operating expense ratio (gross) is 0.97% and the net expense ratio, after fee waiver, is 0.72%. (Actual expenses excluding acquired fund fees and expenses can be referenced in the Financial Highlights section later in this report.) The Fund’s advisor has agreed to waive a portion of its fees and/or reimburse expenses to the extent necessary to keep the Fund’s expenses from exceeding 0.50% at least until October 31, 2023. Returns less than one year are not annualized. The performance table and graph do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. For the Fund’s most recent month end performance, please call 1 (855) 772-8488.
| * | Since Inception May 16, 2022. |
The Bloomberg US EQ:FI 60:40 Index is designed to measure cross-asset market performance in the US. The index rebalances monthly to 60% equities and 40% fixed income. The equity and fixed income allocation is represented by the Bloomberg US Large Cap Total Return Index and the Bloomberg US Aggregate Bond Index respectively. The Bloomberg US Large Cap Total Return Index is a float market-cap-weighted benchmark of the 500 most highly capitalized US companies. Index performance is based on total returns. The index is unmanaged, its returns do not reflect any fees, expenses, or sales charges, and it is not available for direct investment.
36
Simplify Macro Strategy ETF
Management’s Discussion of Fund Performance (Continued)
June 30, 2023 (Unaudited)
Investments involve risk. Principal loss is possible. Redemptions are limited and often commissions are charged on each trade. The ETF may be non-diversified, which may be more sensitive to economic, business, political or other changes affecting individual issuers or investments than a diversified fund, which may result in greater fluctuation in the value of the Fund’s Shares and greater risk of loss. Unlike mutual funds, ETFs may trade at a premium or discount to their net asset value.
37
Simplify Managed Futures Strategy ETF
Management’s Discussion of Fund Performance
June 30, 2023 (Unaudited)
Simplify Managed Futures Strategy ETF [Ticker: CTA]
For the year ended June 30, 2023, CTA returned 0.13% vs its benchmark, SocGen CTA Index, return of -0.80%, outperforming the benchmark by 0.93%.
U.S. front-end yield positions drove both sides of the performance, with fund gains as Fed hikes and rhetoric led to higher rates, albeit with a bout of massive yield retracements (8 sigma rally by some measures) on the back of regional bank failures. CTA’s four-part signal generally favored positions in a sustained price trend with positive roll yields during the year.
Looking ahead as the Fed nears the end of its hiking cycle, the prospects for a prevailing trend in commodities and yields are likely to build, which we think would be favorable for momentum strategies and CTA, in particular.
HYPOTHETICAL GROWTH OF $10,000 INVESTMENT
For the period March 7, 2022* to June 30, 2023
| * | Inception date. |
HISTORICAL PERFORMANCE
Average Annual Total Return as of June 30, 2023
| One Year | Since Inception* |
|||||||
| Simplify Managed Futures Strategy ETF NAV | 0.13 | % | 6.93 | % | ||||
| Simplify Managed Futures Strategy ETF Market Price | -0.69 | % | 5.90 | % | ||||
| Societe Generale CTA Index | -0.80 | % | 5.39 | % | ||||
Performance data quoted represents past performance and is no guarantee of future results. Current performance may be lower or higher than the performance data quoted. Investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than original cost. Fund NAV returns are calculated using the Fund’s daily 4:00 p.m. NAV. Returns shown include the reinvestment of all dividends and other distributions. Index returns do not include expenses. As stated in the current prospectus, the Fund’s annual operating expense ratio (gross) is 0.75% and the net expense ratio is 0.75%. (Actual expenses excluding acquired fund fees and expenses can be referenced in the Financial Highlights section later in this report.) Returns less than one year are not annualized. The performance table and graph do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. For the Fund’s most recent month end performance, please call 1 (855) 772-8488.
| * | Since Inception March 7, 2022. |
The Societe Generale CTA Index is designed to track the largest 20 (by AUM) CTAs and be representative of the managed futures space. The index is unmanaged, its returns do not reflect any fees, expenses, or sales charges, and it is not available for direct investment.
Investments involve risk. Principal loss is possible. Redemptions are limited and often commissions are charged on each trade. The ETF may be non-diversified, which may be more sensitive to economic, business, political or other changes affecting individual issuers or investments than a diversified fund, which may result in greater fluctuation in the value of the Fund’s Shares and greater risk of loss. Unlike mutual funds, ETFs may trade at a premium or discount to their net asset value.
38
Simplify Volatility Premium ETF
Management’s Discussion of Fund Performance
June 30, 2023 (Unaudited)
Simplify Volatility Premium ETF [Ticker: SVOL]
For the year ended June 30, 2023, SVOL returned 23.14% vs its benchmark, S&P 500 Index, return of 19.59%, outperforming the benchmark by 3.55%.
The Fund’s performance is due to improving equity market conditions resulting in VIX declining from 28.71 to 13.59. The falling VIX caused the prices of VIX futures to decline and VIX futures curve to steepen (Contango). Falling futures prices and favorable futures roll from the steep curve helped SVOL to deliver healthy returns.
In the next 12 months, we expect SVOL to continue to be correlated with the S&P 500 Index with potentially higher return and lower risk due to the persistence of Contango in the VIX curve.
Effective July 1, 2022, SVOL changed its benchmark index from S&P 500® VIX Short-Term Futures Index to the S&P 500 Index Total Return.
HYPOTHETICAL GROWTH OF $10,000 INVESTMENT
For the period May 12, 2021* to June 30, 2023
| * | Inception date. |
39
Simplify Volatility Premium ETF
Management’s Discussion of Fund Performance (Continued)
June 30, 2023 (Unaudited)
HISTORICAL PERFORMANCE
Average Annual Total Return as of June 30, 2023
| One Year | Since Inception* |
|||||||
| Simplify Volatility Premium ETF NAV | 23.14 | % | 10.92 | % | ||||
| Simplify Volatility Premium ETF Market Price | 23.30 | % | 10.70 | % | ||||
| S&P 500 VIX Short-Term Futures Index | -72.00 | % | -61.47 | % | ||||
| S&P 500 Index Total Return | 19.59 | % | 6.03 | % | ||||
Performance data quoted represents past performance and is no guarantee of future results. Current performance may be lower or higher than the performance data quoted. Investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than original cost. Fund NAV returns are calculated using the Fund’s daily 4:00 p.m. NAV. Returns shown include the reinvestment of all dividends and other distributions. Index returns do not include expenses. As stated in the current prospectus, the Fund’s annual operating expense ratio (gross) is 0.66% and the net expense ratio is 0.66%. (Actual expenses excluding acquired fund fees and expenses can be referenced in the Financial Highlights section later in this report.) Returns less than one year are not annualized. The performance table and graph do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. For the Fund’s most recent month end performance, please call 1 (855) 772-8488.
| * | Since Inception May 12, 2021. |
The S&P 500® Index is a free-float market capitalization-weighted index of 500 of the largest U.S. companies. The index is calculated on a total return basis with dividends reinvested. The index is unmanaged, its returns do not reflect any fees, expenses, or sales charges, and it is not available for direct investment.
The S&P 500® VIX Short-Term Futures Index utilizes prices of the next two near-term VIX® futures contracts to replicate a position that rolls the nearest month VIX futures to the next month on a daily basis in equal fractional amounts. This results in a constant one-month rolling long position in first and second month VIX futures contracts. The index is unmanaged, its returns do not reflect any fees, expenses, or sales charges, and it is not available for direct investment.
Effective July 1, 2022, SVOL changed its benchmark index from S&P 500® VIX Short-Term Futures Index to the S&P 500 Index Total Return.
Investments involve risk. Principal loss is possible. Redemptions are limited and often commissions are charged on each trade. The ETF may be non-diversified, which may be more sensitive to economic, business, political or other changes affecting individual issuers or investments than a diversified fund, which may result in greater fluctuation in the value of the Fund’s Shares and greater risk of loss. Unlike mutual funds, ETFs may trade at a premium or discount to their net asset value.
40
Simplify Exchange Traded Funds
Fees and Expenses (Unaudited)
As a shareholder of one or more of the Funds, you incur two types of costs: (1) transaction costs, including brokerage commissions paid on purchases and sales of fund shares, and (2) ongoing costs, including unitary advisory fees and other Fund expenses. In the most recent six-month period the Funds, except for Simplify Enhanced Income ETF, Simplify Health Care ETF, Simplify Hedged Equity ETF, Simplify Interest Rate Hedge ETF, Simplify Market Neutral Equity Long Short ETF, Simplify Stable Income ETF, Simplify US Equity PLUS GBTC ETF, Simplify Volt RoboCar Disruption and Tech ETF, Simplify Bitcoin Strategy PLUS Income ETF, Simplify Commodities Strategy No K-1 ETF, Simplify Managed Futures Strategy ETF and Simplify Volatility Premium ETF, limited these expenses; had they not done so, expenses would have been higher. The expense examples below are intended to help you understand your ongoing costs (in dollars) of investing in the Funds and to compare these costs with the ongoing costs of investing in other funds.
The examples in the tables are based on an investment of $1,000 invested at the beginning of the period and held for the entire period (January 1, 2023, except otherwise noted below, to June 30, 2023).
Actual expenses
The first line in the following tables provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading “Expenses Paid During the Period” to estimate the expenses you paid on your account during this period.
Hypothetical example for comparison purposes
The second line in the following tables provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratios and an assumed rate of return of 5% per year before expenses (which is not the Fund’s actual return). The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the tables are meant to highlight your ongoing costs only, and do not reflect any transactional costs. Therefore the second line in the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
| Beginning Account Value January 1, 2023 |
Ending Account Value June 30, 2023 |
Annualized Expense Ratio |
Expenses
Paid During the Period Per $1,000(1) |
|||||||||||||
| Simplify Aggregate Bond PLUS Credit Hedge ETF | ||||||||||||||||
| Actual | $ | 1,000.00 | $ | 1,047.50 | 0.60 | % | $ | 3.06 | ||||||||
| Hypothetical (5% return before expenses) | $ | 1,000.00 | $ | 1,021.80 | 0.60 | % | $ | 3.02 | ||||||||
| Simplify Developed Ex-US PLUS Downside Convexity ETF | ||||||||||||||||
| Actual | $ | 1,000.00 | $ | 1,091.70 | 0.30 | % | $ | 1.53 | ||||||||
| Hypothetical (5% return before expenses) | $ | 1,000.00 | $ | 1,023.33 | 0.30 | % | $ | 1.48 | ||||||||
| Simplify Emerging Markets Equity PLUS Downside Convexity ETF | ||||||||||||||||
| Actual | $ | 1,000.00 | $ | 1,042.70 | 0.31 | % | $ | 1.58 | ||||||||
| Hypothetical (5% return before expenses) | $ | 1,000.00 | $ | 1,023.25 | 0.31 | % | $ | 1.56 | ||||||||
| Simplify Enhanced Income ETF | ||||||||||||||||
| Actual | $ | 1,000.00 | $ | 1,043.10 | 0.87 | % | $ | 4.40 | ||||||||
| Hypothetical (5% return before expenses) | $ | 1,000.00 | $ | 1,020.49 | 0.87 | % | $ | 4.35 | ||||||||
| Simplify Health Care ETF | ||||||||||||||||
| Actual | $ | 1,000.00 | $ | 1,002.80 | 0.50 | % | $ | 2.48 | ||||||||
| Hypothetical (5% return before expenses) | $ | 1,000.00 | $ | 1,022.31 | 0.50 | % | $ | 2.51 | ||||||||
| Simplify Hedged Equity ETF | ||||||||||||||||
| Actual | $ | 1,000.00 | $ | 1,110.30 | 0.73 | % | $ | 3.81 | ||||||||
| Hypothetical (5% return before expenses) | $ | 1,000.00 | $ | 1,021.19 | 0.73 | % | $ | 3.65 | ||||||||
| Simplify High Yield PLUS Credit Hedge ETF | ||||||||||||||||
| Actual | $ | 1,000.00 | $ | 1,047.50 | 0.26 | % | $ | 1.32 | ||||||||
| Hypothetical (5% return before expenses) | $ | 1,000.00 | $ | 1,023.51 | 0.26 | % | $ | 1.30 | ||||||||
| Simplify Interest Rate Hedge ETF | ||||||||||||||||
| Actual | $ | 1,000.00 | $ | 893.80 | 0.50 | % | $ | 2.35 | ||||||||
| Hypothetical (5% return before expenses) | $ | 1,000.00 | $ | 1,022.32 | 0.50 | % | $ | 2.51 | ||||||||
| Simplify Intermediate Term Treasury Futures Strategy ETF | ||||||||||||||||
| Actual | $ | 1,000.00 | $ | 983.10 | 0.17 | % | $ | 0.84 | ||||||||
| Hypothetical (5% return before expenses) | $ | 1,000.00 | $ | 1,023.94 | 0.17 | % | $ | 0.84 | ||||||||
| Simplify Market Neutral Equity Long Short ETF | ||||||||||||||||
| Actual | $ | 1,000.00 | $ | 977.10 | 1.00 | % | $ | 0.43 | (2) | |||||||
| Hypothetical (5% return before expenses) | $ | 1,000.00 | $ | 1,019.84 | 1.00 | % | $ | 5.01 | ||||||||
41
Simplify Exchange Traded Funds
Fees and Expenses (Unaudited) (Continued)
| Beginning Account Value January 1, 2023 |
Ending Account Value June 30, 2023 |
Annualized Expense Ratio |
Expenses
Paid During the Period Per $1,000(1) |
|||||||||||||
| Simplify Opportunistic Income ETF | ||||||||||||||||
| Actual | $ | 1,000.00 | $ | 1,000.40 | 0.50 | % | $ | 0.04 | (3) | |||||||
| Hypothetical (5% return before expenses) | $ | 1,000.00 | $ | 1,022.32 | 0.50 | % | $ | 2.51 | ||||||||
| Simplify Propel Opportunities ETF | ||||||||||||||||
| Actual | $ | 1,000.00 | $ | 950.30 | 2.50 | % | $ | 9.48 | (4) | |||||||
| Hypothetical (5% return before expenses) | $ | 1,000.00 | $ | 1,012.40 | 2.50 | % | $ | 12.47 | ||||||||
| Simplify Short Term Treasury Futures Strategy ETF | ||||||||||||||||
| Actual | $ | 1,000.00 | $ | 935.90 | 0.15 | % | $ | 0.72 | ||||||||
| Hypothetical (5% return before expenses) | $ | 1,000.00 | $ | 1,024.05 | 0.15 | % | $ | 0.75 | ||||||||
| Simplify Stable Income ETF | ||||||||||||||||
| Actual | $ | 1,000.00 | $ | 1,024.80 | 0.43 | % | $ | 2.15 | ||||||||
| Hypothetical (5% return before expenses) | $ | 1,000.00 | $ | 1,022.67 | 0.43 | % | $ | 2.15 | ||||||||
| Simplify Tail Risk Strategy ETF | ||||||||||||||||
| Actual | $ | 1,000.00 | $ | 512.30 | 0.45 | % | $ | 1.70 | ||||||||
| Hypothetical (5% return before expenses) | $ | 1,000.00 | $ | 1,022.54 | 0.45 | % | $ | 2.28 | ||||||||
| Simplify US Equity PLUS Convexity ETF | ||||||||||||||||
| Actual | $ | 1,000.00 | $ | 1,159.30 | 0.28 | % | $ | 1.51 | ||||||||
| Hypothetical (5% return before expenses) | $ | 1,000.00 | $ | 1,023.39 | 0.28 | % | $ | 1.42 | ||||||||
| Simplify US Equity PLUS Downside Convexity ETF | ||||||||||||||||
| Actual | $ | 1,000.00 | $ | 1,140.90 | 0.37 | % | $ | 1.94 | ||||||||
| Hypothetical (5% return before expenses) | $ | 1,000.00 | $ | 1,022.98 | 0.37 | % | $ | 1.83 | ||||||||
| Simplify US Equity PLUS GBTC ETF | ||||||||||||||||
| Actual | $ | 1,000.00 | $ | 1,293.60 | 0.51 | % | $ | 2.89 | ||||||||
| Hypothetical (5% return before expenses) | $ | 1,000.00 | $ | 1,022.27 | 0.51 | % | $ | 2.55 | ||||||||
| Simplify US Equity PLUS Upside Convexity ETF | ||||||||||||||||
| Actual | $ | 1,000.00 | $ | 1,174.30 | 0.25 | % | $ | 1.37 | ||||||||
| Hypothetical (5% return before expenses) | $ | 1,000.00 | $ | 1,023.53 | 0.25 | % | $ | 1.28 | ||||||||
| Simplify Volt RoboCar Disruption and Tech ETF | ||||||||||||||||
| Actual | $ | 1,000.00 | $ | 1,508.80 | 0.99 | % | $ | 6.17 | ||||||||
| Hypothetical (5% return before expenses) | $ | 1,000.00 | $ | 1,019.87 | 0.99 | % | $ | 4.97 | ||||||||
| Simplify Bitcoin Strategy PLUS Income ETF | ||||||||||||||||
| Actual | $ | 1,000.00 | $ | 1,819.40 | 11.18 | % | $ | 78.17 | ||||||||
| Hypothetical (5% return before expenses) | $ | 1,000.00 | $ | 969.34 | 11.18 | % | $ | 54.60 | ||||||||
| Simplify Commodities Strategy No K-1 ETF | ||||||||||||||||
| Actual | $ | 1,000.00 | $ | 991.40 | 0.75 | % | $ | 1.94 | (5) | |||||||
| Hypothetical (5% return before expenses) | $ | 1,000.00 | $ | 1,021.08 | 0.75 | % | $ | 3.76 | ||||||||
| Simplify Macro Strategy ETF | ||||||||||||||||
| Actual | $ | 1,000.00 | $ | 1,014.70 | 0.44 | % | $ | 2.22 | ||||||||
| Hypothetical (5% return before expenses) | $ | 1,000.00 | $ | 1,022.59 | 0.44 | % | $ | 2.23 | ||||||||
| Simplify Managed Futures Strategy ETF | ||||||||||||||||
| Actual | $ | 1,000.00 | $ | 976.70 | 0.78 | % | $ | 3.80 | ||||||||
| Hypothetical (5% return before expenses) | $ | 1,000.00 | $ | 1,020.95 | 0.78 | % | $ | 3.89 | ||||||||
| Simplify Volatility Premium ETF | ||||||||||||||||
| Actual | $ | 1,000.00 | $ | 1,143.10 | 1.16 | % | $ | 6.15 | ||||||||
| Hypothetical (5% return before expenses) | $ | 1,000.00 | $ | 1,019.05 | 1.16 | % | $ | 5.80 | ||||||||
| (1) | Expenses are equal to each Fund’s annualized expense ratio, multiplied by the average account value over the period, multiplied by 181 (the number of days in the most recent six-month period), then divided by 365. |
| (2) | Expenses are equal to each Fund’s annualized expense ratio, multiplied by the average account value over the period, multiplied by 16 (the number of days in the period June 14, 2023 (commencement of operations) to June 30, 2023), then divided by 365. |
| (3) | Expenses are equal to each Fund’s annualized expense ratio, multiplied by the average account value over the period, multiplied by 3 (the number of days in the period June 27, 2023 (commencement of operations) to June 30, 2023), then divided by 365. |
| (4) | Expenses are equal to each Fund’s annualized expense ratio, multiplied by the average account value over the period, multiplied by 142 (the number of days in the period February 8, 2023 (commencement of operations) to June 30, 2023), then divided by 365. |
| (5) | Expenses are equal to each Fund’s annualized expense ratio, multiplied by the average account value over the period, multiplied by 95 (the number of days in the period March 28, 2023 (commencement of operations) to June 30, 2023), then divided by 365. |
42
Simplify Aggregate Bond PLUS Credit Hedge ETF
Schedule of Investments
June 30, 2023
| Shares | Value | |||||||
| Exchange-Traded Funds – 62.2% | ||||||||
| iShares Core U.S. Aggregate Bond ETF(a)(b) | 9,635 | $ | 943,748 | |||||
| iShares iBoxx $ Investment Grade Corporate Bond ETF(a)(b) | 9,932 | 1,074,047 | ||||||
| iShares iBoxx High Yield Corporate Bond ETF(a)(b) | 14,216 | 1,067,195 | ||||||
| iShares MBS ETF(a)(b) | 11,427 | 1,065,739 | ||||||
| Schwab US TIPS ETF | 20,327 | 1,065,745 | ||||||
| Vanguard Mortgage-Backed Securities ETF | 23,100 | 1,062,369 | ||||||
| Vanguard Short-Term Bond ETF | 14,153 | 1,069,542 | ||||||
| Total Exchange-Traded Funds (Cost $7,396,601) | 7,348,385 | |||||||
| Principal | ||||||||
| U.S. Government Obligations – 30.4% | ||||||||
| U.S. Treasury Inflation Indexed Note, 0.63%, 1/15/2024 | $ | 2,700,000 | 3,450,818 | |||||
| U.S. Treasury Note, 4.25%, 10/15/2025(b) | 134,200 | 132,701 | ||||||
| Total U.S. Government Obligations (Cost $3,585,813) | 3,583,519 | |||||||
| U.S. Treasury Bills – 4.1% | ||||||||
| U.S. Treasury Bill, 5.29%, 9/7/2023(c) | ||||||||
| (Cost $484,863) | $ | 490,000 | 485,374 | |||||
| Total Investments – 96.7% | ||||||||
| (Cost $11,467,277) | $ | 11,417,278 | ||||||
| Other Assets in Excess of Liabilities – 3.3% | 395,436 | |||||||
| Net Assets – 100.0% | $ | 11,812,714 | ||||||
| Number of Contracts |
Notional Amount |
|||||||||||
| Written Options – (0.5)% | ||||||||||||
| Calls – Exchange-Traded – (0.3)% | ||||||||||||
| iShares 20+ Year Treasury Bond ETF, July Strike Price $106, Expires 7/03/23 | (110 | ) | $ | (1,166,000 | ) | $ | (110 | ) | ||||
| iShares Core U.S. Aggregate Bond ETF, December Strike Price $104, Expires 12/15/23 | (337 | ) | (3,504,800 | ) | (9,267 | ) | ||||||
| iShares iBoxx $ Investment Grade Corporate Bond ETF, July Strike Price $109, Expires 7/21/23 | (106 | ) | (1,155,400 | ) | (3,657 | ) | ||||||
| iShares iBoxx High Yield Corporate Bond ETF, September Strike Price $76, Expires 9/15/23 | (160 | ) | (1,216,000 | ) | (5,360 | ) | ||||||
| iShares MBS ETF, July Strike Price $95, Expires 7/21/23 | (242 | ) | (2,299,000 | ) | (2,420 | ) | ||||||
| U.S. Treasury 10 Year Note, August Strike Price $114, Expires 8/25/23 | (31 | ) | (3,534,000 | ) | (16,953 | ) | ||||||
| (37,767 | ) | |||||||||||
| Puts – Exchange-Traded – (0.2)% | ||||||||||||
| iShares 20+ Year Treasury Bond ETF, August Strike Price $99, Expires 8/04/23 | (116 | ) | (1,148,400 | ) | (5,800 | ) | ||||||
| iShares iBoxx High Yield Corporate Bond ETF, September Strike Price $72, Expires 9/15/23 | (160 | ) | (1,152,000 | ) | (5,280 | ) | ||||||
| U.S. Treasury 2 Year Note, July Strike Price $102, Expires 7/21/23 | (28 | ) | (5,684,000 | ) | (10,063 | ) | ||||||
| (21,143 | ) | |||||||||||
| Total Written Options (Premiums Received $87,097) | $ | (58,910 | ) | |||||||||
See Notes to Financial Statements.
43
Simplify Aggregate Bond PLUS Credit Hedge ETF
Schedule of Investments (Continued)
June 30, 2023
| (a) | Subject to written put or call options. |
| (b) | Securities with an aggregate market value of $2,638,655 have been pledged as collateral for options as of June 30, 2023. |
| (c) | Represents a zero coupon bond. Rate shown reflects the effective yield. |
At June 30, 2023, open futures contracts were as follows:
| Number of Contracts |
Notional Value |
Expiration Date |
Value/ Unrealized |
|||||||||||
| Long position contracts: | ||||||||||||||
| U.S. Treasury 10 Year Note | 31 | $ | 3,480,234 | 9/20/23 | $ | (28,513 | ) | |||||||
At June 30, 2023, over the counter total return swap contracts outstanding were as follows:
| Reference Obligation/Index |
Termination Date(a) |
Financing Rate Paid (Received) by the Fund |
Counterparty | Notional Amount |
Unrealized Appreciation/ (Depreciation)(b) |
|||||||||||
| Morgan Stanley Custom Junk Index* | 2/15/2024 | 4.77 | %(c) | Morgan Stanley Capital Services LLC | 485,679 | $ | (6,081 | ) | ||||||||
| Morgan Stanley Custom Quality Index* | 2/15/2024 | 5.47 | %(c) | Morgan Stanley Capital Services LLC | (571,095 | ) | 8,459 | |||||||||
| $ | 2,378 | |||||||||||||||
| * | The components of the basket shown below. |
| (a) | The Fund pays/receives annual coupon payments in accordance with the swap contract. On the termination date of the swap contract(s), the Fund will either receive from or pay to the counterparty an amount equal to the net of the accrued financing fees and the value of the reference security subtracted from the original notional cost (notional multiplied by the price change of the reference security). |
| (b) | There are no upfront payments on the swap contracts, therefore the unrealized gain (loss) on the swap contracts is equal to their market value. |
| (c) | Payments made quarterly. |
| * | The following table shows the individual positions and related values of the securities within the Morgan Stanley Custom Junk Index basket. |
| Shares | Value | % of basket |
||||||||||
| Common Stocks | ||||||||||||
| Basic Materials | ||||||||||||
| Alcoa Corp. | (101 | ) | $ | (3,435 | ) | 0.70 | % | |||||
| Axalta Coating Systems Ltd. | (152 | ) | (4,971 | ) | 1.01 | % | ||||||
| Chemours Co. (The) | (144 | ) | (5,308 | ) | 1.08 | % | ||||||
| Cleveland-Cliffs, Inc. | (266 | ) | (4,464 | ) | 0.90 | % | ||||||
| Sylvamo Corp. | (51 | ) | (2,078 | ) | 0.42 | % | ||||||
| U.S. Steel Corp. | (161 | ) | (4,016 | ) | 0.81 | % | ||||||
| (24,272 | ) | |||||||||||
| Communications | ||||||||||||
| Altice USA, Inc., Class A | (1,617 | ) | (4,883 | ) | 0.99 | % | ||||||
| AT&T, Inc. | (421 | ) | (6,718 | ) | 1.36 | % | ||||||
| Commscope Holding Co., Inc. | (998 | ) | (5,621 | ) | 1.14 | % | ||||||
| Dish Network Corp., Class A | (807 | ) | (5,320 | ) | 1.08 | % | ||||||
| EchoStar Corp, Class A | (72 | ) | (1,251 | ) | 0.25 | % | ||||||
| Lumen Technologies, Inc. | (2,254 | ) | (5,094 | ) | 1.03 | % | ||||||
| Nexstar Media Group, Inc., Class A | (30 | ) | (4,922 | ) | 1.00 | % | ||||||
| Paramount Global, Class B | (316 | ) | (5,025 | ) | 1.02 | % | ||||||
See Notes to Financial Statements.
44
Simplify Aggregate Bond PLUS Credit Hedge ETF
Schedule of Investments (Continued)
June 30, 2023
| Shares | Value | % of basket |
||||||||||
| Common Stocks (continued) | ||||||||||||
| Communications (continued) | ||||||||||||
| Telephone And Data Systems, Inc. | (646 | ) | $ | (5,313 | ) | 1.08 | % | |||||
| Viasat, Inc. | (110 | ) | (4,534 | ) | 0.92 | % | ||||||
| Warner Bros Discovery Inc. | (433 | ) | (5,431 | ) | 1.10 | % | ||||||
| Wayfair Inc, Class A | (46 | ) | (2,977 | ) | 0.61 | % | ||||||
| (57,089 | ) | |||||||||||
| Consumer, Cyclical | ||||||||||||
| Alaska Air Group, Inc. | (100 | ) | (5,309 | ) | 1.08 | % | ||||||
| American Airlines Group, Inc. | (306 | ) | (5,488 | ) | 1.11 | % | ||||||
| Aramark | (123 | ) | (5,279 | ) | 1.07 | % | ||||||
| Caesars Entertainment, Inc. | (102 | ) | (5,205 | ) | 1.06 | % | ||||||
| Carnival Corp. | (319 | ) | (6,003 | ) | 1.22 | % | ||||||
| Carvana Co., Class A | (187 | ) | (4,846 | ) | 0.98 | % | ||||||
| Copa Holdings SA, Class A | (19 | ) | (2,100 | ) | 0.43 | % | ||||||
| Core & Main, Inc., Class A | (70 | ) | (2,178 | ) | 0.44 | % | ||||||
| Delta Air Lines, Inc. | (123 | ) | (5,850 | ) | 1.19 | % | ||||||
| Ford Motor Co. | (85 | ) | (1,291 | ) | 0.26 | % | ||||||
| Gap, Inc. (The) | (508 | ) | (4,536 | ) | 0.92 | % | ||||||
| Hanesbrands, Inc. | (963 | ) | (4,374 | ) | 0.89 | % | ||||||
| Jetblue Airways Corp. | (617 | ) | (5,462 | ) | 1.11 | % | ||||||
| Kohl’s Corp. | (187 | ) | (4,309 | ) | 0.87 | % | ||||||
| Lions Gate Entertainment Corp, Class B | (280 | ) | (2,342 | ) | 0.47 | % | ||||||
| Nordstrom Inc. | (226 | ) | (4,620 | ) | 0.94 | % | ||||||
| Norwegian Cruise Line Holdings Ltd. | (258 | ) | (5,626 | ) | 1.14 | % | ||||||
| Penn Entertainment Inc. | (194 | ) | (4,663 | ) | 0.95 | % | ||||||
| PVH Corp. | (48 | ) | (4,050 | ) | 0.82 | % | ||||||
| Qurate Retail, Inc., Series A | (5,381 | ) | (5,326 | ) | 1.08 | % | ||||||
| Resideo Technologies Inc. | (88 | ) | (1,554 | ) | 0.31 | % | ||||||
| RH | (15 | ) | (4,983 | ) | 1.01 | % | ||||||
| Sally Beauty Holdings Inc. | (104 | ) | (1,286 | ) | 0.26 | % | ||||||
| Southwest Airlines Co. | (156 | ) | (5,639 | ) | 1.14 | % | ||||||
| Thor Industries, Inc. | (19 | ) | (1,999 | ) | 0.40 | % | ||||||
| Toll Brothers Inc. | (65 | ) | (5,161 | ) | 1.05 | % | ||||||
| Travel + Leisure Co. | (119 | ) | (4,782 | ) | 0.97 | % | ||||||
| United Airlines Holdings, Inc. | (96 | ) | (5,247 | ) | 1.06 | % | ||||||
| Vroom Inc. | (4,110 | ) | (5,919 | ) | 1.20 | % | ||||||
| Walgreens Boots Alliance, Inc. | (167 | ) | (4,761 | ) | 0.97 | % | ||||||
| (130,188 | ) | |||||||||||
| Consumer, Non-cyclical | ||||||||||||
| ADT Inc. | (799 | ) | (4,820 | ) | 0.98 | % | ||||||
| Brookdale Senior Living Inc. | (908 | ) | (3,834 | ) | 0.78 | % | ||||||
| Cardinal Health Inc. | (58 | ) | (5,474 | ) | 1.11 | % | ||||||
| Clarivate PLC | (524 | ) | (4,995 | ) | 1.01 | % | ||||||
| Coty, Inc., Class A | (396 | ) | (4,869 | ) | 0.99 | % | ||||||
| DaVita, Inc. | (52 | ) | (5,178 | ) | 1.05 | % | ||||||
| Exact Sciences Corp. | (39 | ) | (3,651 | ) | 0.74 | % | ||||||
| Grocery Outlet Holding Corp. | (91 | ) | (2,796 | ) | 0.57 | % | ||||||
| Guardant Health, Inc. | (130 | ) | (4,664 | ) | 0.94 | % | ||||||
| Herbalife Ltd. | (397 | ) | (5,258 | ) | 1.07 | % | ||||||
| Ionis Pharmaceuticals Inc. | (74 | ) | (3,049 | ) | 0.62 | % | ||||||
See Notes to Financial Statements.
45
Simplify Aggregate Bond PLUS Credit Hedge ETF
Schedule of Investments (Continued)
June 30, 2023
| Shares | Value | % of basket |
||||||||||
| Common Stocks (continued) | ||||||||||||
| Consumer, Non-cyclical (continued) | ||||||||||||
| Jazz Pharmaceuticals PLC | (38 | ) | $ | (4,742 | ) | 0.96 | % | |||||
| Kroger Co. (The) | (119 | ) | (5,570 | ) | 1.13 | % | ||||||
| Nektar Therapeutics, Class A | (3,541 | ) | (2,037 | ) | 0.41 | % | ||||||
| Novavax Inc. | (612 | ) | (4,547 | ) | 0.92 | % | ||||||
| Organon & Co. | (241 | ) | (5,022 | ) | 1.02 | % | ||||||
| Pediatrix Medical Group Inc. | (90 | ) | (1,275 | ) | 0.26 | % | ||||||
| Perrigo Co. PLC | (143 | ) | (4,862 | ) | 0.99 | % | ||||||
| Post Holdings, Inc. | (56 | ) | (4,881 | ) | 0.99 | % | ||||||
| Sabre Corp. | (1,389 | ) | (4,432 | ) | 0.90 | % | ||||||
| Stoneco Ltd., Class A | (373 | ) | (4,757 | ) | 0.96 | % | ||||||
| TreeHouse Foods, Inc. | (76 | ) | (3,834 | ) | 0.78 | % | ||||||
| US Foods Holding Corp. | (118 | ) | (5,205 | ) | 1.05 | % | ||||||
| Viatris, Inc. | (514 | ) | (5,127 | ) | 1.04 | % | ||||||
| (104,879 | ) | |||||||||||
| Energy | ||||||||||||
| Apa Corp. | (148 | ) | (5,066 | ) | 1.03 | % | ||||||
| Cheniere Energy, Inc. | (34 | ) | (5,106 | ) | 1.04 | % | ||||||
| Equities Corp. | (123 | ) | (5,061 | ) | 1.03 | % | ||||||
| Kosmos Energy Ltd. | (788 | ) | (4,719 | ) | 0.96 | % | ||||||
| Marathon Petroleum Corp. | (49 | ) | (5,734 | ) | 1.16 | % | ||||||
| New Fortress Energy Inc, Class A | (164 | ) | (4,382 | ) | 0.89 | % | ||||||
| NOV Inc. | (293 | ) | (4,701 | ) | 0.95 | % | ||||||
| Occidental Petroleum Corp. | (96 | ) | (5,663 | ) | 1.15 | % | ||||||
| PBF Energy Inc, Class A | (122 | ) | (4,997 | ) | 1.01 | % | ||||||
| Sunrun, Inc. | (246 | ) | (4,387 | ) | 0.89 | % | ||||||
| Valero Energy Corp. | (48 | ) | (5,647 | ) | 1.14 | % | ||||||
| (55,463 | ) | |||||||||||
| Financial | ||||||||||||
| Air Lease Corp., Class A | (117 | ) | (4,876 | ) | 0.99 | % | ||||||
| Bread Financial Holdings Inc. | (159 | ) | (5,002 | ) | 1.01 | % | ||||||
| Western Union Co. (The) | (424 | ) | (4,975 | ) | 1.01 | % | ||||||
| (14,853 | ) | |||||||||||
| Industrial | ||||||||||||
| Berry Global Group, Inc. | (78 | ) | (5,008 | ) | 1.02 | % | ||||||
| Energizer Holdings Inc. | (146 | ) | (4,896 | ) | 0.99 | % | ||||||
| FedEx Corp. | (24 | ) | (5,863 | ) | 1.19 | % | ||||||
| Fluor Corp. | (83 | ) | (2,459 | ) | 0.50 | % | ||||||
| Gates Industrial Corp. PLC | (252 | ) | (3,400 | ) | 0.69 | % | ||||||
| General Electric Co. | (53 | ) | (5,799 | ) | 1.18 | % | ||||||
| MasTec Inc. | (13 | ) | (1,493 | ) | 0.30 | % | ||||||
| O-I Glass, Inc., Class I | (234 | ) | (4,984 | ) | 1.01 | % | ||||||
| Royal Caribbean Cruises Ltd. | (46 | ) | (4,807 | ) | 0.97 | % | ||||||
| Ryder System, Inc. | (60 | ) | (5,061 | ) | 1.03 | % | ||||||
| Silgan Holdings, Inc. | (46 | ) | (2,165 | ) | 0.44 | % | ||||||
| Spirit Aerosystems Holdings, Inc., Class A | (163 | ) | (4,761 | ) | 0.96 | % | ||||||
| TD SYNNEX Corp. | (50 | ) | (4,669 | ) | 0.95 | % | ||||||
| Vertiv Holdings Co., Class A | (214 | ) | (5,313 | ) | 1.08 | % | ||||||
| Westrock Co. | (175 | ) | (5,085 | ) | 1.03 | % | ||||||
| XPO Inc. | (85 | ) | (4,988 | ) | 1.01 | % | ||||||
| (70,751 | ) | |||||||||||
See Notes to Financial Statements.
46
Simplify Aggregate Bond PLUS Credit Hedge ETF
Schedule of Investments (Continued)
June 30, 2023
| Shares | Value | % of basket |
||||||||||
| Common Stocks (continued) | ||||||||||||
| Technology | ||||||||||||
| Dell Technologies, Inc., Class C | (98 | ) | $ | (5,316 | ) | 1.08 | % | |||||
| Dxc Technology Co. | (182 | ) | (4,854 | ) | 0.98 | % | ||||||
| Fastly Inc, Class A | (279 | ) | (4,395 | ) | 0.89 | % | ||||||
| Kyndryl Holdings Inc. | (319 | ) | (4,237 | ) | 0.86 | % | ||||||
| NCR Corp. | (196 | ) | (4,946 | ) | 1.00 | % | ||||||
| SolarWinds Corp. | (231 | ) | (2,367 | ) | 0.48 | % | ||||||
| Western Digital Corp. | (125 | ) | (4,735 | ) | 0.96 | % | ||||||
| Xerox Holdings Corp. | (321 | ) | (4,784 | ) | 0.97 | % | ||||||
| (35,634 | ) | |||||||||||
| Total | $ | (493,129 | ) | 100.00 | % | |||||||
| * | The following table shows the individual positions and related values of the securities within the Morgan Stanley Custom Quality Index basket. |
| Shares | Value | % of basket |
||||||||||
| Common Stocks | ||||||||||||
| Basic Materials | ||||||||||||
| Diversey Holdings Ltd. | 689 | $ | 5,782 | 1.00 | % | |||||||
| International Flavors & Fragrances, Inc. | 73 | 5,782 | 0.99 | % | ||||||||
| Rpm International, Inc. | 68 | 6,098 | 1.05 | % | ||||||||
| Sherwin-Williams Co/The | 23 | 6,147 | 1.06 | % | ||||||||
| 23,809 | ||||||||||||
| Communications | ||||||||||||
| Interpublic Group of Cos., Inc. (The) | 142 | 5,489 | 0.94 | % | ||||||||
| Meta Platforms, Inc., Class A | 20 | 5,881 | 1.01 | % | ||||||||
| Omnicom Group, Inc. | 60 | 5,748 | 0.99 | % | ||||||||
| Sirius XM Holdings, Inc. | 1,508 | 6,831 | 1.18 | % | ||||||||
| 23,949 | ||||||||||||
| Consumer, Cyclical | ||||||||||||
| Autozone, Inc. | 2 | 5,766 | 0.99 | % | ||||||||
| Domino’s Pizza, Inc. | 18 | 5,980 | 1.03 | % | ||||||||
| Home Depot, Inc. (The) | 19 | 5,940 | 1.02 | % | ||||||||
| LKQ Corp. | 106 | 6,173 | 1.06 | % | ||||||||
| Lululemon Athletica Inc. | 15 | 5,713 | 0.98 | % | ||||||||
| Marriott International, Inc./Md, Class A | 33 | 6,004 | 1.03 | % | ||||||||
| O’reilly Automotive, Inc. | 6 | 5,948 | 1.03 | % | ||||||||
| Pool Corp. | 16 | 6,052 | 1.04 | % | ||||||||
| Tempur Sealy International Inc. | 149 | 5,983 | 1.03 | % | ||||||||
| Wyndham Hotels & Resorts, Inc. | 83 | 5,667 | 0.98 | % | ||||||||
| Yum! Brands, Inc. | 41 | 5,748 | 0.99 | % | ||||||||
| 64,974 | ||||||||||||
| Consumer, Non-cyclical | ||||||||||||
| Avery Dennison Corp. | 34 | 5,869 | 1.01 | % | ||||||||
| Chemed Corp. | 11 | 5,757 | 0.99 | % | ||||||||
| Cigna Group (The) | 21 | 6,013 | 1.03 | % | ||||||||
| Colgate-Palmolive Co. | 75 | 5,793 | 1.00 | % | ||||||||
| CVS Health Corp. | 83 | 5,745 | 0.99 | % | ||||||||
| Danaher Corp. | 24 | 5,692 | 0.98 | % | ||||||||
| Elevance Health Inc. | 13 | 5,680 | 0.98 | % | ||||||||
| Fleetcor Technologies, Inc. | 24 | 5,932 | 1.02 | % | ||||||||
See Notes to Financial Statements.
47
Simplify Aggregate Bond PLUS Credit Hedge ETF
Schedule of Investments (Continued)
June 30, 2023
| Shares | Value | % of basket |
||||||||||
| Common Stocks (continued) | ||||||||||||
| Consumer, Non-cyclical (continued) | ||||||||||||
| Global Payments, Inc. | 57 | $ | 5,581 | 0.96 | % | |||||||
| Grand Canyon Education, Inc. | 56 | 5,831 | 1.00 | % | ||||||||
| Hershey Co. (The) | 22 | 5,528 | 0.95 | % | ||||||||
| J M Smucker Co/The | 38 | 5,578 | 0.96 | % | ||||||||
| Johnson & Johnson | 35 | 5,838 | 1.00 | % | ||||||||
| Kraft Heinz Co. (The) | 157 | 5,561 | 0.96 | % | ||||||||
| McKesson Corp. | 14 | 6,169 | 1.06 | % | ||||||||
| Moody’s Corp. | 17 | 5,765 | 0.99 | % | ||||||||
| Philip Morris International, Inc. | 61 | 5,951 | 1.02 | % | ||||||||
| Rollins, Inc. | 139 | 5,940 | 1.02 | % | ||||||||
| Sotera Health Co. | 384 | 7,234 | 1.24 | % | ||||||||
| Stryker Corp. | 20 | 5,960 | 1.03 | % | ||||||||
| Thermo Fisher Scientific Inc. | 11 | 5,631 | 0.97 | % | ||||||||
| UnitedHealth Group Inc. | 12 | 5,958 | 1.03 | % | ||||||||
| Verisk Analytics, Inc., Class A | 26 | 5,813 | 1.00 | % | ||||||||
| 134,819 | ||||||||||||
| Energy | ||||||||||||
| Antero Midstream Corp. | 526 | 6,107 | 1.05 | % | ||||||||
| Oneok, Inc. | 95 | 5,833 | 1.00 | % | ||||||||
| Texas Pacific Land Corp. | 4 | 5,582 | 0.96 | % | ||||||||
| 17,522 | ||||||||||||
| Financial | ||||||||||||
| Aflac, Inc. | 83 | 5,779 | 0.99 | % | ||||||||
| American Express Co. | 33 | 5,788 | 1.00 | % | ||||||||
| American Financial Group, Inc./Oh | 50 | 5,951 | 1.02 | % | ||||||||
| Arthur J Gallagher & Co. | 27 | 5,936 | 1.02 | % | ||||||||
| AvalonBay Communities, Inc. | 30 | 5,737 | 0.99 | % | ||||||||
| Brown & Brown, Inc. | 87 | 6,019 | 1.04 | % | ||||||||
| Cboe Global Markets, Inc. | 42 | 5,772 | 0.99 | % | ||||||||
| Credit Acceptance Corp. | 11 | 5,764 | 0.99 | % | ||||||||
| Discover Financial Services | 49 | 5,755 | 0.99 | % | ||||||||
| Erie Indemnity Co, Class A | 27 | 5,571 | 0.96 | % | ||||||||
| Extra Space Storage Inc. | 40 | 5,897 | 1.02 | % | ||||||||
| First American Financial Corp. | 102 | 5,816 | 1.00 | % | ||||||||
| Intercontinental Exchange, Inc. | 51 | 5,811 | 1.00 | % | ||||||||
| Life Storage Inc. | 44 | 5,897 | 1.01 | % | ||||||||
| OMEGA Healthcare Investors, Inc. | 185 | 5,683 | 0.98 | % | ||||||||
| OneMain Holdings Inc, Class A | 132 | 5,766 | 0.99 | % | ||||||||
| Primerica Inc. | 30 | 5,856 | 1.01 | % | ||||||||
| ProLogis, Inc. | 47 | 5,818 | 1.00 | % | ||||||||
| Rocket Cos Inc, Class A | 619 | 5,546 | 0.95 | % | ||||||||
| Synchrony Financial | 173 | 5,858 | 1.01 | % | ||||||||
| Western Alliance Bancorp | 149 | 5,421 | 0.93 | % | ||||||||
| 121,441 | ||||||||||||
| Industrial | ||||||||||||
| Allegion PLC | 49 | 5,828 | 1.00 | % | ||||||||
| AMETEK Inc. | 37 | 5,966 | 1.03 | % | ||||||||
| Amphenol Corp., Class A | 71 | 5,992 | 1.03 | % | ||||||||
| CH Robinson Worldwide, Inc. | 61 | 5,714 | 0.98 | % | ||||||||
| Dover Corp. | 39 | 5,798 | 1.00 | % | ||||||||
See Notes to Financial Statements.
48
Simplify Aggregate Bond PLUS Credit Hedge ETF
Schedule of Investments (Continued)
June 30, 2023
| Shares | Value | % of basket |
||||||||||
| Common Stocks (continued) | ||||||||||||
| Industrial (continued) | ||||||||||||
| Esab Corp. | 88 | $ | 5,847 | 1.01 | % | |||||||
| Fortune Brands Innovations Inc. | 86 | 6,173 | 1.06 | % | ||||||||
| Generac Holdings Inc. | 47 | 7,058 | 1.21 | % | ||||||||
| Mettler-Toledo International Inc. | 4 | 5,669 | 0.97 | % | ||||||||
| Middleby Corp. (The) | 40 | 5,904 | 1.02 | % | ||||||||
| Nordson Corp. | 24 | 6,058 | 1.04 | % | ||||||||
| Pentair PLC | 95 | 6,115 | 1.05 | % | ||||||||
| Stanley Black & Decker Inc. | 63 | 5,916 | 1.02 | % | ||||||||
| Trex Co., Inc. | 97 | 6,380 | 1.10 | % | ||||||||
| 84,418 | ||||||||||||
| Technology | ||||||||||||
| Accenture PLC, Class A | 18 | 5,504 | 0.95 | % | ||||||||
| Black Knight, Inc. | 99 | 5,940 | 1.02 | % | ||||||||
| Broadridge Financial Solutions, Inc. | 36 | 5,990 | 1.03 | % | ||||||||
| Cognizant Technology Solutions Corp., Class A | 89 | 5,823 | 1.00 | % | ||||||||
| Dynatrace Inc. | 110 | 5,678 | 0.98 | % | ||||||||
| Fidelity National Information Services, Inc. | 107 | 5,845 | 1.01 | % | ||||||||
| Fiserv, Inc. | 48 | 6,054 | 1.04 | % | ||||||||
| International Business Machine | 42 | 5,584 | 0.96 | % | ||||||||
| Intuit, Inc. | 13 | 5,799 | 1.00 | % | ||||||||
| N-able Inc. | 394 | 5,684 | 0.98 | % | ||||||||
| Paychex, Inc. | 51 | 5,702 | 0.98 | % | ||||||||
| Texas Instruments, Inc. | 32 | 5,838 | 1.00 | % | ||||||||
| Tyler Technologies Inc. | 15 | 6,095 | 1.05 | % | ||||||||
| Zebra Technologies Corp., Class A | 20 | 6,004 | 1.03 | % | ||||||||
| 81,540 | ||||||||||||
| Utilities | ||||||||||||
| Alliant Energy Corp. | 107 | 5,639 | 0.97 | % | ||||||||
| Essential Utilities Inc. | 139 | 5,535 | 0.95 | % | ||||||||
| Eversource Energy | 81 | 5,768 | 1.00 | % | ||||||||
| NRG Energy, Inc. | 168 | 6,283 | 1.08 | % | ||||||||
| Xcel Energy Inc. | 90 | 5,582 | 0.96 | % | ||||||||
| 28,807 | ||||||||||||
| Total | $ | 581,279 | 100.00 | % | ||||||||
See Notes to Financial Statements.
49
Simplify Aggregate Bond PLUS Credit Hedge ETF
Schedule of Investments (Continued)
June 30, 2023
Affiliates
Fiscal year to date transactions with companies which are or were affiliates are as follows:
| Affiliate | Value at beginning of the period |
Purchases Cost |
Sales Proceeds |
Net Realized Gain/(Loss) |
Net Change in Unrealized |
Value at the end of the period |
Number of Shares at the end of the period |
Dividend Income |
Capital Gain Distributions |
|||||||||||||||||||||||||||
| Simplify Interest Rate Hedge ETF | $ | 32,075 | $ | 755,376 | $ | (772,240 | ) | $ | (9,463 | ) | $ | (5,748 | ) | $ | — | — | $ | 299 | $ | — | ||||||||||||||||
| Simplify Volatility Premium ETF | — | 653,269 | (650,773 | ) | (2,496 | ) | — | — | — | 6,400 | — | |||||||||||||||||||||||||
| $ | 32,075 | $ | 1,408,645 | $ | (1,423,013 | ) | $ | (11,959 | ) | $ | (5,748 | ) | $ | — | — | $ | 6,699 | $ | — | |||||||||||||||||
Summary of Investment Type
| % of | ||||
| Industry | Net Assets | |||
| Exchange-Traded Funds | 62.2 | % | ||
| U.S. Government Obligations | 30.4 | % | ||
| U.S. Treasury Bills | 4.1 | % | ||
| Total Investments | 96.7 | % | ||
| Other Assets in Excess of Liabilities | 3.3 | % | ||
| Net Assets | 100.0 | % | ||
See Notes to Financial Statements.
50
Simplify Developed Ex-US PLUS Downside Convexity ETF
Schedule of Investments
June 30, 2023
| Shares | Value | |||||||
| Exchange-Traded Funds – 99.7% | ||||||||
| iShares Core MSCI EAFE ETF(a)(b) | ||||||||
| (Cost $17,750,673) | 247,877 | $ | 16,731,698 | |||||
| Number of Contracts |
Notional Amount |
|||||||||||
| Purchased Options – 0.9% | ||||||||||||
| Puts – Exchange-Traded – 0.9% | ||||||||||||
| iShares MSCI EAFE ETF, July Strike Price $67, Expires 7/21/23 | 2,247 | $ | 15,054,900 | 14,111 | ||||||||
| iShares MSCI EAFE ETF, August Strike Price $62, Expires 8/18/23 | 4,737 | 29,369,400 | 46,091 | |||||||||
| iShares MSCI EAFE ETF, September Strike Price $62, Expires 9/15/23 | 4,967 | 30,795,400 | 85,234 | |||||||||
| 145,436 | ||||||||||||
| Total Purchased Options (Cost $328,192) | 145,436 | |||||||||||
| Shares | ||||||||
| Money Market Funds – 1.8% | ||||||||
| Fidelity Investments Money Market Treasury Only Portfolio - Class I, 4.81%(c) | ||||||||
| (Cost $305,744) | 305,744 | 305,744 | ||||||
| Total Investments – 102.4% | ||||||||
| (Cost $18,384,609) | $ | 17,182,878 | ||||||
| Liabilities in Excess of Other Assets – (2.4)% | (405,321 | ) | ||||||
| Net Assets – 100.0% | $ | 16,777,557 | ||||||
| Number of Contracts |
Notional Amount |
|||||||||||
| Written Options – (0.7)% | ||||||||||||
| Puts – Exchange-Traded – (0.7)% | ||||||||||||
| iShares MSCI EAFE ETF, July Strike Price $64, Expires 7/21/23 | (2,247 | ) | $ | (14,380,800 | ) | $ | (9,280 | ) | ||||
| iShares MSCI EAFE ETF, August Strike Price $59, Expires 8/18/23 | (4,737 | ) | (27,948,300 | ) | (35,480 | ) | ||||||
| iShares MSCI EAFE ETF, September Strike Price $59, Expires 9/15/23 | (4,967 | ) | (29,305,300 | ) | (66,012 | ) | ||||||
| (110,772 | ) | |||||||||||
| Total Written Options (Premiums Received $174,748) | $ | (110,772 | ) | |||||||||
| (a) | A copy of the security’s annual report to shareholders may be obtained without charge at www.ishares.com. |
| (b) | Securities with an aggregate market value of $13,500,000 have been pledged as collateral for options as of June 30, 2023. |
| (c) | Rate shown reflects the 7-day yield as of June 30, 2023. |
See Notes to Financial Statements.
51
Simplify Developed Ex-US PLUS Downside Convexity ETF
Schedule of Investments (Continued)
June 30, 2023
Summary of Investment Type
| Industry | % of Net Assets |
|||
| Exchange-Traded Funds | 99.7 | % | ||
| Purchased Options | 0.9 | % | ||
| Money Market Funds | 1.8 | % | ||
| Total Investments | 102.4 | % | ||
| Liabilities in Excess of Other Assets | (2.4 | )% | ||
| Net Assets | 100.0 | % | ||
See Notes to Financial Statements.
52
Simplify Emerging Markets Equity PLUS Downside Convexity ETF
Schedule of Investments
June 30, 2023
| Shares | Value | |||||||
| Exchange-Traded Funds – 99.7% | ||||||||
| iShares Core MSCI Emerging Markets ETF(a)(b) | ||||||||
| (Cost $4,686,544) | 82,141 | $ | 4,048,730 | |||||
| Number of Contracts |
Notional Amount |
|||||||||||
| Purchased Options – 0.7% | ||||||||||||
| Puts – Exchange-Traded – 0.7% | ||||||||||||
| iShares MSCI Emerging Markets ETF, July Strike Price $36, Expires 7/21/23 | 675 | $ | 2,430,000 | 2,761 | ||||||||
| iShares MSCI Emerging Markets ETF, August Strike Price $34, Expires 8/18/23 | 1,738 | 5,909,200 | 9,715 | |||||||||
| iShares MSCI Emerging Markets ETF, August Strike Price $35, Expires 8/18/23 | 72 | 252,000 | 512 | |||||||||
| iShares MSCI Emerging Markets ETF, September Strike Price $34, Expires 9/15/23 | 1,490 | 5,066,000 | 14,304 | |||||||||
| iShares MSCI Emerging Markets ETF, September Strike Price $35, Expires 9/15/23 | 135 | 472,500 | 1,716 | |||||||||
| 29,008 | ||||||||||||
| Total Purchased Options (Cost $60,667) | 29,008 | |||||||||||
| Shares | ||||||||
| Money Market Funds – 0.6% | ||||||||
| Fidelity Investments Money Market Treasury Only Portfolio - Class I, 4.81%(c) | ||||||||
| (Cost $25,269) | 25,269 | 25,269 | ||||||
| Total Investments – 101.0% | ||||||||
| (Cost $4,772,480) | $ | 4,103,007 | ||||||
| Liabilities in Excess of Other Assets – (1.0)% | (40,078 | ) | ||||||
| Net Assets – 100.0% | $ | 4,062,929 | ||||||
| Number of Contracts |
Notional Amount |
|||||||||||
| Written Options – (0.5)% | ||||||||||||
| Puts – Exchange-Traded – (0.5)% | ||||||||||||
| iShares MSCI Emerging Markets ETF, July Strike Price $34, Expires 7/21/23 | (675 | ) | $ | (2,295,000 | ) | $ | (1,924 | ) | ||||
| iShares MSCI Emerging Markets ETF, August Strike Price $32, Expires 8/18/23 | (1,810 | ) | (5,792,000 | ) | (7,149 | ) | ||||||
| iShares MSCI Emerging Markets ETF, September Strike Price $32, Expires 9/15/23 | (1,625 | ) | (5,200,000 | ) | (10,335 | ) | ||||||
| (19,408 | ) | |||||||||||
| Total Written Options (Premiums Received $27,425) | $ | (19,408 | ) | |||||||||
| (a) | A copy of the security’s annual report to shareholders may be obtained without charge at www.ishares.com. |
| (b) | Securities with an aggregate market value of $3,795,330 have been pledged as collateral for options as of June 30, 2023. |
| (c) | Rate shown reflects the 7-day yield as of June 30, 2023. |
See Notes to Financial Statements.
53
Simplify Emerging Markets Equity PLUS Downside Convexity ETF
Schedule of Investments (Continued)
June 30, 2023
Summary of Investment Type
| Industry | % of Net Assets |
|||
| Exchange-Traded Funds | 99.7 | % | ||
| Purchased Options | 0.7 | % | ||
| Money Market Funds | 0.6 | % | ||
| Total Investments | 101.0 | % | ||
| Liabilities in Excess of Other Assets | (1.0 | )% | ||
| Net Assets | 100.0 | % | ||
See Notes to Financial Statements.
54
Schedule of Investments
June 30, 2023
| Principal | Value | |||||||
| U.S. Treasury Bills – 98.8% | ||||||||
| U.S. Treasury Bill, 4.92%, 8/10/2023(a) | $ | 10,725,500 | $ | 10,667,478 | ||||
| U.S. Treasury Bill, 5.10%, 8/15/2023(a) | 1,090,000 | 1,083,301 | ||||||
| U.S. Treasury Bill, 5.40%, 10/3/2023(a) | 5,730,000 | 5,654,438 | ||||||
| U.S. Treasury Bill, 5.43%, 12/21/2023(a) | 8,100,000 | 7,898,583 | ||||||
| Total U.S. Treasury Bills (Cost $25,301,818) | 25,303,800 | |||||||
| Total Investments – 98.8% | ||||||||
| (Cost $25,301,818) | $ | 25,303,800 | ||||||
| Other Assets in Excess of Liabilities – 1.2% | 306,938 | |||||||
| Net Assets – 100.0% | $ | 25,610,738 | ||||||
| (a) | Represents a zero coupon bond. Rate shown reflects the effective yield. |
Summary of Investment Type
| Industry | % of Net Assets |
|||
| U.S. Treasury Bills | 98.8 | % | ||
| Total Investments | 98.8 | % | ||
| Other Assets in Excess of Liabilities | 1.2 | % | ||
| Net Assets | 100.0 | % | ||
See Notes to Financial Statements.
55
Schedule of Investments
June 30, 2023
| Shares | Value | |||||||
| Common Stocks – 97.0% | ||||||||
| Consumer, Non-cyclical – 93.9% | ||||||||
| Abbott Laboratories | 21,470 | $ | 2,340,659 | |||||
| AbbVie, Inc. | 12,814 | 1,726,430 | ||||||
| ACADIA Pharmaceuticals, Inc.* | 1,355 | 32,452 | ||||||
| Amedisys, Inc.* | 716 | 65,471 | ||||||
| Amgen, Inc. | 1,339 | 297,285 | ||||||
| Argenx SE, ADR* | 3,073 | 1,197,640 | ||||||
| AtriCure, Inc.* | 11,650 | 575,044 | ||||||
| Baxter International, Inc. | 5,351 | 243,792 | ||||||
| Becton Dickinson & Co. | 5,760 | 1,520,698 | ||||||
| Biogen, Inc.* | 2,989 | 851,417 | ||||||
| Bio-Techne Corp. | 4,628 | 377,784 | ||||||
| Boston Scientific Corp* | 11,812 | 638,911 | ||||||
| Cigna Corp. (The) | 6,643 | 1,864,026 | ||||||
| Cooper Cos., Inc. (The) | 4,031 | 1,545,606 | ||||||
| Danaher Corp. | 644 | 154,560 | ||||||
| Dexcom, Inc.* | 17,063 | 2,192,766 | ||||||
| Edwards Lifesciences Corp.* | 869 | 81,973 | ||||||
| Eli Lilly & Co. | 6,189 | 2,902,517 | ||||||
| Embecta Corp. | 703 | 15,185 | ||||||
| Establishment Labs Holdings, Inc.* | 12,878 | 883,560 | ||||||
| Exact Sciences Corp* | 22,133 | 2,078,289 | ||||||
| Fulcrum Therapeutics, Inc.* | 231,296 | 763,277 | ||||||
| Gilead Sciences, Inc. | 11,210 | 863,955 | ||||||
| HCA Healthcare, Inc. | 719 | 218,202 | ||||||
| Henry Schein, Inc.* | 1,780 | 144,358 | ||||||
| Humana, Inc. | 626 | 279,903 | ||||||
| IDEXX Laboratories, Inc.* | 1,427 | 716,682 | ||||||
| Illumina, Inc.* | 440 | 82,496 | ||||||
| Intuitive Surgical, Inc.* | 6,113 | 2,090,279 | ||||||
| IQVIA Holdings, Inc.* | 1,982 | 445,494 | ||||||
| Johnson & Johnson | 23,706 | 3,923,817 | ||||||
| Lantheus Holdings, Inc.* | 2,209 | 185,379 | ||||||
| LivaNova PLC* | 4,350 | 223,721 | ||||||
| Medtronic PLC | 47,519 | 4,186,424 | ||||||
| Merck & Co Inc. | 3,797 | 438,136 | ||||||
| Penumbra, Inc.* | 3,479 | 1,196,985 | ||||||
| Pfizer Inc. | 1,337 | 49,041 | ||||||
| QuidelOrtho Corp.* | 3,918 | 324,645 | ||||||
| Regeneron Pharmaceuticals, Inc.* | 3,719 | 2,672,250 | ||||||
| Revvity, Inc. | 2,422 | 287,709 | ||||||
| Sanofi, ADR | 80,813 | 4,355,821 | ||||||
| Stryker Corp. | 4,484 | 1,368,024 | ||||||
| Syndax Pharmaceuticals, Inc.* | 12,809 | 268,092 | ||||||
| Tenet Healthcare Corp.* | 10,617 | 864,011 | ||||||
| Thermo Fisher Scientific Inc. | 3,258 | 1,699,861 | ||||||
| UnitedHealth Group Inc. | 997 | 479,198 | ||||||
| Vertex Pharmaceuticals, Inc.* | 7,491 | 2,636,158 | ||||||
| Zimmer Biomet Holdings Inc. | 19,488 | 2,837,453 | ||||||
See Notes to Financial Statements.
