# EDGAR Filing Document

**Accession Number:** 0001810747
**File Stem:** 0001829126-23-001757
**Filing Date:** 2023-3
**Character Count:** 369071
**Document Hash:** e679f3b313799d552866ee80c96c4552
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001829126-23-001757.hdr.sgml**: 20230301

**ACCESSION NUMBER**: 0001829126-23-001757

**CONFORMED SUBMISSION TYPE**: N-CSRS

**PUBLIC DOCUMENT COUNT**: 4

**CONFORMED PERIOD OF REPORT**: 20221231

**FILED AS OF DATE**: 20230301

**DATE AS OF CHANGE**: 20230301

**EFFECTIVENESS DATE**: 20230301

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** Simplify Exchange Traded Funds
- **CENTRAL INDEX KEY:** 0001810747
- **IRS NUMBER:** 851887571
- **FISCAL YEAR END:** 0630

**FILING VALUES:**
- **FORM TYPE:** N-CSRS
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-23570
- **FILM NUMBER:** 23690719

**BUSINESS ADDRESS:**
- **STREET 1:** 54 W. 40TH STREET
- **CITY:** NEW YORK
- **STATE:** NY
- **ZIP:** 10018
- **BUSINESS PHONE:** 614-469-3294

**MAIL ADDRESS:**
- **STREET 1:** 54 W. 40TH STREET
- **CITY:** NEW YORK
- **STATE:** NY
- **ZIP:** 10018

## Series and Classes Contracts Data

### Simplify US Equity PLUS Convexity ETF (Series ID: S000069152)

| Class ID   | Class Name                            | Ticker Symbol   |
|:---|:---|:---|
| C000220986 | Simplify US Equity PLUS Convexity ETF | SPYC            |

### Simplify US Equity PLUS Downside Convexity ETF (Series ID: S000069153)

| Class ID   | Class Name                                     | Ticker Symbol   |
|:---|:---|:---|
| C000220987 | Simplify US Equity PLUS Downside Convexity ETF | SPD             |

### Simplify US Equity PLUS Upside Convexity ETF (Series ID: S000069154)

| Class ID   | Class Name                                   | Ticker Symbol   |
|:---|:---|:---|
| C000220988 | Simplify US Equity PLUS Upside Convexity ETF | SPUC            |

### Simplify Nasdaq 100 PLUS Convexity ETF (Series ID: S000070115)

| Class ID   | Class Name                             | Ticker Symbol   |
|:---|:---|:---|
| C000223027 | Simplify Nasdaq 100 PLUS Convexity ETF | QQC             |

### Simplify Nasdaq 100 PLUS Downside Convexity ETF (Series ID: S000070116)

| Class ID   | Class Name                                      | Ticker Symbol   |
|:---|:---|:---|
| C000223028 | Simplify Nasdaq 100 PLUS Downside Convexity ETF | QQD             |

### Simplify Volt Cloud and Cybersecurity Disruption ETF (Series ID: S000070130)

| Class ID   | Class Name                                           | Ticker Symbol   |
|:---|:---|:---|
| C000223055 | Simplify Volt Cloud and Cybersecurity Disruption ETF | VCLO            |

### Simplify Volt RoboCar Disruption and Tech ETF (Series ID: S000070133)

| Class ID   | Class Name                                    | Ticker Symbol   |
|:---|:---|:---|
| C000223058 | Simplify Volt RoboCar Disruption and Tech ETF | VCAR            |

### Simplify Interest Rate Hedge ETF (Series ID: S000071793)

| Class ID   | Class Name                       | Ticker Symbol   |
|:---|:---|:---|
| C000227299 | Simplify Interest Rate Hedge ETF | PFIX            |

### Simplify Volatility Premium ETF (Series ID: S000071794)

| Class ID   | Class Name                      | Ticker Symbol   |
|:---|:---|:---|
| C000227300 | Simplify Volatility Premium ETF | SVOL            |

### Simplify U.S. Equity PLUS GBTC ETF (Series ID: S000071926)

| Class ID   | Class Name                         | Ticker Symbol   |
|:---|:---|:---|
| C000227543 | Simplify U.S. Equity PLUS GBTC ETF | SPBC            |

### Simplify Intermediate Term Treasury Futures Strategy ETF (Series ID: S000073384)

| Class ID   | Class Name                                               | Ticker Symbol   |
|:---|:---|:---|
| C000230231 | Simplify Intermediate Term Treasury Futures Strategy ETF | TYA             |

### Simplify Tail Risk Strategy ETF (Series ID: S000073385)

| Class ID   | Class Name                      | Ticker Symbol   |
|:---|:---|:---|
| C000230232 | Simplify Tail Risk Strategy ETF | CYA             |

### Simplify Health Care ETF (Series ID: S000073751)

| Class ID   | Class Name               | Ticker Symbol   |
|:---|:---|:---|
| C000230898 | Simplify Health Care ETF | PINK            |

### Simplify Developed Ex-US PLUS Downside Convexity ETF (Series ID: S000073861)

| Class ID   | Class Name                                           | Ticker Symbol   |
|:---|:---|:---|
| C000231092 | Simplify Developed Ex-US PLUS Downside Convexity ETF | EAFD            |

### Simplify Emerging Markets Equity PLUS Downside Convexity ETF (Series ID: S000073862)

| Class ID   | Class Name                                                   | Ticker Symbol   |
|:---|:---|:---|
| C000231093 | Simplify Emerging Markets Equity PLUS Downside Convexity ETF | EMGD            |

### Simplify US Small Cap PLUS Downside Convexity ETF (Series ID: S000073863)

| Class ID   | Class Name                                        | Ticker Symbol   |
|:---|:---|:---|
| C000231094 | Simplify US Small Cap PLUS Downside Convexity ETF | RTYD            |

### Simplify Hedged Equity ETF (Series ID: S000073925)

| Class ID   | Class Name                 | Ticker Symbol   |
|:---|:---|:---|
| C000231201 | Simplify Hedged Equity ETF | HEQT            |

### Simplify Aggregate Bond PLUS Credit Hedge ETF (Series ID: S000075089)

| Class ID   | Class Name                                    | Ticker Symbol   |
|:---|:---|:---|
| C000233894 | Simplify Aggregate Bond PLUS Credit Hedge ETF | AGGH            |

### Simplify High Yield PLUS Credit Hedge ETF (Series ID: S000075090)

| Class ID   | Class Name                                | Ticker Symbol   |
|:---|:---|:---|
| C000233895 | Simplify High Yield PLUS Credit Hedge ETF | CDX             |

### Simplify Macro Strategy ETF (Series ID: S000075091)

| Class ID   | Class Name                  | Ticker Symbol   |
|:---|:---|:---|
| C000233896 | Simplify Macro Strategy ETF | FIG             |

### Simplify Managed Futures Strategy ETF (Series ID: S000075092)

| Class ID   | Class Name                            | Ticker Symbol   |
|:---|:---|:---|
| C000233897 | Simplify Managed Futures Strategy ETF | CTA             |

### Simplify Bitcoin Strategy PLUS Income ETF (Series ID: S000076784)

| Class ID   | Class Name                                | Ticker Symbol   |
|:---|:---|:---|
| C000236819 | Simplify Bitcoin Strategy PLUS Income ETF | MAXI            |

### Simplify Short Term Treasury Futures Strategy ETF (Series ID: S000077857)

| Class ID   | Class Name                                        | Ticker Symbol   |
|:---|:---|:---|
| C000238444 | Simplify Short Term Treasury Futures Strategy ETF | TUA             |

### Simplify Enhanced Income ETF (Series ID: S000077868)

| Class ID   | Class Name                   | Ticker Symbol   |
|:---|:---|:---|
| C000238456 | Simplify Enhanced Income ETF | HIGH            |

### Simplify Stable Income ETF (Series ID: S000077869)

| Class ID   | Class Name                 | Ticker Symbol   |
|:---|:---|:---|
| C000238457 | Simplify Stable Income ETF | BUCK            |

UNITED STATES<br> SECURITIES AND EXCHANGE COMMISSION<br> Washington, D.C. 20549

**FORM N-CSR**

**CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES**

Investment Company Act file number: <u>811-23570</u>

**<u>Simplify Exchange Traded Funds</u>**<br> (Exact name of registrant as specified in charter)

222 Broadway, 22<sup>nd</sup> Floor

<u>New York, NY 10038</u><br> (Address of principal executive offices) (Zip code)

The Corporation Trust Company

Corporation Trust Center

1209 Orange Street

<u>Wilmington, DE 19801</u><br> (Name and address of agent for service)

Registrant's telephone number, including area code: <u>(646) 741-2438</u>

Date of fiscal year end: <u>June 30</u>

Date of reporting period: <u>December 31, 2022</u>

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).

December 31, 2022

Semi-Annual Report

Simplify Exchange Traded Funds

Simplify Aggregate Bond PLUS Credit Hedge ETF (AGGH)

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

Simplify Emerging Markets Equity PLUS Downside Convexity ETF (EMGD)

Simplify Enhanced Income ETF (HIGH)

Simplify Health Care ETF (PINK)

Simplify Hedged Equity ETF (HEQT)

Simplify High Yield PLUS Credit Hedge ETF (CDX)

Simplify Interest Rate Hedge ETF (PFIX)

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

Simplify Nasdaq 100 PLUS Convexity ETF (QQC)

Simplify Nasdaq 100 PLUS Downside Convexity ETF (QQD)

Simplify Short Term Treasury Futures Strategy ETF (TUA)

Simplify Stable Income ETF (BUCK)

Simplify Tail Risk Strategy ETF (CYA)

Simplify US Equity PLUS Convexity ETF (SPYC)

Simplify US Equity PLUS Downside Convexity ETF (SPD)

Simplify US Equity PLUS GBTC ETF (SPBC)

Simplify US Equity PLUS Upside Convexity ETF (SPUC)

Simplify US Small Cap PLUS Downside Convexity ETF (RTYD)

Simplify Volt Cloud and Cybersecurity Disruption ETF (VCLO)

Simplify Volt RoboCar Disruption and Tech ETF (VCAR)

Simplify Bitcoin Strategy PLUS Income ETF (MAXI)

Simplify Macro Strategy ETF (FIG)

Simplify Managed Futures Strategy ETF (CTA)

Simplify Volatility Premium ETF (SVOL)

![](img_001.jpg)

**Simplify Exchange Traded Funds**

**Table of Contents**

---

| | |
|:---|:---|
| [Fees and Expenses](#a_001) | 1 |
| Schedule of Investments: |  |
| &nbsp;&nbsp;&nbsp;[Simplify Aggregate Bond PLUS Credit Hedge ETF](#a_002) | 3 |
| &nbsp;&nbsp;&nbsp;[Simplify Developed Ex-US PLUS Downside Convexity ETF](#a_003) | 10 |
| &nbsp;&nbsp;&nbsp;[Simplify Emerging Markets Equity PLUS Downside Convexity ETF](#a_004) | 11 |
| &nbsp;&nbsp;&nbsp;[Simplify Enhanced Income ETF](#a_005) | 12 |
| &nbsp;&nbsp;&nbsp;[Simplify Health Care ETF](#a_006) | 13 |
| &nbsp;&nbsp;&nbsp;[Simplify Hedged Equity ETF](#a_007) | 15 |
| &nbsp;&nbsp;&nbsp;[Simplify High Yield PLUS Credit Hedge ETF](#a_008) | 17 |
| &nbsp;&nbsp;&nbsp;[Simplify Interest Rate Hedge ETF](#a_009) | 24 |
| &nbsp;&nbsp;&nbsp;[Simplify Risk Parity Treasury ETF](#a_010) | 26 |
| &nbsp;&nbsp;&nbsp;[Simplify Nasdaq 100 PLUS Convexity ETF](#a_011) | 27 |
| &nbsp;&nbsp;&nbsp;[Simplify Nasdaq 100 PLUS Downside Convexity ETF](#a_012) | 28 |
| &nbsp;&nbsp;&nbsp;[Simplify Short Term Treasury Futures Strategy ETF](#a_013) | 29 |
| &nbsp;&nbsp;&nbsp;[Simplify Stable Income ETF](#a_014) | 30 |
| &nbsp;&nbsp;&nbsp;[Simplify Tail Risk Strategy ETF](#a_015) | 31 |
| &nbsp;&nbsp;&nbsp;[Simplify US Equity PLUS Convexity ETF](#a_016) | 33 |
| &nbsp;&nbsp;&nbsp;[Simplify US Equity PLUS Downside Convexity ETF](#a_017) | 35 |
| &nbsp;&nbsp;&nbsp;[Simplify US Equity PLUS GBTC ETF](#a_018) | 36 |
| &nbsp;&nbsp;&nbsp;[Simplify US Equity PLUS Upside Convexity ETF](#a_019) | 37 |
| &nbsp;&nbsp;&nbsp;[Simplify US Small Cap PLUS Downside Convexity ETF](#a_020) | 38 |
| &nbsp;&nbsp;&nbsp;[Simplify Volt Cloud and Cybersecurity Disruption ETF](#a_021) | 39 |
| &nbsp;&nbsp;&nbsp;[Simplify Volt RoboCar Disruption and Tech ETF](#a_022) | 42 |
| &nbsp;&nbsp;&nbsp;[Simplify Bitcoin Strategy Plus Income ETF](#a_023) | 45 |
| Consolidated Schedule of Investments: |  |
| &nbsp;&nbsp;&nbsp;[Simplify Macro Strategy ETF](#a_024) | 47 |
| &nbsp;&nbsp;&nbsp;[Simplify Managed Futures Strategy ETF](#a_025) | 50 |
| &nbsp;&nbsp;&nbsp;[Simplify Volatility Premium ETF](#a_026) | 52 |
| [Statements of Assets and Liabilities](#a_027) | 54 |
| [Consolidated Statements of Assets and Liabilities](#a_028) | 60 |
| [Statements of Operations](#a_029) | 61 |
| [Consolidated Statements of Operations](#a_030) | 67 |
| [Statements of Changes in Net Assets](#a_031) | 68 |
| [Consolidated Statements of Changes in Net Assets](#a_032) | 77 |
| [Statement of Cash Flows](#a_033) | 79 |
| [Statement of Cash Flows](#a_034) | 80 |
| [Financial Highlights](#a_035) | 81 |
| [Consolidated Financial Highlights](#a_036) | 92 |
| [Notes to Financial Statements](#a_037) | 94 |
| [Board Consideration in Approval of Investment Advisory](#a_038) | 116 |
| [Additional Information](#a_039) | 119 |

---

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

i

**Simplify Exchange Traded Funds**

**Fees and Expenses** (Unaudited)

As a shareholder of one or more of the Funds, you incur two types of costs: (1) transaction costs, including brokerage commissions paid on purchases and sales of fund shares, and (2) ongoing costs, including unitary advisory fees and other Fund expenses. In the most recent six-month period the Funds, except for Simplify Enhanced Income ETF, Simplify Health Care ETF, Simplify Hedged Equity ETF, Simplify Interest Rate Hedge ETF, Simplify Stable Income ETF, Simplify US Equity PLUS GBTC ETF, Simplify Volt Cloud and Cybersecurity Disruption ETF, Simplify Volt RoboCar Disruption and Tech ETF, Simplify Bitcoin Strategy PLUS Income ETF, Simplify Managed Futures Strategy ETF and Simplify Volatility Premium ETF, limited these expenses; had they not done so, expenses would have been higher. The expense examples below are intended to help you understand your ongoing costs (in dollars) of investing in the Funds and to compare these costs with the ongoing costs of investing in other funds.

The examples in the tables are based on an investment of $1,000 invested at the beginning of the period and held for the entire period (July 1, 2022, except otherwise noted below, to December 31, 2022).

**Actual expenses**

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

**Hypothetical example for comparison purposes**

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

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

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | **Beginning<br> Account Value<br> July 1,<br> 2022** | **Ending<br> Account Value<br> December 31,<br> 2022** | **Annualized<br> Expense Ratio** | **Expenses Paid<br> During the<br> Period Per<br> $1,000<sup>(1)</sup>** |
| **Simplify Aggregate Bond PLUS Credit Hedge ETF** |  |  |  |  |
| Actual | $1000.00 | $959.40 | 0.27% | $1.33 |
| Hypothetical (5% return before expenses) | $1000.00 | $1023.84 | 0.27% | $1.38 |
| **Simplify Developed Ex-US PLUS Downside Convexity ETF** |  |  |  |  |
| Actual | $1000.00 | $958.70 | 0.31% | $1.53 |
| Hypothetical (5% return before expenses) | $1000.00 | $1023.64 | 0.31% | $1.58 |
| **Simplify Emerging Markets Equity PLUS Downside Convexity ETF** |  |  |  |  |
| Actual | $1000.00 | $887.00 | 0.32% | $1.52 |
| Hypothetical (5% return before expenses) | $1000.00 | $1023.59 | 0.32% | $1.63 |
| **Simplify Enhanced Income ETF** |  |  |  |  |
| Actual | $1000.00 | $1007.30 | 0.89% | $1.59<sup>(2)</sup> |
| Hypothetical (5% return before expenses) | $1000.00 | $1020.72 | 0.89% | $4.53 |
| **Simplify Health Care ETF** |  |  |  |  |
| Actual | $1000.00 | $1085.00 | 0.50% | $2.63 |
| Hypothetical (5% return before expenses) | $1000.00 | $1022.68 | 0.50% | $2.55 |
| **Simplify Hedged Equity ETF** |  |  |  |  |
| Actual | $1000.00 | $1014.60 | 0.76% | $3.86 |
| Hypothetical (5% return before expenses) | $1000.00 | $1021.37 | 0.76% | $3.87 |
| **Simplify High Yield PLUS Credit Hedge ETF** |  |  |  |  |
| Actual | $1000.00 | $1019.20 | 0.27% | $1.37 |
| Hypothetical (5% return before expenses) | $1000.00 | $1023.84 | 0.27% | $1.38 |
| **Simplify Interest Rate Hedge ETF** |  |  |  |  |
| Actual | $1000.00 | $1268.20 | 0.50% | $2.86 |
| Hypothetical (5% return before expenses) | $1000.00 | $1022.68 | 0.50% | $2.55 |
| **Simplify Intermediate Term Treasury Futures Strategy ETF** |  |  |  |  |
| Actual | $1000.00 | $848.30 | 0.16% | $0.75 |
| Hypothetical (5% return before expenses) | $1000.00 | $1024.40 | 0.16% | $0.82 |
| **Simplify Nasdaq 100 PLUS Convexity ETF** |  |  |  |  |
| Actual | $1000.00 | $611.80 | 0.31% | $1.26 |
| Hypothetical (5% return before expenses) | $1000.00 | $1023.64 | 0.31% | $1.58 |

---

**Simplify Exchange Traded Funds**

**Fees and Expenses** (Unaudited) (Continued)

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | **Beginning<br> Account Value<br> July 1,<br> 2022** | **Ending<br> Account Value<br> December 31,<br> 2022** | **Annualized<br> Expense Ratio** | **Expenses Paid<br> During the<br> Period<br> Per $1,000<sup>(1)</sup>** |
| **Simplify Nasdaq 100 PLUS Downside Convexity ETF** |  |  |  |  |
| Actual | $1000.00 | $862.90 | 0.33% | $1.55 |
| Hypothetical (5% return before expenses) | $1000.00 | $1023.54 | 0.33% | $1.68 |
| **Simplify Short Term Treasury Futures Strategy ETF** |  |  |  |  |
| Actual | $1000.00 | $994.00 | 0.15% | $0.19<sup>(3)</sup> |
| Hypothetical (5% return before expenses) | $1000.00 | $1024.45 | 0.15% | $0.77 |
| **Simplify Stable Income ETF** |  |  |  |  |
| Actual | $1000.00 | $1007.70 | 0.42% | $0.75<sup>(2)</sup> |
| Hypothetical (5% return before expenses) | $1000.00 | $1023.09 | 0.42% | $2.14 |
| **Simplify Tail Risk Strategy ETF** |  |  |  |  |
| Actual | $1000.00 | $618.60 | 0.44% | $1.80 |
| Hypothetical (5% return before expenses) | $1000.00 | $1022.99 | 0.44% | $2.24 |
| **Simplify US Equity PLUS Convexity ETF** |  |  |  |  |
| Actual | $1000.00 | $746.10 | 0.32% | $1.41 |
| Hypothetical (5% return before expenses) | $1000.00 | $1023.59 | 0.32% | $1.63 |
| **Simplify US Equity PLUS Downside Convexity ETF** |  |  |  |  |
| Actual | $1000.00 | $923.00 | 0.41% | $1.99 |
| Hypothetical (5% return before expenses) | $1000.00 | $1023.14 | 0.41% | $2.09 |
| **Simplify US Equity PLUS GBTC ETF** |  |  |  |  |
| Actual | $1000.00 | $987.10 | 0.50% | $2.50 |
| Hypothetical (5% return before expenses) | $1000.00 | $1022.68 | 0.50% | $2.55 |
| **Simplify US Equity PLUS Upside Convexity ETF** |  |  |  |  |
| Actual | $1000.00 | $993.30 | 0.26% | $1.31 |
| Hypothetical (5% return before expenses) | $1000.00 | $1023.89 | 0.26% | $1.33 |
| **Simplify US Small Cap PLUS Downside Convexity ETF** |  |  |  |  |
| Actual | $1000.00 | $937.60 | 0.31% | $1.51 |
| Hypothetical (5% return before expenses) | $1000.00 | $1023.64 | 0.31% | $1.58 |
| **Simplify Volt Cloud and Cybersecurity Disruption ETF** |  |  |  |  |
| Actual | $1000.00 | $624.00 | 0.98% | $4.01 |
| Hypothetical (5% return before expenses) | $1000.00 | $1020.27 | 0.98% | $4.99 |
| **Simplify Volt RoboCar Disruption and Tech ETF** |  |  |  |  |
| Actual | $1000.00 | $659.20 | 1.02% | $4.27 |
| Hypothetical (5% return before expenses) | $1000.00 | $1020.06 | 1.02% | $5.19 |
| **Simplify Bitcoin Strategy PLUS Income ETF** |  |  |  |  |
| Actual | $1000.00 | $869.30 | 10.86% | $25.58<sup>(4)</sup> |
| Hypothetical (5% return before expenses) | $1000.00 | $970.46 | 10.86% | $53.94 |
| **Simplify Macro Strategy ETF** |  |  |  |  |
| Actual | $1000.00 | $1024.40 | 0.42% | $2.14 |
| Hypothetical (5% return before expenses) | $1000.00 | $1023.09 | 0.42% | $2.14 |
| **Simplify Managed Futures Strategy ETF** |  |  |  |  |
| Actual | $1000.00 | $1025.20 | 0.71% | $3.62 |
| Hypothetical (5% return before expenses) | $1000.00 | $1021.63 | 0.71% | $3.62 |
| **Simplify Volatility Premium ETF** |  |  |  |  |
| Actual | $1000.00 | $954.30 | 1.40% | $6.90 |
| Hypothetical (5% return before expenses) | $1000.00 | $1018.15 | 1.40% | $7.12 |

---

(1) Expenses
are equal to each Fund's annualized expense ratio, multiplied by the average account value over the period, multiplied by
184 (the number of days in the most recent six-month period), then divided by 365.

(2) Expenses are equal
 to each Fund's annualized expense ratio, multiplied by the average account value over the period, multiplied by 65 (the number of days in the period October 28, 2022 (commencement of operations) to December 31, 2022), then divided by 365.

(3) Expenses
 are equal to each Fund's annualized expense ratio, multiplied by the average account
 value over the period, multiplied by 47 (the number of days in
 the period November 15, 2022 (commencement of operations) to December 31, 2022), then divided by 365.

(4) Expenses
 are equal to each Fund's annualized expense ratio, multiplied by the average account
 value over the period, multiplied by 92 (the number of days in
 the period September 30, 2022 (commencement of operations) to December 31, 2022), then divided by 365.

**Simplify Aggregate Bond PLUS Credit Hedge ETF**

**Schedule of Investments**

December 31, 2022 (Unaudited)

---

| | | |
|:---|:---|:---|
|  | **Shares** | **Value** |
| **Exchange-Traded Funds – 92.9%** |  |  |
| iShares Core U.S. Aggregate Bond ETF<sup>(a)</sup> | 15730 | $1525653 |
| Simplify Interest Rate Hedge ETF<sup>(b)</sup> | 440 | 31508 |
| &nbsp;&nbsp;&nbsp;Total Exchange-Traded Funds (Cost $1,656,961) |  | 1557161 |
| Total Investments – 92.9% | Total Investments – 92.9% |  |
| &nbsp;&nbsp;&nbsp;(Cost $1,656,961) | &nbsp;&nbsp;&nbsp;(Cost $1,656,961) | $1557161 |
| Other Assets in Excess of Liabilities – 7.1% | Other Assets in Excess of Liabilities – 7.1% | 118988 |
| **Net Assets – 100.0%** |  | $**1676149** |

---

(a) A
copy of the security's annual report to shareholders may be obtained without charge at www.ishares.com.

(b) Affiliated
fund managed by Simplify Asset Management Inc.

At December 31, 2022, over the counter total return swap contracts outstanding were as follows:

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **Reference Obligation/Index** | **Termination<br> Date<sup>(a)</sup>** | **Financing<br> Rate Paid<br> (Received)<br> by the Fund** | **Counterparty** | **Notional<br> Amount** | **Unrealized<br> Appreciation/<br> (Depreciation)<sup>(b)</sup>** |
| Morgan Stanley Custom Junk Index\* | 2/15/2024 | 4.03 %<sup>(c)</sup> | &nbsp;&nbsp;&nbsp;Morgan Stanley Capital Services LLC | 179358 | $2145 |
| Morgan Stanley Custom Quality Index\* | 2/15/2024 | 4.73 %<sup>(c)</sup> | &nbsp;&nbsp;&nbsp;Morgan Stanley Capital Services LLC | (248365) | (2747) |
|  |  |  |  |  | $(602) |

---

\* The components of the basket shown below.

(a) The
Fund pays/receives annual coupon payments in accordance with the swap contract. On the termination date of the swap contract(s),
the Fund will either receive from or pay to the counterparty an amount equal to the net of the accrued financing fees and the
value of the reference security subtracted from the original notional cost (notional multiplied by the price change of the reference
security).

(b) There
are no upfront payments on the swap contracts, therefore the unrealized gain (loss) on the swap contracts is equal to their market
value.

(c) Payments
made quarterly.

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

---

| | | | |
|:---|:---|:---|:---|
|  | **Shares** | **Value** | **% of<br> basket** |
| **Common Stocks** |  |  |  |
| **Basic Materials** |  |  |  |
| Alcoa Corp. | (41) | $(1881) | 1.06% |
| Axalta Coating Systems Ltd. | (70) | (1785) | 1.01% |
| Chemours Co. (The) | (59) | (1816) | 1.02% |
| Cleveland-Cliffs, Inc. | (120) | (1926) | 1.08% |
| Sylvamo Corp. | (35) | (1723) | 0.97% |
| U.S. Steel Corp. | (76) | (1903) | 1.07% |
|  |  | (11034) |  |
| **Communications** |  |  |  |
| Altice USA, Inc., Class A | (471) | (2168) | 1.22% |
| AT&T, Inc. | (136) | (2512) | 1.41% |
| Cable One Inc. | (3) | (1786) | 1.00% |
| Charter Communications Inc, Class A | (6) | (2193) | 1.23% |
| Commscope Holding Co., Inc. | (150) | (1104) | 0.62% |
| Dish Network Corp., Class A | (122) | (1717) | 0.97% |

---

See Notes to Financial Statements.

**Simplify Aggregate Bond PLUS Credit Hedge ETF**

**Schedule of Investments** (Continued)

December 31, 2022 (Unaudited)

---

| | | | |
|:---|:---|:---|:---|
|  | **Shares** | **Value** | **% of<br> basket** |
| **Common Stocks (continued)** |  |  |  |
| **Communications (continued)** |  |  |  |
| Frontier Communications Parent | (74) | $(1893) | 1.06% |
| Lumen Technologies, Inc. | (336) | (1754) | 0.99% |
| Nexstar Media Group, Inc., Class A | (9) | (1636) | 0.92% |
| Telephone And Data Systems, Inc. | (128) | (1343) | 0.76% |
| Viasat, Inc. | (59) | (1863) | 1.05% |
| Warner Bros Discovery Inc. | (192) | (1823) | 1.03% |
|  |  | (21792) |  |
| **Consumer, Cyclical** |  |  |  |
| Alaska Air Group, Inc. | (42) | (1793) | 1.01% |
| American Airlines Group, Inc. | (142) | (1812) | 1.02% |
| Aramark | (11) | (445) | 0.25% |
| Bath & Body Works, Inc. | (20) | (856) | 0.48% |
| Caesars Entertainment, Inc. | (38) | (1599) | 0.90% |
| Carnival Corp. | (213) | (1721) | 0.97% |
| Core & Main, Inc., Class A | (23) | (443) | 0.25% |
| Delta Air Lines, Inc. | (57) | (1887) | 1.06% |
| Foot Locker Inc. | (50) | (1875) | 1.05% |
| Gap, Inc. (The) | (137) | (1546) | 0.87% |
| Hanesbrands, Inc. | (301) | (1916) | 1.08% |
| Jetblue Airways Corp. | (266) | (1724) | 0.97% |
| Kohl's Corp. | (67) | (1703) | 0.96% |
| Macy's Inc. | (86) | (1766) | 0.99% |
| Nordstrom, Inc. | (107) | (1727) | 0.97% |
| Norwegian Cruise Line Holdings Ltd. | (108) | (1327) | 0.75% |
| Penn National Gaming, Inc. | (55) | (1621) | 0.91% |
| Petco Health & Wellness Co., Inc., Class A | (178) | (1690) | 0.95% |
| PVH Corp. | (25) | (1796) | 1.01% |
| Qurate Retail, Inc., Series A | (616) | (1004) | 0.56% |
| RH | (7) | (1741) | 0.98% |
| Royal Caribbean Cruises Ltd. | (32) | (1596) | 0.90% |
| Scotts Miracle-Gro Co/The | (37) | (1776) | 1.00% |
| Six Flags Entertainment Corp. | (82) | (1900) | 1.07% |
| Southwest Airlines Co. | (45) | (1522) | 0.86% |
| Travel + Leisure Co. | (46) | (1665) | 0.94% |
| United Airlines Holdings, Inc. | (48) | (1826) | 1.03% |
| Victoria's Secret & Co. | (45) | (1611) | 0.91% |
| Walgreens Boots Alliance, Inc. | (48) | (1787) | 1.00% |
| WESCO International Inc. | (14) | (1757) | 0.99% |
|  |  | (47432) |  |
| **Consumer, Non-cyclical** |  |  |  |
| Avis Budget Group Inc. | (10) | (1589) | 0.89% |
| Clarivate PLC | (205) | (1706) | 0.96% |
| Coty, Inc., Class A | (227) | (1941) | 1.09% |
| DaVita, Inc. | (25) | (1860) | 1.05% |
| Elanco Animal Health Inc. | (147) | (1796) | 1.01% |
| Exact Sciences Corp. | (40) | (1993) | 1.12% |
| Guardant Health, Inc. | (44) | (1184) | 0.67% |
| Herbalife Nutrition Ltd. | (79) | (1176) | 0.66% |
| Jazz Pharmaceuticals PLC | (7) | (1131) | 0.64% |

---

See Notes to Financial Statements.