56
Simplify Health Care ETF
Schedule of Investments (Continued)
June 30, 2023
| Shares | Value | |||||||
| Common Stocks (continued) | ||||||||
| Consumer, Non-cyclical (continued) | ||||||||
| Zoetis, Inc. | 1,443 | $ | 248,499 | |||||
| 55,435,935 | ||||||||
| Industrial – 2.8% | ||||||||
| Agilent Technologies, Inc. | 837 | 100,649 | ||||||
| PureCycle Technologies, Inc.* | 143,490 | 1,533,908 | ||||||
| 1,634,557 | ||||||||
| Technology – 0.3% | ||||||||
| Veeva Systems Inc, Class A* | 979 | 193,578 | ||||||
| Total Common Stocks (Cost $55,608,332) | 57,264,070 | |||||||
| Money Market Funds – 0.3% | ||||||||
| Fidelity Investments Money Market Treasury Only Portfolio - Class I, 4.81%(a) | ||||||||
| (Cost $179,500) | 179,500 | 179,500 | ||||||
| Total Investments – 97.3% | ||||||||
| (Cost $55,787,832) | $ | 57,443,570 | ||||||
| Other Assets in Excess of Liabilities – 2.7% | 1,620,451 | |||||||
| Net Assets – 100.0% | $ | 59,064,021 | ||||||
| * | Non Income Producing |
| (a) | Rate shown reflects the 7-day yield as of June 30, 2023. |
| ADR: | American Depositary Receipt |
Summary of Investment Type
| Industry | % of Net Assets |
|||
| Common Stocks | 97.0 | % | ||
| Money Market Funds | 0.3 | % | ||
| Total Investments | 97.3 | % | ||
| Other Assets in Excess of Liabilities | 2.7 | % | ||
| Net Assets | 100.0 | % | ||
See Notes to Financial Statements.
57
Schedule of Investments
June 30, 2023
| Shares | Value | |||||||
| Exchange-Traded Funds – 102.3% | ||||||||
| iShares Core S&P 500 ETF(a)(b) | ||||||||
| (Cost $100,435,110) | 245,008 | $ | 109,202,515 | |||||
| Number of Contracts |
Notional Amount |
|||||||||||
| Purchased Options – 0.3% | ||||||||||||
| Puts – Exchange-Traded – 0.3% | ||||||||||||
| S&P 500 Index, July Strike Price $3,920, Expires 7/21/23 | 82 | $ | 32,144,000 | 15,785 | ||||||||
| S&P 500 Index, August Strike Price $3,965, Expires 8/18/23 | 83 | 32,909,500 | 65,570 | |||||||||
| S&P 500 Index, September Strike Price $4,210, Expires 9/15/23 | 79 | 33,259,000 | 274,130 | |||||||||
| 355,485 | ||||||||||||
| Total Purchased Options (Cost $1,346,178) | 355,485 | |||||||||||
| Shares | ||||||||
| Money Market Funds – 0.3% | ||||||||
| Fidelity Investments Money Market Treasury Only Portfolio - Class I, 4.81%(c) | ||||||||
| (Cost $368,970) | 368,970 | 368,970 | ||||||
| Total Investments – 102.9% | ||||||||
| (Cost $102,150,258) | $ | 109,926,970 | ||||||
| Liabilities in Excess of Other Assets – (2.9)% | (3,129,775 | ) | ||||||
| Net Assets – 100.0% | $ | 106,797,195 | ||||||
| Number of Contracts |
Notional Amount |
|||||||||||
| Written Options – (2.6)% | ||||||||||||
| Calls – Exchange-Traded – (2.5)% | ||||||||||||
| S&P 500 Index, July Strike Price $4,310, Expires 7/21/23 | (82 | ) | $ | (35,342,000 | ) | $ | (1,265,260 | ) | ||||
| S&P 500 Index, August Strike Price $4,360, Expires 8/18/23 | (83 | ) | (36,188,000 | ) | (1,211,800 | ) | ||||||
| S&P 500 Index, September Strike Price $4,650, Expires 9/15/23 | (79 | ) | (36,735,000 | ) | (203,425 | ) | ||||||
| (2,680,485 | ) | |||||||||||
| Puts – Exchange-Traded – (0.1)% | ||||||||||||
| S&P 500 Index, July Strike Price $3,300, Expires 7/21/23 | (82 | ) | (27,060,000 | ) | (3,690 | ) | ||||||
| S&P 500 Index, August Strike Price $3,340, Expires 8/18/23 | (83 | ) | (27,722,000 | ) | (15,148 | ) | ||||||
| S&P 500 Index, September Strike Price $3,550, Expires 9/15/23 | (79 | ) | (28,045,000 | ) | (48,980 | ) | ||||||
| (67,818 | ) | |||||||||||
| Total Written Options (Premiums Received $1,524,896) | $ | (2,748,303 | ) | |||||||||
| (a) | A copy of the security’s annual report to shareholders may be obtained without charge at www.ishares.com. |
| (b) | Securities with an aggregate market value of $4,457,100 have been pledged as collateral for options as of June 30, 2023. |
| (c) | Rate shown reflects the 7-day yield as of June 30, 2023. |
See Notes to Financial Statements.
58
Simplify Hedged Equity ETF
Schedule of Investments (Continued)
June 30, 2023
Summary of Investment Type
| Industry | % of Net Assets |
|||
| Exchange-Traded Funds | 102.3 | % | ||
| Purchased Options | 0.3 | % | ||
| Money Market Funds | 0.3 | % | ||
| Total Investments | 102.9 | % | ||
| Liabilities in Excess of Other Assets | (2.9 | )% | ||
| Net Assets | 100.0 | % | ||
See Notes to Financial Statements.
59
Simplify High Yield PLUS Credit Hedge ETF
Schedule of Investments
June 30, 2023
| Principal | Value | |||||||
| U.S. Treasury Bills – 99.8% | ||||||||
| U.S. Treasury Bill, 4.90%, 8/8/2023(a) | $ | 2,700,000 | $ | 2,686,169 | ||||
| U.S. Treasury Bill, 4.92%, 8/10/2023(a)(b) | 23,200,000 | 23,074,495 | ||||||
| U.S. Treasury Bill, 5.33%, 10/3/2023(a) | 19,660,000 | 19,400,742 | ||||||
| Total U.S. Treasury Bills (Cost $45,154,089) | 45,161,406 | |||||||
| Number of Contracts |
Notional Amount |
|||||||||||
| Purchased Options – 0.1% | ||||||||||||
| Puts – Exchange-Traded – 0.1% | ||||||||||||
| S&P 500 Index, July Strike Price $3,855, Expires 7/21/23 | 8 | 3,084,000 | 1,340 | |||||||||
| S&P 500 Index, August Strike Price $3,720, Expires 8/18/23 | 33 | 12,276,000 | 13,530 | |||||||||
| S&P 500 Index, September Strike Price $3,720, Expires 9/15/23 | 20 | 7,440,000 | 18,100 | |||||||||
| 32,970 | ||||||||||||
| Total Purchased Options (Cost $85,818) | 32,970 | |||||||||||
| Total Investments – 99.9% | ||||||||||||
| (Cost $45,239,907) | $ | 45,194,376 | ||||||||||
| Other Assets in Excess of Liabilities – 0.1% | 46,171 | |||||||||||
| Net Assets – 100.0% | $ | 45,240,547 | ||||||||||
| Number of Contracts |
Notional Amount |
|||||||||||
| Written Options – (0.0)%† | ||||||||||||
| Puts – Exchange-Traded – (0.0)%† | ||||||||||||
| S&P 500 Index, July Strike Price $3,650, Expires 7/21/23 | (8 | ) | $ | (2,920,000 | ) | $ | (860 | ) | ||||
| S&P 500 Index, August Strike Price $3,500, Expires 8/18/23 | (33 | ) | (11,550,000 | ) | (8,498 | ) | ||||||
| S&P 500 Index, September Strike Price $3,500, Expires 9/15/23 | (20 | ) | (7,000,000 | ) | (11,500 | ) | ||||||
| (20,858 | ) | |||||||||||
| Total Written Options (Premiums Received $51,992) | $ | (20,858 | ) | |||||||||
| † | Less than 0.05% |
| (a) | Represents a zero coupon bond. Rate shown reflects the effective yield. |
| (b) | Securities with an aggregate market value of $22,975,029 have been pledged as collateral for options as of June 30, 2023. |
At June 30, 2023, over the counter total return swap contracts outstanding were as follows:
| Reference Obligation/Index |
Termination Date(a) |
Financing Rate Paid (Received) by the Fund |
Counterparty | Notional Amount |
Unrealized Appreciation/ (Depreciation)(b) |
|||||||||||
| iShares iBoxx $ High Yield Corporate Bond ETF | 3/17/2025 | 4.17 | %(c) | Morgan Stanley Capital Services LLC | (44,788,715 | ) | $ | (97,715 | ) | |||||||
| Morgan Stanley Custom Junk Index* | 2/15/2024 | 4.77 | %(c) | Morgan Stanley Capital Services LLC | 12,903,872 | (163,946 | ) | |||||||||
| Morgan Stanley Custom Quality Index* | 2/15/2024 | 5.47 | %(c) | Morgan Stanley Capital Services LLC | (14,027,276 | ) | 213,294 | |||||||||
| $ | (48,367 | ) | ||||||||||||||
See Notes to Financial Statements.
60
Simplify High Yield PLUS Credit Hedge ETF
Schedule of Investments (Continued)
June 30, 2023
| * | The components of the basket shown below. |
| (a) | The Fund pays/receives annual coupon payments in accordance with the swap contract. On the termination date of the swap contract(s), the Fund will either receive from or pay to the counterparty an amount equal to the net of the accrued financing fees and the value of the reference security subtracted from the original notional cost (notional multiplied by the price change of the reference security). |
| (b) | There are no upfront payments on the swap contracts, therefore the unrealized gain (loss) on the swap contracts is equal to their market value. |
| (c) | Payments made quarterly. |
| * | The following table shows the individual positions and related values of the securities within the Morgan Stanley Custom Junk Index basket. |
| Shares | Value | % of basket |
||||||||||
| Common Stocks | ||||||||||||
| Basic Materials | ||||||||||||
| Alcoa Corp. | (2,689 | ) | $ | (91,254 | ) | 0.70 | % | |||||
| Axalta Coating Systems Ltd. | (4,026 | ) | (132,088 | ) | 1.01 | % | ||||||
| Chemours Co. (The) | (3,823 | ) | (141,019 | ) | 1.08 | % | ||||||
| Cleveland-Cliffs, Inc. | (7,077 | ) | (118,606 | ) | 0.90 | % | ||||||
| Sylvamo Corp. | (1,365 | ) | (55,208 | ) | 0.42 | % | ||||||
| U.S. Steel Corp. | (4,266 | ) | (106,690 | ) | 0.81 | % | ||||||
| (644,865 | ) | |||||||||||
| Communications | ||||||||||||
| Altice USA, Inc., Class A | (42,964 | ) | (129,752 | ) | 0.99 | % | ||||||
| AT&T, Inc. | (11,190 | ) | (178,480 | ) | 1.36 | % | ||||||
| Commscope Holding Co., Inc. | (26,527 | ) | (149,345 | ) | 1.14 | % | ||||||
| Dish Network Corp., Class A | (21,448 | ) | (141,345 | ) | 1.08 | % | ||||||
| EchoStar Corp, Class A | (1,916 | ) | (33,229 | ) | 0.25 | % | ||||||
| Lumen Technologies, Inc. | (59,891 | ) | (135,353 | ) | 1.03 | % | ||||||
| Nexstar Media Group, Inc., Class A | (785 | ) | (130,767 | ) | 1.00 | % | ||||||
| Paramount Global, Class B | (8,391 | ) | (133,502 | ) | 1.02 | % | ||||||
| Telephone And Data Systems, Inc. | (17,152 | ) | (141,161 | ) | 1.08 | % | ||||||
| Viasat, Inc. | (2,919 | ) | (120,456 | ) | 0.92 | % | ||||||
| Warner Bros Discovery Inc. | (11,507 | ) | (144,292 | ) | 1.10 | % | ||||||
| Wayfair Inc, Class A | (1,217 | ) | (79,110 | ) | 0.61 | % | ||||||
| (1,516,792 | ) | |||||||||||
| Consumer, Cyclical | ||||||||||||
| Alaska Air Group, Inc. | (2,652 | ) | (141,041 | ) | 1.08 | % | ||||||
| American Airlines Group, Inc. | (8,127 | ) | (145,804 | ) | 1.11 | % | ||||||
| Aramark | (3,258 | ) | (140,262 | ) | 1.07 | % | ||||||
| Caesars Entertainment, Inc. | (2,713 | ) | (138,293 | ) | 1.06 | % | ||||||
| Carnival Corp. | (8,470 | ) | (159,496 | ) | 1.22 | % | ||||||
| Carvana Co., Class A | (4,967 | ) | (128,756 | ) | 0.98 | % | ||||||
| Copa Holdings SA, Class A | (505 | ) | (55,798 | ) | 0.43 | % | ||||||
| Core & Main, Inc., Class A | (1,847 | ) | (57,870 | ) | 0.44 | % | ||||||
| Delta Air Lines, Inc. | (3,269 | ) | (155,427 | ) | 1.19 | % | ||||||
| Ford Motor Co. | (2,267 | ) | (34,302 | ) | 0.26 | % | ||||||
| Gap, Inc. (The) | (13,496 | ) | (120,515 | ) | 0.92 | % | ||||||
| Hanesbrands, Inc. | (25,596 | ) | (116,205 | ) | 0.89 | % | ||||||
| Jetblue Airways Corp. | (16,380 | ) | (145,128 | ) | 1.11 | % | ||||||
| Kohl’s Corp. | (4,967 | ) | (114,493 | ) | 0.87 | % | ||||||
| Lions Gate Entertainment Corp, Class B | (7,452 | ) | (62,224 | ) | 0.47 | % | ||||||
| Nordstrom Inc. | (5,997 | ) | (122,758 | ) | 0.94 | % | ||||||
See Notes to Financial Statements.
61
Simplify High Yield PLUS Credit Hedge ETF
Schedule of Investments (Continued)
June 30, 2023
| Shares | Value | % of basket |
||||||||||
| Common Stocks (continued) | ||||||||||||
| Consumer, Cyclical (continued) | ||||||||||||
| Norwegian Cruise Line Holdings Ltd. | (6,866 | ) | $ | (149,469 | ) | 1.14 | % | |||||
| Penn Entertainment Inc. | (5,156 | ) | (123,901 | ) | 0.95 | % | ||||||
| PVH Corp. | (1,266 | ) | (107,608 | ) | 0.82 | % | ||||||
| Qurate Retail, Inc., Series A | (142,954 | ) | (141,496 | ) | 1.08 | % | ||||||
| Resideo Technologies Inc. | (2,337 | ) | (41,274 | ) | 0.31 | % | ||||||
| RH | (402 | ) | (132,387 | ) | 1.01 | % | ||||||
| Sally Beauty Holdings Inc. | (2,767 | ) | (34,172 | ) | 0.26 | % | ||||||
| Southwest Airlines Co. | (4,137 | ) | (149,816 | ) | 1.14 | % | ||||||
| Thor Industries, Inc. | (513 | ) | (53,109 | ) | 0.40 | % | ||||||
| Toll Brothers Inc. | (1,734 | ) | (137,127 | ) | 1.05 | % | ||||||
| Travel + Leisure Co. | (3,149 | ) | (127,042 | ) | 0.97 | % | ||||||
| United Airlines Holdings, Inc. | (2,541 | ) | (139,413 | ) | 1.06 | % | ||||||
| Vroom Inc. | (109,201 | ) | (157,250 | ) | 1.20 | % | ||||||
| Walgreens Boots Alliance, Inc. | (4,440 | ) | (126,505 | ) | 0.97 | % | ||||||
| (3,458,941 | ) | |||||||||||
| Consumer, Non-cyclical | ||||||||||||
| ADT Inc. | (21,238 | ) | (128,068 | ) | 0.98 | % | ||||||
| Brookdale Senior Living Inc. | (24,136 | ) | (101,854 | ) | 0.78 | % | ||||||
| Cardinal Health Inc. | (1,538 | ) | (145,449 | ) | 1.11 | % | ||||||
| Clarivate PLC | (13,925 | ) | (132,709 | ) | 1.01 | % | ||||||
| Coty, Inc., Class A | (10,525 | ) | (129,357 | ) | 0.99 | % | ||||||
| DaVita, Inc. | (1,369 | ) | (137,587 | ) | 1.05 | % | ||||||
| Exact Sciences Corp. | (1,033 | ) | (96,993 | ) | 0.74 | % | ||||||
| Grocery Outlet Holding Corp. | (2,427 | ) | (74,289 | ) | 0.57 | % | ||||||
| Guardant Health, Inc. | (3,461 | ) | (123,911 | ) | 0.94 | % | ||||||
| Herbalife Ltd. | (10,551 | ) | (139,693 | ) | 1.07 | % | ||||||
| Ionis Pharmaceuticals Inc. | (1,974 | ) | (81,002 | ) | 0.62 | % | ||||||
| Jazz Pharmaceuticals PLC | (1,016 | ) | (126,000 | ) | 0.96 | % | ||||||
| Kroger Co. (The) | (3,149 | ) | (147,984 | ) | 1.13 | % | ||||||
| Nektar Therapeutics, Class A | (94,071 | ) | (54,110 | ) | 0.41 | % | ||||||
| Novavax Inc. | (16,258 | ) | (120,799 | ) | 0.92 | % | ||||||
| Organon & Co. | (6,412 | ) | (133,427 | ) | 1.02 | % | ||||||
| Pediatrix Medical Group Inc. | (2,384 | ) | (33,881 | ) | 0.26 | % | ||||||
| Perrigo Co. PLC | (3,805 | ) | (129,177 | ) | 0.99 | % | ||||||
| Post Holdings, Inc. | (1,497 | ) | (129,694 | ) | 0.99 | % | ||||||
| Sabre Corp. | (36,913 | ) | (117,753 | ) | 0.90 | % | ||||||
| Stoneco Ltd., Class A | (9,920 | ) | (126,379 | ) | 0.96 | % | ||||||
| TreeHouse Foods, Inc. | (2,022 | ) | (101,864 | ) | 0.78 | % | ||||||
| US Foods Holding Corp. | (3,143 | ) | (138,302 | ) | 1.05 | % | ||||||
| Viatris, Inc. | (13,649 | ) | (136,220 | ) | 1.04 | % | ||||||
| (2,786,502 | ) | |||||||||||
| Energy | ||||||||||||
| Apa Corp. | (3,939 | ) | (134,593 | ) | 1.03 | % | ||||||
| Cheniere Energy, Inc. | (890 | ) | (135,653 | ) | 1.04 | % | ||||||
| Equities Corp. | (3,269 | ) | (134,474 | ) | 1.03 | % | ||||||
| Kosmos Energy Ltd. | (20,933 | ) | (125,389 | ) | 0.96 | % | ||||||
| Marathon Petroleum Corp. | (1,306 | ) | (152,336 | ) | 1.16 | % | ||||||
| New Fortress Energy Inc, Class A | (4,348 | ) | (116,433 | ) | 0.89 | % | ||||||
| NOV Inc. | (7,787 | ) | (124,899 | ) | 0.95 | % | ||||||
See Notes to Financial Statements.
62
Simplify High Yield PLUS Credit Hedge ETF
Schedule of Investments (Continued)
June 30, 2023
| Shares | Value |
% of basket |
||||||||||
| Common Stocks (continued) | ||||||||||||
| Energy (continued) | ||||||||||||
| Occidental Petroleum Corp. | (2,559 | ) | $ | (150,451 | ) | 1.15 | % | |||||
| PBF Energy Inc, Class A | (3,243 | ) | (132,760 | ) | 1.01 | % | ||||||
| Sunrun, Inc. | (6,526 | ) | (116,554 | ) | 0.89 | % | ||||||
| Valero Energy Corp. | (1,279 | ) | (150,035 | ) | 1.14 | % | ||||||
| (1,473,577 | ) | |||||||||||
| Financial | ||||||||||||
| Air Lease Corp., Class A | (3,096 | ) | (129,556 | ) | 0.99 | % | ||||||
| Bread Financial Holdings Inc. | (4,234 | ) | (132,904 | ) | 1.01 | % | ||||||
| Western Union Co. (The) | (11,268 | ) | (132,168 | ) | 1.01 | % | ||||||
| (394,628 | ) | |||||||||||
| Industrial | ||||||||||||
| Berry Global Group, Inc. | (2,068 | ) | (133,068 | ) | 1.02 | % | ||||||
| Energizer Holdings Inc. | (3,874 | ) | (130,073 | ) | 0.99 | % | ||||||
| FedEx Corp. | (628 | ) | (155,771 | ) | 1.19 | % | ||||||
| Fluor Corp. | (2,207 | ) | (65,336 | ) | 0.50 | % | ||||||
| Gates Industrial Corp. PLC | (6,701 | ) | (90,325 | ) | 0.69 | % | ||||||
| General Electric Co. | (1,403 | ) | (154,066 | ) | 1.18 | % | ||||||
| MasTec Inc. | (336 | ) | (39,661 | ) | 0.30 | % | ||||||
| O-I Glass, Inc., Class I | (6,208 | ) | (132,407 | ) | 1.01 | % | ||||||
| Royal Caribbean Cruises Ltd. | (1,231 | ) | (127,729 | ) | 0.97 | % | ||||||
| Ryder System, Inc. | (1,586 | ) | (134,467 | ) | 1.03 | % | ||||||
| Silgan Holdings, Inc. | (1,227 | ) | (57,532 | ) | 0.44 | % | ||||||
| Spirit Aerosystems Holdings, Inc., Class A | (4,333 | ) | (126,491 | ) | 0.96 | % | ||||||
| TD SYNNEX Corp. | (1,320 | ) | (124,040 | ) | 0.95 | % | ||||||
| Vertiv Holdings Co., Class A | (5,699 | ) | (141,157 | ) | 1.08 | % | ||||||
| Westrock Co. | (4,648 | ) | (135,116 | ) | 1.03 | % | ||||||
| XPO Inc. | (2,246 | ) | (132,537 | ) | 1.01 | % | ||||||
| (1,879,776 | ) | |||||||||||
| Technology | ||||||||||||
| Dell Technologies, Inc., Class C | (2,610 | ) | (141,248 | ) | 1.08 | % | ||||||
| Dxc Technology Co. | (4,826 | ) | (128,954 | ) | 0.98 | % | ||||||
| Fastly Inc, Class A | (7,403 | ) | (116,753 | ) | 0.89 | % | ||||||
| Kyndryl Holdings Inc. | (8,477 | ) | (112,570 | ) | 0.86 | % | ||||||
| NCR Corp. | (5,215 | ) | (131,406 | ) | 1.00 | % | ||||||
| SolarWinds Corp. | (6,129 | ) | (62,879 | ) | 0.48 | % | ||||||
| Western Digital Corp. | (3,317 | ) | (125,813 | ) | 0.96 | % | ||||||
| Xerox Holdings Corp. | (8,537 | ) | (127,114 | ) | 0.97 | % | ||||||
| (946,737 | ) | |||||||||||
| Total | $ | (13,101,818 | ) | 100.00 | % | |||||||
| * | The following table shows the individual positions and related values of the securities within the Morgan Stanley Custom Quality Index basket. |
| Shares | Value |
% of basket |
||||||||||
| Common Stocks | ||||||||||||
| Basic Materials | ||||||||||||
| Diversey Holdings Ltd. | 16,927 | $ | 142,021 | 1.00 | % | |||||||
| International Flavors & Fragrances, Inc. | 1,784 | 142,012 | 0.99 | % | ||||||||
| Rpm International, Inc. | 1,669 | 149,798 | 1.05 | % | ||||||||
See Notes to Financial Statements.
63
Simplify High Yield PLUS Credit Hedge ETF
Schedule of Investments (Continued)
June 30, 2023
| Shares | Value |
% of basket |
||||||||||
| Common Stocks (continued) | ||||||||||||
| Basic Materials (continued) | ||||||||||||
| Sherwin-Williams Co/The | 569 | $ | 150,978 | 1.06 | % | |||||||
| 584,809 | ||||||||||||
| Communications | ||||||||||||
| Interpublic Group of Cos., Inc. (The) | 3,495 | 134,827 | 0.94 | % | ||||||||
| Meta Platforms, Inc., Class A | 503 | 144,444 | 1.01 | % | ||||||||
| Omnicom Group, Inc. | 1,484 | 141,184 | 0.99 | % | ||||||||
| Sirius XM Holdings, Inc. | 37,037 | 167,777 | 1.18 | % | ||||||||
| 588,232 | ||||||||||||
| Consumer, Cyclical | ||||||||||||
| Autozone, Inc. | 57 | 141,624 | 0.99 | % | ||||||||
| Domino’s Pizza, Inc. | 436 | 146,877 | 1.03 | % | ||||||||
| Home Depot, Inc. (The) | 470 | 145,900 | 1.02 | % | ||||||||
| LKQ Corp. | 2,602 | 151,609 | 1.06 | % | ||||||||
| Lululemon Athletica Inc. | 371 | 140,321 | 0.98 | % | ||||||||
| Marriott International, Inc./Md, Class A | 803 | 147,480 | 1.03 | % | ||||||||
| O’reilly Automotive, Inc. | 153 | 146,105 | 1.03 | % | ||||||||
| Pool Corp. | 397 | 148,648 | 1.04 | % | ||||||||
| Tempur Sealy International Inc. | 3,667 | 146,949 | 1.03 | % | ||||||||
| Wyndham Hotels & Resorts, Inc. | 2,030 | 139,192 | 0.98 | % | ||||||||
| Yum! Brands, Inc. | 1,019 | 141,189 | 0.99 | % | ||||||||
| 1,595,894 | ||||||||||||
| Consumer, Non-cyclical | ||||||||||||
| Avery Dennison Corp. | 839 | 144,142 | 1.01 | % | ||||||||
| Chemed Corp. | 261 | 141,413 | 0.99 | % | ||||||||
| Cigna Group (The) | 526 | 147,700 | 1.03 | % | ||||||||
| Colgate-Palmolive Co. | 1,847 | 142,295 | 1.00 | % | ||||||||
| CVS Health Corp. | 2,041 | 141,096 | 0.99 | % | ||||||||
| Danaher Corp. | 583 | 139,807 | 0.98 | % | ||||||||
| Elevance Health Inc. | 314 | 139,515 | 0.98 | % | ||||||||
| Fleetcor Technologies, Inc. | 580 | 145,699 | 1.02 | % | ||||||||
| Global Payments, Inc. | 1,391 | 137,079 | 0.96 | % | ||||||||
| Grand Canyon Education, Inc. | 1,388 | 143,211 | 1.00 | % | ||||||||
| Hershey Co. (The) | 544 | 135,783 | 0.95 | % | ||||||||
| J M Smucker Co/The | 928 | 137,017 | 0.96 | % | ||||||||
| Johnson & Johnson | 866 | 143,402 | 1.00 | % | ||||||||
| Kraft Heinz Co. (The) | 3,847 | 136,581 | 0.96 | % | ||||||||
| McKesson Corp. | 355 | 151,510 | 1.06 | % | ||||||||
| Moody’s Corp. | 407 | 141,611 | 0.99 | % | ||||||||
| Philip Morris International, Inc. | 1,497 | 146,179 | 1.02 | % | ||||||||
| Rollins, Inc. | 3,407 | 145,906 | 1.02 | % | ||||||||
| Sotera Health Co. | 9,432 | 177,692 | 1.24 | % | ||||||||
| Stryker Corp. | 480 | 146,381 | 1.03 | % | ||||||||
| Thermo Fisher Scientific Inc. | 265 | 138,310 | 0.97 | % | ||||||||
| UnitedHealth Group Inc. | 304 | 146,343 | 1.03 | % | ||||||||
| Verisk Analytics, Inc., Class A | 632 | 142,774 | 1.00 | % | ||||||||
| 3,311,446 | ||||||||||||
See Notes to Financial Statements.
64
Simplify High Yield PLUS Credit Hedge ETF
Schedule of Investments (Continued)
June 30, 2023
| Shares | Value |
% of basket |
||||||||||
| Common Stocks (continued) | ||||||||||||
| Energy | ||||||||||||
| Antero Midstream Corp. | 12,931 | $ | 149,998 | 1.05 | % | |||||||
| Oneok, Inc. | 2,321 | 143,267 | 1.00 | % | ||||||||
| Texas Pacific Land Corp. | 104 | 137,103 | 0.96 | % | ||||||||
| 430,368 | ||||||||||||
| Financial | ||||||||||||
| Aflac, Inc. | 2,033 | 141,933 | 0.99 | % | ||||||||
| American Express Co. | 816 | 142,170 | 1.00 | % | ||||||||
| American Financial Group, Inc./Oh | 1,231 | 146,159 | 1.02 | % | ||||||||
| Arthur J Gallagher & Co. | 664 | 145,796 | 1.02 | % | ||||||||
| AvalonBay Communities, Inc. | 745 | 140,913 | 0.99 | % | ||||||||
| Brown & Brown, Inc. | 2,148 | 147,843 | 1.04 | % | ||||||||
| Cboe Global Markets, Inc. | 1,027 | 141,780 | 0.99 | % | ||||||||
| Credit Acceptance Corp. | 279 | 141,570 | 0.99 | % | ||||||||
| Discover Financial Services | 1,210 | 141,356 | 0.99 | % | ||||||||
| Erie Indemnity Co, Class A | 652 | 136,835 | 0.96 | % | ||||||||
| Extra Space Storage Inc. | 973 | 144,839 | 1.02 | % | ||||||||
| First American Financial Corp. | 2,505 | 142,854 | 1.00 | % | ||||||||
| Intercontinental Exchange, Inc. | 1,262 | 142,735 | 1.00 | % | ||||||||
| Life Storage Inc. | 1,089 | 144,836 | 1.01 | % | ||||||||
| OMEGA Healthcare Investors, Inc. | 4,548 | 139,578 | 0.98 | % | ||||||||
| OneMain Holdings Inc, Class A | 3,242 | 141,625 | 0.99 | % | ||||||||
| Primerica Inc. | 727 | 143,822 | 1.01 | % | ||||||||
| ProLogis, Inc. | 1,165 | 142,912 | 1.00 | % | ||||||||
| Rocket Cos Inc, Class A | 15,204 | 136,226 | 0.95 | % | ||||||||
| Synchrony Financial | 4,242 | 143,888 | 1.01 | % | ||||||||
| Western Alliance Bancorp | 3,651 | 133,162 | 0.93 | % | ||||||||
| 2,982,832 | ||||||||||||
| Industrial | ||||||||||||
| Allegion PLC | 1,193 | 143,140 | 1.00 | % | ||||||||
| AMETEK Inc. | 905 | 146,541 | 1.03 | % | ||||||||
| Amphenol Corp., Class A | 1,733 | 147,188 | 1.03 | % | ||||||||
| CH Robinson Worldwide, Inc. | 1,488 | 140,349 | 0.98 | % | ||||||||
| Dover Corp. | 964 | 142,401 | 1.00 | % | ||||||||
| Esab Corp. | 2,158 | 143,621 | 1.01 | % | ||||||||
| Fortune Brands Innovations Inc. | 2,107 | 151,630 | 1.06 | % | ||||||||
| Generac Holdings Inc. | 1,162 | 173,354 | 1.21 | % | ||||||||
| Mettler-Toledo International Inc. | 106 | 139,235 | 0.97 | % | ||||||||
| Middleby Corp. (The) | 981 | 145,010 | 1.02 | % | ||||||||
| Nordson Corp. | 600 | 148,807 | 1.04 | % | ||||||||
| Pentair PLC | 2,325 | 150,199 | 1.05 | % | ||||||||
| Stanley Black & Decker Inc. | 1,551 | 145,310 | 1.02 | % | ||||||||
| Trex Co., Inc. | 2,390 | 156,694 | 1.10 | % | ||||||||
| 2,073,479 | ||||||||||||
| Technology | ||||||||||||
| Accenture PLC, Class A | 438 | 135,196 | 0.95 | % | ||||||||
| Black Knight, Inc. | 2,443 | 145,907 | 1.02 | % | ||||||||
| Broadridge Financial Solutions, Inc. | 888 | 147,119 | 1.03 | % | ||||||||
| Cognizant Technology Solutions Corp., Class A | 2,191 | 143,035 | 1.00 | % | ||||||||
| Dynatrace Inc. | 2,710 | 139,467 | 0.98 | % | ||||||||
| Fidelity National Information Services, Inc. | 2,624 | 143,558 | 1.01 | % | ||||||||
See Notes to Financial Statements.
65
Simplify High Yield PLUS Credit Hedge ETF
Schedule of Investments (Continued)
June 30, 2023
| Shares | Value |
% of basket |
||||||||||
| Common Stocks (continued) | ||||||||||||
| Technology (continued) | ||||||||||||
| Fiserv, Inc. | 1,179 | $ | 148,688 | 1.04 | % | |||||||
| International Business Machine | 1,025 | 137,147 | 0.96 | % | ||||||||
| Intuit, Inc. | 311 | 142,436 | 1.00 | % | ||||||||
| N-able Inc. | 9,689 | 139,623 | 0.98 | % | ||||||||
| Paychex, Inc. | 1,252 | 140,049 | 0.98 | % | ||||||||
| Texas Instruments, Inc. | 797 | 143,389 | 1.00 | % | ||||||||
| Tyler Technologies Inc. | 359 | 149,713 | 1.05 | % | ||||||||
| Zebra Technologies Corp., Class A | 499 | 147,475 | 1.03 | % | ||||||||
| 2,002,802 | ||||||||||||
| Utilities | ||||||||||||
| Alliant Energy Corp. | 2,639 | 138,500 | 0.97 | % | ||||||||
| Essential Utilities Inc. | 3,407 | 135,958 | 0.95 | % | ||||||||
| Eversource Energy | 1,998 | 141,672 | 1.00 | % | ||||||||
| NRG Energy, Inc. | 4,127 | 154,316 | 1.08 | % | ||||||||
| Xcel Energy Inc. | 2,205 | 137,110 | 0.96 | % | ||||||||
| 707,556 | ||||||||||||
| Total | $ | 14,277,418 | 100.00 | % | ||||||||
Summary of Investment Type
| Industry |
% of |
|||
| U.S. Treasury Bills | 99.8 | % | ||
| Purchased Options | 0.1 | % | ||
| Total Investments | 99.9 | % | ||
| Other Assets in Excess of Liabilities | 0.1 | % | ||
| Net Assets | 100.0 | % | ||
See Notes to Financial Statements.
66
Simplify Interest Rate Hedge ETF
Schedule of Investments
June 30, 2023
| Principal | Value | |||||||
| U.S. Treasury Bills – 54.5% | ||||||||
| U.S. Treasury Bill, 5.29%, 9/7/2023(a) | $ | 20,700,000 | $ | 20,504,581 | ||||
| U.S. Treasury Bill, 5.33%, 10/3/2023(a) | 99,500,000 | 98,187,885 | ||||||
| Total U.S. Treasury Bills (Cost $118,650,917) | 118,692,466 | |||||||
| U.S. Government Obligations – 46.3% | ||||||||
| U.S. Treasury Note, 4.25%, 10/15/2025(b) | ||||||||
| (Cost $101,390,191) | $ | 102,000,000 | 100,860,468 | |||||
|
Notional Amount |
||||||||
| Purchased Swaptions – (3.0)% | ||||||||
| Puts – Over the Counter – (3.0)% | ||||||||
| Interest Rate Swaption, pay semi annually a fixed rate of 4.00% and received quarterly a floating rate of SOFR, Expires 5/11/28 (counterparty: Bank of America NA) | 230,000,000 | 3,753,432 | ||||||
| Interest Rate Swaption, pay semi annually a fixed rate of 4.50% and received quarterly a floating rate of SOFR, Expires 5/11/29 (counterparty: Bank of America NA) | 20,000,000 | (388,707 | ) | |||||
| Interest Rate Swaption, pay semi annually a fixed rate of 4.25% and received quarterly a floating rate of SOFR, Expires 5/10/30 (counterparty: Bank of America NA) | 260,000,000 | (1,044,762 | ) | |||||
| Interest Rate Swaption, pay semi annually a fixed rate of 4.00% and received quarterly a floating rate of SOFR, Expires 5/11/28 (counterparty: Goldman Sachs International) | 160,000,000 | 531,050 | ||||||
| Interest Rate Swaption, pay semi annually a fixed rate of 4.50% and received quarterly a floating rate of SOFR, Expires 5/11/29 (counterparty: Goldman Sachs International) | 370,000,000 | (7,981,485 | ) | |||||
| Interest Rate Swaption, pay semi annually a fixed rate of 4.25% and received quarterly a floating rate of SOFR, Expires 5/10/30 (counterparty: Goldman Sachs International) | 530,000,000 | (2,620,845 | ) | |||||
| Interest Rate Swaption, pay semi annually a fixed rate of 4.00% and received quarterly a floating rate of SOFR, Expires 5/11/28 (counterparty: Morgan Stanley Capital Services LLC) | 620,000,000 | 3,384,467 | ||||||
| Interest Rate Swaption, pay semi annually a fixed rate of 4.25% and received quarterly a floating rate of SOFR, Expires 5/10/30 (counterparty: Morgan Stanley Capital Services LLC) | 530,000,000 | (2,210,656 | ) | |||||
| (6,577,506 | ) | |||||||
| Total Purchased Swaptions (Cost $0) | (6,577,506 | ) | ||||||
| Total Investments – 97.8% | ||||||||
| (Cost $220,041,108) | $ | 212,975,428 | ||||||
| Other Assets in Excess of Liabilities – 2.2% | 4,880,292 | |||||||
| Net Assets – 100.0% | $ | 217,855,720 | ||||||
| (a) | Represents a zero coupon bond. Rate shown reflects the effective yield. | |
| (b) | Securities with an aggregate market value of $20,860,937 have been pledged as collateral for purchased swaptions as of June 30, 2023. |
See Notes to Financial Statements.
67
Simplify Interest Rate Hedge ETF
Schedule of Investments (Continued)
June 30, 2023
At June 30, 2023, interest rate swap contracts outstanding were as follows:
Rate Paid by Fund |
Rate Received by the Fund |
Payment Frequency Paid/ received |
Counterparty |
Maturity Date |
Notional Amount |
Fair Value |
Upfront Premium Paid/ (Received) |
Unrealized Appreciation/ (depreciation) |
||||||||||||||||||
| 2.11 | % | 1 day SOFR | Annual/Annual | Morgan Stanley Capital Services LLC | May 15, 2048 | 10,000 | $ | 1,195 | $ | 0 | $ | 1,195 | ||||||||||||||
Summary of Investment Type
| % of | ||||
| Industry | Net Assets | |||
| U.S. Treasury Bills | 54.5 | % | ||
| U.S. Government Obligations | 46.3 | % | ||
| Purchased Swaptions | (3.0 | )% | ||
| Total Investments | 97.8 | % | ||
| Other Assets in Excess of Liabilities | 2.2 | % | ||
| Net Assets | 100.0 | % | ||
See Notes to Financial Statements.
68
Simplify Intermediate Term Treasury Futures Strategy ETF
Schedule of Investments
June 30, 2023
| Principal | Value | |||||||
| U.S. Treasury Bills – 99.3% | ||||||||
| U.S. Treasury Bill, 4.97%, 8/10/2023(a) | $ | 12,150,000 | $ | 12,084,456 | ||||
| U.S. Treasury Bill, 5.10%, 8/15/2023(a) | 4,750,000 | 4,720,989 | ||||||
| U.S. Treasury Bill, 5.28%, 8/29/2023(a) | 8,900,000 | 8,827,346 | ||||||
| U.S. Treasury Bill, 5.37%, 10/3/2023(a) | 27,700,000 | 27,334,717 | ||||||
| Total U.S. Treasury Bills (Cost $52,956,407) | 52,967,508 | |||||||
| Shares | ||||||||
| Money Market Funds – 0.4% | ||||||||
| Fidelity Investments Money Market Treasury Only Portfolio - Class I, 4.81%(b) | ||||||||
| (Cost $207,470) | 207,470 | 207,470 | ||||||
| Total Investments – 99.7% | ||||||||
| (Cost $53,163,877) | $ | 53,174,978 | ||||||
| Other Assets in Excess of Liabilities – 0.3% | 165,619 | |||||||
| Net Assets – 100.0% | $ | 53,340,597 | ||||||
| (a) | Represents a zero coupon bond. Rate shown reflects the effective yield. | |
| (b) | Rate shown reflects the 7-day yield as of June 30, 2023. |
At June 30, 2023, open futures contracts were as follows:
Number of Contracts |
Notional Value |
Expiration Date |
Value/ Unrealized Appreciation (Depreciation) |
||||||||||
| Long position contracts: | |||||||||||||
| U.S. Treasury 10 Year Note | 1,595 | $ | 179,063,672 | 9/20/23 | $ | (2,602,668 | ) | ||||||
Summary of Investment Type
| % of | ||||
| Industry | Net Assets | |||
| U.S. Treasury Bills | 99.3 | % | ||
| Money Market Funds | 0.4 | % | ||
| Total Investments | 99.7 | % | ||
| Other Assets in Excess of Liabilities | 0.3 | % | ||
| Net Assets | 100.0 | % | ||
See Notes to Financial Statements.
69
Simplify Market Neutral Equity Long/Short ETF
Schedule of Investments
June 30, 2023
| Principal | Value | |||||||
| U.S. Treasury Bills – 101.5% | ||||||||
| U.S. Treasury Bill, 5.15%, 8/8/2023(a) | $ | 875,000 | $ | 870,518 | ||||
| U.S. Treasury Bill, 5.25%, 10/3/2023(a) | 3,515,000 | 3,468,647 | ||||||
| Total U.S. Treasury Bills (Cost $4,338,348) | 4,339,165 | |||||||
| Total Investments – 101.5% | ||||||||
| (Cost $4,338,348) | $ | 4,339,165 | ||||||
| Liabilities in Excess of Other Assets – (1.5)% | (64,362 | ) | ||||||
| Net Assets – 100.0% | $ | 4,274,803 | ||||||
| (a) | Represents a zero coupon bond. Rate shown reflects the effective yield. |
At June 30, 2023, over the counter total return swap contracts outstanding were as follows:
Reference Obligation/Index |
Termination Date(a) |
Financing Rate Paid (Received) by the Fund |
Counterparty |
Amount |
Unrealized Appreciation/ (Depreciation)(b) |
|||||||||||
| Morgan Stanley Custom Global Short Equity Index basket* | 7/1/2024 | 4.79 | %(c) | Morgan Stanley Capital Services LLC | 8,689,869 | $ | 6,117 | |||||||||
| Morgan Stanley Custom Global Long Equity Index basket* | 7/1/2024 | 5.43 | %(c) | Morgan Stanley Capital Services LLC | (8,664,697 | ) | (12,006 | ) | ||||||||
| $ | (5,889 | ) | ||||||||||||||
| * | The components of the basket shown below. | |
| (a) | The Fund pays/receives annual coupon payments in accordance with the swap contract. On the termination date of the swap contract(s), the Fund will either receive from or pay to the counterparty an amount equal to the net of the accrued financing fees and the value of the reference security subtracted from the original notional cost (notional multiplied by the price change of the reference security). | |
| (b) | There are no upfront payments on the swap contracts, therefore the unrealized gain (loss) on the swap contracts is equal to their market value. | |
| (c) | Payments made quarterly. |
| * | The following table shows the individual positions and related values of the securities within the Morgan Stanley Custom Global Short Equity Index basket. |
| Shares | Value |
% of basket |
||||||||||
| Common Stocks | ||||||||||||
| Basic Materials | ||||||||||||
| Ecolab, Inc. | (361 | ) | $ | (67,438 | ) | 0.77 | % | |||||
| Freeport-McMoRan, Inc. | (1,134 | ) | (45,339 | ) | 0.52 | % | ||||||
| Ivanhoe Mines Ltd., Class A | (6,280 | ) | (57,421 | ) | 0.65 | % | ||||||
| Wheaton Precious Metals Corp. | (1,123 | ) | (48,632 | ) | 0.55 | % | ||||||
| (218,830 | ) | |||||||||||
| Communications | ||||||||||||
| Charter Communications Inc, Class A | (35 | ) | (13,001 | ) | 0.15 | % | ||||||
| Delivery Hero Se, 144A | (1,971 | ) | (86,897 | ) | 0.99 | % | ||||||
| Dentsu Group, Inc. | (1,958 | ) | (63,917 | ) | 0.73 | % | ||||||
| Grab Holdings Ltd., Class A | (5,293 | ) | (18,149 | ) | 0.21 | % | ||||||
| Hakuhodo Dy Holdings, Inc. | (2,068 | ) | (21,659 | ) | 0.25 | % | ||||||
| Just Eat Takeaway.Com NV, 144A | (1,294 | ) | (19,824 | ) | 0.23 | % | ||||||
| Liberty Media Corp.-Liberty Formula One, Class C | (1,127 | ) | (84,781 | ) | 0.96 | % | ||||||
| Liberty Media Corp.-Liberty Siriusxm, Class C | (2,698 | ) | (88,278 | ) | 1.00 | % | ||||||
See Notes to Financial Statements.
70
Simplify Market Neutral Equity Long/Short ETF
Schedule of Investments (Continued)
June 30, 2023
| Shares | Value | % of basket |
||||||||||
| Common Stocks (continued) | ||||||||||||
| Communications (continued) | ||||||||||||
| Pinterest Inc, Class A | (336 | ) | $ | (9,177 | ) | 0.10 | % | |||||
| Prosus NV | (426 | ) | (31,223 | ) | 0.35 | % | ||||||
| Publicis Groupe SA | (171 | ) | (13,679 | ) | 0.16 | % | ||||||
| Roku, Inc., Class A | (253 | ) | (16,161 | ) | 0.18 | % | ||||||
| Snap Inc, Class A | (2,157 | ) | (25,528 | ) | 0.29 | % | ||||||
| Softbank Group Corp. | (1,747 | ) | (81,952 | ) | 0.93 | % | ||||||
| Telecom Italia Spa/Milano | (45,136 | ) | (12,700 | ) | 0.14 | % | ||||||
| T-Mobile US, Inc. | (624 | ) | (86,651 | ) | 0.99 | % | ||||||
| Uber Technologies, Inc. | (277 | ) | (11,959 | ) | 0.14 | % | ||||||
| Verizon Communications, Inc. | (852 | ) | (31,663 | ) | 0.36 | % | ||||||
| Vivendi Se | (1,561 | ) | (14,325 | ) | 0.16 | % | ||||||
| Walt Disney Co. (The) | (833 | ) | (74,327 | ) | 0.85 | % | ||||||
| Warner Bros Discovery Inc. | (872 | ) | (10,934 | ) | 0.12 | % | ||||||
| Zillow Group Inc, Class C | (255 | ) | (12,820 | ) | 0.15 | % | ||||||
| (829,605 | ) | |||||||||||
| Consumer, Cyclical | ||||||||||||
| Carnival Corp. | (745 | ) | (14,031 | ) | 0.16 | % | ||||||
| Flutter Entertainment PLC | (323 | ) | (64,915 | ) | 0.74 | % | ||||||
| Hasbro, Inc. | (792 | ) | (51,264 | ) | 0.58 | % | ||||||
| Japan Airlines Co. Ltd. | (596 | ) | (12,880 | ) | 0.15 | % | ||||||
| Porsche Automobil Holding Se | (1,181 | ) | (71,079 | ) | 0.81 | % | ||||||
| Sands China Ltd. | (11,288 | ) | (38,444 | ) | 0.44 | % | ||||||
| Seb SA | (185 | ) | (19,076 | ) | 0.22 | % | ||||||
| Sekisui Chemical Co. Ltd. | (709 | ) | (10,173 | ) | 0.11 | % | ||||||
| Swatch Group AG (The) | (295 | ) | (85,947 | ) | 0.98 | % | ||||||
| Toyota Industries Corp. | (1,105 | ) | (78,514 | ) | 0.89 | % | ||||||
| Yamaha Corp. | (1,542 | ) | (58,796 | ) | 0.67 | % | ||||||
| (505,119 | ) | |||||||||||
| Consumer, Non-cyclical | ||||||||||||
| AEON Co. Ltd. | (3,046 | ) | (62,060 | ) | 0.71 | % | ||||||
| Alnylam Pharmaceuticals Inc. | (46 | ) | (8,697 | ) | 0.10 | % | ||||||
| Altria Group, Inc. | (603 | ) | (27,314 | ) | 0.31 | % | ||||||
| Associated British Foods PLC | (349 | ) | (8,845 | ) | 0.10 | % | ||||||
| Bachem Holding AG, Class B | (104 | ) | (9,069 | ) | 0.10 | % | ||||||
| Becton Dickinson & Co. | (252 | ) | (66,439 | ) | 0.76 | % | ||||||
| BIO-RAD Laboratories, Inc., Class A | (44 | ) | (16,637 | ) | 0.19 | % | ||||||
| Block, Inc. | (169 | ) | (11,255 | ) | 0.13 | % | ||||||
| Boston Scientific Corp. | (1,500 | ) | (81,131 | ) | 0.92 | % | ||||||
| British American Tobacco PLC | (277 | ) | (9,186 | ) | 0.10 | % | ||||||
| Campbell Soup Co. | (1,124 | ) | (51,345 | ) | 0.58 | % | ||||||
| Catalent, Inc. | (1,650 | ) | (71,523 | ) | 0.81 | % | ||||||
| Chocoladefabriken Lindt & Spruengli AG | (1 | ) | (8,422 | ) | 0.10 | % | ||||||
| Church & Dwight Co Inc. | (89 | ) | (8,891 | ) | 0.10 | % | ||||||
| Clarivate PLC | (6,288 | ) | (59,904 | ) | 0.68 | % | ||||||
| Coca-Cola Europacific Partners PLC | (957 | ) | (61,622 | ) | 0.70 | % | ||||||
| DAI Nippon Printing Co. Ltd. | (790 | ) | (22,325 | ) | 0.25 | % | ||||||
| Eisai Co. Ltd. | (1,104 | ) | (74,319 | ) | 0.85 | % | ||||||
| Element Fleet Management Corp. | (597 | ) | (9,111 | ) | 0.10 | % | ||||||
| Equifax, Inc. | (371 | ) | (87,228 | ) | 0.99 | % | ||||||
See Notes to Financial Statements.
71
Simplify Market Neutral Equity Long/Short ETF
Schedule of Investments (Continued)
June 30, 2023
| Shares | Value | % of basket |
||||||||||
| Common Stocks (continued) | ||||||||||||
| Consumer, Non-cyclical (continued) | ||||||||||||
| Essilorluxottica SA | (320 | ) | $ | (60,254 | ) | 0.69 | % | |||||
| Exact Sciences Corp. | (868 | ) | (81,497 | ) | 0.93 | % | ||||||
| Fisher & Paykel Healthcare Corp. Ltd. | (578 | ) | (8,686 | ) | 0.10 | % | ||||||
| Fleetcor Technologies, Inc. | (34 | ) | (8,629 | ) | 0.10 | % | ||||||
| Fresenius Medical Care AG & Co. KGAA | (1,792 | ) | (85,612 | ) | 0.97 | % | ||||||
| Grifols SA | (3,688 | ) | (47,250 | ) | 0.54 | % | ||||||
| Haleon PLC | (18,897 | ) | (77,408 | ) | 0.88 | % | ||||||
| Hikma Pharmaceuticals PLC | (1,320 | ) | (31,721 | ) | 0.36 | % | ||||||
| Hormel Foods Corp. | (1,941 | ) | (78,035 | ) | 0.89 | % | ||||||
| J Sainsbury PLC | (2,506 | ) | (8,568 | ) | 0.10 | % | ||||||
| Jde Peet’s NV | (297 | ) | (8,841 | ) | 0.10 | % | ||||||
| Kyowa Kirin Co. Ltd. | (4,213 | ) | (77,730 | ) | 0.89 | % | ||||||
| Lonza Group AG | (143 | ) | (85,002 | ) | 0.97 | % | ||||||
| Merck & Co Inc. | (85 | ) | (9,841 | ) | 0.11 | % | ||||||
| Merck KGAA | (150 | ) | (24,882 | ) | 0.28 | % | ||||||
| Nexi SpA, 144A | (2,955 | ) | (23,164 | ) | 0.26 | % | ||||||
| Ocado Group PLC | (6,262 | ) | (45,214 | ) | 0.51 | % | ||||||
| Pfizer Inc. | (513 | ) | (18,815 | ) | 0.21 | % | ||||||
| Quest Diagnostics, Inc. | (107 | ) | (15,048 | ) | 0.17 | % | ||||||
| Rentokil Initial PLC | (9,611 | ) | (75,131 | ) | 0.86 | % | ||||||
| S&p Global, Inc. | (175 | ) | (70,296 | ) | 0.80 | % | ||||||
| Siemens Healthineers AG, 144A | (211 | ) | (11,969 | ) | 0.14 | % | ||||||
| Stryker Corp. | (28 | ) | (8,505 | ) | 0.10 | % | ||||||
| Teva Pharmaceutical Industries Ltd., ADR | (1,586 | ) | (11,938 | ) | 0.14 | % | ||||||
| Toast Inc, Class A | (653 | ) | (14,734 | ) | 0.17 | % | ||||||
| UCB SA | (576 | ) | (51,010 | ) | 0.58 | % | ||||||
| Wise PLC, Class A | (5,736 | ) | (47,915 | ) | 0.55 | % | ||||||
| Zimmer Biomet Holdings Inc. | (86 | ) | (12,481 | ) | 0.14 | % | ||||||
| (1,855,499 | ) | |||||||||||
| Energy | ||||||||||||
| Baker Hughes Co., Class A | (295 | ) | (9,324 | ) | 0.11 | % | ||||||
| Corp. Acciona Energias Renovables SA | (212 | ) | (7,068 | ) | 0.08 | % | ||||||
| Halliburton Co. | (1,441 | ) | (47,536 | ) | 0.54 | % | ||||||
| Kinder Morgan Inc. | (533 | ) | (9,179 | ) | 0.11 | % | ||||||
| Oneok, Inc. | (134 | ) | (8,263 | ) | 0.09 | % | ||||||
| Schlumberger NV | (1,233 | ) | (60,524 | ) | 0.69 | % | ||||||
| Teck Resources Ltd., Class B | (228 | ) | (9,619 | ) | 0.11 | % | ||||||
| (151,513 | ) | |||||||||||
| Financial | ||||||||||||
| Admiral Group PLC | (395 | ) | (10,442 | ) | 0.12 | % | ||||||
| Apollo Global Management, Inc. | (95 | ) | (7,320 | ) | 0.08 | % | ||||||
| AvalonBay Communities, Inc. | (332 | ) | (62,907 | ) | 0.72 | % | ||||||
| Azrieli Group Ltd. | (222 | ) | (12,433 | ) | 0.14 | % | ||||||
| Baloise Holding AG | (183 | ) | (26,822 | ) | 0.31 | % | ||||||
| Bank of Montreal | (88 | ) | (7,926 | ) | 0.09 | % | ||||||
| Bank of New York Mellon Corp. (The) | (168 | ) | (7,461 | ) | 0.09 | % | ||||||
| Bank of Nova Scotia (The) | (442 | ) | (22,147 | ) | 0.25 | % | ||||||
| Banque Cantonale Vaudoise | (288 | ) | (30,457 | ) | 0.35 | % | ||||||
| Boston Properties, Inc. | (197 | ) | (11,366 | ) | 0.13 | % | ||||||
See Notes to Financial Statements.
72
Simplify Market Neutral Equity Long/Short ETF
Schedule of Investments (Continued)
June 30, 2023
| Shares | Value | % of basket |
||||||||||
| Common Stocks (continued) | ||||||||||||
| Financial (continued) | ||||||||||||
| Canadian Imperial Bank of Commerce | (731 | ) | $ | (31,259 | ) | 0.36 | % | |||||
| Charles Schwab Corp. (The) | (126 | ) | (7,126 | ) | 0.08 | % | ||||||
| Chiba Bank Ltd. (The) | (8,242 | ) | (49,883 | ) | 0.57 | % | ||||||
| Citigroup, Inc. | (167 | ) | (7,669 | ) | 0.09 | % | ||||||
| Citizens Financial Group, Inc. | (2,607 | ) | (67,964 | ) | 0.77 | % | ||||||
| Commerzbank AG | (781 | ) | (8,651 | ) | 0.10 | % | ||||||
| Covivio SA/France | (186 | ) | (8,745 | ) | 0.10 | % | ||||||
| Deutsche Boerse AG | (378 | ) | (69,751 | ) | 0.79 | % | ||||||
| Equinix, Inc. | (31 | ) | (24,460 | ) | 0.28 | % | ||||||
| Fastighets AB Balder, Class B | (3,019 | ) | (11,020 | ) | 0.13 | % | ||||||
| Fifth Third Bancorp | (3,123 | ) | (81,830 | ) | 0.93 | % | ||||||
| First Horizon Corp. | (1,275 | ) | (14,363 | ) | 0.16 | % | ||||||
| Gecina SA | (82 | ) | (8,745 | ) | 0.10 | % | ||||||
| GPT Group (The) | (18,434 | ) | (50,874 | ) | 0.58 | % | ||||||
| Hang Lung Properties Ltd. | (13,767 | ) | (21,250 | ) | 0.24 | % | ||||||
| Huntington Bancshares, Inc./Oh | (7,646 | ) | (82,391 | ) | 0.94 | % | ||||||
| Intercontinental Exchange, Inc. | (638 | ) | (72,126 | ) | 0.82 | % | ||||||
| Invesco Ltd. | (3,745 | ) | (62,934 | ) | 0.72 | % | ||||||
| Iron Mountain, Inc. | (420 | ) | (23,840 | ) | 0.27 | % | ||||||
| Japan Post Bank Co. Ltd. | (8,683 | ) | (67,599 | ) | 0.77 | % | ||||||
| Julius Baer Group Ltd. | (393 | ) | (24,728 | ) | 0.28 | % | ||||||
| KBC Group NV | (545 | ) | (38,047 | ) | 0.43 | % | ||||||
| KeyCorp. | (8,726 | ) | (80,593 | ) | 0.92 | % | ||||||
| Klepierre SA | (3,118 | ) | (77,324 | ) | 0.88 | % | ||||||
| Leg Immobilien Se | (772 | ) | (44,380 | ) | 0.51 | % | ||||||
| London Stock Exchange Group PLC | (699 | ) | (74,339 | ) | 0.85 | % | ||||||
| M&T Bank Corp. | (67 | ) | (8,307 | ) | 0.09 | % | ||||||
| Markel Group, Inc. | (9 | ) | (12,140 | ) | 0.14 | % | ||||||
| MetLife, Inc. | (134 | ) | (7,560 | ) | 0.09 | % | ||||||
| Mirvac Group, Class REIT | (47,087 | ) | (70,941 | ) | 0.81 | % | ||||||
| Mitsubishi Estate Co. Ltd. | (788 | ) | (9,333 | ) | 0.11 | % | ||||||
| Mizuho Financial Group, Inc. | (5,267 | ) | (80,222 | ) | 0.91 | % | ||||||
| National Bank of Canada | (477 | ) | (35,599 | ) | 0.41 | % | ||||||
| Nippon Building Fund, Inc., Class REIT | (19 | ) | (73,276 | ) | 0.83 | % | ||||||
| Nn Group NV | (317 | ) | (11,734 | ) | 0.13 | % | ||||||
| Northern Trust Corp. | (99 | ) | (7,355 | ) | 0.08 | % | ||||||
| PNC Financial Services Group, Inc. (The) | (454 | ) | (57,183 | ) | 0.65 | % | ||||||
| QBE Insurance Group Ltd. | (8,434 | ) | (88,098 | ) | 1.00 | % | ||||||
| Regions Financial Corp. | (829 | ) | (14,774 | ) | 0.17 | % | ||||||
| Resona Holdings, Inc. | (15,163 | ) | (72,494 | ) | 0.83 | % | ||||||
| Royal Bank of Canada | (87 | ) | (8,289 | ) | 0.09 | % | ||||||
| Sampo OYJ, Class A | (631 | ) | (28,297 | ) | 0.32 | % | ||||||
| Segro PLC | (6,164 | ) | (56,159 | ) | 0.64 | % | ||||||
| Standard Chartered PLC | (1,060 | ) | (9,201 | ) | 0.10 | % | ||||||
| Sumitomo Mitsui Financial Group, Inc. | (208 | ) | (8,882 | ) | 0.10 | % | ||||||
| Sun Life Financial, Inc. | (797 | ) | (41,591 | ) | 0.47 | % | ||||||
| Swedbank AB, Class A | (539 | ) | (9,086 | ) | 0.10 | % | ||||||
| Swire Properties Ltd. | (3,389 | ) | (8,326 | ) | 0.10 | % | ||||||
| T&D Holdings, Inc. | (5,917 | ) | (86,283 | ) | 0.98 | % | ||||||
See Notes to Financial Statements.
73
Simplify Market Neutral Equity Long/Short ETF
Schedule of Investments (Continued)
June 30, 2023
| Shares | Value | % of basket |
||||||||||
| Common Stocks (continued) | ||||||||||||
| Financial (continued) | ||||||||||||
| Tmx Group Ltd. | (1,272 | ) | $ | (28,644 | ) | 0.33 | % | |||||
| Toronto-Dominion Bank (The) | (1,133 | ) | (70,325 | ) | 0.80 | % | ||||||
| Truist Financial Corp. | (791 | ) | (23,991 | ) | 0.27 | % | ||||||
| US Bancorp | (276 | ) | (9,111 | ) | 0.10 | % | ||||||
| Vicinity Ltd. | (7,278 | ) | (8,951 | ) | 0.10 | % | ||||||
| Vonovia Se | (569 | ) | (11,109 | ) | 0.13 | % | ||||||
| Washington H Soul Pattinson & Co. Ltd. | (638 | ) | (13,522 | ) | 0.15 | % | ||||||
| Webster Financial Corp. | (1,730 | ) | (65,272 | ) | 0.74 | % | ||||||
| Welltower, Inc. | (111 | ) | (8,994 | ) | 0.10 | % | ||||||
| Wharf Real Estate Investment Co. Ltd. | (6,505 | ) | (32,487 | ) | 0.37 | % | ||||||
| Willis Towers Watson PLC | (290 | ) | (68,244 | ) | 0.78 | % | ||||||
| Zurich Insurance Group AG | (25 | ) | (11,755 | ) | 0.13 | % | ||||||
| (2,468,707 | ) | |||||||||||
| Industrial | ||||||||||||
| Alstom SA | (1,856 | ) | (55,328 | ) | 0.63 | % | ||||||
| Ball Corp. | (165 | ) | (9,628 | ) | 0.11 | % | ||||||
| Canadian Pacific Kansas City Ltd. | (1,054 | ) | (85,251 | ) | 0.97 | % | ||||||
| Carlisle Cos., Inc. | (201 | ) | (51,650 | ) | 0.59 | % | ||||||
| Cellnex Telecom SA, 144A | (2,174 | ) | (87,763 | ) | 1.00 | % | ||||||
| Central Japan Railway Co. | (139 | ) | (17,386 | ) | 0.20 | % | ||||||
| Fortive Corp. | (1,177 | ) | (87,969 | ) | 1.00 | % | ||||||
| Generac Holdings Inc. | (118 | ) | (17,603 | ) | 0.20 | % | ||||||
| Hitachi Ltd. | (474 | ) | (29,181 | ) | 0.33 | % | ||||||
| Holcim AG | (1,034 | ) | (69,528 | ) | 0.79 | % | ||||||
| Ibiden Co. Ltd. | (1,216 | ) | (68,211 | ) | 0.78 | % | ||||||
| Martin Marietta Materials, Inc. | (180 | ) | (83,166 | ) | 0.95 | % | ||||||
| Nordson Corp. | (235 | ) | (58,330 | ) | 0.67 | % | ||||||
| Obayashi Corp. | (9,670 | ) | (83,316 | ) | 0.95 | % | ||||||
| Old Dominion Freight Line, Inc. | (153 | ) | (56,546 | ) | 0.64 | % | ||||||
| Schneider Electric Se | (300 | ) | (54,530 | ) | 0.62 | % | ||||||
| Svenska Cellulosa AB Sca, Class B | (1,988 | ) | (25,333 | ) | 0.29 | % | ||||||
| Taisei Corp. | (2,484 | ) | (86,385 | ) | 0.98 | % | ||||||
| Tfi International, Inc. | (662 | ) | (75,466 | ) | 0.86 | % | ||||||
| Toro Co. (The) | (392 | ) | (39,859 | ) | 0.45 | % | ||||||
| Trimble, Inc. | (1,013 | ) | (53,609 | ) | 0.61 | % | ||||||
| (1,196,038 | ) | |||||||||||
| Technology | ||||||||||||
| Analog Devices, Inc. | (42 | ) | (8,177 | ) | 0.09 | % | ||||||
| Bentley Systems Inc, Class B | (1,284 | ) | (69,625 | ) | 0.79 | % | ||||||
| Bill Holdings, Inc. | (733 | ) | (85,590 | ) | 0.97 | % | ||||||
| Black Knight, Inc. | (1,468 | ) | (87,624 | ) | 1.00 | % | ||||||
| Ceridian Hcm Holding, Inc. | (263 | ) | (17,590 | ) | 0.20 | % | ||||||
| Computershare Ltd. | (4,326 | ) | (67,420 | ) | 0.77 | % | ||||||
| Cyberark Software Ltd. | (69 | ) | (10,714 | ) | 0.12 | % | ||||||
| Fiserv, Inc. | (76 | ) | (9,589 | ) | 0.11 | % | ||||||
| Ricoh Co. Ltd. | (2,794 | ) | (23,657 | ) | 0.27 | % | ||||||
| ROBLOX Corp, Class A | (436 | ) | (17,552 | ) | 0.20 | % | ||||||
| Roper Technologies, Inc. | (133 | ) | (63,791 | ) | 0.73 | % | ||||||
| Sage Group PLC (The) | (803 | ) | (9,438 | ) | 0.11 | % | ||||||
See Notes to Financial Statements.
74
Simplify Market Neutral Equity Long/Short ETF
Schedule of Investments (Continued)
June 30, 2023
| Shares | Value | % of basket |
||||||||||
| Common Stocks (continued) | ||||||||||||
| Technology (continued) | ||||||||||||
| Snowflake Inc, Class A | (53 | ) | $ | (9,382 | ) | 0.11 | % | |||||
| Square Enix Holdings Co. Ltd. | (528 | ) | (24,476 | ) | 0.28 | % | ||||||
| SS&C Technologies Holdings Inc. | (416 | ) | (25,191 | ) | 0.29 | % | ||||||
| Take-Two Interactive Software, Inc. | (582 | ) | (85,652 | ) | 0.97 | % | ||||||
| Teleperformance | (447 | ) | (74,828 | ) | 0.85 | % | ||||||
| Twilio Inc, Class A | (177 | ) | (11,225 | ) | 0.13 | % | ||||||
| Zebra Technologies Corp., Class A | (58 | ) | (17,015 | ) | 0.19 | % | ||||||
| (718,536 | ) | |||||||||||
| Utilities | ||||||||||||
| Alliant Energy Corp. | (1,182 | ) | (62,005 | ) | 0.71 | % | ||||||
| American Water Works Co Inc. | (79 | ) | (11,315 | ) | 0.13 | % | ||||||
| Atmos Energy Corp. | (275 | ) | (31,992 | ) | 0.36 | % | ||||||
| Bkw AG | (209 | ) | (36,889 | ) | 0.42 | % | ||||||
| CMS Energy Corp. | (323 | ) | (18,988 | ) | 0.22 | % | ||||||
| Constellation Energy Corp. | (119 | ) | (10,904 | ) | 0.12 | % | ||||||
| Dominion Energy Inc. | (627 | ) | (32,445 | ) | 0.37 | % | ||||||
| Duke Energy Corp. | (876 | ) | (78,612 | ) | 0.89 | % | ||||||
| Edison International | (103 | ) | (7,148 | ) | 0.08 | % | ||||||
| Endesa SA | (328 | ) | (7,033 | ) | 0.08 | % | ||||||
| Entergy Corp. | (276 | ) | (26,837 | ) | 0.31 | % | ||||||
| Essential Utilities Inc. | (694 | ) | (27,702 | ) | 0.32 | % | ||||||
| Eversource Energy | (109 | ) | (7,699 | ) | 0.09 | % | ||||||
| Exelon Corp. | (673 | ) | (27,412 | ) | 0.31 | % | ||||||
| Fortis, Inc./Canada | (525 | ) | (22,659 | ) | 0.26 | % | ||||||
| Hydro One Ltd., 144A | (289 | ) | (8,269 | ) | 0.09 | % | ||||||
| National Grid PLC | (1,119 | ) | (14,795 | ) | 0.17 | % | ||||||
| Nextera Energy, Inc. | (1,179 | ) | (87,414 | ) | 1.00 | % | ||||||
| Orsted As, 144A | (214 | ) | (20,248 | ) | 0.23 | % | ||||||
| PG&E Corp. | (964 | ) | (16,653 | ) | 0.19 | % | ||||||
| Public Service Enterprise Group Inc. | (1,255 | ) | (78,557 | ) | 0.89 | % | ||||||
| Southern Co. (The) | (1,194 | ) | (83,818 | ) | 0.95 | % | ||||||
| Wec Energy Group, Inc. | (758 | ) | (66,825 | ) | 0.76 | % | ||||||
| Xcel Energy Inc. | (883 | ) | (54,855 | ) | 0.62 | % | ||||||
| (841,074 | ) | |||||||||||
| Total | $ | (8,784,921 | ) | 100.00 | % | |||||||
| * | The following table shows the individual positions and related values of the securities within the Morgan Stanley Custom Global Long Equity Index basket. |
| Shares | Value | % of basket |
||||||||||
| Common Stocks | ||||||||||||
| Basic Materials | ||||||||||||
| Arcelormittal SA | 3,145 | $ | 85,552 | 0.98 | % | |||||||
| BASF Se | 397 | 19,257 | 0.22 | % | ||||||||
| CF Industries Holdings, Inc. | 370 | 25,682 | 0.29 | % | ||||||||
| Clariant AG | 2,665 | 38,463 | 0.44 | % | ||||||||
| Endeavour Mining PLC | 1,691 | 40,521 | 0.46 | % | ||||||||
| Icl Group Ltd. | 8,014 | 43,386 | 0.49 | % | ||||||||
| JFE Holdings, Inc. | 863 | 12,253 | 0.14 | % | ||||||||
See Notes to Financial Statements.
75
Simplify Market Neutral Equity Long/Short ETF
Schedule of Investments (Continued)
June 30, 2023
| Shares | Value | % of basket |
||||||||||
| Common Stocks (continued) | ||||||||||||
| Basic Materials (continued) | ||||||||||||
| Mosaic Co. (The) | 1,742 | $ | 60,922 | 0.70 | % | |||||||
| Nippon Steel Corp. | 362 | 7,529 | 0.09 | % | ||||||||
| Novozymes A/S, Class B | 231 | 10,752 | 0.12 | % | ||||||||
| Shin-Etsu Chemical Co. Ltd. | 766 | 25,303 | 0.29 | % | ||||||||
| Smurfit Kappa Group PLC | 1,388 | 46,241 | 0.53 | % | ||||||||
| South32 Ltd. | 3,616 | 9,063 | 0.10 | % | ||||||||
| Steel Dynamics, Inc. | 122 | 13,228 | 0.15 | % | ||||||||
| 438,152 | ||||||||||||
| Communications | ||||||||||||
| Amazon.com, Inc. | 61 | 7,949 | 0.09 | % | ||||||||
| Arista Networks, Inc. | 66 | 10,635 | 0.12 | % | ||||||||
| Booking Holdings, Inc. | 4 | 11,141 | 0.13 | % | ||||||||
| Chewy, Inc., Class A | 1,953 | 77,060 | 0.88 | % | ||||||||
| Cisco Systems, Inc. | 167 | 8,642 | 0.10 | % | ||||||||
| Etsy, Inc. | 220 | 18,601 | 0.21 | % | ||||||||
| F5 Inc. | 58 | 8,471 | 0.10 | % | ||||||||
| FactSet Research Systems, Inc. | 28 | 11,287 | 0.13 | % | ||||||||
| Interpublic Group of Cos., Inc. (The) | 1,783 | 68,769 | 0.78 | % | ||||||||
| Juniper Networks Inc. | 2,626 | 82,238 | 0.94 | % | ||||||||
| Mercadolibre, Inc. | 56 | 66,211 | 0.76 | % | ||||||||
| Monotaro Co. Ltd. | 5,426 | 68,494 | 0.78 | % | ||||||||
| Motorola Solutions, Inc. | 223 | 65,420 | 0.75 | % | ||||||||
| Omnicom Group, Inc. | 599 | 56,981 | 0.65 | % | ||||||||
| Spark New Zealand Ltd. | 3,523 | 11,003 | 0.12 | % | ||||||||
| 572,902 | ||||||||||||
| Consumer, Cyclical | ||||||||||||
| Alimentation Couche-Tard, Inc. | 1,308 | 67,103 | 0.77 | % | ||||||||
| Aristocrat Leisure Ltd. | 2,070 | 53,343 | 0.61 | % | ||||||||
| Autozone, Inc. | 9 | 22,434 | 0.26 | % | ||||||||
| Barratt Developments PLC | 13,044 | 68,549 | 0.78 | % | ||||||||
| Bath & Body Works Inc. | 2,295 | 86,013 | 0.98 | % | ||||||||
| Bayerische Motoren Werke AG | 473 | 58,042 | 0.66 | % | ||||||||
| Bridgestone Corp. | 2,000 | 81,583 | 0.93 | % | ||||||||
| Continental AG | 116 | 8,763 | 0.10 | % | ||||||||
| Darden Restaurants, Inc. | 48 | 8,069 | 0.09 | % | ||||||||
| Delta Air Lines, Inc. | 1,098 | 52,179 | 0.60 | % | ||||||||
| Dick’s Sporting Goods, Inc. | 581 | 76,816 | 0.88 | % | ||||||||
| Dollarama, Inc. | 988 | 66,982 | 0.77 | % | ||||||||
| Domino’s Pizza, Inc. | 52 | 17,358 | 0.20 | % | ||||||||
| Evolution AB, 144A | 669 | 84,706 | 0.97 | % | ||||||||
| Fast Retailing Co. Ltd. | 331 | 84,218 | 0.96 | % | ||||||||
| Ferguson PLC | 157 | 24,631 | 0.28 | % | ||||||||
| Ferrari NV | 52 | 17,087 | 0.20 | % | ||||||||
| Gildan Activewear, Inc., Class A | 238 | 7,691 | 0.09 | % | ||||||||
| Hermes International | 13 | 29,144 | 0.33 | % | ||||||||
| Hilton Worldwide Holdings Inc. | 225 | 32,672 | 0.37 | % | ||||||||
| Isuzu Motors Ltd. | 4,880 | 58,804 | 0.67 | % | ||||||||
| Koito Manufacturing Co. Ltd. | 425 | 7,631 | 0.09 | % | ||||||||
| Lear Corp. | 206 | 29,617 | 0.34 | % | ||||||||
See Notes to Financial Statements.
76
Simplify Market Neutral Equity Long/Short ETF
Schedule of Investments (Continued)
June 30, 2023
| Shares | Value | % of basket |
||||||||||
| Common Stocks (continued) | ||||||||||||
| Consumer, Cyclical (continued) | ||||||||||||
| Lululemon Athletica Inc. | 222 | $ | 84,009 | 0.96 | % | |||||||
| Magna International, Inc. | 1,451 | 82,009 | 0.94 | % | ||||||||
| Marriott International, Inc./Md, Class A | 179 | 32,777 | 0.37 | % | ||||||||
| MGM Resorts International | 986 | 43,260 | 0.49 | % | ||||||||
| NGK Insulators Ltd. | 3,133 | 37,182 | 0.42 | % | ||||||||
| Nike, Inc., Class B | 675 | 74,455 | 0.85 | % | ||||||||
| Nissan Motor Co. Ltd. | 12,988 | 52,902 | 0.60 | % | ||||||||
| Open House Group Co. Ltd. | 1,385 | 49,547 | 0.57 | % | ||||||||
| O’reilly Automotive, Inc. | 92 | 88,025 | 1.01 | % | ||||||||
| Persimmon PLC | 3,934 | 51,279 | 0.59 | % | ||||||||
| Pultegroup, Inc. | 263 | 20,432 | 0.23 | % | ||||||||
| Qantas Airways Ltd. | 4,666 | 19,280 | 0.22 | % | ||||||||
| Ross Stores, Inc. | 72 | 8,124 | 0.09 | % | ||||||||
| Sekisui House Ltd. | 345 | 6,946 | 0.08 | % | ||||||||
| Target Corp. | 298 | 39,327 | 0.45 | % | ||||||||
| Taylor Wimpey PLC | 39,946 | 52,164 | 0.60 | % | ||||||||
| Tractor Supply Co. | 382 | 84,490 | 0.97 | % | ||||||||
| Volvo AB, Class B | 564 | 11,663 | 0.13 | % | ||||||||
| Wesfarmers Ltd. | 355 | 11,685 | 0.13 | % | ||||||||
| Whirlpool Corp. | 96 | 14,284 | 0.16 | % | ||||||||
| Wynn Resorts Ltd. | 109 | 11,517 | 0.13 | % | ||||||||
| 1,918,792 | ||||||||||||
| Consumer, Non-cyclical | ||||||||||||
| Adecco Group AG | 1,987 | 64,882 | 0.74 | % | ||||||||
| Automatic Data Processing, Inc. | 381 | 83,631 | 0.95 | % | ||||||||
| Bio-Techne Corp. | 102 | 8,341 | 0.10 | % | ||||||||
| Cardinal Health Inc. | 925 | 87,452 | 1.00 | % | ||||||||
| Charles River Laboratories International Inc. | 55 | 11,644 | 0.13 | % | ||||||||
| Ck Hutchison Holdings Ltd. | 11,548 | 70,472 | 0.80 | % | ||||||||
| Coca-Cola Hbc AG | 2,453 | 73,096 | 0.83 | % | ||||||||
| DENTSPLY Sirona, Inc. | 629 | 25,166 | 0.29 | % | ||||||||
| Empire Co. Ltd., Class Common Subscription Receipt | 709 | 20,155 | 0.23 | % | ||||||||
| Essity AB, Class B | 3,295 | 87,702 | 1.00 | % | ||||||||
| Gartner, Inc. | 182 | 63,728 | 0.73 | % | ||||||||
| George Weston Ltd. | 556 | 65,824 | 0.75 | % | ||||||||
| Getinge AB, Class B | 501 | 8,775 | 0.10 | % | ||||||||
| Hershey Co. (The) | 343 | 85,522 | 0.98 | % | ||||||||
| Hologic, Inc. | 368 | 29,758 | 0.34 | % | ||||||||
| Incyte Corp. | 936 | 58,263 | 0.67 | % | ||||||||
| Johnson & Johnson | 147 | 24,378 | 0.28 | % | ||||||||
| Kirin Holdings Co. Ltd. | 3,378 | 49,152 | 0.56 | % | ||||||||
| Kobe Bussan Co. Ltd. | 2,472 | 63,781 | 0.73 | % | ||||||||
| Lamb Weston Holdings, Inc. | 704 | 80,856 | 0.92 | % | ||||||||
| Lifco AB, Class B | 1,230 | 26,726 | 0.31 | % | ||||||||
| Loblaw Cos. Ltd. | 292 | 26,725 | 0.31 | % | ||||||||
| Metro, Inc./CN, Class A | 1,556 | 87,950 | 1.00 | % | ||||||||
| Nippon Shinyaku Co. Ltd. | 176 | 7,149 | 0.08 | % | ||||||||
| Nisshin Seifun Group, Inc. | 1,418 | 17,473 | 0.20 | % | ||||||||
| NOVO Nordisk A/S, Class B | 175 | 28,145 | 0.32 | % | ||||||||
See Notes to Financial Statements.
77
Simplify Market Neutral Equity Long/Short ETF
Schedule of Investments (Continued)
June 30, 2023
| Shares | Value | % of basket |
||||||||||
| Common Stocks (continued) | ||||||||||||
| Consumer, Non-cyclical (continued) | ||||||||||||
| Orion OYJ, Class B | 820 | $ | 34,017 | 0.39 | % | |||||||
| Paylocity Holding Corp. | 377 | 69,510 | 0.79 | % | ||||||||
| Persol Holdings Co. Ltd. | 2,980 | 53,425 | 0.61 | % | ||||||||
| Reckitt Benckiser Group PLC | 200 | 15,046 | 0.17 | % | ||||||||
| ResMed Inc. | 381 | 83,199 | 0.95 | % | ||||||||
| Robert Half International, Inc. | 119 | 8,913 | 0.10 | % | ||||||||
| Shionogi & Co. Ltd. | 334 | 14,060 | 0.16 | % | ||||||||
| Tesco PLC | 22,657 | 71,526 | 0.82 | % | ||||||||
| Unicharm Corp. | 303 | 11,220 | 0.13 | % | ||||||||
| Unilever PLC, ADR | 1,388 | 72,266 | 0.83 | % | ||||||||
| Verisk Analytics, Inc., Class A | 35 | 7,879 | 0.09 | % | ||||||||
| Waters Corp. | 299 | 79,716 | 0.91 | % | ||||||||
| Yakult Honsha Co. Ltd. | 507 | 31,996 | 0.37 | % | ||||||||
| 1,809,519 | ||||||||||||
| Diversified | ||||||||||||
| Jardine Matheson Holdings Ltd. | 203 | 10,290 | 0.12 | % | ||||||||
| Energy | ||||||||||||
| Ampol Ltd. | 2,215 | 44,204 | 0.50 | % | ||||||||
| Apa Corp. | 1,796 | 61,329 | 0.70 | % | ||||||||
| BP PLC | 2,242 | 13,063 | 0.15 | % | ||||||||
| Coterra Energy, Inc. | 2,413 | 61,006 | 0.70 | % | ||||||||
| Eneos Holdings, Inc. | 10,854 | 37,160 | 0.42 | % | ||||||||
| Enphase Energy, Inc. | 127 | 21,233 | 0.24 | % | ||||||||
| Hf Sinclair Corp. | 507 | 22,594 | 0.26 | % | ||||||||
| Idemitsu Kosan Co. Ltd. | 790 | 15,791 | 0.18 | % | ||||||||
| Neste OYJ | 1,798 | 69,201 | 0.79 | % | ||||||||
| Shell PLC | 2,226 | 66,260 | 0.76 | % | ||||||||
| Valero Energy Corp. | 81 | 9,464 | 0.11 | % | ||||||||
| 421,305 | ||||||||||||
| Financial | ||||||||||||
| Allstate Corp. (The) | 765 | 83,361 | 0.95 | % | ||||||||
| American Financial Group, Inc./Oh | 104 | 12,390 | 0.14 | % | ||||||||
| Assurant, Inc. | 94 | 11,834 | 0.13 | % | ||||||||
| Camden Property Trust | 73 | 7,973 | 0.09 | % | ||||||||
| Cincinnati Financial Corp. | 835 | 81,184 | 0.93 | % | ||||||||
| Credit Agricole SA | 6,875 | 81,567 | 0.93 | % | ||||||||
| Erie Indemnity Co, Class A | 316 | 66,333 | 0.76 | % | ||||||||
| Fairfax Financial Holdings Ltd. | 74 | 55,680 | 0.64 | % | ||||||||
| Firstservice Corp. | 229 | 35,276 | 0.40 | % | ||||||||
| Hargreaves Lansdown PLC | 1,044 | 10,821 | 0.12 | % | ||||||||
| Healthpeak Properties Inc. | 1,422 | 28,572 | 0.33 | % | ||||||||
| Host Hotels & Resorts, Inc., Class REIT | 4,661 | 78,396 | 0.90 | % | ||||||||
| Kinnevik AB, Class B | 827 | 11,460 | 0.13 | % | ||||||||
| Natwest Group PLC | 2,875 | 8,800 | 0.10 | % | ||||||||
| Onex Corp. | 437 | 24,168 | 0.28 | % | ||||||||
| Tradeweb Markets, Inc., Class A | 138 | 9,426 | 0.11 | % | ||||||||
| 607,241 | ||||||||||||
See Notes to Financial Statements.
78
Simplify Market Neutral Equity Long/Short ETF
Schedule of Investments (Continued)
June 30, 2023
| Shares | Value | % of basket |
||||||||||
| Common Stocks (continued) | ||||||||||||
| Industrial | ||||||||||||
| ACS Actividades de Construccion y Servicios SA | 1,013 | $ | 35,557 | 0.41 | % | |||||||
| ALFA Laval AB | 747 | 27,227 | 0.31 | % | ||||||||
| Amcor PLC | 769 | 7,666 | 0.09 | % | ||||||||
| AP Moller - Maersk A/S, Class A | 27 | 47,221 | 0.54 | % | ||||||||
| AP Moller - Maersk A/S, Class B | 47 | 81,722 | 0.93 | % | ||||||||
| Beijer Ref AB, Class B | 3,486 | 44,474 | 0.51 | % | ||||||||
| Builders FirstSource, Inc. | 59 | 8,029 | 0.09 | % | ||||||||
| Ccl Industries, Inc., Class B | 235 | 11,570 | 0.13 | % | ||||||||
| Crown Holdings Inc. | 272 | 23,584 | 0.27 | % | ||||||||
| Dhl Group | 1,646 | 80,346 | 0.92 | % | ||||||||
| Eiffage SA | 613 | 63,960 | 0.73 | % | ||||||||
| Fanuc Corp. | 1,892 | 65,927 | 0.75 | % | ||||||||
| Garmin Ltd. | 561 | 58,485 | 0.67 | % | ||||||||
| General Electric Co. | 83 | 9,090 | 0.10 | % | ||||||||
| Hoya Corp. | 77 | 9,091 | 0.10 | % | ||||||||
| Indutrade AB | 482 | 10,846 | 0.12 | % | ||||||||
| James Hardie Industries PLC | 2,655 | 70,343 | 0.80 | % | ||||||||
| KEIO Corp. | 761 | 23,850 | 0.27 | % | ||||||||
| Keysight Technologies, Inc. | 129 | 21,580 | 0.25 | % | ||||||||
| Komatsu Ltd. | 887 | 23,831 | 0.27 | % | ||||||||
| Kone OYJ, Class B | 1,638 | 85,498 | 0.98 | % | ||||||||
| Lixil Corp. | 1,863 | 23,530 | 0.27 | % | ||||||||
| Masco Corp. | 383 | 21,954 | 0.25 | % | ||||||||
| Mettler-Toledo International Inc. | 58 | 75,849 | 0.87 | % | ||||||||
| Mohawk Industries, Inc. | 156 | 16,067 | 0.18 | % | ||||||||
| Nibe Industrier AB, Class B | 8,946 | 84,937 | 0.97 | % | ||||||||
| Nippon Express Holdings, Inc. | 1,334 | 74,872 | 0.86 | % | ||||||||
| Orica Ltd. | 3,093 | 30,568 | 0.35 | % | ||||||||
| Owens Corning | 542 | 70,692 | 0.81 | % | ||||||||
| Packaging Corp. of America | 60 | 7,958 | 0.09 | % | ||||||||
| Rockwool A/S, Class B | 55 | 14,127 | 0.16 | % | ||||||||
| Saab AB, Class B | 1,049 | 56,721 | 0.65 | % | ||||||||
| Schindler Holding AG | 53 | 12,314 | 0.14 | % | ||||||||
| Sensata Technologies Holding PLC | 197 | 8,866 | 0.10 | % | ||||||||
| Siemens AG | 116 | 19,300 | 0.22 | % | ||||||||
| Skanska AB, Class B | 521 | 7,299 | 0.08 | % | ||||||||
| SKF AB, Class B | 1,851 | 32,192 | 0.37 | % | ||||||||
| Smiths Group PLC | 2,489 | 51,999 | 0.60 | % | ||||||||
| Toshiba Corp. | 2,131 | 66,649 | 0.76 | % | ||||||||
| Toto Ltd. | 798 | 23,898 | 0.27 | % | ||||||||
| Xylem, Inc./NY | 76 | 8,571 | 0.10 | % | ||||||||
| 1,518,260 | ||||||||||||
| Technology | ||||||||||||
| Accenture PLC, Class A | 30 | 9,386 | 0.11 | % | ||||||||
| Akamai Technologies Inc. | 253 | 22,683 | 0.26 | % | ||||||||
| Applied Materials, Inc. | 605 | 87,354 | 1.00 | % | ||||||||
| Atlassian Corp., Class A | 60 | 10,090 | 0.11 | % | ||||||||
| Bechtle AG | 503 | 19,938 | 0.23 | % | ||||||||
| Capcom Co. Ltd. | 1,307 | 51,563 | 0.59 | % | ||||||||
See Notes to Financial Statements.
79
Simplify Market Neutral Equity Long/Short ETF
Schedule of Investments (Continued)
June 30, 2023
| Shares | Value | % of basket |
||||||||||
| Common Stocks (continued) | ||||||||||||
| Technology (continued) | ||||||||||||
| Crowdstrike Holdings, Inc., Class A | 362 | $ | 53,207 | 0.61 | % | |||||||
| Dropbox Inc, Class A | 3,267 | 87,072 | 0.99 | % | ||||||||
| Epam Systems, Inc. | 44 | 9,934 | 0.11 | % | ||||||||
| HP, Inc. | 2,448 | 75,141 | 0.86 | % | ||||||||
| KLA Corp. | 32 | 15,674 | 0.18 | % | ||||||||
| Lam Research Corp. | 73 | 47,006 | 0.54 | % | ||||||||
| Monolithic Power Systems, Inc. | 21 | 11,503 | 0.13 | % | ||||||||
| MSCI, Inc., Class A | 21 | 9,698 | 0.11 | % | ||||||||
| Netapp, Inc. | 116 | 8,867 | 0.10 | % | ||||||||
| NVIDIA Corp. | 54 | 23,015 | 0.26 | % | ||||||||
| OBIC Co. Ltd. | 49 | 7,742 | 0.09 | % | ||||||||
| Paychex, Inc. | 560 | 62,660 | 0.71 | % | ||||||||
| Paycom Software, Inc. | 120 | 38,513 | 0.44 | % | ||||||||
| Qorvo, Inc. | 83 | 8,449 | 0.10 | % | ||||||||
| QWALCOMM, Inc. | 721 | 85,735 | 0.98 | % | ||||||||
| Seagate Technology Holdings PLC | 185 | 11,450 | 0.13 | % | ||||||||
| Texas Instruments, Inc. | 230 | 41,399 | 0.47 | % | ||||||||
| Tokyo Electron Ltd. | 448 | 63,750 | 0.73 | % | ||||||||
| Veeva Systems Inc, Class A | 116 | 22,918 | 0.26 | % | ||||||||
| Wisetech Global Ltd. | 591 | 31,412 | 0.36 | % | ||||||||
| Zoom Video Communications, Inc., Class A | 309 | 20,987 | 0.24 | % | ||||||||
| 937,146 | ||||||||||||
| Utilities | ||||||||||||
| ENEL SpA | 9,191 | 61,865 | 0.71 | % | ||||||||
| Origin Energy Ltd. | 11,271 | 63,181 | 0.72 | % | ||||||||
| Osaka Gas Co. Ltd. | 4,621 | 70,646 | 0.81 | % | ||||||||
| Tokyo Electric Power Co. Holdings, Inc. | 18,505 | 67,545 | 0.77 | % | ||||||||
| UGI Corp. | 3,167 | 85,370 | 0.97 | % | ||||||||
| Veolia Environnement SA | 2,763 | 87,292 | 1.00 | % | ||||||||
| Vistra Corp. | 3,279 | 86,031 | 0.98 | % | ||||||||
| 521,930 | ||||||||||||
| Total | $ | 8,755,537 | 100.00 | % | ||||||||
Summary of Investment Type
| % of | ||||
| Industry | Net Assets | |||
| U.S. Treasury Bills | 101.5 | % | ||
| Total Investments | 101.5 | % | ||
| Liabilities in Excess of Other Assets | (1.5 | )% | ||
| Net Assets | 100.0 | % | ||
See Notes to Financial Statements.
80
Simplify Opportunistic Income ETF
Schedule of Investments
June 30, 2023
| Principal | Value | |||||||
| U.S. Treasury Bills – 93.8% | ||||||||
| U.S. Treasury Bill, 5.19%, 8/10/2023(a) | $ | 17,450,000 | $ | 17,355,600 | ||||
| U.S. Treasury Bill, 5.22%, 9/7/2023(a) | 18,000,000 | 17,830,071 | ||||||
| Total U.S. Treasury Bills (Cost $35,177,828) | 35,185,671 | |||||||
| Corporate Bonds – 1.6% | ||||||||
| Consumer, Cyclical – 1.1% | ||||||||
| Rivian Holdings LLC/Rivian LLC/Rivian Automotive LLC, 10.93%, (6-Month US LIBOR + 5.63%), 10/15/2026, 144A(b)(c) | 400,000 | 389,742 | ||||||
| Financial – 0.5% | ||||||||
| Coinbase Global, Inc., 3.38%, 10/1/2028, 144A(c) | 300,000 | 200,926 | ||||||
| Total Corporate Bonds (Cost $592,000) | 590,668 | |||||||
| Total Investments – 95.4% | ||||||||
| (Cost $35,769,828) | $ | 35,776,339 | ||||||
| Other Assets in Excess of Liabilities – 4.6% | 1,739,564 | |||||||
| Net Assets – 100.0% | $ | 37,515,903 | ||||||
| (a) | Represents a zero coupon bond. Rate shown reflects the effective yield. | |
| (b) | Floating rate investment. Interest rates reset periodically. Interest rate shown reflects the rate in effect at June 30, 2023. For securities based on a published reference rate and spread, the reference rate and spread are indicated in the description above. |
| (c) | Security was purchased (sold) pursuant to Rule 144A under the Securities Act of 1933 and may not be resold (repurchased) subject to that rule except to qualified institutional buyers. Unless otherwise noted, Rule 144A securities are deemed to be liquid. Total fair value of Rule 144A securities amounts to $590,668, which represents 1.6% of net assets as of June 30, 2023. |
Summary of Investment Type
| Industry | % of Net Assets |
|||
| U.S. Treasury Bills | 93.8 | % | ||
| Corporate Bonds | 1.6 | % | ||
| Total Investments | 95.4 | % | ||
| Other Assets in Excess of Liabilities | 4.6 | % | ||
| Net Assets | 100.0 | % | ||
See Notes to Financial Statements.
81
Simplify Propel Opportunities ETF
Schedule of Investments
June 30, 2023
| Shares | Value | |||||||
| Common Stocks – 70.5% | ||||||||
| Communications – 1.5% | ||||||||
| Telesat Corp.* | 160,781 | $ | 1,514,557 | |||||
| Consumer, Non-cyclical – 44.4% | ||||||||
| Adaptimmune Therapeutics PLC, ADR* | 150,000 | 138,750 | ||||||
| Agios Pharmaceuticals, Inc.* | 5,792 | 164,029 | ||||||
| Akero Therapeutics, Inc.* | 59,777 | 2,790,988 | ||||||
| Allogene Therapeutics, Inc.* | 245,000 | 1,217,650 | ||||||
| Annexon, Inc.* | 653,483 | 2,300,260 | ||||||
| Applied Therapeutics, Inc.* | 2,382,621 | 3,049,755 | ||||||
| ATAI Life Sciences NV* | 140,000 | 240,800 | ||||||
| Athira Pharma, Inc.* | 1,492,792 | 4,403,736 | ||||||
| Avidity Biosciences, Inc.* | 125,000 | 1,386,250 | ||||||
| Chinook Therapeutics, Inc.* | 25,000 | 960,500 | ||||||
| Cybin, Inc.* | 500,000 | 189,000 | ||||||
| Eiger BioPharmaceuticals, Inc.* | 1,099,653 | 774,156 | ||||||
| Fulcrum Therapeutics, Inc.* | 465,000 | 1,534,500 | ||||||
| Heron Therapeutics, Inc.* | 281,590 | 326,644 | ||||||
| Kura Oncology, Inc.* | 80,000 | 846,400 | ||||||
| Kymera Therapeutics, Inc.* | 10,532 | 242,131 | ||||||
| Madrigal Pharmaceuticals, Inc.* | 14,294 | 3,301,914 | ||||||
| Marinus Pharmaceuticals, Inc.* | 150,000 | 1,629,000 | ||||||
| Mirum Pharmaceuticals, Inc.* | 70,000 | 1,810,900 | ||||||
| Phathom Pharmaceuticals, Inc.* | 237,935 | 3,407,229 | ||||||
| Replimune Group, Inc.* | 150,000 | 3,483,000 | ||||||
| Sage Therapeutics, Inc.* | 50,030 | 2,352,411 | ||||||
| Seres Therapeutics, Inc.* | 550,626 | 2,637,499 | ||||||
| Stoke Therapeutics, Inc.* | 122,796 | 1,305,322 | ||||||
| Sutro Biopharma, Inc.* | 120,000 | 558,000 | ||||||
| TScan Therapeutics, Inc.* | 1,046,916 | 2,617,290 | ||||||
| X4 Pharmaceuticals, Inc.* | 400,000 | 776,000 | ||||||
| 44,444,114 | ||||||||
| Energy – 24.6% | ||||||||
| Plains All American Pipeline LP | 650,000 | 9,165,000 | ||||||
| Plains GP Holdings LP, Class A* | 1,045,097 | 15,498,788 | ||||||
| 24,663,788 | ||||||||
| Total Common Stocks (Cost $74,148,764) | 70,622,459 | |||||||
| Exchange-Traded Funds – 24.3% | ||||||||
| BlackRock Ultra Short-Term Bond ETF | 41,833 | 2,104,200 | ||||||
| iShares 0-5 Year Investment Grade Corporate Bond ETF | 43,571 | 2,100,558 | ||||||
| iShares Floating Rate Bond ETF | 31,437 | 1,597,629 | ||||||
| iShares iBonds Dec 2023 Term Corporate ETF | 83,187 | 2,103,799 | ||||||
| iShares iBonds Dec 2024 Term Corporate ETF | 85,442 | 2,103,582 | ||||||
| iShares iBoxx $ Investment Grade Corporate Bond ETF | 19,505 | 2,109,270 | ||||||
| iShares MBS ETF | 22,400 | 2,089,136 | ||||||
| JPMorgan Ultra-Short Income ETF | 31,942 | 1,601,572 | ||||||
| SPDR Bloomberg Investment Grade Floating Rate ETF | 75,068 | 2,303,837 | ||||||
| SPDR Portfolio Short Term Corporate Bond ETF | 71,380 | 2,101,427 | ||||||
| Vanguard Mortgage-Backed Securities ETF | 45,528 | 2,093,833 | ||||||
See Notes to Financial Statements.
82
Simplify Propel Opportunities ETF
Schedule of Investments (Continued)
June 30, 2023
| Shares | Value | |||||||
| Exchange-Traded Funds (continued) | ||||||||
| Vanguard Short-Term Bond ETF | 27,712 | $ | 2,094,196 | |||||
| Total Exchange-Traded Funds (Cost $24,400,354) | 24,403,039 | |||||||
| Principal | ||||||||
| Corporate Bonds – 1.7% | ||||||||
| Communications – 1.7% | ||||||||
| Telesat Canada / Telesat LLC, 5.63%, 12/6/2026, 144A(a) | 2,000,000 | 1,236,060 | ||||||
| Telesat Canada / Telesat LLC, 6.50%, 10/15/2027, 144A(a) | 1,124,000 | 457,508 | ||||||
| Total Corporate Bonds (Cost $1,630,926) | 1,693,568 | |||||||
| Shares | ||||||||
| Closed-End Funds – 1.2% | ||||||||
| Kayne Anderson Energy Infrastructure Fund | ||||||||
| (Cost $1,318,886) | 147,033 | 1,196,848 | ||||||
| Money Market Funds – 3.3% | ||||||||
| Fidelity Investments Money Market Treasury Only Portfolio - Class I, 4.81%(b) | ||||||||
| (Cost $3,276,908) | 3,276,908 | 3,276,908 | ||||||
| Total Investments – 101.0% | ||||||||
| (Cost $104,775,838) | $ | 101,192,822 | ||||||
| Liabilities in Excess of Other Assets – (1.0)% | (1,021,162 | ) | ||||||
| Net Assets – 100.0% | $ | 100,171,660 | ||||||
| * | Non Income Producing | |
| (a) | Security was purchased (sold) pursuant to Rule 144A under the Securities Act of 1933 and may not be resold (repurchased) subject to that rule except to qualified institutional buyers. Unless otherwise noted, Rule 144A securities are deemed to be liquid. Total fair value of Rule 144A securities amounts to $1,693,568, which represents 1.7% of net assets as of June 30, 2023. | |
| (b) | Rate shown reflects the 7-day yield as of June 30, 2023. |
| ADR: | American Depositary Receipt |
Summary of Investment Type
| Industry | % of Net Assets |
|||
| Common Stocks | 70.5 | % | ||
| Exchange-Traded Funds | 24.3 | % | ||
| Corporate Bonds | 1.7 | % | ||
| Closed-End Funds | 1.2 | % | ||
| Money Market Funds | 3.3 | % | ||
| Total Investments | 101.0 | % | ||
| Liabilities in Excess of Other Assets | (1.0 | )% | ||
| Net Assets | 100.0 | % | ||
See Notes to Financial Statements.
83
Simplify Short Term Treasury Futures Strategy ETF
Schedule of Investments
June 30, 2023
| Principal | Value | |||||||
| U.S. Treasury Bills – 98.5% | ||||||||
| U.S. Treasury Bill, 4.97%, 8/10/2023(a) | $ | 108,000,000 | $ | 107,417,592 | ||||
| U.S. Treasury Bill, 5.10%, 8/15/2023(a) | 6,400,000 | 6,362,505 | ||||||
| U.S. Treasury Bill, 5.28%, 8/29/2023(a) | 15,300,000 | 15,175,100 | ||||||
| U.S. Treasury Bill, 5.40%, 10/3/2023(a) | 402,600,000 | 397,290,877 | ||||||
| Total U.S. Treasury Bills (Cost $526,129,145) | 526,246,074 | |||||||
| Total Investments – 98.5% | ||||||||
| (Cost $526,129,145) | $ | 526,246,074 | ||||||
| Other Assets in Excess of Liabilities – 1.5% | 8,020,626 | |||||||
| Net Assets – 100.0% | $ | 534,266,700 | ||||||
| (a) | Represents a zero coupon bond. Rate shown reflects the effective yield. |
At June 30, 2023, open futures contracts were as follows:
| Number of Contracts |
Notional Value |
Expiration Date |
Value/ Unrealized Appreciation (Depreciation) |
||||||||||
| Long position contracts: | |||||||||||||
| U.S. 2 Years Note (CBT) | 14,145 | $ | 2,876,297,344 | 9/29/23 | $ | (23,297,280 | ) | ||||||
Summary of Investment Type
| Industry |
% of |
|||
| U.S. Treasury Bills | 98.5 | % | ||
| Total Investments | 98.5 | % | ||
| Other Assets in Excess of Liabilities | 1.5 | % | ||
| Net Assets | 100.0 | % | ||
See Notes to Financial Statements.
84
Schedule of Investments
June 30, 2023
| Principal | Value | |||||||
| U.S. Treasury Bills – 99.1% | ||||||||
| U.S. Treasury Bill, 4.79%, 7/6/2023(a) | $ | 10,460,000 | $ | 10,455,689 | ||||
| U.S. Treasury Bill, 5.24%, 8/15/2023(a) | 1,250,000 | 1,242,317 | ||||||
| U.S. Treasury Bill, 5.29%, 9/7/2023(a) | 2,603,000 | 2,578,426 | ||||||
| Total U.S. Treasury Bills (Cost $14,272,686) | 14,276,432 | |||||||
| Total Investments – 99.1% | ||||||||
| (Cost $14,272,686) | $ | 14,276,432 | ||||||
| Other Assets in Excess of Liabilities – 0.9% | 133,078 | |||||||
| Net Assets – 100.0% | $ | 14,409,510 | ||||||
| (a) | Represents a zero coupon bond. Rate shown reflects the effective yield. |
Summary of Investment Type
| Industry |
% of |
|||
| U.S. Treasury Bills | 99.1 | % | ||
| Total Investments | 99.1 | % | ||
| Other Assets in Excess of Liabilities | 0.9 | % | ||
| Net Assets | 100.0 | % | ||
See Notes to Financial Statements.
85
Simplify Tail Risk Strategy ETF
Schedule of Investments
June 30, 2023
| Shares | Value | |||||||
| Exchange-Traded Funds – 92.6% | ||||||||
| Simplify Aggregate Bond Plus Credit Hedge ETF(a)(b)(c) | 250,356 | $ | 5,636,540 | |||||
| Simplify Enhanced Income ETF(a)(c) | 111,389 | 2,786,953 | ||||||
| Simplify High Yield PLUS Credit Hedge ETF(a)(c) | 42,196 | 921,231 | ||||||
| Simplify Interest Rate Hedge ETF(a)(c) | 52,883 | 3,319,995 | ||||||
| Simplify Stable Income ETF(a)(c) | 112,062 | 2,808,274 | ||||||
| Total Exchange-Traded Funds (Cost $15,482,498) | 15,472,993 | |||||||
|
Number of Contracts |
Notional Amount |
|||||||||||
| Purchased Options – 15.7% | ||||||||||||
| Calls – Exchange-Traded – 1.3% | ||||||||||||
| CBOE Volatility Index, July Strike Price $20, Expires 7/19/23 | 2,083 | $ | 4,166,000 | 60,407 | ||||||||
| CBOE Volatility Index, August Strike Price $16, Expires 8/16/23 | 870 | 1,392,000 | 163,995 | |||||||||
| 224,402 | ||||||||||||
| Puts – Exchange-Traded – 14.4% | ||||||||||||
| Invesco QQQ TrustSM, Series 1, July Strike Price $360, Expires 7/03/23 | 1,420 | 51,120,000 | 1,420 | |||||||||
| Invesco QQQ TrustSM, Series 1, July Strike Price $330, Expires 7/21/23 | 520 | 17,160,000 | 12,740 | |||||||||
| Invesco QQQ TrustSM, Series 1, September Strike Price $350, Expires 9/15/23 | 987 | 34,545,000 | 500,902 | |||||||||
| S&P 500 Index, July Strike Price $4,200, Expires 7/03/23 | 273 | 114,660,000 | 1,365 | |||||||||
| S&P 500 Index, July Strike Price $4,430, Expires 7/06/23 | 80 | 35,440,000 | 69,040 | |||||||||
| S&P 500 Index, July Strike Price $3,855, Expires 7/21/23 | 305 | 117,577,500 | 51,088 | |||||||||
| S&P 500 Index, July Strike Price $3,900, Expires 7/21/23 | 283 | 110,370,000 | 53,770 | |||||||||
| S&P 500 Index, August Strike Price $3,720, Expires 8/18/23 | 1,057 | 393,204,000 | 433,370 | |||||||||
| S&P 500 Index, August Strike Price $3,800, Expires 8/31/23 | 247 | 93,860,000 | 188,955 | |||||||||
| S&P 500 Index, September Strike Price $3,720, Expires 9/15/23 | 627 | 233,244,000 | 567,435 | |||||||||
| S&P 500 Index, September Strike Price $4,000, Expires 9/15/23 | 280 | 112,000,000 | 522,200 | |||||||||
| 2,402,285 | ||||||||||||
| Total Purchased Options (Cost $7,816,096) | 2,626,687 | |||||||||||
| Shares | ||||||||
| Money Market Funds – 0.2% | ||||||||
| Fidelity Investments Money Market Treasury Only Portfolio - Class I, 4.81%(d) | ||||||||
| (Cost $33,778) | 33,778 | 33,778 | ||||||
| Total Investments – 108.5% | ||||||||
| (Cost $23,332,372) | $ | 18,133,458 | ||||||
| Liabilities in Excess of Other Assets – (8.5)% | (1,425,928 | ) | ||||||
| Net Assets – 100.0% | $ | 16,707,530 | ||||||
|
Number of Contracts |
Notional Amount |
|||||||||||
| Written Options – (8.5)% | ||||||||||||
| Calls – Exchange-Traded – (2.2)% | ||||||||||||
| Invesco QQQ TrustSM, Series 1, July Strike Price $368, Expires 7/21/23 | (520 | ) | $ | (19,136,000 | ) | $ | (361,400 | ) | ||||
| Puts – Exchange-Traded – (6.3)% | ||||||||||||
| Invesco QQQ TrustSM, Series 1, July Strike Price $350, Expires 7/03/23 | (1,420 | ) | (49,700,000 | ) | (1,420 | ) | ||||||
See Notes to Financial Statements.
86
Simplify Tail Risk Strategy ETF
Schedule of Investments (Continued)
June 30, 2023
|
Number of Contracts |
Notional Amount |
Value | ||||||||||
| Invesco QQQ TrustSM, Series 1, September Strike Price $330, Expires 9/15/23 | (987 | ) | $ | (32,571,000 | ) | $ | (240,828 | ) | ||||
| S&P 500 Index, July Strike Price $3,650, Expires 7/21/23 | (305 | ) | (111,325,000 | ) | (32,787 | ) | ||||||
| S&P 500 Index, July Strike Price $3,780, Expires 7/21/23 | (130 | ) | (49,140,000 | ) | (18,850 | ) | ||||||
| S&P 500 Index, August Strike Price $3,500, Expires 8/18/23 | (1,057 | ) | (369,950,000 | ) | (272,178 | ) | ||||||
| S&P 500 Index, August Strike Price $3,650, Expires 8/31/23 | (247 | ) | (90,155,000 | ) | (132,145 | ) | ||||||
| S&P 500 Index, September Strike Price $3,500, Expires 9/15/23 | (627 | ) | (219,450,000 | ) | (360,525 | ) | ||||||
| (1,058,733 | ) | |||||||||||
| Total Written Options (Premiums Received $3,876,224) | $ | (1,420,133 | ) | |||||||||
| (a) | Affiliated fund managed by Simplify Asset Management Inc. | |
| (b) | A copy of the security’s annual report to shareholders may be obtained without charge at www.simplify.us. | |
| (c) | Securities with an aggregate market value of $10,167,363 have been pledged as collateral for options as of June 30, 2023. | |
| (d) | Rate shown reflects the 7-day yield as of June 30, 2023. |
Affiliates
Fiscal year to date transactions with companies which are or were affiliates are as follows:
| Affiliate | Value at beginning of the period |
Purchases Cost |
Sales Proceeds |
Net Realized Gain/(Loss) |
Net Change in Unrealized |
Value at the end of the period |
Number of Shares at the end of the period |
Dividend Income |
Capital Gain Distributions |
|||||||||||||||||||||||||||
| Simplify Aggregate Bond Plus Credit Hedge ETF | $ | — | $ | 7,818,390 | $ | (2,041,753 | ) | $ | (52,803 | ) | $ | (87,294 | ) | $ | 5,636,540 | 250,356 | $ | 144,025 | $ | — | ||||||||||||||||
| Simplify Enhanced Income ETF | — | 3,951,435 | (1,150,812 | ) | 1,003 | (14,673 | ) | 2,786,953 | 111,389 | 86,528 | — | |||||||||||||||||||||||||
| Simplify High Yield PLUS Credit Hedge ETF | 27,016,073 | 5,956,035 | (31,972,937 | ) | (2,413,995 | ) | 2,336,055 | 921,231 | 42,196 | 676,253 | — | |||||||||||||||||||||||||
| Simplify Interest Rate Hedge ETF | 9,968,592 | 7,260,854 | (15,293,214 | ) | 2,465,458 | (1,081,695 | ) | 3,319,995 | 52,883 | 53,055 | — | |||||||||||||||||||||||||
| Simplify Intermediate Term Treasury ETF | 22,187,428 | 4,283,021 | (24,134,270 | ) | (1,737,976 | ) | (598,203 | ) | — | — | 200,321 | — | ||||||||||||||||||||||||
| Simplify Short Term Treasury Futures Strategy ETF | — | 7,414,797 | (7,520,114 | ) | 105,317 | — | — | — | 37,382 | — | ||||||||||||||||||||||||||
| Simplify Stable Income ETF | — | 3,964,327 | (1,153,989 | ) | 996 | (3,060 | ) | 2,808,274 | 112,062 | 47,429 | — | |||||||||||||||||||||||||
| Simplify Volatility Premium ETF | 30,615,744 | 10,821,357 | (41,496,751 | ) | (372,311 | ) | 431,961 | — | — | 1,861,802 | — | |||||||||||||||||||||||||
| $ | 89,787,837 | $ | 51,470,216 | $ | (124,763,840 | ) | $ | (2,004,311 | ) | $ | 983,091 | $ | 15,472,993 | 568,886 | $ | 3,106,795 | $ | — | ||||||||||||||||||
See Notes to Financial Statements.
87
Simplify Tail Risk Strategy ETF
Schedule of Investments (Continued)
June 30, 2023
Summary of Investment Type
| Industry |
% of |
|||
| Exchange-Traded Funds | 92.6 | % | ||
| Purchased Options | 15.7 | % | ||
| Money Market Funds | 0.2 | % | ||
| Total Investments | 108.5 | % | ||
| Liabilities in Excess of Other Assets | (8.5 | )% | ||
| Net Assets | 100.0 | % | ||
See Notes to Financial Statements.
88
Simplify US Equity PLUS Convexity ETF
Schedule of Investments
June 30, 2023
| Shares | Value | |||||||
| Exchange-Traded Funds – 99.0% | ||||||||
| iShares Core S&P 500 ETF(a)(b) | ||||||||
| (Cost $69,745,261) | 163,186 | $ | 72,733,632 | |||||
| Number of Contracts |
Notional Amount |
|||||||||||
| Purchased Options – 1.3% | ||||||||||||
| Calls – Exchange-Traded – 0.9% | ||||||||||||
| S&P 500 Index, July Strike Price $4,360, Expires 7/21/23 | 22 | $ | 9,592,000 | 243,760 | ||||||||
| S&P 500 Index, August Strike Price $4,375, Expires 8/18/23 | 25 | 10,937,500 | 338,125 | |||||||||
| S&P 500 Index, September Strike Price $4,600, Expires 9/15/23 | 27 | 12,420,000 | 107,730 | |||||||||
| 689,615 | ||||||||||||
| Puts – Exchange-Traded – 0.4% | ||||||||||||
| S&P 500 Index, July Strike Price $3,855, Expires 7/21/23 | 68 | 26,214,000 | 11,390 | |||||||||
| S&P 500 Index, August Strike Price $3,720, Expires 8/18/23 | 259 | 96,348,000 | 106,190 | |||||||||
| S&P 500 Index, September Strike Price $3,720, Expires 9/15/23 | 154 | 57,288,000 | 139,370 | |||||||||
| 256,950 | ||||||||||||
| Total Purchased Options (Cost $1,003,931) | 946,565 | |||||||||||
| Shares | ||||||||
| Money Market Funds – 0.5% | ||||||||
| Fidelity Investments Money Market Treasury Only Portfolio - Class I, 4.81%(c) | ||||||||
| (Cost $334,496) | 334,496 | 334,496 | ||||||
| Total Investments – 100.8% | ||||||||
| (Cost $71,083,688) | $ | 74,014,693 | ||||||
| Liabilities in Excess of Other Assets – (0.8)% | (600,160 | ) | ||||||
| Net Assets – 100.0% | $ | 73,414,533 | ||||||
| Number of Contracts |
Notional Amount |
|||||||||||
| Written Options – (0.3)% | ||||||||||||
| Calls – Exchange-Traded – (0.1)% | ||||||||||||
| S&P 500 Index, July Strike Price $4,575, Expires 7/21/23 | (22 | ) | $ | (10,065,000 | ) | $ | (14,300 | ) | ||||
| S&P 500 Index, August Strike Price $4,575, Expires 8/18/23 | (25 | ) | (11,437,500 | ) | (66,250 | ) | ||||||
| S&P 500 Index, September Strike Price $4,825, Expires 9/15/23 | (27 | ) | (13,027,500 | ) | (13,500 | ) | ||||||
| (94,050 | ) | |||||||||||
| Puts – Exchange-Traded – (0.2)% | ||||||||||||
| S&P 500 Index, July Strike Price $3,650, Expires 7/21/23 | (68 | ) | (24,820,000 | ) | (7,310 | ) | ||||||
| S&P 500 Index, August Strike Price $3,500, Expires 8/18/23 | (259 | ) | (90,650,000 | ) | (66,693 | ) | ||||||
| S&P 500 Index, September Strike Price $3,500, Expires 9/15/23 | (154 | ) | (53,900,000 | ) | (88,550 | ) | ||||||
| (162,553 | ) | |||||||||||
| Total Written Options (Premiums Received $465,738) | $ | (256,603 | ) | |||||||||
| (a) | A copy of the security’s annual report to shareholders may be obtained without charge at www.ishares.com. | |
| (b) | Securities with an aggregate market value of $22,285,500 have been pledged as collateral for options as of June 30, 2023. | |
| (c) | Rate shown reflects the 7-day yield as of June 30, 2023. |
See Notes to Financial Statements.
89
Simplify US Equity PLUS Convexity ETF
Schedule of Investments (Continued)
June 30, 2023
Summary of Investment Type
Industry |
% of Net Assets |
|||
| Exchange-Traded Funds | 99.0 | % | ||
| Purchased Options | 1.3 | % | ||
| Money Market Funds | 0.5 | % | ||
| Total Investments | 100.8 | % | ||
| Liabilities in Excess of Other Assets | (0.8 | )% | ||
| Net Assets | 100.0 | % | ||
See Notes to Financial Statements.
90
Simplify US Equity PLUS Downside Convexity ETF
Schedule of Investments
June 30, 2023
| Shares | Value | |||||||
| Exchange-Traded Funds – 99.7% | ||||||||
| iShares Core S&P 500 ETF(a)(b) | ||||||||
| (Cost $119,027,766) | 258,809 | $ | 115,353,759 | |||||
| Number of Contracts |
Notional Amount |
|||||||||||
| Purchased Options – 0.7% | ||||||||||||
| Puts – Exchange-Traded – 0.7% | ||||||||||||
| S&P 500 Index, July Strike Price $3,855, Expires 7/21/23 | 181 | $ | 69,775,500 | 30,318 | ||||||||
| S&P 500 Index, August Strike Price $3,720, Expires 8/18/23 | 819 | 304,668,000 | 335,790 | |||||||||
| S&P 500 Index, September Strike Price $3,720, Expires 9/15/23 | 485 | 180,420,000 | 438,925 | |||||||||
| 805,033 | ||||||||||||
| Total Purchased Options (Cost $1,998,452) | 805,033 | |||||||||||
| Shares | ||||||||
| Money Market Funds – 0.1% | ||||||||
| Fidelity Investments Money Market Treasury Only Portfolio - Class I, 4.81%(c) | ||||||||
| (Cost $70,259) | 70,259 | 70,259 | ||||||
| Total Investments – 100.5% | ||||||||
| (Cost $121,096,477) | $ | 116,229,051 | ||||||
| Liabilities in Excess of Other Assets – (0.5)% | (614,438 | ) | ||||||
| Net Assets – 100.0% | $ | 115,614,613 | ||||||
| Number of Contracts |
Notional Amount |
|||||||||||
| Written Options – (0.4)% | ||||||||||||
| Puts – Exchange-Traded – (0.4)% | ||||||||||||
| S&P 500 Index, July Strike Price $3,650, Expires 7/21/23 | (181 | ) | $ | (66,065,000 | ) | $ | (19,457 | ) | ||||
| S&P 500 Index, August Strike Price $3,500, Expires 8/18/23 | (819 | ) | (286,650,000 | ) | (210,893 | ) | ||||||
| S&P 500 Index, September Strike Price $3,500, Expires 9/15/23 | (485 | ) | (169,750,000 | ) | (278,875 | ) | ||||||
| (509,225 | ) | |||||||||||
| Total Written Options (Premiums Received $1,210,697) | $ | (509,225 | ) | |||||||||
| (a) | A copy of the security’s annual report to shareholders may be obtained without charge at www.ishares.com. | |
| (b) | Securities with an aggregate market value of $82,456,350 have been pledged as collateral for options as of June 30, 2023. | |
| (c) | Rate shown reflects the 7-day yield as of June 30, 2023. |
Summary of Investment Type
| Industry | % of Net Assets |
|||
| Exchange-Traded Funds | 99.7 | % | ||
| Purchased Options | 0.7 | % | ||
| Money Market Funds | 0.1 | % | ||
| Total Investments | 100.5 | % | ||
| Liabilities in Excess of Other Assets | (0.5 | )% | ||
| Net Assets | 100.0 | % | ||
See Notes to Financial Statements.
91
Simplify US Equity PLUS GBTC ETF
Schedule of Investments
June 30, 2023
| Shares | Value | |||||||
| Exchange-Traded Funds – 85.2% | ||||||||
| iShares Core S&P 500 ETF(a) | ||||||||
| (Cost $7,151,462) | 16,709 | $ | 7,447,369 | |||||
| Grantor Trusts – 9.7% | ||||||||
| Grayscale Bitcoin Trust BTC* | ||||||||
| (Cost $1,319,710) | 44,180 | 847,814 | ||||||
| Money Market Funds – 0.2% | ||||||||
| Fidelity Investments Money Market Treasury Only Portfolio - Class I, 4.81%(b) | ||||||||
| (Cost $19,302) | 19,302 | 19,302 | ||||||
| Total Investments – 95.1% | ||||||||
| (Cost $8,490,474) | $ | 8,314,485 | ||||||
| Other Assets in Excess of Liabilities – 4.9% | 426,906 | |||||||
| Net Assets – 100.0% | $ | 8,741,391 | ||||||
| * | Non Income Producing | |
| (a) | A copy of the security’s annual report to shareholders may be obtained without charge at www.ishares.com. | |
| (b) | Rate shown reflects the 7-day yield as of June 30, 2023. |
At June 30, 2023, open futures contracts were as follows:
| Number of Contracts |
Notional Value |
Expiration Date |
Value/ Unrealized Appreciation (Depreciation) |
||||||||||
| Long position contracts: | |||||||||||||
| S&P 500 E-Mini Future | 6 | $ | 1,346,475 | 9/15/23 | $ | 30,528 | |||||||
Summary of Investment Type
Industry |
% of Net Assets |
|||
| Exchange-Traded Funds | 85.2 | % | ||
| Grantor Trusts | 9.7 | % | ||
| Money Market Funds | 0.2 | % | ||
| Total Investments | 95.1 | % | ||
| Other Assets in Excess of Liabilities | 4.9 | % | ||
| Net Assets | 100.0 | % | ||
See Notes to Financial Statements.
92
Simplify US Equity PLUS Upside Convexity ETF
Schedule of Investments
June 30, 2023
| Shares | Value | |||||||
| Exchange-Traded Funds – 98.0% | ||||||||
| iShares Core S&P 500 ETF(a)(b) | ||||||||
| (Cost $8,421,272) | 18,535 | $ | 8,261,235 | |||||
| Number of Contracts |
Notional Amount |
|||||||||||
| Purchased Options – 2.0% | ||||||||||||
| Calls – Exchange-Traded – 2.0% | ||||||||||||
| S&P 500 Index, July Strike Price $4,360, Expires 7/21/23 | 5 | $ | 2,180,000 | 55,400 | ||||||||
| S&P 500 Index, August Strike Price $4,375, Expires 8/18/23 | 6 | 2,625,000 | 81,150 | |||||||||
| S&P 500 Index, September Strike Price $4,600, Expires 9/15/23 | 7 | 3,220,000 | 27,930 | |||||||||
| 164,480 | ||||||||||||
| Total Purchased Options (Cost $77,444) | 164,480 | |||||||||||
| Shares | ||||||||
| Money Market Funds – 0.9% | ||||||||
| Fidelity Investments Money Market Treasury Only Portfolio - Class I, 4.81%(c) | ||||||||
| (Cost $78,904) | 78,904 | 78,904 | ||||||
| Total Investments – 100.9% | ||||||||
| (Cost $8,577,620) | $ | 8,504,619 | ||||||
| Liabilities in Excess of Other Assets – (0.9)% | (76,470 | ) | ||||||
| Net Assets – 100.0% | $ | 8,428,149 | ||||||
| Number of Contracts |
Notional Amount |
|||||||||||
| Written Options – (0.3)% | ||||||||||||
| Calls – Exchange-Traded – (0.3)% | ||||||||||||
| S&P 500 Index, July Strike Price $4,575, Expires 7/21/23 | (5 | ) | $ | (2,287,500 | ) | $ | (3,250 | ) | ||||
| S&P 500 Index, August Strike Price $4,575, Expires 8/18/23 | (6 | ) | (2,745,000 | ) | (15,900 | ) | ||||||
| S&P 500 Index, September Strike Price $4,825, Expires 9/15/23 | (7 | ) | (3,377,500 | ) | (3,500 | ) | ||||||
| (22,650 | ) | |||||||||||
| Total Written Options (Premiums Received $13,377) | $ | (22,650 | ) | |||||||||
| (a) | A copy of the security’s annual report to shareholders may be obtained without charge at www.ishares.com. | |
| (b) | Securities with an aggregate market value of $6,017,085 have been pledged as collateral for options as of June 30, 2023. | |
| (c) | Rate shown reflects the 7-day yield as of June 30, 2023. |
See Notes to Financial Statements.
93
Simplify US Equity PLUS Upside Convexity ETF
Schedule of Investments (Continued)
June 30, 2023
Summary of Investment Type
Industry |
% of Net Assets |
|||
| Exchange-Traded Funds | 98.0 | % | ||
| Purchased Options | 2.0 | % | ||
| Money Market Funds | 0.9 | % | ||
| Total Investments | 100.9 | % | ||
| Liabilities in Excess of Other Assets | (0.9 | )% | ||
| Net Assets | 100.0 | % | ||
See Notes to Financial Statements.