**Simplify Aggregate Bond PLUS Credit Hedge ETF**

**Schedule of Investments** (Continued)

December 31, 2022 (Unaudited)

---

| | | | |
|:---|:---|:---|:---|
|  | **Shares** | **Value** | **% of<br> basket** |
| **Common Stocks (continued)** |  |  |  |
| **Consumer, Non-cyclical (continued)** |  |  |  |
| Mednax, Inc. | (96) | $(1432) | 0.81% |
| Nektar Therapeutics, Class A | (490) | (1106) | 0.62% |
| Organon & Co. | (65) | (1811) | 1.02% |
| Perrigo Co. PLC | (42) | (1444) | 0.81% |
| Post Holdings, Inc. | (19) | (1719) | 0.97% |
| Sabre Corp. | (251) | (1551) | 0.87% |
| Shift4 Payments, Inc., Class A | (34) | (1880) | 1.06% |
| Sotera Health Co. | (106) | (884) | 0.50% |
| Stoneco Ltd., Class A | (156) | (1472) | 0.83% |
| Syneos Health Inc. | (52) | (1913) | 1.08% |
| Tenet Healthcare Corp. | (40) | (1969) | 1.11% |
| TreeHouse Foods, Inc. | (36) | (1782) | 1.00% |
| US Foods Holding Corp. | (51) | (1731) | 0.97% |
| Viatris, Inc. | (168) | (1867) | 1.05% |
|  |  | (36937) |  |
| **Energy** |  |  |  |
| Apa Corp. | (42) | (1943) | 1.09% |
| Cheniere Energy, Inc. | (10) | (1479) | 0.83% |
| Equities Corp. | (38) | (1285) | 0.72% |
| Kosmos Energy Ltd. | (268) | (1704) | 0.96% |
| Nov, Inc. | (83) | (1740) | 0.98% |
| Occidental Petroleum Corp. | (29) | (1848) | 1.04% |
| Ovintiv Inc. | (32) | (1615) | 0.91% |
| PBF Energy, Inc., Class A | (37) | (1519) | 0.86% |
| Southwestern Energy Co. | (283) | (1654) | 0.93% |
| Sunrun, Inc. | (57) | (1377) | 0.77% |
| Valero Energy Corp. | (16) | (1988) | 1.12% |
|  |  | (18152) |  |
| **Financial** |  |  |  |
| Air Lease Corp., Class A | (48) | (1828) | 1.03% |
| **Industrial** |  |  |  |
| Berry Global Group, Inc. | (30) | (1807) | 1.02% |
| Coherent Corp. | (52) | (1813) | 1.02% |
| Enovis Corp. | (27) | (1425) | 0.80% |
| FedEx Corp. | (9) | (1620) | 0.91% |
| Fluor Corp. | (35) | (1222) | 0.69% |
| Gates Industrial Corp. PLC | (94) | (1076) | 0.60% |
| General Electric Co. | (29) | (2423) | 1.36% |
| O-I Glass, Inc., Class I | (104) | (1729) | 0.97% |
| Ryder System, Inc. | (21) | (1771) | 1.00% |
| Silgan Holdings, Inc. | (20) | (1023) | 0.58% |
| Spirit Aerosystems Holdings, Inc., Class A | (64) | (1885) | 1.06% |
| TD Synnex Corp. | (10) | (972) | 0.55% |
| Vertiv Holdings Co., Class A | (136) | (1851) | 1.04% |
| Westrock Co. | (52) | (1813) | 1.02% |
| XPO Logistics, Inc. | (49) | (1638) | 0.92% |
|  |  | (24068) |  |

---

See Notes to Financial Statements.

**Simplify Aggregate Bond PLUS Credit Hedge ETF**

**Schedule of Investments** (Continued)

December 31, 2022 (Unaudited)

---

| | | | |
|:---|:---|:---|:---|
|  | **Shares** | **Value** | **% of<br> basket** |
| **Common Stocks (continued)** |  |  |  |
| **Technology** |  |  |  |
| Coupa Software, Inc. | (23) | $(1808) | 1.02% |
| Dell Technologies, Inc., Class C | (41) | (1656) | 0.93% |
| Dxc Technology Co. | (68) | (1795) | 1.01% |
| Everbridge, Inc. | (50) | (1476) | 0.83% |
| Fastly, Inc., Class A | (182) | (1490) | 0.84% |
| MKS Instruments Inc. | (22) | (1868) | 1.05% |
| NCR Corp. | (78) | (1817) | 1.02% |
| RingCentral Inc, Class A | (44) | (1548) | 0.87% |
| Western Digital Corp. | (42) | (1322) | 0.75% |
| Xerox Holdings Corp. | (116) | (1693) | 0.95% |
|  |  | (16473) |  |
| &nbsp;&nbsp;&nbsp;**Total** |  | $(177716) | 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<br> basket** |
| **Common Stocks** |  |  |  |
| **Basic Materials** |  |  |  |
| Ecolab, Inc. | 17 | $2490 | 1.01% |
| International Flavors & Fragrances, Inc. | 24 | 2519 | 1.02% |
| Sherwin-Williams Co/The | 10 | 2417 | 0.98% |
|  |  | 7426 |  |
| **Communications** |  |  |  |
| Interpublic Group of Cos Inc/T | 76 | 2539 | 1.03% |
| Meta Platforms, Inc., Class A | 21 | 2576 | 1.04% |
| Omnicom Group, Inc. | 32 | 2587 | 1.05% |
| Sirius XM Holdings, Inc. | 416 | 2432 | 0.99% |
|  |  | 10134 |  |
| **Consumer, Cyclical** |  |  |  |
| Autozone, Inc. | 1 | 2600 | 1.06% |
| Cintas Corp. | 6 | 2526 | 1.03% |
| Copart Inc. | 41 | 2500 | 1.01% |
| Domino's Pizza, Inc. | 7 | 2413 | 0.98% |
| Home Depot, Inc. (The) | 8 | 2397 | 0.97% |
| LKQ Corp. | 47 | 2493 | 1.01% |
| Lululemon Athletica Inc. | 8 | 2449 | 0.99% |
| Marriott International, Inc., Class A | 16 | 2382 | 0.97% |
| O'reilly Automotive, Inc. | 3 | 2600 | 1.06% |
| Pool Corp. | 8 | 2349 | 0.95% |
| Tempur Sealy International, Inc. | 73 | 2511 | 1.02% |
| Thor Industries, Inc. | 31 | 2302 | 0.93% |
| Wyndham Hotels & Resorts, Inc. | 35 | 2484 | 1.01% |
| Yum! Brands, Inc. | 19 | 2441 | 0.99% |
|  |  | 34447 |  |
| **Consumer, Non-cyclical** |  |  |  |
| Anthem, Inc. | 5 | 2506 | 1.02% |
| Automatic Data Processing, Inc. | 10 | 2387 | 0.97% |
| Avery Dennison Corp. | 14 | 2482 | 1.01% |
| Centene Corp. | 31 | 2539 | 1.03% |

---

See Notes to Financial Statements.

**Simplify Aggregate Bond PLUS Credit Hedge ETF**

**Schedule of Investments** (Continued)

December 31, 2022 (Unaudited)

---

| | | | |
|:---|:---|:---|:---|
|  | **Shares** | **Value** | **% of<br> basket** |
| **Common Stocks (continued)** |  |  |  |
| **Consumer, Non-cyclical (continued)** |  |  |  |
| Chemed Corp. | 5 | $2519 | 1.02% |
| Cigna Corp. | 8 | 2486 | 1.01% |
| Colgate-Palmolive Co. | 32 | 2515 | 1.02% |
| CVS Health Corp. | 25 | 2374 | 0.96% |
| Danaher Corp. | 9 | 2444 | 0.99% |
| FleetCor Technologies Inc. | 14 | 2502 | 1.02% |
| General Mills Inc. | 29 | 2398 | 0.97% |
| Global Payments, Inc. | 26 | 2601 | 1.06% |
| Grand Canyon Education, Inc. | 24 | 2485 | 1.01% |
| Hershey Co. (The) | 11 | 2459 | 1.00% |
| Johnson & Johnson | 14 | 2475 | 1.00% |
| Kraft Heinz Co. (The) | 62 | 2541 | 1.03% |
| Mondelez International Inc, Class A | 37 | 2496 | 1.01% |
| Moody's Corp. | 9 | 2415 | 0.98% |
| Procter & Gamble Co. (The) | 16 | 2494 | 1.01% |
| Regeneron Pharmaceuticals, Inc. | 3 | 2453 | 1.00% |
| ResMed, Inc. | 12 | 2407 | 0.98% |
| Rollins, Inc. | 67 | 2443 | 0.99% |
| Stryker Corp. | 10 | 2481 | 1.01% |
| Thermo Fisher Scientific, Inc. | 4 | 2472 | 1.00% |
| UnitedHealth Group, Inc. | 5 | 2498 | 1.01% |
| Verisk Analytics, Inc., Class A | 14 | 2484 | 1.01% |
|  |  | 64356 |  |
| **Energy** |  |  |  |
| Antero Midstream Corp. | 232 | 2503 | 1.02% |
| DT Midstream Inc. | 44 | 2415 | 0.98% |
| Oneok, Inc. | 38 | 2525 | 1.03% |
| Texas Pacific Land Corp. | 1 | 2202 | 0.89% |
|  |  | 9645 |  |
| **Financial** |  |  |  |
| Arthur J Gallagher & Co. | 13 | 2492 | 1.01% |
| BlackRock Inc, Class A | 4 | 2524 | 1.02% |
| Brown & Brown, Inc. | 44 | 2504 | 1.02% |
| Cboe Global Markets, Inc. | 20 | 2513 | 1.02% |
| CME Group Inc, Class A | 14 | 2424 | 0.98% |
| Digital Realty Trust, Inc. | 24 | 2391 | 0.97% |
| EastGroup Properties Inc. | 16 | 2426 | 0.99% |
| Extra Space Storage Inc. | 16 | 2352 | 0.96% |
| Intercontinental Exchange, Inc. | 24 | 2495 | 1.01% |
| Life Storage Inc. | 24 | 2336 | 0.95% |
| National Storage Affiliates Trust | 65 | 2365 | 0.96% |
| OMEGA Healthcare Investors, Inc. | 85 | 2374 | 0.96% |
| ProLogis, Inc. | 21 | 2363 | 0.96% |
|  |  | 31559 |  |
| **Industrial** |  |  |  |
| Allegion PLC | 24 | 2476 | 1.01% |
| AMETEK Inc. | 18 | 2513 | 1.02% |
| Amphenol Corp., Class A | 32 | 2422 | 0.98% |
| Ball Corp. | 48 | 2462 | 1.00% |
| CH Robinson Worldwide, Inc. | 26 | 2402 | 0.98% |

---

See Notes to Financial Statements.

**Simplify Aggregate Bond PLUS Credit Hedge ETF**

**Schedule of Investments** (Continued)

December 31, 2022 (Unaudited)

---

| | | | |
|:---|:---|:---|:---|
|  | **Shares** | **Value** | **% of<br> basket** |
| **Common Stocks (continued)** |  |  |  |
| **Industrial (continued)** |  |  |  |
| Crown Holdings Inc. | 31 | $2574 | 1.04% |
| Dover Corp. | 18 | 2500 | 1.02% |
| Esab Corp. | 53 | 2485 | 1.01% |
| Fortune Brands Home & Security, Inc. | 43 | 2464 | 1.00% |
| Mettler-Toledo International, Inc. | 2 | 2534 | 1.03% |
| Middleby Corp. (The) | 18 | 2474 | 1.00% |
| Nordson Corp. | 10 | 2444 | 0.99% |
| Pentair PLC | 56 | 2513 | 1.02% |
| Stanley Black & Decker, Inc. | 32 | 2392 | 0.97% |
| Trex Co Inc. | 55 | 2336 | 0.95% |
| Trimble Inc. | 48 | 2424 | 0.98% |
|  |  | 39415 |  |
| **Technology** |  |  |  |
| Accenture PLC, Class A | 9 | 2360 | 0.96% |
| Black Knight, Inc. | 42 | 2573 | 1.04% |
| Broadridge Financial Solutions, Inc. | 18 | 2471 | 1.00% |
| CACI International, Inc., Class A | 8 | 2488 | 1.01% |
| CCC Intelligent Solutions Hold | 283 | 2461 | 1.00% |
| Cognizant Technology Solutions Corp., Class A | 44 | 2523 | 1.02% |
| Fidelity National Information Services, Inc. | 36 | 2417 | 0.98% |
| Fiserv, Inc. | 25 | 2552 | 1.04% |
| International Business Machine | 17 | 2461 | 1.00% |
| Intuit, Inc. | 6 | 2441 | 0.99% |
| KLA Corp. | 6 | 2437 | 0.99% |
| Paychex, Inc. | 21 | 2454 | 1.00% |
| Texas Instruments, Inc. | 15 | 2416 | 0.98% |
| Tyler Technologies Inc. | 8 | 2483 | 1.01% |
| Zebra Technologies Corp., Class A | 10 | 2540 | 1.03% |
|  |  | 37077 |  |
| **Utilities** |  |  |  |
| AES Corp/The | 87 | 2491 | 1.01% |
| Alliant Energy Corp. | 45 | 2478 | 1.01% |
| DTE Energy Co. | 21 | 2453 | 1.00% |
| Edison International | 37 | 2371 | 0.96% |
| Public Service Enterprise Group, Inc. | 41 | 2525 | 1.02% |
|  |  | 12318 |  |
| &nbsp;&nbsp;&nbsp;**Total** |  | $246377 | 100.00% |

---

See Notes to Financial Statements.

**Simplify Aggregate Bond PLUS Credit Hedge ETF**

**Schedule of Investments** (Continued)

December 31, 2022 (Unaudited)

**Affiliates**

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

---

| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Affiliate** | **Value at beginning of the period** | **Purchases Cost** | **Sales Proceeds** | **Net Realized Gain/(Loss)** | **Net Change in Unrealized** | **Value at the end of the period** | **Number of Shares at the end of the period** | **Dividend Income** | **Capital Gain Distributions** |
| Simplify Interest Rate Hedge ETF | $32075 | $115610 | $(133531) | $14047 | $3307 | $31508 | 440 | $255 | $- |

---

**Summary of Investment Type**

---

| | |
|:---|:---|
| **Industry** | **% of<br> Net Assets** |
| Exchange-Traded Funds | 92.9% |
| Total Investments | 92.9% |
| Other Assets in Excess of Liabilities | 7.1% |
| **Net Assets** | **100.0%** |

---

See Notes to Financial Statements.

**Simplify Developed Ex-US PLUS Downside Convexity ETF**

**Schedule of Investments**

December 31, 2022 (Unaudited)

---

| | | |
|:---|:---|:---|
|  | **Shares** | **Value** |
| **Exchange-Traded Funds – 99.7%** |  |  |
| iShares Core MSCI EAFE ETF<sup>(a)(b)</sup> |  |  |
| &nbsp;&nbsp;&nbsp;(Cost $24,767,988) | 357240 | $22020274 |

---

---

| | | | |
|:---|:---|:---|:---|
|  | **Number of <br> Contracts** | **Notional<br> Amount** | |
| **Purchased Options – 0.2%** |  |  |  |
| **Puts – Exchange-Traded – 0.2%** |  |  |  |
| S&P 500 Index, January Strike Price $3,620, Expires 1/20/23 | 27 | $9774000 | 38205 |
| Total Purchased Options (Cost $41,434) |  |  | 38205 |

---

---

| | | |
|:---|:---|:---|
|  | **Shares** | |
| **Money Market Funds – 0.0%<sup>†</sup>** |  |  |
| Fidelity Investments Money Market Treasury Only Portfolio - Class I, 3.89%<sup>(c)</sup> |  |  |
| &nbsp;&nbsp;&nbsp;(Cost $88) | 88 | 88 |
| Total Investments – 99.9% |  |  |
| &nbsp;&nbsp;&nbsp;(Cost $24,809,510) |  | $22058567 |
| Other Assets in Excess of Liabilities – 0.1% |  | 15086 |
| **Net Assets – 100.0%** |  | $**22073653** |

---

† Less
 than 0.05%

(a) A
 copy of the security's annual report to shareholders may be obtained without charge
 at www.ishares.com.

(b) Securities
 with an aggregate market value of $12,330,000 have been pledged as collateral for options
 as of December 31, 2022.

(c) Rate
 shown reflects the 7-day yield as of December 31, 2022.

**Summary of Investment Type**

---

| | | |
|:---|:---|:---|
| **Industry** | **% of <br> Net** Assets** |  |
| Exchange-Traded Funds | 99.7 | % |
| Purchased Options | 0.2 | % |
| Money Market Funds | 0.0 | %<sup>†</sup> |
| Total Investments | 99.9 | % |
| Other Assets in Excess of Liabilities | 0.1 | % |
| **Net Assets** | **100.0** | **%** |

---

See Notes to Financial Statements.

**Simplify Emerging Markets Equity PLUS Downside Convexity ETF**

**Schedule of Investments**

December 31, 2022 (Unaudited)

---

| | | |
|:---|:---|:---|
|  | **Shares** | **Value** |
| **Exchange-Traded Funds – 99.9%** |  |  |
| iShares Core MSCI Emerging Markets ETF<sup>(a)(b)</sup> |  |  |
| &nbsp;&nbsp;&nbsp;(Cost $5,754,924) | 102564 | $4789739 |

---

---

| | | | |
|:---|:---|:---|:---|
|  | **Number of**<br> **Contracts** | **Notional<br> Amount** | |
| **Purchased Options – 0.1%** |  | | |
| **Puts – Exchange-Traded – 0.1%** |  |  |  |
| S&P 500 Index, January Strike Price $3,620, Expires 1/20/23 | 5 | $1810000 | 7075 |
| Total Purchased Options (Cost $7,654) |  |  | 7075 |

---

---

| | | |
|:---|:---|:---|
|  | **Shares** | |
| **Money Market Funds – 0.0%<sup>†</sup>** |  |  |
| Fidelity Investments Money Market Treasury Only Portfolio - Class I, 3.89%<sup>(c)</sup> |  |  |
| &nbsp;&nbsp;&nbsp;(Cost $1,089) | 1089 | 1089 |
| Total Investments – 100.0% |  |  |
| &nbsp;&nbsp;&nbsp;(Cost $5,763,667) |  | $4797903 |
| Liabilities in Excess of Other Assets – (0.0)%<sup>†</sup> |  | (1421) |
| **Net Assets – 100.0%** |  | $**4796482** |

---

† Less
 than 0.05%

(a) A
 copy of the security's annual report to shareholders may be obtained without charge
 at www.ishares.com.

(b) Securities
 with an aggregate market value of $4,763,400 have been pledged as collateral for options
 as of December 31, 2022.

(c) Rate
 shown reflects the 7-day yield as of December 31, 2022.

**Summary of Investment Type**

---

| | | |
|:---|:---|:---|
| **Industry** | **% of <br> Net Assets** |  |
| Exchange-Traded Funds | 99.9 | % |
| Purchased Options | 0.1 | % |
| Money Market Funds | 0.0 | %<sup>†</sup> |
| Total Investments | 100.0 | % |
| Liabilities in Excess of Other Assets | (0.0 |)%<sup>†</sup> |
| **Net Assets** | **100.0** | **%** |

---

See Notes to Financial Statements.

**Simplify Enhanced Income ETF**

**Schedule of Investments**

December 31, 2022 (Unaudited)

---

| | | |
|:---|:---|:---|
|  | **Principal** | **Value** |
| **U.S. Treasury Bills – 99.5%** |  |  |
| U.S. Treasury Bill, 4.13%, 2/2/2023<sup>(a)</sup> | $1720000 | $1714550 |
| U.S. Treasury Bill, 4.10%, 2/23/2023<sup>(a)</sup> | 780000 | 775311 |
| &nbsp;&nbsp;&nbsp;Total U.S. Treasury Bills (Cost $2,489,212) |  | 2489861 |

---

---

| | | | |
|:---|:---|:---|:---|
|  | **Number of**<br> **Contracts** | **Notional<br> Amount** | |
| **Purchased Options – 0.0%<sup>†</sup>** |  |  |  |
| **Puts – Exchange-Traded – 0.0%<sup>†</sup>** |  |  |  |
| S&P 500 Index, January Strike Price $3,250, Expires 1/13/23 | 9 | 2925000 | 743 |
| Total Purchased Options (Cost $772) |  |  | 743 |
| Total Investments – 99.5% |  |  |  |
| &nbsp;&nbsp;&nbsp;(Cost $2,489,984) |  |  | $2490604 |
| Other Assets in Excess of Liabilities – 0.5% |  |  | 12130 |
| **Net Assets – 100.0%** |  |  | $**2502734** |

---

---

| | | | |
|:---|:---|:---|:---|
|  | **Number of**<br> **Contracts** | **Notional<br> Amount** | |
| **Written Option – (0.4)%** |  |  |  |
| **Puts – Exchange-Traded – (0.4)%** |  |  |  |
| S&P 500 Index, January Strike Price $3,650, Expires 1/13/23 (Premiums Received $13,222) | (9) | (3285000) | $(10395) |

---

† Less
 than 0.05%

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

**Summary of Investment Type**

---

| | | |
|:---|:---|:---|
| **Industry** | **% of <br> Net Assets** |  |
| U.S. Treasury Bills | 99.5 | % |
| Purchased Options | 0.0 | %<sup>†</sup> |
| Total Investments | 99.5 | % |
| Other Assets in Excess of Liabilities | 0.5 | % |
| **Net Assets** | **100.0** | **%** |

---

See Notes to Financial Statements.

**Simplify Health Care ETF**

**Schedule of Investments**

December 31, 2022 (Unaudited)

---

| | | |
|:---|:---|:---|
|  | **Shares** | **Value** |
| **Common Stocks – 95.2%** | | |
| **Consumer, Non-cyclical – 93.8%** |  |  |
| Abbott Laboratories | 10894 | $1196052 |
| AbbVie, Inc. | 5753 | 929742 |
| Align Technology, Inc.\* | 192 | 40493 |
| Alnylam Pharmaceuticals, Inc.\* | 1392 | 330809 |
| Amgen, Inc. | 1309 | 343796 |
| AtriCure, Inc.\* | 11388 | 505399 |
| Baxter International, Inc. | 30522 | 1555706 |
| Becton Dickinson and Co. | 3393 | 862840 |
| Biogen, Inc.\* | 5836 | 1616105 |
| Bio-Techne Corp. | 4524 | 374949 |
| Boston Scientific Corp.\* | 11546 | 534233 |
| Centene Corp.\* | 27753 | 2276024 |
| Cigna Corp. | 8851 | 2932690 |
| Cooper Cos., Inc. (The) | 1676 | 554203 |
| Cutera, Inc.\* | 60788 | 2688045 |
| CVS Health Corp. | 9042 | 842624 |
| Danaher Corp. | 630 | 167215 |
| Dexcom, Inc.\* | 21574 | 2443040 |
| Edwards Lifesciences Corp.\* | 849 | 63344 |
| Elevance Health, Inc. | 4437 | 2276048 |
| Eli Lilly & Co. | 7652 | 2799408 |
| Embecta Corp. | 687 | 17374 |
| Establishment Labs Holdings, Inc.\* | 35528 | 2332413 |
| Gilead Sciences, Inc. | 4262 | 365893 |
| HCA Healthcare, Inc. | 703 | 168692 |
| Henry Schein, Inc.\* | 1740 | 138974 |
| Humana, Inc. | 1635 | 837431 |
| IDEXX Laboratories, Inc.\* | 107 | 43652 |
| Illumina, Inc.\* | 430 | 86946 |
| Insulet Corp.\* | 873 | 257003 |
| Intuitive Surgical, Inc.\* | 7897 | 2095469 |
| IQVIA Holdings, Inc.\* | 2871 | 588239 |
| Johnson & Johnson | 15673 | 2768635 |
| Laboratory Corp. of America Holdings | 3459 | 814525 |
| Lantheus Holdings, Inc.\* | 2159 | 110023 |
| LivaNova PLC\* | 4252 | 236156 |
| McKesson Corp. | 6114 | 2293484 |
| Medtronic PLC | 7332 | 569843 |
| PerkinElmer, Inc. | 783 | 109792 |
| Pfizer, Inc. | 1307 | 66971 |
| QuidelOrtho Corp.\* | 3830 | 328116 |
| Regeneron Pharmaceuticals, Inc.\* | 3935 | 2839063 |
| ResMed, Inc. | 9669 | 2012409 |
| Seagen, Inc.\* | 1566 | 201247 |
| Shockwave Medical, Inc.\* | 2075 | 426641 |
| STERIS PLC | 696 | 128544 |
| Stryker Corp. | 2622 | 641053 |
| Tenet Healthcare Corp.\* | 10379 | 506391 |
| Thermo Fisher Scientific, Inc. | 2247 | 1237400 |

---

See Notes to Financial Statements.

**Simplify Health Care ETF**

**Schedule of Investments** (Continued)

December 31, 2022 (Unaudited)

---

| | | |
|:---|:---|:---|
|  | **Shares** | **Value** |
| **Common Stocks (continued)** | | |
| **Consumer, Non-cyclical (continued)** |  |  |
| United Therapeutics Corp.\* | 1308 | $363742 |
| UnitedHealth Group, Inc. | 7997 | 4239849 |
| Vertex Pharmaceuticals, Inc.\* | 698 | 201568 |
| ViewRay, Inc.\* | 274752 | 1230889 |
| Waters Corp.\* | 1566 | 536480 |
| Zoetis, Inc. | 1411 | 206782 |
|  |  | 54334454 |
| **Industrial – 1.1%** |  |  |
| Agilent Technologies, Inc. | 3567 | 533802 |
| Mettler-Toledo International, Inc.\* | 87 | 125754 |
|  |  | 659556 |
| **Technology – 0.3%** |  |  |
| Veeva Systems, Inc., Class A\* | 957 | 154441 |
| &nbsp;&nbsp;&nbsp;Total Common Stocks (Cost $56,905,861) |  | 55148451 |
| **Money Market Funds – 4.8%** |  |  |
| Fidelity Investments Money Market Treasury Only Portfolio - Class I, 3.89%<sup>(a)</sup> |  |  |
| &nbsp;&nbsp;&nbsp;(Cost $2,753,477) | 2753477 | 2753477 |
| Total Investments – 100.0% |  |  |
| &nbsp;&nbsp;&nbsp;(Cost $59,659,338) |  | $57901928 |
| Other Assets in Excess of Liabilities – 0.0%<sup>†</sup> |  | 816 |
| **Net Assets – 100.0%** |  | $**57902744** |

---

---

| | |
|:---|:---|
| \* | Non Income Producing |
| † | Less than 0.05% |
| (a) | Rate shown reflects the 7-day yield as of December 31, 2022. |

---

**Summary of Investment Type**

---

| | | |
|:---|:---|:---|
| **Industry** | **% of<br> Net Assets** |  |
| Common Stocks | 95.2 | % |
| Money Market Funds | 4.8 | % |
| Total Investments | 100.0 | % |
| Other Assets in Excess of Liabilities | 0.0 | %<sup>†</sup> |
| **Net Assets** | **100.0** | **%** |

---

See Notes to Financial Statements.