94
Simplify Volt RoboCar Disruption and Tech ETF
Schedule of Investments
June 30, 2023
| Shares | Value | |||||||
| Common Stocks – 95.1% | ||||||||
| Basic Materials – 2.2% | ||||||||
| Albemarle Corp. | 64 | $ | 14,278 | |||||
| BHP Group Ltd., ADR | 229 | 13,664 | ||||||
| Glencore PLC, ADR | 1,250 | 14,075 | ||||||
| Rio Tinto PLC, ADR | 212 | 13,534 | ||||||
| Sociedad Quimica y Minera de Chile SA, ADR | 177 | 12,854 | ||||||
| Talon Metals Corp.* | 53,244 | 14,360 | ||||||
| Vale SA, ADR | 904 | 12,132 | ||||||
| 94,897 | ||||||||
| Communications – 12.6% | ||||||||
| Alphabet, Inc., Class C*(a) | 1,483 | 179,398 | ||||||
| Amazon.com, Inc.*(a) | 1,300 | 169,468 | ||||||
| Cisco Systems, Inc. | 148 | 7,657 | ||||||
| Meta Platforms, Inc., Class A* | 319 | 91,547 | ||||||
| Netflix, Inc.* | 83 | 36,561 | ||||||
| Okta, Inc.* | 5 | 347 | ||||||
| Palo Alto Networks, Inc.* | 11 | 2,811 | ||||||
| VeriSign, Inc.* | 80 | 18,078 | ||||||
| Verizon Communications, Inc. | 226 | 8,405 | ||||||
| Walt Disney Co. (The)* | 287 | 25,623 | ||||||
| 539,895 | ||||||||
| Consumer, Cyclical – 15.9% | ||||||||
| Arbe Robotics Ltd* | 5,394 | 15,589 | ||||||
| Aurora Innovation, Inc.* | 8,721 | 25,640 | ||||||
| BYD Co. Ltd., ADR | 327 | 20,977 | ||||||
| Costco Wholesale Corp. | 46 | 24,765 | ||||||
| Lucid Group, Inc.* | 1,183 | 8,151 | ||||||
| NIO, Inc., ADR* | 1,198 | 11,608 | ||||||
| Rivian Automotive, Inc., Class A* | 665 | 11,079 | ||||||
| Sonder Holdings, Inc.* | 145,685 | 77,286 | ||||||
| Tesla, Inc.*(a) | 1,861 | 487,154 | ||||||
| 682,249 | ||||||||
| Consumer, Non-cyclical – 6.3% | ||||||||
| Amgen, Inc. | 30 | 6,660 | ||||||
| Automatic Data Processing, Inc. | 62 | 13,627 | ||||||
| Block, Inc.* | 2,548 | 169,620 | ||||||
| Coca-Cola Co. (The) | 164 | 9,876 | ||||||
| DaVita, Inc.* | 110 | 11,052 | ||||||
| Johnson & Johnson | 57 | 9,435 | ||||||
| Kraft Heinz Co. (The) | 225 | 7,987 | ||||||
| Kroger Co. (The) | 176 | 8,272 | ||||||
| Moody’s Corp. | 30 | 10,432 | ||||||
| PayPal Holdings, Inc.* | 57 | 3,804 | ||||||
| PepsiCo, Inc. | 56 | 10,372 | ||||||
| Procter & Gamble Co. (The) | 59 | 8,953 | ||||||
| 270,090 | ||||||||
| Financial – 5.0% | ||||||||
| American Express Co. | 35 | 6,097 | ||||||
| Bank of America Corp. | 198 | 5,681 | ||||||
| Bank of New York Mellon Corp. (The) | 116 | 5,164 | ||||||
See Notes to Financial Statements.
95
Simplify Volt RoboCar Disruption and Tech ETF
Schedule of Investments (Continued)
June 30, 2023
| Shares | Value | |||||||
| Common Stocks (continued) | ||||||||
| Financial (continued) | ||||||||
| Citigroup, Inc. | 114 | $ | 5,248 | |||||
| Lemonade, Inc.* | 11,106 | 187,136 | ||||||
| US Bancorp | 148 | 4,890 | ||||||
| 214,216 | ||||||||
| Industrial – 1.0% | ||||||||
| Camtek Ltd.* | 556 | 19,810 | ||||||
| Deere & Co. | 23 | 9,320 | ||||||
| FANUC Corp., ADR | 957 | 16,776 | ||||||
| 45,906 | ||||||||
| Technology – 52.1% | ||||||||
| Activision Blizzard, Inc.* | 102 | 8,599 | ||||||
| Adobe, Inc.* | 20 | 9,780 | ||||||
| Advanced Micro Devices, Inc.*(a) | 3,598 | 409,848 | ||||||
| Amkor Technology, Inc. | 715 | 21,271 | ||||||
| Analog Devices, Inc. | 372 | 72,469 | ||||||
| ANSYS, Inc.* | 22 | 7,266 | ||||||
| Apple, Inc.(a) | 1,024 | 198,625 | ||||||
| Applied Materials, Inc. | 235 | 33,967 | ||||||
| ASML Holding NV | 106 | 76,824 | ||||||
| Atlassian Corp., Class A* | 5 | 839 | ||||||
| Autodesk, Inc.* | 72 | 14,732 | ||||||
| Broadcom, Inc. | 30 | 26,023 | ||||||
| Cadence Design Systems, Inc.* | 35 | 8,208 | ||||||
| Cognizant Technology Solutions Corp., Class A | 118 | 7,703 | ||||||
| Crowdstrike Holdings, Inc., Class A* | 82 | 12,043 | ||||||
| Datadog, Inc., Class A* | 14 | 1,377 | ||||||
| DocuSign, Inc.* | 7 | 358 | ||||||
| Fiserv, Inc.* | 83 | 10,470 | ||||||
| Fortinet, Inc.* | 30 | 2,268 | ||||||
| GLOBALFOUNDRIES, Inc.*(a) | 300 | 19,374 | ||||||
| HP, Inc. | 482 | 14,802 | ||||||
| Intel Corp. | 1,564 | 52,300 | ||||||
| Intuit, Inc. | 13 | 5,957 | ||||||
| KLA Corp. | 45 | 21,826 | ||||||
| Lam Research Corp. | 41 | 26,357 | ||||||
| Marvell Technology, Inc. | 334 | 19,967 | ||||||
| Microchip Technology, Inc. | 131 | 11,736 | ||||||
| Micron Technology, Inc. | 342 | 21,584 | ||||||
| Microsoft Corp.(a) | 1,375 | 468,243 | ||||||
| NVIDIA Corp.(a) | 1,328 | 561,771 | ||||||
| NXP Semiconductors NV | 79 | 16,170 | ||||||
| Paychex, Inc. | 146 | 16,333 | ||||||
| QWALCOMM, Inc. | 52 | 6,190 | ||||||
| Skyworks Solutions, Inc. | 31 | 3,431 | ||||||
| Splunk, Inc.* | 4 | 424 | ||||||
| Synopsys, Inc.* | 49 | 21,335 | ||||||
| Taiwan Semiconductor Manufacturing Co. Ltd., ADR | 75 | 7,569 | ||||||
| Texas Instruments, Inc. | 88 | 15,842 | ||||||
| Workday, Inc., Class A* | 6 | 1,355 | ||||||
See Notes to Financial Statements.
96
Simplify Volt RoboCar Disruption and Tech ETF
Schedule of Investments (Continued)
June 30, 2023
| Shares | Value | |||||||
| Common Stocks (continued) | ||||||||
| Technology (continued) | ||||||||
| Zoom Video Communications, Inc., Class A* | 13 | $ | 882 | |||||
| Zscaler, Inc.* | 7 | 1,024 | ||||||
| 2,237,142 | ||||||||
| Total Common Stocks (Cost $3,498,390) | 4,084,395 | |||||||
| Number of Contracts |
Notional Amount |
|||||||||||
| Purchased Options – 2.4% | ||||||||||||
| Calls – Exchange-Traded – 1.8% | ||||||||||||
| Tesla, Inc., July Strike Price $285, Expires 7/21/23 | 30 | $ | 855,000 | 22,350 | ||||||||
| Tesla, Inc., January Strike Price $417, Expires 1/19/24 | 23 | 958,341 | 19,090 | |||||||||
| Tesla, Inc., June Strike Price $667, Expires 6/21/24 | 66 | 4,400,022 | 33,825 | |||||||||
| 75,265 | ||||||||||||
| Puts – Exchange-Traded – 0.6% | ||||||||||||
| S&P 500 Index, July Strike Price $3,855, Expires 7/21/23 | 6 | 2,313,000 | 1,005 | |||||||||
| S&P 500 Index, August Strike Price $3,720, Expires 8/18/23 | 28 | 10,416,000 | 11,480 | |||||||||
| S&P 500 Index, September Strike Price $3,720, Expires 9/15/23 | 17 | 6,324,000 | 15,385 | |||||||||
| 27,870 | ||||||||||||
| Total Purchased Options (Cost $340,493) | 103,135 | |||||||||||
| Shares | ||||||||
| Money Market Funds – 3.0% | ||||||||
| Fidelity Investments Money Market Treasury Only Portfolio - Class I, 4.81%(b) | ||||||||
| (Cost $126,771) | 126,771 | 126,771 | ||||||
| Total Investments – 100.5% | ||||||||
| (Cost $3,965,654) | $ | 4,314,301 | ||||||
| Liabilities in Excess of Other Assets – (0.5)% | (19,715 | ) | ||||||
| Net Assets – 100.0% | $ | 4,294,586 | ||||||
| Number of Contracts |
Notional Amount |
|||||||||||
| Written Options – (0.4)% | ||||||||||||
| Puts – Exchange-Traded – (0.4)% | ||||||||||||
| S&P 500 Index, July Strike Price $3,650, Expires 7/21/23 | (6 | ) | $ | (2,190,000 | ) | $ | (645 | ) | ||||
| S&P 500 Index, August Strike Price $3,500, Expires 8/18/23 | (28 | ) | (9,800,000 | ) | (7,210 | ) | ||||||
| S&P 500 Index, September Strike Price $3,500, Expires 9/15/23 | (17 | ) | (5,950,000 | ) | (9,775 | ) | ||||||
| (17,630 | ) | |||||||||||
| Total Written Options (Premiums Received $42,870) | $ | (17,630 | ) | |||||||||
| * | Non Income Producing | |
| (a) | Securities with an aggregate market value of $984,986 have been pledged as collateral for options as of June 30, 2023. | |
| (b) | Rate shown reflects the 7-day yield as of June 30, 2023. |
See Notes to Financial Statements.
97
Simplify Volt RoboCar Disruption and Tech ETF
Schedule of Investments (Continued)
June 30, 2023
| ADR: | American Depositary Receipt |
Summary of Investment Type
Industry |
% of Net Assets |
|||
| Common Stocks | 95.1 | % | ||
| Purchased Options | 2.4 | % | ||
| Money Market Funds | 3.0 | % | ||
| Total Investments | 100.5 | % | ||
| Liabilities in Excess of Other Assets | (0.5 | )% | ||
| Net Assets | 100.0 | % | ||
See Notes to Financial Statements.
98
Simplify Bitcoin Strategy PLUS Income ETF
Consolidated Schedule of Investments
June 30, 2023
| Principal | Value | |||||||
| U.S. Treasury Bills – 262.1% | ||||||||
| U.S. Treasury Bill, 4.90%, 8/1/2023(a) | $ | 10,430,000 | $ | 10,387,528 | ||||
| U.S. Treasury Bill, 4.92%, 8/10/2023(a)(b) | 5,200,000 | 5,171,869 | ||||||
| U.S. Treasury Bill, 4.79%, 9/7/2023(a) | 4,500,000 | 4,457,518 | ||||||
| U.S. Treasury Bill, 5.34%, 9/19/2023(a)(b) | 500,000 | 494,407 | ||||||
| U.S. Treasury Bill, 5.40%, 10/3/2023(a)(b)(c) | 44,900,000 | 44,307,900 | ||||||
| U.S. Treasury Bill, 5.46%, 11/9/2023(a)(b) | 600,000 | 588,822 | ||||||
| Total U.S. Treasury Bills (Cost $65,379,819) | 65,408,044 | |||||||
| Total Investments – 262.1% | ||||||||
| (Cost $65,379,819) | $ | 65,408,044 | ||||||
| Liabilities in Excess of Other Assets – (162.1)% | (40,455,349 | ) | ||||||
| Net Assets – 100.0% | $ | 24,952,695 | ||||||
| (a) | Represents a zero coupon bond. Rate shown reflects the effective yield. |
| (b) | Securities with an aggregate market value of $3,086,050 have been pledged as collateral for options as of June 30, 2023. |
| (c) | Security, or a portion thereof, in the amount of $43,518,045 has been pledged as collateral for reverse repurchase agreements as of June 30, 2023. See note 5 for additional information |
At June 30, 2023, open futures contracts were as follows:
| Number of Contracts |
Notional Value |
Expiration Date |
Value/ Unrealized Appreciation (Depreciation) |
||||||||||
| Long position contracts: | |||||||||||||
| CME Bitcoin Futures | 169 | $ | 25,924,600 | 7/28/23 | $ | 250,618 | |||||||
Summary of Investment Type
| Industry | % of Net Assets |
|||
| U.S. Treasury Bills | 262.1 | % | ||
| Total Investments | 262.1 | % | ||
| Liabilities in Excess of Other Assets | (162.1 | )% | ||
| Net Assets | 100.0 | % | ||
At June 30, 2023, open reverse repurchase agreements were as follows:
| Counterparty | Interest Rate |
Trade Date |
Maturity Date |
Face Amount |
Payable for Reverse Repurchase Agreements |
||||||||||
| Morgan Stanley Capital Services LLC | 5.22% | 6/29/2023 | 7/3/2023 | $ | 59,971,951 | $ | 59,971,951 | ||||||||
| $ | 59,971,951 | $ | 59,971,951 | ||||||||||||
A portion of receivable for securities sold included in the statement of asset and liabilities, in the amount of $17,706,200, has been pledged as collateral for reverse repurchase agreements as of June 30, 2023. See note 5 for additional information.
See Notes to Financial Statements.
99
Simplify Commodities Strategy No K-1 ETF
Consolidated Schedule of Investments
June 30, 2023
| Principal | Value | |||||||
| U.S. Treasury Bills – 87.9% | ||||||||
| U.S. Treasury Bill, 5.28%, 8/29/2023(a) | $ | 700,000 | $ | 694,286 | ||||
| U.S. Treasury Bill, 4.74%, 9/7/2023(a) | 2,185,000 | 2,164,372 | ||||||
| U.S. Treasury Bill, 5.33%, 10/3/2023(a) | 2,600,000 | 2,565,714 | ||||||
| Total U.S. Treasury Bills (Cost $5,424,309) | 5,424,372 | |||||||
| Total Investments – 87.9% | ||||||||
| (Cost $5,424,309) | $ | 5,424,372 | ||||||
| Other Assets in Excess of Liabilities – 12.1% | 747,088 | |||||||
| Net Assets – 100.0% | $ | 6,171,460 | ||||||
| (a) | Represents a zero coupon bond. Rate shown reflects the effective yield. |
At June 30, 2023, open futures contracts were as follows:
| Number of Contracts |
Notional Value |
Expiration Date |
Value/ Unrealized Appreciation (Depreciation) |
|||||||||||
| Long position contracts: | ||||||||||||||
| Natural Gas Future | 4 | $ | 111,920 | 7/27/23 | $ | 5,879 | ||||||||
| Gasoline RBOB Future | 1 | 106,886 | 7/31/23 | (1,792 | ) | |||||||||
| NY Harbor ULSD Future | 2 | 205,598 | 7/31/23 | (3,898 | ) | |||||||||
| Soybean Future | 7 | 259,140 | 8/14/23 | 24,519 | ||||||||||
| Soybean Future | 1 | 72,100 | 8/14/23 | 1,253 | ||||||||||
| WTI Crude Future | 1 | 70,780 | 8/22/23 | (1,132 | ) | |||||||||
| Natural Gas Future | 3 | 83,220 | 8/29/23 | 1,393 | ||||||||||
| Gasoline RBOB Future | 1 | 103,425 | 8/31/23 | 1,703 | ||||||||||
| Soybean Oil Future | 3 | 108,360 | 9/14/23 | 7,725 | ||||||||||
| Wheat Future (CBT) | 3 | 97,650 | 9/14/23 | (13,540 | ) | |||||||||
| Natural Gas Future | 2 | 56,940 | 9/27/23 | 1,345 | ||||||||||
| Natural Gas Future | 2 | 64,220 | 10/27/23 | 1,245 | ||||||||||
| WTI Crude Future | 5 | 352,000 | 11/20/23 | (2,642 | ) | |||||||||
| Wheat Future (CBT) | 1 | 33,463 | 12/14/23 | (4,340 | ) | |||||||||
| Natural Gas Future | 2 | 76,980 | 12/27/23 | 1,005 | ||||||||||
| Total unrealized appreciation/(depreciation) | $ | 18,723 | ||||||||||||
| Short position contracts: | ||||||||||||||
| Gold 100 OZ Future | (7) | (1,350,580 | ) | 8/29/23 | (3,407 | ) | ||||||||
| Copper Future | (1) | (93,988 | ) | 9/27/23 | (2 | ) | ||||||||
| Silver Future | (5) | (575,500 | ) | 9/27/23 | (8,287 | ) | ||||||||
| Corn Future | (3) | (74,212 | ) | 12/14/23 | 42 | |||||||||
| Total unrealized appreciation/(depreciation) | $ | (11,654 | ) | |||||||||||
| Total net unrealized appreciation | $ | 7,069 | ||||||||||||
See Notes to Financial Statements.
100
Simplify Commodities Strategy No K-1 ETF
Consolidated Schedule of Investments (Continued)
June 30, 2023
Summary of Investment Type
| Industry | |
% of Net Assets |
| |
| U.S. Treasury Bills | 87.9 | % | ||
| Total Investments | 87.9 | % | ||
| Other Assets in Excess of Liabilities | 12.1 | % | ||
| Net Assets | 100.0 | % | ||
See Notes to Financial Statements.
101
Consolidated Schedule of Investments
June 30, 2023
| Shares | Value | |||||||
| Exchange-Traded Funds – 79.5% | ||||||||
| iShares Gold Trust* | 80,879 | $ | 2,943,187 | |||||
| Simplify Aggregate Bond PLUS Credit Hedge ETF(a) | 106,470 | 2,397,076 | ||||||
| Simplify Commodities Strategy No K-1 ETF(a) | 131,353 | 3,245,076 | ||||||
| Simplify High Yield PLUS Credit Hedge ETF(a)(b) | 407,671 | 8,900,355 | ||||||
| Simplify Intermediate Term Treasury Futures Strategy ETF(a)(b) | 204,512 | 3,006,326 | ||||||
| Simplify Managed Futures Strategy ETF(a)(b) | 278,272 | 7,095,936 | ||||||
| Simplify Market Neutral Equity Long/Short ETF*(a) | 100,000 | 2,461,750 | ||||||
| Simplify Short Term Treasury Futures Strategy ETF(a)(b) | 352,303 | 7,990,232 | ||||||
| Simplify Volatility Premium ETF(a)(b) | 119,401 | 2,740,253 | ||||||
| Total Exchange-Traded Funds (Cost $41,835,684) | 40,780,191 | |||||||
| Principal | ||||||||
| U.S. Treasury Bills – 8.3% | ||||||||
| U.S. Treasury Bill, 4.88%, 9/7/2023(c) | $ | 376,900 | 373,342 | |||||
| U.S. Treasury Bill, 5.26%, 9/19/2023(c) | 950,000 | 939,373 | ||||||
| U.S. Treasury Bill, 5.40%, 10/3/2023(c) | 3,000,000 | 2,960,439 | ||||||
| Total U.S. Treasury Bills (Cost $4,271,536) | 4,273,154 | |||||||
| Number of Contracts |
Notional Amount |
|||||||||||
| Purchased Options – 9.6% | ||||||||||||
| Calls – Exchange-Traded – 9.3% | ||||||||||||
| CBOE Volatility Index, July Strike Price $30, Expires 7/19/23 | 1,553 | 4,659,000 | 13,201 | |||||||||
| CBOE Volatility Index, October Strike Price $35, Expires 10/18/23 | 963 | 3,370,500 | 75,114 | |||||||||
| CME 3-Month SOFR Futures, December Strike Price $95, Expires 12/15/23 | 255 | 60,562,500 | 117,937 | |||||||||
| SPDR S&P 500, September Strike Price $395, Expires 9/15/23 | 580 | 22,910,000 | 3,138,670 | |||||||||
| SPDR S&P 500, December Strike Price $320, Expires 12/15/23 | 110 | 3,520,000 | 1,438,195 | |||||||||
| 4,783,117 | ||||||||||||
| Puts – Exchange-Traded – 0.3% | ||||||||||||
| AutoNation, Inc., July Strike Price $120, Expires 7/21/23 | 50 | 600,000 | 2,250 | |||||||||
| AutoNation, Inc., October Strike Price $110, Expires 10/20/23 | 100 | 1,100,000 | 10,250 | |||||||||
| NVIDIA Corp., October Strike Price $300, Expires 10/20/23 | 307 | 9,210,000 | 123,567 | |||||||||
| 136,067 | ||||||||||||
| Total Purchased Options (Cost $4,436,160) | 4,919,184 | |||||||||||
| Shares | ||||||||
| Money Market Funds – 2.4% | ||||||||
| Fidelity Investments Money Market Treasury Only Portfolio - Class I, 4.81%(d) | ||||||||
| (Cost $1,238,179) | 1,238,179 | 1,238,179 | ||||||
| Total Investments – 99.8% | ||||||||
| (Cost $51,781,559) | $ | 51,210,708 | ||||||
| Other Assets in Excess of Liabilities – 0.2% | 86,024 | |||||||
| Net Assets – 100.0% | $ | 51,296,732 | ||||||
See Notes to Financial Statements.
102
Simplify Macro Strategy ETF
Consolidated Schedule of Investments (Continued)
June 30, 2023
| Number of Contracts |
Notional Amount |
Value | ||||||||||
| Written Options – (1.9)% | ||||||||||||
| Calls – Exchange-Traded – (1.9)% | ||||||||||||
| CBOE Volatility Index, July Strike Price $45, Expires 7/19/23 | (1,975 | ) | $ | (8,887,500 | ) | $ | (5,925 | ) | ||||
| CBOE Volatility Index, October Strike Price $55, Expires 10/18/23 | (963 | ) | (5,296,500 | ) | (31,779 | ) | ||||||
| CME 3-Month SOFR Futures, December Strike Price $96, Expires 12/15/23 | (255 | ) | (61,200,000 | ) | (52,594 | ) | ||||||
| NVIDIA Corp., January Strike Price $470, Expires 1/19/24 | (205 | ) | (9,635,000 | ) | (889,187 | ) | ||||||
| (979,485 | ) | |||||||||||
| Total Written Options (Premiums Received $1,528,054) | $ | (979,485 | ) | |||||||||
| * | Non Income Producing |
| (a) | Affiliated fund managed by Simplify Asset Management Inc. | |
| (b) | Securities with an aggregate market value of $14,474,914 have been pledged as collateral for options as of June 30, 2023. (c) Represents a zero coupon bond. Rate shown reflects the effective yield. | |
| (d) | Rate shown reflects the 7-day yield as of June 30, 2023. |
See Notes to Financial Statements.
103
Simplify Macro Strategy ETF
Consolidated Schedule of Investments (Continued)
June 30, 2023
Affiliates
Fiscal year to date transactions with companies which are or were affiliates are as follows:
| Affiliate | Value at beginning of the period |
Purchases Cost |
Sales Proceeds |
Net Realized Gain/(Loss) |
Net Change in Unrealized |
Value at the end of the period |
Number of Shares at the end of the period |
Dividend Income |
Capital Gain Distributions |
|||||||||||||||||||||||||||
| Simplify Aggregate Bond PLUS Credit Hedge ETF | $ | — | $ | 3,765,341 | $ | (1,251,274 | ) | $ | (50,816 | ) | $ | (66,176 | ) | $ | 2,397,076 | 106,470 | $ | 44,026 | $ | — | ||||||||||||||||
| Simplify Commodities Strategy No K-1 ETF | — | 3,407,402 | (113,363 | ) | 1,529 | (50,492 | ) | 3,245,076 | 131,353 | 12,986 | — | |||||||||||||||||||||||||
| Simplify High Yield PLUS Credit Hedge ETF | 1,634,446 | 11,066,509 | (3,678,226 | ) | (130,815 | ) | 8,441 | 8,900,355 | 407,671 | 459,999 | — | |||||||||||||||||||||||||
| Simplify Interest Rate Hedge ETF | — | 2,371,759 | (2,384,245 | ) | 12,486 | — | — | — | 10,568 | — | ||||||||||||||||||||||||||
| Simplify Intermediate Term Treasury Futures Strategy ETF | 424,657 | 4,590,029 | (1,520,373 | ) | (166,486 | ) | (321,501 | ) | 3,006,326 | 204,512 | 75,046 | — | ||||||||||||||||||||||||
| Simplify Managed Futures Strategy ETF | 1,678,230 | 10,937,657 | (4,953,102 | ) | (491,829 | ) | (75,020 | ) | 7,095,936 | 278,272 | 191,178 | — | ||||||||||||||||||||||||
| Simplify Market Neutral Equity Long/ Short ETF | — | 2,587,257 | (85,626 | ) | 358 | (40,239 | ) | 2,461,750 | 100,000 | — | — | |||||||||||||||||||||||||
| Simplify Short Term Treasury Futures Strategy ETF | — | 9,320,013 | (582,407 | ) | (5,548 | ) | (741,826 | ) | 7,990,232 | 352,303 | 162,721 | — | ||||||||||||||||||||||||
| Simplify Volatility Premium ETF | 1,348,049 | 8,270,055 | (6,756,199 | ) | (283,036 | ) | 161,384 | 2,740,253 | 119,401 | 688,134 | — | |||||||||||||||||||||||||
| $ | 5,085,382 | $ | 56,316,022 | $ | (21,324,815 | ) | $ | (1,114,157 | ) | $ | (1,125,429 | ) | $ | 37,837,004 | 1,699,982 | $ | 1,644,658 | $ | — | |||||||||||||||||
Summary of Investment Type
Industry |
|
% of Net Assets |
| |
| Exchange-Traded Funds | 79.5 | % | ||
| Purchased Options | 9.6 | % | ||
| U.S. Treasury Bills | 8.3 | % | ||
| Money Market Funds | 2.4 | % | ||
| Total Investments | 99.8 | % | ||
| Other Assets in Excess of Liabilities | 0.2 | % | ||
| Net Assets | 100.0 | % | ||
See Notes to Financial Statements.
104
Simplify Managed Futures Strategy ETF
Consolidated Schedule of Investments
June 30, 2023
| Principal | Value | |||||||
| U.S. Treasury Bills – 84.8% | ||||||||
| U.S. Treasury Bill, 4.92%, 8/10/2023(a) | $ | 49,050,000 | $ | 48,784,653 | ||||
| U.S. Treasury Bill, 4.87%, 9/7/2023(a) | 21,600,000 | 21,396,085 | ||||||
| U.S. Treasury Bill, 5.33%, 10/3/2023(a) | 38,200,000 | 37,696,253 | ||||||
| U.S. Treasury Bill, 5.43%, 12/21/2023(a) | 500,000 | 487,567 | ||||||
| Total U.S. Treasury Bills (Cost $108,362,041) | 108,364,558 | |||||||
| Total Investments – 84.8% | ||||||||
| (Cost $108,362,041) | $ | 108,364,558 | ||||||
| Other Assets in Excess of Liabilities – 15.2% | 19,378,347 | |||||||
| Net Assets – 100.0% | $ | 127,742,905 | ||||||
| (a) | Represents a zero coupon bond. Rate shown reflects the effective yield. |
At June 30, 2023, open futures contracts were as follows:
| Number of Contracts |
Notional Value |
Expiration Date |
Value/ Unrealized Appreciation (Depreciation) |
||||||||||
| Long position contracts: | |||||||||||||
| WTI Crude Future | 7 | $ | 494,480 | 7/20/23 | $ | 7,809 | |||||||
| Natural Gas Future | 27 | 755,460 | 7/27/23 | 25,316 | |||||||||
| Soybean Oil Future | 85 | 3,146,700 | 8/14/23 | 220,999 | |||||||||
| Live Cattle Future | 164 | 11,622,680 | 8/31/23 | 256,661 | |||||||||
| Soybean Oil Future | 47 | 1,697,640 | 9/14/23 | 93,394 | |||||||||
| Wheat Future (CBT) | 40 | 1,302,000 | 9/14/23 | (176,318 | ) | ||||||||
| Natural Gas Future | 25 | 711,750 | 9/27/23 | 4,313 | |||||||||
| Soybean Oil Future | 11 | 391,776 | 10/13/23 | 18,627 | |||||||||
| Live Cattle Future | 190 | 13,645,800 | 10/31/23 | 364,660 | |||||||||
| WTI Crude Future | 39 | 2,745,600 | 11/20/23 | 22,230 | |||||||||
| Wheat Future (CBT) | 8 | 267,700 | 12/14/23 | (34,624 | ) | ||||||||
| WTI Crude Future | 21 | 1,474,200 | 12/19/23 | 3,080 | |||||||||
| Natural Gas Future | 17 | 654,330 | 12/27/23 | 3,156 | |||||||||
| Live Cattle Future | 138 | 10,130,580 | 12/29/23 | 211,776 | |||||||||
| WTI Crude Future | 12 | 839,760 | 1/22/24 | (8,569 | ) | ||||||||
| WTI Crude Future | 23 | 1,604,480 | 2/20/24 | 11,246 | |||||||||
| Natural Gas Future | 1 | 35,030 | 2/27/24 | 234 | |||||||||
| Natural Gas Future | 6 | 191,100 | 3/26/24 | 724 | |||||||||
| Total unrealized appreciation/(depreciation) | $ | 1,024,714 | |||||||||||
| Short position contracts: | |||||||||||||
| Gold 100 OZ Future | (145) | (27,976,300 | ) | 8/29/23 | 218,809 | ||||||||
| Natural Gas Future | (5) | (138,700 | ) | 8/29/23 | (32 | ) | |||||||
| Corn Future | (90) | (2,198,250 | ) | 9/14/23 | 48,695 | ||||||||
| Bank Accept Future | (90) | (16,046,801 | ) | 9/18/23 | 139,862 | ||||||||
| Copper Future | (95) | (8,928,813 | ) | 9/27/23 | (38,188 | ) | |||||||
| Silver Future | (75) | (8,632,500 | ) | 9/27/23 | (125,185 | ) | |||||||
| US 5 Year Note (CBT) | (712) | (76,250,750 | ) | 9/29/23 | 1,354,933 | ||||||||
| Sugar #11 (World) Future | (92) | (2,348,282 | ) | 9/29/23 | 55,046 | ||||||||
See Notes to Financial Statements.
105
Simplify Managed Futures Strategy ETF
Consolidated Schedule of Investments (Continued)
June 30, 2023
| Number of Contracts |
Notional Value |
Expiration Date |
Value/ Unrealized Appreciation (Depreciation) |
||||||||||
| Short position contracts: (continued) | |||||||||||||
| Gold 100 OZ Future | (5) | $ | (974,250 | ) | 10/27/23 | $ | 9,318 | ||||||
| Natural Gas Future | (6) | (217,320 | ) | 11/28/23 | (86 | ) | |||||||
| Cotton No. 2 Future | (371) | (14,908,635 | ) | 12/6/23 | (67,255 | ) | |||||||
| Corn Future | (105) | (2,597,437 | ) | 12/14/23 | 124,576 | ||||||||
| Copper Future | (2) | (188,600 | ) | 12/27/23 | (41 | ) | |||||||
| Gold 100 OZ Future | (7) | (1,377,600 | ) | 12/27/23 | (1,347 | ) | |||||||
| Silver Future | (12) | (1,400,220 | ) | 12/27/23 | (15,648 | ) | |||||||
| Sugar #11 (World) Future | (48) | (1,230,566 | ) | 2/29/24 | 9,500 | ||||||||
| Cotton No. 2 Future | (41) | (1,645,125 | ) | 3/6/24 | (25,638 | ) | |||||||
| 3 Month SOFR Future | (722) | (170,825,200 | ) | 3/19/24 | 916,107 | ||||||||
| Copper Future | (3) | (283,388 | ) | 3/26/24 | (1,657 | ) | |||||||
| Silver Future | (1) | (118,310 | ) | 3/26/24 | (2,337 | ) | |||||||
| Sugar #11 (World) Future | (20) | (484,736 | ) | 4/30/24 | 12,709 | ||||||||
| Corn Future | (9) | (231,075 | ) | 5/14/24 | 7,386 | ||||||||
| 3 Month SOFR Future | (717) | (170,081,362 | ) | 6/18/24 | 925,837 | ||||||||
| 3 Month SOFR Future | (853) | (203,099,300 | ) | 9/17/24 | 1,278,692 | ||||||||
| 3 Month SOFR Future | (657) | (157,072,275 | ) | 12/17/24 | 424,359 | ||||||||
| Total unrealized appreciation/(depreciation) | $ | 5,248,415 | |||||||||||
| Total net unrealized appreciation | $ | 6,273,129 | |||||||||||
Summary of Investment Type
| Industry | % of Net Assets |
|||
| U.S. Treasury Bills | 84.8 | % | ||
| Total Investments | 84.8 | % | ||
| Other Assets in Excess of Liabilities | 15.2 | % | ||
| Net Assets | 100.0 | % | ||
See Notes to Financial Statements.
106
Simplify Volatility Premium ETF
Consolidated Schedule of Investments
June 30, 2023
| Principal | Value | |||||||
| U.S. Treasury Bills – 59.6% | ||||||||
| U.S. Treasury Bill, 5.10%, 8/15/2023(a) | $ | 30,000,000 | $ | 29,815,608 | ||||
| U.S. Treasury Bill, 5.22%, 8/29/2023(a) | 40,500,000 | 40,169,382 | ||||||
| U.S. Treasury Bill, 5.25%, 9/7/2023(a)(b) | 2,000,000 | 1,981,119 | ||||||
| U.S. Treasury Bill, 5.34%, 10/3/2023(a) | 122,500,000 | 120,884,582 | ||||||
| Total U.S. Treasury Bills (Cost $192,738,984) | 192,850,691 | |||||||
| U.S. Government Obligations – 36.3% | ||||||||
| U.S. Treasury Inflation Indexed Note, 0.63%, 1/15/2024 | $ | 91,900,000 | 117,435,748 | |||||
| U.S. Treasury Note, 2.88%, 6/15/2025(b) | 100,000 | 96,201 | ||||||
| Total U.S. Government Obligations (Cost $117,566,695) | 117,531,949 | |||||||
| Number of Contracts |
Notional Amount |
|||||||||||
| Purchased Options – 0.3% | ||||||||||||
| Calls – Exchange-Traded – 0.3% | ||||||||||||
| CBOE Volatility Index, September Strike Price $50, Expires 9/20/23 | 26,660 | 133,300,000 | 773,140 | |||||||||
| CBOE Volatility Index, October Strike Price $50, Expires 10/18/23 | 3,720 | 18,600,000 | 159,960 | |||||||||
| 933,100 | ||||||||||||
| Total Purchased Options (Cost $1,526,943) | 933,100 | |||||||||||
| Total Investments – 96.2% | ||||||||||||
| (Cost $311,832,622) | $ | 311,315,740 | ||||||||||
| Other Assets in Excess of Liabilities – 3.8% | 12,274,195 | |||||||||||
| Net Assets – 100.0% | $ | 323,589,935 | ||||||||||
| (a) | Represents a zero coupon bond. Rate shown reflects the effective yield. |
| (b) | Securities with an aggregate market value of $2,077,280 have been pledged as collateral for options as of June 30, 2023. |
At June 30, 2023, open futures contracts were as follows:
| Number of Contracts |
Notional Value |
Expiration Date |
Value/ Unrealized Appreciation (Depreciation) |
||||||||||
| Short position contracts: | |||||||||||||
| CBOE VIX Future | (2,064) | $ | (36,332,799 | ) | 9/20/23 | $ | 3,389,887 | ||||||
| CBOE VIX Future | (1,248) | (22,899,427 | ) | 10/18/23 | 1,021,482 | ||||||||
| Total net unrealized appreciation | $ | 4,411,369 | |||||||||||
See Notes to Financial Statements.
107
Simplify Volatility Premium ETF
Consolidated Schedule of Investments (Continued)
June 30, 2023
Summary of Investment Type
Industry |
|
% of Net Assets |
| |
| U.S. Treasury Bills | 59.6 | % | ||
| U.S. Government Obligations | 36.3 | % | ||
| Purchased Options | 0.3 | % | ||
| Total Investments | 96.2 | % | ||
| Other Assets in Excess of Liabilities | 3.8 | % | ||
| Net Assets | 100.0 | % | ||
At June 30, 2023, open reverse repurchase agreements were as follows:
| Counterparty | Interest Rate |
Trade Date |
Maturity Date |
Face Amount |
Payable for Reverse Repurchase Agreements |
|||||||||||||
| Morgan Stanley Capital Services LLC | 5.22 | % | 6/30/2023 | 7/3/2023 | $ | 144,536,933 | $ | 144,536,933 | ||||||||||
| $ | 144,536,933 | $ | 144,536,933 | |||||||||||||||
A portion of receivable for securities sold included in the statement of asset and liabilities, in the amount of $144,536,933, has been pledged as collateral for reverse repurchase agreements as of June 30, 2023. See note 5 for additional information.
See Notes to Financial Statements.
108
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Simplify Exchange Traded Funds
Statements of Assets and Liabilities
June 30, 2023
| Simplify Aggregate Bond PLUS Credit Hedge ETF |
Simplify Developed Ex-US PLUS Downside Convexity ETF |
Simplify Emerging Markets Equity PLUS Downside Convexity ETF |
Simplify Enhanced Income ETF |
|||||||||||||
| Assets | ||||||||||||||||
| Investments, at value | $ | 11,417,278 | $ | 17,182,878 | $ | 4,103,007 | $ | 25,303,800 | ||||||||
| Cash | 107,048 | — | — | 232,165 | ||||||||||||
| Unrealized appreciation on over the counter swaps | 8,459 | — | — | — | ||||||||||||
| Receivables: | ||||||||||||||||
| Securities sold | 1,348,473 | 4,517,896 | 10,014 | — | ||||||||||||
| Capital shares | 561,010 | — | — | 8,118,251 | ||||||||||||
| Due from broker | 33,364 | — | — | — | ||||||||||||
| Interest | 8,099 | — | — | — | ||||||||||||
| Investment adviser | 2,621 | 4,411 | 844 | — | ||||||||||||
| Dividends | 226 | 716 | 70 | — | ||||||||||||
| Total assets | 13,486,578 | 21,705,901 | 4,113,935 | 33,654,216 | ||||||||||||
| Liabilities | ||||||||||||||||
| Unrealized depreciation on over the counter swaps | 6,081 | — | — | — | ||||||||||||
| Payables: | ||||||||||||||||
| Securities purchased | 1,499,629 | — | — | 7,898,891 | ||||||||||||
| Distributions payable | 100,000 | 365,500 | 29,250 | 135,000 | ||||||||||||
| Written options | 58,910 | 110,772 | 19,408 | — | ||||||||||||
| Investment advisory fees | 4,437 | 8,821 | 1,687 | 6,713 | ||||||||||||
| Capital shares | — | 4,441,139 | — | — | ||||||||||||
| Other accrued expenses | 4,807 | 2,112 | 661 | 2,874 | ||||||||||||
| Total liabilities | 1,673,864 | 4,928,344 | 51,006 | 8,043,478 | ||||||||||||
| Net Assets | $ | 11,812,714 | $ | 16,777,557 | $ | 4,062,929 | $ | 25,610,738 | ||||||||
| Net Assets Consist of | ||||||||||||||||
| Paid-in capital | $ | 12,041,568 | $ | 21,519,780 | $ | 5,828,418 | $ | 25,639,393 | ||||||||
| Distributable earnings (loss) | (228,854 | ) | (4,742,223 | ) | (1,765,489 | ) | (28,655 | ) | ||||||||
| Net Assets | $ | 11,812,714 | $ | 16,777,557 | $ | 4,062,929 | $ | 25,610,738 | ||||||||
| Number of Common Shares outstanding | 525,001 | 850,001 | 225,001 | 1,025,001 | ||||||||||||
| Net Asset Value, offering and redemption price per share | $ | 22.50 | $ | 19.74 | $ | 18.06 | $ | 24.99 | ||||||||
| Investments, at cost | $ | 11,467,277 | $ | 18,384,609 | $ | 4,772,480 | $ | 25,301,818 | ||||||||
| Premiums received | $ | 87,097 | $ | 174,748 | $ | 27,425 | $ | — | ||||||||
| Maintenance Margin Requirement | $ | 464,847 | $ | — | $ | — | $ | — | ||||||||
See Notes to Financial Statements.
110
Simplify Exchange Traded Funds
Statements of Assets and Liabilities (Continued)
June 30, 2023
| Simplify Health Care ETF |
Simplify
Hedged Equity ETF |
Simplify High Yield PLUS Credit Hedge ETF |
Simplify Interest Rate Hedge ETF |
|||||||||||||
| Assets | ||||||||||||||||
| Investments, at value | $ | 57,443,570 | $ | 109,926,970 | $ | 45,194,376 | $ | 212,975,428 | ||||||||
| Cash | — | — | 333,509 | 5,499,729 | ||||||||||||
| Unrealized appreciation on over the counter swaps | — | — | 207,769 | 1,195 | ||||||||||||
| Receivables: | ||||||||||||||||
| Capital shares | 2,627,436 | 617,386 | — | 24,389 | ||||||||||||
| Securities sold | 1,852,933 | — | — | 507,000 | ||||||||||||
| Dividends | 42,997 | — | 2,699 | — | ||||||||||||
| Foreign tax reclaim | 18,461 | — | — | — | ||||||||||||
| Interest | — | 637 | — | 900,164 | ||||||||||||
| Due from broker | — | 12,405 | — | 8,498 | ||||||||||||
| Investment adviser | — | — | 9,293 | — | ||||||||||||
| Total assets | 61,985,397 | 110,557,398 | 45,747,646 | 219,916,403 | ||||||||||||
| Liabilities | ||||||||||||||||
| Unrealized depreciation on over the counter swaps | — | — | 260,149 | — | ||||||||||||
| Payables: | ||||||||||||||||
| Securities purchased | 2,629,243 | 627,001 | — | — | ||||||||||||
| Distributions payable | 269,750 | 342,000 | 207,500 | 342,500 | ||||||||||||
| Investment advisory fees | 22,383 | 42,899 | 18,586 | 92,273 | ||||||||||||
| Capital shares | — | — | — | 1,625,910 | ||||||||||||
| Written options | — | 2,748,303 | 20,858 | — | ||||||||||||
| Other accrued expenses | — | — | 6 | — | ||||||||||||
| Total liabilities | 2,921,376 | 3,760,203 | 507,099 | 2,060,683 | ||||||||||||
| Net Assets | $ | 59,064,021 | $ | 106,797,195 | $ | 45,240,547 | $ | 217,855,720 | ||||||||
| Net Assets Consist of | ||||||||||||||||
| Paid-in capital | $ | 65,331,925 | $ | 104,594,502 | $ | 49,214,485 | $ | 131,946,680 | ||||||||
| Distributable earnings (loss) | (6,267,904 | ) | 2,202,693 | (3,973,938 | ) | 85,909,040 | ||||||||||
| Net Assets | $ | 59,064,021 | $ | 106,797,195 | $ | 45,240,547 | $ | 217,855,720 | ||||||||
| Number of Common Shares outstanding | 2,225,001 | 4,300,001 | 2,075,001 | 3,400,001 | ||||||||||||
| Net Asset Value, offering and redemption price per share | $ | 26.55 | $ | 24.84 | $ | 21.80 | $ | 64.08 | ||||||||
| Investments, at cost | $ | 55,787,832 | $ | 102,150,258 | $ | 45,239,907 | $ | 220,041,108 | ||||||||
| Premiums received | $ | — | $ | 1,524,896 | $ | 51,992 | $ | — | ||||||||
See Notes to Financial Statements.
111
Simplify Exchange Traded Funds
Statements of Assets and Liabilities (Continued)
June 30, 2023
| Simplify Intermediate Term Treasury Futures Strategy ETF |
Simplify Market Neutral Equity Long/Short ETF |
Simplify Opportunistic Income ETF |
Simplify Propel Opportunities ETF |
|||||||||||||
| Assets | ||||||||||||||||
| Investments, at value | $ | 53,174,978 | $ | 4,339,165 | $ | 35,776,339 | $ | 101,192,822 | ||||||||
| Cash | — | 27,341 | 1,082,502 | — | ||||||||||||
| Unrealized appreciation on over the counter swaps | — | 6,117 | — | — | ||||||||||||
| Receivables: | ||||||||||||||||
| Securities sold | 497,282 | — | — | 2,184,418 | ||||||||||||
| Investment adviser | 4,469 | — | 925 | 15,571 | ||||||||||||
| Interest | 774 | 6,041 | — | 26,859 | ||||||||||||
| Dividends | — | — | — | 30,877 | ||||||||||||
| Capital shares | — | — | 1,250,089 | — | ||||||||||||
| Total assets | 53,677,503 | 4,378,664 | 38,109,855 | 103,450,547 | ||||||||||||
| Liabilities | ||||||||||||||||
| Due to broker | 145,735 | — | — | — | ||||||||||||
| Unrealized depreciation on over the counter swaps | — | 12,006 | — | — | ||||||||||||
| Payables: | ||||||||||||||||
| Distributions payable | 180,000 | — | — | 3,107,601 | ||||||||||||
| Investment advisory fees | 11,171 | 1,339 | 1,952 | 171,286 | ||||||||||||
| Reset of swaps | — | 72,979 | — | — | ||||||||||||
| Securities purchased | — | 17,537 | 592,000 | — | ||||||||||||
| Total liabilities | 336,906 | 103,861 | 593,952 | 3,278,887 | ||||||||||||
| Net Assets | $ | 53,340,597 | $ | 4,274,803 | $ | 37,515,903 | $ | 100,171,660 | ||||||||
| Net Assets Consist of | ||||||||||||||||
| Paid-in capital | $ | 74,114,091 | $ | 4,356,418 | $ | 37,500,114 | $ | 104,474,716 | ||||||||
| Distributable earnings (loss) | (20,773,494 | ) | (81,615 | ) | 15,789 | (4,303,056 | ) | |||||||||
| Net Assets | $ | 53,340,597 | $ | 4,274,803 | $ | 37,515,903 | $ | 100,171,660 | ||||||||
| Number of Common Shares outstanding | 3,625,001 | 175,001 | 1,500,001 | 4,570,001 | ||||||||||||
| Net Asset Value, offering and redemption price per share | $ | 14.71 | $ | 24.43 | $ | 25.01 | $ | 21.92 | ||||||||
| Investments, at cost | $ | 53,163,877 | $ | 4,338,348 | $ | 35,769,828 | $ | 104,775,838 | ||||||||
| Maintenance Margin Requirement | $ | 19,815,782 | $ | — | $ | — | $ | — | ||||||||
See Notes to Financial Statements.
112
Simplify Exchange Traded Funds
Statements of Assets and Liabilities (Continued)
June 30, 2023
| Simplify Short Term Treasury Futures Strategy ETF |
Simplify Stable Income ETF |
Simplify Tail Risk Strategy ETF |
Simplify US Equity PLUS Convexity ETF |
|||||||||||||
| Assets | ||||||||||||||||
| Investments in unaffiliated securities, at value | $ | 526,246,074 | $ | 14,276,432 | $ | 2,660,465 | $ | 74,014,693 | ||||||||
| Investments in affiliated securities, at value | — | — | 15,472,993 | — | ||||||||||||
| Cash | 4,078,133 | 135,791 | — | — | ||||||||||||
| Receivables: | ||||||||||||||||
| Capital shares | 9,633,376 | — | — | — | ||||||||||||
| Securities sold | 2,983,691 | 59,435 | 234,737 | 150,141 | ||||||||||||
| Investment adviser | 27,425 | — | 60,789 | 14,555 | ||||||||||||
| Prepaid expenses | 3,894 | — | — | — | ||||||||||||
| Interest | 43 | — | — | — | ||||||||||||
| Dividends | — | — | 94,295 | 590 | ||||||||||||
| Due from broker | — | — | — | 28 | ||||||||||||
| Total assets | 542,972,636 | 14,471,658 | 18,523,279 | 74,180,007 | ||||||||||||
| Liabilities | ||||||||||||||||
| Due to broker | 1,623,242 | — | 258,657 | — | ||||||||||||
| Payables: | ||||||||||||||||
| Securities purchased | 4,934,131 | — | — | — | ||||||||||||
| Distributions payable | 2,080,000 | 57,500 | 114,000 | 479,750 | ||||||||||||
| Investment advisory fees | 68,563 | 4,150 | 11,306 | 29,110 | ||||||||||||
| Written options | — | — | 1,420,133 | 256,603 | ||||||||||||
| Other accrued expenses | — | 498 | 11,653 | 11 | ||||||||||||
| Total liabilities | 8,705,936 | 62,148 | 1,815,749 | 765,474 | ||||||||||||
| Net Assets | $ | 534,266,700 | $ | 14,409,510 | $ | 16,707,530 | $ | 73,414,533 | ||||||||
| Net Assets Consist of | ||||||||||||||||
| Paid-in capital | $ | 562,371,957 | $ | 14,404,483 | $ | 68,561,431 | $ | 77,399,913 | ||||||||
| Distributable earnings (loss) | (28,105,257 | ) | 5,027 | (51,853,901 | ) | (3,985,380 | ) | |||||||||
| Net Assets | $ | 534,266,700 | $ | 14,409,510 | $ | 16,707,530 | $ | 73,414,533 | ||||||||
| Number of Common Shares outstanding | 23,575,001 | 575,001 | 2,850,001 | 2,525,001 | ||||||||||||
| Net Asset Value, offering and redemption price per share | $ | 22.66 | $ | 25.06 | $ | 5.86 | $ | 29.08 | ||||||||
| Investments, at cost | $ | 526,129,145 | $ | 14,272,686 | $ | 7,849,874 | $ | 71,083,688 | ||||||||
| Investments in affiliated securities, at cost | $ | — | $ | — | $ | 15,482,498 | $ | — | ||||||||
| Premiums received | $ | — | $ | — | $ | 3,876,224 | $ | 465,738 | ||||||||
| Maintenance Margin Requirement | $ | 19,691,626 | $ | — | $ | — | $ | — | ||||||||
See Notes to Financial Statements.
113
Simplify Exchange Traded Funds
Statements of Assets and Liabilities (Continued)
June 30, 2023
| Simplify US Equity PLUS Downside Convexity ETF |
Simplify US Equity PLUS GBTC ETF |
Simplify
US Equity PLUS Upside Convexity ETF |
Simplify Volt RoboCar Disruption and Tech ETF |
|||||||||||||
| Assets | ||||||||||||||||
| Investments, at value | $ | 116,229,051 | $ | 8,314,485 | $ | 8,504,619 | $ | 4,314,301 | ||||||||
| Cash | — | — | — | 20 | ||||||||||||
| Receivables: | ||||||||||||||||
| Capital shares | 9,513,728 | 1,855,304 | — | — | ||||||||||||
| Securities sold | 767,375 | 116,411 | — | — | ||||||||||||
| Investment adviser | 21,578 | — | 1,685 | — | ||||||||||||
| Dividends | 280 | — | — | 960 | ||||||||||||
| Interest | — | 49 | 116 | — | ||||||||||||
| Due from broker | — | 362,326 | — | — | ||||||||||||
| Total assets | 126,532,012 | 10,648,575 | 8,506,420 | 4,315,281 | ||||||||||||
| Liabilities | ||||||||||||||||
| Due to broker | 265 | — | — | 3 | ||||||||||||
| Payables: | ||||||||||||||||
| Securities purchased | 9,551,003 | 1,876,983 | — | — | ||||||||||||
| Distributions payable | 813,750 | 27,500 | 52,250 | — | ||||||||||||
| Written options | 509,225 | — | 22,650 | 17,630 | ||||||||||||
| Investment advisory fees | 43,156 | 2,701 | 3,371 | 3,062 | ||||||||||||
| Total liabilities | 10,917,399 | 1,907,184 | 78,271 | 20,695 | ||||||||||||
| Net Assets | $ | 115,614,613 | $ | 8,741,391 | $ | 8,428,149 | $ | 4,294,586 | ||||||||
| Net Assets Consist of | ||||||||||||||||
| Paid-in capital | $ | 172,078,897 | $ | 13,458,713 | $ | 9,487,652 | $ | 8,752,394 | ||||||||
| Distributable earnings (loss) | (56,464,284 | ) | (4,717,322 | ) | (1,059,503 | ) | (4,457,808 | ) | ||||||||
| Net Assets | $ | 115,614,613 | $ | 8,741,391 | $ | 8,428,149 | $ | 4,294,586 | ||||||||
| Number of Common Shares outstanding | 4,225,001 | 350,001 | 275,001 | 475,001 | ||||||||||||
| Net Asset Value, offering and redemption price per share | $ | 27.36 | $ | 24.98 | $ | 30.65 | $ | 9.04 | ||||||||
| Investments, at cost | $ | 121,096,477 | $ | 8,490,474 | $ | 8,577,620 | $ | 3,965,654 | ||||||||
| Premiums received | $ | 1,210,697 | $ | — | $ | 13,377 | $ | 42,870 | ||||||||
| Maintenance Margin Requirement | $ | — | $ | 70,772 | $ | — | $ | — | ||||||||
See Notes to Financial Statements.
114
Simplify Exchange Traded Funds
Consolidated Statements of Assets and Liabilities
June 30, 2023
| Simplify Bitcoin Strategy PLUS Income ETF |
Simplify Commodities Strategy No K-1 ETF |
Simplify Macro Strategy ETF |
Simplify Managed Futures Strategy ETF |
|||||||||||||
| Assets | ||||||||||||||||
| Investments in unaffiliated securities, at value | $ | 65,408,044 | $ | 5,424,372 | $ | 13,373,704 | $ | 108,364,558 | ||||||||
| Investments in affiliated securities, at value | — | — | 37,837,004 | — | ||||||||||||
| Cash | 209,655 | 644,012 | 689,749 | 3,111,035 | ||||||||||||
| Segregated cash balances with authorized participants for deposit securities | — | — | 274,730 | — | ||||||||||||
| Receivables: | ||||||||||||||||
| Securities sold | 17,706,200 | — | — | — | ||||||||||||
| Due from broker | 1,829,776 | 131,931 | 303,492 | 17,319,148 | ||||||||||||
| Interest | 5,975 | 40 | — | — | ||||||||||||
| Dividends | — | — | 188,329 | — | ||||||||||||
| Investment adviser | — | — | 71,139 | — | ||||||||||||
| Total assets | 85,159,650 | 6,200,355 | 52,738,147 | 128,794,741 | ||||||||||||
| Liabilities | ||||||||||||||||
| Payables: | ||||||||||||||||
| Reverse repurchase agreement | 59,971,951 | — | — | — | ||||||||||||
| Distributions payable | 207,000 | 25,000 | 152,250 | 490,000 | ||||||||||||
| Investment advisory fees | 15,804 | 3,895 | 31,404 | 73,544 | ||||||||||||
| Authorized participants | — | — | 274,730 | — | ||||||||||||
| Securities purchased | — | — | — | 487,586 | ||||||||||||
| Written options | — | — | 979,485 | — | ||||||||||||
| Other accrued expenses | 12,200 | — | 3,546 | 706 | ||||||||||||
| Total liabilities | 60,206,955 | 28,895 | 1,441,415 | 1,051,836 | ||||||||||||
| Net Assets | $ | 24,952,695 | $ | 6,171,460 | $ | 51,296,732 | $ | 127,742,905 | ||||||||
| Net Assets Consist of | ||||||||||||||||
| Paid-in capital | $ | 17,210,886 | $ | 6,162,175 | $ | 53,027,944 | $ | 121,622,109 | ||||||||
| Distributable earnings (loss) | 7,741,809 | 9,285 | (1,731,212 | ) | 6,120,796 | |||||||||||
| Net Assets | $ | 24,952,695 | $ | 6,171,460 | $ | 51,296,732 | $ | 127,742,905 | ||||||||
| Number of Common Shares outstanding | 1,380,001 | 250,001 | 2,200,001 | 5,000,001 | ||||||||||||
| Net Asset Value, offering and redemption price per share | $ | 18.08 | $ | 24.69 | $ | 23.32 | $ | 25.55 | ||||||||
| Investments, at cost | $ | 65,379,819 | $ | 5,424,309 | $ | 12,797,156 | $ | 108,362,041 | ||||||||
| Investments in affiliated securities, at cost | $ | — | $ | — | $ | 38,984,403 | $ | — | ||||||||
| Premiums received | $ | — | $ | — | $ | 1,528,054 | $ | — | ||||||||
| Maintenance Margin Requirement | $ | 14,164,813 | $ | 492,453 | $ | 54,878 | $ | 14,956,107 | ||||||||
See Notes to Financial Statements.
115
Simplify Exchange Traded Funds
Consolidated Statements of Assets and Liabilities (Continued)
June 30, 2023
| Simplify Volatility Premium ETF |
||||
| Assets | ||||
| Investments, at value | $ | 311,315,740 | ||
| Receivables: | ||||
| Securities sold | 173,208,719 | |||
| Due from broker | 153,067,228 | |||
| Capital shares | 570,329 | |||
| Interest | 267,988 | |||
| Total assets | 638,430,004 | |||
| Liabilities | ||||
| Due to custodian | 95,387,936 | |||
| Payables: | ||||
| Reverse repurchase agreement | 144,536,933 | |||
| Securities purchased | 70,428,738 | |||
| Distributions payable | 4,368,000 | |||
| Investment advisory fees | 118,462 | |||
| Total liabilities | 314,840,069 | |||
| Net Assets | $ | 323,589,935 | ||
| Net Assets Consist of | ||||
| Paid-in capital | $ | 312,186,831 | ||
| Distributable earnings (loss) | 11,403,104 | |||
| Net Assets | $ | 323,589,935 | ||
| Number of Common Shares outstanding | 14,125,001 | |||
| Net Asset Value, offering and redemption price per share | $ | 22.91 | ||
| Investments, at cost | $ | 311,832,622 | ||
| Maintenance Margin Requirement | $ | 78,017,802 | ||
See Notes to Financial Statements.
116
Simplify Exchange Traded Funds
Statements of Operations
Year/ Period Ended June 30, 2023
| Simplify Aggregate Bond PLUS Credit Hedge ETF |
Simplify Developed Ex-US PLUS Downside Convexity ETF |
Simplify Emerging Markets Equity PLUS Downside Convexity ETF |
Simplify Enhanced Income ETF(1) |
|||||||||||||
| Investment Income | ||||||||||||||||
| Unaffiliated dividend income | $ | 67,464 | $ | 517,828 | $ | 107,662 | $ | — | ||||||||
| Affiliated dividend income | 6,699 | — | — | — | ||||||||||||
| Interest income | 36,976 | — | — | 229,148 | ||||||||||||
| Total income | 111,139 | 517,828 | 107,662 | 229,148 | ||||||||||||
| Expenses | ||||||||||||||||
| Investment advisory fees | 18,245 | 109,051 | 29,958 | 24,001 | ||||||||||||
| Interest expense | 13,275 | 9,894 | 3,601 | 17,439 | ||||||||||||
| Other expenses | 224 | 136 | 142 | 141 | ||||||||||||
| Total expenses | 31,744 | 119,081 | 33,701 | 41,581 | ||||||||||||
| Less fees waived (see Note 6): | ||||||||||||||||
| Waiver | (9,735 | ) | (54,550 | ) | (15,011 | ) | — | |||||||||
| Net expenses | 22,009 | 64,531 | 18,690 | 41,581 | ||||||||||||
| Net investment income (loss) | 89,130 | 453,297 | 88,972 | 187,567 | ||||||||||||
| Realized and Unrealized Gain (Loss) | ||||||||||||||||
| Net realized gain (loss) from: | ||||||||||||||||
| Investments | (248,959 | ) | (4,272,009 | ) | (1,436,004 | ) | (85,109 | ) | ||||||||
| Affiliated investments | (20,791 | ) | — | — | — | |||||||||||
| In-kind redemptions | (55,478 | ) | 69,116 | (221,218 | ) | — | ||||||||||
| Affiliated in-kind redemptions | 8,832 | — | — | — | ||||||||||||
| Futures | (11,596 | ) | — | — | — | |||||||||||
| Swaps | 25,222 | — | — | — | ||||||||||||
| Written options | 179,053 | 1,798,409 | 609,158 | 319,946 | ||||||||||||
| Net realized gain (loss) | (123,717 | ) | (2,404,484 | ) | (1,048,064 | ) | 234,837 | |||||||||
| Net change in unrealized appreciation (depreciation) on: | ||||||||||||||||
| Investments | 29,606 | 2,590,616 | 264,224 | 1,982 | ||||||||||||
| Affiliated investments | (5,748 | ) | — | — | — | |||||||||||
| Futures | (28,513 | ) | — | — | — | |||||||||||
| Swaps | (2,859 | ) | — | — | — | |||||||||||
| Written options | 27,869 | 63,976 | 8,017 | — | ||||||||||||
| Net unrealized gain (loss) | 20,355 | 2,654,592 | 272,241 | 1,982 | ||||||||||||
| Net realized and unrealized gain (loss) | (103,362 | ) | 250,108 | (775,823 | ) | 236,819 | ||||||||||
| Net Increase (Decrease) in Net Assets Resulting from Operations | $ | (14,232 | ) | $ | 703,405 | $ | (686,851 | ) | $ | 424,386 | ||||||
| (1) | For the period October 28, 2022 (commencement of operations) through June 30, 2023. |
See Notes to Financial Statements.
117
Simplify Exchange Traded Funds
Statements of Operations (Continued)
Year/ Period Ended June 30, 2023
| Simplify Health Care ETF |
Simplify
Hedged Equity ETF |
Simplify High Yield PLUS Credit Hedge ETF |
Simplify Interest Rate Hedge ETF |
|||||||||||||
| Investment Income | ||||||||||||||||
| Dividend income* | $ | 598,280 | $ | 1,546,517 | $ | 1,604 | $ | — | ||||||||
| Interest income | — | — | 1,454,645 | 8,523,448 | ||||||||||||
| Total income | 598,280 | 1,546,517 | 1,456,249 | 8,523,448 | ||||||||||||
| Expenses | ||||||||||||||||
| Investment advisory fees | 244,821 | 443,855 | 219,682 | 1,543,753 | ||||||||||||
| Interest expense | 18 | 201,474 | 4,063 | 26 | ||||||||||||
| Other expenses | 44 | 379 | 288 | 58 | ||||||||||||
| Total expenses | 244,883 | 645,708 | 224,033 | 1,543,837 | ||||||||||||
| Less fees waived (see Note 6): | ||||||||||||||||
| Waiver | — | — | (109,850 | ) | — | |||||||||||
| Net expenses | 244,883 | 645,708 | 114,183 | 1,543,837 | ||||||||||||
| Net investment income (loss) | 353,397 | 900,809 | 1,342,066 | 6,979,611 | ||||||||||||
| Realized and Unrealized Gain (Loss) | ||||||||||||||||
| Net realized gain (loss) from: | ||||||||||||||||
| Investments | (5,665,187 | ) | (8,554,271 | ) | (2,084,938 | ) | 93,935,396 | |||||||||
| In-kind redemptions | 2,441,603 | 2,706,841 | — | — | ||||||||||||
| Swaps | — | — | 1,254,579 | — | ||||||||||||
| Written options | — | 5,309,471 | 1,364,438 | — | ||||||||||||
| Net realized gain (loss) | (3,223,584 | ) | (537,959 | ) | 534,079 | 93,935,396 | ||||||||||
| Net change in unrealized appreciation (depreciation) on: | ||||||||||||||||
| Investments | 4,827,651 | 12,502,107 | (42,360 | ) | (58,638,788 | ) | ||||||||||
| Swaps | — | — | 81,728 | 466 | ||||||||||||
| Written options | — | (1,741,256 | ) | 15,460 | — | |||||||||||
| Net unrealized gain (loss) | 4,827,651 | 10,760,851 | 54,828 | (58,638,322 | ) | |||||||||||
| Net realized and unrealized gain (loss) | 1,604,067 | 10,222,892 | 588,907 | 35,297,074 | ||||||||||||
| Net Increase (Decrease) in Net Assets Resulting from Operations | $ | 1,957,464 | $ | 11,123,701 | $ | 1,930,973 | $ | 42,276,685 | ||||||||
| * Withholding tax | $ | 27,691 | $ | — | $ | — | $ | — | ||||||||
See Notes to Financial Statements.