**Simplify Hedged Equity ETF**

**Schedule of Investments**

December 31, 2022 (Unaudited)

---

| | | |
|:---|:---|:---|
|  | **Shares** | **Value** |
| **Exchange-Traded Funds – 99.3%** |  |  |
| iShares Core S&P 500 ETF<sup>(a)(b)</sup> |  |  |
| &nbsp;&nbsp;&nbsp;(Cost $93,313,047) | 229987 | $88363305 |

---

---

| | | | |
|:---|:---|:---|:---|
|  | **Number of**<br> **Contracts** | **Notional<br> Amount** | |
| **Purchased Options – 1.6%** |  |  |  |
| **Puts – Exchange-Traded – 1.6%** |  |  |  |
| S&P 500 Index, January Strike Price $3,485, Expires 1/20/23 | 80 | $27880000 | 38400 |
| S&P 500 Index, February Strike Price $3,730, Expires 2/17/23 | 80 | 29840000 | 576000 |
| S&P 500 Index, March Strike Price $3,710, Expires 3/17/23 | 81 | 30051000 | 772740 |
|  |  |  | 1387140 |
| Total Purchased Options (Cost $2,297,746) |  |  | 1387140 |

---

---

| | | |
|:---|:---|:---|
|  | **Shares** | |
| **Money Market Funds – 0.2%** |  |  |
| Fidelity Investments Money Market Treasury Only Portfolio - Class I, 3.89%<sup>(c)</sup> |  |  |
| &nbsp;&nbsp;&nbsp;(Cost $202,978) | 202978 | 202978 |
| Total Investments – 101.1% |  |  |
| &nbsp;&nbsp;&nbsp;(Cost $95,813,771) |  | $89953423 |
| Liabilities in Excess of Other Assets – (1.1)% |  | (997922) |
| **Net Assets – 100.0%** |  | $**88955501** |

---

---

| | | | |
|:---|:---|:---|:---|
|  | **Number of <br> Contracts** | **Notional <br> Amount** | |
| **Written Options – (1.0)%** |  |  |  |
| **Calls – Exchange-Traded – (0.9)%** |  |  |  |
| S&P 500 Index, January Strike Price $3,930, Expires 1/20/23 | (80) | $(31440000) | $(310000) |
| S&P 500 Index, February Strike Price $4,175, Expires 2/17/23 | (80) | (33400000) | (122000) |
| S&P 500 Index, March Strike Price $4,130, Expires 3/17/23 | (81) | (33453000) | (364095) |
|  |  |  | (796095) |
| **Puts – Exchange-Traded – (0.1)%** |  |  |  |
| S&P 500 Index, January Strike Price $2,925, Expires 1/20/23 | (80) | (23400000) | (3000) |
| S&P 500 Index, February Strike Price $3,140, Expires 2/17/23 | (80) | (25120000) | (36000) |
| S&P 500 Index, March Strike Price $3,120, Expires 3/17/23 | (81) | (25272000) | (86265) |
|  |  |  | (125265) |
| Total Written Options (Premiums Received $2,596,452) |  |  | $(921360) |

---

(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 $76,842,000 have been pledged as collateral for options
 as of December 31, 2022.

(c) Rate
 shown reflects the 7-day yield as of December 31, 2022.

See Notes to Financial Statements.

**Simplify Hedged Equity ETF**

**Schedule of Investments** (Continued)

December 31, 2022 (Unaudited)

**Summary of Investment Type**

---

| | |
|:---|:---|
| **Industry** | **% of Net<br> **Assets** |
| Exchange-Traded Funds | 99.3% |
| Purchased Options | 1.6% |
| Money Market Funds | 0.2% |
| Total Investments | 101.1% |
| Liabilities in Excess of Other Assets | (1.1)% |
| **Net Assets** | **100.0%** |

---

See Notes to Financial Statements.

**Simplify High Yield PLUS Credit Hedge ETF**

**Schedule of Investments**

December 31, 2022 (Unaudited)

---

| | | |
|:---|:---|:---|
|  | **Principal** | **Value** |
| **U.S. Treasury Bills – 89.9%** | | |
| U.S. Treasury Bill, 3.09%, 1/5/2023<sup>(a)(b)</sup> | $6400000 | $6398709 |
| U.S. Treasury Bill, 3.54%, 2/2/2023<sup>(a)(b)</sup> | 3000000 | 2990494 |
| U.S. Treasury Bill, 3.67%, 2/23/2023<sup>(a)(b)</sup> | 26340000 | 26181668 |
| &nbsp;&nbsp;&nbsp;Total U.S. Treasury Bills (Cost $35,573,113) |  | 35570871 |

---

---

| | | | |
|:---|:---|:---|:---|
|  | **Number of<br> Contracts** | **Notional <br> Amount** | |
| **Purchased Options – 0.0%<sup>†</sup>** |  |  |  |
| **Puts – Exchange-Traded – 0.0%<sup>†</sup>** |  |  |  |
| S&P 500 Index, January Strike Price $3,620, Expires 1/20/23 | 4 | 1448000 | 5660 |
| Total Purchased Options (Cost $6,124) |  |  | 5660 |
| Total Investments – 89.9% |  |  |  |
| &nbsp;&nbsp;&nbsp;(Cost $35,579,237) |  |  | $35576531 |
| Other Assets in Excess of Liabilities – 10.1% |  |  | 4014463 |
| **Net Assets – 100.0%** |  |  | $**39590994** |

---

† Less
 than 0.05%

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

(b) Securities
 with an aggregate market value of $28,076,034 have been pledged as collateral for options
 as of December 31, 2022.

At December 31, 2022, over the counter total return swap contracts outstanding were as follows:

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **Reference Obligation/Index** | **Termination** **<br> Date<sup>(a)</sup>** | **Financing <br> Rate Paid <br> (Received)**<br> **by the Fund** | **Counterparty** | **Notional** **<br> Amount** | **Unrealized** **<br> Appreciation/<br> (Depreciation)<sup>(b)</sup>** |
| iShares iBoxx $ High Yield Corporate Bond ETF | 3/24/2023 | 4.48 %<sup>(c)</sup> | Morgan Stanley Capital Services LLC | (40769042) | $(831335) |
| Morgan Stanley Custom Junk Index\* | 2/15/2024 | 4.03 %<sup>(c)</sup> | Morgan Stanley Capital Services LLC | 9201478 | (110063) |
| Morgan Stanley Custom Quality Index\* | 2/15/2024 | 4.73 %<sup>(c)</sup> | Morgan Stanley Capital Services LLC | (12406446) | (137250) |
|  |  |  |  |  | $(1078648) |

---

\* 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.**

See Notes to Financial Statements.

**Simplify High Yield PLUS Credit Hedge ETF**

**Schedule of Investments** (Continued)

December 31, 2022 (Unaudited)

---

| | | | |
|:---|:---|:---|:---|
|  | **Shares** | **Value** | **% of<br> basket** |
| **Common Stocks** |  |  |  |
| **Basic Materials** |  |  |  |
| Alcoa Corp. | (2122) | $(96503) | 1.06% |
| Axalta Coating Systems Ltd. | (3596) | (91580) | 1.01% |
| Chemours Co. (The) | (3042) | (93154) | 1.02% |
| Cleveland-Cliffs, Inc. | (6133) | (98805) | 1.08% |
| Sylvamo Corp. | (1819) | (88408) | 0.97% |
| U.S. Steel Corp. | (3897) | (97614) | 1.07% |
|  |  | (566064) |  |
| **Communications** |  |  |  |
| Altice USA, Inc., Class A | (24178) | (111221) | 1.22% |
| AT&T, Inc. | (6999) | (128854) | 1.41% |
| Cable One Inc. | (129) | (91650) | 1.00% |
| Charter Communications Inc, Class A | (332) | (112507) | 1.23% |
| Commscope Holding Co., Inc. | (7710) | (56665) | 0.62% |
| Dish Network Corp., Class A | (6274) | (88081) | 0.97% |
| Frontier Communications Parent | (3811) | (97112) | 1.06% |
| Lumen Technologies, Inc. | (17237) | (89975) | 0.99% |
| Nexstar Media Group, Inc., Class A | (480) | (83933) | 0.92% |
| Telephone And Data Systems, Inc. | (6568) | (68899) | 0.76% |
| Viasat, Inc. | (3019) | (95562) | 1.05% |
| Warner Bros Discovery Inc. | (9868) | (93549) | 1.03% |
|  |  | (1118008) |  |
| **Consumer, Cyclical** |  |  |  |
| Alaska Air Group, Inc. | (2142) | (91993) | 1.01% |
| American Airlines Group, Inc. | (7309) | (92970) | 1.02% |
| Aramark | (552) | (22815) | 0.25% |
| Bath & Body Works, Inc. | (1042) | (43897) | 0.48% |
| Caesars Entertainment, Inc. | (1972) | (82022) | 0.90% |
| Carnival Corp. | (10952) | (88275) | 0.97% |
| Core & Main, Inc., Class A | (1177) | (22731) | 0.25% |
| Delta Air Lines, Inc. | (2946) | (96807) | 1.06% |
| Foot Locker Inc. | (2546) | (96198) | 1.05% |
| Gap, Inc. (The) | (7032) | (79322) | 0.87% |
| Hanesbrands, Inc. | (15456) | (98302) | 1.08% |
| Jetblue Airways Corp. | (13647) | (88435) | 0.97% |
| Kohl's Corp. | (3461) | (87379) | 0.96% |
| Macy's Inc. | (4387) | (90584) | 0.99% |
| Nordstrom, Inc. | (5490) | (88606) | 0.97% |
| Norwegian Cruise Line Holdings Ltd. | (5563) | (68086) | 0.75% |
| Penn National Gaming, Inc. | (2801) | (83185) | 0.91% |
| Petco Health & Wellness Co., Inc., Class A | (9148) | (86722) | 0.95% |
| PVH Corp. | (1305) | (92120) | 1.01% |
| Qurate Retail, Inc., Series A | (31609) | (51523) | 0.56% |
| RH | (334) | (89311) | 0.98% |
| Royal Caribbean Cruises Ltd. | (1657) | (81890) | 0.90% |
| Scotts Miracle-Gro Co/The | (1875) | (91126) | 1.00% |
| Six Flags Entertainment Corp. | (4192) | (97474) | 1.07% |
| Southwest Airlines Co. | (2319) | (78093) | 0.86% |
| Travel + Leisure Co. | (2346) | (85400) | 0.94% |
| United Airlines Holdings, Inc. | (2485) | (93676) | 1.03% |

---

See Notes to Financial Statements.

**Simplify High Yield PLUS Credit Hedge ETF**

**Schedule of Investments** (Continued)

December 31, 2022 (Unaudited)

---

| | | | |
|:---|:---|:---|:---|
|  | **Shares** | **Value** | **% of<br> basket** |
| **Common Stocks (continued)** |  |  |  |
| **Consumer, Cyclical (continued)** |  |  |  |
| Victoria's Secret & Co. | (2310) | $(82649) | 0.91% |
| Walgreens Boots Alliance, Inc. | (2453) | (91651) | 1.00% |
| WESCO International Inc. | (720) | (90145) | 0.99% |
|  |  | (2433387) |  |
| **Consumer, Non-cyclical** |  |  |  |
| Avis Budget Group Inc. | (497) | (81531) | 0.89% |
| Clarivate PLC | (10492) | (87503) | 0.96% |
| Coty, Inc., Class A | (11631) | (99564) | 1.09% |
| DaVita, Inc. | (1278) | (95406) | 1.05% |
| Elanco Animal Health Inc. | (7538) | (92120) | 1.01% |
| Exact Sciences Corp. | (2065) | (102238) | 1.12% |
| Guardant Health, Inc. | (2233) | (60728) | 0.67% |
| Herbalife Nutrition Ltd. | (4054) | (60328) | 0.66% |
| Jazz Pharmaceuticals PLC | (364) | (58014) | 0.64% |
| Mednax, Inc. | (4945) | (73486) | 0.81% |
| Nektar Therapeutics, Class A | (25120) | (56771) | 0.62% |
| Organon & Co. | (3327) | (92911) | 1.02% |
| Perrigo Co. PLC | (2174) | (74110) | 0.81% |
| Post Holdings, Inc. | (977) | (88185) | 0.97% |
| Sabre Corp. | (12875) | (79566) | 0.87% |
| Shift4 Payments, Inc., Class A | (1725) | (96462) | 1.06% |
| Sotera Health Co. | (5448) | (45381) | 0.50% |
| Stoneco Ltd., Class A | (7997) | (75496) | 0.83% |
| Syneos Health Inc. | (2676) | (98140) | 1.08% |
| Tenet Healthcare Corp. | (2070) | (101000) | 1.11% |
| TreeHouse Foods, Inc. | (1852) | (91434) | 1.00% |
| US Foods Holding Corp. | (2610) | (88805) | 0.97% |
| Viatris, Inc. | (8606) | (95783) | 1.05% |
|  |  | (1894962) |  |
| **Energy** |  |  |  |
| Apa Corp. | (2135) | (99681) | 1.09% |
| Cheniere Energy, Inc. | (506) | (75893) | 0.83% |
| Equities Corp. | (1948) | (65901) | 0.72% |
| Kosmos Energy Ltd. | (13742) | (87399) | 0.96% |
| Nov, Inc. | (4274) | (89286) | 0.98% |
| Occidental Petroleum Corp. | (1505) | (94804) | 1.04% |
| Ovintiv Inc. | (1634) | (82857) | 0.91% |
| PBF Energy, Inc., Class A | (1911) | (77924) | 0.86% |
| Southwestern Energy Co. | (14507) | (84866) | 0.93% |
| Sunrun, Inc. | (2940) | (70626) | 0.77% |
| Valero Energy Corp. | (804) | (101987) | 1.12% |
|  |  | (931224) |  |
| **Financial** |  |  |  |
| Air Lease Corp., Class A | (2442) | (93804) | 1.03% |
| **Industrial** |  |  |  |
| Berry Global Group, Inc. | (1534) | (92718) | 1.02% |
| Coherent Corp. | (2650) | (93021) | 1.02% |
| Enovis Corp. | (1366) | (73106) | 0.80% |
| FedEx Corp. | (480) | (83128) | 0.91% |
| Fluor Corp. | (1809) | (62699) | 0.69% |

---

See Notes to Financial Statements.

**Simplify High Yield PLUS Credit Hedge ETF**

**Schedule of Investments** (Continued)

December 31, 2022 (Unaudited)

---

| | | | |
|:---|:---|:---|:---|
|  | **Shares** | **Value** | **% of<br> basket** |
| **Common Stocks (continued)** | | | |
| **Industrial (continued)** |  |  |  |
| Gates Industrial Corp. PLC | (4837) | $(55185) | 0.60% |
| General Electric Co. | (1483) | (124290) | 1.36% |
| O-I Glass, Inc., Class I | (5355) | (88731) | 0.97% |
| Ryder System, Inc. | (1087) | (90848) | 1.00% |
| Silgan Holdings, Inc. | (1012) | (52470) | 0.58% |
| Spirit Aerosystems Holdings, Inc., Class A | (3267) | (96693) | 1.06% |
| TD Synnex Corp. | (526) | (49853) | 0.55% |
| Vertiv Holdings Co., Class A | (6952) | (94970) | 1.04% |
| Westrock Co. | (2645) | (93011) | 1.02% |
| XPO Logistics, Inc. | (2524) | (84018) | 0.92% |
|  |  | (1234741) |  |
| **Technology** |  |  |  |
| Coupa Software, Inc. | (1172) | (92776) | 1.02% |
| Dell Technologies, Inc., Class C | (2112) | (84961) | 0.93% |
| Dxc Technology Co. | (3475) | (92090) | 1.01% |
| Everbridge, Inc. | (2560) | (75726) | 0.83% |
| Fastly, Inc., Class A | (9332) | (76427) | 0.84% |
| MKS Instruments Inc. | (1131) | (95829) | 1.05% |
| NCR Corp. | (3981) | (93195) | 1.02% |
| RingCentral Inc, Class A | (2244) | (79434) | 0.87% |
| Western Digital Corp. | (2150) | (67837) | 0.75% |
| Xerox Holdings Corp. | (5947) | (86827) | 0.95% |
|  |  | (845102) |  |
| &nbsp;&nbsp;&nbsp;**Total** |  | $(9117292) | 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<br> basket** |
| **Common Stocks** | | | |
| **Basic Materials** |  |  |  |
| Ecolab, Inc. | 855 | $124389 | 1.01% |
| International Flavors & Fragrances, Inc. | 1200 | 125822 | 1.02% |
| Sherwin-Williams Co/The | 509 | 120712 | 0.98% |
|  |  | 370923 |  |
| **Communications** |  |  |  |
| Interpublic Group of Cos Inc/T | 3808 | 126829 | 1.03% |
| Meta Platforms, Inc., Class A | 1069 | 128682 | 1.04% |
| Omnicom Group, Inc. | 1584 | 129223 | 1.05% |
| Sirius XM Holdings, Inc. | 20804 | 121497 | 0.99% |
|  |  | 506231 |  |
| **Consumer, Cyclical** |  |  |  |
| Autozone, Inc. | 53 | 129872 | 1.06% |
| Cintas Corp. | 279 | 126188 | 1.03% |
| Copart Inc. | 2051 | 124858 | 1.01% |
| Domino's Pizza, Inc. | 348 | 120517 | 0.98% |
| Home Depot, Inc. (The) | 379 | 119751 | 0.97% |
| LKQ Corp. | 2332 | 124528 | 1.01% |
| Lululemon Athletica Inc. | 382 | 122357 | 0.99% |
| Marriott International, Inc., Class A | 799 | 118991 | 0.97% |

---

See Notes to Financial Statements.

**Simplify High Yield PLUS Credit Hedge ETF**

**Schedule of Investments** (Continued)

December 31, 2022 (Unaudited)

---

| | | | |
|:---|:---|:---|:---|
|  | **Shares** | **Value** | **% of<br> basket** |
| **Common Stocks (continued)** | | | |
| **Consumer, Cyclical (continued)** |  |  |  |
| O'reilly Automotive, Inc. | 154 | $129868 | 1.06% |
| Pool Corp. | 388 | 117328 | 0.95% |
| Tempur Sealy International, Inc. | 3654 | 125444 | 1.02% |
| Thor Industries, Inc. | 1523 | 115000 | 0.93% |
| Wyndham Hotels & Resorts, Inc. | 1740 | 124080 | 1.01% |
| Yum! Brands, Inc. | 952 | 121945 | 0.99% |
|  |  | 1720727 |  |
| **Consumer, Non-cyclical** |  |  |  |
| Anthem, Inc. | 244 | 125175 | 1.02% |
| Automatic Data Processing, Inc. | 499 | 119244 | 0.97% |
| Avery Dennison Corp. | 685 | 123982 | 1.01% |
| Centene Corp. | 1547 | 126831 | 1.03% |
| Chemed Corp. | 247 | 125838 | 1.02% |
| Cigna Corp. | 375 | 124160 | 1.01% |
| Colgate-Palmolive Co. | 1595 | 125653 | 1.02% |
| CVS Health Corp. | 1273 | 118590 | 0.96% |
| Danaher Corp. | 460 | 122059 | 0.99% |
| FleetCor Technologies Inc. | 680 | 124957 | 1.02% |
| General Mills Inc. | 1428 | 119773 | 0.97% |
| Global Payments, Inc. | 1308 | 129945 | 1.06% |
| Grand Canyon Education, Inc. | 1175 | 124131 | 1.01% |
| Hershey Co. (The) | 530 | 122838 | 1.00% |
| Johnson & Johnson | 700 | 123614 | 1.00% |
| Kraft Heinz Co. (The) | 3118 | 126946 | 1.03% |
| Mondelez International Inc, Class A | 1871 | 124688 | 1.01% |
| Moody's Corp. | 433 | 120634 | 0.98% |
| Procter & Gamble Co. (The) | 822 | 124571 | 1.01% |
| Regeneron Pharmaceuticals, Inc. | 170 | 122540 | 1.00% |
| ResMed, Inc. | 578 | 120210 | 0.98% |
| Rollins, Inc. | 3340 | 122031 | 0.99% |
| Stryker Corp. | 507 | 123943 | 1.01% |
| Thermo Fisher Scientific, Inc. | 224 | 123506 | 1.00% |
| UnitedHealth Group, Inc. | 235 | 124790 | 1.01% |
| Verisk Analytics, Inc., Class A | 703 | 124075 | 1.01% |
|  |  | 3214724 |  |
| **Energy** |  |  |  |
| Antero Midstream Corp. | 11586 | 125013 | 1.02% |
| DT Midstream Inc. | 2184 | 120664 | 0.98% |
| Oneok, Inc. | 1920 | 126160 | 1.03% |
| Texas Pacific Land Corp. | 47 | 109979 | 0.89% |
|  |  | 481816 |  |
| **Financial** |  |  |  |
| Arthur J Gallagher & Co. | 660 | 124492 | 1.01% |
| BlackRock Inc, Class A | 178 | 126061 | 1.02% |
| Brown & Brown, Inc. | 2195 | 125058 | 1.02% |
| Cboe Global Markets, Inc. | 1001 | 125532 | 1.02% |
| CME Group Inc, Class A | 720 | 121098 | 0.98% |
| Digital Realty Trust, Inc. | 1191 | 119426 | 0.97% |
| EastGroup Properties Inc. | 818 | 121181 | 0.99% |
| Extra Space Storage Inc. | 798 | 117465 | 0.96% |

---

See Notes to Financial Statements.

**Simplify High Yield PLUS Credit Hedge ETF**

**Schedule of Investments** (Continued)

December 31, 2022 (Unaudited)

---

| | | | |
|:---|:---|:---|:---|
|  | **Shares** | **Value** | **% of<br> basket** |
| **Common Stocks (continued)** | | | |
| **Financial (continued)** |  |  |  |
| Intercontinental Exchange, Inc. | 1215 | $124651 | 1.01% |
| Life Storage Inc. | 1184 | 116668 | 0.95% |
| National Storage Affiliates Trust | 3271 | 118150 | 0.96% |
| OMEGA Healthcare Investors, Inc. | 4243 | 118600 | 0.96% |
| ProLogis, Inc. | 1047 | 118064 | 0.96% |
|  |  | 1576446 |  |
| **Industrial** |  |  |  |
| Allegion PLC | 1175 | 123673 | 1.01% |
| AMETEK Inc. | 898 | 125522 | 1.02% |
| Amphenol Corp., Class A | 1589 | 121007 | 0.98% |
| Ball Corp. | 2405 | 122975 | 1.00% |
| CH Robinson Worldwide, Inc. | 1311 | 120007 | 0.98% |
| Crown Holdings Inc. | 1564 | 128565 | 1.04% |
| Dover Corp. | 922 | 124875 | 1.02% |
| Esab Corp. | 2646 | 124148 | 1.01% |
| Fortune Brands Home & Security, Inc. | 2156 | 123102 | 1.00% |
| Mettler-Toledo International, Inc. | 88 | 126599 | 1.03% |
| Middleby Corp. (The) | 923 | 123565 | 1.00% |
| Nordson Corp. | 514 | 122086 | 0.99% |
| Pentair PLC | 2790 | 125513 | 1.02% |
| Stanley Black & Decker, Inc. | 1591 | 119508 | 0.97% |
| Trex Co Inc. | 2756 | 116677 | 0.95% |
| Trimble Inc. | 2394 | 121065 | 0.98% |
|  |  | 1968887 |  |
| **Technology** |  |  |  |
| Accenture PLC, Class A | 442 | 117893 | 0.96% |
| Black Knight, Inc. | 2081 | 128531 | 1.04% |
| Broadridge Financial Solutions, Inc. | 920 | 123438 | 1.00% |
| CACI International, Inc., Class A | 413 | 124259 | 1.01% |
| CCC Intelligent Solutions Hold | 14130 | 122930 | 1.00% |
| Cognizant Technology Solutions Corp., Class A | 2204 | 126053 | 1.02% |
| Fidelity National Information Services, Inc. | 1780 | 120749 | 0.98% |
| Fiserv, Inc. | 1261 | 127481 | 1.04% |
| International Business Machine | 872 | 122919 | 1.00% |
| Intuit, Inc. | 313 | 121912 | 0.99% |
| KLA Corp. | 323 | 121709 | 0.99% |
| Paychex, Inc. | 1061 | 122589 | 1.00% |
| Texas Instruments, Inc. | 731 | 120702 | 0.98% |
| Tyler Technologies Inc. | 385 | 124044 | 1.01% |
| Zebra Technologies Corp., Class A | 495 | 126858 | 1.03% |
|  |  | 1852067 |  |
| **Utilities** |  |  |  |
| AES Corp/The | 4326 | 124418 | 1.01% |
| Alliant Energy Corp. | 2242 | 123798 | 1.01% |
| DTE Energy Co. | 1043 | 122554 | 1.00% |
| Edison International | 1861 | 118413 | 0.96% |
| Public Service Enterprise Group, Inc. | 2058 | 126115 | 1.02% |
|  |  | 615298 |  |
| &nbsp;&nbsp;&nbsp;**Total** |  | $12307119 | 100.00% |

---

See Notes to Financial Statements.

**Simplify High Yield PLUS Credit Hedge ETF**

**Schedule of Investments** (Continued)

December 31, 2022 (Unaudited)

**Summary of Investment Type**

---

| | | |
|:---|:---|:---|
| **Industry** | **% of <br> Net Assets** |  |
| U.S. Treasury Bills | 89.9 | % |
| Purchased Options | 0.0 | %<sup>†</sup> |
| Total Investments | 89.9 | % |
| Other Assets in Excess of Liabilities | 10.1 | % |
| **Net Assets** | **100.0** | **%** |

---

See Notes to Financial Statements.

**Simplify Interest Rate Hedge ETF**

**Schedule of Investments**

December 31, 2022 (Unaudited)

---

| | | |
|:---|:---|:---|
|  | **Principal** | **Value** |
| **U.S. Government Obligations – 41.6%** |  |  |
| U.S. Treasury Note, 4.25%, 10/15/2025 |  |  |
| &nbsp;&nbsp;&nbsp;(Cost $160,131,025) | $161250000 | $161275195 |
| **U.S. Treasury Bills – 21.8%** |  |  |
| U.S. Treasury Bill, 3.54%, 2/2/2023<sup>(a)</sup> |  |  |
| &nbsp;&nbsp;&nbsp;(Cost $84,698,778) | $85000000 | 84730668 |

---

---

| | | |
|:---|:---|:---|
|  | **Notional<br> Amount** | |
| **Purchased Swaptions – 32.2%** |  | |
| **Puts – Over the Counter – 32.2%** |  |  |
| 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)<sup>(b)</sup> | 310000000 | 9343508 |
| Interest Rate Swaption, pay semi annually a fixed rate of 4.25% and received quarterly a floating rate of 3-month LIBOR, Expires 5/11/28 (counterparty: Bank of America NA) | 760000000 | 31134848 |
| 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)<sup>(b)</sup> | 20000000 | (224607) |
| 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: Barclays) | 340000000 | 6765330 |
| Interest Rate Swaption, pay semi annually a fixed rate of 4.25% and received quarterly a floating rate of 3-month LIBOR, Expires 5/12/28 (counterparty: Goldman Sachs International) | 930000000 | 36907564 |
| Interest Rate Swaption, pay semi annually a fixed rate of 4.50% and received quarterly a floating rate of 1-Year-SOFR, Expires 5/11/29 (counterparty: Goldman Sachs International) | 370000000 | (4934126) |
| 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)<sup>(b)</sup> | 920000000 | 20490095 |
| Interest Rate Swaption, pay semi annually a fixed rate of 4.25% and received quarterly a floating rate of 3-month LIBOR, Expires 5/11/28 (counterparty: Morgan Stanley Capital Services LLC)<sup>(b)</sup> | 650000000 | 25231573 |
|  |  | 124714185 |
| Total Purchased Swaptions (Cost $0) |  | 124714185 |
| Total Investments – 95.6% |  |  |
| &nbsp;&nbsp;&nbsp;(Cost $244,829,803) |  | $370720048 |
| Other Assets in Excess of Liabilities – 4.4% |  | 16989771 |
| **Net Assets – 100.0%** |  | $**387709819** |

---

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

(b) U.S. Treasury Note with a market value of $78,638,270 has been
pledged as collateral by the broker for purchased swaptions as of December 31, 2022.

See Notes to Financial Statements.

**Simplify Interest Rate Hedge ETF**

**Schedule of Investments** (Continued)

December 31, 2022 (Unaudited)

**At December 31, 2022, interest rate swap contracts outstanding were as follows:**

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **<br> Rate Paid by<br> Fund** | **<br> Rate Received<br> by the Fund** | **Payment<br> Frequency Paid/<br> received** | **<br> Counterparty** | **<br> Maturity<br> Date** | **<br> Notional<br> Amount** | **<br> Fair Value** | **Upfront<br> Premium Paid/<br> (Received)** | **Unrealized<br> Appreciation/<br> (depreciation)** |
| 2.11% | 1 day SOFR | Annual/Annual | Morgan Stanley Capital Services LLC | May 15, 2048 | 10000 | $1258 | $0 | $1258 |

---

**Summary of Investment Type**

---

| | |
|:---|:---|
| **Industry** | **% of<br> Net Assets** |
| U.S. Government Obligations | 41.6% |
| Purchased Swaptions | 32.2% |
| U.S. Treasury Bills | 21.8% |
| Total Investments | 95.6% |
| Other Assets in Excess of Liabilities | 4.4% |
| **Net Assets** | **100.0%** |

---

See Notes to Financial Statements.

**Simplify Intermediate Term Treasury Futures Strategy ETF**

**Schedule of Investments**

December 31, 2022 (Unaudited)

---

| | | |
|:---|:---|:---|
|  | **Principal** | **Value** |
| **U.S. Treasury Bills – 100.2%** |  |  |
| U.S. Treasury Bill, 2.97%, 1/5/2023<sup>(a)</sup> | $22590000 | $22585444 |
| U.S. Treasury Bill, 3.79%, 2/23/2023<sup>(a)</sup> | 12280000 | 12206184 |
| &nbsp;&nbsp;&nbsp;Total U.S. Treasury Bills (Cost $34,792,574) |  | 34791628 |

---

---

| | | |
|:---|:---|:---|
|  | **Shares** | |
| **Money Market Funds – 2.8%** | | |
| Fidelity Investments Money Market Treasury Only Portfolio - Class I, 3.89%<sup>(b)</sup> |  |  |
| &nbsp;&nbsp;&nbsp;(Cost $956,871) | 956871 | 956871 |
| Total Investments – 103.0% |  |  |
| &nbsp;&nbsp;&nbsp;(Cost $35,749,445) |  | $35748499 |
| Liabilities in Excess of Other Assets – (3.0)% |  | (1038618) |
| **Net Assets – 100.0%** |  | $**34709881** |

---

<sup>(a)</sup> Represents a zero coupon bond. Rate shown reflects the effective yield.

<sup>(b)</sup> Rate shown reflects the 7-day yield as of December 31, 2022.