118
Simplify Exchange Traded Funds
Statements of Operations (Continued)
Year/ Period Ended June 30, 2023
| Simplify Intermediate Term Treasury Futures Strategy ETF |
Simplify Market Neutral Equity Long/Short ETF(1) |
Simplify Opportunistic Income ETF(2) |
Simplify Propel Opportunities ETF(3) |
|||||||||||||
| Investment Income | ||||||||||||||||
| Dividend income | $ | 56,230 | $ | — | $ | — | $ | 481,300 | ||||||||
| Interest income | 1,354,538 | 6,721 | 10,306 | 42,635 | ||||||||||||
| Total income | 1,410,768 | 6,721 | 10,306 | 523,935 | ||||||||||||
| Expenses | ||||||||||||||||
| Investment advisory fees | 105,968 | 1,339 | 1,952 | 718,435 | ||||||||||||
| Interest expense | 9,099 | — | — | 370 | ||||||||||||
| Other expenses | 58 | — | — | — | ||||||||||||
| Total expenses | 115,125 | 1,339 | 1,952 | 718,805 | ||||||||||||
| Less fees waived (see Note 6): | ||||||||||||||||
| Waiver | (42,464 | ) | — | (924 | ) | (65,312 | ) | |||||||||
| Net expenses | 72,661 | 1,339 | 1,028 | 653,493 | ||||||||||||
| Net investment income (loss) | 1,338,107 | 5,382 | 9,278 | (129,558 | ) | |||||||||||
| Realized and Unrealized Gain (Loss) | ||||||||||||||||
| Net realized gain (loss) from: | ||||||||||||||||
| Investments | (10,607 | ) | — | — | (854,683 | ) | ||||||||||
| In-kind redemptions | — | — | — | (135,345 | ) | |||||||||||
| Futures | (8,241,602 | ) | — | — | — | |||||||||||
| Swaps | — | (84,475 | ) | — | — | |||||||||||
| Net realized gain (loss) | (8,252,209 | ) | (84,475 | ) | — | (990,028 | ) | |||||||||
| Net change in unrealized appreciation (depreciation) on: | ||||||||||||||||
| Investments | 12,816 | 817 | 6,511 | (3,583,016 | ) | |||||||||||
| Futures | (1,474,068 | ) | — | — | — | |||||||||||
| Swaps | — | (5,889 | ) | — | — | |||||||||||
| Net unrealized gain (loss) | (1,461,252 | ) | (5,072 | ) | 6,511 | (3,583,016 | ) | |||||||||
| Net realized and unrealized gain (loss) | (9,713,461 | ) | (89,547 | ) | 6,511 | (4,573,044 | ) | |||||||||
| Net Increase (Decrease) in Net Assets Resulting from Operations | $ | (8,375,354 | ) | $ | (84,165 | ) | $ | 15,789 | $ | (4,702,602 | ) | |||||
| (1) | For the period June 14, 2023 (commencement of operations) through June 30, 2023. |
| (2) | For the period June 27, 2023 (commencement of operations) through June 30, 2023. |
| (3) | For the period February 8, 2023 (commencement of operations) through June 30, 2023. |
See Notes to Financial Statements.
119
Simplify Exchange Traded Funds
Statements of Operations (Continued)
Year/ Period Ended June 30, 2023
| Simplify Short Term Treasury Futures Strategy ETF(1) |
Simplify Stable Income ETF(2) |
Simplify Tail Risk Strategy ETF |
Simplify US Equity PLUS Convexity ETF |
|||||||||||||
| Investment Income | ||||||||||||||||
| Unaffiliated dividend income | $ | — | $ | — | $ | 21,709 | $ | 1,077,120 | ||||||||
| Affiliated dividend income | — | — | 3,106,795 | — | ||||||||||||
| Interest income | 3,673,773 | 243,068 | — | — | ||||||||||||
| Total income | 3,673,773 | 243,068 | 3,128,504 | 1,077,120 | ||||||||||||
| Expenses | ||||||||||||||||
| Investment advisory fees | 191,958 | 18,369 | 318,047 | 329,370 | ||||||||||||
| Interest expense | 4,797 | 3,957 | 86,398 | 21,366 | ||||||||||||
| Other expenses | 10 | 131 | 249 | 88 | ||||||||||||
| Total expenses | 196,765 | 22,457 | 404,694 | 350,824 | ||||||||||||
| Less fees waived (see Note 6): | ||||||||||||||||
| Waiver | (84,563 | ) | — | (211,946 | ) | (164,774 | ) | |||||||||
| Net expenses | 112,202 | 22,457 | 192,748 | 186,050 | ||||||||||||
| Net investment income (loss) | 3,561,571 | 220,611 | 2,935,756 | 891,070 | ||||||||||||
| Realized and Unrealized Gain (Loss) | ||||||||||||||||
| Net realized gain (loss) from: | ||||||||||||||||
| Investments | (366 | ) | (20,538 | ) | (83,598,902 | ) | (8,660,892 | ) | ||||||||
| Affiliated investments | — | — | (3,196,520 | ) | — | |||||||||||
| In-kind redemptions | — | — | — | 595,010 | ||||||||||||
| Affiliated in-kind redemptions | — | — | 1,192,209 | — | ||||||||||||
| Futures | (3,945,082 | ) | — | — | — | |||||||||||
| Written options | — | 59,559 | 46,327,916 | 3,036,874 | ||||||||||||
| Net realized gain (loss) | (3,945,448 | ) | 39,021 | (39,275,297 | ) | (5,029,008 | ) | |||||||||
| Net change in unrealized appreciation (depreciation) on: | ||||||||||||||||
| Investments | 116,929 | 3,746 | (9,044,960 | ) | 11,402,812 | |||||||||||
| Affiliated investments | — | — | 983,091 | — | ||||||||||||
| Futures | (23,297,280 | ) | — | — | — | |||||||||||
| Written options | — | — | 2,456,091 | 209,135 | ||||||||||||
| Net unrealized gain (loss) | (23,180,351 | ) | 3,746 | (5,605,778 | ) | 11,611,947 | ||||||||||
| Net realized and unrealized gain (loss) | (27,125,799 | ) | 42,767 | (44,881,075 | ) | 6,582,939 | ||||||||||
| Net Increase (Decrease) in Net Assets Resulting from Operations | $ | (23,564,228 | ) | $ | 263,378 | $ | (41,945,319 | ) | $ | 7,474,009 | ||||||
| (1) | For the period November 15, 2022 (commencement of operations) through June 30, 2023. |
| (2) | For the period October 28, 2022 (commencement of operations) through June 30, 2023. |
See Notes to Financial Statements.
120
Simplify Exchange Traded Funds
Statements of Operations (Continued)
Year/ Period Ended June 30, 2023
| Simplify US Equity PLUS Downside Convexity ETF |
Simplify US Equity PLUS GBTC ETF |
Simplify
US Equity PLUS Upside Convexity ETF |
Simplify Volt RoboCar Disruption and Tech ETF |
|||||||||||||
| Investment Income | ||||||||||||||||
| Dividend income* | $ | 4,204,723 | $ | 433,729 | $ | 186,333 | $ | 34,501 | ||||||||
| Expenses | ||||||||||||||||
| Investment advisory fees | 1,389,813 | 160,915 | 54,354 | 33,452 | ||||||||||||
| Interest expense | 321,630 | 2,138 | 464 | 1,080 | ||||||||||||
| Other expenses | 224 | 58 | 58 | 430 | ||||||||||||
| Total expenses | 1,711,667 | 163,111 | 54,876 | 34,962 | ||||||||||||
| Less fees waived (see Note 6): | ||||||||||||||||
| Waiver | (695,218 | ) | — | (27,233 | ) | — | ||||||||||
| Net expenses | 1,016,449 | 163,111 | 27,643 | 34,962 | ||||||||||||
| Net investment income (loss) | 3,188,274 | 270,618 | 158,690 | (461 | ) | |||||||||||
| Realized and Unrealized Gain (Loss) | ||||||||||||||||
| Net realized gain (loss) from: | ||||||||||||||||
| Investments | (98,135,403 | ) | (1,295,606 | ) | (856,526 | ) | (7,000,339 | ) | ||||||||
| In-kind redemptions | (26,055,427 | ) | (10,326,124 | ) | 94,746 | 5,613 | ||||||||||
| Futures | — | 560,222 | — | — | ||||||||||||
| Written options | 53,512,705 | — | 148,128 | 6,118,417 | ||||||||||||
| Net realized gain (loss) | (70,678,125 | ) | (11,061,508 | ) | (613,652 | ) | (876,309 | ) | ||||||||
| Net change in unrealized appreciation (depreciation) on: | ||||||||||||||||
| Investments | 56,682,195 | 16,201,131 | 1,816,955 | 753,506 | ||||||||||||
| Futures | — | 26,412 | — | — | ||||||||||||
| Written options | 701,472 | — | (9,273 | ) | 25,240 | |||||||||||
| Net unrealized gain (loss) | 57,383,667 | 16,227,543 | 1,807,682 | 778,746 | ||||||||||||
| Net realized and unrealized gain (loss) | (13,294,458 | ) | 5,166,035 | 1,194,030 | (97,563 | ) | ||||||||||
| Net Increase (Decrease) in Net Assets Resulting from Operations | $ | (10,106,184 | ) | $ | 5,436,653 | $ | 1,352,720 | $ | (98,024 | ) | ||||||
| * Withholding tax | $ | — | $ | — | $ | — | $ | 749 | ||||||||
See Notes to Financial Statements.
121
Simplify Exchange Traded Funds
Consolidated Statements of Operations
Year/Period Ended June 30, 2023
| Simplify Bitcoin Strategy PLUS Income ETF(1) |
Simplify Commodities Strategy No K-1 ETF(2) |
Simplify Macro Strategy ETF |
Simplify Managed Futures Strategy ETF |
|||||||||||||
| Investment Income | ||||||||||||||||
| Affiliated dividend income | $ | — | $ | — | $ | 1,644,658 | $ | — | ||||||||
| Interest income | 1,367,092 | 44,263 | 73,391 | 4,287,248 | ||||||||||||
| Total income | 1,367,092 | 44,263 | 1,718,049 | 4,287,248 | ||||||||||||
| Expenses | ||||||||||||||||
| Investment advisory fees | 92,716 | 8,723 | 208,301 | 983,779 | ||||||||||||
| Interest on reverse repurchase agreement | 1,093,025 | — | — | — | ||||||||||||
| Interest expense | 23,083 | — | 6,381 | 33,622 | ||||||||||||
| Other expenses | 11,070 | — | 191 | 30 | ||||||||||||
| Total expenses | 1,219,894 | 8,723 | 214,873 | 1,017,431 | ||||||||||||
| Less fees waived (see Note 6): | ||||||||||||||||
| Waiver | — | — | (91,586 | ) | — | |||||||||||
| Net expenses | 1,219,894 | 8,723 | 123,287 | 1,017,431 | ||||||||||||
| Net investment income (loss) | 147,198 | 35,540 | 1,594,762 | 3,269,817 | ||||||||||||
| Realized and Unrealized Gain (Loss) | ||||||||||||||||
| Net realized gain (loss) from: | ||||||||||||||||
| Investments | 838,139 | (405 | ) | 273,582 | (89,801 | ) | ||||||||||
| Affiliated investments | — | — | (1,257,168 | ) | — | |||||||||||
| In-kind redemptions | — | — | 8,150 | — | ||||||||||||
| Affiliated in-kind redemptions | — | — | 143,011 | — | ||||||||||||
| Futures | 6,804,936 | (168,260 | ) | — | (24,154,292 | ) | ||||||||||
| Written options | 620,189 | — | (1,129,909 | ) | — | |||||||||||
| Foreign currency transactions | — | — | — | 17,351 | ||||||||||||
| Capital gain distributions from affiliated funds | — | — | 104,844 | — | ||||||||||||
| Net realized gain (loss) | 8,263,264 | (168,665 | ) | (1,857,490 | ) | (24,226,742 | ) | |||||||||
| Net change in unrealized appreciation (depreciation) on: | ||||||||||||||||
| Investments | 28,225 | 63 | 915,885 | 10,111 | ||||||||||||
| Affiliated investments | — | — | (1,125,429 | ) | — | |||||||||||
| Foreign currency translations | — | — | — | 1,979 | ||||||||||||
| Futures | 250,618 | 7,069 | — | 4,727,966 | ||||||||||||
| Written options | — | — | 536,979 | — | ||||||||||||
| Net unrealized gain (loss) | 278,843 | 7,132 | 327,435 | 4,740,056 | ||||||||||||
| Net realized and unrealized gain (loss) | 8,542,107 | (161,533 | ) | (1,530,055 | ) | (19,486,686 | ) | |||||||||
| Net Increase (Decrease) in Net Assets Resulting from Operations | $ | 8,689,305 | $ | (125,993 | ) | $ | 64,707 | $ | (16,216,869 | ) | ||||||
| (1) | For the period September 30, 2022 (commencement of operations) through June 30, 2023. | |
| (2) | For the period March 28, 2023 (commencement of operations) through June 30, 2023. |
See Notes to Financial Statements.
122
Simplify Exchange Traded Funds
Consolidated Statements of Operations (Continued)
Year/Period Ended June 30, 2023
| Simplify Volatility Premium ETF |
||||
| Investment Income | ||||
| Dividend income | $ | 308,638 | ||
| Interest income | 5,992,661 | |||
| Total income | 6,301,299 | |||
| Expenses | ||||
| Investment advisory fees | 785,661 | |||
| Interest on reverse repurchase agreement | 591,039 | |||
| Interest expense | 442,678 | |||
| Other expenses | 852 | |||
| Total expenses | 1,820,230 | |||
| Net investment income (loss) | 4,481,069 | |||
| Realized and Unrealized Gain (Loss) | ||||
| Net realized gain (loss) from: | ||||
| Investments | (7,633,915 | ) | ||
| Futures | 36,370,631 | |||
| Written options | (1,008 | ) | ||
| Net realized gain (loss) | 28,735,708 | |||
| Net change in unrealized appreciation (depreciation) on: | ||||
| Investments | 640,923 | |||
| Futures | 4,876,574 | |||
| Net unrealized gain (loss) | 5,517,497 | |||
| Net realized and unrealized gain (loss) | 34,253,205 | |||
| Net Increase (Decrease) in Net Assets Resulting from Operations | $ | 38,734,274 | ||
See Notes to Financial Statements.
123
Simplify Exchange Traded Funds
Statements of Changes in Net Assets
| Simplify Aggregate Bond PLUS Credit Hedge ETF |
Simplify Developed Ex-US PLUS Downside Convexity ETF |
|||||||||||||||
| Year Ended June 30, 2023 |
For the period February 15, 2022(1) to June 30, 2022 |
Year Ended June 30, 2023 |
For the period January 11, 2022(1) to June 30, 2022 |
|||||||||||||
| Increase (Decrease) in Net Assets from Operations | ||||||||||||||||
| Net investment income (loss) | $ | 89,130 | $ | 6,406 | $ | 453,297 | $ | 383,738 | ||||||||
| Net realized gain (loss) | (123,717 | ) | 871 | (2,404,484 | ) | (1,963,909 | ) | |||||||||
| Net change in net unrealized appreciation (depreciation) | 20,355 | (68,334 | ) | 2,654,592 | (3,792,347 | ) | ||||||||||
| Net increase (decrease) in net assets resulting from operations | (14,232 | ) | (61,057 | ) | 703,405 | (5,372,518 | ) | |||||||||
| Distributions to Shareholders from: | ||||||||||||||||
| Distributions | (193,442 | ) | (6,769 | ) | (451,205 | ) | (383,771 | ) | ||||||||
| Return of capital | (98,448 | ) | — | — | — | |||||||||||
| Total distributions | (291,890 | ) | (6,769 | ) | (451,205 | ) | (383,771 | ) | ||||||||
| Fund Shares Transactions | ||||||||||||||||
| Proceeds from shares sold | 13,780,959 | 1,250,025 | 14,975,651 | 46,645,061 | ||||||||||||
| Value of shares redeemed | (2,844,322 | ) | — | (18,191,143 | ) | (21,147,923 | ) | |||||||||
| Net increase (decrease) in net assets resulting from fund share transactions | 10,936,637 | 1,250,025 | (3,215,492 | ) | 25,497,138 | |||||||||||
| Total net increase (decrease) in Net Assets | 10,630,515 | 1,182,199 | (2,963,292 | ) | 19,740,849 | |||||||||||
| Net Assets | ||||||||||||||||
| Beginning of period | 1,182,199 | — | 19,740,849 | — | ||||||||||||
| End of period | $ | 11,812,714 | $ | 1,182,199 | $ | 16,777,557 | $ | 19,740,849 | ||||||||
| Changes in Shares Outstanding | ||||||||||||||||
| Shares outstanding, beginning of period | 50,001 | — | 1,025,001 | — | ||||||||||||
| Shares sold | 600,000 | 50,001 | (2) | 800,000 | 2,000,001 | (2) | ||||||||||
| Shares redeemed | (125,000 | ) | — | (975,000 | ) | (975,000 | ) | |||||||||
| Shares outstanding, end of period | 525,001 | 50,001 | 850,001 | 1,025,001 | ||||||||||||
| (1) | Commencement of operations. | |
| (2) | Shares not in increment of 25,000 shares, a creation unit, represent the Adviser’s initial seed investment in connection with the commencement of operations. |
See Notes to Financial Statements.
124
Simplify Exchange Traded Funds
Statements of Changes in Net Assets (Continued)
| Simplify Emerging Markets Equity PLUS Downside Convexity ETF |
Simplify Enhanced Income ETF |
Simplify Health Care ETF |
||||||||||||||||||
| Year Ended June 30, 2023 |
For the period January 11, 2022(1) to June 30, 2022 |
For the period October 28, 2022(1) to June 30, 2023 |
Year Ended June 30, 2023 |
For the period October 8, 2021(1) to June 30, 2022 |
||||||||||||||||
| Increase (Decrease) in Net Assets from Operations | ||||||||||||||||||||
| Net investment income (loss) | $ | 88,972 | $ | 84,736 | $ | 187,567 | $ | 353,397 | $ | 95,372 | ||||||||||
| Net realized gain (loss) | (1,048,064 | ) | (317,361 | ) | 234,837 | (3,223,584 | ) | (3,890,791 | ) | |||||||||||
| Net change in net unrealized appreciation (depreciation) | 272,241 | (933,698 | ) | 1,982 | 4,827,651 | (3,171,913 | ) | |||||||||||||
| Net increase (decrease) in net assets resulting from operations | (686,851 | ) | (1,166,323 | ) | 424,386 | 1,957,464 | (6,967,332 | ) | ||||||||||||
| Distributions | (88,043 | ) | (84,731 | ) | (453,041 | ) | (399,848 | ) | (85,814 | ) | ||||||||||
| Fund Shares Transactions | ||||||||||||||||||||
| Proceeds from shares sold | 1,384,505 | 8,712,687 | 26,894,963 | 94,962,880 | 105,564,777 | |||||||||||||||
| Value of shares redeemed | (4,008,315 | ) | — | (1,255,570 | ) | (71,260,601 | ) | (64,707,505 | ) | |||||||||||
| Net increase (decrease) in net assets resulting from fund share transactions | (2,623,810 | ) | 8,712,687 | 25,639,393 | 23,702,279 | 40,857,272 | ||||||||||||||
| Total net increase (decrease) in Net Assets | (3,398,704 | ) | 7,461,633 | 25,610,738 | 25,259,895 | 33,804,126 | ||||||||||||||
| Net Assets | ||||||||||||||||||||
| Beginning of period | 7,461,633 | — | — | 33,804,126 | — | |||||||||||||||
| End of period | $ | 4,062,929 | $ | 7,461,633 | $ | 25,610,738 | $ | 59,064,021 | $ | 33,804,126 | ||||||||||
| Changes in Shares Outstanding | ||||||||||||||||||||
| Shares outstanding, beginning of period | 375,001 | — | — | 1,375,001 | — | |||||||||||||||
| Shares sold | 75,000 | 375,001 | (2) | 1,075,001 | (2) | 3,675,000 | 3,925,001 | (2) | ||||||||||||
| Shares redeemed | (225,000 | ) | — | (50,000 | ) | (2,825,000 | ) | (2,550,000 | ) | |||||||||||
| Shares outstanding, end of period | 225,001 | 375,001 | 1,025,001 | 2,225,001 | 1,375,001 | |||||||||||||||
| (1) | Commencement of operations. | |
| (2) | Shares not in increment of 25,000 shares, a creation unit, represent the Adviser’s initial seed investment in connection with the commencement of operations. |
See Notes to Financial Statements.
125
Simplify Exchange Traded Funds
Statements of Changes in Net Assets (Continued)
| Simplify Hedged Equity ETF |
Simplify High Yield PLUS Credit Hedge ETF |
|||||||||||||||
| Year Ended June 30, 2023 |
For the period November 2, 2021(1) to June 30, 2022 |
Year Ended June 30, 2023 |
For the period February 15, 2022(1) to June 30, 2022 |
|||||||||||||
| Increase (Decrease) in Net Assets from Operations | ||||||||||||||||
| Net investment income (loss) | $ | 900,809 | $ | 163,070 | $ | 1,342,066 | $ | 13,092 | ||||||||
| Net realized gain (loss) | (537,959 | ) | 2,079,317 | 534,079 | (2,573,020 | ) | ||||||||||
| Net change in net unrealized appreciation (depreciation) | 10,760,851 | (4,207,546 | ) | 54,828 | (117,592 | ) | ||||||||||
| Net increase (decrease) in net assets resulting from operations | 11,123,701 | (1,965,159 | ) | 1,930,973 | (2,677,520 | ) | ||||||||||
| Distributions to Shareholders from: | ||||||||||||||||
| Distributions | (4,428,969 | ) | (163,205 | ) | (2,959,704 | ) | (267,687 | ) | ||||||||
| Return of capital | — | — | (708,226 | ) | (128,698 | ) | ||||||||||
| Total distributions | (4,428,969 | ) | (163,205 | ) | (3,667,930 | ) | (396,385 | ) | ||||||||
| Fund Shares Transactions | ||||||||||||||||
| Proceeds from shares sold | 119,805,768 | 40,756,521 | 43,515,463 | 35,417,121 | ||||||||||||
| Variable transaction fees (see Note 8) | — | — | — | 11,467 | ||||||||||||
| Value of shares redeemed | (57,066,544 | ) | (1,264,918 | ) | (26,548,334 | ) | (2,344,308 | ) | ||||||||
| Net increase (decrease) in net assets resulting from fund share transactions | 62,739,224 | 39,491,603 | 16,967,129 | 33,084,280 | ||||||||||||
| Total net increase (decrease) in Net Assets | 69,433,956 | 37,363,239 | 15,230,172 | 30,010,375 | ||||||||||||
| Net Assets | ||||||||||||||||
| Beginning of period | 37,363,239 | — | 30,010,375 | — | ||||||||||||
| End of period | $ | 106,797,195 | $ | 37,363,239 | $ | 45,240,547 | $ | 30,010,375 | ||||||||
| Changes in Shares Outstanding | ||||||||||||||||
| Shares outstanding, beginning of period | 1,625,001 | — | 1,350,001 | — | ||||||||||||
| Shares sold | 5,125,000 | 1,675,001 | (2) | 1,925,000 | 1,450,001 | (2) | ||||||||||
| Shares redeemed | (2,450,000 | ) | (50,000 | ) | (1,200,000 | ) | (100,000 | ) | ||||||||
| Shares outstanding, end of period | 4,300,001 | 1,625,001 | 2,075,001 | 1,350,001 | ||||||||||||
| (1) | Commencement of operations. | |
| (2) | Shares not in increment of 25,000 shares, a creation unit, represent the Adviser’s initial seed investment in connection with the commencement of operations. |
See Notes to Financial Statements.
126
Simplify Exchange Traded Funds
Statements of Changes in Net Assets (Continued)
| Simplify Interest Rate Hedge ETF |
Simplify Intermediate Term Treasury Futures Strategy ETF |
|||||||||||||||
| Year Ended June 30, 2023 |
Year Ended June 30, 2022 |
Year Ended June 30, 2023 |
For the period September 28, 2021(1) to June 30, 2022 |
|||||||||||||
| Increase (Decrease) in Net Assets from Operations | ||||||||||||||||
| Net investment income (loss) | $ | 6,979,611 | $ | 84,026 | $ | 1,338,107 | $ | 211,551 | ||||||||
| Net realized gain (loss) | 93,935,396 | (4,002,256 | ) | (8,252,209 | ) | (10,837,774 | ) | |||||||||
| Net change in net unrealized appreciation (depreciation) | (58,638,322 | ) | 63,416,182 | (1,461,252 | ) | (1,130,315 | ) | |||||||||
| Net increase (decrease) in net assets resulting from operations | 42,276,685 | 59,497,952 | (8,375,354 | ) | (11,756,538 | ) | ||||||||||
| Distributions | (3,979,978 | ) | (40,085 | ) | (1,438,455 | ) | (204,525 | ) | ||||||||
| Fund Shares Transactions | ||||||||||||||||
| Proceeds from shares sold | 14,379,391 | 179,625,840 | 51,335,724 | 91,225,507 | ||||||||||||
| Variable transaction fees (see Note 8) | 2,285,825 | 2,721,271 | — | — | ||||||||||||
| Value of shares redeemed | (139,082,947 | ) | (2,688,355 | ) | (28,395,498 | ) | (39,050,264 | ) | ||||||||
| Net increase (decrease) in net assets resulting from fund share transactions | (122,417,731 | ) | 179,658,756 | 22,940,226 | 52,175,243 | |||||||||||
| Total net increase (decrease) in Net Assets | (84,121,024 | ) | 239,116,623 | 13,126,417 | 40,214,180 | |||||||||||
| Net Assets | ||||||||||||||||
| Beginning of period | 301,976,744 | 62,860,121 | 40,214,180 | — | ||||||||||||
| End of period | $ | 217,855,720 | $ | 301,976,744 | $ | 53,340,597 | $ | 40,214,180 | ||||||||
| Changes in Shares Outstanding | ||||||||||||||||
| Shares outstanding, beginning of period | 5,275,001 | 1,550,001 | 2,200,001 | — | ||||||||||||
| Shares sold | 200,000 | 3,775,000 | 3,075,000 | 4,350,001 | (2) | |||||||||||
| Shares redeemed | (2,075,000 | ) | (50,000 | ) | (1,650,000 | ) | (2,150,000 | ) | ||||||||
| Shares outstanding, end of period | 3,400,001 | 5,275,001 | 3,625,001 | 2,200,001 | ||||||||||||
| (1) | Commencement of operations. | |
| (2) | Shares not in increment of 25,000 shares, a creation unit, represent the Adviser’s initial seed investment in connection with the commencement of operations. |
See Notes to Financial Statements.
127
Simplify Exchange Traded Funds
Statements of Changes in Net Assets (Continued)
| Simplify Market Neutral Equity Long/Short ETF |
Simplify Opportunistic Income ETF |
Simplify Propel Opportunities ETF |
Simplify Short Term Treasury Futures Strategy ETF |
Simplify Stable Income ETF |
||||||||||||||||
| For the period June 14, 2023(1) to June 30, 2023 |
For the period June 27, 2023(1) to June 30, 2023 |
For the period February 8, 2023(1) to June 30, 2023 |
For the period November 15, 2022(1) to June 30, 2023 |
For the period October 28, 2022(1) to June 30, 2023 |
||||||||||||||||
| Increase (Decrease) in Net Assets from Operations | ||||||||||||||||||||
| Net investment income (loss) | $ | 5,382 | $ | 9,278 | $ | (129,558 | ) | $ | 3,561,571 | $ | 220,611 | |||||||||
| Net realized gain (loss) | (84,475 | ) | — | (990,028 | ) | (3,945,448 | ) | 39,021 | ||||||||||||
| Net change in net unrealized appreciation (depreciation) | (5,072 | ) | 6,511 | (3,583,016 | ) | (23,180,351 | ) | 3,746 | ||||||||||||
| Net increase (decrease) in net assets resulting from operations | (84,165 | ) | 15,789 | (4,702,602 | ) | (23,564,228 | ) | 263,378 | ||||||||||||
| Distributions to Shareholders from: | ||||||||||||||||||||
| Distributions | — | — | (3,107,601 | ) | (4,542,976 | ) | (258,351 | ) | ||||||||||||
| Return of capital | — | — | (2,920,001 | ) | — | — | ||||||||||||||
| Total distributions | — | — | (6,027,602 | ) | (4,542,976 | ) | (258,351 | ) | ||||||||||||
| Fund Shares Transactions | ||||||||||||||||||||
| Proceeds from shares sold | 4,358,968 | 37,500,114 | 127,642,507 | 595,701,359 | 15,032,078 | |||||||||||||||
| Value of shares redeemed | — | — | (16,740,643 | ) | (33,327,455 | ) | (627,595 | ) | ||||||||||||
| Net increase (decrease) in net assets resulting from fund share transactions | 4,358,968 | 37,500,114 | 110,901,864 | 562,373,904 | 14,404,483 | |||||||||||||||
| Total net increase (decrease) in Net Assets | 4,274,803 | 37,515,903 | 100,171,660 | 534,266,700 | 14,409,510 | |||||||||||||||
| Net Assets | ||||||||||||||||||||
| Beginning of period | — | — | — | — | — | |||||||||||||||
| End of period | $ | 4,274,803 | $ | 37,515,903 | $ | 100,171,660 | $ | 534,266,700 | $ | 14,409,510 | ||||||||||
| Changes in Shares Outstanding | ||||||||||||||||||||
| Shares outstanding, beginning of period | — | — | — | — | — | |||||||||||||||
| Shares sold | 175,001 | (2) | 1,500,001 | (2) | 5,320,001 | (2) | 24,925,001 | (2) | 600,001 | (2) | ||||||||||
| Shares redeemed | — | — | (750,000 | ) | (1,350,000 | ) | (25,000 | ) | ||||||||||||
| Shares outstanding, end of period | 175,001 | 1,500,001 | 4,570,001 | 23,575,001 | 575,001 | |||||||||||||||
| (1) | Commencement of operations. | |
| (2) | Shares not in increment of 25,000 shares, a creation unit, represent the Adviser’s initial seed investment in connection with the commencement of operations. |
See Notes to Financial Statements.
128
Simplify Exchange Traded Funds
Statements of Changes in Net Assets (Continued)
| Simplify Tail Risk Strategy ETF |
Simplify US Equity PLUS Convexity ETF |
|||||||||||||||
| Year Ended June 30, 2023 |
For the period September 14, 2021(1) to June 30, 2022 |
Year Ended June 30, 2023 |
Year Ended June 30, 2022 |
|||||||||||||
| Increase (Decrease) in Net Assets from Operations | ||||||||||||||||
| Net investment income (loss) | $ | 2,935,756 | $ | 953,022 | $ | 891,070 | $ | 1,002,679 | ||||||||
| Net realized gain (loss) | (39,275,297 | ) | (14,596,077 | ) | (5,029,008 | ) | 4,127,886 | |||||||||
| Net change in net unrealized appreciation (depreciation) | (5,605,778 | ) | 2,862,955 | 11,611,947 | (16,329,153 | ) | ||||||||||
| Net increase (decrease) in net assets resulting from operations | (41,945,319 | ) | (10,780,100 | ) | 7,474,009 | (11,198,588 | ) | |||||||||
| Distributions to Shareholders from: | ||||||||||||||||
| Distributions | (2,839,722 | ) | (962,486 | ) | (890,883 | ) | (1,474,658 | ) | ||||||||
| Return of capital | — | (2,924,115 | ) | — | — | |||||||||||
| Total distributions | (2,839,722 | ) | (3,886,601 | ) | (890,883 | ) | (1,474,658 | ) | ||||||||
| Fund Shares Transactions | ||||||||||||||||
| Proceeds from shares sold | 33,478,385 | 128,006,147 | 67,604,172 | 40,488,427 | ||||||||||||
| Value of shares redeemed | (76,385,084 | ) | (8,940,176 | ) | (62,025,267 | ) | (55,509,149 | ) | ||||||||
| Net increase (decrease) in net assets resulting from fund share transactions | (42,906,699 | ) | 119,065,971 | 5,578,905 | (15,020,722 | ) | ||||||||||
| Total net increase (decrease) in Net Assets | (87,691,740 | ) | 104,399,270 | 12,162,031 | (27,693,968 | ) | ||||||||||
| Net Assets | ||||||||||||||||
| Beginning of period | 104,399,270 | — | 61,252,502 | 88,946,470 | ||||||||||||
| End of period | $ | 16,707,530 | $ | 104,399,270 | $ | 73,414,533 | $ | 61,252,502 | ||||||||
| Changes in Shares Outstanding | ||||||||||||||||
| Shares outstanding, beginning of period | 5,225,001 | — | 2,304,000 | 2,904,000 | ||||||||||||
| Shares sold | 2,700,000 | 5,650,001 | (2) | 2,550,000 | 1,250,000 | |||||||||||
| Shares redeemed | (5,075,000 | ) | (425,000 | ) | (2,328,999 | ) | (1,850,000 | ) | ||||||||
| Shares outstanding, end of period | 2,850,001 | 5,225,001 | 2,525,001 | 2,304,000 | ||||||||||||
| (1) | Commencement of operations. | |
| (2) | Shares not in increment of 25,000 shares, a creation unit, represent the Adviser’s initial seed investment in connection with the commencement of operations. |
See Notes to Financial Statements.
129
Simplify Exchange Traded Funds
Statements of Changes in Net Assets (Continued)
| Simplify US Equity PLUS | Simplify US Equity PLUS | |||||||||||||||
| Downside Convexity ETF | GBTC ETF | |||||||||||||||
| Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||
| June 30, 2023 |
June 30, 2022 |
June 30, 2023 |
June 30, 2022 |
|||||||||||||
| Increase (Decrease) in Net Assets from Operations | ||||||||||||||||
| Net investment income (loss) | $ | 3,188,274 | $ | 4,492,888 | $ | 270,618 | $ | 723,650 | ||||||||
| Net realized gain (loss) | (70,678,125 | ) | 2,022,408 | (11,061,508 | ) | (1,939,170 | ) | |||||||||
| Net change in net unrealized appreciation (depreciation) | 57,383,667 | (77,003,767 | ) | 16,227,543 | (17,674,515 | ) | ||||||||||
| Net increase (decrease) in net assets resulting from operations | (10,106,184 | ) | (70,488,471 | ) | 5,436,653 | (18,890,035 | ) | |||||||||
| Distributions to Shareholders from: | ||||||||||||||||
| Distributions | (3,166,409 | ) | (5,375,711 | ) | (94,553 | ) | (2,342,098 | ) | ||||||||
| Return of capital | — | — | (174,233 | ) | — | |||||||||||
| Total distributions | (3,166,409 | ) | (5,375,711 | ) | (268,786 | ) | (2,342,098 | ) | ||||||||
| Fund Shares Transactions | ||||||||||||||||
| Proceeds from shares sold | 92,541,300 | 424,502,655 | 1,855,304 | 14,440,227 | ||||||||||||
| Value of shares redeemed | (408,472,788 | ) | (128,515,412 | ) | (85,622,116 | ) | (8,421,626 | ) | ||||||||
| Net increase (decrease) in net assets resulting from fund share transactions | (315,931,488 | ) | 295,987,243 | (83,766,812 | ) | 6,018,601 | ||||||||||
| Total net increase (decrease) in Net Assets | (329,204,081 | ) | 220,123,061 | (78,598,945 | ) | (15,213,532 | ) | |||||||||
| Net Assets | ||||||||||||||||
| Beginning of period | 444,818,694 | 224,695,633 | 87,340,336 | 102,553,868 | ||||||||||||
| End of period | $ | 115,614,613 | $ | 444,818,694 | $ | 8,741,391 | $ | 87,340,336 | ||||||||
| Changes in Shares Outstanding | ||||||||||||||||
| Shares outstanding, beginning of period | 16,800,001 | 7,425,001 | 4,275,001 | 4,050,001 | ||||||||||||
| Shares sold | 3,450,000 | 13,725,000 | 75,000 | 525,000 | ||||||||||||
| Shares redeemed | (16,025,000 | ) | (4,350,000 | ) | (4,000,000 | ) | (300,000 | ) | ||||||||
| Shares outstanding, end of period | 4,225,001 | 16,800,001 | 350,001 | 4,275,001 | ||||||||||||
See Notes to Financial Statements.
130
Simplify Exchange Traded Funds
Statements of Changes in Net Assets (Continued)
| Simplify US Equity PLUS Upside Convexity ETF |
Simplify Volt RoboCar Disruption and Tech ETF |
|||||||||||||||
| Year Ended June 30, 2023 |
Year Ended June 30, 2022 |
Year Ended June 30, 2023 |
Year Ended June 30, 2022 |
|||||||||||||
| Increase (Decrease) in Net Assets from Operations | ||||||||||||||||
| Net investment income (loss) | $ | 158,690 | $ | 152,276 | $ | (461 | ) | $ | 26,469 | |||||||
| Net realized gain (loss) | (613,652 | ) | 1,133,499 | (876,309 | ) | (3,553,320 | ) | |||||||||
| Net change in net unrealized appreciation (depreciation) | 1,807,682 | (3,048,045 | ) | 778,746 | (338,137 | ) | ||||||||||
| Net increase (decrease) in net assets resulting from operations | 1,352,720 | (1,762,270 | ) | (98,024 | ) | (3,864,988 | ) | |||||||||
| Distributions to Shareholders from: | ||||||||||||||||
| Distributions | (113,758 | ) | (422,428 | ) | — | (18,980 | ) | |||||||||
| Return of capital | — | — | — | (12,160 | ) | |||||||||||
| Total distributions | (113,758 | ) | (422,428 | ) | — | (31,140 | ) | |||||||||
| Fund Shares Transactions | ||||||||||||||||
| Proceeds from shares sold | 3,357,979 | 12,148,895 | 465,708 | 8,809,599 | ||||||||||||
| Value of shares redeemed | (8,136,895 | ) | (7,293,147 | ) | (623,533 | ) | (2,438,630 | ) | ||||||||
| Net increase (decrease) in net assets resulting from fund share transactions | (4,778,916 | ) | 4,855,748 | (157,825 | ) | 6,370,969 | ||||||||||
| Total net increase (decrease) in Net Assets | (3,539,954 | ) | 2,671,050 | (255,849 | ) | 2,474,841 | ||||||||||
| Net Assets | ||||||||||||||||
| Beginning of period | 11,968,103 | 9,297,053 | 4,550,435 | 2,075,594 | ||||||||||||
| End of period | $ | 8,428,149 | $ | 11,968,103 | $ | 4,294,586 | $ | 4,550,435 | ||||||||
| Changes in Shares Outstanding | ||||||||||||||||
| Shares outstanding, beginning of period | 450,001 | 300,001 | 500,420 | 175,420 | ||||||||||||
| Shares sold | 125,000 | 375,000 | 50,000 | 525,000 | ||||||||||||
| Shares redeemed | (300,000 | ) | (225,000 | ) | (75,419 | ) | (200,000 | ) | ||||||||
| Shares outstanding, end of period | 275,001 | 450,001 | 475,001 | 500,420 | ||||||||||||
See Notes to Financial Statements.
131
Simplify Exchange Traded Funds
Consolidated Statements of Changes in Net Assets
| Simplify Bitcoin Strategy PLUS Income ETF |
Simplify Commodities Strategy No K-1 ETF |
Simplify Macro Strategy ETF |
||||||||||||||
| For the period September 30, 2022(1) to June 30, 2023 |
For the period March 28, 2023(1) to June 30, 2023 |
Year Ended June 30, 2023 |
For the period May 17, 2022(1) to June 30, 2022 |
|||||||||||||
| Increase (Decrease) in Net Assets from Operations | ||||||||||||||||
| Net investment income (loss) | $ | 147,198 | $ | 35,540 | $ | 1,594,762 | $ | 27,306 | ||||||||
| Net realized gain (loss) | 8,263,264 | (168,665 | ) | (1,857,490 | ) | (16,351 | ) | |||||||||
| Net change in net unrealized appreciation (depreciation) | 278,843 | 7,132 | 327,435 | (349,718 | ) | |||||||||||
| Net increase (decrease) in net assets resulting from operations | 8,689,305 | (125,993 | ) | 64,707 | (338,763 | ) | ||||||||||
| Distributions | (1,198,175 | ) | (25,000 | ) | (1,363,559 | ) | (2,773 | ) | ||||||||
| Fund Shares Transactions | ||||||||||||||||
| Proceeds from shares sold | 17,461,565 | 6,322,453 | 52,046,178 | 6,827,612 | ||||||||||||
| Value of shares redeemed | — | — | (5,936,670 | ) | — | |||||||||||
| Net increase (decrease) in net assets resulting from fund share transactions | 17,461,565 | 6,322,453 | 46,109,508 | 6,827,612 | ||||||||||||
| Total net increase (decrease) in Net Assets | 24,952,695 | 6,171,460 | 44,810,656 | 6,486,076 | ||||||||||||
| Net Assets | ||||||||||||||||
| Beginning of period | — | — | 6,486,076 | — | ||||||||||||
| End of period | $ | 24,952,695 | $ | 6,171,460 | $ | 51,296,732 | $ | 6,486,076 | ||||||||
| Changes in Shares Outstanding | ||||||||||||||||
| Shares outstanding, beginning of period | — | — | 275,001 | — | ||||||||||||
| Shares sold | 1,380,001 | (2) | 250,001 | (2) | 2,175,000 | 275,001 | (2) | |||||||||
| Shares redeemed | — | — | (250,000 | ) | — | |||||||||||
| Shares outstanding, end of period | 1,380,001 | 250,001 | 2,200,001 | 275,001 | ||||||||||||
| (1) | Commencement of operations. | |
| (2) | Shares not in increment of 25,000 shares, a creation unit, represent the Adviser’s initial seed investment in connection with the commencement of operations. |
See Notes to Financial Statements.
132
Simplify Exchange Traded Funds
Consolidated Statements of Changes in Net Assets (Continued)
| Simplify Managed Futures Strategy ETF |
Simplify Volatility Premium ETF |
|||||||||||||||
| Year Ended June 30, 2023 |
For the period March 8, 2022(1) to June 30, 2022 |
Year Ended June 30, 2023 |
Year Ended June 30, 2022 |
|||||||||||||
| Increase (Decrease) in Net Assets from Operations | ||||||||||||||||
| Net investment income (loss) | $ | 3,269,817 | $ | (10,483 | ) | $ | 4,481,069 | $ | 74,299 | |||||||
| Net realized gain (loss) | (24,226,742 | ) | (153,846 | ) | 28,735,708 | (5,287,825 | ) | |||||||||
| Net change in net unrealized appreciation (depreciation) | 4,740,056 | 1,538,662 | 5,517,497 | (2,206,484 | ) | |||||||||||
| Net increase (decrease) in net assets resulting from operations | (16,216,869 | ) | 1,374,333 | 38,734,274 | (7,420,010 | ) | ||||||||||
| Distributions to Shareholders from: | ||||||||||||||||
| Distributions | (10,767,132 | ) | — | (28,995,598 | ) | (123,628 | ) | |||||||||
| Return of capital | — | — | — | (11,320,688 | ) | |||||||||||
| Total distributions | (10,767,132 | ) | — | (28,995,598 | ) | (11,444,316 | ) | |||||||||
| Fund Shares Transactions | ||||||||||||||||
| Proceeds from shares sold | 269,507,617 | 32,559,577 | 253,466,733 | 174,190,526 | ||||||||||||
| Value of shares redeemed | (143,417,215 | ) | (5,297,406 | ) | (38,880,630 | ) | (70,918,163 | ) | ||||||||
| Net increase (decrease) in net assets resulting from fund share transactions | 126,090,402 | 27,262,171 | 214,586,103 | 103,272,363 | ||||||||||||
| Total net increase (decrease) in Net Assets | 99,106,401 | 28,636,504 | 224,324,779 | 84,408,037 | ||||||||||||
| Net Assets | ||||||||||||||||
| Beginning of period | 28,636,504 | — | 99,265,156 | 14,857,119 | ||||||||||||
| End of period | $ | 127,742,905 | $ | 28,636,504 | $ | 323,589,935 | $ | 99,265,156 | ||||||||
| Changes in Shares Outstanding | ||||||||||||||||
| Shares outstanding, beginning of period | 1,050,001 | — | 4,475,001 | 550,001 | ||||||||||||
| Shares sold | 9,350,000 | 1,250,001 | (2) | 11,425,000 | 6,875,000 | |||||||||||
| Shares redeemed | (5,400,000 | ) | (200,000 | ) | (1,775,000 | ) | (2,950,000 | ) | ||||||||
| Shares outstanding, end of period | 5,000,001 | 1,050,001 | 14,125,001 | 4,475,001 | ||||||||||||
| (1) | Commencement of operations. | |
| (2) | Shares not in increment of 25,000 shares, a creation unit, represent the Adviser’s initial seed investment in connection with the commencement of operations. |
See Notes to Financial Statements.
133
Simplify Exchange Traded Funds
Consolidated Statement of Cash Flows
For the Period Ended June 30, 2023
| Simplify Bitcoin Strategy PLUS Income ETF |
||||
| Cash Flows Provided by (Used for) Operating Activities: | ||||
| Net increase (decrease) in net assets resulting from operations | $ | 8,689,305 | ||
| Adjustments to reconcile net increase (decrease) in net assets resulting from operations to net cash provided by / (used for) operating activities: | ||||
| Purchases of long-term investment securities | (13,929,936 | ) | ||
| Net purchases and sales in short term investments | (63,606,444 | ) | ||
| Net change in unrealized (appreciation) / depreciation on investments | (28,225 | ) | ||
| Net realized (gain) / loss from sales of investments | (838,139 | ) | ||
| Net realized (gain) / loss from written options | (620,189 | ) | ||
| Proceeds from sale of securities | 14,973,558 | |||
| Net amortization of premium / (discount) | (1,358,669 | ) | ||
| (Increase) Decrease in dividends and interest receivable | (5,975 | ) | ||
| (Increase) Decrease in securities sold receivable | (17,706,200 | ) | ||
| (Increase) Decrease in due from broker | (1,829,776 | ) | ||
| Increase (Decrease) in other accrued expenses | 12,200 | |||
| Increase (Decrease) in investment advisory fees payable | 15,804 | |||
| Net Cash Provided by / (Used for) Operating Activities | (76,232,686 | ) | ||
| Cash Flows Provided by (Used for) from Financing Activities: | ||||
| Shares Sold | 17,461,565 | |||
| Proceeds from reverse repurchase agreement | 5,369,171,616 | |||
| Payments made on reverse repurchase agreement | (5,309,199,665 | ) | ||
| Distributions paid | (991,175 | ) | ||
| Cash provided by (used for) financing activities | 76,442,341 | |||
| Net increase (decrease) in cash | 209,655 | |||
| Cash and Restricted Cash(2): | ||||
| Cash and Restricted Cash, at beginning of period | — | |||
| Cash and Restricted Cash, at end of period | $ | 209,655 | ||
| (1) | For the period September 30, 2022 (commencement of operations) through June 30, 2023. | |
| (2) | Cash and restricted cash include cash and cash held as collateral for futures. |
| Supplemental Disclosure of Cash Flow Information | ||||
| Non-cash financing activities: | ||||
| Cash paid for interest on reverse repurchase agreements | $ | 1,093,025 | ||
| Reconciliation of Restricted and Unrestricted Cash at the beginning of period to the Statements of Assets and Liabilities | ||||
| Cash | $ | — | ||
| Reconciliation of Restricted and Unrestricted Cash at the end of period to the Statements of Assets and Liabilities | ||||
| Cash | $ | 209,655 |
See Notes to Financial Statements.
134
Simplify Exchange Traded Funds
Consolidated Statement of Cash Flows
For the Year Ended June 30, 2023
| Simplify Volatility Premium ETF |
||||
| Cash Flows Provided by (Used for) Operating Activities: | ||||
| Net increase (decrease) in net assets resulting from operations | $ | 38,734,274 | ||
| Adjustments to reconcile net increase (decrease) in net assets resulting from operations to net cash provided by / (used for) operating activities: | ||||
| Purchases of long-term investment securities | (182,905,095 | ) | ||
| Net purchases and sales in short term investments | (312,898,818 | ) | ||
| Net change in unrealized (appreciation) / depreciation on investments | (640,923 | ) | ||
| Net realized (gain) / loss from sales of investments | 7,633,915 | |||
| Net realized (gain) / loss from written options | 1,008 | |||
| Proceeds from sale of securities | 277,477,109 | |||
| Net amortization of premium / (discount) | (4,479,334 | ) | ||
| (Increase) Decrease in dividends and interest receivable | (153,980 | ) | ||
| (Increase) Decrease in securities sold receivable | (173,208,719 | ) | ||
| (Increase) Decrease in due from broker | (153,067,228 | ) | ||
| Interest payable on reverse repurchase agreement | (11,287 | ) | ||
| Increase (Decrease) in investment advisory fees payable | 74,368 | |||
| Increase (Decrease) securities purchased payable | 70,428,738 | |||
| Net Cash Provided by / (Used for) Operating Activities | (433,015,972 | ) | ||
| Cash Flows Provided by (Used for) from Financing Activities: | ||||
| Shares Sold | 252,896,404 | |||
| Shares redeemed | (38,880,630 | ) | ||
| Proceeds from reverse repurchase agreement | 946,615,956 | |||
| Payments made on reverse repurchase agreement | (839,529,023 | ) | ||
| Distributions paid | (24,627,598 | ) | ||
| Increase in bank overdraft | 95,387,936 | |||
| Cash provided by (used for) financing activities | 391,863,045 | |||
| Net increase (decrease) in cash | (41,152,927 | ) | ||
| Cash and Restricted Cash(1): | ||||
| Cash and Restricted Cash, at beginning of year | 41,152,927 | |||
| Cash and Restricted Cash, at end of year | $ | — | ||
| (1) | Cash and restricted cash include cash and cash held as collateral for futures. |
| Supplemental Disclosure of Cash Flow Information | ||||
| Non-cash financing activities: | ||||
| Cash paid for interest on reverse repurchase agreements | $ | 591,039 | ||
| Reconciliation of Restricted and Unrestricted Cash at the beginning of year to the Statements of Assets and Liabilities | ||||
| Cash | $ | 13,045,300 | ||
| Deposit at broker for futures contracts | $ | 28,107,627 | ||
| Reconciliation of Restricted and Unrestricted Cash at the end of year to the Statements of Assets and Liabilities | ||||
| Cash | $ | — |
See Notes to Financial Statements.
135
Simplify Exchange Traded Funds
Financial Highlights
| Simplify Aggregate Bond PLUS Credit Hedge ETF Selected Per Share Data |
Year Ended June 30, 2023 |
Period Ended June 30, 2022(a) |
||||||
| Net Asset Value, beginning of period | $ | 23.64 | $ | 25.00 | ||||
| Income (loss) from investment operations: | ||||||||
| Net investment income (loss)(b) | 0.55 | 0.13 | ||||||
| Net realized and unrealized gain (loss) | (0.45 | ) | (1.35 | ) | ||||
| Total from investment operations | 0.10 | (1.22 | ) | |||||
| Less distributions from: | ||||||||
| Net investment income | (0.83 | ) | (0.14 | ) | ||||
| Return of capital | (0.41 | ) | — | |||||
| Total distributions | (1.24 | ) | (0.14 | ) | ||||
| Net Asset Value, end of period | $ | 22.50 | $ | 23.64 | ||||
| Total Return (%) | 0.49 | (c) | (4.89 | )(d) | ||||
| Ratios to Average Net Assets and Supplemental Data | ||||||||
| Net Assets, end of period ($ millions) | $ | 12 | $ | 1 | ||||
| Ratio of expenses before fee waiver (%) | 0.87 | (e)(f) | 0.50 | (f)(g) | ||||
| Ratio of expenses after fee waiver (%) | 0.60 | (e)(f) | 0.25 | (f)(g) | ||||
| Ratio of net investment income (loss) (%) | 2.44 | 1.43 | (g) | |||||
| Portfolio turnover rate (%)(h) | 400 | 14 | (d) | |||||
| Simplify Developed Ex-US PLUS Downside Convexity ETF Selected Per Share Data |
Year Ended June 30, 2023 |
Period Ended June 30, 2022(i) |
||||||
| Net Asset Value, beginning of period | $ | 19.26 | $ | 25.00 | ||||
| Income (loss) from investment operations: | ||||||||
| Net investment income (loss)(b) | 0.40 | 0.31 | ||||||
| Net realized and unrealized gain (loss) | 0.49 | (5.68 | ) | |||||
| Total from investment operations | 0.89 | (5.37 | ) | |||||
| Less distributions from: | ||||||||
| Net investment income | (0.41 | ) | (0.37 | ) | ||||
| Total distributions | (0.41 | ) | (0.37 | ) | ||||
| Net Asset Value, end of period | $ | 19.74 | $ | 19.26 | ||||
| Total Return (%) | 4.67 | (21.47 | )(d) | |||||
| Ratios to Average Net Assets and Supplemental Data | ||||||||
| Net Assets, end of period ($ millions) | $ | 17 | $ | 20 | ||||
| Ratio of expenses before fee waiver (%) | 0.55 | (f)(j) | 0.50 | (f)(g) | ||||
| Ratio of expenses after fee waiver (%) | 0.30 | (f)(j) | 0.25 | (f)(g) | ||||
| Ratio of net investment income (loss) (%) | 2.08 | 2.97 | (g) | |||||
| Portfolio turnover rate (%)(h) | 0 | 4 | (d) | |||||
| (a) | For the period February 15, 2022 (commencement of operations) through June 30, 2022. |
| (b) | Per share numbers have been calculated using the average shares method. |
| (c) | Total Return would have been lower if certain expenses had not been waived/reimbursed by the Advisor. |
| (d) | Not annualized. |
| (e) | The ratios of expenses to average net assets includes interest expense fees of 0.36%. |
| (f) | The Fund invests in other ETFs and indirectly bears its proportionate shares of fees and expenses incurred by the Underlying Funds in which the Fund is invested. This ratio does not included these indirect fees and expenses. |
| (g) | Annualized. |
| (h) | Excludes the impact of in-kind transactions related to the processing of capital share transactions in Creation Units. |
| (i) | For the period January 11, 2022 (commencement of operations) through June 30, 2022. |
| (j) | The ratios of expenses to average net assets includes interest expense fees of 0.05%. |
See Notes to Financial Statements.
136
Simplify Exchange Traded Funds
Financial Highlights (Continued)
| Simplify Emerging Markets Equity PLUS Downside Convexity ETF Selected Per Share Data |
Year Ended June 30, 2023 |
Period Ended June 30, 2022(a) |
||||||
| Net Asset Value, beginning of period | $ | 19.90 | $ | 25.00 | ||||
| Income (loss) from investment operations: | ||||||||
| Net investment income (loss)(b) | 0.27 | 0.32 | ||||||
| Net realized and unrealized gain (loss) | (1.77 | ) | (5.19 | ) | ||||
| Total from investment operations | (1.50 | ) | (4.87 | ) | ||||
| Less distributions from: | ||||||||
| Net investment income | (0.34 | ) | (0.23 | ) | ||||
| Total distributions | (0.34 | ) | (0.23 | ) | ||||
| Net Asset Value, end of period | $ | 18.06 | $ | 19.90 | ||||
| Total Return (%) | (7.51 | ) | (19.50 | )(c) | ||||
| Ratios to Average Net Assets and Supplemental Data | ||||||||
| Net Assets, end of period ($ millions) | $ | 4 | $ | 7 | ||||
| Ratio of expenses before fee waiver (%) | 0.56 | (d)(e) | 0.50 | (e)(f) | ||||
| Ratio of expenses after fee waiver (%) | 0.31 | (d)(e) | 0.25 | (e)(f) | ||||
| Ratio of net investment income (loss) (%) | 1.48 | 3.09 | (f) | |||||
| Portfolio turnover rate (%)(g) | 0 | 2 | (c) | |||||
| Simplify Enhanced Income ETF Selected Per Share Data |
Period Ended June 30, 2023(h) |
|||
| Net Asset Value, beginning of period | $ | 25.00 | ||
| Income (loss) from investment operations: | ||||
| Net investment income (loss)(b) | 0.65 | |||
| Net realized and unrealized gain (loss) | 0.60 | |||
| Total from investment operations | 1.25 | |||
| Less distributions from: | ||||
| Net investment income | (1.23 | ) | ||
| Net realized gains | (0.03 | ) | ||
| Total distributions | (1.26 | ) | ||
| Net Asset Value, end of period | $ | 24.99 | ||
| Total Return (%) | 5.07 | (c) | ||
| Ratios to Average Net Assets and Supplemental Data | ||||
| Net Assets, end of period ($ millions) | $ | 26 | ||
| Ratio of expenses (%) | 0.87 | (f)(i) | ||
| Ratio of net investment income (loss) (%) | 3.92 | (f) | ||
| Portfolio turnover rate (%)(g) | 0 | (c) | ||
| (a) | For the period January 11, 2022 (commencement of operations) through June 30, 2022. | |
| (b) | Per share numbers have been calculated using the average shares method. | |
| (c) | Not annualized. | |
| (d) | The ratios of expenses to average net assets includes interest expense fees of 0.06%. | |
| (e) | The Fund invests in other ETFs and indirectly bears its proportionate shares of fees and expenses incurred by the Underlying Funds in which the Fund is invested. This ratio does not included these indirect fees and expenses. | |
| (f) | Annualized. | |
| (g) | Excludes the impact of in-kind transactions related to the processing of capital share transactions in Creation Units. | |
| (h) | For the period October 28, 2022 (commencement of operations) through June 30, 2023. | |
| (i) | The ratios of expenses to average net assets includes interest expense fees of 0.36%. |
See Notes to Financial Statements.
137
Simplify Exchange Traded Funds
Financial Highlights (Continued)
| Simplify Health Care ETF Selected Per Share Data |
Year Ended June 30, |
Period Ended June 30, 2022(a) |
||||||
| Net Asset Value, beginning of period | $ | 24.58 | $ | 25.00 | ||||
| Income (loss) from investment operations: | ||||||||
| Net investment income (loss)(b) | 0.18 | 0.08 | ||||||
| Net realized and unrealized gain (loss) | 1.99 | (0.42 | ) | |||||
| Total from investment operations | 2.17 | (0.34 | ) | |||||
| Less distributions from: | ||||||||
| Net investment income | (0.20 | ) | (0.08 | ) | ||||
| Total distributions | (0.20 | ) | (0.08 | ) | ||||
| Net Asset Value, end of period | $ | 26.55 | $ | 24.58 | ||||
| Total Return (%) | 8.81 | (1.38 | )(c) | |||||
| Ratios to Average Net Assets and Supplemental Data | ||||||||
| Net Assets, end of period ($ millions) | $ | 59 | $ | 34 | ||||
| Ratio of expenses (%) | 0.50 | 0.50 | (d) | |||||
| Ratio of net investment income (loss) (%) | 0.72 | 0.45 | (d) | |||||
| Portfolio turnover rate (%)(e) | 118 | 146 | (c) | |||||
| Simplify Hedged Equity ETF Selected Per Share Data |
Year Ended June 30, |
Period Ended June 30, 2022(f) |
||||||
| Net Asset Value, beginning of period | $ | 22.99 | $ | 25.00 | ||||
| Income (loss) from investment operations: | ||||||||
| Net investment income (loss)(b) | 0.24 | 0.18 | ||||||
| Net realized and unrealized gain (loss) | 2.58 | (2.04 | ) | |||||
| Total from investment operations | 2.82 | (1.86 | ) | |||||
| Less distributions from: | ||||||||
| Net investment income | (0.54 | ) | (0.15 | ) | ||||
| Net realized gains | (0.43 | ) | — | |||||
| Total distributions | (0.97 | ) | (0.15 | ) | ||||
| Net Asset Value, end of period | $ | 24.84 | $ | 22.99 | ||||
| Total Return (%) | 12.65 | (7.46 | )(c) | |||||
| Ratios to Average Net Assets and Supplemental Data | ||||||||
| Net Assets, end of period ($ millions) | $ | 107 | $ | 37 | ||||
| Ratio of expenses (%) | 0.73 | (g)(h) | 0.50 | (d)(h) | ||||
| Ratio of net investment income (loss) (%) | 1.02 | 1.16 | (d) | |||||
| Portfolio turnover rate (%)(e) | 10 | 2 | (c) | |||||
| (a) | For the period October 8, 2021 (commencement of operations) through June 30, 2022. | |
| (b) | Per share numbers have been calculated using the average shares method. | |
| (c) | Not annualized. | |
| (d) | Annualized. | |
| (e) | Excludes the impact of in-kind transactions related to the processing of capital share transactions in Creation Units. | |
| (f) | For the period November 2, 2021 (commencement of operations) through June 30, 2022. | |
| (g) | The ratios of expenses to average net assets includes interest expense fees of 0.23%. | |
| (h) | The Fund invests in other ETFs and indirectly bears its proportionate shares of fees and expenses incurred by the Underlying Funds in which the Fund is invested. This ratio does not included these indirect fees and expenses. |
See Notes to Financial Statements.
138
Simplify Exchange Traded Funds
Financial Highlights (Continued)
| Simplify High Yield PLUS Credit Hedge ETF Selected Per Share Data |
Year Ended June 30, |
Period Ended June 30, 2022(a) |
||||||
| Net Asset Value, beginning of period | $ | 22.23 | $ | 25.00 | ||||
| Income (loss) from investment operations: | ||||||||
| Net investment income (loss)(b) | 0.67 | 0.01 | ||||||
| Net realized and unrealized gain (loss) | 0.76 | (2.44 | ) | |||||
| Total from investment operations | 1.43 | (2.43 | ) | |||||
| Variable transaction fees (see Note 8) | — | 0.01 | ||||||
| Less distributions from: | ||||||||
| Net investment income | (1.39 | ) | (0.24 | ) | ||||
| Return of capital | (0.47 | ) | (0.11 | ) | ||||
| Total distributions | (1.86 | ) | (0.35 | ) | ||||
| Net Asset Value, end of period | $ | 21.80 | $ | 22.23 | ||||
| Total Return (%) | 6.75 | (9.74 | )(c) | |||||
| Ratios to Average Net Assets and Supplemental Data | ||||||||
| Net Assets, end of period ($ millions) | $ | 45 | $ | 30 | ||||
| Ratio of expenses before fee waiver (%) | 0.51 | (d) | 0.50 | (e)(f) | ||||
| Ratio of expenses after fee waiver (%) | 0.26 | (d) | 0.25 | (e)(f) | ||||
| Ratio of net investment income (loss) (%) | 3.05 | 0.15 | (e) | |||||
| Portfolio turnover rate (%)(g) | 0 | 77 | (c) | |||||
|
Simplify Interest Rate Hedge ETF Selected Per Share Data |
Years Ended June 30 |
Period Ended June 30, |
||||||||||
| 2023 | 2022 | 2021(h) | ||||||||||
| Net Asset Value, beginning of period | $ | 57.25 | $ | 40.55 | $ | 50.00 | ||||||
| Income (loss) from investment operations: | ||||||||||||
| Net investment income (loss)(b) | 1.45 | 0.03 | (0.00 | )(i) | ||||||||
| Net realized and unrealized gain (loss) | 5.75 | 15.86 | (10.42 | ) | ||||||||
| Total from investment operations | 7.20 | 15.89 | (10.42 | ) | ||||||||
| Variable transaction fees (see Note 8) | 0.47 | 0.82 | 0.97 | |||||||||
| Less distributions from: | ||||||||||||
| Net investment income | (0.84 | ) | (0.01 | ) | — | |||||||
| Total distributions | (0.84 | ) | (0.01 | ) | — | |||||||
| Net Asset Value, end of period | $ | 64.08 | $ | 57.25 | $ | 40.55 | ||||||
| Total Return (%) | 13.35 | 41.18 | (18.89 | )(c) | ||||||||
| Ratios to Average Net Assets and Supplemental Data | ||||||||||||
| Net Assets, end of period ($ millions) | $ | 218 | $ | 302 | $ | 63 | ||||||
| Ratio of expenses (%) | 0.50 | 0.50 | 0.50 | (e) | ||||||||
| Ratio of net investment income (loss) (%) | 2.26 | 0.05 | (0.05 | )(e) | ||||||||
| Portfolio turnover rate (%)(g) | 124 | 3 | 0 | (c) | ||||||||
| (a) | For the period February 15, 2022 (commencement of operations) through June 30, 2022. | |
| (b) | Per share numbers have been calculated using the average shares method. | |
| (c) | Not annualized. | |
| (d) | The ratios of expenses to average net assets includes interest expense fees of 0.01%. | |
| (e) | Annualized. | |
| (f) | The Fund invests in other ETFs and indirectly bears its proportionate shares of fees and expenses incurred by the Underlying Funds in which the Fund is invested. This ratio does not included these indirect fees and expenses. | |
| (g) | Excludes the impact of in-kind transactions related to the processing of capital share transactions in Creation Units. | |
| (h) | For the period May 11, 2021 (commencement of operations) through June 30, 2021. | |
| (i) | Less than $.005. |
See Notes to Financial Statements.