**At December 31, 2022, open futures contracts were as follows:**

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | <br>**Number of**<br>**Contracts** |<br>**Notional**<br>**Value** | <br>**Expiration**<br>**Date** | **Value/**<br>**Unrealized**<br>**Appreciation**<br>**(Depreciation)** |
| **Long position contracts:** |  |  |  |  |
| U.S. Treasury 10 Year Note | 1001 | $112409172 | 3/22/23 | $(766594) |

---

**Summary of Investment Type**

---

| | |
|:---|:---|
| <br>**Industry** | **% of**<br>**Net** Assets** |
| U.S. Treasury Bills | 100.2% |
| Money Market Funds | 2.8% |
| Total Investments | 103.0% |
| Liabilities in Excess of Other Assets | (3.0)% |
| **Net Assets** | **100.0%** |

---

See Notes to Financial Statements.

**Simplify Nasdaq 100 PLUS Convexity ETF**

**Schedule of Investments**

December 31, 2022 (Unaudited)

---

| | | |
|:---|:---|:---|
|  | **Shares** | **Value** |
| **Exchange-Traded Funds – 99.8%** |  |  |
| Invesco QQQ Trust Series 1<sup>(a)(b)</sup> |  |  |
| &nbsp;&nbsp;&nbsp;(Cost $5,274,605) | 13382 | $3563359 |

---

---

| | | | |
|:---|:---|:---|:---|
|  | **Number of<br> Contracts** | **Notional<br> Amount** | |
| **Purchased Options – 0.1%** |  | | |
| **Puts – Exchange-Traded – 0.1%** |  |  |  |
| S&P 500 Index, January Strike Price $3,620, Expires 1/20/23 | 2 | $724000 | 2830 |
| Total Purchased Options (Cost $3,062) |  |  | 2830 |
| Total Investments – 99.9% |  |  |  |
| &nbsp;&nbsp;&nbsp;(Cost $5,277,667) |  |  | $3566189 |
| Other Assets in Excess of Liabilities – 0.1% |  |  | 5188 |
| **Net Assets – 100.0%** |  |  | $**3571377** |

---

(a) A copy of the security's annual report to shareholders
may be obtained without charge at www.invesco.com.

(b) Securities with an aggregate market value of $1,997,100 have
been pledged as collateral for options as of December 31, 2022.

**Summary of Investment Type**

---

| | |
|:---|:---|
| <br>**Industry** | **% of**<br>**Net** Assets** |
| Exchange-Traded Funds | 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.

**Simplify Nasdaq 100 PLUS Downside Convexity ETF**

**Schedule of Investments**

December 31, 2022 (Unaudited)

---

| | | |
|:---|:---|:---|
|  | **Shares** | **Value** |
| **Exchange-Traded Funds – 99.8%** |  |  |
| Invesco QQQ Trust Series 1<sup>(a)(b)</sup> |  |  |
| &nbsp;&nbsp;&nbsp;(Cost $9,085,685) | 23648 | $6296989 |

---

---

| | | | |
|:---|:---|:---|:---|
|  | **Number of<br> Contracts** | **Notional<br> Amount** | |
| **Purchased Options – 0.1%** |  | | |
| **Puts – Exchange-Traded – 0.1%** |  |  |  |
| S&P 500 Index, January Strike Price $3,620, Expires 1/20/23 | 7 | $2534000 | 9905 |
| Total Purchased Options (Cost $10,716) |  |  | 9905 |
| Total Investments – 99.9% |  |  |  |
| &nbsp;&nbsp;&nbsp;(Cost $9,096,401) |  |  | $6306894 |
| Other Assets in Excess of Liabilities – 0.1% |  |  | 3991 |
| **Net Assets – 100.0%** |  |  | $**6310885** |

---

(a) A copy of the security's annual report to shareholders
may be obtained without charge at www.invesco.com.

(b) Securities with an aggregate market value of $5,325,600 have
been pledged as collateral for options as of December 31, 2022.

**Summary of Investment Type**

---

| | |
|:---|:---|
| <br>**Industry** | **% of**<br>**Net Assets** |
| Exchange-Traded Funds | 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.

**Simplify Short Term Treasury Futures Strategy ETF**

**Schedule of Investments**

December 31, 2022 (Unaudited)

---

| | | |
|:---|:---|:---|
|  | **Principal** | **Value** |
| **U.S. Treasury Bills – 97.2%** |  |  |
| U.S. Treasury Bill, 3.83%, 1/5/2023<sup>(a)</sup> | $18925000 | $18921183 |
| U.S. Treasury Bill, 4.08%, 2/23/2023<sup>(a)</sup> | 30200000 | 30018465 |
| U.S. Treasury Bill, 4.61%, 6/8/2023<sup>(a)</sup> | 11000000 | 10785262 |
| &nbsp;&nbsp;&nbsp;Total U.S. Treasury Bills (Cost $59,722,804) |  | 59724910 |
| Total Investments – 97.2% |  |  |
| &nbsp;&nbsp;&nbsp;(Cost $59,722,804) |  | $59724910 |
| Other Assets in Excess of Liabilities – 2.8% |  | 1690240 |
| **Net Assets – 100.0%** |  | $**61415150** |

---

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

**At December 31, 2022, open futures contracts were as follows:**

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | <br>**Number of**<br>**Contracts** |<br>**Notional**<br>**Value** | <br>**Expiration**<br>**Date** | **Value/**<br>**Unrealized**<br>**Appreciation**<br>**(Depreciation)** |
| **Long position contracts:** |  |  |  |  |
| U.S. 2 Years Note (CBT) | 1485 | $304541018 | 3/31/23 | $(572702) |

---

**Summary of Investment Type**

---

| | |
|:---|:---|
| <br>**Industry** | **% of**<br>**Net Assets** |
| U.S. Treasury Bills | 97.2% |
| Total Investments | 97.2% |
| Other Assets in Excess of Liabilities | 2.8% |
| **Net Assets** | **100.0%** |

---

See Notes to Financial Statements.

**Simplify Stable Income ETF**

**Schedule of Investments**

December 31, 2022 (Unaudited)

---

| | | |
|:---|:---|:---|
|  | **Principal** | **Value** |
| **U.S. Treasury Bills – 99.0%** |  |  |
| U.S. Treasury Bill, 3.83%, 1/5/2023<sup>(a)</sup> | $630000 | $629873 |
| U.S. Treasury Bill, 4.13%, 2/2/2023<sup>(a)</sup> | 1700000 | 1694614 |
| U.S. Treasury Bill, 4.19%, 2/23/2023<sup>(a)</sup> | 780000 | 775311 |
| &nbsp;&nbsp;&nbsp;Total U.S. Treasury Bills (Cost $3,098,943) |  | 3099798 |

---

---

| | | | |
|:---|:---|:---|:---|
|  | **Number of<br> Contracts** | **Notional<br> Amount** | |
| **Purchased Options – 0.0%<sup>†</sup>** |  | | |
| **Puts – Exchange-Traded – 0.0%<sup>†</sup>** |  |  |  |
| S&P 500 Index, January Strike Price $3,250, Expires 1/13/23 | 2 | 650000 | 165 |
| Total Purchased Options (Cost $172) |  |  | 165 |
| Total Investments – 99.0% |  |  |  |
| &nbsp;&nbsp;&nbsp;(Cost $3,099,115) |  |  | $3099963 |
| Other Assets in Excess of Liabilities – 1.0% |  |  | 30714 |
| **Net Assets – 100.0%** |  |  | $**3130677** |

---

---

| | | | |
|:---|:---|:---|:---|
|  | **Number of**<br> **Contracts** | **Notional Amount** |  |
| **Written Option – (0.1)%** |  | |  |
| **Puts – Exchange-Traded – (0.1)%** |  |  |  |
| S&P 500 Index, January Strike Price $3,650, Expires 1/13/23 (Premiums Received $2,918) | (2) | (730000) | $(2310) |

---

---

| | |
|:---|:---|
| <sup>†</sup> | Less than 0.05% |

---

<sup>(a)</sup> Represents a zero coupon bond. Rate shown reflects the effective yield.

**Summary of Investment Type**

---

| | | |
|:---|:---|:---|
| <br>**Industry** | **% of**<br>**Net Assets** |  |
| U.S. Treasury Bills | 99 | % |
| Purchased Options | 0 | %<sup>†</sup> |
| Total Investments | 99 | % |
| Other Assets in Excess of Liabilities | 1 | % |
| **Net Assets** | **100.0** | **%** |

---

See Notes to Financial Statements.

**Simplify Tail Risk Strategy ETF**

**Schedule of Investments**

December 31, 2022 (Unaudited)

---

| | | |
|:---|:---|:---|
|  | **Shares** | **Value** |
| **Exchange-Traded Funds – 98.9%** |  |  |
| Simplify Aggregate Bond Plus Credit Hedge ETF<sup>(a)(b)</sup> | 14215 | $318132 |
| Simplify Enhanced Income ETF<sup>(a)(b)</sup> | 20452 | 511551 |
| Simplify High Yield PLUS Credit Hedge ETF<sup>(a)(b)(c)</sup> | 289001 | 6178841 |
| Simplify Interest Rate Hedge ETF<sup>(a)(b)</sup> | 45461 | 3255462 |
| Simplify Intermediate Term Treasury ETF<sup>(a)(b)</sup> | 301459 | 4568641 |
| Simplify Short Term Treasury Futures Strategy ETF<sup>(a)(b)</sup> | 37605 | 932040 |
| Simplify Stable Income ETF<sup>(a)(b)</sup> | 20372 | 510319 |
| Simplify Volatility Premium ETF<sup>(a)(b)(c)</sup> | 328564 | 7195552 |
| &nbsp;&nbsp;&nbsp;Total Exchange-Traded Funds (Cost $23,155,607) |  | 23470538 |

---

---

| | | | |
|:---|:---|:---|:---|
|  | **Number of<br> Contracts** | **Notional<br> Amount** | |
| **Purchased Options – 1.0%** |  | | |
| **Puts – Exchange-Traded – 1.0%** |  |  |  |
| S&P 500 Index, January Strike Price $3,620, Expires 1/20/23 | 158 | $57196000 | 223570 |
| Total Purchased Options (Cost $241,879) |  |  | 223570 |
| Total Investments – 99.9% |  |  |  |
| &nbsp;&nbsp;&nbsp;(Cost $23,397,486) |  |  | $23694108 |
| Other Assets in Excess of Liabilities – 0.1% |  |  | 33619 |
| **Net Assets – 100.0%** |  |  | $**23727727** |

---

(a) Affiliated fund managed by Simplify Asset Management Inc.

(b) Securities with an aggregate market value of $23,977,469 have
been pledged as collateral for options as of December 31, 2022.

(c) A copy of the security's annual report to shareholders
may be obtained without charge at www.simplify.us.

See Notes to Financial Statements.

**Simplify Tail Risk Strategy ETF**

**Schedule of Investments** (Continued)

December 31, 2022 (Unaudited)

**Affiliates**

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

---

| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Affiliate** | **Value at<br> beginning<br> of the<br> period** | **Purchases<br> Cost** | **Sales<br> Proceeds** | **Net Realized<br> Gain/(Loss)** | **Net Change <br> in Unrealized** | **Value at the<br> end of the<br> period** | **Number of<br> Shares at<br> the end of<br> the period** | **Dividend<br> Income** | **Capital Gain<br> Distributions** |
| Simplify Aggregate Bond Plus Credit Hedge ETF | $- | $1214652 | $(830684) | $(42427) | $(23409) | $318132 | 14215 | $8518 | $- |
| Simplify Enhanced Income ETF |  | 1342400 | (829441) | (841) | (567) | 511551 | 20452 | 3709 |  |
| Simplify High Yield PLUS Credit Hedge ETF | 27016073 | 5286513 | (26048514) | (1567119) | 1491888 | 6178841 | 289001 | 626363 |  |
| Simplify Interest Rate Hedge ETF | 9968592 | 4338689 | (12853763) | 2316277 | (514333) | 3255462 | 45461 | 34416 |  |
| Simplify Intermediate Term Treasury ETF | 22187428 | 4065503 | (19181802) | (1352645) | (1149843) | 4568641 | 301459 | 175472 |  |
| Simplify Short Term Treasury Futures Strategy ETF |  | 1462708 | (524028) | 1953 | (8593) | 932040 | 37605 | 1477 |  |
| Simplify Stable Income ETF |  | 1341994 | (832338) | 459 | 204 | 510319 | 20372 | 3569 |  |
| Simplify Volatility Premium ETF | 30615744 | 6066753 | (29220411) | (1778714) | 1512180 | 7195552 | 328564 | 1656336 | - |
|  | $**89787837** | $**25119212** | $**(90320981)** | $**(2423057)** | $**1307527** | $**23470538** | **1057129** | $**2509860** | $**-** |

---

**Summary of Investment Type**

---

| | |
|:---|:---|
| <br>**Industry** | **% of**<br>**Net Assets** |
| Exchange-Traded Funds | 98.9% |
| Purchased Options | 1.0% |
| Total Investments | 99.9% |
| Other Assets in Excess of Liabilities | 0.1% |
| **Net Assets** | **100.0%** |

---

See Notes to Financial Statements.

**Simplify US Equity PLUS Convexity ETF**

**Schedule of Investments**

December 31, 2021 (Unaudited)

---

| | | |
|:---|:---|:---|
|  | **Shares** | **Value** |
| **Exchange-Traded Funds – 99.5%** |  |  |
| iShares Core S&P 500 ETF<sup>(a)(b)</sup> |  |  |
| &nbsp;&nbsp;&nbsp;(Cost $82,617,636) | 199210 | $76538479 |

---

---

| | | | |
|:---|:---|:---|:---|
|  | **Number of<br> Contracts** | **Notional<br> Amount** | |
| **Purchased Options – 0.1%** |  | | |
| **Calls – Exchange-Traded – 0.0%<sup>†</sup>** |  |  |  |
| S&P 500 Index, January Strike Price $5,050, Expires 1/20/23 | 844 | $426220000 | 4220 |
| S&P 500 Index, June Strike Price $5,600, Expires 6/16/23 | 120 | 67200000 | 5700 |
| SPDR S&P 500, March Strike Price $510, Expires 3/17/23 | 361 | 18411000 | 902 |
|  |  |  | 10822 |
| **Puts – Exchange-Traded – 0.1%** |  |  |  |
| S&P 500 Index, January Strike Price $3,620, Expires 1/20/23 | 47 | 17014000 | 66505 |
| Total Purchased Options (Cost $912,689) |  |  | 77327 |

---

---

| | | |
|:---|:---|:---|
|  | **Shares** | |
| **Money Market Funds – 0.4%** | | |
| Fidelity Investments Money Market Treasury Only Portfolio - Class I, 3.89%<sup>(c)</sup> |  |  |
| &nbsp;&nbsp;&nbsp;(Cost $272,296) | 272296 | 272296 |
| Total Investments – 100.0% |  |  |
| &nbsp;&nbsp;&nbsp;(Cost $83,802,621) |  | $76888102 |
| Liabilities in Excess of Other Assets – (0.0)%<sup>†</sup> |  | (4483) |
| **Net Assets – 100.0%** |  | $**76883619** |

---

---

| | | | |
|:---|:---|:---|:---|
|  | **Number of<br> Contracts** | **Notional<br> Amount** | |
| **Written Option – (0.0)%<sup>†</sup>** |  | | |
| **Calls – Exchange-Traded – (0.0)%<sup>†</sup>** |  |  |  |
| S&P 500 Index, January Strike Price $5,250, Expires 1/20/23 (Premiums Received $146,039) | (844) | (443100000) | $(4220) |

---

† Less than 0.05%

(a) A copy of the security's annual report to shareholders
may be obtained without charge at www.ishares.com.

(b) Securities with an aggregate market value of $19,210,500 have
been pledged as collateral for options as of December 31, 2022.

(c) Rate shown reflects the 7-day yield as of December 31,
2022. See Notes to Financial Statements.

**Simplify US Equity PLUS Convexity ETF**

**Schedule of Investments** (Continued)

December 31, 2021 (Unaudited)

**Summary of Investment Type**

---

| | | |
|:---|:---|:---|
| <br>**Industry** | **% of**<br>**Net Assets** |  |
| Exchange-Traded Funds | 99.5 | % |
| Purchased Options | 0.1 | % |
| Money Market Funds | 0.4 | % |
| Total Investments | 100.0 | % |
| Liabilities in Excess of Other Assets | (0.0 |)%<sup>†</sup> |
| **Net Assets** | **100.0** | **%** |

---

See Notes to Financial Statements.

**Simplify US Equity PLUS Downside Convexity ETF**

**Schedule of Investments**

December 31, 2022 (Unaudited)

---

| | | |
|:---|:---|:---|
|  | **Shares** | **Value** |
| **Exchange-Traded Funds – 99.7%** |  |  |
| iShares Core S&P 500 ETF<sup>(a)(b)</sup> |  |  |
| &nbsp;&nbsp;&nbsp;(Cost $278,100,196) | 619845 | $238150648 |

---

---

| | | | |
|:---|:---|:---|:---|
|  | **Number of**<br> **Contracts** | **Notional<br> Amount** |  |
| **Purchased Options – 0.2%** |  |  |  |
| **Puts – Exchange-Traded – 0.2%** |  |  |  |
| S&P 500 Index, January Strike Price $3,620, Expires 1/20/23 | 299 | $108238000 | 423111 |
| Total Purchased Options (Cost $458,560) |  |  | 423111 |

---

---

| | | |
|:---|:---|:---|
|  | **Shares** |  |
| **Money Market Funds – 0.1%** |  |  |
| Fidelity Investments Money Market Treasury Only Portfolio - Class I, 3.89%<sup>(c)</sup> |  |  |
| &nbsp;&nbsp;&nbsp;(Cost $313,176) | 313176 | 313176 |
| Total Investments – 100.0% |  |  |
| &nbsp;&nbsp;&nbsp;(Cost $278,871,932) |  | $238886935 |
| Liabilities in Excess of Other Assets – (0.0)%<sup>†</sup> |  | (34278) |
| **Net Assets – 100.0%** |  | $**238852657** |

---

† Less
than 0.05%

(a) A
copy of the security's annual report to shareholders may be obtained without charge at www.ishares.com.

(b) Securities
with an aggregate market value of $192,105,000 have been pledged as collateral for options as of December 31, 2022.

(c) Rate
shown reflects the 7-day yield as of December 31, 2022.

**Summary of Investment Type**

---

| | | |
|:---|:---|:---|
| <br>**Industry** | **% of**<br>**Net Assets** |  |
| Exchange-Traded Funds | 99.7 | % |
| Purchased Options | 0.2 | % |
| Money Market Funds | 0.1 | % |
| Total Investments | 100.0 | % |
| Liabilities in Excess of Other Assets | (0.0 |)%<sup>†</sup> |
| **Net Assets** | **100.0** | **%** |

---

See Notes to Financial Statements.

**Simplify US Equity PLUS GBTC ETF**

**Schedule of Investments**

December 31, 2022 (Unaudited)

---

| | | |
|:---|:---|:---|
|  | **Shares** | **Value** |
| **Exchange-Traded Funds – 84.5%** |  |  |
| iShares Core S&P 500 ETF<sup>(a)</sup> |  |  |
| &nbsp;&nbsp;&nbsp;(Cost $42,768,477) | 100868 | $38754494 |
| **Grantor Trusts – 10.7%** |  |  |
| Grayscale Bitcoin Trust BTC\* |  |  |
| &nbsp;&nbsp;&nbsp;(Cost $13,700,591) | 594758 | 4930544 |
| **Money Market Funds – 2.7%** |  |  |
| Fidelity Investments Money Market Treasury Only Portfolio - Class I, 3.89%<sup>(b)</sup> |  |  |
| &nbsp;&nbsp;&nbsp;(Cost $1,231,985) | 1231985 | 1231985 |
| Total Investments – 97.9% |  |  |
| &nbsp;&nbsp;&nbsp;(Cost $57,701,053) |  | $44917023 |
| Other Assets in Excess of Liabilities – 2.1% |  | 959592 |
| **Net Assets – 100.0%** |  | $**45876615** |

---

\* 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 December 31, 2022.

**At December 31, 2022, open futures contracts were as follows:**

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | <br>**Number of**<br>**Contracts** |<br>**Notional**<br>**Value** | <br>**Expiration**<br>**Date** | **Value/**<br>**Unrealized**<br>**Appreciation**<br>**(Depreciation)** |
| **Long position contracts:** |  |  |  |  |
| S&P 500 E-Mini Future | 35 | $6756750 | 3/17/23 | $(189289) |

---

**Summary of Investment Type**

---

| | |
|:---|:---|
| <br>**Industry** | **% of**<br>**Net Assets** |
| Exchange-Traded Funds | 84.5% |
| Grantor Trusts | 10.7% |
| Money Market Funds | 2.7% |
| Total Investments | 97.9% |
| Other Assets in Excess of Liabilities | 2.1% |
| **Net Assets** | **100.0%** |

---

See Notes to Financial Statements.

**Simplify US Equity PLUS Upside Convexity ETF**

**Schedule of Investments**

December 31, 2022 (Unaudited)

---

| | | |
|:---|:---|:---|
|  | **Shares** | **Value** |
| **Exchange-Traded Funds – 99.9%** |  |  |
| iShares Core S&P 500 ETF<sup>(a)(b)</sup> |  |  |
| &nbsp;&nbsp;&nbsp;(Cost $11,975,264) | 27316 | $10495084 |

---

---

| | | | |
|:---|:---|:---|:---|
|  | **Number of**<br>**Contracts** | **Notional**<br> **Amount** | |
| **Purchased Options – 0.0%<sup>†</sup>** |  |  |  |
| **Calls – Exchange-Traded – 0.0%<sup>†</sup>** |  |  |  |
| S&P 500 Index, January Strike Price $5,050, Expires 1/20/23 | 319 | $161095000 | 1595 |
| S&P 500 Index, June Strike Price $5,600, Expires 6/16/23 | 41 | 22960000 | 1947 |
| SPDR S&P 500, March Strike Price $510, Expires 3/17/23 | 110 | 5610000 | 275 |
|  |  |  | 3817 |
| Total Purchased Options (Cost $344,990) |  |  | 3817 |

---

---

| | | |
|:---|:---|:---|
|  | **Shares** | |
| **Money Market Funds – 0.1%** |  |  |
| Fidelity Investments Money Market Treasury Only Portfolio - Class I, 3.89%<sup>(c)</sup> |  |  |
| &nbsp;&nbsp;&nbsp;(Cost $10,861) | 10861 | 10861 |
| Total Investments – 100.0% |  |  |
| &nbsp;&nbsp;&nbsp;(Cost $12,331,115) |  | $10509762 |
| Liabilities in Excess of Other Assets – (0.0)%<sup>†</sup> |  | (4241) |
| **Net Assets – 100.0%** |  | $**10505521** |

---

---

| | | | |
|:---|:---|:---|:---|
|  | **Number of**<br>**Contracts** | **Notional**<br> **Amount** | |
| **Written Option – (0.0)%<sup>†</sup>** |  |  |  |
| **Calls – Exchange-Traded – (0.0)%<sup>†</sup>** |  |  |  |
| S&P 500 Index, January Strike Price $5,250, Expires 1/20/23 (Premiums Received $64,515) | (319) | (167475000) | $(1595) |

---

† Less
than 0.05%

(a) A
 copy of the security's annual report to shareholders may be obtained without charge
 at www.ishares.com.

(b) Securities
 with an aggregate market value of $5,186,835 have been pledged as collateral for options
 as of December 31, 2022.

(c) Rate
 shown reflects the 7-day yield as of December 31, 2022.

**Summary of Investment Type**

---

| | | |
|:---|:---|:---|
| <br>**Industry** | **% of**<br> **Net Assets** |  |
| Exchange-Traded Funds | 99.9 | % |
| Purchased Options | 0.0 | %<sup>†</sup> |
| Money Market Funds | 0.1 | % |
| Total Investments | 100.0 | % |
| Liabilities in Excess of Other Assets | (0.0 |)%<sup>†</sup> |
| **Net Assets** | **100.0** | **%** |

---

See Notes to Financial Statements.

**Simplify US Small Cap PLUS Downside Convexity ETF**

**Schedule of Investments**

December 31, 2022 (Unaudited)

---

| | | |
|:---|:---|:---|
|  | **Shares** | **Value** |
| **Exchange-Traded Funds – 99.8%** |  |  |
| iShares Core S&P Small-Cap ETF<sup>(a)(b)</sup> |  |  |
| &nbsp;&nbsp;&nbsp;(Cost $2,746,658) | 24870 | $2353697 |

---

---

| | | | |
|:---|:---|:---|:---|
|  | **Number of**<br>**Contracts** | **Notional**<br> **Amount** | |
| **Purchased Options – 0.1%** |  |  |  |
| **Puts – Exchange-Traded – 0.1%** |  |  |  |
| S&P 500 Index, January Strike Price $3,620, Expires 1/20/23 | 2 | $724000 | 2830 |
| Total Purchased Options (Cost $3,063) |  |  | 2830 |

---

---

| | | |
|:---|:---|:---|
|  | **Shares** | |
| **Money Market Funds – 0.0%<sup>†</sup>** |  |  |
| Fidelity Investments Money Market Treasury Only Portfolio - Class I, 3.89%<sup>(c)</sup> |  |  |
| &nbsp;&nbsp;&nbsp;(Cost $124) | 124 | 124 |
| Total Investments – 99.9% |  |  |
| &nbsp;&nbsp;&nbsp;(Cost $2,749,845) |  | $2356651 |
| Other Assets in Excess of Liabilities – 0.1% |  | 1639 |
| **Net Assets – 100.0%** |  | $**2358290** |

---

† Less
than 0.05%

(a) A
 copy of the security's annual report to shareholders may be obtained without charge
 at www.ishares.com.

(b) Securities
 with an aggregate market value of $1,987,440 have been pledged as collateral for options
 as of December 31, 2022.

(c) Rate
 shown reflects the 7-day yield as of December 31, 2022.

**Summary of Investment Type**

---

| | | |
|:---|:---|:---|
| <br>**Industry** | **% of**<br>**Net Assets** |  |
| Exchange-Traded Funds | 99.8 | % |
| Purchased Options | 0.1 | % |
| Money Market Funds | 0.0 | %<sup>†</sup> |
| Total Investments | 99.9 | % |
| Other Assets in Excess of Liabilities | 0.1 | % |
| **Net Assets** | **100.0** | **%** |

---

See Notes to Financial Statements.

**Simplify Volt Cloud and Cybersecurity Disruption ETF**

**Schedule of Investments**

December 31, 2022 (Unaudited)

---

| | | |
|:---|:---|:---|
|  | **Shares** | **Value** |
| **Common Stocks – 94.9%** |  |  |
| **Communications – 29.2%** |  |  |
| A10 Networks, Inc. | 1559 | $25926 |
| Alphabet, Inc., Class C\* | 20 | 1775 |
| Amazon.com, Inc.\* | 21 | 1764 |
| Cisco Systems, Inc.<sup>(a)</sup> | 4749 | 226242 |
| F5, Inc.\* | 541 | 77639 |
| GEN Digital Inc. | 5291 | 113386 |
| Juniper Networks, Inc. | 3210 | 102592 |
| Meta Platforms, Inc., Class A\* | 85 | 10229 |
| Okta, Inc.\*<sup>(a)</sup> | 2024 | 138300 |
| Palo Alto Networks, Inc.\* | 1504 | 209868 |
| Ribbon Communications, Inc.\* | 991 | 2765 |
| Trend Micro, Inc., ADR | 1523 | 70439 |
| VeriSign, Inc.\* | 617 | 126756 |
| Wix.com Ltd.\* | 116 | 8912 |
|  |  | 1116593 |
| **Consumer, Cyclical – 1.1%** |  |  |
| Sonder Holdings, Inc.\* | 32737 | 40594 |
| **Consumer, Non-cyclical – 3.5%** |  |  |
| Booz Allen Hamilton Holding Corp., Class A | 1205 | 125947 |
| Shift4 Payments, Inc., Class A\* | 31 | 1734 |
| Teladoc Health, Inc.\* | 353 | 8348 |
|  |  | 136029 |
| **Industrial – 3.1%** |  |  |
| Thales SA, ADR | 4656 | 118775 |
| **Technology – 58.0%** |  |  |
| Advanced Micro Devices, Inc.\* | 6 | 389 |
| Akamai Technologies, Inc.\* | 1253 | 105628 |
| Apple, Inc. | 6 | 780 |
| Arqit Quantum, Inc.\* | 931 | 3361 |
| Braze, Inc., Class A\* | 676 | 18441 |
| Check Point Software Technologies Ltd.\* | 831 | 104839 |
| Cloudflare, Inc., Class A\*<sup>(a)</sup> | 4569 | 206564 |
| Confluent, Inc., Class A\* | 58 | 1290 |
| Crowdstrike Holdings, Inc., Class A\*<sup>(a)</sup> | 2060 | 216897 |
| CyberArk Software Ltd.\* | 778 | 100868 |
| Datadog, Inc., Class A\* | 35 | 2572 |
| DigitalOcean Holdings, Inc.\* | 345 | 8787 |
| Dropbox, Inc., Class A\* | 42 | 940 |
| Elastic NV\* | 15 | 772 |
| Fastly, Inc., Class A\* | 124 | 1016 |
| Fortinet, Inc.\* | 2277 | 111323 |
| HashiCorp, Inc., Class A\* | 336 | 9186 |
| Infosys Ltd., ADR<sup>(a)</sup> | 6325 | 113913 |
| Intel Corp. | 344 | 9092 |
| KnowBe4, Inc., Class A\* | 934 | 23144 |
| Leidos Holdings, Inc. | 1077 | 113299 |
| Microsoft Corp. | 7 | 1679 |
| NVIDIA Corp. | 6 | 877 |

---

See Notes to Financial Statement.

**Simplify Volt Cloud and Cybersecurity Disruption ETF**

**Schedule of Investments** (Continued)

December 31, 2022 (Unaudited)

---

| | | |
|:---|:---|:---|
|  | **Shares** | **Value** |
| **Common Stocks (continued)** |  |  |
| **Technology (continued)** |  |  |
| OneSpan, Inc.\* | 505 | $5651 |
| PagerDuty, Inc.\* | 17 | 452 |
| Palantir Technologies, Inc., Class A\* | 228 | 1464 |
| Qualys, Inc.\* | 624 | 70032 |
| Radware Ltd.\* | 689 | 13608 |
| Rapid7, Inc.\* | 2332 | 79241 |
| Salesforce, Inc.\* | 8 | 1061 |
| Science Applications International Corp. | 517 | 57351 |
| SentinelOne, Inc., Class A\* | 8934 | 130347 |
| Snowflake, Inc., Class A\* | 26 | 3732 |
| Splunk, Inc.\* | 1361 | 117168 |
| Telos Corp.\* | 2121 | 10796 |
| Tenable Holdings, Inc.\* | 2205 | 84121 |
| Texas Instruments, Inc. | 423 | 69888 |
| Twilio, Inc., Class A\* | 395 | 19339 |
| UserTesting, Inc.\* | 1224 | 9192 |
| Varonis Systems, Inc., Class B\* | 2485 | 59491 |
| VMware, Inc., Class A\* | 836 | 102627 |
| Zoom Video Communications, Inc., Class A\* | 6 | 406 |
| Zscaler, Inc.\* | 2001 | 223912 |
|  |  | 2215536 |
| &nbsp;&nbsp;&nbsp;Total Common Stocks (Cost $3,683,212) |  | 3627527 |

---

---

| | | | |
|:---|:---|:---|:---|
|  | **Number of**<br>**Contracts** | **Notional**<br> **Amount** | |
| **Purchased Options – 1.4%** |  |  |  |
| **Calls – Exchange-Traded – 1.2%** |  |  |  |
| Cloudflare, Inc., January Strike Price $230, Expires 1/20/23 | 149 | $3427000 | 298 |
| Cloudflare, Inc., February Strike Price $60, Expires 2/17/23 | 231 | 1386000 | 34419 |
| Cloudflare, Inc., January Strike Price $230, Expires 1/19/24 | 198 | 4554000 | 4554 |
| Crowdstrike Holdings, Inc., January Strike Price $260, Expires 1/19/24 | 49 | 1274000 | 5708 |
| Datadog, Inc., January Strike Price $280, Expires 1/20/23 | 158 | 4424000 | 316 |
| Datadog, Inc., January Strike Price $290, Expires 1/19/24 | 63 | 1827000 | 1670 |
|  |  |  | 46965 |
| **Puts – Exchange-Traded – 0.2%** |  |  |  |
| S&P 500 Index, January Strike Price $3,620, Expires 1/20/23 | 4 | 1448000 | 5660 |
| Total Purchased Options (Cost $847,194) |  |  | 52625 |

---

---

| | |
|:---|:---|
|  | **Shares** |
| **Money Market Funds – 3.8%** | |
| Fidelity Investments Money Market Treasury Only Portfolio - Class I, 3.89%<sup>(b)</sup> |  |
| &nbsp;&nbsp;&nbsp;(Cost $143,866) | 143866 |

---

See Notes to Financial Statement.

**Simplify Volt Cloud and Cybersecurity Disruption ETF**

**Schedule of Investments** (Continued)

December 31, 2022 (Unaudited)

---

| | |
|:---|:---|
|  | **Value** |
| Total Investments – 100.1% |  |
| &nbsp;&nbsp;&nbsp;(Cost $4,674,272) | $3824018 |
| Liabilities in Excess of Other Assets – (0.1)% | (2784) |
| **Net Assets – 100.0%** | $**3821234** |

---

\* Non Income Producing

(a) Securities
 with an aggregate market value of $693,841 have been pledged as collateral for options as
 of December 31, 2022.

(b) Rate
 shown reflects the 7-day yield as of December 31, 2022.

ADR: American Depositary Receipt

**Summary of Investment Type**

---

| | |
|:---|:---|
| <br>**Industry** | **% of**<br>**Net Assets** |
| Common Stocks | 94.9% |
| Purchased Options | 1.4% |
| Money Market Funds | 3.8% |
| Total Investments | 100.1% |
| Liabilities in Excess of Other Assets | (0.1)% |
| **Net Assets** | **100.0%** |

---

See Notes to Financial Statement

**Simplify Volt RoboCar Disruption and Tech ETF**

**Schedule of Investments**

December 31, 2022 (Unaudited)

---

| | | |
|:---|:---|:---|
|  | **Shares** | **Value** |
| **Common Stocks – 87.2%** |  |  |
| **Basic Materials – 1.9%** |  |  |
| Albemarle Corp. | 26 | $5638 |
| BHP Group Ltd., ADR | 111 | 6888 |
| Glencore PLC, ADR | 512 | 6820 |
| Rio Tinto PLC, ADR | 100 | 7120 |
| Sociedad Quimica y Minera de Chile SA, ADR | 73 | 5828 |
| Talon Metals Corp.\* | 21692 | 7983 |
| Vale SA, ADR | 420 | 7127 |
|  |  | 47404 |
| **Communications – 16.1%** |  |  |
| Alphabet, Inc., Class C\*<sup>(a)</sup> | 1600 | 141968 |
| Amazon.com, Inc.\*<sup>(a)</sup> | 1227 | 103068 |
| Cisco Systems, Inc. | 564 | 26869 |
| Meta Platforms, Inc., Class A\* | 396 | 47655 |
| Netflix, Inc.\* | 22 | 6487 |
| Okta, Inc.\* | 28 | 1913 |
| Palo Alto Networks, Inc.\* | 41 | 5721 |
| VeriSign, Inc.\* | 243 | 49922 |
| Verizon Communications, Inc. | 547 | 21552 |
| Walt Disney Co. (The)\* | 71 | 6168 |
|  |  | 411323 |
| **Consumer, Cyclical – 14.3%** |  |  |
| Aurora Innovation, Inc.\* | 7803 | 9442 |
| BYD Co. Ltd., ADR | 293 | 14398 |
| Costco Wholesale Corp. | 55 | 25107 |
| Lucid Group, Inc.\* | 1059 | 7233 |
| NIO, Inc., ADR\* | 1072 | 10452 |
| Rivian Automotive, Inc., Class A\* | 595 | 10966 |
| Sonder Holdings, Inc.\* | 130349 | 161633 |
| Tesla, Inc.\*<sup>(a)</sup> | 1020 | 125643 |
|  |  | 364874 |
| **Consumer, Non-cyclical – 9.8%** |  |  |
| Amgen, Inc. | 66 | 17334 |
| Automatic Data Processing, Inc.<sup>(a)</sup> | 190 | 45383 |
| Coca-Cola Co. (The) | 410 | 26080 |
| DaVita, Inc.\* | 276 | 20609 |
| Johnson & Johnson | 113 | 19961 |
| Kraft Heinz Co. (The) | 512 | 20844 |
| Kroger Co. (The) | 439 | 19571 |
| Moody's Corp. | 69 | 19225 |
| PayPal Holdings, Inc.\* | 212 | 15099 |
| PepsiCo, Inc. | 142 | 25654 |
| Procter & Gamble Co. (The) | 136 | 20612 |
|  |  | 250372 |
| **Financial – 2.4%** |  |  |
| American Express Co. | 84 | 12411 |
| Bank of America Corp. | 379 | 12552 |
| Bank of New York Mellon Corp. (The) | 277 | 12609 |
| Citigroup, Inc. | 268 | 12122 |

---

See Notes to Financial Statements.

**Simplify Volt RoboCar Disruption and Tech ETF**

**Schedule of Investments** (Continued)

December 31, 2022 (Unaudited)

---

| | | |
|:---|:---|:---|
|  | **Shares** | **Value** |
| **Common Stocks (continued)** |  |  |
| **Financial (continued)** |  |  |
| US Bancorp | 278 | $12124 |
|  |  | 61818 |
| **Industrial – 2.3%** |  |  |
| Camtek Ltd.\* | 498 | 10936 |
| Deere & Co. | 79 | 33872 |
| FANUC Corp., ADR | 857 | 12744 |
|  |  | 57552 |
| **Technology – 40.4%** |  |  |
| Activision Blizzard, Inc. | 266 | 20362 |
| Adobe, Inc.\* | 84 | 28269 |
| Advanced Micro Devices, Inc.\* | 307 | 19884 |
| Amkor Technology, Inc. | 639 | 15323 |
| Analog Devices, Inc. | 207 | 33954 |
| ANSYS, Inc.\* | 14 | 3382 |
| Apple, Inc.<sup>(a)</sup> | 1553 | 201781 |
| Applied Materials, Inc. | 131 | 12757 |
| ASML Holding NV | 12 | 6557 |
| Atlassian Corp., Class A\* | 25 | 3217 |
| Autodesk, Inc.\* | 35 | 6540 |
| Broadcom, Inc.<sup>(a)</sup> | 128 | 71569 |
| Cadence Design Systems, Inc.\* | 156 | 25060 |
| Cognizant Technology Solutions Corp., Class A | 427 | 24420 |
| Crowdstrike Holdings, Inc., Class A\* | 45 | 4738 |
| Datadog, Inc., Class A\* | 48 | 3528 |
| DocuSign, Inc., Class A\* | 39 | 2161 |
| Fiserv, Inc.\* | 339 | 34263 |
| Fortinet, Inc.\* | 135 | 6600 |
| GLOBALFOUNDRIES, Inc.\*<sup>(a)</sup> | 268 | 14443 |
| HP, Inc. | 1110 | 29826 |
| Intel Corp. | 834 | 22043 |
| Intuit, Inc. | 48 | 18683 |
| KLA Corp. | 22 | 8295 |
| Lam Research Corp. | 23 | 9667 |
| Marvell Technology, Inc. | 162 | 6000 |
| Microchip Technology, Inc. | 69 | 4847 |
| Micron Technology, Inc. | 191 | 9546 |
| Microsoft Corp.<sup>(a)</sup> | 701 | 168114 |
| NVIDIA Corp. | 334 | 48811 |
| NXP Semiconductors NV | 41 | 6479 |
| Paychex, Inc. | 389 | 44953 |
| QWALCOMM, Inc. | 197 | 21658 |
| Skyworks Solutions, Inc. | 18 | 1640 |
| Splunk, Inc.\* | 20 | 1722 |
| Synopsys, Inc.\* | 26 | 8302 |
| Taiwan Semiconductor Manufacturing Co. Ltd., ADR | 199 | 14823 |
| Texas Instruments, Inc. | 333 | 55018 |
| Workday, Inc., Class A\* | 32 | 5355 |
| Zoom Video Communications, Inc., Class A\* | 46 | 3116 |

---

See Notes to Financial Statements.

**Simplify Volt RoboCar Disruption and Tech ETF**

**Schedule of Investments** (Continued)

December 31, 2022 (Unaudited)

---

| | | |
|:---|:---|:---|
|  | **Shares** | **Value** |
| **Common Stocks (continued)** |  |  |
| **Technology (continued)** |  |  |
| Zscaler, Inc.\* | 28 | $3133 |
|  |  | 1030839 |
| &nbsp;&nbsp;&nbsp;Total Common Stocks (Cost $2,512,300) |  | 2224182 |

---

---

| | | | |
|:---|:---|:---|:---|
|  | **Number of**<br>**Contracts** | **Notional**<br> **Amount** | |
| **Purchased Options – 0.9%** |  |  |  |
| **Calls – Exchange-Traded – 0.7%** |  |  |  |
| Tesla, Inc., April Strike Price $600, Expires 4/21/23 | 400 | $24000000 | 1600 |
| Tesla, Inc., June Strike Price $327, Expires 6/16/23 | 8 | 261336 | 676 |
| Tesla, Inc., January Strike Price $417, Expires 1/19/24 | 23 | 958341 | 4888 |
| Tesla, Inc., June Strike Price $667, Expires 6/21/24 | 66 | 4400022 | 10956 |
|  |  |  | 18120 |
| **Puts – Exchange-Traded – 0.2%** |  |  |  |
| S&P 500 Index, January Strike Price $3,620, Expires 1/20/23 | 3 | 1086000 | 4245 |
| Total Purchased Options (Cost $275,226) |  |  | 22365 |

---

---

| | | |
|:---|:---|:---|
|  | **Shares** | |
| **Money Market Funds – 11.9%** |  |  |
| Fidelity Investments Money Market Treasury Only Portfolio - Class I, 3.89%<sup>(b)</sup> |  |  |
| &nbsp;&nbsp;&nbsp;(Cost $302,262) | 302262 | 302262 |
| Total Investments – 100.0% |  |  |
| &nbsp;&nbsp;&nbsp;(Cost $3,089,788) |  | $2548809 |
| Other Assets in Excess of Liabilities – 0.0%<sup>†</sup> |  | 255 |
| **Net Assets – 100.0%** |  | $**2549064** |

---

\* Non Income Producing

† Less
than 0.05%

(a) Securities
 with an aggregate market value of $590,822 have been pledged as collateral for options as
 of December 31, 2022.

(b) Rate
 shown reflects the 7-day yield as of December 31, 2022.

ADR: American Depositary Receipt

**Summary of Investment Type**

---

| | | |
|:---|:---|:---|
| <br>**Industry** | **% of**<br>**Net Assets** |  |
| Common Stocks | 87.2 | % |
| Purchased Options | 0.9 | % |
| Money Market Funds | 11.9 | % |
| Total Investments | 100.0 | % |
| Other Assets in Excess of Liabilities | 0.0 | %<sup>†</sup> |
| **Net Assets** | **100.0** | **%** |

---

See Notes to Financial Statements.

**Simplify Bitcoin Strategy PLUS Income ETF**

**Schedule of Investments**

December 31, 2022 (Unaudited)

---

| | | |
|:---|:---|:---|
|  | **Principal** | **Value** |
| **U.S. Treasury Bills – 328.1%** |  |  |
| U.S. Treasury Bill, 4.61%, 6/8/2023<sup>(a)(b)</sup> | $14025000 | $13751209 |
| U.S. Treasury Bill, 3.98%, 9/7/2023<sup>(a)(c)</sup> | 250000 | 242500 |
| &nbsp;&nbsp;&nbsp;Total U.S. Treasury Bills (Cost $13,994,147) |  | 13993709 |

---

---

| | | | |
|:---|:---|:---|:---|
|  | **Number of**<br>**Contracts** | **Notional**<br> **Amount** | |
| **Purchased Options – 0.0%<sup>†</sup>** |  |  |  |
| **Puts – Exchange-Traded – 0.0%<sup>†</sup>** |  |  |  |
| S&P 500 Index, January Strike Price $3,250, Expires 1/13/23 | 10 | 3250000 | 825 |
| Total Purchased Options (Cost $858) |  |  | 825 |
| Total Investments – 328.1% |  |  |  |
| &nbsp;&nbsp;&nbsp;(Cost $13,995,005) |  |  | $13994534 |
| Liabilities in Excess of Other Assets – (228.1)% |  |  | (9728607) |
| **Net Assets – 100.0%** |  |  | $**4265927** |

---

---

| | | | |
|:---|:---|:---|:---|
|  | **Number of**<br>**Contracts** | **Notional**<br>**Amount** | |
| **Written Option – (0.3)%** |  |  |  |
| **Puts – Exchange-Traded – (0.3)%** |  |  |  |
| S&P 500 Index, January Strike Price $3,650, Expires 1/13/23 (Premiums Received $14,591) | (10) | (3650000) | $(11550) |

---

† Less
than 0.05%

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

(b) Security,
 or a portion thereof, in the amount of $13,476,482 has been pledged as collateral for reverse
 repurchase agreements as of December 31, 2022. See note 5 for additional information

(c) Securities
 with an aggregate market value of $184,294 have been pledged as collateral for options as
 of December 31, 2022.

**At December 31, 2022, open futures contracts were as follows:**

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | <br>**Number of**<br>**Contracts** |<br>**Notional**<br>**Value** |<br>**Expiration**<br>**Date** | **Value/**<br>**Unrealized**<br>**Appreciation**<br>**(Depreciation)** |
| **Long position contracts:** |  |  |  |  |
| CME Bitcoin Futures | 52 | $4299100 | 1/27/23 | $(18823) |

---

**Summary of Investment Type**

---

| | |
|:---|:---|
| <br>**Industry** | **% of**<br>**Net Assets** |
| U.S. Treasury Bills | 328.1 |
| Purchased Options | 0.0 |
| Total Investments | 328.1 |
| Liabilities in Excess of Other Assets | (228.1 |
| **Net Assets** | **100.0** |

---

See Notes to Financial Statements.

**Simplify Bitcoin Strategy PLUS Income ETF**

**Schedule of Investments** (Continued)

December 31, 2022 (Unaudited)

**At December 31, 2022, open reverse repurchase agreements were as follows:**

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **Counterparty** | **Interest Rate** | **Trade Date** | **Maturity Date** | **Face Amount** | **Payable for<br> Reverse<br> Repurchase<br> Agreements** |
| Morgan Stanley Capital Services LLC | 4.46% | 12/30/2022 | 1/3/2023 | $13472840 | $13474509 |
| Morgan Stanley Capital Services LLC | 4.37% | 12/30/2022 | 1/4/2023 | 13476482 | 13476482 |
|  |  |  |  | $26949322 | $26950991 |

---

See Notes to Financial Statements.

**Simplify Macro Strategy ETF**

**Consolidated Schedule of Investments**

December 31, 2022 (Unaudited)

---

| | | |
|:---|:---|:---|
|  | **Shares** | **Value** |
| **Exchange-Traded Funds – 87.6%** |  |  |
| iShares Gold Trust\* | 34010 | $1176406 |
| Simplify High Yield PLUS Credit Hedge ETF<sup>(a)(b)</sup> | 200333 | 4283119 |
| Simplify Interest Rate Hedge ETF<sup>(a)</sup> | 14389 | 1030396 |
| Simplify Intermediate Term Treasury Futures Strategy ETF<sup>(a)(b)</sup> | 85988 | 1303157 |
| Simplify Managed Futures Strategy ETF<sup>(a)(b)</sup> | 159566 | 4150312 |
| Simplify Short Term Treasury Futures Strategy ETF<sup>(a)</sup> | 146226 | 3624211 |
| Simplify Volatility Premium ETF<sup>(a)(b)</sup> | 153180 | 3354642 |
| &nbsp;&nbsp;&nbsp;Total Exchange-Traded Funds (Cost $19,617,615) |  | 18922243 |

---

---

| | | | |
|:---|:---|:---|:---|
|  | **Number of**<br>**Contracts** | **Notional**<br>**Amount** | |
| **Purchased Options – 8.9%** |  |  |  |
| **Calls – Exchange-Traded – 8.2%** |  |  |  |
| iShares MSCI Emerging Markets ETF, January Strike Price $30, Expires 1/20/23 | 300 | $900000 | 270000 |
| SPDR S&P 500, March Strike Price $320, Expires 3/17/23 | 161 | 5152000 | 1084415 |
| SPDR S&P 500, December Strike Price $320, Expires 12/15/23 | 50 | 1600000 | 422950 |
|  |  |  | 1777365 |
| **Puts – Exchange-Traded – 0.7%** |  |  |  |
| Ares Management Corp., June Strike Price $55, Expires 6/16/23 | 203 | 1116500 | 58363 |
| Ares Management Corp., June Strike Price $60, Expires 6/16/23 | 203 | 1218000 | 82215 |
| VanEck Semiconductor ETF, January Strike Price $165, Expires 1/20/23 | 487 | 8035500 | 9253 |
|  |  |  | 149831 |
| | | | |
| Total Purchased Options (Cost $2,417,052) |  |  | 1927196 |

---

---

| | | |
|:---|:---|:---|
|  | **Shares** | |
| **Money Market Funds – 2.0%** |  |  |
| Fidelity Investments Money Market Treasury Only Portfolio - Class I, 3.89%<sup>(c)</sup> |  |  |
| &nbsp;&nbsp;&nbsp;(Cost $436,319) | 436319 | 436319 |
| Total Investments – 98.5% |  |  |
| &nbsp;&nbsp;&nbsp;(Cost $22,470,986) |  | $21285758 |
| Other Assets in Excess of Liabilities – 1.5% |  | 317713 |
| **Net Assets – 100.0%** |  | $**21603471** |

---

---

| | | | |
|:---|:---|:---|:---|
|  | **Number of**<br>**Contracts** | **Notional**<br> **Amount** | |
| **Written Options – (0.7)%** |  |  |  |
| **Calls – Exchange-Traded – (0.7)%** |  |  |  |
| Ares Management Corp., June Strike Price $75, Expires 6/16/23 | (203) | $(1522500) | $(94395) |
| Ares Management Corp., June Strike Price $80, Expires 6/16/23 | (203) | (1624000) | (58363) |
|  |  |  | (152758) |
| **Puts – Exchange-Traded – (0.0)%<sup>†</sup>** |  |  |  |
| VanEck Semiconductor ETF, January Strike Price $140, Expires 1/20/23 | (621) | (8694000) | (1862) |

---

See Notes to Financial Statements.

**Simplify Macro Strategy ETF**

**Consolidated Schedule of Investments** (Continued)

December 31, 2022 (Unaudited)

---

| | | | |
|:---|:---|:---|:---|
|  | **Number of**<br>**Contracts** | **Notional**<br> **Amount** |<br>**Value** |
| Total Written Options (Premiums Received $299,910) |  |  | $(154620) |

---

\* Non Income Producing

† Less
than 0.05%

(a) Affiliated
 fund managed by Simplify Asset Management Inc.

(b) Securities
 with an aggregate market value of $9,151,031 have been pledged as collateral for options
 as of December 31, 2022.

(c) Rate
 shown reflects the 7-day yield as of December 31, 2022.

**Affiliates**

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

---

| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Affiliate** | **Value at beginning of the period** | **Purchases Cost** | **Sales Proceeds** | **Net Realized Gain/(Loss)** | **Net Change in Unrealized** | **Value at the end of the period** | **Number of Shares at the end of the period** | **Dividend<br> Income** | **Capital Gain Distributions** |
| Simplify Aggregate Bond PLUS Credit Hedge ETF | $- | $1219923 | $(1168932) | $(50991) | $- | $- |  | $2406 | $- |
| Simplify High Yield PLUS Credit Hedge ETF | 1634446 | 4767061 | (1876435) | (46321) | (195632) | 4283119 | 200333 | 239402 |  |
| Simplify Interest Rate Hedge ETF |  | 1143072 | (222348) | 22472 | 87200 | 1030396 | 14389 | 2594 |  |
| Simplify Intermediate Term Treasury Futures Strategy ETF | 424657 | 2588671 | (1413701) | (167805) | (128665) | 1303157 | 85988 | 26242 |  |
| Simplify Managed Futures Strategy ETF | 1678230 | 5054562 | (2209603) | 61065 | (433942) | 4150312 | 159566 | 163667 |  |
| Simplify Short Term Treasury Futures Strategy ETF |  | 3622570 |  |  | 1641 | 3624211 | 146226 | 4839 |  |
| Simplify Volatility Premium ETF | 1348049 | 3949162 | (1831691) | (60958) | (49920) | 3354642 | 153180 | 284904 | - |
|  | $**5085382** | $**22345021** | $**(8722710)** | $**(242538)** | $**(719318)** | $**17745837** | **759682** | $**724054** | $**-** |

---

See Notes to Financial Statements.

**Simplify Macro Strategy ETF**

**Consolidated Schedule of Investments** (Continued)

December 31, 2022 (Unaudited)

**Summary of Investment Type**

---

| | |
|:---|:---|
| <br>**Industry** | **% of**<br>**Net Assets** |
| Exchange-Traded Funds | 87.6% |
| Purchased Options | 8.9% |
| Money Market Funds | 2.0% |
| Total Investments | 98.5% |
| Other Assets in Excess of Liabilities | 1.5% |
| **Net Assets** | **100.0%** |

---

See Notes to Financial Statements.

**Simplify Managed Futures Strategy ETF**

**Consolidated Schedule of Investments**

December 31, 2022 (Unaudited)

---

| | | |
|:---|:---|:---|
|  | **Principal** | **Value** |
| **U.S. Treasury Bills – 82.5%** |  |  |
| U.S. Treasury Bill, 3.03%, 1/5/2023<sup>(a)</sup> | $10500000 | $10497882 |
| U.S. Treasury Bill, 3.58%, 2/2/2023<sup>(a)</sup> | 45450000 | 45305987 |
| U.S. Treasury Bill, 3.90%, 2/23/2023<sup>(a)</sup> | 53000000 | 52681412 |
| U.S. Treasury Bill, 4.28%, 3/23/2023<sup>(a)</sup> | 22200000 | 21993618 |
| &nbsp;&nbsp;&nbsp;Total U.S. Treasury Bills (Cost $130,501,266) |  | 130478899 |
| Total Investments – 82.5% |  |  |
| &nbsp;&nbsp;&nbsp;(Cost $130,501,266) |  | $130478899 |
| Other Assets in Excess of Liabilities – 17.5% |  | 27746882 |
| **Net Assets – 100.0%** |  | $**158225781** |

---

<sup>(a)</sup> Represents a zero coupon bond. Rate shown reflects the effective yield.

**At December 31, 2022, open futures contracts were as follows:**

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | <br>**Number of**<br>**Contracts** |<br>**Notional**<br>**Value** | <br>**Expiration**<br>**Date** | **Value/**<br>**Unrealized**<br>**Appreciation**<br>**(Depreciation)** |
| **Long position contracts:** |  |  |  |  |
| Gold 100 OZ Future | 5 | $913100 | 2/24/23 | $18 |
| Live Cattle Future | 34 | 2147440 | 2/28/23 | 441 |
| Sugar #11 (World) Future | 251 | 5633645 | 2/28/23 | (223401) |
| Corn Future | 146 | 4953050 | 3/14/23 | (6789) |
| Soybean Oil Future | 139 | 5343438 | 3/14/23 | (27596) |
| Silver Future | 92 | 11058400 | 3/29/23 | 371710 |
| Gold 100 OZ Future | 29 | 5342380 | 4/26/23 | 64561 |
| Live Cattle Future | 27 | 1747440 | 4/28/23 | (238) |
| Sugar #11 (World) Future | 49 | 1027354 | 4/28/23 | (36522) |
| Soybean Oil Future | 34 | 1304376 | 5/12/23 | 3807 |
| Corn Future | 26 | 881400 | 5/12/23 | (1513) |
| Silver Future | 16 | 1936560 | 5/26/23 | 121896 |
| Natural Gas Future | 2 | 80940 | 5/26/23 | (23651) |
| Gold 100 OZ Future | 4 | 743080 | 6/28/23 | 4030 |
| Natural Gas Future | 57 | 2369490 | 6/28/23 | (536113) |
| Live Cattle Future | 18 | 1136340 | 6/30/23 | (352) |
| Sugar #11 (World) Future | 24 | 483302 | 6/30/23 | (11362) |
| Wheat Future (CBT) | 6 | 240900 | 7/14/23 | 1832 |
| Soybean Oil Future | 13 | 495768 | 7/14/23 | 955 |
| Corn Future | 14 | 470225 | 7/14/23 | (841) |
| WTI Crude Future | 1 | 79360 | 7/20/23 | 958 |
| Silver Future | 4 | 487700 | 7/27/23 | 16590 |
| Natural Gas Future | 44 | 1831720 | 7/27/23 | (427646) |
| Natural Gas Future | 56 | 2301600 | 8/29/23 | (604950) |
| Natural Gas Future | 41 | 1711340 | 9/27/23 | (352617) |
| **Total unrealized appreciation/(depreciation)** |  |  |  | $**(1666793)** |

---

See Notes to Financial Statements.

**Simplify Managed Futures Strategy ETF**

**Consolidated Schedule of Investments** (Continued)

December 31, 2022 (Unaudited)

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | <br>**Number of**<br>**Contracts** |<br>**Notional**<br>**Value** | <br>**Expiration**<br>**Date** | **Value/**<br>**Unrealized**<br>**Appreciation**<br>**(Depreciation)** |
| **Short position contracts:** |  |  |  |  |
| WTI Crude Future | (9) | $(722340) | 1/20/23 | $(18741) |
| Natural Gas Future | (14) | (626500) | 1/27/23 | 125715 |
| Natural Gas Future | (37) | (1518480) | 2/24/23 | 255716 |
| Cotton No.2 Future | (96) | (4001760) | 3/9/23 | (116902) |
| Bank Accept Future | (1921) | (336848911) | 3/13/23 | 1377379 |
| Wheat Future (CBT) | (77) | (3049200) | 3/14/23 | (82915) |
| CAN 10 Year Bond Future | (235) | (21269756) | 3/22/23 | 567886 |
| Natural Gas Future | (15) | (587550) | 3/29/23 | 56179 |
| Copper Future | (80) | (7621000) | 3/29/23 | (42196) |
| Natural Gas Future | (7) | (275170) | 4/26/23 | 16356 |
| Cotton No.2 Future | (46) | (1919350) | 5/8/23 | (91251) |
| Wheat Future (CBT) | (37) | (1477688) | 5/12/23 | (32869) |
| Copper Future | (25) | (2384063) | 5/26/23 | (63961) |
| Bank Accept Future | (1774) | (311137851) | 6/19/23 | 1331947 |
| Cotton No.2 Future | (17) | (708730) | 7/7/23 | (20055) |
| Copper Future | (2) | (190800) | 7/27/23 | (1430) |
| Bank Accept Future | (1788) | (314187518) | 9/18/23 | 938032 |
| 3 Month SOFR Future | (928) | (220492800) | 9/19/23 | 759216 |
| Bank Accept Future | (784) | (138249483) | 12/18/23 | 481092 |
| 3 Month SOFR Future | (682) | (162290425) | 12/19/23 | 1250480 |
| 3 Month SOFR Future | (1257) | (300014475) | 3/19/24 | 312257 |
| 3 Month SOFR Future | (1437) | (344377050) | 6/18/24 | 793327 |
| **Total unrealized appreciation/(depreciation)** |  |  |  | $**7795262** |
| **Total net unrealized appreciation** |  |  |  | $**6128469** |

---

**Summary of Investment Type**

---

| | |
|:---|:---|
| <br>**Industry** | **% of**<br>**Net Assets** |
| U.S. Treasury Bills | 82.5% |
| Total Investments | 82.5% |
| Other Assets in Excess of Liabilities | 17.5% |
| **Net Assets** | **100.0%** |

---

See Notes to Financial Statements.