139
Simplify Exchange Traded Funds
Financial Highlights (Continued)
| Simplify Intermediate Term Treasury Futures Strategy ETF Selected Per Share Data |
Year Ended June 30, 2023 |
Period Ended June 30, 2022(a) |
||||||
| Net Asset Value, beginning of period | $ | 18.28 | $ | 25.00 | ||||
| Income (loss) from investment operations: | ||||||||
| Net investment income (loss)(b) | 0.51 | 0.14 | ||||||
| Net realized and unrealized gain (loss) | (3.53 | ) | (6.74 | ) | ||||
| Total from investment operations | (3.02 | ) | (6.60 | ) | ||||
| Less distributions from: | ||||||||
| Net investment income | (0.55 | ) | (0.12 | ) | ||||
| Total distributions | (0.55 | ) | (0.12 | ) | ||||
| Net Asset Value, end of period | $ | 14.71 | $ | 18.28 | ||||
| Total Return (%) | (16.61 | ) | (26.47 | )(c) | ||||
| Ratios to Average Net Assets and Supplemental Data | ||||||||
| Net Assets, end of period ($ millions) | $ | 53 | $ | 40 | ||||
| Ratio of expenses before fee waiver (%) | 0.27 | (d) | 0.25 | (e) | ||||
| Ratio of expenses after fee waiver (%) | 0.17 | (d) | 0.15 | (e) | ||||
| Ratio of net investment income (loss) (%) | 3.16 | 0.85 | (e) | |||||
| Portfolio turnover rate (%)(f) | 0 | 153 | (c) | |||||
| Simplify Market Neutral Equity Long/Short ETF Selected Per Share Data |
Period Ended June 30, 2023(g) |
|||
| Net Asset Value, beginning of period | $ | 25.00 | ||
| Income (loss) from investment operations: | ||||
| Net investment income (loss)(b) | 0.04 | |||
| Net realized and unrealized gain (loss) | (0.61 | ) | ||
| Total from investment operations | (0.57 | ) | ||
| Net Asset Value, end of period | $ | 24.43 | ||
| Total Return (%) | (2.29 | )(c) | ||
| Ratios to Average Net Assets and Supplemental Data | ||||
| Net Assets, end of period ($ millions) | $ | 4 | ||
| Ratio of expenses (%) | 1.00 | (e) | ||
| Ratio of net investment income (loss) (%) | 4.02 | (e) | ||
| Portfolio turnover rate (%)(f) | 0 | (c) | ||
| (a) | For the period September 28, 2021 (commencement of operations) through June 30, 2022. | |
| (b) | Per share numbers have been calculated using the average shares method. | |
| (c) | Not annualized. | |
| (d) | The ratios of expenses to average net assets includes interest expense fees of 0.02%. | |
| (e) | Annualized. | |
| (f) | Excludes the impact of in-kind transactions related to the processing of capital share transactions in Creation Units. | |
| (g) | For the period June 14, 2023 (commencement of operations) through June 30, 2023. |
See Notes to Financial Statements.
140
Simplify Exchange Traded Funds
Financial Highlights (Continued)
| Simplify Opportunistic Income ETF Selected Per Share Data |
Period Ended June 30, 2023(a) |
|||
| Net Asset Value, beginning of period | $ | 25.00 | ||
| Income (loss) from investment operations: | ||||
| Net investment income (loss)(b) | 0.01 | |||
| Net realized and unrealized gain (loss) | — | |||
| Total from investment operations | 0.01 | |||
| Net Asset Value, end of period | $ | 25.01 | ||
| Total Return (%) | 0.04 | (c) | ||
| Ratios to Average Net Assets and Supplemental Data | ||||
| Net Assets, end of period ($ millions) | $ | 38 | ||
| Ratio of expenses before fee waiver (%) | 0.95 | (d) | ||
| Ratio of expenses after fee waiver (%) | 0.50 | (d) | ||
| Ratio of net investment income (loss) (%) | 4.52 | (d) | ||
| Portfolio turnover rate (%)(e) | 0 | (c) | ||
| Simplify Propel Opportunities ETF Selected Per Share Data |
Period Ended June 30, 2023(f) |
|||
| Net Asset Value, beginning of period | $ | 25.00 | ||
| Income (loss) from investment operations: | ||||
| Net investment income (loss)(b) | (0.04 | ) | ||
| Net realized and unrealized gain (loss) | (1.36 | ) | ||
| Total from investment operations | (1.40 | ) | ||
| Less distributions from: | ||||
| Net investment income | (0.87 | ) | ||
| Return of capital | (0.81 | ) | ||
| Total distributions | (1.68 | ) | ||
| Net Asset Value, end of period | $ | 21.92 | ||
| Total Return (%) | (4.97 | )(c) | ||
| Ratios to Average Net Assets and Supplemental Data | ||||
| Net Assets, end of period ($ millions) | $ | 100 | ||
| Ratio of expenses before fee waiver (%) | 2.75 | (d)(g) | ||
| Ratio of expenses after fee waiver (%) | 2.50 | (d)(g) | ||
| Ratio of net investment income (loss) (%) | (0.50 | )(d) | ||
| Portfolio turnover rate (%)(e) | 46 | (c) | ||
| (a) | For the period June 27, 2023 (commencement of operations) through June 30, 2023. | |
| (b) | Per share numbers have been calculated using the average shares method. | |
| (c) | Not annualized. | |
| (d) | Annualized. | |
| (e) | Excludes the impact of in-kind transactions related to the processing of capital share transactions in Creation Units. | |
| (f) | For the period February 8, 2023 (commencement of operations) through June 30, 2023. | |
| (g) | The Fund invests in other ETFs and indirectly bears its proportionate shares of fees and expenses incurred by the Underlying Funds in which the Fund is invested. This ratio does not included these indirect fees and expenses. |
See Notes to Financial Statements.
141
Simplify Exchange Traded Funds
Financial Highlights (Continued)
| Simplify Short Term Treasury Futures Strategy ETF Selected Per Share Data |
Period Ended June 30, 2023(a) |
|||
| Net Asset Value, beginning of period | $ | 25.00 | ||
| Income (loss) from investment operations: | ||||
| Net investment income (loss)(b) | 0.68 | |||
| Net realized and unrealized gain (loss) | (2.38 | ) | ||
| Total from investment operations | (1.70 | ) | ||
| Less distributions from: | ||||
| Net investment income | (0.64 | ) | ||
| Total distributions | (0.64 | ) | ||
| Net Asset Value, end of period | $ | 22.66 | ||
| Total Return (%) | (6.97 | )(c) | ||
| Ratios to Average Net Assets and Supplemental Data | ||||
| Net Assets, end of period ($ millions) | $ | 534 | ||
| Ratio of expenses before fee waiver (%) | 0.26 | (d)(e) | ||
| Ratio of expenses after fee waiver (%) | 0.15 | (d)(e) | ||
| Ratio of net investment income (loss) (%) | 4.62 | (d) | ||
| Portfolio turnover rate (%)(f) | 0 | (c) | ||
| Simplify Stable Income ETF Selected Per Share Data |
Period Ended June 30, 2023(g) |
|||
| Net Asset Value, beginning of period | $ | 25.00 | ||
| Income (loss) from investment operations: | ||||
| Net investment income (loss)(b) | 0.70 | |||
| Net realized and unrealized gain (loss) | 0.11 | |||
| Total from investment operations | 0.81 | |||
| Less distributions from: | ||||
| Net investment income | (0.74 | ) | ||
| Net realized gains | (0.01 | ) | ||
| Total distributions | (0.75 | ) | ||
| Net Asset Value, end of period | $ | 25.06 | ||
| Total Return (%) | 3.27 | (c) | ||
| Ratios to Average Net Assets and Supplemental Data | ||||
| Net Assets, end of period ($ millions) | $ | 14 | ||
| Ratio of expenses (%) | 0.43 | (d)(h) | ||
| Ratio of net investment income (loss) (%) | 4.21 | (d) | ||
| Portfolio turnover rate (%)(f) | 0 | (c) | ||
| (a) | For the period November 15, 2022 (commencement of operations) through June 30, 2023. | |
| (b) | Per share numbers have been calculated using the average shares method. | |
| (c) | Not annualized. | |
| (d) | Annualized. | |
| (e) | The ratios of expenses to average net assets includes interest expense fees of 0.01%. | |
| (f) | Excludes the impact of in-kind transactions related to the processing of capital share transactions in Creation Units. | |
| (g) | For the period October 28, 2022 (commencement of operations) through June 30, 2023. | |
| (h) | The ratios of expenses to average net assets includes interest expense fees of 0.08%. |
See Notes to Financial Statements.
142
Simplify Exchange Traded Funds
Financial Highlights (Continued)
| Simplify Tail Risk Strategy ETF Selected Per Share Data |
Year Ended June 30, |
Period Ended June 30, 2022(a) |
||||||
| Net Asset Value, beginning of period | $ | 19.98 | $ | 25.00 | ||||
| Income (loss) from investment operations: | ||||||||
| Net investment income (loss)(b) | 0.97 | 0.38 | ||||||
| Net realized and unrealized gain (loss) | (14.17 | ) | (4.04 | ) | ||||
| Total from investment operations | (13.20 | ) | (3.66 | ) | ||||
| Less distributions from: | ||||||||
| Net investment income | (0.92 | ) | (0.34 | ) | ||||
| Return of capital | — | (1.02 | ) | |||||
| Total distributions | (0.92 | ) | (1.36 | ) | ||||
| Net Asset Value, end of period | $ | 5.86 | $ | 19.98 | ||||
| Total Return (%) | (68.31 | ) | (15.01 | )(c)(d) | ||||
| Ratios to Average Net Assets and Supplemental Data | ||||||||
| Net Assets, end of period ($ millions) | $ | 17 | $ | 104 | ||||
| Ratio of expenses before fee waiver (%) | 0.95 | (e)(f) | 0.76 | (f)(g)(h) | ||||
| Ratio of expenses after fee waiver (%) | 0.45 | (e)(f)(i) | 0.17 | (f)(g)(h) | ||||
| Ratio of net investment income (loss) (%) | 6.92 | 2.27 | (g) | |||||
| Portfolio turnover rate (%)(j) | 68 | 125 | (d) | |||||
|
Simplify US Equity PLUS Convexity ETF Selected Per Share Data |
Years Ended June 30 |
Period Ended June 30, |
||||||||||
| 2023 | 2022 | 2021(k) | ||||||||||
| Net Asset Value, beginning of period | $ | 26.59 | $ | 30.63 | $ | 25.00 | ||||||
| Income (loss) from investment operations: | ||||||||||||
| Net investment income (loss)(b) | 0.36 | 0.33 | 0.31 | |||||||||
| Net realized and unrealized gain (loss) | 2.46 | (3.85 | ) | 5.59 | ||||||||
| Total from investment operations | 2.82 | (3.52 | ) | 5.90 | ||||||||
| Less distributions from: | ||||||||||||
| Net investment income | (0.33 | ) | (0.52 | ) | (0.27 | ) | ||||||
| Total distributions | (0.33 | ) | (0.52 | ) | (0.27 | ) | ||||||
| Net Asset Value, end of period | $ | 29.08 | $ | 26.59 | $ | 30.63 | ||||||
| Total Return (%) | 10.67 | (11.68 | ) | 23.68 | (d) | |||||||
| Ratios to Average Net Assets and Supplemental Data | ||||||||||||
| Net Assets, end of period ($ millions) | $ | 73 | $ | 61 | $ | 89 | ||||||
| Ratio of expenses before fee waiver (%) | 0.53 | (f)(l) | 0.50 | (f) | 0.50 | (f)(g) | ||||||
| Ratio of expenses after fee waiver (%) | 0.28 | (f)(l) | 0.25 | (f) | 0.25 | (f)(g) | ||||||
| Ratio of net investment income (loss) (%) | 1.35 | 1.04 | 1.35 | (g) | ||||||||
| Portfolio turnover rate (%)(j) | 1 | 3 | 6 | (d) | ||||||||
| (a) | For the period September 14, 2021 (commencement of operations) through June 30, 2022. | |
| (b) | Per share numbers have been calculated using the average shares method. | |
| (c) | Total Return would have been lower if certain expenses had not been waived/reimbursed by the Advisor. | |
| (d) | Not annualized. | |
| (e) | The ratios of expenses to average net assets includes interest expense fees of 0.20%. | |
| (f) | The Fund invests in other ETFs and indirectly bears its proportionate shares of fees and expenses incurred by the Underlying Funds in which the Fund is invested. This ratio does not included these indirect fees and expenses. | |
| (g) | Annualized. | |
| (h) | The ratios of expenses to average net assets includes interest expense fees of 0.01%. | |
| (i) | The ratio of expenses after fee waiver includes a voluntary waiver of 0.25%. See note 6. | |
| (j) | Excludes the impact of in-kind transactions related to the processing of capital share transactions in Creation Units. | |
| (k) | For the period September 4, 2020 (commencement of operations) through June 30, 2021. | |
| (l) | The ratios of expenses to average net assets includes interest expense fees of 0.03%. |
See Notes to Financial Statements.
143
Simplify Exchange Traded Funds
Financial Highlights (Continued)
|
Simplify US Equity PLUS Downside Convexity ETF Selected Per Share Data |
Years Ended June 30 |
Period Ended June 30, |
||||||||||
| 2023 | 2022 | 2021(a) | ||||||||||
| Net Asset Value, beginning of period | $ | 26.48 | $ | 30.26 | $ | 25.00 | ||||||
| Income (loss) from investment operations: | ||||||||||||
| Net investment income (loss)(b) | 0.30 | 0.35 | 0.36 | |||||||||
| Net realized and unrealized gain (loss) | 1.07 | (c) | (3.76 | ) | 5.14 | |||||||
| Total from investment operations | 1.37 | (3.41 | ) | 5.50 | ||||||||
| Less distributions from: | ||||||||||||
| Net investment income | (0.49 | ) | (0.37 | ) | (0.24 | ) | ||||||
| Total distributions | (0.49 | ) | (0.37 | ) | (0.24 | ) | ||||||
| Net Asset Value, end of period | $ | 27.36 | $ | 26.48 | $ | 30.26 | ||||||
| Total Return (%) | 5.31 | (11.38 | ) | 22.07 | (d) | |||||||
| Ratios to Average Net Assets and Supplemental Data | ||||||||||||
| Net Assets, end of period ($ millions) | $ | 116 | $ | 445 | $ | 225 | ||||||
| Ratio of expenses before fee waiver (%) | 0.62 | (e)(f) | 0.50 | (f) | 0.50 | (f)(g) | ||||||
| Ratio of expenses after fee waiver (%) | 0.37 | (e)(f) | 0.25 | (f) | 0.25 | (f)(g) | ||||||
| Ratio of net investment income (loss) (%) | 1.15 | 1.14 | 1.53 | (g) | ||||||||
| Portfolio turnover rate (%)(h) | 0 | 5 | 4 | (d) | ||||||||
|
Simplify US Equity PLUS GBTC ETF Selected Per Share Data |
Years Ended June 30 |
Period Ended June 30, |
||||||||||
| 2023 | 2022 | 2021(i) | ||||||||||
| Net Asset Value, beginning of period | $ | 20.43 | $ | 25.32 | $ | 25.00 | ||||||
| Income (loss) from investment operations: | ||||||||||||
| Net investment income (loss)(b) | 0.18 | 0.17 | 0.06 | |||||||||
| Net realized and unrealized gain (loss) | 5.35 | (4.51 | ) | 0.30 | ||||||||
| Total from investment operations | 5.53 | (4.34 | ) | 0.36 | ||||||||
| Less distributions from: | ||||||||||||
| Net investment income | (0.11 | ) | (0.21 | ) | (0.04 | ) | ||||||
| Net realized gains | — | (0.34 | ) | — | ||||||||
| Return of capital | (0.87 | ) | — | — | ||||||||
| Total distributions | (0.98 | ) | (0.55 | ) | (0.04 | ) | ||||||
| Net Asset Value, end of period | $ | 24.98 | $ | 20.43 | $ | 25.32 | ||||||
| Total Return (%) | 27.69 | (17.66 | ) | 1.46 | (d) | |||||||
| Ratios to Average Net Assets and Supplemental Data | ||||||||||||
| Net Assets, end of period ($ millions) | $ | 9 | $ | 87 | $ | 103 | ||||||
| Ratio of expenses (%) | 0.51 | (f)(j) | 0.50 | (f) | 0.51 | (f)(g)(j) | ||||||
| Ratio of net investment income (loss) (%) | 0.84 | 0.66 | 2.65 | (g) | ||||||||
| Portfolio turnover rate (%)(h) | 8 | 6 | 2 | (d) | ||||||||
| (a) | For the period September 4, 2020 (commencement of operations) through June 30, 2021. | |
| (b) | Per share numbers have been calculated using the average shares method. | |
| (c) | Because of the timing of subscriptions and redemptions in relation to fluctuating markets at value, the amount shown may not agree with the change in aggregate gains and losses. | |
| (d) | Not annualized. | |
| (e) | The ratios of expenses to average net assets includes interest expense fees of 0.12%. | |
| (f) | The Fund invests in other ETFs and indirectly bears its proportionate shares of fees and expenses incurred by the Underlying Funds in which the Fund is invested. This ratio does not included these indirect fees and expenses. | |
| (g) | Annualized. | |
| (h) | Excludes the impact of in-kind transactions related to the processing of capital share transactions in Creation Units. | |
| (i) | For the period May 25, 2021 (commencement of operations) through June 30, 2021. | |
| (j) | The ratios of expenses to average net assets includes interest expense fees of 0.01%. |
See Notes to Financial Statements.
144
Simplify Exchange Traded Funds
Financial Highlights (Continued)
|
Simplify US Equity PLUS Upside Convexity ETF Selected Per Share Data |
Years Ended June 30 |
Period Ended June 30, |
||||||||||
| 2023 | 2022 | 2021(a) | ||||||||||
| Net Asset Value, beginning of period | $ | 26.60 | $ | 30.99 | $ | 25.00 | ||||||
| Income (loss) from investment operations: | ||||||||||||
| Net investment income (loss)(b) | 0.40 | 0.36 | 0.32 | |||||||||
| Net realized and unrealized gain (loss) | 3.99 | (3.91 | ) | 6.02 | ||||||||
| Total from investment operations | 4.39 | (3.55 | ) | 6.34 | ||||||||
| Less distributions from: | ||||||||||||
| Net investment income | (0.34 | ) | (0.43 | ) | (0.35 | ) | ||||||
| Net realized gains | — | (0.41 | ) | — | ||||||||
| Total distributions | (0.34 | ) | (0.84 | ) | (0.35 | ) | ||||||
| Net Asset Value, end of period | $ | 30.65 | $ | 26.60 | $ | 30.99 | ||||||
| Total Return (%) | 16.65 | (11.99 | ) | 25.52 | (c) | |||||||
| Ratios to Average Net Assets and Supplemental Data | ||||||||||||
| Net Assets, end of period ($ millions) | $ | 8 | $ | 12 | $ | 9 | ||||||
| Ratio of expenses before fee waiver (%) | 0.50 | (d) | 0.50 | (d) | 0.50 | (d)(e) | ||||||
| Ratio of expenses after fee waiver (%) | 0.25 | (d) | 0.25 | (d) | 0.25 | (d)(e) | ||||||
| Ratio of net investment income (loss) (%) | 1.46 | 1.13 | 1.37 | (e) | ||||||||
| Portfolio turnover rate (%)(f) | 0 | 4 | 5 | (c) | ||||||||
|
Simplify Volt RoboCar Disruption and Tech ETF Selected Per Share Data |
Years Ended June 30 |
Period Ended June 30, |
||||||||||
| 2023 | 2022 | 2021(g) | ||||||||||
| Net Asset Value, beginning of period | $ | 9.09 | $ | 11.83 | $ | 12.50 | ||||||
| Income (loss) from investment operations: | ||||||||||||
| Net investment income (loss)(b) | (0.00 | )(h) | 0.06 | (0.04 | ) | |||||||
| Net realized and unrealized gain (loss) | (0.05 | ) | (2.75 | ) | (0.63 | ) | ||||||
| Total from investment operations | (0.05 | ) | (2.69 | ) | (0.67 | ) | ||||||
| Less distributions from: | ||||||||||||
| Net investment income | — | (0.03 | ) | — | ||||||||
| Return of capital | — | (0.02 | ) | — | ||||||||
| Total distributions | — | (0.05 | ) | — | ||||||||
| Net Asset Value, end of period | $ | 9.04 | $ | 9.09 | $ | 11.83 | ||||||
| Total Return (%) | (0.54 | ) | (22.91 | ) | (5.34 | )(c) | ||||||
| Ratios to Average Net Assets and Supplemental Data | ||||||||||||
| Net Assets, end of period ($ millions) | $ | 4 | $ | 5 | $ | 2 | ||||||
| Ratio of expenses (%) | 0.99 | (i) | 0.95 | 0.95 | (d)(e) | |||||||
| Ratio of net investment income (loss) (%) | (0.01 | ) | 0.46 | (0.71 | )(e) | |||||||
| Portfolio turnover rate (%)(f) | 255 | 254 | 20 | (c) | ||||||||
| (a) | For the period September 4, 2020 (commencement of operations) through June 30, 2021. | |
| (b) | Per share numbers have been calculated using the average shares method. | |
| (c) | Not annualized. | |
| (d) | The Fund invests in other ETFs and indirectly bears its proportionate shares of fees and expenses incurred by the Underlying Funds in which the Fund is invested. This ratio does not included these indirect fees and expenses. | |
| (e) | Annualized. | |
| (f) | Excludes the impact of in-kind transactions related to the processing of capital share transactions in Creation Units. | |
| (g) | For the period December 29, 2020 (commencement of operations) through June 30, 2021. | |
| (h) | Less than $.005. | |
| (i) | The ratios of expenses to average net assets includes interest expense fees of 0.03%. |
See Notes to Financial Statements.
145
Simplify Exchange Traded Funds
Consolidated Financial Highlights
| Simplify Bitcoin Strategy PLUS Income ETF Selected Per Share Data |
Period Ended June 30, 2023(a)(b) |
|||
| Net Asset Value, beginning of period | $ | 12.50 | ||
| Income (loss) from investment operations: | ||||
| Net investment income (loss)(c) | 0.15 | |||
| Net realized and unrealized gain (loss) | 6.64 | |||
| Total from investment operations | 6.79 | |||
| Less distributions from: | ||||
| Net investment income | (1.15 | ) | ||
| Net realized gains | (0.06 | ) | ||
| Total distributions | (1.21 | ) | ||
| Net Asset Value, end of period | $ | 18.08 | ||
| Total Return (%) | 58.15 | (d) | ||
| Ratios to Average Net Assets and Supplemental Data | ||||
| Net Assets, end of period ($ millions) | $ | 25 | ||
| Ratio of expenses (%) | 11.18 | (e)(f)(g) | ||
| Ratio of net investment income (loss) (%) | 1.35 | (e) | ||
| Portfolio turnover rate (%)(h) | 0 | (d) | ||
| Simplify Commodities Strategy No K-1 ETF Selected Per Share Data |
Period Ended June 30, 2023(i) |
|||
| Net Asset Value, beginning of period | $ | 25.00 | ||
| Income (loss) from investment operations: | ||||
| Net investment income (loss)(c) | 0.20 | |||
| Net realized and unrealized gain (loss) | (0.41 | ) | ||
| Total from investment operations | (0.21 | ) | ||
| Less distributions from: | ||||
| Net investment income | (0.10 | ) | ||
| Total distributions | (0.10 | ) | ||
| Net Asset Value, end of period | $ | 24.69 | ||
| Total Return (%) | (0.86 | )(d) | ||
| Ratios to Average Net Assets and Supplemental Data | ||||
| Net Assets, end of period ($ millions) | $ | 6 | ||
| Ratio of expenses (%) | 0.75 | (e)(g) | ||
| Ratio of net investment income (loss) (%) | 3.06 | (e) | ||
| Portfolio turnover rate (%)(h) | 0 | (d) | ||
| (a) | For the period September 30, 2022 (commencement of operations) through June 30, 2023. | |
| (b) | As a result of the Fund having earmarked or segregated securities to collateralize its reverse repurchase agreement transactions or otherwise having covered the transactions, in accordance with releases and interpretive letters issued by the Securities and Exchange Commission (the “SEC”), the Fund does not treat its obligations under such transactions as senior securities representing indebtedness for purposes of the Investment Company Act of 1940, as amended. Therefore, a “Senior Securities” table is not disclosed. | |
| (c) | Per share numbers have been calculated using the average shares method. | |
| (d) | Not annualized. | |
| (e) | Annualized. | |
| (f) | The ratios of expenses to average net assets includes interest expense fees of 10.23%. | |
| (g) | The Fund invests in other ETFs and indirectly bears its proportionate shares of fees and expenses incurred by the Underlying Funds in which the Fund is invested. This ratio does not included these indirect fees and expenses. | |
| (h) | Excludes the impact of in-kind transactions related to the processing of capital share transactions in Creation Units. | |
| (i) | For the period March 28, 2023 (commencement of operations) through June 30, 2023. |
See Notes to Financial Statements.
146
Simplify Exchange Traded Funds
Consolidated Financial Highlights (Continued)
| Simplify Macro Strategy ETF Selected Per Share Data |
Year Ended June 30, |
Period Ended June 30, 2022(a) |
||||||
| Net Asset Value, beginning of period | $ | 23.59 | $ | 25.00 | ||||
| Income (loss) from investment operations: | ||||||||
| Net investment income (loss)(b) | 1.35 | 0.16 | ||||||
| Net realized and unrealized gain (loss) | (0.43 | ) | (1.56 | ) | ||||
| Total from investment operations | 0.92 | (1.40 | ) | |||||
| Less distributions from: | ||||||||
| Net investment income | (1.19 | ) | (0.01 | ) | ||||
| Total distributions | (1.19 | ) | (0.01 | ) | ||||
| Net Asset Value, end of period | $ | 23.32 | $ | 23.59 | ||||
| Total Return (%) | 3.94 | (c) | (5.61 | )(c)(d) | ||||
| Ratios to Average Net Assets and Supplemental Data | ||||||||
| Net Assets, end of period ($ millions) | $ | 51 | $ | 6 | ||||
| Ratio of expenses before fee waiver (%) | 0.77 | (e)(f) | 0.75 | (f)(g) | ||||
| Ratio of expenses after fee waiver (%) | 0.44 | (e)(f)(h) | 0.45 | (f)(g) | ||||
| Ratio of net investment income (loss) (%) | 5.74 | 5.88 | (g) | |||||
| Portfolio turnover rate (%)(i) | 71 | 11 | (d) | |||||
| Simplify Managed Futures Strategy ETF Selected Per Share Data |
Year Ended June 30, |
Period Ended June 30, 2022(j) |
||||||
| Net Asset Value, beginning of period | $ | 27.27 | $ | 25.00 | ||||
| Income (loss) from investment operations: | ||||||||
| Net investment income (loss)(b) | 0.67 | (0.02 | ) | |||||
| Net realized and unrealized gain (loss) | (0.58 | ) | 2.29 | |||||
| Total from investment operations | 0.09 | 2.27 | ||||||
| Less distributions from: | ||||||||
| Net investment income | (1.14 | ) | — | |||||
| Net realized gains | (0.67 | ) | — | |||||
| Total distributions | (1.81 | ) | — | |||||
| Net Asset Value, end of period | $ | 25.55 | $ | 27.27 | ||||
| Total Return (%) | 0.13 | 9.07 | (d) | |||||
| Ratios to Average Net Assets and Supplemental Data | ||||||||
| Net Assets, end of period ($ millions) | $ | 128 | $ | 29 | ||||
| Ratio of expenses (%) | 0.78 | (f)(k) | 0.75 | (f)(g) | ||||
| Ratio of net investment income (loss) (%) | 2.49 | (0.27 | )(g) | |||||
| Portfolio turnover rate (%)(i) | 0 | 0 | (d) | |||||
| (a) | For the period May 17, 2022 (commencement of operations) through June 30, 2022. | |
| (b) | Per share numbers have been calculated using the average shares method. | |
| (c) | Total Return would have been lower if certain expenses had not been waived/reimbursed by the Advisor. | |
| (d) | Not annualized. | |
| (e) | The ratios of expenses to average net assets includes interest expense fees of 0.02%. | |
| (f) | The Fund invests in other ETFs and indirectly bears its proportionate shares of fees and expenses incurred by the Underlying Funds in which the Fund is invested. This ratio does not included these indirect fees and expenses. | |
| (g) | Annualized. | |
| (h) | The ratio of expenses after fee waiver includes a voluntary waiver of 0.12%. See note 6. | |
| (i) | Excludes the impact of in-kind transactions related to the processing of capital share transactions in Creation Units. | |
| (j) | For the period March 8, 2022 (commencement of operations) through June 30, 2022. | |
| (k) | The ratios of expenses to average net assets includes interest expense fees of 0.03%. |
See Notes to Financial Statements.
147
Simplify Exchange Traded Funds
Consolidated Financial Highlights (Continued)
|
Simplify Volatility Premium ETF Selected Per Share Data |
Years Ended June 30 |
Period Ended June 30, |
||||||||||
| 2023(b) | 2022(b) | 2021(a) | ||||||||||
| Net Asset Value, beginning of period | $ | 22.18 | $ | 27.01 | $ | 25.00 | ||||||
| Income (loss) from investment operations: | ||||||||||||
| Net investment income (loss)(c) | 0.63 | 0.03 | (0.02 | ) | ||||||||
| Net realized and unrealized gain (loss) | 3.97 | (1.54 | ) | 2.03 | ||||||||
| Total from investment operations | 4.60 | (1.51 | ) | 2.01 | ||||||||
| Less distributions from: | ||||||||||||
| Net investment income | (3.87 | ) | (0.04 | ) | — | |||||||
| Return of capital | — | (3.28 | ) | — | ||||||||
| Total distributions | (3.87 | ) | (3.32 | ) | — | |||||||
| Net Asset Value, end of period | $ | 22.91 | $ | 22.18 | $ | 27.01 | ||||||
| Total Return (%) | 23.14 | (6.23 | ) | 8.05 | (d) | |||||||
| Ratios to Average Net Assets and Supplemental Data | ||||||||||||
| Net Assets, end of period ($ millions) | $ | 324 | $ | 99 | $ | 15 | ||||||
| Ratio of expenses (%) | 1.16 | (e)(f) | 0.61 | (f)(g) | 0.51 | (f)(h)(i) | ||||||
| Ratio of net investment income (loss) (%) | 2.85 | 0.10 | (0.51 | )(h) | ||||||||
| Portfolio turnover rate (%)(j) | 260 | 207 | 10 | (d) | ||||||||
| (a) | For the period May 13, 2021 (commencement of operations) through June 30, 2021. | |
| (b) | As a result of the Fund having earmarked or segregated securities to collateralize its reverse repurchase agreement transactions or otherwise having covered the transactions, in accordance with releases and interpretive letters issued by the Securities and Exchange Commission (the “SEC”), the Fund does not treat its obligations under such transactions as senior securities representing indebtedness for purposes of the Investment Company Act of 1940, as amended. Therefore, a “Senior Securities” table is not disclosed. | |
| (c) | Per share numbers have been calculated using the average shares method. | |
| (d) | Not annualized. | |
| (e) | The ratios of expenses to average net assets includes interest expense fees of 0.66%. | |
| (f) | The Fund invests in other ETFs and indirectly bears its proportionate shares of fees and expenses incurred by the Underlying Funds in which the Fund is invested. This ratio does not included these indirect fees and expenses. | |
| (g) | The ratios of expenses to average net assets includes interest expense fees of 0.11%. | |
| (h) | Annualized. | |
| (i) | The ratios of expenses to average net assets includes interest expense fees of 0.01%. | |
| (j) | Excludes the impact of in-kind transactions related to the processing of capital share transactions in Creation Units. |
See Notes to Financial Statements.
148
Simplify Exchange Traded Funds
Notes to Financial Statements
June 30, 2023
1. Organization
Simplify Exchange Traded Funds (the “Trust”) is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end registered management investment company organized as a Delaware statutory trust.
As of June 30, 2023, the Trust consists of twenty five investment series of exchange-traded funds (“ETFs”) (each a “Fund” and collectively, the “Funds”) in operation and trading. These financial statements report on the Funds listed below:
Simplify Aggregate Bond PLUS Credit Hedge ETF
Simplify Developed Ex-US PLUS Downside Convexity ETF
Simplify Emerging Markets Equity PLUS Downside Convexity ETF
Simplify Enhanced Income ETF
Simplify Health Care ETF
Simplify Hedged Equity ETF
Simplify High Yield PLUS Credit Hedge ETF
Simplify Interest Rate Hedge ETF
Simplify Intermediate Term Treasury Futures Strategy ETF
Simplify Market Neutral Equity Long/Short ETF
Simplify Opportunistic Income ETF
Simplify Propel Opportunities ETF
Simplify Short Term Treasury Futures Strategy ETF
Simplify Stable Income ETF
Simplify Tail Risk Strategy ETF
Simplify US Equity PLUS Convexity ETF
Simplify US Equity PLUS Downside Convexity ETF
Simplify US Equity PLUS GBTC ETF
Simplify US Equity PLUS Upside Convexity ETF
Simplify Volt RoboCar Disruption and Tech ETF
Simplify Bitcoin Strategy PLUS Income ETF
Simplify Commodities Strategy No K-1 ETF
Simplify Macro Strategy ETF
Simplify Managed Futures Strategy ETF
Simplify Volatility Premium ETF
Effective October 28, 2022, Simplify Risk Parity Treasury ETF changed its name to Simplify Intermediate Term Treasury Futures Strategy ETF.
The Simplify Aggregate Bond PLUS Credit Hedge ETF, Simplify High Yield PLUS Credit Hedge ETF, Simplify Interest Rate Hedge ETF, Simplify Propel Opportunities ETF, Simplify Volt Robocar Disruption and Tech ETF, Simplify Bitcoin Strategy PLUS Income ETF, Simplify Macro Strategy ETF and Simplify Managed Futures Strategy ETF are each a non-diversified Fund of the Trust.
Simplify Asset Management Inc. (the “Adviser”) serves as investment adviser to the Funds and has overall responsibility for the general management and administration of the Funds, subject to the oversight of the Trust’s Board of Trustees (the “Board”).
Each Fund offers shares that are listed and traded on the NYSE Arca, Inc. (“NYSE Arca”), except for Simplify Intermediate Term Treasury Futures Strategy ETF which offers shares that are listed and traded on the CBOE BZX Exchange, Inc. and Simplify US Equity PLUS GBTC ETF and Simplify Bitcoin Strategy PLUS Income ETF which offer shares that are listed and traded on the Nasdaq Stock Market LLC (“Nasdaq”). Unlike mutual funds, each Fund issues and redeems shares on a continuous basis, at net asset value (“NAV”), only in large specified lots consisting of 25,000 shares, each called a “Creation Unit”, to authorized participants who have entered into agreements with the Funds’ distributor. Shares are not individually redeemable securities of the Funds, and owners of the shares may acquire those shares from the Funds, or tender such shares for redemption to the Funds, in Creation Units only.
| Fund | Investment objectives | |
| Simplify Aggregate Bond PLUS Credit Hedge ETF | The Fund seeks to maximize total return by investing primarily in investment grade (IG) bonds while mitigating credit risk. | |
| Simplify Developed Ex-US PLUS Downside Convexity ETF | The Fund seeks to provide capital appreciation. | |
| Simplify Emerging Markets Equity PLUS Downside Convexity ETF | The Fund seeks to provide capital appreciation. | |
| Simplify Enhanced Income ETF | The Fund seeks to provide monthly income. | |
| Simplify Health Care ETF | The Fund seeks long-term capital appreciation. | |
| Simplify Hedged Equity ETF | The Fund seeks to provide capital appreciation. | |
| Simplify High Yield PLUS Credit Hedge ETF | The Fund seeks to maximize current income by investing primarily in high-yield bonds while mitigating credit risk. |
149
Simplify Exchange Traded Funds
Notes to Financial Statements (Continued)
June 30, 2023
| Fund | Investment objectives | |
| Simplify Interest Rate Hedge ETF | The Fund seeks to hedge interest rate movements arising from rising long-term interest rates, and to benefit from market stress when fixed income volatility increases, while providing the potential for income. | |
| Simplify Intermediate Term Treasury Futures Strategy ETF | The Fund seeks to provide total return, before fees and expenses that matches or outperforms the performance of the ICE US Treasury 20+ Year Index on a calendar quarter basis. The Fund does not seek to achieve its stated investment objective over a period of time different than a full calendar quarter. | |
| Simplify Market Neutral Equity Long/Short ETF | The Fund seeks to provide positive absolute returns and income. | |
| Simplify Opportunistic Income ETF | The Fund seeks to provide current income. Long-term capital appreciation is a secondary objective. | |
| Simplify Propel Opportunities ETF | The Fund seeks to provide long-term growth of capital. | |
| Simplify Short Term Treasury Futures Strategy ETF | The Fund seeks to provide total return, before fees and expenses that matches or outperforms the performance of the ICE US Treasury 7-10 Year Bond Index on a calendar quarter basis. The Fund does not seek to achieve its stated investment objective over a period of time different than a full calendar quarter. | |
| Simplify Stable Income ETF | The Fund seeks to provide monthly income. | |
| Simplify Tail Risk Strategy ETF | The Fund seeks to provide income and capital appreciation while protecting against significant downside risk. | |
| Simplify US Equity PLUS Convexity ETF | The Fund seeks to provide capital appreciation. | |
| Simplify US Equity PLUS Downside Convexity ETF | The Fund seeks to provide capital appreciation. | |
| Simplify US Equity PLUS GBTC ETF | The Fund seeks to provide capital appreciation. | |
| Simplify US Equity PLUS Upside Convexity ETF | The Fund seeks to provide capital appreciation. | |
| Simplify Volt RoboCar Disruption and Tech ETF | The Fund seeks to provide capital appreciation. | |
| Simplify Bitcoin Strategy PLUS Income ETF | The Fund seeks income and capital gains. | |
| Simplify Commodities Strategy No K-1 ETF | The Fund seeks long term capital appreciation. | |
| Simplify Macro Strategy ETF | The Fund seeks to provide absolute returns. | |
| Simplify Managed Futures Strategy ETF | The Fund seeks long term capital appreciation. | |
| Simplify Volatility Premium ETF | The Fund seeks to provide investment results, before fees and expenses, that correspond approximately to one-fifth to three-tenths the inverse (-0.2x to -0.3x) of the performance of the S&P 500 VIX short-term futures index while seeking to mitigate extreme volatility. |
2. Consolidation of Subsidiary
The Consolidated Schedules of Investments, Consolidated Statements of Assets and Liabilities, Consolidated Statements of Operations, Consolidated Statement of Changes in Net Assets, and the Consolidated Financial Highlights of the Funds listed below include the accounts of a wholly owned subsidiaries. All inter-company accounts and transactions have been eliminated in consolidation.
Each Subsidiary is a Cayman Islands exempted company with limited liability. For tax purposes, each Fund is required to increase its taxable income by its shares of the Cayman subsidiary’s income. Net losses incurred by each Subsidiary cannot offset income earned by each Fund and cannot be carried back or forward by each Subsidiary to offset income from prior or future years.
| Fund | Wholly Owned Subsidiary | |
| Simplify Bitcoin Strategy PLUS Income ETF | Simplify Bitcoin Strategy PLUS Income Cayman Fund | |
| Simplify Commodities Strategy No K-1 ETF | Simplify Commodities Strategy No K-1 Cayman Fund | |
| Simplify Macro Strategy ETF | Simplify Macro Strategy Cayman Fund | |
| Simplify Managed Futures Strategy ETF | Simplify Managed Futures Strategy Cayman Fund | |
| Simplify Volatility Premium ETF | Simplify Volatility Premium Cayman Fund |
A summary of each Fund’s investment in its corresponding subsidiary is as follows:
| Fund | Inception Date of Subsidiary |
Subsidiary Net Assets at June 30, 2023 |
% of Fund’s Consolidated Total Assets at June 30, 2023 |
||||||||
| Simplify Bitcoin Strategy PLUS Income ETF | September 30, 2022 | $ | 19,931,674 | 23.4 | % | ||||||
| Simplify Commodities Strategy No K-1 ETF | March 28, 2023 | $ | 1,326,737 | 21.4 | % | ||||||
| Simplify Macro Strategy ETF | May 17, 2022 | $ | 3,632,935 | 6.9 | % | ||||||
| Simplify Managed Futures Strategy ETF | March 8, 2022 | $ | 28,555,393 | 22.2 | % | ||||||
| Simplify Volatility Premium ETF | May 13, 2021 | $ | 110,217,122 | 17.3 | % | ||||||
150
Simplify Exchange Traded Funds
Notes to Financial Statements (Continued)
June 30, 2023
3. Significant Accounting Policies
The financial statements have been prepared in conformity with U.S. generally accepted accounting principles (“U.S. GAAP”), which require management to make certain estimates and assumptions that affect the reported amounts and disclosures of contingent assets and liabilities at the date of the financial statement and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates. The Funds are investment companies and accordingly follow the investment company accounting and reporting guidance of the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946 Financial Services – Investment Companies including Accounting Standards Update 2013-08. The following is a summary of significant accounting policies followed by the Funds.
Investment Valuation
Each Fund’s investments are valued using procedures approved by the Board and are generally valued using market valuations (Market Approach). A market valuation generally means a valuation (i) obtained from an exchange, a pricing service, or a major market maker (or dealer) or (ii) based on a price quotation or other equivalent indication of value supplied by an exchange, a pricing service, or a major market maker (or dealer). A price obtained from a pricing service based on such pricing service’s valuation matrix may be considered a market valuation. Any assets or liabilities denominated in currencies other than the U.S. dollar are converted into U.S. dollars at the current market rates on the date of valuation as quoted by one or more sources.
If market quotations are not readily available, securities will be valued at their fair market value as determined using the “fair value” procedures approved by the Board. Fair value pricing involves subjective judgments and it is possible that the fair value determined for a security may be materially different than the value that could be realized upon the sale of that security. The fair value prices can differ from market prices when they become available or when a price becomes available. The Board has delegated execution of these procedures to the Adviser, as valuation designee pursuant to Rule 2a-5 under the 1940 Act. The Adviser may also enlist third party consultants such as an audit firm or financial officer of a security issuer on an as-needed basis to assist in determining a security-specific fair value. These securities are either categorized as Level 2 or 3 of the fair value hierarchy depending on the relevant inputs used. The Board reviews and ratifies the execution of this process and the resultant fair value prices at least quarterly to assure the process produces reliable results.
Equity securities and ETFs are valued at the most recent sale price or official closing price reported on the exchange (U.S. or foreign) or over-the-counter market on which they trade. Securities or ETFs for which no sales are reported are valued at the calculated mean between the most recent bid and asked quotations on the relevant market or, if a mean cannot be determined, at the most recent bid quotation. Equity securities and ETFs are generally categorized as Level 1 of the fair value hierarchy.
Exchange traded options are valued at the mean between the current bid and ask prices on the exchange on which such options are traded. If a mean price is not available, the closing price is used. Exchange trade options are categorized as Level 1. Options with international equity exposure are marked to market using closing prices for the underlying and interpolated option implied volatilities obtained from mid-market prices for options on the same underlying of similar expiries and strike prices. These securities are categorized as Level 2 in the fair value hierarchy.
Debt securities not traded on an exchange may be valued at prices supplied by a pricing agent(s) based on broker or dealer supplied valuations or matrix pricing, a method of valuing securities by reference to the value of other securities with similar characteristics, such as rating, interest rate and maturity. Debt securities are generally categorized as Level 2 of the fair value hierarchy.
Swaptions are valued based on prices provided by a third-party pricing vendor that collects and aggregates market data to produce valuations. These securities are categorized as Level 2 in the fair value hierarchy.
Futures contracts are generally valued at the settlement prices established each day on the exchange on which they are traded and are categorized as Level 1.
Reverse repurchase agreements are valued at cost plus accrued interest. These securities are categorized as Level 2 in the fair value hierarchy.
Swap agreements and other derivatives are generally valued daily depending on the type of instrument and reference assets based upon market prices, the mean between bid and asked prices quotations from market makers or by a pricing service or other parties in accordance with the valuation procedures approved by the Board.
Each Fund categorizes the inputs to valuation techniques used to value its investments into a disclosure hierarchy consisting of three levels as shown below:
| ● | Level 1 – Quoted prices in active markets for identical assets that the funds have the ability to access. |
| ● | Level 2 – Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.). |
| ● | Level 3 – Significant unobservable inputs (including each Fund’s own assumptions in determining the fair value of investments). |
151
Simplify Exchange Traded Funds
Notes to Financial Statements (Continued)
June 30, 2023
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The following is a summary of the valuations as of June 30, 2023 for each Fund based upon the three levels defined above:
Simplify Aggregate Bond PLUS Credit Hedge ETF
| Assets | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
| Exchange-Traded Funds | $ | 7,348,385 | $ | — | $ | — | $ | 7,348,385 | ||||||||
| U.S. Government Obligations | 132,701 | 3,450,818 | — | 3,583,519 | ||||||||||||
| U.S. Treasury Bills | 485,374 | — | — | 485,374 | ||||||||||||
| Total Return Swaps | — | 8,459 | — | 8,459 | ||||||||||||
| TOTAL | $ | 7,966,460 | $ | 3,459,277 | $ | — | $ | 11,425,737 | ||||||||
| Liabilities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
| Written Options | $ | (58,910 | ) | $ | — | $ | — | $ | (58,910 | ) | ||||||
| Total Return Swaps | — | (6,081 | ) | — | (6,081 | ) | ||||||||||
| Futures | (28,513 | ) | — | — | (28,513 | ) | ||||||||||
| TOTAL | $ | (87,423 | ) | $ | (6,081 | ) | $ | — | $ | (93,504 | ) | |||||
Simplify Developed Ex-US PLUS Downside Convexity ETF
| Assets | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
| Exchange-Traded Funds | $ | 16,731,698 | $ | — | $ | — | $ | 16,731,698 | ||||||||
| Purchased Options | — | 145,436 | — | 145,436 | ||||||||||||
| Money Market Funds | 305,744 | — | — | 305,744 | ||||||||||||
| TOTAL | $ | 17,037,442 | $ | 145,436 | $ | — | $ | 17,182,878 | ||||||||
| Liabilities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
| Written Options | $ | — | $ | (110,772 | ) | $ | — | $ | (110,772 | ) | ||||||
| TOTAL | $ | — | $ | (110,772 | ) | $ | — | $ | (110,772 | ) | ||||||
Simplify Emerging Markets Equity PLUS Downside Convexity ETF
| Assets | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
| Exchange-Traded Funds | $ | 4,048,730 | $ | — | $ | — | $ | 4,048,730 | ||||||||
| Purchased Options | — | 29,008 | — | 29,008 | ||||||||||||
| Money Market Funds | 25,269 | — | — | 25,269 | ||||||||||||
| TOTAL | $ | 4,073,999 | $ | 29,008 | $ | — | $ | 4,103,007 | ||||||||
| Liabilities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
| Written Options | $ | — | $ | (19,408 | ) | $ | — | $ | (19,408 | ) | ||||||
| TOTAL | $ | — | $ | (19,408 | ) | $ | — | $ | (19,408 | ) | ||||||
Simplify Enhanced Income ETF
| Assets | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
| U.S. Treasury Bills | $ | 25,303,800 | $ | — | $ | — | $ | 25,303,800 | ||||||||
| TOTAL | $ | 25,303,800 | $ | — | $ | — | $ | 25,303,800 | ||||||||
152
Simplify Exchange Traded Funds
Notes to Financial Statements (Continued)
June 30, 2023
Simplify Health Care ETF
| Assets | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
| Common Stocks | $ | 57,264,070 | $ | — | $ | — | $ | 57,264,070 | ||||||||
| Money Market Funds | 179,500 | — | — | 179,500 | ||||||||||||
| TOTAL | $ | 57,443,570 | $ | — | $ | — | $ | 57,443,570 | ||||||||
Simplify Hedged Equity ETF
| Assets | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
| Exchange-Traded Funds | $ | 109,202,515 | $ | — | $ | — | $ | 109,202,515 | ||||||||
| Purchased Options | 355,485 | — | — | 355,485 | ||||||||||||
| Money Market Funds | 368,970 | — | — | 368,970 | ||||||||||||
| TOTAL | $ | 109,926,970 | $ | — | $ | — | $ | 109,926,970 | ||||||||
| Liabilities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
| Written Options | $ | (2,748,303 | ) | $ | — | $ | — | $ | (2,748,303 | ) | ||||||
| TOTAL | $ | (2,748,303 | ) | $ | — | $ | — | $ | (2,748,303 | ) | ||||||
Simplify High Yield PLUS Credit Hedge ETF
| Assets | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
| U.S. Treasury Bills | $ | 45,161,406 | $ | — | $ | — | $ | 45,161,406 | ||||||||
| Purchased Options | 32,970 | — | — | 32,970 | ||||||||||||
| Total Return Swaps | — | 213,294 | — | 213,294 | ||||||||||||
| TOTAL | $ | 45,194,376 | $ | 213,294 | $ | — | $ | 45,407,670 | ||||||||
| Liabilities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
| Written Options | $ | (20,858 | ) | $ | — | $ | — | $ | (20,858 | ) | ||||||
| Total Return Swaps | — | (261,661 | ) | — | (261,661 | ) | ||||||||||
| TOTAL | $ | (20,858 | ) | $ | (261,661 | ) | $ | — | $ | (282,519 | ) | |||||
Simplify Interest Rate Hedge ETF
| Assets | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
| U.S. Treasury Bills | $ | 118,692,466 | $ | — | $ | — | $ | 118,692,466 | ||||||||
| U.S. Government Obligations | 100,860,468 | — | — | 100,860,468 | ||||||||||||
| Purchased Swaptions | — | 7,668,949 | — | 7,668,949 | ||||||||||||
| Interest Rate Swaps | — | 1,195 | — | 1,195 | ||||||||||||
| TOTAL | $ | 219,552,934 | $ | 7,670,144 | $ | — | $ | 227,223,078 | ||||||||
| Liabilities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
| Purchased Swaptions | $ | — | $ | (14,246,455 | ) | $ | — | $ | (14,246,455 | ) | ||||||
| TOTAL | $ | — | $ | (14,246,455 | ) | $ | — | $ | (14,246,455 | ) | ||||||
153
Simplify Exchange Traded Funds
Notes to Financial Statements (Continued)
June 30, 2023
Simplify Intermediate Term Treasury Futures Strategy ETF
| Assets | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
| U.S. Treasury Bills | $ | 52,967,508 | $ | — | $ | — | $ | 52,967,508 | ||||||||
| Money Market Funds | 207,470 | — | — | 207,470 | ||||||||||||
| TOTAL | $ | 53,174,978 | $ | — | $ | — | $ | 53,174,978 | ||||||||
| Liabilities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
| Futures | $ | (2,602,668 | ) | $ | — | $ | — | $ | (2,602,668 | ) | ||||||
| TOTAL | $ | (2,602,668 | ) | $ | — | $ | — | $ | (2,602,668 | ) | ||||||
Simplify Market Neutral Equity Long/Short ETF
| Assets | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
| U.S. Treasury Bills | $ | 4,339,165 | $ | — | $ | — | $ | 4,339,165 | ||||||||
| Total Return Swaps | — | 6,117 | — | 6,117 | ||||||||||||
| TOTAL | $ | 4,339,165 | $ | 6,117 | $ | — | $ | 4,345,282 | ||||||||
| Liabilities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
| Total Return Swaps | $ | — | $ | (12,006 | ) | $ | — | $ | (12,006 | ) | ||||||
| TOTAL | $ | — | $ | (12,006 | ) | $ | — | $ | (12,006 | ) | ||||||
Simplify Opportunistic Income ETF
| Assets | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
| U.S. Treasury Bills | $ | 35,185,671 | $ | — | $ | — | $ | 35,185,671 | ||||||||
| Corporate Bonds | — | 590,668 | — | 590,668 | ||||||||||||
| TOTAL | $ | 35,185,671 | $ | 590,668 | $ | — | $ | 35,776,339 | ||||||||
Simplify Propel Opportunities ETF
| Assets | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
| Common Stocks | $ | 70,622,459 | $ | — | $ | — | $ | 70,622,459 | ||||||||
| Exchange-Traded Funds | 24,403,039 | — | — | 24,403,039 | ||||||||||||
| Corporate Bonds | — | 1,693,568 | — | 1,693,568 | ||||||||||||
| Closed-End Funds | 1,196,848 | — | — | 1,196,848 | ||||||||||||
| Money Market Funds | 3,276,908 | — | — | 3,276,908 | ||||||||||||
| TOTAL | $ | 99,499,254 | $ | 1,693,568 | $ | — | $ | 101,192,822 | ||||||||
Simplify Short Term Treasury Futures Strategy ETF
| Assets | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
| U.S. Treasury Bills | $ | 526,246,074 | $ | — | $ | — | $ | 526,246,074 | ||||||||
| TOTAL | $ | 526,246,074 | $ | — | $ | — | $ | 526,246,074 | ||||||||
| Liabilities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
| Futures | $ | (23,297,280 | ) | $ | — | $ | — | $ | (23,297,280 | ) | ||||||
| TOTAL | $ | (23,297,280 | ) | $ | — | $ | — | $ | (23,297,280 | ) | ||||||
Simplify Stable Income ETF
| Assets | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
| U.S. Treasury Bills | $ | 14,276,432 | $ | — | $ | — | $ | 14,276,432 | ||||||||
| TOTAL | $ | 14,276,432 | $ | — | $ | — | $ | 14,276,432 | ||||||||
154
Simplify Exchange Traded Funds
Notes to Financial Statements (Continued)
June 30, 2023
Simplify Tail Risk Strategy ETF
| Assets | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
| Exchange-Traded Funds | $ | 15,472,993 | $ | — | $ | — | $ | 15,472,993 | ||||||||
| Purchased Options | 2,626,687 | — | — | 2,626,687 | ||||||||||||
| Money Market Funds | 33,778 | — | — | 33,778 | ||||||||||||
| TOTAL | $ | 18,133,458 | $ | — | $ | — | $ | 18,133,458 | ||||||||
| Liabilities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
| Written Options | $ | (1,420,133 | ) | $ | — | $ | — | $ | (1,420,133 | ) | ||||||
| TOTAL | $ | (1,420,133 | ) | $ | — | $ | — | $ | (1,420,133 | ) | ||||||
Simplify US Equity PLUS Convexity ETF
| Assets | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
| Exchange-Traded Funds | $ | 72,733,632 | $ | — | $ | — | $ | 72,733,632 | ||||||||
| Purchased Options | 946,565 | — | — | 946,565 | ||||||||||||
| Money Market Funds | 334,496 | — | — | 334,496 | ||||||||||||
| TOTAL | $ | 74,014,693 | $ | — | $ | — | $ | 74,014,693 | ||||||||
| Liabilities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
| Written Options | $ | (256,603 | ) | $ | — | $ | — | $ | (256,603 | ) | ||||||
| TOTAL | $ | (256,603 | ) | $ | — | $ | — | $ | (256,603 | ) | ||||||
Simplify US Equity PLUS Downside Convexity ETF
| Assets | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
| Exchange-Traded Funds | $ | 115,353,759 | $ | — | $ | — | $ | 115,353,759 | ||||||||
| Purchased Options | 805,033 | — | — | 805,033 | ||||||||||||
| Money Market Funds | 70,259 | — | — | 70,259 | ||||||||||||
| TOTAL | $ | 116,229,051 | $ | — | $ | — | $ | 116,229,051 | ||||||||
| Liabilities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
| Written Options | $ | (509,225 | ) | $ | — | $ | — | $ | (509,225 | ) | ||||||
| TOTAL | $ | (509,225 | ) | $ | — | $ | — | $ | (509,225 | ) | ||||||
Simplify US Equity PLUS GBTC ETF
| Assets | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
| Exchange-Traded Funds | $ | 7,447,369 | $ | — | $ | — | $ | 7,447,369 | ||||||||
| Grantor Trusts | 847,814 | — | — | 847,814 | ||||||||||||
| Money Market Funds | 19,302 | — | — | 19,302 | ||||||||||||
| Futures | 30,528 | — | — | 30,528 | ||||||||||||
| TOTAL | $ | 8,345,013 | $ | — | $ | — | $ | 8,345,013 | ||||||||
155
Simplify Exchange Traded Funds
Notes to Financial Statements (Continued)
June 30, 2023
Simplify US Equity PLUS Upside Convexity ETF
| Assets | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
| Exchange-Traded Funds | $ | 8,261,235 | $ | — | $ | — | $ | 8,261,235 | ||||||||
| Purchased Options | 164,480 | — | — | 164,480 | ||||||||||||
| Money Market Funds | 78,904 | — | — | 78,904 | ||||||||||||
| TOTAL | $ | 8,504,619 | $ | — | $ | — | $ | 8,504,619 | ||||||||
| Liabilities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
| Written Options | $ | (22,650 | ) | $ | — | $ | — | $ | (22,650 | ) | ||||||
| TOTAL | $ | (22,650 | ) | $ | — | $ | — | $ | (22,650 | ) | ||||||
Simplify Volt RoboCar Disruption and Tech ETF
| Assets | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
| Common Stocks | $ | 4,084,395 | $ | — | $ | — | $ | 4,084,395 | ||||||||
| Purchased Options | 103,135 | — | — | 103,135 | ||||||||||||
| Money Market Funds | 126,771 | — | — | 126,771 | ||||||||||||
| TOTAL | $ | 4,314,301 | $ | — | $ | — | $ | 4,314,301 | ||||||||
| Liabilities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
| Written Options | $ | (17,630 | ) | $ | — | $ | — | $ | (17,630 | ) | ||||||
| TOTAL | $ | (17,630 | ) | $ | — | $ | — | $ | (17,630 | ) | ||||||
Simplify Bitcoin Strategy PLUS Income ETF
| Assets | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
| U.S. Treasury Bills | $ | 65,408,044 | $ | — | $ | — | $ | 65,408,044 | ||||||||
| Futures | 250,618 | — | — | 250,618 | ||||||||||||
| TOTAL | $ | 65,658,662 | $ | — | $ | — | $ | 65,658,662 | ||||||||
| Liabilities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
| Reverse Repurchase Agreements | $ | (59,971,951 | ) | $ | — | $ | — | $ | (59,971,951 | ) | ||||||
| TOTAL | $ | (59,971,951 | ) | $ | — | $ | — | $ | (59,971,951 | ) | ||||||
Simplify Commodities Strategy No K-1 ETF
| Assets | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
| U.S. Treasury Bills | $ | 5,424,372 | $ | — | $ | — | $ | 5,424,372 | ||||||||
| Futures | 46,109 | — | — | 46,109 | ||||||||||||
| TOTAL | $ | 5,470,481 | $ | — | $ | — | $ | 5,470,481 | ||||||||
| Liabilities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
| Futures | $ | (39,040 | ) | $ | — | $ | — | $ | (39,040 | ) | ||||||
| TOTAL | $ | (39,040 | ) | $ | — | $ | — | $ | (39,040 | ) | ||||||
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Simplify Macro Strategy ETF
| Assets | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
| Exchange-Traded Funds | $ | 40,780,191 | $ | — | $ | — | $ | 40,780,191 | ||||||||
| U.S. Treasury Bills | 4,273,154 | — | — | 4,273,154 | ||||||||||||
| Purchased Options | 4,919,184 | — | — | 4,919,184 | ||||||||||||
| Money Market Funds | 1,238,179 | — | — | 1,238,179 | ||||||||||||
| TOTAL | $ | 51,210,708 | $ | — | $ | — | $ | 51,210,708 | ||||||||
| Liabilities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
| Written Options | $ | (979,485 | ) | $ | — | $ | — | $ | (979,485 | ) | ||||||
| TOTAL | $ | (979,485 | ) | $ | — | $ | — | $ | (979,485 | ) | ||||||
Simplify Managed Futures Strategy ETF
| Assets | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
| U.S. Treasury Bills | $ | 108,364,558 | $ | — | $ | — | $ | 108,364,558 | ||||||||
| Futures | 6,770,054 | — | — | 6,770,054 | ||||||||||||
| TOTAL | $ | 115,134,612 | $ | — | $ | — | $ | 115,134,612 | ||||||||
| Liabilities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
| Futures | $ | (496,925 | ) | $ | — | $ | — | $ | (496,925 | ) | ||||||
| TOTAL | $ | (496,925 | ) | $ | — | $ | — | $ | (496,925 | ) | ||||||
Simplify Volatility Premium ETF
| Assets | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
| U.S. Treasury Bills | $ | 192,850,691 | $ | — | $ | — | $ | 192,850,691 | ||||||||
| U.S. Government Obligations | 96,201 | 117,435,748 | — | 117,531,949 | ||||||||||||
| Purchased Options | 933,100 | — | — | 933,100 | ||||||||||||
| Futures | 4,411,369 | — | — | 4,411,369 | ||||||||||||
| TOTAL | $ | 198,291,361 | $ | 117,435,748 | $ | — | $ | 315,727,109 | ||||||||
| Liabilities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
| Reverse Repurchase Agreements | $ | (144,536,933 | ) | $ | — | $ | — | $ | (144,536,933 | ) | ||||||
| TOTAL | $ | (144,536,933 | ) | $ | — | $ | — | $ | (144,536,933 | ) | ||||||
Cash
Cash consists of cash on deposit with a major financial institution which may exceed federally insured limits.
Foreign Currency Translations
The books and records of the Funds are maintained in U.S. dollars. Investment securities and other assets and liabilities denominated in a foreign currency are translated into U.S. dollars at the prevailing exchange rates at period end. Purchases and sales of investment securities, income and expenses are translated into U.S. dollars at the prevailing exchange rates on the respective dates of the transactions.
Net realized and unrealized gains and losses on foreign currency transactions represent net gains and losses between trade and settlement dates on securities transactions, the acquisition and disposition of foreign currencies, and the difference between the amount of net investment income accrued and the U.S. dollar amount actually received. The portion of both realized and unrealized gains and losses on investments that results from fluctuations in foreign currency exchange rates is not separately disclosed, but is included with net realized and unrealized gain/appreciation and loss/depreciation on investments.