**Simplify Volatility Premium ETF**

**Consolidated Schedule of Investments**

December 31, 2022 (Unaudited)

---

| | | |
|:---|:---|:---|
|  | **Principal** | **Value** |
| **U.S. Government Obligations – 58.4%** |  |  |
| U.S. Treasury Note, 0.38%, 9/15/2024<sup>(a)(b)</sup> | $61000000 | $56894414 |
| U.S. Treasury Note, 2.88%, 6/15/2025<sup>(a)</sup> | 9500000 | 9189766 |
| &nbsp;&nbsp;&nbsp;Total U.S. Government Obligations (Cost $67,235,287) |  | 66084180 |
| **U.S. Treasury Bills – 43.4%** |  |  |
| U.S. Treasury Bill, 4.60%, 6/8/2023<sup>(c)</sup> |  |  |
| &nbsp;&nbsp;&nbsp;(Cost $49,009,945) | $50000000 | 49023916 |

---

---

| | | | |
|:---|:---|:---|:---|
|  | **Number of**<br>**Contracts** | **Notional**<br> **Amount** | |
| **Purchased Options – 0.1%** |  |  |  |
| **Calls – Exchange-Traded – 0.1%** |  |  |  |
| ProShares Ultra VIX Short-Term Futures, January Strike Price $21, Expires 1/20/23 | 4800 | 10080000 | 19200 |
| ProShares Ultra VIX Short-Term Futures, February Strike Price $15, Expires 2/17/23 | 6000 | 9000000 | 138000 |
|  |  |  | 157200 |
| Total Purchased Options (Cost $555,718) |  |  | 157200 |
| Total Investments – 101.9% |  |  |  |
| &nbsp;&nbsp;&nbsp;(Cost $116,800,950) |  |  | $115265296 |
| Liabilities in Excess of Other Assets – (1.9)% |  |  | (2182909) |
| **Net Assets – 100.0%** |  |  | $**113082387** |

---

(a) Securities
with an aggregate market value of $40,568,963 have been pledged as collateral for options as of December 31, 2022.

(b) Security,
 or a portion thereof, in the amount of $11,047,001 has been pledged as collateral for reverse
 repurchase agreements as of December 31, 2022. See note 5 for additional information

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

**At December 31, 2022, open futures contracts were as follows:**

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | <br>**Number of**<br>**Contracts** |<br>**Notional**<br>**Value** | <br>**Expiration**<br>**Date** | **Value/**<br>**Unrealized**<br>**Appreciation**<br>**(Depreciation)** |
| **Short position contracts:** |  |  |  |  |
| CBOE VIX Future | (989) | $(22844021) | 1/18/23 | $1460682 |
| CBOE VIX Future | (188) | (4614516) | 2/15/23 | (18262) |
| **Total net unrealized appreciation** |  |  |  | $**1442420** |

---

See Notes to Financial Statements.

**Simplify Volatility Premium ETF**

**Consolidated Schedule of Investments** (Continued)

December 31, 2022 (Unaudited)

**Summary of Investment Type**

---

| | |
|:---|:---|
| <br>**Industry** | **% of**<br>**Net Assets** |
| U.S. Government Obligations | 58.4% |
| U.S. Treasury Bills | 43.4% |
| Purchased Options | 0.1% |
| Total Investments | 101.9% |
| Liabilities in Excess of Other Assets | (1.9)% |
| **Net Assets** | **100.0%** |

---

**At December 31, 2022, open reverse repurchase agreements were as follows:**

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| <br>**Counterparty** |<br><br>**Interest Rate** | <br>**Trade**<br> **Date** | <br>**Maturity**<br> **Date** |<br>**Face**<br> **Amount** | **Payable for**<br>**Reverse**<br>**Repurchase**<br>**Agreements** |
| Morgan Stanley Capital Services LLC | 4.46% | 12/30/2022 | 1/3/2023 | $11047001 | $11048370 |
|  |  |  |  | $11047001 | $11048370 |

---

See Notes to Financial Statements.

**Simplify Exchange Traded Funds**

**Statements of Assets and Liabilities**

December 31, 2022 (Unaudited)

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | **Simplify<br> Aggregate<br> Bond PLUS<br> Credit Hedge<br> ETF** | &nbsp;&nbsp; **Simplify<br> Developed<br> Ex-US PLUS<br> Downside<br> Convexity ETF** | **Simplify<br> Emerging<br> Markets Equity<br> PLUS Downside<br> Convexity ETF** | &nbsp;&nbsp;&nbsp; **Simplify<br> Enhanced<br> Income ETF** |
| **Assets** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Investments in unaffiliated securities, at value | $1525653 | $22058567 | $4797903 | $2490604 |
| &nbsp;&nbsp;&nbsp;Investments in affiliated securities, at value | 31508 |  |  |  |
| &nbsp;&nbsp;&nbsp;Cash | 119701 |  |  | 24262 |
| &nbsp;&nbsp;&nbsp;Unrealized appreciation on over the counter swaps | 2145 |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Receivables: |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Investment adviser | 362 | 4528 | 1046 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Dividends | 282 | 180 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Interest |  |  | 80 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Capital shares |  | 459871 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Securities sold | - | 21721 | - | - |
| &nbsp;&nbsp;&nbsp;Total assets | 1679651 | 22544867 | 4799029 | 2514866 |
| **Liabilities** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Unrealized depreciation on over the counter swaps | 2747 |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Payables: |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Investment advisory fees | 725 | 9055 | 2091 | 932 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Securities purchased |  | 460850 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Written options |  |  |  | 10395 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Other accrued expenses | 30 | 1309 | 456 | 805 |
| &nbsp;&nbsp;&nbsp;Total liabilities | 3502 | 471214 | 2547 | 12132 |
| **Net Assets** | $1676149 | $22073653 | $4796482 | $2502734 |
| **Net Assets Consist of** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Paid-in capital | $1900282 | $28516019 | $6968763 | $2503731 |
| &nbsp;&nbsp;&nbsp;Distributable earnings (loss) | (224133) | (6442366) | (2172281) | (997) |
| **Net Assets** | $1676149 | $22073653 | $4796482 | $2502734 |
| Number of Common Shares outstanding | 75001 | 1200001 | 275001 | 100001 |
| **Net Asset Value, offering and redemption price per share** | $22.35 | $18.39 | $17.44 | $25.03 |
| Investments, at cost | $1634508 | $24809510 | $5763667 | $2489984 |
| Investments in affiliated securities, at cost | $22453 | $- | $- | $- |
| Premiums received | $- | $- | $- | $13222 |

---

See Notes to Financial Statements.

**Simplify Exchange Traded Funds**

**Statements of Assets and Liabilities** (Continued)

December 31, 2022 (Unaudited)

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | **Simplify Health<br> Care ETF** | **Simplify<br> Hedged Equity<br> ETF** | **Simplify High<br> Yield PLUS<br> Credit Hedge<br> ETF** | &nbsp;&nbsp;**Simplify<br> Interest Rate<br> Hedge ETF** |
| **Assets** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Investments, at value | $57901928 | $89953423 | $35576531 | $370720048 |
| &nbsp;&nbsp;&nbsp;Cash |  |  | 3055439 | 15664316 |
| &nbsp;&nbsp;&nbsp;Unrealized appreciation on over the counter swaps |  |  | 110062 | 1258 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Receivables: |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Dividends | 23919 | 1083 | 12858 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Interest |  |  |  | 1449700 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Capital shares |  | 1125996 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Due from broker |  |  | 1842433 | 24296 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Securities sold |  | 17030683 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Investment adviser | - | - | 9187 | - |
| &nbsp;&nbsp;&nbsp;Total assets | 57925847 | 108111185 | 40606510 | 387859618 |
| **Liabilities** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Due to broker |  |  | 28286 |  |
| &nbsp;&nbsp;&nbsp;Unrealized depreciation on over the counter swaps |  |  | 968585 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Payables: |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Investment advisory fees | 23103 | 44426 | 18373 | 149799 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Capital shares |  | 16889936 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Securities purchased |  | 1272688 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Written options |  | 921360 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Other accrued expenses | - | 27274 | 272 | - |
| &nbsp;&nbsp;&nbsp;Total liabilities | 23103 | 19155684 | 1015516 | 149799 |
| **Net Assets** | $57902744 | $88955501 | $39590994 | $387709819 |
| **Net Assets Consist of** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Paid-in capital | $61731449 | $93948629 | $44910687 | $262253320 |
| &nbsp;&nbsp;&nbsp;Distributable earnings (loss) | (3828705) | (4993128) | (5319693) | 125456499 |
| **Net Assets** | $57902744 | $88955501 | $39590994 | $387709819 |
| Number of Common Shares outstanding | 2175001 | 3950001 | 1850001 | 5375001 |
| **Net Asset Value, offering and redemption price per share** | $26.62 | $22.52 | $21.40 | $72.13 |
| Investments, at cost | $59659338 | $95813771 | $35579237 | $244829803 |
| Premiums received | $- | $2596452 | $- | $- |

---

See Notes to Financial Statements.

**Simplify Exchange Traded Funds**

**Statements of Assets and Liabilities** (Continued)

December 31, 2022 (Unaudited)

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | **Simplify<br> Intermediate<br> Term Treasury<br> Futures<br> Strategy ETF** | **Simplify<br> Nasdaq<br> 100 PLUS<br> Convexity ETF** | **Simplify<br> Nasdaq 100<br> PLUS Downside<br> Convexity ETF** | **Simplify Short<br> Term Treasury<br> Futures<br> Strategy ETF** |
| **Assets** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Investments, at value | $35748499 | $3566189 | $6306894 | $59724910 |
| &nbsp;&nbsp;&nbsp;Cash |  |  | 401 | 799048 |
| &nbsp;&nbsp;&nbsp;Deposit at Broker for Futures Contracts | 14900000 |  |  | 380000 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Receivables: |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Investment adviser | 3094 | 851 | 1673 | 3097 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Interest | 1168 | 8 | 17 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Capital shares |  |  |  | 1240710 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Securities sold | - | 7129 | 6338 | - |
| &nbsp;&nbsp;&nbsp;Total assets | 50652761 | 3574177 | 6315323 | 62147765 |
| **Liabilities** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Due to custodian |  | 822 |  |  |
| &nbsp;&nbsp;&nbsp;Due to broker | 15935155 |  |  | 724844 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Payables: |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Investment advisory fees | 7725 | 1702 | 3346 | 7748 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Other accrued expenses | - | 276 | 1092 | 23 |
| &nbsp;&nbsp;&nbsp;Total liabilities | 15942880 | 2800 | 4438 | 732615 |
| **Net Assets** | $34709881 | $3571377 | $6310885 | $61415150 |
| **Net Assets Consist of** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Paid-in capital | $52536338 | $6539271 | $13769174 | $62086575 |
| &nbsp;&nbsp;&nbsp;Distributable earnings (loss) | (17826457) | (2967894) | (7458289) | (671425) |
| **Net Assets** | $34709881 | $3571377 | $6310885 | $61415150 |
| Number of Common Shares outstanding | 2275001 | 175001 | 325001 | 2475001 |
| **Net Asset Value, offering and redemption price per share** | $15.26 | $20.41 | $19.42 | $24.81 |
| Investments, at cost | $35749445 | $5277667 | $9096401 | $59722804 |

---

See Notes to Financial Statements.

**Simplify Exchange Traded Funds**

**Statements of Assets and Liabilities** (Continued)

December 31, 2022 (Unaudited)

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | **Simplify Stable<br> Income ETF** | **Simplify Tail<br> Risk Strategy<br> ETF** | **Simplify US<br> Equity PLUS<br> Convexity ETF** | **Simplify US<br> Equity PLUS<br> Downside<br> Convexity ETF** |
| **Assets** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Investments in unaffiliated securities, at value | $3099963 | $223570 | $76888102 | $238886935 |
| &nbsp;&nbsp;&nbsp;Investments in affiliated securities, at value |  | 23470538 |  |  |
| &nbsp;&nbsp;&nbsp;Cash | 34149 |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Receivables: |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Interest |  | 435 | 536 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Dividends |  |  |  | 43949 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Capital shares |  |  | 1271959 | 8487235 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Due from broker |  | 4122 | 12266 | 31691 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Securities sold |  | 1224785 |  | 6691174 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Investment adviser | - | 52712 | 15428 | 58591 |
| &nbsp;&nbsp;&nbsp;Total assets | 3134112 | 24976162 | 78188291 | 254199575 |
| **Liabilities** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Due to custodian |  | 45421 | 5 | 26 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Payables: |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Written options | 2310 |  | 4220 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Investment advisory fees | 932 | 18759 | 30856 | 117182 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Capital shares |  | 1174487 |  | 5465004 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Securities purchased |  |  | 1265913 | 9702680 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Other accrued expenses | 193 | 9768 | 3678 | 62026 |
| &nbsp;&nbsp;&nbsp;Total liabilities | 3435 | 1248435 | 1304672 | 15346918 |
| **Net Assets** | $3130677 | $23727727 | $76883619 | $238852657 |
| **Net Assets Consist of** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Paid-in capital | $3130183 | $67586856 | $90326950 | $343101219 |
| &nbsp;&nbsp;&nbsp;Distributable earnings (loss) | 494 | (43859129) | (13443331) | (104248562) |
| **Net Assets** | $3130677 | $23727727 | $76883619 | $238852657 |
| Number of Common Shares outstanding | 125001 | 2025001 | 3029000 | 9850001 |
| **Net Asset Value, offering and redemption price per share** | $25.05 | $11.72 | $25.38 | $24.25 |
| Investments, at cost | $3099115 | $241879 | $83802621 | $278871932 |
| Investments in affiliated securities, at cost | $- | $23155607 | $- | $- |
| Premiums received | $2918 | $- | $146039 | $- |

---

See Notes to Financial Statements.

**Simplify Exchange Traded Funds**

**Statements of Assets and Liabilities** (Continued)

December 31, 2022 (Unaudited)

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | **Simplify US<br> Equity PLUS<br> GBTC ETF** | **Simplify<br> US Equity<br> PLUS Upside<br> Convexity ETF** | **Simplify US<br> Small Cap<br> PLUS Downside<br> Convexity ETF** | **Simplify Volt<br> Cloud and<br> Cybersecurity<br> Disruption ETF** |
| **Assets** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Investments, at value | $44917023 | $10509762 | $2356651 | $3824018 |
| &nbsp;&nbsp;&nbsp;Deposit at Broker for Futures Contracts | 2752421 |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Receivables: |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Securities sold | 1298042 |  | 2370 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Interest | 3537 | 63 | 31 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Dividends |  |  |  | 643 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Investment adviser | - | 2704 | 595 | - |
| &nbsp;&nbsp;&nbsp;Total assets | 48971023 | 10512529 | 2359647 | 3824661 |
| **Liabilities** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Due to custodian |  | 4 |  | 10 |
| &nbsp;&nbsp;&nbsp;Due to broker | 1323727 |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Payables: |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Securities purchased | 1739769 |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Investment advisory fees | 19910 | 5409 | 1191 | 3373 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Variation margin on futures contracts | 10972 |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Distributions payable | 30 |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Written options |  | 1595 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Other accrued expenses | - | - | 166 | 44 |
| &nbsp;&nbsp;&nbsp;Total liabilities | 3094408 | 7008 | 1357 | 3427 |
| **Net Assets** | $45876615 | $10505521 | $2358290 | $3821234 |
| **Net Assets Consist of** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Paid-in capital | $65078949 | $12869173 | $3165787 | $14977526 |
| &nbsp;&nbsp;&nbsp;Distributable earnings (loss) | (19202334) | (2363652) | (807497) | (11156292) |
| **Net Assets** | $45876615 | $10505521 | $2358290 | $3821234 |
| Number of Common Shares outstanding | 2275001 | 400001 | 125001 | 825316 |
| **Net Asset Value, offering and redemption price per share** | $20.17 | $26.26 | $18.87 | $4.63 |
| Investments, at cost | $57701053 | $12331115 | $2749845 | $4674272 |
| Premiums received | $- | $64515 | $- | $- |

---

See Notes to Financial Statements.

**Simplify Exchange Traded Funds**

**Statements of Assets and Liabilities** (Continued)

December 31, 2022 (Unaudited)

---

| | |
|:---|:---|
|  | **Simplify Volt<br> RoboCar<br> Disruption and<br> Tech ETF** |
| **Assets** |  |
| &nbsp;&nbsp;&nbsp;Investments, at value | $2548809 |
| &nbsp;&nbsp;&nbsp;Cash | 460 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Receivables: |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Dividends | 2083 |
| &nbsp;&nbsp;&nbsp;Total assets | 2551352 |
| **Liabilities** |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Payables: |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Investment advisory fees | 2260 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Other accrued expenses | 28 |
| &nbsp;&nbsp;&nbsp;Total liabilities | 2288 |
| **Net Assets** | $2549064 |
| **Net Assets Consist of** |  |
| &nbsp;&nbsp;&nbsp;Paid-in capital | $8357168 |
| &nbsp;&nbsp;&nbsp;Distributable earnings (loss) | (5808104) |
| **Net Assets** | $2549064 |
| Number of Common Shares outstanding | 425420 |
| **Net Asset Value, offering and redemption price per share** | $5.99 |
| Investments, at cost | $3089788 |

---

See Notes to Financial Statements.

**Simplify Exchange Traded Funds**

**Consolidated Statements of Assets and Liabilities**

December 31, 2022 (Unaudited)

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | **Simplify Bitcoin<br> Strategy PLUS<br> Income ETF** | **Simplify Macro<br> Strategy ETF** | **Simplify Managed<br> Futures<br> Strategy ETF** | **Simplify<br> Volatility<br> Premium ETF** |
| **Assets** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Investments in unaffiliated securities, at value | $13994534 | $3539921 | $130478899 | $115265296 |
| &nbsp;&nbsp;&nbsp;Investments in affiliated securities, at value |  | 17745837 |  |  |
| &nbsp;&nbsp;&nbsp;Cash | 268636 | 458160 | 7531522 | 14767015 |
| &nbsp;&nbsp;&nbsp;Deposit at Broker for Futures Contracts | 3413951 |  | 20351768 | 4716512 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Receivables: |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Securities sold | 13476498 |  | 120995 | 14968 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Due from broker | 75084 |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Other income | 2584 |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Interest | 1557 | 3459 | 6842 | 77092 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Variation margin on futures contracts |  |  | 44497 | 201958 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Capital shares |  |  |  | 2592728 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Investment adviser | - | 24317 | - | - |
| &nbsp;&nbsp;&nbsp;Total assets | 31232844 | 21771694 | 158534523 | 137635569 |
| **Liabilities** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Payables: |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Reverse repurchase agreement | 26949322 |  |  | 11047001 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Written options | 11550 | 154620 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Investment advisory fees | 3223 | 13603 | 121115 | 46983 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Interest on reverse repurchase agreement | 1669 |  |  | 1369 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Securities purchased |  |  |  | 13442861 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Variation margin on futures contracts |  |  | 165492 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Distributions payable |  |  | 22135 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Other accrued expenses | 1153 | - | - | 14968 |
| &nbsp;&nbsp;&nbsp;Total liabilities | 26966917 | 168223 | 308742 | 24553182 |
| **Net Assets** | $4265927 | $21603471 | $158225781 | $113082387 |
| **Net Assets Consist of** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Paid-in capital | $5126936 | $22836201 | $178104629 | $117454815 |
| &nbsp;&nbsp;&nbsp;Distributable earnings (loss) | (861009) | (1232730) | (19878848) | (4372428) |
| **Net Assets** | $4265927 | $21603471 | $158225781 | $113082387 |
| Number of Common Shares outstanding | 410001 | 925001 | 6025001 | 5175001 |
| **Net Asset Value, offering and redemption price per share** | $10.40 | $23.36 | $26.26 | $21.85 |
| Investments, at cost | $13995005 | $3983861 | $130501266 | $116800950 |
| Investments in affiliated securities, at cost | $- | $18487125 | $- | $- |
| Premiums received | $14591 | $299910 | $- | $- |

---

See Notes to Financial Statements.

**Simplify Exchange Traded Funds**

**Statements of Operations**

For the Six Months Ended December 31, 2022 (Unaudited)

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | **Simplify**<br> **Aggregate**<br> **Bond PLUS**<br> **Credit Hedge**<br> **ETF** | **Simplify**<br> **Developed**<br> **Ex-US PLUS**<br> **Downside**<br> **Convexity ETF** | **Simplify**<br> **Emerging**<br> **Markets Equity**<br> **PLUS Downside**<br> **Convexity ETF** | **Simplify**<br> **Enhanced**<br> **Income ETF<sup>(1)</sup>** |
| **Investment Income** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Unaffiliated dividend income | $26645 | $112627 | $67718 | $- |
| &nbsp;&nbsp;&nbsp;Affiliated dividend income | 256 |  |  |  |
| &nbsp;&nbsp;&nbsp;Interest income | - | - | - | 14205 |
| &nbsp;&nbsp;&nbsp;Total income | 26901 | 112627 | 67718 | 14205 |
| **Expenses** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Investment advisory fees | 4849 | 52529 | 17236 | 1837 |
| &nbsp;&nbsp;&nbsp;Interest expense | 86 | 5877 | 2207 | 1455 |
| &nbsp;&nbsp;&nbsp;Other expenses | 93 | 126 | 142 | 20 |
| &nbsp;&nbsp;&nbsp;Total expenses | 5028 | 58532 | 19585 | 3312 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Less fees waived (see Note 6): |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Waiver | (2454) | (26287) | (8650) | - |
| &nbsp;&nbsp;&nbsp;Net expenses | 2574 | 32245 | 10935 | 3312 |
| &nbsp;&nbsp;&nbsp;Net investment income (loss) | 24327 | 80382 | 56783 | 10893 |
| **Realized and Unrealized Gain (Loss)** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Net realized gain (loss) from: |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Investments | (157200) | (3744819) | (1463666) | (1576) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Affiliated investments | 5215 |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;In-kind redemptions | (55478) | (28520) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Affiliated in-kind redemptions | 8832 |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Swaps | 9467 |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Written options | 70019 | 1639408 | 576515 | 1779 |
| &nbsp;&nbsp;&nbsp;Net realized gain (loss) | (119145) | (2133931) | (887151) | 203 |
| &nbsp;&nbsp;&nbsp;Net change in unrealized appreciation (depreciation) on: |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Investments | (29250) | 1041404 | (32066) | 620 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Affiliated investments | 3307 |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Swaps | (5839) |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Written options | (318) | - | - | 2827 |
| &nbsp;&nbsp;&nbsp;Net unrealized gain (loss) | (32100) | 1041404 | (32066) | 3447 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Net realized and unrealized gain (loss) | (151245) | (1092527) | (919217) | 3650 |
| **Net Increase (Decrease) in Net Assets Resulting from Operations** | $(126918) | $(1012145) | $(862434) | $14543 |

---

(1) For
the period October 28, 2022 (commencement of operations) through December 31, 2022.

See Notes to Financial Statements.

**Simplify Exchange Traded Funds**

**Statements of Operations** (Continued)

For the Six Months Ended December 31, 2022 (Unaudited)

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | **Simplify Health<br> Care ETF** | **Simplify Hedged<br> Equity ETF** | **Simplify High<br> Yield PLUS<br> Credit Hedge ETF** | **Simplify Interest<br> Rate Hedge ETF** |
| **Investment Income** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Dividend income | $214261 | $814199 | $1604 | $- |
| &nbsp;&nbsp;&nbsp;Interest income | - | - | 545270 | 3192130 |
| &nbsp;&nbsp;&nbsp;Total income | 214261 | 814199 | 546874 | 3192130 |
| **Expenses** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Investment advisory fees | 121049 | 198966 | 118794 | 852985 |
| &nbsp;&nbsp;&nbsp;Interest expense | 5 | 105929 | 4032 | 27 |
| &nbsp;&nbsp;&nbsp;Other expenses | 44 | 199 | 278 | 58 |
| &nbsp;&nbsp;&nbsp;Total expenses | 121098 | 305094 | 123104 | 853070 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Less fees waived (see Note 6): |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Waiver | - | - | (59406) | - |
| &nbsp;&nbsp;&nbsp;Net expenses | 121098 | 305094 | 63698 | 853070 |
| &nbsp;&nbsp;&nbsp;Net investment income (loss) | 93163 | 509105 | 483176 | 2339060 |
| **Realized and Unrealized Gain (Loss)** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Net realized gain (loss) from: |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Investments | 91943 | (3942176) | (1989342) | 3567417 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;In-kind redemptions | 604352 | 1397708 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Swaps |  |  | 1095614 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Written options | - | 2913713 | 1318618 | - |
| &nbsp;&nbsp;&nbsp;Net realized gain (loss) | 696295 | 369245 | 424890 | 3567417 |
| &nbsp;&nbsp;&nbsp;Net change in unrealized appreciation (depreciation) on: |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Investments | 1414503 | (1134953) | 465 | 74317137 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Swaps |  |  | (724414) | 529 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Written options | - | 1157243 | (15674) | - |
| &nbsp;&nbsp;&nbsp;Net unrealized gain (loss) | 1414503 | 22290 | (739623) | 74317666 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Net realized and unrealized gain (loss) | 2110798 | 391535 | (314733) | 77885083 |
| **Net Increase (Decrease) in Net Assets Resulting from Operations** | $2203961 | $900640 | $168443 | $80224143 |

---

See Notes to Financial Statements.

**Simplify Exchange Traded Funds**

**Statements of Operations** (Continued)

For the Six Months Ended December 31, 2022 (Unaudited)

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | **Simplify Intermediate**<br> **Term Treasury**<br> **Futures**<br> **Strategy ETF** | **Simplify Nasdaq**<br> **100 PLUS**<br> **Convexity ETF** | **Simplify Nasdaq 100**<br> **PLUS Downside**<br> **Convexity ETF** | **Simplify Short<br> Term Treasury**<br> **Futures**<br> **Strategy ETF<sup>(1)</sup>** |
| **Investment Income** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Dividend income | $51584 | $18116 | $56454 | $- |
| &nbsp;&nbsp;&nbsp;Interest income | 400681 | - | - | 137361 |
| &nbsp;&nbsp;&nbsp;Total income | 452265 | 18116 | 56454 | 137361 |
| **Expenses** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Investment advisory fees | 52813 | 12273 | 38511 | 9245 |
| &nbsp;&nbsp;&nbsp;Interest expense | 5361 | 1432 | 6277 | 23 |
| &nbsp;&nbsp;&nbsp;Other expenses | 58 | 200 | 225 | - |
| &nbsp;&nbsp;&nbsp;Total expenses | 58232 | 13905 | 45013 | 9268 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Less fees waived (see Note 6): |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Waiver | (21195) | (6196) | (19314) | (3696) |
| &nbsp;&nbsp;&nbsp;Net expenses | 37037 | 7709 | 25699 | 5572 |
| &nbsp;&nbsp;&nbsp;Net investment income (loss) | 415228 | 10407 | 30755 | 131789 |
| **Realized and Unrealized Gain (Loss)** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Net realized gain (loss) from: |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Investments | (9484) | (765626) | (3315046) |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;In-kind redemptions |  |  | (2651576) |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Affiliated in-kind redemptions |  | (395381) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Futures | (7030586) |  |  | (152142) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Written options | - | 270483 | 1911770 | - |
| &nbsp;&nbsp;&nbsp;Net realized gain (loss) | (7040070) | (890524) | (4054852) | (152142) |
| &nbsp;&nbsp;&nbsp;Net change in unrealized appreciation (depreciation) on: |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Investments | 769 | 453948 | 2268900 | 2106 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Futures | 362005 | - | - | (572702) |
| &nbsp;&nbsp;&nbsp;Net unrealized gain (loss) | 362774 | 453948 | 2268900 | (570596) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Net realized and unrealized gain (loss) | (6677296) | (436576) | (1785952) | (722738) |
| **Net Increase (Decrease) in Net Assets Resulting from Operations** | $(6262068) | $(426169) | $(1755197) | $(590949) |

---

(1) For
the period November 15, 2022 (commencement of operations) through December 31, 2022.

See Notes to Financial Statements.

**Simplify Exchange Traded Funds**

**Statements of Operations** (Continued)

For the Six Months Ended December 31, 2022 (Unaudited)

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | **Simplify Stable<br> Income ETF<sup>(1)</sup>** | **Simplify Tail<br> Risk Strategy ETF** | **Simplify US<br> Equity PLUS<br> Convexity ETF** | **Simplify US<br> Equity PLUS<br> Downside<br> Convexity ETF** |
| **Investment Income** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Unaffiliated dividend income | $- | $19194 | $547940 | $3317361 |
| &nbsp;&nbsp;&nbsp;Affiliated dividend income |  | 2509860 |  |  |
| &nbsp;&nbsp;&nbsp;Interest income | 19175 | - | - | - |
| &nbsp;&nbsp;&nbsp;Total income | 19175 | 2529054 | 547940 | 3317361 |
| **Expenses** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Investment advisory fees | 1701 | 247775 | 146511 | 991789 |
| &nbsp;&nbsp;&nbsp;Interest expense | 356 | 62944 | 19445 | 317854 |
| &nbsp;&nbsp;&nbsp;Other expenses | 30 | 168 | 78 | 213 |
| &nbsp;&nbsp;&nbsp;Total expenses | 2087 | 310887 | 166034 | 1309856 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Less fees waived (see Note 6): |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Waiver | - | (165503) | (73345) | (496206) |
| &nbsp;&nbsp;&nbsp;Net expenses | 2087 | 145384 | 92689 | 813650 |
| &nbsp;&nbsp;&nbsp;Net investment income (loss) | 17088 | 2383670 | 455251 | 2503711 |
| **Realized and Unrealized Gain (Loss)** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Net realized gain (loss) from: |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Investments | (464) | (70130157) | (6842548) | (93103568) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Affiliated investments |  | (3239071) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;In-kind redemptions |  | 1814 | (735922) | (11975385) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Affiliated in-kind redemptions |  | 816014 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Written options | 764 | 42924987 | 2697739 | 51934052 |
| &nbsp;&nbsp;&nbsp;Net realized gain (loss) | 300 | (29626413) | (4880731) | (53144901) |
| &nbsp;&nbsp;&nbsp;Net change in unrealized appreciation (depreciation) on: |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Investments | 848 | (3873860) | 1557288 | 21564624 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Affiliated investments |  | 1307527 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Written options | 608 | - | 141819 | - |
| &nbsp;&nbsp;&nbsp;Net unrealized gain (loss) | 1456 | (2566333) | 1699107 | 21564624 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Net realized and unrealized gain (loss) | 1756 | (32192746) | (3181624) | (31580277) |
| **Net Increase (Decrease) in Net Assets Resulting from Operations** | $18844 | $(29809076) | $(2726373) | $(29076566) |

---

(1) For
the period October 28, 2022 (commencement of operations) through December 31, 2022.

See Notes to Financial Statements.

**Simplify Exchange Traded Funds**

**Statements of Operations** (Continued)

For the Six Months Ended December 31, 2022 (Unaudited)

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | **Simplify US<br> Equity PLUS<br> GBTC ETF** | **Simplify<br> US Equity**<br> **PLUS Upside<br> Convexity ETF** | **Simplify US<br> Small Cap<br> PLUS Downside<br> Convexity ETF** | **Simplify Volt<br> Cloud and<br> Cybersecurity<br> Disruption ETF** |
| **Investment Income** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Dividend income\* | $393880 | $122249 | $24838 | $12981 |
| **Expenses** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Investment advisory fees | 136492 | 31890 | 7390 | 26863 |
| &nbsp;&nbsp;&nbsp;Interest expense | 2469 | 335 | 865 | 664 |
| &nbsp;&nbsp;&nbsp;Other expenses | 58 | 58 | 121 | 266 |
| &nbsp;&nbsp;&nbsp;Total expenses | 139019 | 32283 | 8376 | 27793 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Less fees waived (see Note 6): |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Waiver | - | (16003) | (3726) | - |
| &nbsp;&nbsp;&nbsp;Net expenses | 139019 | 16280 | 4650 | 27793 |
| &nbsp;&nbsp;&nbsp;Net investment income (loss) | 254861 | 105969 | 20188 | (14812) |
| **Realized and Unrealized Gain (Loss)** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Net realized gain (loss) from: |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Investments | (265957) | (491738) | (473080) | (2759495) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;In-kind redemptions | (2665545) | 96514 | (69508) |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Futures | 446738 |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Written options | - | 113042 | 194895 | 325639 |
| &nbsp;&nbsp;&nbsp;Net realized gain (loss) | (2484764) | (282182) | (347693) | (2433856) |
| &nbsp;&nbsp;&nbsp;Net change in unrealized appreciation (depreciation) on: |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Investments | 3593090 | 68603 | 151460 | 204148 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Futures | (193405) |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Written options | - | 62920 | - | - |
| &nbsp;&nbsp;&nbsp;Net unrealized gain (loss) | 3399685 | 131523 | 151460 | 204148 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Net realized and unrealized gain (loss) | 914921 | (150659) | (196233) | (2229708) |
| **Net Increase (Decrease) in Net Assets Resulting from Operations** | $1169782 | $(44690) | $(176045) | $(2244520) |
| \* Withholding tax. | $- | $- | $- | $171 |

---

See Notes to Financial Statements.

**Simplify Exchange Traded Funds**

**Statements of Operations** (Continued)

For the Six Months Ended December 31, 2022 (Unaudited)

---

| | |
|:---|:---|
|  | **Simplify Volt RoboCar Disruption and Tech ETF** |
| **Investment Income** |  |
| &nbsp;&nbsp;&nbsp;Dividend income\* | $20577 |
| **Expenses** |  |
| &nbsp;&nbsp;&nbsp;Investment advisory fees | 18118 |
| &nbsp;&nbsp;&nbsp;Interest expense | 980 |
| &nbsp;&nbsp;&nbsp;Other expenses | 380 |
| &nbsp;&nbsp;&nbsp;Total expenses | 19478 |
| &nbsp;&nbsp;&nbsp;Net investment income (loss) | 1099 |
| **Realized and Unrealized Gain (Loss)** |  |
| &nbsp;&nbsp;&nbsp;Net realized gain (loss) from: |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Investments | (7279119) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;In-kind redemptions | 5613 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Written options | 6027523 |
| &nbsp;&nbsp;&nbsp;Net realized gain (loss) | (1245983) |
| &nbsp;&nbsp;&nbsp;Net change in unrealized appreciation (depreciation) on: |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Investments | (136120) |
| &nbsp;&nbsp;&nbsp;Net unrealized gain (loss) | (136120) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Net realized and unrealized gain (loss) | (1382103) |
| **Net Increase (Decrease) in Net Assets Resulting from Operations** | $(1381004) |
| \* Withholding tax | $514 |

---

See Notes to Financial Statements.

**Simplify Exchange Traded Funds**

**Consolidated Statements of Operations**

For the Six Months Ended December 31, 2022 (Unaudited)

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | **Simplify Bitcoin<br> Strategy PLUS<br> Income ETF<sup>(1)</sup>** | **Simplify Macro<br> Strategy ETF** | **Simplify Managed<br> Futures<br> Strategy ETF**  | **Simplify Volatility<br> Premium ETF** |
| **Investment Income** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Affiliated dividend income | $- | $724054 | $- | $- |
| &nbsp;&nbsp;&nbsp;Interest income | 130125 | 10265 | 1884898 | 1742937 |
| &nbsp;&nbsp;&nbsp;Total income | 130125 | 734319 | 1884898 | 1742937 |
| **Expenses** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Investment advisory fees | 9659 | 64109 | 514345 | 275430 |
| &nbsp;&nbsp;&nbsp;Interest on reverse repurchase agreement | 111291 |  |  | 487336 |
| &nbsp;&nbsp;&nbsp;Interest expense | 4146 | 1540 | 7128 | 252218 |
| &nbsp;&nbsp;&nbsp;Other expenses | 1157 | 110 | 30 | 93 |
| &nbsp;&nbsp;&nbsp;Total expenses | 126253 | 65759 | 521503 | 1015077 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Less fees waived (see Note 6): |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Waiver | - | (29918) | - | - |
| &nbsp;&nbsp;&nbsp;Net expenses | 126253 | 35841 | 521503 | 1015077 |
| &nbsp;&nbsp;&nbsp;Net investment income (loss) | 3872 | 698478 | 1363395 | 727860 |
| **Realized and Unrealized Gain (Loss)** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Net realized gain (loss) from: |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Investments | 88264 | (257484) | (14046) | (3734131) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Affiliated investments |  | (347888) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;In-kind redemptions |  | 8150 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Affiliated in-kind redemptions |  | 105350 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Futures | (807688) |  | (16836768) | 9540966 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Written options | 59470 | 174630 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Foreign currency transactions |  |  | 58244 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Capital gain distributions from affiliated funds | - | 104844 | - | - |
| &nbsp;&nbsp;&nbsp;Net realized gain (loss) | (659954) | (212398) | (16792570) | 5806835 |
| &nbsp;&nbsp;&nbsp;Net change in unrealized appreciation (depreciation) on: |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Investments | (471) | (104602) | (14773) | (377849) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Affiliated investments |  | (719318) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Foreign currency translations |  |  | 51319 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Futures | (18823) |  | 4583306 | 1907625 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Written options | 3041 | 133699 | - | - |
| &nbsp;&nbsp;&nbsp;Net unrealized gain (loss) | (16253) | (690221) | 4619852 | 1529776 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Net realized and unrealized gain (loss) | (676207) | (902619) | (12172718) | 7336611 |
| **Net Increase (Decrease) in Net Assets Resulting from Operations** | $(672335) | $(204141) | $(10809323) | $8064471 |

---

(1) For
the period September 30, 2022 (commencement of operations) through December 31, 2022.

See Notes to Financial Statements.

**Simplify Exchange Traded Funds**

**Statements of Changes in Net Assets**

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | **Simplify Aggregate Bond**<br> **PLUS Credit Hedge ETF** | **Simplify Aggregate Bond**<br> **PLUS Credit Hedge ETF** | **Simplify Developed Ex-US**<br> **PLUS Downside Convexity ETF** | **Simplify Developed Ex-US**<br> **PLUS Downside Convexity ETF** |
|  | **For the<br> Six Months Ended<br> December 31,<br> 2022**<br> **(Unaudited)** | **For the period<br> February 15,**<br> **2022<sup>(1)</sup> to**<br> **June 30,<br> 2022** | **For the<br> Six Months Ended <br> December 31,<br> 2022**<br> **(Unaudited)** | **For the period<br> January 11,<br> 2022<sup>(1)</sup> to**<br> **June 30,<br> 2022** |
| **Increase (Decrease) in Net Assets from Operations** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Net investment income (loss) | $24327 | $6406 | $80382 | $383738 |
| &nbsp;&nbsp;&nbsp;Net realized gain (loss) | (119145) | 871 | (2133931) | (1963909) |
| &nbsp;&nbsp;&nbsp;Net change in net unrealized appreciation (depreciation) | (32100) | (68334) | 1041404 | (3792347) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Net increase (decrease) in net assets resulting from operations | (126918) | (61057) | (1012145) | (5372518) |
| **Distributions** | (29389) | (6769) | (85704) | (383771) |
| **Fund Shares Transactions** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Proceeds from shares sold | 2343488 | 1250025 | 9152437 | 46645061 |
| &nbsp;&nbsp;&nbsp;Value of shares redeemed | (1693231) | - | (5721784) | (21147923) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Net increase (decrease) in net assets resulting from fund share transactions | 650257 | 1250025 | 3430653 | 25497138 |
| &nbsp;&nbsp;&nbsp;Total net increase (decrease) in Net Assets | 493950 | 1182199 | 2332804 | 19740849 |
| **Net Assets** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Beginning of period | 1182199 | - | 19740849 | - |
| &nbsp;&nbsp;&nbsp;End of period | $1676149 | $1182199 | $22073653 | $19740849 |
| **Changes in Shares Outstanding** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Shares outstanding, beginning of period | 50001 |  | 1025001 |  |
| &nbsp;&nbsp;&nbsp;Shares sold | 100000 | 50001<sup>(2)</sup> | 500000 | 2000001<sup>(2)</sup> |
| &nbsp;&nbsp;&nbsp;Shares redeemed | (75000) | - | (325000) | (975000) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Shares outstanding, end of period | 75001 | 50001 | 1200001 | 1025001 |

---

(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.

**Simplify Exchange Traded Funds**

**Statements of Changes in Net Assets** (Continued)

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | **Simplify Emerging<br> Markets Equity**<br> **PLUS Downside<br> Convexity ETF** | **Simplify Emerging<br> Markets Equity**<br> **PLUS Downside<br> Convexity ETF** | **Simplify Enhanced**<br> **Income ETF** | **Simplify Health Care ETF** | **Simplify Health Care ETF** |
|  | **For the**<br> **Six Months Ended**<br> **December 31,<br> 2022**<br> **(Unaudited)** | **For the period**<br> **January 11,**<br> **2022<sup>(1)</sup> to**<br> **June 30,<br> 2022** | **For the period**<br> **October 28,**<br> **2022<sup>(1)</sup> to**<br> **December 31,<br> 2022**<br> **(Unaudited)** | **For the**<br> **Six Months Ended**<br> **December 31,**<br> **2022**<br> **(Unaudited)** | **For the period**<br> **October 8,**<br> **2021<sup>(1)</sup> to**<br> **June 30,<br> 2022** |
| **Increase (Decrease) in Net Assets from Operations** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Net investment income (loss) | $56783 | $84736 | $10893 | $93163 | $95372 |
| &nbsp;&nbsp;&nbsp;Net realized gain (loss) | (887151) | (317361) | 203 | 696295 | (3890791) |
| &nbsp;&nbsp;&nbsp;Net change in net unrealized appreciation (depreciation) | (32066) | (933698) | 3447 | 1414503 | (3171913) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Net increase (decrease) in net assets resulting from operations | (862434) | (1166323) | 14543 | 2203961 | (6967332) |
| **Distributions** | (58793) | (84731) | (15540) | (100132) | (85814) |
| **Fund Shares Transactions** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Proceeds from shares sold | 479174 | 8712687 | 3130660 | 58057109 | 105564777 |
| &nbsp;&nbsp;&nbsp;Value of shares redeemed | (2223098) | - | (626929) | (36062320) | (64707505) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Net increase (decrease) in net assets resulting from fund share transactions | (1743924) | 8712687 | 2503731 | 21994789 | 40857272 |
| &nbsp;&nbsp;&nbsp;Total net increase (decrease) in Net Assets | (2665151) | 7461633 | 2502734 | 24098618 | 33804126 |
| **Net Assets** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Beginning of period | 7461633 | - | - | 33804126 | - |
| &nbsp;&nbsp;&nbsp;End of period | $4796482 | $7461633 | $2502734 | $57902744 | $33804126 |
| **Changes in Shares Outstanding** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Shares outstanding, beginning of period | 375001 |  |  | 1375001 |  |
| &nbsp;&nbsp;&nbsp;Shares sold | 25000 | 375001<sup>(2)</sup> | 125001<sup>(2)</sup> | 2250000 | 3925001<sup>(2)</sup> |
| &nbsp;&nbsp;&nbsp;Shares redeemed | (125000) | - | (25000) | (1450000) | (2550000) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Shares outstanding, end of period | 275001 | 375001 | 100001 | 2175001 | 1375001 |

---

(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.

**Simplify Exchange Traded Funds**

**Statements of Changes in Net Assets** (Continued)

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | **Simplify Hedged<br> Equity ETF** | **Simplify Hedged<br> Equity ETF** | **Simplify High Yield<br> PLUS Credit Hedge ETF** | **Simplify High Yield<br> PLUS Credit Hedge ETF** |
|  | **For the**<br> **Six Months Ended**<br> **December 31,<br> 2022**<br> **(Unaudited)** | **For the period**<br> **November 2,**<br> **2021<sup>(1)</sup> to**<br> **June 30,<br> 2022** | **For the<br> Six Months Ended<br> December 31,<br> 2022**<br> **(Unaudited)** | **For the period**<br> **February 15,**<br> **2022<sup>(1)</sup> to**<br> **June 30,<br> 2022** |
| **Increase (Decrease) in Net Assets from Operations** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Net investment income (loss) | $509105 | $163070 | $483176 | $13092 |
| &nbsp;&nbsp;&nbsp;Net realized gain (loss) | 369245 | 2079317 | 424890 | (2573020) |
| &nbsp;&nbsp;&nbsp;Net change in net unrealized appreciation (depreciation) | 22290 | (4207546) | (739623) | (117592) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Net increase (decrease) in net assets resulting from operations | 900640 | (1965159) | 168443 | (2677520) |
| **Distributions to Shareholders from:** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Distributions | (3756968) | (163205) | (2542929) | (267687) |
| &nbsp;&nbsp;&nbsp;Return of capital | - | - | - | (128698) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Total distributions | (3756968) | (163205) | (2542929) | (396385) |
| **Fund Shares Transactions** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Proceeds from shares sold | 89529501 | 40756521 | 32076064 | 35417121 |
| &nbsp;&nbsp;&nbsp;Variable transaction fees (see Note 8) |  |  |  | 11467 |
| &nbsp;&nbsp;&nbsp;Value of shares redeemed | (35080911) | (1264918) | (20120959) | (2344308) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Net increase (decrease) in net assets resulting from fund share transactions | 54448590 | 39491603 | 11955105 | 33084280 |
| &nbsp;&nbsp;&nbsp;Total net increase (decrease) in Net Assets | 51592262 | 37363239 | 9580619 | 30010375 |
| **Net Assets** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Beginning of period | 37363239 | - | 30010375 | - |
| &nbsp;&nbsp;&nbsp;End of period | $88955501 | $37363239 | $39590994 | $30010375 |
| **Changes in Shares Outstanding** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Shares outstanding, beginning of period | 1625001 |  | 1350001 |  |
| &nbsp;&nbsp;&nbsp;Shares sold | 3850000 | 1675001<sup>(2)</sup> | 1400000 | 1450001<sup>(2)</sup> |
| &nbsp;&nbsp;&nbsp;Shares redeemed | (1525000) | (50000) | (900000) | (100000) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Shares outstanding, end of period | 3950001 | 1625001 | 1850001 | 1350001 |

---

(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.

**Simplify Exchange Traded Funds**

**Statements of Changes in Net Assets** (Continued)

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | **Simplify Interest<br> Rate Hedge ETF** | **Simplify Interest<br> Rate Hedge ETF** | **Simplify Intermediate Term<br> Treasury Futures Strategy ETF** | **Simplify Intermediate Term<br> Treasury Futures Strategy ETF** |
|  | **For the**<br> **Six Months Ended**<br> **December 31,<br> 2022**<br> **(Unaudited)** | **Year Ended**<br> **June 30,<br> 2022** | **For the**<br> **Six Months Ended**<br> **December 31,<br> 2022**<br> **(Unaudited)** | **For the period**<br> **September 28,**<br> **2021<sup>(1)</sup> to**<br> **June 30,<br> 2022** |
| **Increase (Decrease) in Net Assets from Operations** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Net investment income (loss) | $2339060 | $84026 | $415228 | $211551 |
| &nbsp;&nbsp;&nbsp;Net realized gain (loss) | 3567417 | (4002256) | (7040070) | (10837774) |
| &nbsp;&nbsp;&nbsp;Net change in net unrealized appreciation (depreciation) | 74317666 | 63416182 | 362774 | (1130315) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Net increase (decrease) in net assets resulting from operations | 80224143 | 59497952 | (6262068) | (11756538) |
| **Distributions** | (2379977) | (40085) | (604704) | (204525) |
| **Fund Shares Transactions** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Proceeds from shares sold | 12768412 | 179625840 | 23761596 | 91225507 |
| &nbsp;&nbsp;&nbsp;Variable transaction fees (see Note 8) | 217009 | 2721271 |  |  |
| &nbsp;&nbsp;&nbsp;Value of shares redeemed | (5096512) | (2688355) | (22399123) | (39050264) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Net increase (decrease) in net assets resulting from fund share transactions | 7888909 | 179658756 | 1362473 | 52175243 |
| &nbsp;&nbsp;&nbsp;Total net increase (decrease) in Net Assets | 85733075 | 239116623 | (5504299) | 40214180 |
| **Net Assets** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Beginning of period | 301976744 | 62860121 | 40214180 | - |
| &nbsp;&nbsp;&nbsp;End of period | $387709819 | $301976744 | $34709881 | $40214180 |
| **Changes in Shares Outstanding** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Shares outstanding, beginning of period | 5275001 | 1550001 | 2200001 |  |
| &nbsp;&nbsp;&nbsp;Shares sold | 175000 | 3775000 | 1350000 | 4350001<sup>(2)</sup> |
| &nbsp;&nbsp;&nbsp;Shares redeemed | (75000) | (50000) | (1275000) | (2150000) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Shares outstanding, end of period | 5375001 | 5275001 | 2275001 | 2200001 |

---

(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.

**Simplify Exchange Traded Funds**

**Statements of Changes in Net Assets** (Continued)

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | **Simplify Nasdaq<br> 100 PLUS Convexity ETF** | **Simplify Nasdaq<br> 100 PLUS Convexity ETF** | **Simplify Nasdaq 100**<br> **PLUS Downside Convexity ETF** | **Simplify Nasdaq 100**<br> **PLUS Downside Convexity ETF** | **Simplify Short Term<br> Treasury Futures<br> Strategy ETF** |
|  | **For the**<br> **Six Months Ended**<br> **December 31,<br> 2022**<br> **(Unaudited)** | **Year Ended<br> June 30,<br> 2022** | **For the**<br> **Six Months Ended**<br> **December 31,<br> 2022**<br> **(Unaudited)** | **Year Ended**<br> **June 30,<br> 2022** | **For the period**<br> **November 15,**<br> **2022<sup>(1)</sup> to**<br> **December 31,<br> 2022**<br> **(Unaudited)** |
| **Increase (Decrease) in Net Assets from Operations** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Net investment income (loss) | $10407 | $31939 | $30755 | $50452 | $131789 |
| &nbsp;&nbsp;&nbsp;Net realized gain (loss) | (890524) | (608401) | (4054852) | (578591) | (152142) |
| &nbsp;&nbsp;&nbsp;Net change in net unrealized appreciation (depreciation) | 453948 | (2562120) | 2268900 | (5298970) | (570596) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Net increase (decrease) in net assets resulting from operations | (426169) | (3138582) | (1755197) | (5827109) | (590949) |
| **Distributions to Shareholders from:** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Distributions | (12418) | (31936) | (34471) | (52120) | (80476) |
| &nbsp;&nbsp;&nbsp;Return of capital | - | (1341) | - | - | - |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Total distributions | (12418) | (33277) | (34471) | (52120) | (80476) |
| **Fund Shares Transactions** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Proceeds from shares sold |  | 14665501 | 4789539 | 28215202 | 62086575 |
| &nbsp;&nbsp;&nbsp;Value of shares redeemed | (1126974) | (9309345) | (16433886) | (5491629) | - |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Net increase (decrease) in net assets resulting from fund share transactions | (1126974) | 5356156 | (11644347) | 22723573 | 62086575 |
| &nbsp;&nbsp;&nbsp;Total net increase (decrease) in Net Assets | (1565561) | 2184297 | (13434015) | 16844344 | 61415150 |
| **Net Assets** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Beginning of period | 5136938 | 2952641 | 19744900 | 2900556 | - |
| &nbsp;&nbsp;&nbsp;End of period | $3571377 | $5136938 | $6310885 | $19744900 | $61415150 |
| **Changes in Shares Outstanding** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Shares outstanding, beginning of period | 225001 | 100001 | 875001 | 100001 |  |
| &nbsp;&nbsp;&nbsp;Shares sold |  | 450000 | 200000 | 975000 | 2475001<sup>(2)</sup> |
| &nbsp;&nbsp;&nbsp;Shares redeemed | (50000) | (325000) | (750000) | (200000) | - |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Shares outstanding, end of period | 175001 | 225001 | 325001 | 875001 | 2475001 |

---

(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.

**Simplify Exchange Traded Funds**

**Statements of Changes in Net Assets** (Continued)

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | **Simplify Stable<br> Income ETF** | **Simplify Tail Risk**<br> **Strategy ETF** | **Simplify Tail Risk**<br> **Strategy ETF** | **Simplify US Equity<br> PLUS Convexity ETF** | **Simplify US Equity<br> PLUS Convexity ETF** |
|  | **For the period**<br> **October 28,**<br> **2022<sup>(1)</sup> to**<br> **December 31,<br> 2022**<br> **(Unaudited)** | **For the<br> Six Months Ended <br> December 31,**<br> **2022**<br> **(Unaudited)** | **For the period**<br> **September 14,**<br> **2021<sup>(1)</sup> to**<br> **June 30,<br> 2022** | **For the<br> Six Months Ended <br> December 31,<br> 2022**<br> **(Unaudited)** | **Year Ended<br> June 30,<br> 2022** |
| **Increase (Decrease) in Net Assets from Operations** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Net investment income (loss) | $17088 | $2383670 | $953022 | $455251 | $1002679 |
| &nbsp;&nbsp;&nbsp;Net realized gain (loss) | 300 | (29626413) | (14596077) | (4880731) | 4127886 |
| &nbsp;&nbsp;&nbsp;Net change in net unrealized appreciation (depreciation) | 1456 | (2566333) | 2862955 | 1699107 | (16329153) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Net increase (decrease) in net assets resulting from operations | 18844 | (29809076) | (10780100) | (2726373) | (11198588) |
| **Distributions to Shareholders from:** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Distributions | (18350) | (2429222) | (962486) | (1072) | (1474658) |
| &nbsp;&nbsp;&nbsp;Return of capital | - | - | (2924115) | - | - |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Total distributions | (18350) | (2429222) | (3886601) | (1072) | (1474658) |
| **Fund Shares Transactions** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Proceeds from shares sold | 3130183 | 22872881 | 128006147 | 45833016 | 40488427 |
| &nbsp;&nbsp;&nbsp;Value of shares redeemed | - | (71306126) | (8940176) | (27474454) | (55509149) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Net increase (decrease) in net assets resulting from fund share transactions | 3130183 | (48433245) | 119065971 | 18358562 | (15020722) |
| &nbsp;&nbsp;&nbsp;Total net increase (decrease) in Net Assets | 3130677 | (80671543) | 104399270 | 15631117 | (27693968) |
| **Net Assets** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Beginning of period | - | 104399270 | - | 61252502 | 88946470 |
| &nbsp;&nbsp;&nbsp;End of period | $3130677 | $23727727 | $104399270 | $76883619 | $61252502 |
| **Changes in Shares Outstanding** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Shares outstanding, beginning of period |  | 5225001 |  | 2304000 | 2904000 |
| &nbsp;&nbsp;&nbsp;Shares sold | 125001<sup>(2)</sup> | 1400000 | 5650001<sup>(2)</sup> | 1750000 | 1250000 |
| &nbsp;&nbsp;&nbsp;Shares redeemed | - | (4600000) | (425000) | (1025000) | (1850000) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Shares outstanding, end of period | 125001 | 2025001 | 5225001 | 3029000 | 2304000 |

---

(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.

**Simplify Exchange Traded Funds**

**Statements of Changes in Net Assets** (Continued)

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | **Simplify US Equity<br> PLUS Downside Convexity ETF** | **Simplify US Equity<br> PLUS Downside Convexity ETF** | **Simplify US Equity<br> PLUS GBTC ETF** | **Simplify US Equity<br> PLUS GBTC ETF** |
|  | **For the**<br> **Six Months Ended**<br> **December 31,<br> 2022**<br> **(Unaudited)** | **Year Ended<br> June 30,<br> 2022** | **For the<br> Six Months Ended <br> December 31,<br> 2022**<br> **(Unaudited)** | **Year Ended<br> June 30,<br> 2022** |
| **Increase (Decrease) in Net Assets from Operations** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Net investment income (loss) | $2503711 | $4492888 | $254861 | $723650 |
| &nbsp;&nbsp;&nbsp;Net realized gain (loss) | (53144901) | 2022408 | (2484764) | (1939170) |
| &nbsp;&nbsp;&nbsp;Net change in net unrealized appreciation (depreciation) | 21564624 | (77003767) | 3399685 | (17674515) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Net increase (decrease) in net assets resulting from operations | (29076566) | (70488471) | 1169782 | (18890035) |
| **Distributions** | (1914658) | (5375711) | - | (2342098) |
| **Fund Shares Transactions** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Proceeds from shares sold | 81145001 | 424502655 |  | 14440227 |
| &nbsp;&nbsp;&nbsp;Value of shares redeemed | (256119814) | (128515412) | (42633503) | (8421626) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Net increase (decrease) in net assets resulting from fund share transactions | (174974813) | 295987243 | (42633503) | 6018601 |
| &nbsp;&nbsp;&nbsp;Total net increase (decrease) in Net Assets | (205966037) | 220123061 | (41463721) | (15213532) |
| **Net Assets** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Beginning of period | 444818694 | 224695633 | 87340336 | 102553868 |
| &nbsp;&nbsp;&nbsp;End of period | $238852657 | $444818694 | $45876615 | $87340336 |
| **Changes in Shares Outstanding** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Shares outstanding, beginning of period | 16800001 | 7425001 | 4275001 | 4050001 |
| &nbsp;&nbsp;&nbsp;Shares sold | 3025000 | 13725000 |  | 525000 |
| &nbsp;&nbsp;&nbsp;Shares redeemed | (9975000) | (4350000) | (2000000) | (300000) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Shares outstanding, end of period | 9850001 | 16800001 | 2275001 | 4275001 |

---

See Notes to Financial Statements.

**Simplify Exchange Traded Funds**

**Statements of Changes in Net Assets** (Continued)

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | **Simplify US Equity<br> PLUS Upside Convexity ETF** | **Simplify US Equity<br> PLUS Upside Convexity ETF** | **Simplify US Small Cap<br> PLUS Downside Convexity ETF** | **Simplify US Small Cap<br> PLUS Downside Convexity ETF** |
|  | **For the<br> Six Months Ended<br> December 31,<br> 2022**<br> **(Unaudited)** | **Year Ended<br> June 30,<br> 2022** | **For the<br> Six Months Ended <br> December 31,<br> 2022**<br> **(Unaudited)** | **For the period<br> January 11,**<br> **2022<sup>(1)</sup> to**<br> **June 30,<br> 2022** |
| **Increase (Decrease) in Net Assets from Operations** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Net investment income (loss) | $105969 | $152276 | $20188 | $11708 |
| &nbsp;&nbsp;&nbsp;Net realized gain (loss) | (282182) | 1133499 | (347693) | (68370) |
| &nbsp;&nbsp;&nbsp;Net change in net unrealized appreciation (depreciation) | 131523 | (3048045) | 151460 | (544654) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Net increase (decrease) in net assets resulting from operations | (44690) | (1762270) | (176045) | (601316) |
| **Distributions** | (61508) | (422428) | (20903) | (11712) |
| **Fund Shares Transactions** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Proceeds from shares sold | 3357979 | 12148895 | 1007896 | 4815280 |
| &nbsp;&nbsp;&nbsp;Value of shares redeemed | (4714363) | (7293147) | (1498295) | (1156615) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Net increase (decrease) in net assets resulting from fund share transactions | (1356384) | 4855748 | (490399) | 3658665 |
| &nbsp;&nbsp;&nbsp;Total net increase (decrease) in Net Assets | (1462582) | 2671050 | (687347) | 3045637 |
| **Net Assets** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Beginning of period | 11968103 | 9297053 | 3045637 | - |
| &nbsp;&nbsp;&nbsp;End of period | $10505521 | $11968103 | $2358290 | $3045637 |
| **Changes in Shares Outstanding** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Shares outstanding, beginning of period | 450001 | 300001 | 150001 |  |
| &nbsp;&nbsp;&nbsp;Shares sold | 125000 | 375000 | 50000 | 200001<sup>(2)</sup> |
| &nbsp;&nbsp;&nbsp;Shares redeemed | (175000) | (225000) | (75000) | (50000) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Shares outstanding, end of period | 400001 | 450001 | 125001 | 150001 |

---

(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.