Investment Transactions and Related Income
For financial reporting purposes, investment transactions are reported on the trade date. However, for daily NAV determination, portfolio securities transactions are reflected no later than in the first calculation on the first business day following trade date. Dividend income is recorded on the ex-dividend date. Interest income is recognized on an accrual basis and includes, where applicable, the amortization of premium or accretion of discount based on effective yield. Gains or losses realized on sales of securities are determined using the
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specific identification method by comparing the identified cost of the security lot sold with the net sales proceeds. Dividend Income on the Statements of Operations is shown net of any foreign taxes withheld on income from foreign securities, which are provided for in accordance with each Fund’s understanding of the applicable tax rules and regulations.
Income Tax Information and Distributions to Shareholders
It is the Funds’ policy to comply with all requirements of the Internal Revenue Code of 1986, as amended (“the Code”). Each Fund intends to qualify for and to elect treatment as a separate Regulated Investment Company (“RIC”) under Subchapter M of the Code. It is each Fund’s policy is to pay out dividends from net investment income quarterly, except for Simplify Aggregate Bond PLUS Credit Hedge ETF, Simplify Enhanced Income ETF, Simplify High Yield PLUS Credit Hedge ETF, Simplify Interest Rate Hedge ETF, Simplify Intermediate Term Treasury Futures Strategy ETF, Simplify Opportunistic Income ETF, Simplify Short Term Treasury Futures Strategy ETF, Simplify Stable Income ETF, Simplify Tail Risk Strategy ETF, Simplify Bitcoin Strategy PLUS Income ETF, Simplify Commodities Strategy No K-1 ETF, Simplify Macro Strategy ETF, Simplify Managed Futures Strategy ETF and Simplify Volatility Premium ETF. The policy of Simplify Aggregate Bond PLUS Credit Hedge ETF, Simplify Enhanced Income ETF, Simplify High Yield PLUS Credit Hedge ETF, Simplify Interest Rate Hedge ETF, Simplify Intermediate Term Treasury Futures Strategy ETF, Simplify Opportunistic Income ETF, Simplify Short Term Treasury Futures Strategy ETF, Simplify Stable Income ETF, Simplify Tail Risk Strategy ETF, Simplify Bitcoin Strategy PLUS Income ETF, Simplify Commodities Strategy No K-1 ETF, Simplify Macro Strategy ETF, Simplify Managed Futures Strategy ETF and Simplify Volatility Premium ETF is to pay out dividends from net investment income monthly. Taxable net realized gains from investment transactions, reduced by capital loss carryforwards, if any, will be declared and distributed to shareholders at least annually. The capital loss carryforward amount, if any, will be available to offset future net capital gains. Each Fund may occasionally be required to make supplemental distributions at some other time during the year. Each Fund reserves the right to declare special distributions if, in its reasonable discretion, such action is necessary or advisable to preserve the status of a Fund as a RIC or to avoid imposition of income or excise taxes on undistributed income. Dividends and distributions to shareholders, if any, will be recorded on the ex-dividend date. The amount of dividends and distributions from net investment income and net realized capital gains will be determined in accordance with Federal income tax regulations which may differ from U.S. GAAP. These “book/tax” differences are either considered temporary or permanent in nature. To the extent these differences are permanent in nature, (e.g., return of capital and distribution reclassifications), such amounts are reclassified within the composition of net assets based on their federal tax basis treatment; temporary differences (e.g., wash sales and straddles) do not require a reclassification. Dividends and distributions, which exceed earnings and profits for the full year for tax purposes, will be reported as a tax return of capital.
In accordance with U.S. GAAP requirements regarding accounting for uncertainties in income taxes, management has analyzed each Fund’s tax positions expected to be taken on foreign, federal and state income tax returns for all open tax years and has concluded that no provision for income tax is required in any Fund’s financial statement.
Each Fund will recognize interest and penalties, if any, related to uncertain tax positions as income tax expense on the Statement of Operations.
4. Derivative Financial Instruments
Futures Contracts
A futures contract provides for the future sale by one party and purchase by another party of a specified amount of a specific financial instrument (e.g., units of a stock index) for a specified price, date, time and place designated at the time the contract is made. Brokerage fees are paid when a futures contract is bought or sold and margin deposits must be maintained. Unlike when a Fund purchases or sells a security, no price would be paid or received by a Fund upon the purchase or sale of a futures contract. Upon entering into a futures contract, and to maintain a Fund’s open positions in futures contracts, a Fund would be required to deposit with its custodian or futures broker in a segregated account in the name of the futures broker an amount of cash, U.S. government securities, suitable money market instruments, or other liquid securities, known as “initial margin.” The margin required for a particular futures contract is set by the exchange on which the contract is traded, and may be significantly modified from time to time by the exchange during the term of the contract. If the price of an open futures contract changes (by increase in underlying instrument or index in the case of a sale or by decrease in the case of a purchase) so that the loss on the futures contract reaches a point at which the margin on deposit does not satisfy margin requirements, the broker will require an increase in the margin. However, if the value of a position increases because of favorable price changes in the futures contract so that the margin deposit exceeds the required margin, the broker will pay the excess to a Fund.
These subsequent payments, called “variation margin,” to and from the futures broker, are made on a daily basis as the price of the underlying assets fluctuate making the long and short positions in the futures contract more or less valuable, a process known as “marking to the market.” A Fund expects to earn interest income on margin deposits.
The primary risks associated with the use of futures contracts are (a) the imperfect correlation between the change in market value of the instruments held by a Fund and the price of the forward or futures contract; (b) possible lack of a liquid secondary market for a forward or futures contract and the resulting inability to close a forward or futures contract when desired; (c) investments in futures contracts involves leverage, which means a small percentage of assets in futures can have a disproportionately large impact on a Fund and the Fund can lose more than the principal amount invested; (d) losses caused by unanticipated market movements, which are potentially unlimited; (e) the adviser’s inability to predict correctly the direction of securities prices, interest rates, currency exchange rates and other economic
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factors; (f) the possibility that the counterparty will default in the performance of its obligations; and (g) if the Fund has insufficient cash, it may have to sell securities from its portfolio to meet daily variation margin requirements, and a Fund may have to sell securities at a time when it may be disadvantageous to do so.
Option Contracts
A Fund may purchase and write (i.e., sell) put and call options. Such options may relate to particular securities or stock indices, and may or may not be listed on a domestic or foreign securities exchange and may or may not be issued by the Options Clearing Corporation. Options trading is a highly specialized activity that entails greater than ordinary investment risk. Options may be more volatile than the underlying instruments, and therefore, on a percentage basis, an investment in options may be subject to greater fluctuation than an investment in the underlying instruments themselves.
A call option for a particular security gives the purchaser of the option the right to buy, and the writer (seller) the obligation to sell, the underlying security at the stated exercise price at any time prior to the expiration of the option, regardless of the market price of the security. The premium paid to the writer is in consideration for undertaking the obligation under the option contract. A put option for a particular security gives the purchaser the right to sell the security at the stated exercise price at any time prior to the expiration date of the option, regardless of the market price of the security. Stock index options are put options and call options on various stock indices. In most respects, they are identical to listed options on common stocks. The primary difference between stock options and index options occurs when index options are exercised. In the case of stock options, the underlying security, common stock, is delivered. However, upon the exercise of an index option, settlement does not occur by delivery of the securities comprising the index. The option holder who exercises the index option receives an amount of cash if the closing level of the stock index upon which the option is based is greater than, in the case of a call, or less than, in the case of a put, the exercise price of the option. This amount of cash is equal to the difference between the closing price of the stock index and the exercise price of the option expressed in dollars times a specified multiple. A stock index fluctuates with changes in the market value of the stocks included in the index.
Premiums paid on options purchased and premiums received on options written, as well as the daily fluctuation in market value, are included in investments at value and options written at value, respectively, in the Statements of Assets and Liabilities. When an instrument is purchased or sold through the exercise of an option, the premium is offset against the cost or proceeds of the underlying instrument. When an option expires, a realized gain or loss is recorded in the Statements of Operations to the extent of the premiums received or paid. When an option is closed or sold, a gain or loss is recorded in the Statements of Operations to the extent the cost of the closing transaction exceeds the premiums received or paid. When the Funds write a call option, such option is typically “covered,” meaning that they hold the underlying instrument subject to being called by the option counterparty. When the Funds write a put option, cash is segregated in an amount sufficient to cover the obligation. These amounts, which are considered restricted, are included in cash pledged as collateral for options written in the Statements of Assets and Liabilities.
Swaptions. A swaption is a contract that gives a counterparty the right (but not the obligation) to enter into a new swap agreement or to shorten, extend, cancel or otherwise modify an existing swap agreement, at some designated future time on specified terms. A Fund may write (sell) and purchase put and call swaptions. Depending on the terms of the particular swaption agreement, a Fund will generally incur a greater degree of risk when it writes a swaption than it will incur when it purchases a swaption. When a Fund purchases a swaption, it risks losing only the amount of the premium it has paid should it decide to let the swaption expire unexercised. However, when a Fund writes a swaption, it becomes obligated (if the swaption is exercised) according to the terms of the underlying agreement.
When a Fund writes a swaption, an amount equal to the premium received by a Fund is recorded as a liability, the value of which is marked-to-market daily to reflect the current market value of the swaption written. If the written swaption expires, a Fund realizes a gain equal to the amount of the premium paid, which is included in realized gain (loss) on written swaptions in the Statement of Operations. If the written swaption is exercised or sold, the premium received is added to the proceeds or offset against amounts paid on the underlying security to determine the realized gain or loss, which is reported as gain (loss) on written swaptions in the Statements of Operations.
A Fund may also purchase swaptions which involve the payment of premium in exchange for an option to enter into an interest rate swap and credit default swap with specified terms and conditions on a future date. The purchaser has the right, but not the obligation, to enter into the new swap agreement. Periodic payments are typically made during the life of the swap agreement according to the terms of such agreement. Changes in value of purchased swaptions are reported as part of change in unrealized gain (loss) on investments in the Statements of Operations. When the purchased swaption is exercised, terminated, expires or is sold, a Fund will record a gain or loss, which is reported as part of realized gain (loss) on investments in the Statements of Operations.
Swaps. Swap agreements are agreements between a Fund and a counterparty to exchange cash flows, assets, foreign currencies or market-linked returns at specified intervals. Swap agreements are privately negotiated in the OTC market (OTC swaps) or may be executed on a registered commodities exchange (centrally cleared swaps). Swaps are marked-to-market daily and the change in value is recorded as a component of unrealized appreciation/depreciation of swap contracts. The value of the swap will typically impose collateral posting obligations on the party that is considered out-of-the-money on the swap. Upfront payments made/received by the fund, if any, are amortized/accreted for financial reporting purposes, with the unamortized/unaccreted portion included in the Statement of assets and liabilities. A termination payment by the counterparty or the fund is recorded as realized gain or loss, as well as the net periodic payments received or paid by the fund. Entering into swap agreements involves, to varying degrees, elements of credit, market and documentation risk that may provide outcomes that produce losses in excess of the amounts recognized on the Statement of assets and liabilities. Such
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risks involve the possibility that there will be no liquid market for the swap, or that a counterparty may default on its obligation or delay payment under the swap terms. The counterparty may disagree or contest the terms of the swap. In addition to interest rate risk, market risks may also impact the swap. The fund may also suffer losses if it is unable to terminate or assign outstanding swaps or reduce its exposure through offsetting transactions.
Total Return Swaps. Total return swaps are commitments where one party pays a fixed or variable rate premium (the Buyer) in exchange for a market-linked return (the Seller). The Seller pays the total return of a specific reference asset or index and in return receives interest payments from the Buyer. To the extent the total return of the underlying asset or index exceeds or falls short of the offsetting interest rate obligation, the Buyer will receive or make a payment to the Seller. A fund may enter into total return swaps in which it may act as either the Buyer or the Seller. Total return swap contracts are subject to the risk associated with the investment in the underlying reference asset or index. The risk in the case of short total return swap contracts is unlimited based on the potential for unlimited increases in the market value of the underlying reference asset or index.
The following table summarizes the value of the Funds’ derivative instruments held as of June 30, 2023 and the related location in the accompanying Statement of Assets and Liabilities or Consolidated Statement of Assets and Liabilities, presented by underlying risk exposure:
| Fund | Asset Derivatives | Liability Derivatives | ||||||||||
| Simplify Aggregate Bond PLUS Credit Hedge ETF | ||||||||||||
| Interest Rate Contracts | Unrealized appreciation on futures contracts* | $ | — | Unrealized depreciation on futures contracts* | $ | 28,513 | ||||||
| Equity Contracts | Unrealized appreciation on OTC swaps | $ | 8,459 | Unrealized depreciation on OTC swaps | $ | 6,081 | ||||||
| Equity Contracts | Written options | $ | — | Written options | $ | 31,894 | ||||||
| Interest Rate Contracts | Written options | $ | — | Written options | $ | 27,016 | ||||||
| Simplify Developed Ex-US PLUS Downside Convexity ETF | ||||||||||||
| Equity Contracts | Investments, at value(1) | $ | 145,436 | Investments, at value(1) | $ | — | ||||||
| Equity Contracts | Written options | $ | — | Written options | $ | 110,772 | ||||||
| Simplify Emerging Markets Equity PLUS Downside Convexity ETF | ||||||||||||
| Equity Contracts | Investments, at value(1) | $ | 29,008 | Investments, at value(1) | $ | — | ||||||
| Equity Contracts | Written options | $ | — | Written options | $ | 19,408 | ||||||
| Simplify Hedged Equity ETF | ||||||||||||
| Equity Contracts | Investments, at value(1) | $ | 355,485 | Investments, at value(1) | $ | — | ||||||
| Equity Contracts | Written options | $ | — | Written options | $ | 2,748,303 | ||||||
| Simplify High Yield PLUS Credit Hedge ETF | ||||||||||||
| Equity Contracts | Investments, at value(1) | $ | 32,970 | Investments, at value(1) | $ | — | ||||||
| Equity Contracts | Unrealized appreciation on OTC swaps | $ | 213,294 | Unrealized depreciation on OTC swaps | $ | 261,661 | ||||||
| Equity Contracts | Written options | $ | — | Written options | $ | 20,858 | ||||||
| Simplify Interest Rate Hedge ETF | ||||||||||||
| Interest Rate Contracts | Unrealized appreciation on OTC swaps | $ | 1,195 | Unrealized depreciation on OTC swaps | $ | — | ||||||
| Interest Rate Contracts | Investments, at value(2) | $ | 7,668,949 | Investments, at value(2) | $ | 14,246,455 | ||||||
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| Fund | Asset Derivatives | Liability Derivatives | ||||||||||
| Simplify Intermediate Term Treasury Futures Strategy ETF | ||||||||||||
| Interest Rate Contracts | Unrealized appreciation on futures contracts* | $ | — | Unrealized depreciation on futures contracts* | $ | 2,602,668 | ||||||
| Simplify Market Neutral Equity Long/Short ETF | ||||||||||||
| Equity Contracts | Unrealized appreciation on OTC swaps | $ | 6,117 | Unrealized depreciation on OTC swaps | $ | 12,006 | ||||||
| Simplify Short Term Treasury Futures Strategy ETF |
||||||||||||
| Interest Rate Contracts | Unrealized appreciation on futures contracts* | $ | — | Unrealized depreciation on futures contracts* | $ | 23,297,280 | ||||||
| Simplify Tail Risk Strategy ETF | ||||||||||||
| Equity Contracts | Investments, at value(1) | $ | 2,626,687 | Investments, at value(1) | $ | — | ||||||
| Equity Contracts | Written options | $ | — | Written options | $ | 1,420,133 | ||||||
| Simplify US Equity PLUS Convexity ETF | ||||||||||||
| Equity Contracts | Investments, at value(1) | $ | 946,565 | Investments, at value(1) | $ | — | ||||||
| Equity Contracts | Written options | $ | — | Written options | $ | 256,603 | ||||||
| Simplify US Equity PLUS Downside Convexity ETF | ||||||||||||
| Equity Contracts | Investments, at value(1) | $ | 805,033 | Investments, at value(1) | $ | — | ||||||
| Equity Contracts | Written options | $ | — | Written options | $ | 509,225 | ||||||
| Simplify US Equity PLUS GBTC ETF | ||||||||||||
| Equity Contracts | Unrealized appreciation on futures contracts* | $ | 30,528 | Unrealized depreciation on futures contracts* | $ | — | ||||||
| Simplify US Equity PLUS Upside Convexity ETF | ||||||||||||
| Equity Contracts | Investments, at value(1) | $ | 164,480 | Investments, at value(1) | $ | — | ||||||
| Equity Contracts | Written options | $ | — | Written options | $ | 22,650 | ||||||
| Simplify Volt RoboCar Disruption and Tech ETF | ||||||||||||
| Equity Contracts | Investments, at value(1) | $ | 103,135 | Investments, at value(1) | $ | — | ||||||
| Equity Contracts | Written options | $ | — | Written options | $ | 17,630 | ||||||
| Simplify Bitcoin Strategy PLUS Income ETF | ||||||||||||
| Commodity Contracts | Unrealized appreciation on futures contracts* | $ | 250,618 | Unrealized depreciation on futures contracts* | $ | — | ||||||
| Simplify Commodities Strategy No K-1 ETF | ||||||||||||
| Commodity Contracts | Unrealized appreciation on futures contracts* | $ | 46,109 | Unrealized depreciation on futures contracts* | $ | 39,040 | ||||||
| Simplify Macro Strategy ETF | ||||||||||||
| Equity Contracts | Investments, at value(1) | $ | 4,801,247 | Investments, at value(1) | $ | — | ||||||
| Interest Rate Contracts | Investments, at value(1) | $ | 117,937 | Investments, at value(1) | $ | — | ||||||
| Equity Contracts | Written options | $ | — | Written options | $ | 926,891 | ||||||
| Interest Rate Contracts | Written options | $ | — | Written options | $ | 52,594 | ||||||
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| Fund | Asset Derivatives | Liability Derivatives | |||||||||||
| Simplify Managed Futures Strategy ETF | |||||||||||||
| Commodity Contracts | Unrealized appreciation on futures contracts* | $ | 1,730,264 | Unrealized depreciation on futures contracts* | $ | 496,925 | |||||||
| Interest Rate Contracts | Unrealized appreciation on futures contracts* | $ | 5,039,790 | Unrealized depreciation on futures contracts* | $ | — | |||||||
| Simplify Volatility Premium ETF | |||||||||||||
| Equity Contracts | Unrealized appreciation on futures contracts* | $ | 4,411,369 | Unrealized depreciation on futures contracts* | $ | — | |||||||
| Equity Contracts | Investments, at value(1) | $ | 933,100 | Investments, at value(1) | $ | — | |||||||
| * | Includes cumulative unrealized appreciation or unrealized cumulative depreciation on futures contracts as disclosed in the Schedule of Investments. |
| (1) | Purchased option contracts are included in Investments within the Statement of Assets and Liabilities or Consolidated Statement of Assets and Liabilities. |
| (2) | Purchased swaption contracts are included in Investments within the Statement of Assets and Liabilities. |
For the year/period ended June 30, 2023, realized gains/(losses) and the change in unrealized appreciation/(depreciation) on purchased option contracts(a) by risk type, as disclosed in the Statements of Operations, is as follows:
| Fund | Risk Type | Realized Gain/ (Loss) |
Change in Unrealized Appreciation/ (Depreciation) |
||||||||
| Simplify Aggregate Bond PLUS Credit Hedge ETF | Equity | $ | (112,370 | ) | $ | (2,471 | ) | ||||
| Simplify Developed Ex-US PLUS Downside Convexity ETF | Equity | (3,860,195 | ) | (323,641 | ) | ||||||
| Simplify Emerging Markets Equity PLUS Downside Convexity ETF | Equity | (1,254,607 | ) | (13,286 | ) | ||||||
| Simplify Enhanced Income ETF | Equity | (85,290 | ) | — | |||||||
| Simplify Hedged Equity ETF | Equity | (7,171,912 | ) | (1,652,074 | ) | ||||||
| Simplify High Yield PLUS Credit Hedge ETF | Equity | (2,031,425 | ) | (112,288 | ) | ||||||
| Simplify Stable Income ETF | Equity | (20,349 | ) | — | |||||||
| Simplify Tail Risk Strategy ETF | Equity | (83,599,485 | ) | (9,044,959 | ) | ||||||
| Simplify US Equity PLUS Convexity ETF | Equity | (7,937,237 | ) | 257,156 | |||||||
| Simplify US Equity PLUS Downside Convexity ETF | Equity | (90,707,988 | ) | (5,547,090 | ) | ||||||
| Simplify US Equity PLUS Upside Convexity ETF | Equity | (762,783 | ) | 324,645 | |||||||
| Simplify Volt RoboCar Disruption and Tech ETF | Equity | (6,947,479 | ) | (9,439 | ) | ||||||
| Simplify Bitcoin Strategy PLUS Income ETF | Equity | (151,349 | ) | — | |||||||
| Simplify Macro Strategy ETF | Equity | (706,170 | ) | 1,270,328 | |||||||
| Simplify Macro Strategy ETF | Interest Rate | 863,091 | (455,324 | ) | |||||||
| Simplify Volatility Premium ETF | Equity | (4,644,479 | ) | (449,941 | ) | ||||||
| (a) | Purchased option contracts are included in Net Realized Gain (Loss) on Investments within the Statement of Operations or Consolidated Statement of Operations. |
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For the year ended June 30, 2023, realized gains/(losses) and the change in unrealized appreciation/(depreciation) on purchased swaption contracts(b) by risk type, as disclosed in the Statements of Operations, is as follows:
| Fund | Risk Type | Realized Gain/ (Loss) |
Change in Unrealized Appreciation/ (Depreciation) |
||||||||
| Simplify Interest Rate Hedge ETF | Interest Rate | $ | 105,918,842 | $ | (64,812,864 | ) | |||||
| (b) | Purchased Swaptions are included in Net Realized Gain (Loss) on Investments within the Statement of Operations or Consolidated Statement of Operations. |
For the year/period ended June 30, 2023, realized gains/(losses) and the change in unrealized appreciation/(depreciation) on swap contracts by risk type, as disclosed in the Statements of Operations, is as follows:
| Fund | Risk Type | Realized Gain/ (Loss) |
Change in Unrealized Appreciation/ (Depreciation) |
||||||||
| Simplify Aggregate Bond PLUS Credit Hedge ETF | Equity | $ | 25,222 | $ | (2,859 | ) | |||||
| Simplify High Yield PLUS Credit Hedge ETF | Equity | 1,628,717 | (383,311 | ) | |||||||
| Simplify High Yield PLUS Credit Hedge ETF | Interest Rate | (374,138 | ) | 465,039 | |||||||
| Simplify Interest Rate Hedge ETF | Interest Rate | — | 466 | ||||||||
| Simplify Market Neutral Equity Long/Short ETF | Equity | (84,475 | ) | (5,889 | ) | ||||||
For the year/period ended June 30, 2023, realized gains/(losses) and the change in unrealized appreciation/(depreciation) on futures contracts by risk type, as disclosed in the Statements of Operations, is as follows:
| Fund | Risk Type | Realized Gain/ (Loss) |
Change in Unrealized Appreciation/ (Depreciation) |
||||||||
| Simplify Aggregate Bond PLUS Credit Hedge ETF | Equity | $ | 3,258 | $ | — | ||||||
| Simplify Aggregate Bond PLUS Credit Hedge ETF | Interest Rate | (14,854 | ) | (28,513 | ) | ||||||
| Simplify Intermediate Term Treasury Futures Strategy ETF | Interest Rate | (8,241,602 | ) | (1,474,068 | ) | ||||||
| Simplify Short Term Treasury Futures Strategy ETF | Interest Rate | (3,945,082 | ) | (23,297,280 | ) | ||||||
| Simplify US Equity PLUS GBTC ETF | Equity | 560,222 | 26,412 | ||||||||
| Simplify Bitcoin Strategy PLUS Income ETF | Commodity | 6,804,936 | 250,618 | ||||||||
| Simplify Commodities Strategy No K-1 ETF | Commodity | (168,260 | ) | 7,069 | |||||||
| Simplify Managed Futures Strategy ETF | Commodity | (31,249,227 | ) | (242,191 | ) | ||||||
| Simplify Managed Futures Strategy ETF | Interest Rate | 7,094,935 | 4,970,157 | ||||||||
| Simplify Volatility Premium ETF | Equity | 36,370,631 | 4,876,574 | ||||||||
For the year/period ended June 30, 2023, realized gains/(losses) and the change in unrealized appreciation/(depreciation) on written option contracts by risk type, as disclosed in the Statements of Operations, is as follows:
| Fund | Risk Type | Realized Gain/ (Loss) |
Change in Unrealized Appreciation/ (Depreciation) |
||||||||
| Simplify Aggregate Bond PLUS Credit Hedge ETF | Equity | $ | 175,090 | $ | 24,593 | ||||||
| Simplify Aggregate Bond PLUS Credit Hedge ETF | Interest Rate | 3,963 | 3,276 | ||||||||
| Simplify Developed Ex-US PLUS Downside Convexity ETF | Equity | 1,798,409 | 63,976 | ||||||||
| Simplify Emerging Markets Equity PLUS Downside Convexity ETF | Equity | 609,158 | 8,017 | ||||||||
| Simplify Enhanced Income ETF | Equity | 319,946 | — | ||||||||
| Simplify Hedged Equity ETF | Equity | 5,309,471 | (1,741,256 | ) | |||||||
| Simplify High Yield PLUS Credit Hedge ETF | Equity | 1,364,438 | 15,460 | ||||||||
| Simplify Stable Income ETF | Equity | 59,559 | — | ||||||||
| Simplify Tail Risk Strategy ETF | Equity | 46,327,916 | 2,456,091 | ||||||||
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June 30, 2023
| Fund | Risk Type | Realized Gain/ (Loss) |
Change in Unrealized Appreciation/ (Depreciation) |
||||||||
| Simplify US Equity PLUS Convexity ETF | Equity | $ | 3,036,874 | $ | 209,135 | ||||||
| Simplify US Equity PLUS Downside Convexity ETF | Equity | 53,512,705 | 701,472 | ||||||||
| Simplify US Equity PLUS Upside Convexity ETF | Equity | 148,128 | (9,273 | ) | |||||||
| Simplify Volt RoboCar Disruption and Tech ETF | Equity | 6,118,417 | 25,240 | ||||||||
| Simplify Bitcoin Strategy PLUS Income ETF | Equity | 620,189 | — | ||||||||
| Simplify Macro Strategy ETF | Equity | (329,282 | ) | 313,909 | |||||||
| Simplify Macro Strategy ETF | Interest Rate | (800,627 | ) | 223,070 | |||||||
| Simplify Volatility Premium ETF | Equity | (1,008 | ) | — | |||||||
For the year ended June 30, 2023, the average fiscal quarter end balances of outstanding derivative financial instruments were as follows:
| Fund | Purchased Option Contracts (Contract Value) |
Purchased Swaption Contracts (Contract Value) |
Futures Contracts (Notional Value) |
Written Option Contracts (Contract Value) |
Swaps (Notional Value) |
|||||||||||||||
| Simplify Aggregate Bond PLUS Credit Hedge ETF | $ | 29,393 | $ | — | $ | 1,210,886 | $ | (17,783 | ) | $ | 31,861 | |||||||||
| Simplify Developed Ex-US PLUS Downside Convexity ETF | 651,086 | — | — | (319,972 | ) | — | ||||||||||||||
| Simplify Emerging Markets Equity PLUS Downside Convexity ETF | 204,033 | — | — | (106,602 | ) | — | ||||||||||||||
| Simplify Enhanced Income ETF | 691 | — | — | (3,465 | ) | — | ||||||||||||||
| Simplify Hedged Equity ETF | 1,842,540 | — | — | (505,236 | ) | — | ||||||||||||||
| Simplify High Yield PLUS Credit Hedge ETF | 586,730 | — | — | (345,465 | ) | (15,338,455 | ) | |||||||||||||
| Simplify Interest Rate Hedge ETF | — | 60,102,213 | — | — | 6,000 | |||||||||||||||
| Simplify Intermediate Term Treasury Futures Strategy ETF | — | — | 129,655,522 | — | — | |||||||||||||||
| Simplify Market Neutral Equity Long/Short ETF | — | — | — | — | (3,846 | ) | ||||||||||||||
| Simplify Short Term Treasury Futures Strategy ETF | — | — | 1,239,893,673 | — | — | |||||||||||||||
| Simplify Stable Income ETF | 238 | — | — | (770 | ) | — | ||||||||||||||
| Simplify Tail Risk Strategy ETF | 18,863,767 | — | (441,111 | ) | (10,239,822 | ) | — | |||||||||||||
| Simplify US Equity PLUS Convexity ETF | 1,552,519 | — | — | (634,499 | ) | — | ||||||||||||||
| Simplify US Equity PLUS Downside Convexity ETF | 21,193,034 | — | — | (11,623,539 | ) | — | ||||||||||||||
| Simplify US Equity PLUS GBTC ETF | — | — | 5,733,465 | — | — | |||||||||||||||
| Simplify US Equity PLUS Upside Convexity ETF | 59,758 | — | — | (1,620 | ) | — | ||||||||||||||
| Simplify Volt RoboCar Disruption and Tech ETF | 452,983 | — | — | (174,592 | ) | — | ||||||||||||||
| Simplify Bitcoin Strategy PLUS Income ETF | 1,292 | — | — | (3,850 | ) | — | ||||||||||||||
| Simplify Commodities Strategy No K-1 ETF | — | — | — | — | — | |||||||||||||||
| Simplify Macro Strategy ETF | 3,102,929 | — | — | (345,857 | ) | — | ||||||||||||||
| Simplify Managed Futures Strategy ETF | — | — | (875,178,606 | ) | — | — | ||||||||||||||
| Simplify Volatility Premium ETF | 568,385 | — | (38,785,913 | ) | — | — | ||||||||||||||
Certain Funds enter into International Swaps and Derivatives Association, Inc. Master Agreements (“ISDA Master Agreements”) or similar master agreements (collectively, “Master Agreements”) with its OTC derivative contract counterparties in order to, among other things, reduce its credit risk to counterparties. ISDA Master Agreements include provisions for general obligations, representations, collateral and events of default or termination. Under an ISDA Master Agreement, the Fund typically may offset with the counterparty certain
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June 30, 2023
derivative financial instrument’s payables and/or receivables with collateral held and/or posted and create one single net payment (close-out netting) in the event of default or termination.
The following table presents Funds’ derivative assets and liabilities by counterparty net of amounts available for offset under a master netting agreement or similar arrangement (collectively referred to as “MNA”) and net of the related collateral received/pledged by the Fund as of June 30, 2023:
| Fund | Gross Amounts of Assets Presented in the Statement of Assets and Liabilities |
Financial Instruments and Derivatives Available for Offset |
Collateral Received(1) |
Non-Cash Collateral Pledged(1) |
Net Amount of Derivatives Assets |
|||||||||||||||
| Simplify Aggregate Bond PLUS Credit Hedge ETF | ||||||||||||||||||||
| Goldman Sachs International | $ | — | $ | — | $ | — | $ | — | $ | — | ||||||||||
| Morgan Stanley Capital Services LLC | 8,459 | (6,081 | ) | — | — | 2,378 | ||||||||||||||
| Bank of America NA | — | — | — | — | — | |||||||||||||||
| $ | 8,459 | $ | (6,081 | ) | $ | — | $ | — | $ | 2,378 | ||||||||||
| (1) | The actual collateral received and/or pledged may be more than amount shown. |
| Fund | Gross Amounts of Liabilities Presented in the Statements of Assets and Liabilities |
Financial Instruments and Derivatives Available for Offset |
Cash Collateral Pledged(1) |
Non-Cash Collateral Pledged(1) |
Net Amount of Derivatives Liabilities |
|||||||||||||||
| Simplify Aggregate Bond PLUS Credit Hedge ETF | ||||||||||||||||||||
| Goldman Sachs International | $ | — | $ | — | $ | — | $ | — | $ | — | ||||||||||
| Morgan Stanley Capital Services LLC | (6,081 | ) | 6,081 | — | — | — | ||||||||||||||
| Bank of America NA | — | — | — | — | — | |||||||||||||||
| $ | (6,081 | ) | $ | 6,081 | $ | — | $ | — | $ | — | ||||||||||
| (1) | The actual collateral received and/or pledged may be more than amount shown. |
| Fund | Gross Amounts of Assets Presented in the Statement of Assets and Liabilities |
Financial Instruments and Derivatives Available for Offset |
Collateral Received(1) |
Non-Cash Collateral Pledged(1) |
Net Amount of Derivatives Assets |
|||||||||||||||
| Simplify High Yield PLUS Credit Hedge ETF | ||||||||||||||||||||
| Goldman Sachs International | $ | — | $ | — | $ | — | $ | — | $ | — | ||||||||||
| Morgan Stanley Capital Services LLC | 207,769 | (207,769 | ) | — | — | — | ||||||||||||||
| Bank of America NA | — | — | — | — | — | |||||||||||||||
| $ | 207,769 | $ | (207,769 | ) | $ | — | $ | — | $ | — | ||||||||||
| (1) | The actual collateral received and/or pledged may be more than amount shown. |
| Fund | Gross Amounts of Liabilities Presented in the Statements of Assets and Liabilities |
Financial Instruments and Derivatives Available for Offset |
Cash Collateral Pledged(1) |
Non-Cash Collateral Pledged(1) |
Net Amount of Derivatives Liabilities |
|||||||||||||||
| Simplify High Yield PLUS Credit Hedge ETF | ||||||||||||||||||||
| Goldman Sachs International | $ | — | $ | — | $ | — | $ | — | $ | — | ||||||||||
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June 30, 2023
| Fund | Gross Amounts of Liabilities Presented in the Statements of Assets and Liabilities |
Financial Instruments and Derivatives Available for Offset |
Cash Collateral Pledged(1) |
Non-Cash Collateral Pledged(1) |
Net Amount of Derivatives Liabilities |
|||||||||||||||
| Morgan Stanley Capital Services LLC | $ | (260,149 | ) | $ | 207,769 | $ | — | $ | — | $ | (52,380 | ) | ||||||||
| Bank of America NA | — | — | — | — | — | |||||||||||||||
| $ | (260,149 | ) | $ | 207,769 | $ | — | $ | — | $ | (52,380 | ) | |||||||||
| (1) | The actual collateral received and/or pledged may be more than amount shown. |
| Fund | Gross Amounts of Assets Presented in the Statement of Assets and Liabilities(1) |
Financial Instruments and Derivatives Available for Offset |
Collateral Received(2) |
Non-Cash Collateral Pledged(2) |
Net Amount of Derivatives Assets |
|||||||||||||||
| Simplify Interest Rate Hedge ETF | ||||||||||||||||||||
| Goldman Sachs International | $ | 531,050 | $ | (531,050 | ) | $ | — | $ | — | $ | — | |||||||||
| Morgan Stanley Capital Services LLC | 3,384,467 | (2,210,656 | ) | — | (1,173,811 | ) | — | |||||||||||||
| Bank of America NA | 3,753,432 | (1,433,469 | ) | — | (2,319,963 | ) | — | |||||||||||||
| $ | 7,668,949 | $ | (4,175,175 | ) | $ | — | $ | (3,493,774 | ) | $ | — | |||||||||
| (1) | Purchased swaption contracts are included in Investments within the Statement of Assets and Liabilities. |
| (2) | The actual collateral received and/or pledged may be more than amount shown. |
| Fund | Gross Amounts of Liabilities Presented in the Statements of Assets and Liabilities(1) |
Financial Instruments and Derivatives Available for Offset |
Cash Collateral Pledged(2) |
Non-Cash Collateral Pledged(2) |
Net Amount of Derivatives Liabilities |
|||||||||||||||
| Simplify Interest Rate Hedge ETF | ||||||||||||||||||||
| Goldman Sachs International | $ | 10,602,330 | $ | (531,050 | ) | $ | — | $ | (10,071,280 | ) | $ | — | ||||||||
| Morgan Stanley Capital Services LLC | 2,210,656 | (2,210,656 | ) | — | — | — | ||||||||||||||
| Bank of America NA | 1,433,469 | (1,433,469 | ) | — | — | — | ||||||||||||||
| $ | 14,246,455 | $ | (4,175,175 | ) | $ | — | $ | (10,071,280 | ) | $ | — | |||||||||
| (1) | Purchased swaption contracts are included in Investments within the Statement of Assets and Liabilities. |
| (2) | The actual collateral received and/or pledged may be more than amount shown. |
| Fund | Gross Amounts of Assets Presented in the Statement of Assets and Liabilities |
Financial Instruments and Derivatives Available for Offset |
Collateral Received(1) |
Non-Cash Collateral Pledged(1) |
Net Amount of Derivatives Assets |
|||||||||||||||
| Simplify Market Neutral Equity Long/Short ETF | ||||||||||||||||||||
| Goldman Sachs International | $ | — | $ | — | $ | — | $ | — | $ | — | ||||||||||
| Morgan Stanley Capital Services LLC | 6,117 | (6,117 | ) | — | — | — | ||||||||||||||
| Bank of America NA | — | — | — | — | — | |||||||||||||||
| $ | 6,117 | $ | (6,117 | ) | $ | — | $ | — | $ | — | ||||||||||
| (1) | The actual collateral received and/or pledged may be more than amount shown. |
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June 30, 2023
| Fund | Gross Amounts of Liabilities Presented in the Statements of Assets and Liabilities |
Financial Instruments and Derivatives Available for Offset |
Cash Collateral Pledged(1) |
Non-Cash Collateral Pledged(1) |
Net Amount of Derivatives Liabilities |
|||||||||||||||
| Simplify Market Neutral Equity Long/Short ETF | ||||||||||||||||||||
| Goldman Sachs International | $ | — | $ | — | $ | — | $ | — | $ | — | ||||||||||
| Morgan Stanley Capital Services LLC | (12,006 | ) | 6,117 | — | — | (5,889 | ) | |||||||||||||
| Bank of America NA | — | — | — | — | — | |||||||||||||||
| $ | (12,006 | ) | $ | 6,117 | $ | — | $ | — | $ | (5,889 | ) | |||||||||
| (1) | The actual collateral received and/or pledged may be more than amount shown. |
Reverse repurchase agreements are executed under standardized netting agreements. A netting arrangement creates an enforceable right of set-off that becomes effective, and affects the realization of settlement on individual assets, liabilities and collateral amounts, only following a specified event of default or early termination. Default events may include the failure to make payments or deliver securities timely, material adverse changes in financial condition or insolvency, the breach of minimum regulatory capital requirements, or loss of license, charter or other legal authorization necessary to perform under the contract. These agreements mitigate counterparty credit risk by providing for a single net settlement with a counterparty of all financial transactions covered by the agreement in an event of default as defined under such agreement.
Offsetting of Reverse Repurchase Agreements Liabilities
| Simplify Bitcoin Strategy PLUS Income ETF | ||||||||||||||||||||||||
| Gross Amounts of | Gross Amounts Offset in the Consolidated Statements of |
Net Amounts Presented in the Consolidated Statements of |
Gross Amounts Not Offset in the Statements of Assets and Liabilities |
|||||||||||||||||||||
| Recognized Liabilities |
Assets and Liabilities |
Assets and Liabilities |
Financial Instruments(a) |
Collateral Pledged(a) |
Net Amount Payable |
|||||||||||||||||||
| Reverse Repurchase Agreements | $ | 59,971,951 | $ | — | $ | 59,971,951 | $ | 59,971,951 | $ | 59,971,951 | $ | — | ||||||||||||
| (a) | These amounts are limited to the derivatives asset/liability balance and, accordingly, do not include excess collateral received/pledged. |
Offsetting of Reverse Repurchase Agreements Liabilities
| Simplify Volatility Premium ETF | ||||||||||||||||||||||||
| Gross Amounts of | Gross Amounts Offset in the Consolidated Statements of |
Net Amounts Presented in the Consolidated Statements of |
Gross Amounts Not Offset in the Statements of Assets and Liabilities |
|||||||||||||||||||||
| Recognized Liabilities |
Assets and Liabilities |
Assets and Liabilities |
Financial Instruments(a) |
Collateral Pledged(a) |
Net Amount Payable |
|||||||||||||||||||
| Reverse Repurchase Agreements | $ | 144,536,933 | $ | — | $ | 144,536,933 | $ | 144,536,933 | $ | 144,536,933 | $ | — | ||||||||||||
| (a) | These amounts are limited to the derivatives asset/liability balance and, accordingly, do not include excess collateral received/pledged. |
5. Reverse Repurchase Agreements
Reverse repurchase agreements involve the sale of securities held by the Simplify Bitcoin Strategy PLUS Income ETF and Simplify Volatility Premium ETF with an agreement to repurchase the securities at an agreed-upon price, date and interest payment. The Funds may borrow for investment purposes indirectly using reverse repurchase agreements. Cash received in exchange for securities delivered
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June 30, 2023
plus accrued interest payments to be made by the Funds to counterparties are reflected as a liability on the Consolidated Statement of Assets and Liabilities. Interest payments made by the Funds to counterparties are recorded as a component of interest expense on each Fund’s Consolidated Statement of Operations. Borrowing may cause the Funds to liquidate positions under adverse market conditions to satisfy its repayment obligations. The use of reverse repurchase agreements involves risks that are different from those associated with ordinary portfolio securities transactions. The Funds are subject to credit risk (i.e., the risk that a counterparty is or is perceived to be unwilling or unable to meet its contractual obligations) with respect to the security it expects to receive back from a counterparty. If a counterparty becomes bankrupt or fails to perform its obligations, or if any collateral posted by the counterparty for the benefit of the Funds is insufficient or there are delays in the Funds’ ability to access such collateral, the value of an investment in the Funds may decline. For the period ended June 30, 2023, the average amount of reverse repurchase agreements outstanding and the daily weighted average interest rate for the Simplify Bitcoin Strategy PLUS Income ETF and Simplify Volatility Premium ETF were $21,236,804 and 4.68%, and $34,931,733 and 3.08%, respectively.
The following table indicates the total amount of reverse repurchased agreements, including accrued interest, reconciled to the Simplify Bitcoin Strategy PLUS Income ETF liability as of June 30, 2023:
| Less than 30 days |
30-90 days | Greater than 90 days |
Total | |||||||||||||
| U.S. Government Obligations | $ | — | $ | — | $ | 59,971,951 | $ | 59,971,951 | ||||||||
The following table indicates the total amount of reverse repurchased agreements, including accrued interest, reconciled to the Simplify Volatility Premium ETF liability as of June 30, 2023:
| Less than 30 days |
30-90 days | Greater than 90 days |
Total | |||||||||||||
| U.S. Government Obligations | $ | — | $ | — | $ | 144,536,933 | $ | 144,536,933 | ||||||||
6. Investment Advisory Agreement and Other Agreements
The Adviser has overall responsibility for the general management and administration of the Funds, subject to the oversight of the Board. Under an investment advisory agreement between the Trust, on behalf of the Funds, and the Adviser (the “Investment Advisory Agreement”), the Adviser is responsible for arranging sub-advisory, transfer agency, custody, fund administration, and all other non-distribution related services for the Funds to operate.
Volt Equity LLC (the “Sub-Adviser”) serves as investment sub-adviser to Simplify Volt Cloud and Cybersecurity Disruption ETF and Simplify Volt RoboCar Disruption and Tech ETF. The Sub-Adviser is responsible for day-to-day management of these Funds, subject to supervision of the Adviser. Altis Partners (Jersey) Limited (the “Futures Adviser”) serves as the futures adviser to the Simplify Managed Futures Strategy ETF. Subject to the oversight of the Board and Adviser, the Futures Adviser is responsible for management of the Simplify Managed Futures Strategy ETF’s portfolio. The Futures Adviser was established for the purpose of advising futures strategies. The Futures Adviser is paid by the Adviser, not the Fund.
For its investment advisory services to the Funds below, the Adviser was entitled to receive a management fee based on each Fund’s average daily net assets, computed and accrued daily and payable monthly, at an annual rate equal to:
| Fund | Management Fee |
|||
| Simplify Aggregate Bond PLUS Credit Hedge ETF | 0.50 | % | ||
| Simplify Developed Ex-US PLUS Downside Convexity ETF | 0.50 | % | ||
| Simplify Emerging Markets Equity PLUS Downside Convexity ETF | 0.50 | % | ||
| Simplify Enhanced Income ETF | 0.50 | % | ||
| Simplify Health Care ETF | 0.50 | % | ||
| Simplify Hedged Equity ETF | 0.50 | % | ||
| Simplify High Yield PLUS Credit Hedge ETF | 0.50 | % | ||
| Simplify Interest Rate Hedge ETF | 0.50 | % | ||
| Simplify Intermediate Term Treasury Futures Strategy ETF | 0.25 | % | ||
| Simplify Market Neutral Equity Long Short ETF | 1.00 | % | ||
| Simplify Opportunistic Income ETF | 0.95 | % | ||
| Simplify Propel Opportunities ETF | 2.75 | % | ||
| Simplify Short Term Treasury Futures Strategy ETF | 0.25 | % | ||
| Simplify Stable Income ETF | 0.35 | % | ||
| Simplify Tail Risk Strategy ETF | 0.75 | % | ||
| Simplify US Equity PLUS Convexity ETF | 0.50 | % | ||
| Simplify US Small Cap PLUS Downside Convexity ETF | 0.50 | % | ||
| Simplify US Equity PLUS GBTC ETF | 0.50 | % | ||
| Simplify US Equity PLUS Upside Convexity ETF | 0.50 | % | ||
| Simplify Volt RoboCar Disruption and Tech ETF | 0.95 | % | ||
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June 30, 2023
| Fund | Management Fee |
|||
| Simplify Bitcoin Strategy Plus Income ETF | 0.85 | % | ||
| Simplify Commodities Strategy No K-1 ETF | 0.75 | % | ||
| Simplify Macro Strategy ETF | 0.75 | % | ||
| Simplify Managed Futures Strategy ETF | 0.75 | % | ||
| Simplify Volatility Premium ETF | 0.50 | % | ||
The Adviser for the Funds below has contractually agreed, until at least October 31, 2023, to waive its management fees and/or pay or absorb each Fund’s expenses, in order to limit the amount of “Specified Expenses” borne by each Fund to 0.25% of the Fund’s average daily net assets. “Specified Expenses” means all ordinary operating expenses of the Fund, except for interest expenses, taxes, brokerage expenses, Rule 12b-1 fees (if any), acquired fund fees and expenses, and expenses incidental to a meeting of the Fund’s shareholders. The agreement may only be terminated by the Board on 60 days’ written notice to the Adviser. For the year/period ended June 30, 2023, the Adviser waived expenses of the Funds as follows:
| Fund | Expenses Waived |
|||
| Simplify Aggregate Bond PLUS Credit Hedge ETF | $ | 9,735 | ||
| Simplify High Yield PLUS Credit Hedge ETF | 109,850 | |||
| Simplify US Equity PLUS Convexity ETF | 164,774 | |||
| Simplify US Equity PLUS Downside Convexity ETF | 695,218 | |||
| Simplify US Equity PLUS Upside Convexity ETF | 27,233 | |||
The Adviser for the Funds below has contractually agreed, until at least October 30, 2023, to waive its management fees and/or pay or absorb each Fund’s expenses, in order to limit the amount of “Specified Expenses” borne by each Fund to 0.25% of the Fund’s average daily net assets. “Specified Expenses” means all ordinary operating expenses of the Fund, except for interest expenses, taxes, brokerage expenses, Rule 12b-1 fees (if any), acquired fund fees and expenses, and expenses incidental to a meeting of the Fund’s shareholders. The agreement may only be terminated by the Board on 60 days’ written notice to the Adviser. For the period ended June 30, 2023, the Adviser waived expenses of the Fund as follows:
| Fund | Expenses Waived |
|||
| Simplify Developed Ex-US PLUS Downside Convexity ETF | $ | 54,550 | ||
| Simplify Emerging Markets Equity PLUS Downside Convexity ETF | 15,011 | |||
The Adviser for the Fund below has contractually agreed, until at least October 31, 2023, to waive its management fees and/or pay or absorb each Fund’s expenses, in order to limit the amount of “Specified Expenses” borne by each Fund to 0.15% of the Fund’s average daily net assets. “Specified Expenses” means all ordinary operating expenses of the Fund, except for interest expenses, taxes, brokerage expenses, Rule 12b-1 fees (if any), acquired fund fees and expenses, and expenses incidental to a meeting of the Fund’s shareholders. The agreement may only be terminated by the Board on 60 days’ written notice to the Adviser. For the period ended June 30, 2023, the Adviser waived expenses of the Fund as follows:
| Fund | Expenses Waived |
|||
| Simplify Intermediate Term Treasury Futures Strategy ETF | $ | 42,464 | ||
| Simplify Short Term Treasury Futures Strategy ETF | 84,563 | |||
The Adviser for the Fund below has contractually agreed, until at least October 31, 2023, to waive its management fees and/or pay or absorb each Fund’s expenses, in order to limit the amount of “Specified Expenses” borne by each Fund to 0.50% of the Fund’s average daily net assets. “Specified Expenses” means all ordinary operating expenses of the Fund, except for interest expenses, taxes, brokerage expenses, Rule 12b-1 fees (if any), non-affiliated acquired fund fees and expenses, and expenses incidental to a meeting of the Fund’s shareholders. The agreement may only be terminated by the Board on 60 days’ written notice to the Adviser. For the period ended June 30, 2023, the Adviser waived expenses of the Fund as follows:
| Fund | Expenses Waived |
|||
| Simplify Tail Risk Strategy ETF | $ | 105,825 | ||
The Adviser has agreed to waive a portion of its management fee earned by investing a Fund’s assets invested in an affiliated fund. The affiliated funds fee waivers are not subject to recoupment. For the period ended June 30, 2023, the affiliated funds fees waived by the Adviser are as follows:
| Fund | Affiliated Fees Waived |
|||
| Simplify Tail Risk Strategy ETF | $ | 106,121 | ||
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| Fund | Affiliated Fees Waived |
|||
| Simplify Macro Strategy ETF | $ | 33,610 | ||
For Simplify Opportunistic Income ETF, the Adviser has contractually agreed to waive its fee payable under the management agreement by 0.45% until 1-year from Fund launch. This agreement may be terminated only by the Board of Trustees on 60 days’ written notice to the Adviser. For the period ended June 30, 2023, the Adviser waived expenses of $924.
For Simplify Propel Opportunities ETF, the Adviser and Sub-Adviser have collectively agreed to waive 0.25% of the management and sub advisory fee on an annualized basis through December 31, 2023. This waiver may be terminated by the Fund’s Board of Trustees on 60 days’ notice and terminates automatically if the management agreement or sub-advisory agreement is terminated. For the period ended June 30, 2023, the Adviser waived expenses of $65,312.
The Adviser may recoup from a Fund fees previously waived or expenses previously reimbursed by the Adviser with respect to that Fund pursuant to these agreements (or a previous expense limitation agreement) if: (1) such recoupment by the Adviser does not cause the Fund, at the time of recoupment, to exceed the lesser of (a) the expense limitation in effect at the time the relevant amount was waived and/or reimbursed, or (b) the expense limitation in effect at the time of the proposed recoupment, and (2) the recoupment is made within three years after the fiscal year end date as of which the amount to be waived or reimbursed was determined and the waiver or reimbursement occurred. As of June 30, 2023, the Adviser may potentially recoup the following amounts from the Funds listed below:
| Expires June 30, | ||||||||||||
| Fund | 2024 | 2025 | 2026 | |||||||||
| Simplify Aggregate Bond PLUS Credit Hedge ETF | $ | — | $ | 1,118 | $ | 9,126 | ||||||
| Simplify Developed Ex-US PLUS Downside Convexity ETF | — | 32,273 | 54,550 | |||||||||
| Simplify Emerging Markets Equity PLUS Downside Convexity ETF | — | 6,864 | 15,011 | |||||||||
| Simplify High Yield PLUS Credit Hedge ETF | — | 21,199 | 109,850 | |||||||||
| Simplify Intermediate Term Treasury Futures Strategy ETF | 3,785 | 24,822 | 42,464 | |||||||||
| Simplify Short Term Treasury Futures Strategy ETF | — | — | 84,563 | |||||||||
| Simplify Tail Risk Strategy ETF | — | 104,956 | 105,825 | |||||||||
| Simplify US Equity PLUS Convexity ETF | 134,087 | 240,785 | 164,774 | |||||||||
| Simplify US Equity PLUS Downside Convexity ETF | 164,985 | 985,654 | 695,218 | |||||||||
| Simplify US Equity PLUS Upside Convexity ETF | 11,984 | 33,708 | 27,233 | |||||||||
| Simplify Macro Strategy ETF | — | — | 57,876 | |||||||||
Under the Investment Advisory Agreement, the Adviser has agreed to pay all expenses of each Fund except for the management fee, interest, taxes, brokerage commissions and other expenses incurred in placing orders for the purchase and sale of securities and other investment instruments, acquired fund fees and expenses, accrued deferred tax liability, extraordinary expenses, and distribution fees and expenses paid by the Trust under any distribution plan adopted pursuant to Rule 12b-1 under the 1940 Act.
The Board has adopted a Distribution and Service Plan pursuant to Rule 12b-1 under the 1940 Act. In accordance with its Rule 12b- 1 plan, each Fund is authorized to pay an amount up to 0.25% of its average daily net assets each year to finance activities primarily intended to result in the sale of Creation Units of the Fund or the provision of investor services. No Rule 12b-1 fees are currently paid by the Funds and there are no plans to impose these fees. However, in the event Rule 12b-1 fees are charged in the future, they will be paid out of the Fund’s assets, and directly impact the NAV per share of each Fund.
The Bank of New York Mellon, a wholly-owned subsidiary of The Bank of New York Mellon Corporation, serves as Administrator, Custodian, Accounting Agent and Transfer Agent for each Fund.
Foreside Financial Services, LLC (the “Distributor”) serves as the distributor of Creation Units for each Fund on an agency basis. The Distributor does not maintain a secondary market in shares of a Fund. Foreside Fund Officer Services, LLC a related party to the Distributor also serves as the Trust’s Compliance Officer.
A Trustee and certain Officers of the Trust are also employees of the Adviser and/or the Distributor.
7. Investment Transactions
Purchases and sales of securities, other than short-term securities, U.S. Government Securities and in-kind transactions were as follows:
| Fund | Purchases | Sales | ||||||
| Simplify Aggregate Bond PLUS Credit Hedge ETF | $ | 15,502,928 | $ | 12,018,748 | ||||
| Simplify Developed Ex-US PLUS Downside Convexity ETF | — | 1,921,199 | ||||||
| Simplify Emerging Markets Equity PLUS Downside Convexity ETF | — | 577,580 | ||||||
| Simplify Enhanced Income ETF | — | — | ||||||
| Simplify Health Care ETF | 58,471,288 | 59,307,333 | ||||||
| Simplify Hedged Equity ETF | 9,013,584 | 8,492,972 | ||||||
| Simplify High Yield PLUS Credit Hedge ETF | — | 408,795 | ||||||
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| Fund | Purchases | Sales | ||||||
| Simplify Interest Rate Hedge ETF | $ | — | $ | — | ||||
| Simplify Intermediate Term Treasury Futures Strategy ETF | — | — | ||||||
| Simplify Market Neutral Equity Long/Short ETF | — | — | ||||||
| Simplify Opportunistic Income ETF | 592,000 | — | ||||||
| Simplify Propel Opportunity ETF | 26,720,036 | 30,823,795 | ||||||
| Simplify Short Term Treasury Futures Strategy ETF | — | — | ||||||
| Simplify Stable Income ETF | — | — | ||||||
| Simplify Tail Risk Strategy ETF | 26,586,712 | 72,078,995 | ||||||
| Simplify US Equity PLUS Convexity ETF | 499,554 | 4,064,841 | ||||||
| Simplify US Equity PLUS Downside Convexity ETF | 1,173,842 | 36,958,657 | ||||||
| Simplify US Equity PLUS GBTC ETF | 2,605,584 | 2,385,927 | ||||||
| Simplify US Equity PLUS Upside Convexity ETF | 424 | 430,795 | ||||||
| Simplify Volt RoboCar Disruption and Tech ETF | 8,553,369 | 8,080,987 | ||||||
| Simplify Bitcoin Strategy PLUS Income ETF | 13,930,614 | 14,973,558 | ||||||
| Simplify Commodities Strategy No K-1 ETF | — | — | ||||||
| Simplify Macro Strategy ETF | 34,719,804 | 17,263,202 | ||||||
| Simplify Managed Futures Strategy ETF | — | — | ||||||
| Simplify Volatility Premium ETF | 56,525,315 | 56,754,151 | ||||||
Securities received and delivered in-kind through subscriptions and redemptions were as follows:
| Fund | Purchases | Sales | ||||||
| Simplify Aggregate Bond PLUS Credit Hedge ETF | $ | 4,056,413 | $ | 1,052,605 | ||||
| Simplify Developed Ex-US PLUS Downside Convexity ETF | 14,834,611 | 18,075,384 | ||||||
| Simplify Emerging Markets Equity PLUS Downside Convexity ETF | 1,377,198 | 4,003,523 | ||||||
| Simplify Enhanced Income ETF | — | — | ||||||
| Simplify Health Care ETF | 94,053,129 | 70,717,770 | ||||||
| Simplify Hedged Equity ETF | 112,915,023 | 55,682,879 | ||||||
| Simplify High Yield PLUS Credit Hedge ETF | 299,342 | — | ||||||
| Simplify Interest Rate Hedge ETF | 3,304,321 | — | ||||||
| Simplify Intermediate Term Treasury Futures Strategy ETF | — | — | ||||||
| Simplify Market Neutral Equity Long/Short ETF | — | — | ||||||
| Simplify Opportunistic Income ETF | — | — | ||||||
| Simplify Propel Opportunity ETF | 103,369,372 | 15,792,705 | ||||||
| Simplify Short Term Treasury Futures Strategy ETF | — | — | ||||||
| Simplify Stable Income ETF | — | — | ||||||
| Simplify Tail Risk Strategy ETF | 25,058,128 | 52,910,571 | ||||||
| Simplify US Equity PLUS Convexity ETF | 66,467,633 | 61,334,776 | ||||||
| Simplify US Equity PLUS Downside Convexity ETF | 88,787,309 | 396,567,126 | ||||||
| Simplify US Equity PLUS GBTC ETF | 1,763,325 | 81,215,392 | ||||||
| Simplify US Equity PLUS Upside Convexity ETF | 3,314,646 | 8,052,374 | ||||||
| Simplify Volt RoboCar Disruption and Tech ETF | 439,044 | 324,316 | ||||||
| Simplify Bitcoin Strategy Plus Income ETF | — | — | ||||||
| Simplify Commodities Strategy No K-1 ETF | — | — | ||||||
| Simplify Macro Strategy ETF | 24,993,938 | 4,692,848 | ||||||
| Simplify Managed Futures Strategy ETF | — | — | ||||||
| Simplify Volatility Premium ETF | — | — | ||||||
Purchases and sales of long term U.S. Government Securities were as follows:
| Fund | Purchases | Sales | ||||||
| Simplify Interest Rate Hedge ETF | $ | 163,597,018 | $ | 181,832,413 | ||||
| Simplify Volatility Premium ETF | 126,375,899 | 220,722,957 | ||||||
8. Fund Share Transactions
The Funds issue and redeem Shares at NAV only in large blocks of 25,000 Shares (each block of Shares is called a “Creation Unit”). Creation Units are issued and redeemed primarily in-kind for securities but may include cash. Individual Shares may only be purchased and sold in secondary market transactions through brokers. Except when aggregated in Creation Units in transactions with Authorized Participants, the Shares are not redeemable securities of the Fund.
Fund Shares are listed and traded on the Exchange on each day that the Exchange is open for business (“Business Day”). Each Fund’s Shares may only be purchased and sold on the Exchange through a broker-dealer. Because each Fund’s Shares trade at market prices rather than at their NAV, Shares may trade at a price equal to the NAV, greater than NAV (premium) or less than NAV (discount).
Authorized participants pay a fixed transaction fee of $500 to the shareholder servicing agent when purchasing and redeeming Creation Units of a Fund. The transaction fee is used to defray the costs associated with the issuance and redemption of Creation Units. In addition
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to the fixed transaction fee, the Funds may charge an additional maximum 3% of the amount invested variable fee for creations and redemptions in cash, to offset brokerage and impact expenses associated with a cash transaction.
9. Federal Income Taxes
For the year/period ended June 30, 2023, the effect of permanent “book/tax” reclassifications to the components of net assets are included below. These differences are primarily due to redemptions-in-kind, non-deductible excise tax paid, prior year true ups, distributions in excess, return of capital distributions, and controlled foreign corporations income reversal.
| Fund | Distributable earnings (loss) |
Paid-in Capital |
||||||
| Simplify Aggregate Bond PLUS Credit Hedge ETF | $ | 46,646 | $ | (46,646 | ) | |||
| Simplify Developed Ex-US PLUS Downside Convexity ETF | 350,094 | (350,094 | ) | |||||
| Simplify Emerging Markets Equity PLUS Downside Convexity ETF | 260,459 | (260,459 | ) | |||||
| Simplify Enhanced Income ETF | — | — | ||||||
| Simplify Health Care ETF | (1,892,986 | ) | 1,892,986 | |||||
| Simplify Hedged Equity ETF | (2,355,239 | ) | 2,355,239 | |||||
| Simplify High Yield PLUS Credit Hedge ETF | — | — | ||||||
| Simplify Interest Rate Hedge ETF | — | — | ||||||
| Simplify Intermediate Term Treasury Futures Strategy ETF | — | — | ||||||
| Simplify Market Neutral Equity Long/Short ETF | 2,550 | (2,550 | ) | |||||
| Simplify Opportunistic Income ETF | — | — | ||||||
| Simplify Propel Opportunities ETF | 3,507,147 | (3,507,147 | ) | |||||
| Simplify Short Term Treasury Futures Strategy ETF | 1,947 | (1,947 | ) | |||||
| Simplify Stable Income ETF | — | — | ||||||
| Simplify Tail Risk Strategy ETF | 4,551,971 | (4,551,971 | ) | |||||
| Simplify US Equity PLUS Convexity ETF | 147,380 | (147,380 | ) | |||||
| Simplify US Equity PLUS Downside Convexity ETF | 30,065,647 | (30,065,647 | ) | |||||
| Simplify US Equity PLUS GBTC ETF | 10,312,694 | (10,312,694 | ) | |||||
| Simplify US Equity PLUS Upside Convexity ETF | (41,011 | ) | 41,011 | |||||
| Simplify Volt RoboCar Disruption and Tech ETF | 67,316 | (67,316 | ) | |||||
| Simplify Bitcoin Strategy PLUS Income ETF | 250,679 | (250,679 | ) | |||||
| Simplify Commodities Strategy No K-1 ETF | 160,278 | (160,278 | ) | |||||
| Simplify Macro Strategy ETF | (90,579 | ) | 90,579 | |||||
| Simplify Managed Futures Strategy ETF | 31,897,190 | (31,897,190 | ) | |||||
| Simplify Volatility Premium ETF | 4,281,731 | (4,281,731 | ) | |||||
The tax character of dividends and distributions declared for the year/period ended June 30, 2023 were as follows:
| Fund | Ordinary Income* |
Long -Term Capital Gains |
Return of Capital |
|||||||||
| Simplify Aggregate Bond PLUS Credit Hedge ETF | $ | 193,442 | $ | — | $ | 98,448 | ||||||
| Simplify Developed Ex-US PLUS Downside Convexity ETF | 451,205 | — | — | |||||||||
| Simplify Emerging Markets Equity PLUS Downside Convexity ETF | 88,043 | — | — | |||||||||
| Simplify Enhanced Income ETF | 450,816 | 2,225 | — | |||||||||
| Simplify Health Care ETF | 399,848 | — | — | |||||||||
| Simplify Hedged Equity ETF | 2,448,208 | 1,980,761 | — | |||||||||
| Simplify High Yield PLUS Credit Hedge ETF | 2,959,704 | — | 708,226 | |||||||||
| Simplify Interest Rate Hedge ETF | 3,979,978 | — | — | |||||||||
| Simplify Intermediate Term Treasury Futures Strategy ETF | 1,438,455 | — | — | |||||||||
| Simplify Propel Opportunities ETF | 3,107,601 | — | 2,920,001 | |||||||||
| Simplify Short Term Treasury Futures Strategy ETF | 4,542,976 | — | — | |||||||||
| Simplify Stable Income ETF | 257,816 | 535 | — | |||||||||
| Simplify Tail Risk Strategy ETF | 2,839,722 | — | — | |||||||||
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| Fund | Ordinary Income* |
Long -Term Capital Gains |
Return of Capital |
|||||||||
| Simplify US Equity PLUS Convexity ETF | $ | 890,883 | $ | — | $ | — | ||||||
| Simplify US Equity PLUS Downside Convexity ETF | 3,166,409 | — | — | |||||||||
| Simplify US Equity PLUS GBTC ETF | 94,553 | — | 174,233 | |||||||||
| Simplify US Equity PLUS Upside Convexity ETF | 113,758 | — | — | |||||||||
| Simplify Bitcoin Strategy PLUS Income ETF | 1,171,779 | 26,396 | — | |||||||||
| Simplify Commodities Strategy No K-1 ETF | 25,000 | — | — | |||||||||
| Simplify Macro Strategy ETF | 1,363,559 | — | — | |||||||||
| Simplify Managed Futures Strategy ETF | 6,630,857 | 4,136,275 | — | |||||||||
| Simplify Volatility Premium ETF | 28,995,598 | — | — | |||||||||
| * | For tax purposes short-term capital gain distributions are considered ordinary income distributions. |
The tax character of dividends and distributions declared for the year/period ended June 30, 2022 were as follows:
| Fund | Ordinary Income* |
Long -Term Capital Gains |
Return of Capital |
|||||||||
| Simplify Aggregate Bond PLUS Credit Hedge ETF | $ | 6,769 | $ | — | $ | — | ||||||
| Simplify Developed Ex-US PLUS Downside Convexity ETF | 383,771 | — | — | |||||||||
| Simplify Emerging Markets Equity PLUS Downside Convexity ETF | 84,731 | — | — | |||||||||
| Simplify Health Care ETF | 85,814 | — | — | |||||||||
| Simplify Hedged Equity ETF | 163,205 | — | — | |||||||||
| Simplify High Yield PLUS Credit Hedge ETF | 267,687 | — | 128,698 | |||||||||
| Simplify Interest Rate Hedge ETF | 40,085 | — | — | |||||||||
| Simplify Intermediate Term Treasury Futures Strategy ETF | 204,525 | — | — | |||||||||
| Simplify Tail Risk Strategy ETF | 962,486 | — | 2,924,115 | |||||||||
| Simplify US Equity PLUS Convexity ETF | 1,474,658 | — | — | |||||||||
| Simplify US Equity PLUS Downside Convexity ETF | 5,375,711 | — | — | |||||||||
| Simplify US Equity PLUS GBTC ETF | 1,475,693 | 866,405 | — | |||||||||
| Simplify US Equity PLUS Upside Convexity ETF | 298,034 | 124,394 | — | |||||||||
| Simplify Volt RoboCar Disruption and Tech ETF | 18,979 | — | 12,160 | |||||||||
| Simplify Macro Strategy ETF | 2,773 | — | — | |||||||||
| Simplify Volatility Premium ETF | 123,628 | — | 11,320,688 | |||||||||
| * | For tax purposes short-term capital gain distributions are considered ordinary income distributions. |
As of June 30, 2023, the components of accumulated earnings (losses) on a tax basis were as follows:
| Fund | Undistributed Ordinary Income |
Undistributed Long-term Capital Gains |
Temporary Book/Tax Differences(a) |
Net Unrealized Appreciation (Depreciation) |
Accumulated Capital and Other Losses |
Post-October / Late-year Ordinary Loss Deferrals |
Distributable earnings (loss) |
|||||||||||||||||||||
| Simplify Aggregate Bond PLUS Credit Hedge ETF | $ | — | $ | — | $ | (100,000 | ) | $ | (99,623 | ) | $ | (29,231 | ) | $ | — | $ | (228,854 | ) | ||||||||||
| Simplify Developed Ex-US PLUS Downside Convexity ETF | 367,592 | — | (365,500 | ) | (1,137,755 | ) | (3,606,560 | ) | — | (4,742,223 | ) | |||||||||||||||||
| Simplify Emerging Markets Equity PLUS Downside Convexity ETF | 30,184 | — | (29,250 | ) | (664,768 | ) | (1,101,655 | ) | — | (1,765,489 | ) | |||||||||||||||||
| Simplify Enhanced Income ETF | 25,759 | 78,639 | (135,000 | ) | 1,947 | — | — | (28,655 | ) | |||||||||||||||||||
| Simplify Health Care ETF | 232,857 | — | (269,750 | ) | 446,286 | (6,677,297 | ) | — | (6,267,904 | ) | ||||||||||||||||||
| Simplify Hedged Equity ETF | 1,643,338 | 2,291,888 | (9,417,585 | ) | 7,685,052 | — | — | 2,202,693 | ||||||||||||||||||||
| Simplify High Yield PLUS Credit Hedge ETF | — | — | (207,500 | ) | (66,514 | ) | (3,699,924 | ) | — | (3,973,938 | ) | |||||||||||||||||
| Simplify Interest Rate Hedge ETF | 20,366,880 | 72,949,145 | (342,500 | ) | (7,064,485 | ) | — | — | 85,909,040 | |||||||||||||||||||
| Simplify Intermediate Term Treasury Futures Strategy ETF | 86,678 | — | (180,000 | ) | 10,916 | (20,691,088 | ) | — | (20,773,494 | ) | ||||||||||||||||||
| Simplify Market Neutral Equity Long/Short ETF | — | — | — | 2,860 | (84,475 | ) | — | (81,615 | ) | |||||||||||||||||||
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| Fund | Undistributed Ordinary Income |
Undistributed Long-term Capital Gains |
Temporary Book/Tax Differences(a) |
Net Unrealized Appreciation (Depreciation) |
Accumulated Capital and Other Losses |
Post-October / Late-year Ordinary Loss Deferrals |
Distributable earnings (loss) |
|||||||||||||||||||||
| Simplify Opportunistic Income ETF | $ | 9,278 | $ | — | $ | — | $ | 6,511 | $ | — | $ | — | $ | 15,789 | ||||||||||||||
| Simplify Propel Opportunities ETF | — | — | (3,107,601 | ) | (956,180 | ) | (239,275 | ) | — | (4,303,056 | ) | |||||||||||||||||
| Simplify Short Term Treasury Futures Strategy ETF | 1,100,542 | — | (2,080,000 | ) | 116,792 | — | (27,242,591) | (28,105,257 | ) | |||||||||||||||||||
| Simplify Stable Income ETF | 45,494 | 13,287 | (57,500 | ) | 3,746 | — | — | 5,027 | ||||||||||||||||||||
| Simplify Tail Risk Strategy ETF | 155,720 | — | (114,000 | ) | (786,618 | ) | (51,109,003 | ) | — | (51,853,901 | ) | |||||||||||||||||
| Simplify US Equity PLUS Convexity ETF | 479,937 | — | (3,915,228 | ) | 2,826,431 | (3,376,519 | ) | — | (3,985,379 | ) | ||||||||||||||||||
| Simplify US Equity PLUS Downside Convexity ETF | 835,615 | — | (813,750 | ) | (3,887,073 | ) | (52,599,076 | ) | — | (56,464,284 | ) | |||||||||||||||||
| Simplify US Equity PLUS GBTC ETF | — | — | (27,500 | ) | 148,049 | (4,837,871 | ) | — | (4,717,322 | ) | ||||||||||||||||||
| Simplify US Equity PLUS Upside Convexity ETF | 53,001 | — | (52,250 | ) | (160,276 | ) | (899,978 | ) | — | (1,059,503 | ) | |||||||||||||||||
| Simplify Volt RoboCar Disruption and Tech ETF | — | — | — | (2,636 | ) | (4,455,172 | ) | — | (4,457,808 | ) | ||||||||||||||||||
| Simplify Bitcoin Strategy PLUS Income ETF | 7,512,008 | 157,958 | (207,000 | ) | 278,843 | — | — | 7,741,809 | ||||||||||||||||||||
| Simplify Commodities Strategy No K-1 ETF | 27,288 | — | (25,000 | ) | 7,132 | (135 | ) | — | 9,285 | |||||||||||||||||||
| Simplify Macro Strategy ETF | 335,393 | — | (152,250 | ) | (465,621 | ) | (1,448,734 | ) | — | (1,731,212 | ) | |||||||||||||||||
| Simplify Managed Futures Strategy ETF | 2,663,160 | 2,568,845 | (490,000 | ) | 1,378,791 | — | — | 6,120,796 | ||||||||||||||||||||
| Simplify Volatility Premium ETF | 16,274,496 | — | (4,368,000 | ) | 3,888,527 | (4,391,919 | ) | — | 11,403,104 | |||||||||||||||||||
| (a) | The temporary book/tax differences was attributable primarily dividend payable, straddles deferral and Subpart F income. |
At June 30, 2023, gross unrealized appreciation and depreciation of investments owned by each Fund, based on cost for federal income tax purposes were as follows:
| Fund | Tax Cost | Gross Unrealized Appreciation |
Gross Unrealized Depreciation |
Net Unrealized Appreciation (Depreciation) |
||||||||||||
| Simplify Aggregate Bond PLUS Credit Hedge ETF | $ | 11,541,489 | $ | 1,098,960 | $ | (1,198,583 | ) | $ | (99,623 | ) | ||||||
| Simplify Developed Ex-US PLUS Downside Convexity ETF | 18,384,609 | 63,976 | (1,201,731 | ) | (1,137,755 | ) | ||||||||||
| Simplify Emerging Markets Equity PLUS Downside Convexity ETF | 4,775,792 | 17,060 | (681,828 | ) | (664,768 | ) | ||||||||||
| Simplify Enhanced Income ETF | 25,301,853 | 3,014 | (1,067 | ) | 1,947 | |||||||||||
| Simplify Health Care ETF | 56,997,284 | 3,021,147 | (2,574,861 | ) | 446,286 | |||||||||||
| Simplify Hedged Equity ETF | 102,241,918 | 8,503,481 | (818,429 | ) | 7,685,052 | |||||||||||
| Simplify High Yield PLUS Credit Hedge ETF | 45,187,059 | 72,544,398 | (72,610,912 | ) | (66,514 | ) | ||||||||||
| Simplify Interest Rate Hedge ETF | 220,041,108 | 7,721,693 | (14,786,178 | ) | (7,064,485 | ) | ||||||||||
| Simplify Intermediate Term Treasury Futures Strategy ETF | 53,164,062 | 11,539 | (623 | ) | 10,916 | |||||||||||
| Simplify Market Neutral Equity Long/Short ETF | 4,338,348 | 17,538,680 | (17,535,820 | ) | 2,860 | |||||||||||
| Simplify Opportunistic Income ETF | 35,769,828 | 7,843 | (1,332 | ) | 6,511 | |||||||||||
| Simplify Propel Opportunities ETF | 102,149,002 | 19,077,435 | (20,033,615 | ) | (956,180 | ) | ||||||||||
| Simplify Short Term Treasury Futures Strategy ETF | 526,129,282 | 118,744 | (1,952 | ) | 116,792 | |||||||||||
| Simplify Stable Income ETF | 14,272,686 | 3,746 | — | 3,746 | ||||||||||||
| Simplify Tail Risk Strategy ETF | 19,020,084 | 583,342 | (1,369,960 | ) | (786,618 | ) | ||||||||||
| Simplify US Equity PLUS Convexity ETF | 71,188,262 | 3,307,507 | (481,076 | ) | 2,826,431 | |||||||||||
| Simplify US Equity PLUS Downside Convexity ETF | 120,116,124 | 701,473 | (4,588,546 | ) | (3,887,073 | ) | ||||||||||
| Simplify US Equity PLUS GBTC ETF | 8,166,471 | 280,139 | (132,090 | ) | 148,049 | |||||||||||
| Simplify US Equity PLUS Upside Convexity ETF | 8,664,895 | — | (160,276 | ) | (160,276 | ) | ||||||||||
| Simplify Volt RoboCar Disruption and Tech ETF | 4,316,937 | 583,015 | (585,651 | ) | (2,636 | ) | ||||||||||
| Simplify Bitcoin Strategy PLUS Income ETF | 65,379,819 | 278,853 | (10 | ) | 278,843 | |||||||||||
| Simplify Commodities Strategy No K-1 ETF | 5,424,309 | 48,143 | (41,011 | ) | 7,132 | |||||||||||
| Simplify Macro Strategy ETF | 52,055,145 | 2,306,764 | (2,772,385 | ) | (465,621 | ) | ||||||||||
| Simplify Managed Futures Strategy ETF | 108,362,041 | 2,035,201 | (659,483 | ) | 1,378,791 | |||||||||||
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June 30, 2023
| Fund | Tax Cost | Gross Unrealized Appreciation |
Gross Unrealized Depreciation |
Net Unrealized Appreciation (Depreciation) |
||||||||||||
| Simplify Volatility Premium ETF | $ | 311,838,582 | $ | 4,494,032 | $ | (605,505 | ) | $ | 3,888,527 | |||||||
The differences between book-basis and tax-basis components of net assets are primarily attributable to the tax deferral of losses on wash sales, grantor trust adjustments, section 1256 mark-to-market treatment of derivatives and return of capital basis adjustments from underlying investments.
The following Funds utilized capital loss carryforwards to offset taxable gains realized during the year ended June 30, 2023:
| Fund | Amount | |||
| Simplify Interest Rate Hedge ETF | $ | 3,805,662 | ||
| Simplify Managed Futures Strategy ETF | 337,047 | |||
At June 30, 2023, for federal income tax purposes, the Funds had capital loss carryforwards available as shown in the table below, to the extent provided by regulations, to offset future capital gains for an unlimited period. To the extent that these capital loss carryforwards are used to offset future capital gains, it is probable that the capital gains so offset will not be distributed to shareholders.
| Fund | Short-Term | Long-Term | Total Amount | |||||||||
| Simplify Aggregate Bond PLUS Credit Hedge ETF | $ | — | $ | 29,231 | $ | 29,231 | ||||||
| Simplify Developed Ex-US PLUS Downside Convexity ETF | 2,597,420 | 1,009,140 | 3,606,560 | |||||||||
| Simplify Emerging Markets Equity PLUS Downside Convexity ETF | 797,624 | 304,031 | 1,101,655 | |||||||||
| Simplify Health Care ETF | 5,821,502 | 855,795 | 6,677,297 | |||||||||
| Simplify High Yield PLUS Credit Hedge ETF | 3,340,554 | 359,370 | 3,699,924 | |||||||||
| Simplify Intermediate Term Treasury Futures Strategy ETF | 9,304,629 | 11,386,459 | 20,691,088 | |||||||||
| Simplify Market Neutral Equity Long/Short ETF | 84,475 | — | 84,475 | |||||||||
| Simplify Propel Opportunities ETF | 6,051 | 233,224 | 239,275 | |||||||||
| Simplify Tail Risk Strategy ETF | 31,935,804 | 19,173,199 | 51,109,003 | |||||||||
| Simplify US Equity PLUS Convexity ETF | 2,320,987 | 1,055,532 | 3,376,519 | |||||||||
| Simplify US Equity PLUS Downside Convexity ETF | 33,960,066 | 18,639,010 | 52,599,076 | |||||||||
| Simplify US Equity PLUS GBTC ETF | 2,154,588 | 2,683,283 | 4,837,871 | |||||||||
| Simplify US Equity PLUS Upside Convexity ETF | 351,002 | 548,976 | 899,978 | |||||||||
| Simplify Volt RoboCar Disruption and Tech ETF | 4,169,739 | 285,433 | 4,455,172 | |||||||||
| Simplify Commodities Strategy No K-1 ETF | 135 | — | 135 | |||||||||
| Simplify Macro Strategy ETF | 1,259,836 | 188,898 | 1,448,734 | |||||||||
| Simplify Volatility Premium ETF | 4,391,919 | — | 4,391,919 | |||||||||
Certain capital and qualified late year ordinary losses incurred after October 31 and December 31, respectively, and within the current taxable year, are deemed to arise on the first business day of each Fund’s next taxable year. At June 30 2023, the following Funds incurred and will elect to defer post-October capital losses and late year ordinary losses:
Fund |
Capital Post- October Losses |
Late-year Ordinary Losses |
||||||
| Simplify Short Term Treasury Futures Strategy ETF | $ | 27,242,591 | $ | — | ||||
10. In-Kind Seeding
Net assets and other attributes contributed for Simplify Propel Opportunities ETF (SURI) were $60,286,654 in cash and securities at fair market of $71,250,025 and unrealized appreciation of $10,963,371, in exchange for 2,850,001 shares at a NAV of $25 on February 7, 2023. On June 21, 2023, additional net assets and other attributes contributed for Simplify Propel Opportunities ETF (SURI) were $29,722,184 in cash and securities at fair market of $37,751,058 and unrealized appreciation of $8,028,874 in exchange for 1,650,000 shares at a NAV of $22.88. The fair value of assets contributed for Simplify Propel Opportunities ETF (SURI) became the new cost basis for financial reporting purposes.
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Notes to Financial Statements (Continued)
June 30, 2023
11. Subsequent Events
Management has evaluated subsequent events through the date of issuance of these financial statements and has determined that there are no subsequent events that require adjustment to, or disclosure in, the financial statement.
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Report of Independent Registered Public Accounting Firm
To the Shareholders and Board of Trustees of
Simplify Exchange Traded Funds
Opinion on the Financial Statements
We have audited the accompanying statements of assets and liabilities or consolidated statements of assets and liabilities, including the schedules of investments or consolidated schedules of investments, of Simplify Exchange Traded Funds comprising the funds listed below (the “Funds”) as of June 30, 2023, the related statements of operations or consolidated statements of operations and cash flows (as applicable), the statements of changes in net assets or consolidated statements of changes in net assets, the related notes, and the financial highlights or consolidated financial highlights for each of the periods indicated below (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of each of the Funds as of June 30, 2023, the results of their operations and cash flows (as applicable), the changes in their net assets, and the financial highlights for each of the periods indicated below in conformity with accounting principles generally accepted in the United States of America.
|
Fund Name |
Statements of |
Statements of |
Financial Highlights | |||
|
Simplify US Equity PLUS Convexity ETF, Simplify US Equity PLUS Downside Convexity ETF, and Simplify US Equity PLUS Upside Convexity ETF |
For the year ended June 30, 2023 |
For the years ended June 30, 2023 and 2022 |
For the years ended June 30, 2023 and 2022, and for the period from September 4, 2020 (commencement of operations) through June 30, 2021 | |||
|
Simplify Volt RoboCar Disruption and Tech ETF |
For the year ended June 30, 2023 |
For the years ended June 30, 2023 and 2022 |
For the years ended June 30, 2023 and 2022, and for the period from December 29, 2020 (commencement of operations) through June 30, 2021 | |||
|
Simplify Interest Rate Hedge ETF |
For the year ended June 30, 2023 |
For the years ended June 30, 2023 and 2022 |
For the years ended June 30, 2023 and 2022, and for the period from May 11, 2021 (commencement of operations) through June 30, 2021 | |||
|
Simplify US Equity PLUS GBTC ETF |
For the year ended June 30, 2023 |
For the years ended June 30, 2023 and 2022 |
For the years ended June 30, 2023 and 2022, and for the period from May 25, 2021 (commencement of operations) through June 30, 2021 | |||
|
Simplify Volatility Premium ETF |
Consolidated for the year ended June 30, 2023 |
Consolidated for the years ended June 30, 2023 and 2022 |
Consolidated for the years ended June 30, 2023 and 2022, and for the period from May 13, 2021 (commencement of operations) through June 30, 2021 | |||
|
Simplify Health Care ETF |
For the year ended June 30, 2023 |
For the year ended June 30, 2023, and for the period from October 8, 2021 (commencement of operations) through June 30, 2022 | ||||
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Report of Independent Registered Public Accounting Firm(Continued)
| Fund Name | Statements of Operations and Cash Flows (as applicable) |
Statements of Changes in Net Assets |
Financial Highlights | |||
|
Simplify Developed Ex-US PLUS Downside Convexity ETF and Simplify Emerging Markets Equity PLUS Downside Convexity ETF |
For the year ended June 30, 2023 |
For the year ended June 30, 2023, and for the period from January 11, 2022 (commencement of operations) through June 30, 2022 | ||||
|
Simplify Intermediate Term Treasury Futures Strategy ETF (formerly Simplify Risk Parity Treasury ETF) |
For the year ended June 30, 2023 |
For the year ended June 30, 2023, and for the period from September 28, 2021 (commencement of operations) through June 30, 2022 | ||||
|
Simplify Tail Risk Strategy ETF |
For the year ended June 30, 2023 |
For the year ended June 30, 2023, and for the period from September 14, 2021 (commencement of operations) through June 30, 2022 | ||||
|
Simplify Hedged Equity ETF |
For the year ended June 30, 2023 |
For the year ended June 30, 2023, and for the period from November 2, 2021 (commencement of operations) through June 30, 2022 | ||||
|
Simplify Macro Strategy ETF |
Consolidated for the year ended June 30, 2023 |
Consolidated for the year ended June 30, 2023, and for the period from May 17, 2022 (commencement of operations) through June 30, 2022 | ||||
|
Simplify Aggregate Bond PLUS Credit Hedge ETF and Simplify High Yield PLUS Credit Hedge ETF |
For the year ended June 30, 2023 |
For the year ended June 30, 2023, and for the period from February 15, 2022 (commencement of operations) through June 30, 2022 | ||||
|
Simplify Managed Futures Strategy ETF |
Consolidated for the year ended June 30, 2023 |
Consolidated for the year ended June 30, 2023, and for the period from March 8, 2022 (commencement of operations) through June 30, 2022 | ||||
|
Simplify Short Term Treasury Futures Strategy ETF |
For the period from November 15, 2022 (commencement of operations) through June 30, 2023 | |||||
|
Simplify Enhanced Income ETF and Simplify Stable Income ETF |
For the period from October 28, 2022 (commencement of operations) through June 30, 2023 | |||||
|
Simplify Propel Opportunities ETF |
For the period from February 8, 2023 (commencement of operations) through June 30, 2023 | |||||
Simplify Bitcoin Strategy PLUS Income ETF |
Consolidated statement of operations, statement of changes in net assets, statement of cash flows, and financial highlights for the period from September 30, 2022 (commencement of operations) through June 30, 2023 | |||||
|
Simplify Commodities Strategy No K-1 ETF |
Consolidated statement of operations, statement of changes in net assets, and financial highlights for the period from March 28, 2023 (commencement of operations) through June 30, 2023 | |||||
|
Simplify Market Neutral Equity Long/Short ETF |
For the period from June 14, 2023 (commencement of operations) through June 30, 2023 | |||||
|
Simplify Opportunistic Income ETF |
For the period from June 27, 2023 (commencement of operations) through June 30, 2023 | |||||
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Report of Independent Registered Public Accounting Firm(Continued)
Basis for Opinion
These financial statements are the responsibility of the Funds’ management. Our responsibility is to express an opinion on the Funds’ financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement whether due to error or fraud.
Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that our audits provide a reasonable basis for our opinion. We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement whether due to error or fraud.
We have served as the Funds’ auditor since 2020.
COHEN & COMPANY, LTD.
Cleveland, Ohio
August 29, 2023
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Trustees and Officers (Unaudited)
The following is a list of the Trustees and executive officers of the Trust and each person’s principal occupation over the last five years. The business address of each Trustee and Officer is Simplify Exchange Traded Funds 222 Broadway, 22nd Floor, New York, NY 10038. All correspondence to the Trustees and Officers should be directed to c/o Simplify Exchange Traded Funds 222 Broadway, 22nd Floor, New York, NY 10038.
Independent Trustees
| Name and Year of Birth | Position/Term of Office* |
Principal Occupations during the Past 5 Years |
Number of Portfolios during Fund Complex** Overseen by Trustee |
Other Directorships Held during the Past 5 Years | ||||
| Christopher Caltagirone Year of Birth: 1971 |
Independent Trustee | Deputy Sheriff, Ravalli County Sheriff’s Department (2019 to Present); Unemployed (2015 to 2019); Portfolio Manager, PIMCO (2006 to 2015) | 25 | None | ||||
| Craig Enders Year of Birth: 1968 |
Independent Trustee | Professor, University of California Los Angeles (2015 to Present) | 25 | None | ||||
| Zung Nguyen Year of Birth: 1955 |
Independent Trustee | Founder, ZTN Capital Consulting, LLC (2015 to Present) | 25 | None |
Interested Trustee and Officers
| Name and Year of Birth | Position/Term of Office* |
Principal Occupations during the Past 5 Years |
Number of Portfolios during Fund Complex** Overseen by Trustee |
Other Directorships Held during the Past 5 Years | ||||
| Paul Kim Year of Birth: 1977 |
Trustee, President and Treasurer since 2020 | Co-Founder, Simplify Asset Management Inc. (February 2020 to Present); Managing Director, Principal Global Advisors (2015 to 2020) | 25 | None | ||||
| David Berns Year of Birth: 1978 |
Secretary since 2020 | Co-Founder, Simplify Asset Management Inc. (February 2020 to Present); CEO, Portfolio Designer, LLC (2019 to Present); Managing Director, Nasdaq (2018 to 2019); CEO, DMB Trading, LLC (2015 to 2018). | N/A | N/A | ||||
| James Nash Year of Birth: 1981 |
Chief Compliance Officer since 2020 | Director, Foreside Financial Group, LLC (2016 to Present); Regulatory Administration Advisor, JP Morgan Chase & Co. (2014 to 2016). | N/A | N/A |
| * | The term of office for each Trustee and officer listed above will continue indefinitely until the individual resigns or is removed. | |
| ** | The term “Fund Complex” applies only to the funds in the Trust. |
| Each Funds’ SAI includes additional information about the Trustees and is available free of charge, upon request, by calling toll-free at 1-855-772-8488. |
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Board Considerations in Approval of Investment Advisory and Sub-Advisory Agreements (Unaudited)
Simplify Commodities Strategy No K-1 ETF (and subsidiary)
In connection with the meeting of the Board of Trustees (the “Board” or “Trustees”) of Simplify Exchange Traded Funds (the “Trust”) held on March 22, 2023 (the “Meeting”), the Trustees, including a majority of the Trustees who are not “interested persons” as that term is defined in the Investment Company Act of 1940, as amended, discussed the approval of an investment advisory agreement between the Simplify Asset Management, Inc. (the “Adviser” or “Simplify”) and the Trust, on behalf of the Commodities Strategy No K-1 ETF (the “Fund” or “New Fund”) and its Cayman subsidiary; and a sub-advisory agreement between Simplify and Altis Partners (Jersey) Limited (the “Sub-Adviser” or “Altis”) with respect to the New Fund.
The Trustees reviewed and discussed the materials that were provided in advance of the Meeting and deliberated on the approval of the agreements. The Trustees relied upon the advice of independent legal counsel and their own business judgment in determining the material factors to be considered in evaluating the agreements on behalf of the New Fund and the weight to be given to each factor considered. The conclusions reached by the Trustees were based on a comprehensive evaluation of all of the information provided and were not the result of any one factor. Moreover, each Trustee may have afforded different weight to the various factors in reaching his conclusions with respect to the approval of the agreements.
Nature, Extent, and Quality of Service. The Trustees noted that Simplify was founded in 2020, managed approximately $1.42 billion in assets as of December 31, 2022, and specialized in offering a variety of innovative investment strategies that incorporated various derivative overlays. They reviewed the background information of the key investment personnel that would be responsible for servicing the New Fund and noted the extensive industry experience. The Trustees discussed the personnel added to the service term by the Adviser since the launch of the Trust, noting the high quality and prior experience of each. They noted their appreciation for direct access to the most senior members of the management team of Simplify. The Trustees then discussed that the Adviser would manage the day-to-day portfolio selection, administration, trade execution and compliance monitoring, and that the Adviser would also manage the composition of the portfolio. The Trustees also discussed that the Sub-Adviser would be responsible for the portfolio modeling on futures trading, advise the day-to-day portfolio administration including inflow investment and outflow security liquidations, rebalancing and compliance trade execution. They noted the Adviser’s belief that the proposed New Fund will provide clients with differentiated multi-asset strategies, leveraging the Adviser’s expertise in asset allocation as well as convex risk mitigation and return enhancement. The Trustees noted that Simplify would monitor compliance with the New Fund’s investment restrictions. The Trustees considered the growth in the size and number of funds in the Trust, observed that the Adviser had sufficient financial and personnel resources to service the New Fund, and concluded that, based on the Board’s experience with the Adviser had the resources and access to capital to provide high quality service to the New Fund and its shareholders.
Performance
The Trustees reviewed the investment objective of the Fund and considered the performance of other Funds in the Trust. They reviewed the hypothetical, back-tested annualized returns as of December 31, 2022, noting that the strategy performed well, but that it underperformed the benchmark for the one- and five-year, and since inception periods ended December 31, 2022. The Trustees considered the Adviser’s experience managing specialized thematic ETFs including managed futures and noted that the Fund is expected to produce returns with significantly less volatility than an all-equity allocation. Taking all factors into consideration and recognizing that the back-tested returns were not those of an actual account, the Trustees concluded that Simplify had the tools to deliver favorable returns to the shareholders of the New Fund.
Fees and Expenses
The Trustees acknowledged that the New Fund had a proposed advisory fee and net expense ratio of 0.75% and 0.75%, respectively. The Trustees noted that the proposed advisory fee was slightly higher than the Fund’s peer group and the Morningstar category averages, and that the net expense ratio was slightly higher than the peer group average, but below the Morningstar category’s average. The Trustees acknowledged that the fees charged by the Adviser and the total expense ratio were in line with the fees charged by the peer group and Morningstar category. They also acknowledged that the Fund incorporated a derivatives overlay strategy to augment the risk return profile of the Fund and as such, the fees to be charged by the adviser were well within reason for the strategy. The Trustees agreed that the proposed advisory fees were not unreasonable.
Profitability
The Trustees reviewed the profit analysis provided by Simplify. They noted that because the New Fund had not yet commenced operations, the profitability analysis provided was estimated based on projected asset growth over the first 24 months of operations. They further noted that Simplify projected making a modest profit in each of year one and year two in connection with the New Fund if estimated asset levels were achieved. They concluded that based on the information provided by Simplify, the estimated profitability was not excessive with respect to the New Fund.
Economies of Scale
The Trustees considered whether economies of scale would likely be realized by Simplify during the initial term of the proposed advisory agreement. They discussed the New Fund’s prospects for growth. The Trustees noted the Adviser’s belief that the current proposed advisory fees were very competitive and provided the shareholders the benefits of economies of scale even at low initial asset levels. They
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Board Considerations in Approval of Investment Advisory and Sub-Advisory Agreements (Unaudited) (Continued)
discussed whether the Adviser would benefit from economies of scale related to the New Fund from lower variable costs and decreasing impact of fixed costs but acknowledged these were likely offset by the additional resources necessary to manage the New Fund. They noted that Simplify had agreed to consider breakpoints for the New Fund if assets of the New Fund reached a certain level. Based on these and other considerations, the Trustees agreed that the proposed arrangements were acceptable and would be reconsidered at the first contract renewal in two years.
Conclusion
Having requested and received such information from Simplify as the Trustees believed to be reasonably necessary to evaluate the terms of the advisory agreement, and as assisted by the advice of independent counsel, the Trustees determined that approval of the advisory agreement was in the best interest of the New Fund and its respective future shareholders.
Simplify Management Agreement with respect to Cayman Controlled Foreign Corporation (Simplify Commodities Strategy No K-1 Cayman Fund)
The Trustees concluded that their prior deliberations with respect to the investment advisory agreement applied as well to the management agreement (the “Cayman Agreement”) between the Adviser and Simplify Commodities Strategy No K-1 Cayman Fund (the “Cayman Subsidiary”). Having requested and received such information from Simplify as the Trustees believed to be reasonably necessary to evaluate the terms of the Cayman Agreement, and as assisted by the advice of independent counsel, the Trustees determined that approval of the Cayman Agreement was in the best interest of the Cayman Subsidiary and the Fund.
Simplify Commodities Strategy No K-1 ETF—Trading Advisory Agreement (Altis Partners (Jersey) Limited)
Nature, Extent, and Quality of Service. The Trustees noted that Altis Partners London (“APL”) was founded in 2000 by four principals, two of whom remain active partners, and redomiciled to Jersey in 2005, creating Altis. They also noted that the Sub-Adviser currently provides investment advisory services. They acknowledged that Altis would provide proprietary research, analysis and recommendations to the Adviser to assist the New Fund in achieving its goals. The Trustees reviewed the background information on the key investment personnel who would be responsible for servicing the New Fund, taking into account their education and business experience, and noting the investment team’s experience with technology. The Trustees acknowledged that the Sub-Adviser offers investors liquid and transparent products supported by a highly refined infrastructure. The Trustees discussed the Sub-Adviser’s investment process, noting that the Sub-Adviser evaluated company financial condition, management team, corporate and product development strategy, governance, shareholder constituency and potential catalysis for growth. They then discussed the Sub-Adviser’s approach to ensuring compliance with the Fund’s investment limitations before making recommendations. It was noted that there have been no material compliance issues that arose within the past thirty six months regarding any other mutual fund, pooled investment vehicle or private account managed by Altis. The Trustees concluded that the Sub-Adviser was expected to provide quality service to the New Fund and its shareholders.
Performance
The Trustees reviewed the Altis Master Fund ICC/Altis Enhanced Macro Master Fund Incorporated Cell and Simplify Managed Futures Strategy ETF returns versus the benchmark, Soc Gen CTA Index, for the one-, five-, ten-year and since inception periods ended December 31, 2022, annualized over a twelve-month period. The Trustees noted that in managing the investment strategy of the New Fund, Altis would utilize the same approach as previously discussed. The Trustees acknowledged that the Sub-Adviser provided the track record of a related Simplify ETF and they discussed the performance and volatility of the relevant ETF. Taking all factors into consideration, the Trustees concluded that Altis had the tools to deliver favorable returns to the shareholders of the New Fund.
Fees and Expenses
The Trustees acknowledged that Simplify, rather than the Fund, would pay Altis a sub-advisory fee equal to 0.375% of 0.75% advisory fee. The Trustees also considered the fee paid to the Sub-Adviser by the recently launched Simplify Managed Futures ETF of 0.25% annually, with a fee range from 1% management fee to 20% performance fee. The Trustees considered the allocation of advisory fees among the Adviser and Sub-Adviser in light of their respective duties. The Trustees noted that the total fees are less than the average for the other accounts managed by the Sub-Adviser and they agreed that the proposed sub-advisory fee was not unreasonable.
Profitability
The Trustees reviewed the profit analysis provided by Altis. They noted that because the Fund had not yet commenced operations, the profitability analysis provided was an estimate based on projected asset growth over the first 24 months of operations, with projections of 12% profit in year one, and 70% profit in year two, if estimated asset levels were achieved. They concluded that based on the information provided by Altis, the estimated profitability was not excessive.
Economies of Scale
The Trustees considered whether Altis would realize economies of scale with respect to the sub-advisory services provided to the New Fund. The Trustees agreed that the sub-advisory fee, as the principal component of the overall advisory fee, was the primary consideration with respect to economies of scale. The Trustees considered whether breakpoints would be appropriate. The Trustees agreed that the proposed arrangement was acceptable and would be reevaluate at the first contract renewal in two years.
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Board Considerations in Approval of Investment Advisory and Sub-Advisory Agreements (Unaudited) (Continued)
Conclusion
Having requested and received such information from Altis as the Trustees believed to be reasonably necessary to evaluate the terms of the sub-advisory agreement, and as assisted by the advice of independent counsel, the Trustees determined that approval of the Trading Advisory Agreement was in the best interest of Altis and its future shareholders.
Simplify Market Neutral Long/Short ETF (EQLS)
In connection with the meeting of the Board of Trustees (the “Board” or “Trustees”) of Simplify Exchange Traded Funds (the “Trust”) held on May 19, 2023 (the “Meeting”), the Trustees, including a majority of the Trustees who are not “interested persons” as that term is defined in the Investment Company Act of 1940, as amended, discussed the approval of an investment advisory agreement between Simplify Asset Management, Inc. (the “Adviser” or “Simplify”) and the Trust, on behalf of Simplify Market Neutral Long/Short ETF (the “Fund”).
The Trustees reviewed and discussed the materials that were provided in advance of the Meeting and deliberated on the approval of the agreement. The Trustees relied upon the advice of independent legal counsel and their own business judgment in determining the material factors to be considered in evaluating the agreement on behalf of the Fund and the weight to be given to each factor considered. The conclusions reached by the Trustees were based on a comprehensive evaluation of all of the information provided and were not the result of any one factor. Moreover, each Trustee may have afforded different weight to the various factors in reaching his conclusions with respect to the approval of the agreement.
Nature, Extent, and Quality of Service. The Trustees noted that Simplify was founded in 2020, managed approximately $1.34 billion in assets as of March 31, 2023, and specialized in offering a variety of innovative investment strategies that incorporated various derivative overlays. They reviewed the background information of the key investment personnel that would be responsible for servicing the Fund and noted the extensive industry experience. The Trustees discussed the personnel added to the service term by the Adviser since the launch of the Trust, noting the high quality and prior experience of each. The Trustees discussed that the Adviser would manage the day-to-day portfolio selection, administration, trade execution and compliance monitoring. They discussed the Adviser’s role with, and without, the services of a sub-adviser. They noted the Adviser’s belief that the Fund would provide investors with diverse exposure to investments strategies, in addition to the Trust’s current offerings, allowing for diversification and potential return enhancement. The Trustees noted that Simplify would monitor compliance with the Fund’s investment restrictions. The Trustees considered the growth in the size and number of funds in the Trust, observed that the Adviser had sufficient personnel resources to service the Fund, access to capital, and concluded that, based on the Board’s experience with the Adviser, Simplify would provide high quality service to the Fund and its shareholders.
Performance
The Trustees reviewed the investment objective of the Fund and considered the performance of other Funds in the Trust. They reviewed the hypothetical, back-tested annualized returns as of December 31, 2022, noting that the strategy outperformed the benchmark for the one- five-, and ten-year, and since inception periods ended December 31, 2022. The Trustees considered the Adviser’s experience managing specialized thematic ETFs and noted that the Fund was expected to produce returns with significantly less volatility than an all-equity allocation.
Taking all factors into consideration and recognizing that the back-tested returns were not those of an actual account, the Trustees concluded that Simplify had the tools to deliver favorable returns to the shareholders of the Fund.
Fees and Expenses
The Trustees acknowledged that Simplify Market Neutral Equity Long/Short ETF had a proposed annual advisory fee of 1.00% The Trustees noted that the proposed advisory fee was higher than the Fund’s adviser selected peer group (six funds) average advisory fee and Morningstar category average advisory fee, and that the estimated net expense ratio was lower than the averages of its peer group and expected Morningstar category.
The Trustees acknowledged that the fees to be charged by the Adviser were competitive with the fees charged by other similar funds in the industry. They also acknowledged that the Fund incorporated a derivative overlay strategy to augment the risk return profile of the Fund and as such, the fees to be charged by the Adviser were well within reason for the strategy. The Trustees agreed that the proposed advisory fee was not unreasonable.
Profitability
The Trustees reviewed the profit analysis provided by Simplify. They noted that because the Fund had not yet commenced operations, the profitability analysis provided were estimated based on projected asset growth over the first 24 months of operations. They further noted that Simplify projected making a reasonable profit in connection with the Fund if estimated asset levels were achieved. The Trustees concluded that based on the information provided by Simplify, the estimated profitability was not excessive with respect to the Fund.
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Board Considerations in Approval of Investment Advisory and Sub-Advisory Agreements (Unaudited) (Continued)
Economies of Scale
The Trustees considered whether economies of scale would likely be realized by Simplify during the initial term of the proposed advisory agreement. They discussed the Fund’s prospects for growth. The Trustees noted the Adviser’s belief that the current proposed advisory fee was very competitive and provided the shareholders the benefits of economies of scale even at low initial asset levels. They discussed whether the Adviser would benefit from economies of scale related to the Fund from lower variable costs and decreasing impact of fixed costs. They noted that Simplify had agreed to consider breakpoints for the Fund if assets of the Fund reached a certain level. Based on these and other considerations, the Trustees agreed that the proposed arrangements were acceptable and would be reconsidered at the first contract renewal in two years.
Conclusion
Having requested and received such information from Simplify as the Trustees believed to be reasonably necessary to evaluate the terms of the advisory agreement, and as assisted by the advice of independent counsel, the Trustees determined that approval of the advisory agreement was in the best interest of the Fund and its future shareholders.
Simplify Opportunistic Income ETF
In connection with the meeting of the Board of Trustees (the “Board” or “Trustees”) of Simplify Exchange Traded Funds (the “Trust”) held on May 26, 2023 (the “Meeting”), the Trustees, including a majority of the Trustees who are not “interested persons” as that term is defined in the Investment Company Act of 1940, as amended, discussed the approval of an investment management agreement between Simplify Asset Management, Inc. (the “Adviser” or “Simplify”) and the Trust, on behalf of Simplify Opportunistic Income ETF (the “Fund”) and the approval of the sub-advisory agreement between Simplify, Asterozoa Management LLC (the “Sub-Adviser” or “Asterozoa”) and the Trust on behalf of the Fund.
Nature, Extent, and Quality of Service. The Board noted that the Adviser was founded in 2020, managed approximately $1.34 billion in assets as of March 31, 2023, and specialized in offering a variety of innovative investment strategies that incorporated various derivative overlays. The Board reviewed the credentials of the key investment personnel that would be responsible for servicing the Fund, noting that each had considerable experience in the asset management industry. The Board discussed the personnel added to the service team by the Adviser since the launch of the Trust, noting the high quality and prior experience of each. The Board considered that the Adviser would manage the Fund’s derivatives strategy, administration, trade execution and compliance monitoring. They discussed the Adviser’s role in conjunction with the services of the Sub-Adviser. They noted the Adviser’s belief that the Fund would provide investors with diverse exposure to investments strategies, in addition to the Trust’s current offerings, allowing for diversification and potential return enhancement. The Board noted that the Adviser would monitor compliance with the Fund’s investment restrictions. The Board considered the growth in the size and number of funds in the Trust and access to capital and observed that the Adviser had sufficient personnel resources to service the Fund. The Board concluded that, based on its experience with the Adviser, they could expect the Adviser to provide high quality service to the Fund and its shareholders.
Performance
The Board reviewed the investment objective of the Fund and examined the performance of other Funds in the Trust. They noted that the Sub-Adviser would be responsible for fixed income security selection and the Adviser would be responsible for the Fund’s derivatives strategy and trade execution. The Board discussed the Adviser’s experience working with sub-advisers and the value that the Adviser can bring to a strategy. Taking all factors into consideration and recognizing that the back-tested returns were not those of an actual account, the Board concluded that the Adviser had the potential deliver favorable returns to the shareholders of the Fund.
Fees and Expenses
The Trustees noted that the Adviser proposed annual advisory fee of 0.95% for the Fund, waived to 0.50% for the first year of operations. The Trustees then acknowledged the proposed advisory fee before the waiver was higher than the average advisory fee of the Fund’s expected Morningstar category and on par with the adviser selected peer group (four funds), and that the estimated net expense ratio was lower than both the average of its peer group and its expected Morningstar category. The Board discussed the cost of the Sub-Adviser services relative to the Adviser services, and the allocation of duties among them. The Board acknowledged that the proposed fee was competitive with the fees charged by other similar funds in the industry. They also acknowledged the complexity of incorporating a derivative overlay strategy to augment the risk return profile of the Fund and as such, the fee to be charged by the Adviser was well within reason for the strategy. Given these considerations, the Board concluded that the Adviser’s proposed advisory fee was not unreasonable.
Profitability
The Trustees reviewed the profit analysis provided by the Adviser. They noted that because the Fund had not yet commenced operations, the profitability analysis provided were estimated based on projected asset growth over the first 24 months of operations. They further noted that Simplify projected a small loss for the first 12 months and a reasonable profit in 24 months if estimated asset levels were achieved. The Board agreed that based on the information provided by the Adviser, the estimated profits, both in terms of actual dollars and as a percent of total revenue, would not be excessive.
184
Simplify Exchange Traded Funds
Board Considerations in Approval of Investment Advisory and Sub-Advisory Agreements (Unaudited) (Continued)
Economies of Scale
The Board considered whether economies of scale would likely be realized by the Adviser during the initial term of the Management Agreement. They discussed the Fund’s prospects for growth. The Board noted the Adviser’s belief that the current proposed advisory fee was very competitive and provided the shareholders the benefits of economies of scale even at low initial asset levels. They discussed whether the Adviser would benefit from economies of scale related to the Fund from lower variable costs and decreasing impact of fixed costs. The Board noted that the Adviser had agreed to consider breakpoints for the Fund if assets reached a certain level. Based on these and other considerations, the Board agreed that the proposed arrangement was acceptable and would be reconsidered at the first contract renewal in two years.
Conclusion
Having requested and received such information from the Adviser as the Board believed to be reasonably necessary to evaluate the terms of the Management Agreement, and as assisted by the advice of independent counsel, the Trustees determined that approval of the Management Agreement was in the best interest of the Fund and its future shareholders.
Simplify Opportunistic Income ETF—Approval of Sub-Advisory Agreement (Asterozoa)
Nature, Extent, and Quality of Service. The Board noted that Asterozoa, an alternatives investment manager, was founded in 2021, managed approximately $8 million in assets as of March 31, 2023, and specialized in offering investors differentiated alternatives products designed to create unique portfolio exposures for investors who are concerned with broad market correlation and enhancing portfolio diversification. The Board acknowledged that the Sub-Adviser would be responsible for fixed income security selection and the Adviser would be responsible for the Fund’s derivatives strategy and trade execution. They reviewed the background information of the personnel who would be responsible for servicing the Fund, considering the portfolio manager’s strong background and experience at leading financial institutions. The Board discussed the Sub-Adviser’s investment approach, and the Adviser’s approach to compliance. The Board concluded that it could expect the Sub-Adviser to provide quality service to the Fund and its shareholders.
Performance
The Board reviewed the returns of two private fund managed by the Sub-Adviser, noting that in each case it was difficult to draw conclusions due to their short performance histories and the unique nature of the strategies employed. The Board discussed the performance and volatility of the strategies. The Board considered that the Adviser had assessed and recommended Asterozoa and believed it had the resources to deliver favorable returns to the shareholders of the Fund. The Board concluded that retaining the services of Asterozoa as sub-adviser to the Fund was in the best interests of shareholders.
Fees and Expenses
The Trustees acknowledged that the Adviser, rather than the Fund, would pay the Sub-Adviser a sub-advisory fee equal to 0.60% of the Fund’s net assets with a waiver for 1-year, resulting in a sub-advisory fee of 0.35% lower than the stated sub-advisory fee. The Board observed that private funds managed by Asterozoa each paid a 2% management fee and 20% performance fee. The Board considered the allocation of advisory fees among the Adviser and Sub-Adviser in light of their respective duties. The Board agreed that the proposed sub-advisory fee was not unreasonable.
Profitability
The Board reviewed the profit analysis provided by the Sub-Adviser. They noted that because the Fund had not yet commenced operations, the profitability analysis provided was an estimate based on projected asset growth over the first 24 months of operations. The Board further noted that the Sub-Adviser projected making a modest profit after the second year of operations in connection with the Fund, assuming estimated asset levels were achieved. The Board concluded that based on the information provided by the Sub-Adviser, the estimated profitability was not excessive.
Economies of Scale
The Board considered whether the Sub-Adviser would realize economies of scale with respect to the sub-advisory services to be provided to the Fund. The Board agreed that this was primarily an adviser level issue and had been considered with respect to the overall advisory agreement, taking into consideration the impact of the sub-advisory expense and the estimated growth of the Fund.
Conclusion
Having requested and received such information from Asterozoa as the Board believed to be reasonably necessary to evaluate the terms of the Sub-Advisory Agreement, and as assisted by the advice of independent counsel, the Trustees determined that approval of the Sub-Advisory Agreement was in the best interest of the Fund and its future shareholders.
185
Simplify Exchange Traded Funds
Liquidity Risk Management (Unaudited)
Pursuant to Rule 22e-4 (the “Liquidity Rule”) under the 1940 Act, the Funds have adopted and implemented a Liquidity Risk Management Program (the “Program”). The Program addresses the Liquidity Rule’s requirements for the periodic assessment and management of Funds’ liquidity risk and compliance with the Liquidity Rule’s restrictions on investments in illiquid investments. The Simplify Liquidity Risk Management Program Administrator (“Administrator”) has been designated to administer the Program. The Administrator consists of certain Trust officers and representatives from Simplify Asset Management, Inc., the Funds’ investment adviser.
At its August 18, 2023 meeting, the Board reviewed a written report (the “Report”) prepared by the Administrator addressing the operation of the Program and assessing its adequacy and effectiveness of implementation, as required under the Liquidity Rule, for the period from July 1, 2022 through June 30, 2023 (the “Reporting Period”). Among other things, the Report summarized the Administrator’s annual liquidity risk assessment, classification of the Funds’ portfolio holdings and monitoring for compliance with the Liquidity Rule’s restrictions on investments in illiquid investments. Further, the Report noted that the Program compiled with key factors for consideration under the Liquidity Rule for assessing, managing and periodically reviewing each Fund’s liquidity risk, including reviewing the Funds’ investment strategies and liquidity of portfolio investments during both normal and reasonably foreseeable stressed conditions; investments in derivatives; short-term and long-term cash flow projections during both normal and reasonably foreseeable stressed conditions; holdings of cash and cash equivalents as well as borrowing arrangements and other funding sources; the relationship between each Fund’s portfolio liquidity and the way in which, and the price and spreads at which, each Fund’s shares trade, including the efficiency of the arbitrage function and the level of active participation by market participants (including authorized participants); and the effect of the composition of baskets on the overall liquidity of each Fund’s portfolio.
The Report concluded that, during the Reporting Period: (1) there were no material changes to the Program; (2) there were no significant liquidity events impacting any Fund; and (3) that it is the Administrator’s assessment that the Program is adequately designed and has been effective in managing each Fund’s liquidity risk and in implementing the requirements of the Liquidity Rule.
186
Simplify Exchange Traded Funds
Additional Information (Unaudited)
Proxy Voting Policies and Procedures
The Funds’ policies and procedures for voting proxies for portfolio securities and information about how each Fund voted proxies related to its portfolio securities during the most recent 12-month period ended June 30 are available on our Web site at www.simplify.us at or on the SEC’s Web site — www.sec.gov. To obtain a written copy of the Funds’ policies and procedures without charge, upon request, call us toll free at (855) 772-8488.
Portfolio Holdings Information
The Funds are required to file their complete schedule of portfolio holdings with the SEC for their first and third fiscal quarters on Form N-PORT. Copies of the filings are available without charge, upon request on the SEC’s website at www.sec.gov and are available by calling the Trust at 855-772-8488.
Discount & Premium Information
Information regarding how often shares of each Fund traded on NYSE Arca or NASDAQ, as applicable, at a price above (i.e., at a premium) or below (i.e., at a discount) the NAV of the Fund can be found at www.simplify.us.
Tax Information
Form 1099-DIV and other year-end tax information provide shareholders with actual calendar year amounts that should be included in their tax returns. Shareholders should consult their tax advisors.
Each Fund designates the following amounts or, if subsequently determined to be different, the maximum allowable for its period ended June 30, 2023.
| Fund | Qualified Dividend Income* |
Dividends Received Deduction |
||||||
| Simplify Developed Ex-US PLUS Downside Convexity ETF | 100.00 | % | 00.00 | % | ||||
| Simplify Emerging Markets Equity PLUS Downside Convexity ETF | 60.17 | % | 00.00 | % | ||||
| Simplify Health Care ETF | 100.00 | % | 99.60 | % | ||||
| Simplify Tail Risk Strategy ETF | 1.88 | % | 00.00 | % | ||||
| Simplify US Equity PLUS Convexity ETF | 100.00 | % | 100.00 | % | ||||
| Simplify US Equity PLUS Downside Convexity ETF | 100.00 | % | 100.00 | % | ||||
| Simplify US Equity PLUS GBTC ETF | 100.00 | % | 100.00 | % | ||||
| Simplify US Equity PLUS Upside Convexity ETF | 100.00 | % | 98.25 | % | ||||
| * | The above percentage is based on ordinary income dividends paid to shareholders during each Fund’s fiscal year. |
This report must be preceded or accompanied by a prospectus.
187
| Investment Adviser Simplify Asset Management Inc. 222 Broadway, 22/Floor New York, NY 10038 |
Investment Sub-Adviser Volt Equity LLC 1423 Broadway PMB 137 Oakland, CA 94612 |
Custodian, Administrator & Transfer Agent The Bank of New York Mellon 240 Greenwich Street New York, NY 10286 | ||
| Distributor Foreside Financial Services, LLC Three Canal Plaza, Suite 100 Portland, ME 04101 |
Independent Registered Public Accounting Firm Cohen & Company Ltd. 1350 Euclid Ave., Suite 800 Cleveland, OH 44115 |
Legal Counsel Thompson Hine LLP 41 South High Street Suite 1700 Columbus, OH 43215 | ||
| Simplify Exchange Traded Funds 222 Broadway, 22/F New York, NY 10038 |
||||
| (b) | Not applicable |
| Item 2. | Code of Ethics. |
| (a) | Disclose whether, as of the end of the period covered by the report, the registrant has adopted a code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party. If the registrant has not adopted such a code of ethics, explain why it has not done so. |
Simplify: As of the end of the period covered by the report, the registrant has adopted a code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party.
| (b) | Disclose if there have been amendments to the registrant’s code of ethics that apply to its principal executive officer or principal financial officer. If so then attach hereto as Exhibit (a)(1). |
Simplify: None.
| (c) | Disclose if there have been any amendments to the Funds’ code of ethics during the reporting period for this Form N-CSR. If so, then attach hereto as Exhibit. |
Simplify: During the period covered by the report, there have not been any amendments to the provisions of the code of ethics.
| (d) | Disclose if the registrant has not granted any waivers, including an implicit waiver, from a provision of the code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party, that relates to one or more of the items set forth in paragraph (b) of this item’s instructions. |
Simplify: During the period covered by the report, the registrant has not granted any express or implicit waivers from the provisions of the code of ethics.
| (e) | Not Applicable |
| (f) | A copy of the Code of Ethics is filed as an Exhibit. |
| Item 3. | Audit Committee Financial Expert. |
As of the end of the period covered by the report, the registrant’s Board of Trustees has determined that Christopher Caltagirone is qualified to serve as an audit committee financial expert serving on its audit committee and that he is “independent,” as defined by Item 3 of Form N-CSR.
| Item 4. | Principal Accountant Fees and Services. |
Audit Fees
| (a) | The aggregate fees billed for each of the last two fiscal years for professional services rendered by the principal accountant for the audit of the registrant’s annual financial statements or services that are normally provided by the accountant in connection with statutory and regulatory filings or engagements for those fiscal years are $300,200 for 2022 and $410,650 for 2023. |
Audit-Related Fees
| (b) | The aggregate fees billed in each of the last two fiscal years for assurance and related services by the principal accountant that are reasonably related to the performance of the audit of the registrant’s financial statements and are not reported under paragraph (a) of this Item are $0 for 2022 and $1,972.55 for 2023. |
Tax Fees
| (c) | The aggregate fees billed in each of the last two fiscal years for professional services rendered by the principal accountant for tax services in regard to the year-end audit, tax compliance, tax advice, and tax planning are $87,500 for 2022 and $108,192.50 for 2023. |
All Other Fees
| (d) | The aggregate fees billed in each of the last two fiscal years for products and services provided by the principal accountant, other than the services reported in paragraphs (a) through (c) of this Item are $0 for 2022 and $0 for 2023. |
| (e)(1) | Disclose the audit committee’s pre-approval policies and procedures described in paragraph (c)(7) of Rule 2-01 of Regulation S-X. |
Simplify: The Audit Committee pre-approves audit services, and the following represents the non-audit services which may be performed and require pre-approval from the Audit Committee:
| a. | Preparation of Federal, State and Excise tax returns. |
| b. | Review of the Funds’ internally prepared dividend calculations. |
| c. | Review of the Funds’ semi-annual financial statements. |
| d. | Provide consent for the Funds’ required filings, as requested by management. |
| e. | Procedures related to equalization calculations, as requested by management. |
| f. | Tax consulting related to general tax and business matters, as requested by management. |
| (e)(2) | Disclose the percentage of services described in each of paragraphs (b) through (d) of this Item that were approved by the audit committee pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X are as follows: |
(b) N/A
(c) None
(d) N/A
| (f) | If greater than 50%, disclose the percentage of hours expended on the principal accountant’s engagement to audit the registrant’s financial statements for the most recent fiscal year that were attributed to work performed by persons other than the principal accountant’s full-time, permanent employees. |
Simplify: Not Applicable.
| (g) | The aggregate non-audit fees billed by the registrant’s accountant for services rendered to the registrant, and rendered to the registrant’s investment adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the registrant for each of the last two fiscal years of the registrant was $0 for 2022 and $0 for 2023. |
| (h) | Disclose whether the registrant’s audit committee of the board of trustees has considered whether the provision of non-audit services that were rendered to the registrant’s investment adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the registrant that were not pre-approved pursuant to paragraph (c)(7)(ii) of Rule 2091 of Regulation S-X is compatible with maintain the principal accountant’s independence. |
Simplify: Not Applicable.
| (i) | A registrant identified by the Commission pursuant to Section 104(i)(2)(A) of the Sarbanes- Oxley Act of 2002 (15 U.S.C. 7214(i)(2)(A)), as having retained, for the preparation of the audit report on its financial statements included in the Form NCSR, a registered public accounting firm that has a branch or office that is located in a foreign jurisdiction and that the Public Company Accounting Oversight Board has determined it is unable to inspect or investigate completely because of a position taken by an authority in the foreign jurisdiction must electronically submit to the Commission on a supplemental basis documentation that establishes that the registrant is not owned or controlled by a governmental entity in the foreign jurisdiction. The registrant must submit this documentation on or before the due date for this form. A registrant that is owned or controlled by a foreign governmental entity is not required to submit such documentation. |
Simplify: Not Applicable.
| (j) | A registrant that is a foreign issuer, as defined in 17 CFR 240.3b-4, identified by the Commission pursuant to Section 104(i)(2)(A) of the Sarbanes-Oxley Act of 2002 (15 U.S.C. 7214(i)(2)(A)), as having retained, for the preparation of the audit report on its financial statements included in the Form N-CSR, a registered public accounting firm that has a branch or office that is located in a foreign jurisdiction and that the Public Company Accounting Oversight Board has determined it is unable to inspect or investigate completely because of a position taken by an authority in the foreign jurisdiction, for each year in which the registrant is so identified, must provide the below disclosures. Also, any such identified foreign issuer that uses a variable- interest entity or any similar structure that results in additional foreign entities being consolidated in the financial statements of the registrant is required to provide the below disclosures for itself and its consolidated foreign operating entity or entities. A registrant must disclose: |
(1) That, for the immediately preceding annual financial statement period, a registered public accounting firm that the PCAOB was unable to inspect or investigate completely, because of a position taken by an authority in the foreign jurisdiction, issued an audit report for the registrant;
(2) The percentage of shares of the registrant owned by governmental entities in the foreign jurisdiction in which the registrant is incorporated or otherwise organized;
(3) Whether governmental entities in the applicable foreign jurisdiction with respect to that registered public accounting firm have a controlling financial interest with respect to the registrant;
(4) The name of each official of the Chinese Communist Party who is a member of the board of directors of the registrant or the operating entity with respect to the registrant; and
(5) Whether the articles of incorporation of the registrant (or equivalent organizing document) contains any charter of the Chinese Communist Party, including the text of any such charter.
Simplify: Not Applicable.
| Item 5. | Audit Committee of Listed Registrants. |
| (a) | The registrant has a separately designated audit committee consisting of all the independent directors of the registrant. The members of the audit committee are Christopher Caltagirone, Craig Enders and Zung T. Ngyyen. |
| (b) | Not applicable. |
Simplify: Not Applicable.
| Item 6. | Investments. |
| (a) | Schedule of Investments in securities of unaffiliated issuers as of the close of the reporting period is included as part of the report to shareholders filed under Item 1 of this form. |
| (b) | Not applicable. |
If the registrant has divested itself of securities in accordance with Section 13(c) of the Investment Company Act of 1940 following the filing of its last report on Form N-CSR and before filing of the current report, disclose the following information for each such divested security: (1) name of the issuer; (2) exchange ticker symbol; (3) Committee on Uniform Securities Identification Procedures (“CUSIP”) number; (4) total number of shares or, for debt securities, principal amount divested; (5) Date(s) that the securities were divested; (6) if the registrant holds any securities of the issuer on the date of filing, the exchange ticker symbol; CUSIP number; and the total number of shares or, for debt securities, principal amount held on the date of filing; and (7) name of the statute that added the provision of Section 13(c) in accordance with which the securities were divested.
| Item 7. | Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies. |
Simplify: Not applicable.
| Item 8. | Portfolio Managers of Closed-End Management Investment Companies. |
Simplify: Not applicable.
| Item 9. | Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers. |
Simplify: Not applicable.
| Item 10. | Submission of Matters to a Vote of Security Holders. |
Simplify: There have been no material changes to the procedures by which the shareholders may recommend nominees to the registrant’s board of directors, where those changes were implemented after the registrant last provided disclosure in response to the requirements of Item 407(c)(2)(iv) of Regulation S-K (17 CFR 229.407) (as required by Item 22(b)(15) of Schedule 14A (17 CFR 240.14a-101)), or this Item.
| Item 11. | Controls and Procedures. |
| (a) | The registrant’s principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”) (17 CFR 270.30a-3(c))) are effective, as of a date within 90 days of the filing date of the report that includes the disclosure required by this paragraph, based on their evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act (17 CFR 270.30a-3(b)) and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934, as amended (17 CFR 240.13a-15(b) or 240.15d-15(b)). |
| (b) | There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act (17 CFR 270.30a-3(d))) that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting. |
| Item 12. | Disclosure of Securities Lending Activities for Closed-End Management Investment Companies. |
Simplify: Not applicable.
| Item 13. | Exhibits. |
| (a)(1) | Code of ethics, or any amendment thereto, that is the subject of disclosure required by Item 2 is attached hereto, if applicable |
Simplify: Code of ethics attached.
| (a)(2) | Certifications pursuant to Rule 30a-2(a) under the 1940 Act and Section 302 of the Sarbanes-Oxley Act of 2002 are filed herewith. |
| (b) | Certifications pursuant to Rule 30a-2(b) under the 1940 Act and Section 906 of the Sarbanes-Oxley Act of 2002 are filed herewith. |
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
| (Registrant) | Simplify Exchange Traded Funds | |
| By (Signature and Title) | /s/ Paul Kim | |
|
Paul Kim, President (principal executive officer) |
||
| Date: | August 7, 2024 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
| By (Signature and Title) | /s/ Paul Kim | |
|
Paul Kim, President & Treasurer (principal executive officer & principal financial officer) |
||
| Date: | August 7, 2024 |