**Simplify Exchange Traded Funds**

**Statements of Changes in Net Assets** (Continued)

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | **Simplify Volt Cloud and<br> Cybersecurity Disruption ETF** | **Simplify Volt Cloud and<br> Cybersecurity Disruption ETF** | **Simplify Volt RoboCar<br> Disruption and Tech ETF** | **Simplify Volt RoboCar<br> Disruption and Tech ETF** |
|  | **For the**<br> **Six Months Ended<br> December 31,<br> 2022**<br> **(Unaudited)** | **Year Ended<br> June 30,<br> 2022** | **For the<br> Six Months Ended <br> December 31,<br> 2022**<br> **(Unaudited)** | **Year Ended<br> June 30,<br> 2022** |
| **Increase (Decrease) in Net Assets from Operations** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Net investment income (loss) | $(14812) | $(91193) | $1099 | $26469 |
| &nbsp;&nbsp;&nbsp;Net realized gain (loss) | (2433856) | (6298024) | (1245983) | (3553320) |
| &nbsp;&nbsp;&nbsp;Net change in net unrealized appreciation (depreciation) | 204148 | (1632783) | (136120) | (338137) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Net increase (decrease) in net assets resulting from operations | (2244520) | (8022000) | (1381004) | (3864988) |
| **Distributions to Shareholders from:** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Distributions |  | (1112253) |  | (18980) |
| &nbsp;&nbsp;&nbsp;Return of capital | - | - | - | (12160) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Total distributions | - | (1112253) | - | (31140) |
| **Fund Shares Transactions** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Proceeds from shares sold |  | 13031808 |  | 8809599 |
| &nbsp;&nbsp;&nbsp;Value of shares redeemed | (1167131) | (2014172) | (620367) | (2438630) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Net increase (decrease) in net assets resulting from fund share transactions | (1167131) | 11017636 | (620367) | 6370969 |
| &nbsp;&nbsp;&nbsp;Total net increase (decrease) in Net Assets | (3411651) | 1883383 | (2001371) | 2474841 |
| **Net Assets** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Beginning of period | 7232885 | 5349502 | 4550435 | 2075594 |
| &nbsp;&nbsp;&nbsp;End of period | $3821234 | $7232885 | $2549064 | $4550435 |
| **Changes in Shares Outstanding** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Shares outstanding, beginning of period | 975316 | 400316 | 500420 | 175420 |
| &nbsp;&nbsp;&nbsp;Shares sold |  | 725000 |  | 525000 |
| &nbsp;&nbsp;&nbsp;Shares redeemed | (150000) | (150000) | (75000) | (200000) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Shares outstanding, end of period | 825316 | 975316 | 425420 | 500420 |

---

See Notes to Financial Statements.

**Simplify Exchange Traded Funds**

**Consolidated Statements of Changes in Net Assets**

---

| | | | |
|:---|:---|:---|:---|
|  | **Simplify Bitcoin Strategy<br> PLUS Income ETF** | **Simplify Macro<br> Strategy ETF** | **Simplify Macro<br> Strategy ETF** |
|  | **For the period<br> September 30,**<br> **2022<sup>(1)</sup> to**<br> **December 31,<br> 2022**<br> **(Unaudited)** | **For the<br> Six Months Ended <br> December 31,<br> 2022**<br> **(Unaudited)** | **For the period<br> May 17,<br> 2022<sup>(1)</sup> to**<br> **June 30,<br> 2022** |
| **Increase (Decrease) in Net Assets from Operations** |  |  |  |
| &nbsp;&nbsp;&nbsp;Net investment income (loss) | $3872 | $698478 | $27306 |
| &nbsp;&nbsp;&nbsp;Net realized gain (loss) | (659954) | (212398) | (16351) |
| &nbsp;&nbsp;&nbsp;Net change in net unrealized appreciation (depreciation) | (16253) | (690221) | (349718) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Net increase (decrease) in net assets resulting from operations | (672335) | (204141) | (338763) |
| **Distributions** | (188674) | (686808) | (2773) |
| **Fund Shares Transactions** |  |  |  |
| &nbsp;&nbsp;&nbsp;Proceeds from shares sold | 5126936 | 20180191 | 6827612 |
| &nbsp;&nbsp;&nbsp;Value of shares redeemed | - | (4171847) | - |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Net increase (decrease) in net assets resulting from fund share transactions | 5126936 | 16008344 | 6827612 |
| &nbsp;&nbsp;&nbsp;Total net increase (decrease) in Net Assets | 4265927 | 15117395 | 6486076 |
| **Net Assets** |  |  |  |
| &nbsp;&nbsp;&nbsp;Beginning of period | - | 6486076 | - |
| &nbsp;&nbsp;&nbsp;End of period | $4265927 | $21603471 | $6486076 |
| **Changes in Shares Outstanding** |  |  |  |
| &nbsp;&nbsp;&nbsp;Shares outstanding, beginning of period |  | 275001 |  |
| &nbsp;&nbsp;&nbsp;Shares sold | 410001<sup>(2)</sup> | 825000 | 275001<sup>(2)</sup> |
| &nbsp;&nbsp;&nbsp;Shares redeemed | - | (175000) | - |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Shares outstanding, end of period | 410001 | 925001 | 275001 |

---

(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.

**Simplify Exchange Traded Funds**

**Consolidated Statements of Changes in Net Assets** (Continued)

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | **Simplify Managed Futures Strategy ETF** | **Simplify Managed Futures Strategy ETF** | **Simplify Volatility<br> Premium ETF** | **Simplify Volatility<br> Premium ETF** |
|  | **For the<br> Six Months Ended<br> December 31,<br> 2022**<br> **(Unaudited)** | **For the period<br> March 8,<br> 2022<sup>(1)</sup> to**<br> **June 30,<br> 2022** | **For the<br> Six Months Ended <br> December 31,<br> 2022**<br> **(Unaudited)** | **Year Ended<br> June 30,<br> 2022** |
| **Increase (Decrease) in Net Assets from Operations** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Net investment income (loss) | $1363395 | $(10483) | $727860 | $74299 |
| &nbsp;&nbsp;&nbsp;Net realized gain (loss) | (16792570) | (153846) | 5806835 | (5287825) |
| &nbsp;&nbsp;&nbsp;Net change in net unrealized appreciation (depreciation) | 4619852 | 1538662 | 1529776 | (2206484) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Net increase (decrease) in net assets resulting from operations | (10809323) | 1374333 | 8064471 | (7420010) |
| **Distributions to Shareholders from:** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Distributions | (10277132) |  | (9819596) | (123628) |
| &nbsp;&nbsp;&nbsp;Return of capital | - | - | - | (11320688) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Total distributions | (10277132) | - | (9819596) | (11444316) |
| **Fund Shares Transactions** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Proceeds from shares sold | 251093917 | 32559577 | 42083110 | 174190526 |
| &nbsp;&nbsp;&nbsp;Value of shares redeemed | (100418185) | (5297406) | (26510754) | (70918163) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Net increase (decrease) in net assets resulting from fund share transactions | 150675732 | 27262171 | 15572356 | 103272363 |
| &nbsp;&nbsp;&nbsp;Total net increase (decrease) in Net Assets | 129589277 | 28636504 | 13817231 | 84408037 |
| **Net Assets** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Beginning of period | 28636504 | - | 99265156 | 14857119 |
| &nbsp;&nbsp;&nbsp;End of period | $158225781 | $28636504 | $113082387 | $99265156 |
| **Changes in Shares Outstanding** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Shares outstanding, beginning of period | 1050001 |  | 4475001 | 550001 |
| &nbsp;&nbsp;&nbsp;Shares sold | 8650000 | 1250001<sup>(2)</sup> | 1925000 | 6875000 |
| &nbsp;&nbsp;&nbsp;Shares redeemed | (3675000) | (200000) | (1225000) | (2950000) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Shares outstanding, end of period | 6025001 | 1050001 | 5175001 | 4475001 |

---

(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.

**Simplify Exchange Traded Funds**

**Statement of Cash Flows**

For the Six Months Ended December 31, 2022 (Unaudited)

---

| | |
|:---|:---|
|  | **Simplify <br> Bitcoin Strategy <br> PLUS Income <br> ETF** |
| **Cash Flows Provided by (Used for) Operating Activities:** |  |
| Net increase (decrease) in net assets resulting from operations | $(672335) |
| **Adjustments to reconcile net increase (decrease) in net assets resulting from operations to net cash provided by / (used for) operating activities:** |  |
| &nbsp;&nbsp;&nbsp;Purchases of long-term investment securities | (4648781) |
| &nbsp;&nbsp;&nbsp;Net purchases and sales in short term investments | (13850089) |
| &nbsp;&nbsp;&nbsp;Net change in unrealized (appreciation) / depreciation on investments | 471 |
| &nbsp;&nbsp;&nbsp;Net change in unrealized (appreciation) / depreciation on written options | (3041) |
| &nbsp;&nbsp;&nbsp;Net realized (gain) / loss from sales of investments | (88264) |
| &nbsp;&nbsp;&nbsp;Net realized (gain) / loss from written options | (59470) |
| &nbsp;&nbsp;&nbsp;Proceeds from sale of securities | 4795168 |
| &nbsp;&nbsp;&nbsp;Net amortization of premium / (discount) | (128978) |
| &nbsp;&nbsp;&nbsp;(Increase) Decrease in dividends and interest receivable | (1557) |
| &nbsp;&nbsp;&nbsp;(Increase) Decrease in securities sold receivable | (13476498) |
| &nbsp;&nbsp;&nbsp;(Increase) Decrease in other income | (2584) |
| &nbsp;&nbsp;&nbsp;(Increase) Decrease in due from broker | (75084) |
| &nbsp;&nbsp;&nbsp;Interest payable on reverse repurchase agreement | 1669 |
| &nbsp;&nbsp;&nbsp;Increase (Decrease) in other accrued expenses | 1153 |
| &nbsp;&nbsp;&nbsp;Increase (Decrease) in investment advisory fees payable | 3223 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Net Cash Provided by / (Used for) Operating Activities | (28204997) |
| **Cash Flows Provided by (Used for) from Financing Activities:** |  |
| &nbsp;&nbsp;&nbsp;Shares Sold | 5126936 |
| &nbsp;&nbsp;&nbsp;Proceeds from reverse repurchase agreement | 214221037 |
| &nbsp;&nbsp;&nbsp;Payments made on reverse repurchase agreement | (187271715) |
| &nbsp;&nbsp;&nbsp;Distributions paid | (188674) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Cash provided by (used for) financing activities | 31887584 |
| &nbsp;&nbsp;&nbsp;Net increase (decrease) in cash | 3682587 |
| **Cash and Restricted Cash<sup>(2)</sup>:** |  |
| Cash and Restricted Cash, at beginning of period | - |
| Cash and Restricted Cash, at end of period | $3682587 |

---

(1) For
 the period September 30, 2022 (commencement of operations) through December 31, 2022.

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

---

| | |
|:---|:---|
| **Supplemental Disclosure of Cash Flow Information** | |
| &nbsp;&nbsp;&nbsp;Non-cash financing activities: |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Cash paid for interest on reverse repurchase agreements | $109622 |

---

---

| | | |
|:---|:---|:---|
| **Reconciliation of Restricted and Unrestricted Cash at the beginning of period to the Statements of Assets and Liabilities** | | |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Cash | $| - |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Deposit at broker for futures contracts | $| - |

---

---

| | |
|:---|:---|
| **Reconciliation of Restricted and Unrestricted Cash at the end of period to the Statements of Assets and Liabilities** | |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Cash | $268636 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Deposit at broker for futures contracts | $3413951 |

---

See Notes to Financial Statements.

**Simplify Exchange Traded Funds**

**Statement of Cash Flows**

For the Six Months Ended December 31, 2022 (Unaudited)

---

| | |
|:---|:---|
|  | **Simplify**<br>**Volatility**<br>**Premium ETF** |
| **Cash Flows Provided by (Used for) Operating Activities:** |  |
| Net increase (decrease) in net assets resulting from operations | $8064471 |
| **Adjustments to reconcile net increase (decrease) in net assets resulting from operations to net cash provided by / (used for) operating activities:** |  |
| &nbsp;&nbsp;&nbsp;Purchases of long-term investment securities | (84170430) |
| &nbsp;&nbsp;&nbsp;Net purchases and sales in short term investments | (50608528) |
| &nbsp;&nbsp;&nbsp;Net change in unrealized (appreciation) / depreciation on investments | 377849 |
| &nbsp;&nbsp;&nbsp;Net realized (gain) / loss from sales of investments | 3734131 |
| &nbsp;&nbsp;&nbsp;Proceeds from sale of securities | 112051836 |
| &nbsp;&nbsp;&nbsp;Net amortization of premium / (discount) | (1146552) |
| &nbsp;&nbsp;&nbsp;(Increase) Decrease in dividends and interest receivable | 36916 |
| &nbsp;&nbsp;&nbsp;Increase (Decrease) in variation margin on futures | (201958) |
| &nbsp;&nbsp;&nbsp;(Increase) Decrease in securities sold receivable | (14968) |
| &nbsp;&nbsp;&nbsp;Interest payable on reverse repurchase agreement | (9918) |
| &nbsp;&nbsp;&nbsp;Increase (Decrease) in other accrued expenses | 14968 |
| &nbsp;&nbsp;&nbsp;Increase (Decrease) in investment advisory fees payable | 2889 |
| &nbsp;&nbsp;&nbsp;Increase (Decrease) securities purchased payable | 13442861 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Net Cash Provided by / (Used for) Operating Activities | 1573567 |
| **Cash Flows Provided by (Used for) from Financing Activities:** |  |
| &nbsp;&nbsp;&nbsp;Shares Sold | 39490382 |
| &nbsp;&nbsp;&nbsp;Shares redeemed | (26510754) |
| &nbsp;&nbsp;&nbsp;Proceeds from reverse repurchase agreement | 247784501 |
| &nbsp;&nbsp;&nbsp;Payments made on reverse repurchase agreement | (274187500) |
| &nbsp;&nbsp;&nbsp;Distributions paid | (9819596) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Cash provided by (used for) financing activities | (23242967) |
| &nbsp;&nbsp;&nbsp;Net increase (decrease) in cash | (21669400) |
| **Cash and Restricted Cash<sup>(1)</sup>:** |  |
| Cash and Restricted Cash, at beginning of year | 41152927 |
| Cash and Restricted Cash, at end of period | $19483527 |

---

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

---

| | |
|:---|:---|
| **Supplemental Disclosure of Cash Flow Information** |  |
| &nbsp;&nbsp;&nbsp;Non-cash financing activities: |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Cash paid for interest on reverse repurchase agreements | $485967 |
| **Reconciliation of Restricted and Unrestricted Cash at the beginning of period to the Statements of Assets and Liabilities** |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Cash | $13045300 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Deposit at broker for futures contracts | $28107627 |
| **Reconciliation of Restricted and Unrestricted Cash at the end of period to the Statements of Assets and Liabilities** |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Cash | $14767015 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Deposit at broker for futures contracts | $4716512 |

---

See Notes to Financial Statements.

**Simplify Exchange Traded Funds**

**Financial Highlights**

---

| | | |
|:---|:---|:---|
| **Simplify Aggregate Bond PLUS Credit Hedge ETF**<br> **Selected Per Share Data** | **For the <br> Six Months Ended**<br> **December 31, <br> 2022**<br> **(Unaudited)** | **Period Ended**<br> **June 30, <br> 2022**<sup>(a)</sup> |
| Net Asset Value, beginning of period | $23.64 | $25.00 |
| Income (loss) from investment operations: |  |  |
| &nbsp;&nbsp;&nbsp;Net investment income (loss)<sup>(b)</sup> | 0.29 | 0.13 |
| &nbsp;&nbsp;&nbsp;Net realized and unrealized gain (loss) | (1.24) | (1.35) |
| Total from investment operations | (0.95) | (1.22) |
| Less distributions from: |  |  |
| &nbsp;&nbsp;&nbsp;Net investment income | (0.34) | (0.14) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Total distributions | (0.34) | (0.14) |
| Net Asset Value, end of period | $22.35 | $23.64 |
| **Total Return (%)** | (4.06) <sup>(c)</sup> | (4.89) <sup>(c)</sup> |
| **Ratios to Average Net Assets and Supplemental Data** |  |  |
| Net Assets, end of period ($ millions) | $2 | $1 |
| &nbsp;&nbsp;&nbsp;Ratio of expenses before fee waiver (%) | 0.52 <sup>(d)(e)(f)</sup> | 0.50 <sup>(d)(f)</sup> |
| &nbsp;&nbsp;&nbsp;Ratio of expenses after fee waiver (%) | 0.27 <sup>(d)(f)</sup> | 0.25 <sup>(d)(f)</sup> |
| &nbsp;&nbsp;&nbsp;Ratio of net investment income (loss) (%) | 2.51 <sup>(d)</sup> | 1.43 <sup>(d)</sup> |
| Portfolio turnover rate (%)<sup>(g)</sup> | 47 <sup>(c)</sup> | 14 <sup>(c)</sup> |

---

---

| | | |
|:---|:---|:---|
| **Simplify Developed Ex-US PLUS Downside Convexity ETF**<br> **Selected Per Share Data** | **For the<br> Six Months Ended**<br> **December 31, <br> 2022**<br> **(Unaudited)** | **Period Ended**<br> **June 30,<br> 2022**<sup>(h)</sup> |
| Net Asset Value, beginning of period | $19.26 | $25.00 |
| Income (loss) from investment operations: |  |  |
| &nbsp;&nbsp;&nbsp;Net investment income (loss)<sup>(b)</sup> | 0.07 | 0.31 |
| &nbsp;&nbsp;&nbsp;Net realized and unrealized gain (loss) | (0.87) | (5.68) |
| Total from investment operations | (0.80) | (5.37) |
| Less distributions from: |  |  |
| &nbsp;&nbsp;&nbsp;Net investment income | (0.07) | (0.37) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Total distributions | (0.07) | (0.37) |
| Net Asset Value, end of period | $18.39 | $19.26 |
| **Total Return (%)** | (4.13)<sup>(c)</sup> | (21.47)<sup>(c)</sup> |
| **Ratios to Average Net Assets and Supplemental Data** |  |  |
| Net Assets, end of period ($ millions) | $22 | $20 |
| &nbsp;&nbsp;&nbsp;Ratio of expenses before fee waiver (%) | 0.56 <sup>(d)(f)(i)</sup> | 0.50 <sup>(d)(f)</sup> |
| &nbsp;&nbsp;&nbsp;Ratio of expenses after fee waiver (%) | 0.31 <sup>(d)(f)</sup> | 0.25 <sup>(d)(f)</sup> |
| &nbsp;&nbsp;&nbsp;Ratio of net investment income (loss) (%) | 0.77 <sup>(d)</sup> | 2.97 <sup>(d)</sup> |
| Portfolio turnover rate (%)<sup>(g)</sup> | 0 <sup>(c)</sup> | 4 <sup>(c)</sup> |

---

(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) Annualized.

(e) The
 ratios of expenses to average net assets includes interest expense fees of 0.01%.

(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 January 11, 2022 (commencement of operations) through June 30, 2022.

(i) The
 ratios of expenses to average net assets includes interest expense fees of 0.06%.

See Notes to Financial Statements.

**Simplify Exchange Traded Funds**

**Financial Highlights** (Continued)

---

| | | |
|:---|:---|:---|
| **Simplify Emerging Markets Equity PLUS Downside Convexity ETF**<br> **Selected Per Share Data** | **For the<br> Six Months Ended**<br> **December 31, <br> 2022**<br> **(Unaudited)** | **Period Ended**<br> **June 30, <br> 2022<sup>(a)</sup>** |
| Net Asset Value, beginning of period | $19.90 | $25.00 |
| Income (loss) from investment operations: |  |  |
| &nbsp;&nbsp;&nbsp;Net investment income (loss)<sup>(b)</sup> | 0.15 | 0.32 |
| &nbsp;&nbsp;&nbsp;Net realized and unrealized gain (loss) | (2.40) | (5.19) |
| Total from investment operations | (2.25) | (4.87) |
| Less distributions from: |  |  |
| &nbsp;&nbsp;&nbsp;Net investment income | (0.21) | (0.23) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Total distributions | (0.21) | (0.23) |
| Net Asset Value, end of period | $17.44 | $19.90 |
| **Total Return (%)** | (11.30) <sup>(c)</sup> | (19.50) <sup>(c)</sup> |
| **Ratios to Average Net Assets and Supplemental Data** |  |  |
| Net Assets, end of period ($ millions) | $5 | $7 |
| &nbsp;&nbsp;&nbsp;Ratio of expenses before fee waiver (%) | 0.57 <sup>(d)(e)(f)</sup> | 0.50 <sup>(d)(f)</sup> |
| &nbsp;&nbsp;&nbsp;Ratio of expenses after fee waiver (%) | 0.32 <sup>(d)(f)</sup> | 0.25 <sup>(d)(f)</sup> |
| &nbsp;&nbsp;&nbsp;Ratio of net investment income (loss) (%) | 1.65 <sup>(d)</sup> | 3.09 <sup>(d)</sup> |
| Portfolio turnover rate (%)<sup>(g)</sup> | 0 <sup>(c)</sup> | 2 <sup>(c)</sup> |

---

---

| | |
|:---|:---|
| **Simplify Enhanced Income ETF**<br> **Selected Per Share Data** | **Period Ended<br> December 31, <br> 2022<sup>(h)</sup><br> (Unaudited)** |
| Net Asset Value, beginning of period | $25.00 |
| Income (loss) from investment operations: |  |
| &nbsp;&nbsp;&nbsp;Net investment income (loss)<sup>(b)</sup> | 0.13 |
| &nbsp;&nbsp;&nbsp;Net realized and unrealized gain (loss) | 0.06 |
| Total from investment operations | 0.19 |
| Less distributions from: |  |
| &nbsp;&nbsp;&nbsp;Net investment income | (0.13) |
| &nbsp;&nbsp;&nbsp;Net realized gains | (0.03) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Total distributions | (0.16) |
| Net Asset Value, end of period | $25.03 |
| **Total Return (%)** | 0.73 <sup>(c)</sup> |
| **Ratios to Average Net Assets and Supplemental Data** |  |
| Net Assets, end of period ($ millions) | $3 |
| &nbsp;&nbsp;&nbsp;Ratio of expenses (%) | 0.90 <sup>(d)(i)</sup> |
| &nbsp;&nbsp;&nbsp;Ratio of net investment income (loss) (%) | 2.96 <sup>(d)</sup> |
| Portfolio turnover rate (%)<sup>(g)</sup> | 0 <sup>(c)</sup> |

---

(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) Annualized.

(e) The
 ratios of expenses to average net assets includes interest expense fees of 0.06%.

(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 October 28, 2022 (commencement of operations) through December 31,
 2022.

(i) The
 ratios of expenses to average net assets includes interest expense fees of 0.39%.

See Notes to Financial Statements.

**Simplify Exchange Traded Funds**

**Financial Highlights** (Continued)

---

| | | |
|:---|:---|:---|
| **Simplify Health Care ETF**<br> **Selected Per Share Data** | **For the <br> Six Months Ended**<br> **December 31, <br> 2022**<br> **(Unaudited)** | **Period Ended**<br> **June 30,<br> 2022<sup>(a)</sup>** |
| Net Asset Value, beginning of period | $24.58 | $25.00 |
| Income (loss) from investment operations: |  |  |
| &nbsp;&nbsp;&nbsp;Net investment income (loss)<sup>(b)</sup> | 0.05 | 0.08 |
| &nbsp;&nbsp;&nbsp;Net realized and unrealized gain (loss) | 2.04 | (0.42) |
| Total from investment operations | 2.09 | (0.34) |
| Less distributions from: |  |  |
| &nbsp;&nbsp;&nbsp;Net investment income | (0.05) | (0.08) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Total distributions | (0.05) | (0.08) |
| Net Asset Value, end of period | $26.62 | $24.58 |
| **Total Return (%)** | 8.50 <sup>(c)</sup> | (1.38)<sup>(c)</sup> |
| **Ratios to Average Net Assets and Supplemental Data** |  |  |
| Net Assets, end of period ($ millions) | $58 | $34 |
| &nbsp;&nbsp;&nbsp;Ratio of expenses (%) | 0.50 <sup>(d)</sup> | 0.50 <sup>(d)</sup> |
| &nbsp;&nbsp;&nbsp;Ratio of net investment income (loss) (%) | 0.38 <sup>(d)</sup> | 0.45 <sup>(d)</sup> |
| Portfolio turnover rate (%)<sup>(e)</sup> | 17 <sup>(c)</sup> | 146 <sup>(c)</sup> |

---

---

| | | |
|:---|:---|:---|
| **Simplify Hedged Equity ETF**<br> **Selected Per Share Data** | **For the <br> Six Months Ended**<br> **December 31, <br> 2022**<br> **(Unaudited)** | **Period Ended**<br> **June 30, <br> 2022<sup>(f)</sup>** |
| Net Asset Value, beginning of period | $22.99 | $25.00 |
| Income (loss) from investment operations: |  |  |
| &nbsp;&nbsp;&nbsp;Net investment income (loss)<sup>(b)</sup> | 0.15 | 0.18 |
| &nbsp;&nbsp;&nbsp;Net realized and unrealized gain (loss) | 0.19 | (2.04) |
| Total from investment operations | 0.34 | (1.86) |
| Less distributions from: |  |  |
| &nbsp;&nbsp;&nbsp;Net investment income | (0.38) | (0.15) |
| &nbsp;&nbsp;&nbsp;Net realized gains | (0.43) | - |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Total distributions | (0.81) | (0.15) |
| Net Asset Value, end of period | $22.52 | $22.99 |
| **Total Return (%)** | 1.46 <sup>(c)</sup> | (7.46)<sup>(c)</sup> |
| **Ratios to Average Net Assets and Supplemental Data** |  |  |
| Net Assets, end of period ($ millions) | $89 | $37 |
| &nbsp;&nbsp;&nbsp;Ratio of expenses (%) | 0.77 <sup>(d)(g)(h)</sup> | 0.50 <sup>(d)(h)</sup> |
| &nbsp;&nbsp;&nbsp;Ratio of net investment income (loss) (%) | 1.28 <sup>(d)</sup> | 1.16 <sup>(d)</sup> |
| Portfolio turnover rate (%)<sup>(e)</sup> | 7 <sup>(c)</sup> | 2 <sup>(c)</sup> |

---

(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 0.27%.

(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.

**Simplify Exchange Traded Funds**

**Financial Highlights** (Continued)

---

| | | |
|:---|:---|:---|
| **Simplify High Yield PLUS Credit Hedge ETF**<br> **Selected Per Share Data** | **For the<br> Six Months Ended**<br> **December 31, <br> 2022**<br> **(Unaudited)** | **Period Ended**<br> **June 30, <br> 2022<sup>(a)</sup>** |
| Net Asset Value, beginning of period | $22.23 | $25.00 |
| Income (loss) from investment operations: |  |  |
| &nbsp;&nbsp;&nbsp;Net investment income (loss)<sup>(b)</sup> | 0.23 | 0.01 |
| &nbsp;&nbsp;&nbsp;Net realized and unrealized gain (loss) | 0.20 <sup>(c)</sup> | (2.44) |
| Total from investment operations | 0.43 | (2.43) |
| &nbsp;&nbsp;&nbsp;Variable transaction fees (see Note 8) | - | 0.01 |
| Less distributions from: |  |  |
| &nbsp;&nbsp;&nbsp;Net investment income | (1.26) | (0.24) |
| &nbsp;&nbsp;&nbsp;Return of capital | - | (0.11) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Total distributions | (1.26) | (0.35) |
| Net Asset Value, end of period | $21.40 | $22.23 |
| **Total Return (%)** | 1.92 <sup>(d)</sup> | (9.74)<sup>(d)</sup> |
| **Ratios to Average Net Assets and Supplemental Data** |  |  |
| Net Assets, end of period ($ millions) | $40 | $30 |
| &nbsp;&nbsp;&nbsp;Ratio of expenses before fee waiver (%) | 0.52 <sup>(e)(f)</sup> | 0.50 <sup>(e)(g)</sup> |
| &nbsp;&nbsp;&nbsp;Ratio of expenses after fee waiver (%) | 0.27 <sup>(e)</sup> | 0.25 <sup>(e)(g)</sup> |
| &nbsp;&nbsp;&nbsp;Ratio of net investment income (loss) (%) | 2.03 <sup>(e)</sup> | 0.15 <sup>(e)</sup> |
| Portfolio turnover rate (%)<sup>(h)</sup> | 0 <sup>(d)</sup> | 77 <sup>(d)</sup> |

---

---

| | | | |
|:---|:---|:---|:---|
| **Simplify Interest Rate Hedge ETF**<br> **Selected Per Share Data** | **For the <br> Six Months Ended**<br> **December 31, <br> 2022**<br> **(Unaudited)** | **Year Ended <br> June 30, <br> 2022** | **Period Ended**<br> **June 30,<br> 2021<sup>(i)</sup>** |
| Net Asset Value, beginning of period | $57.25 | $40.55 | $50.00 |
| Income (loss) from investment operations: |  |  |  |
| &nbsp;&nbsp;&nbsp;Net investment income (loss)<sup>(b)</sup> | 0.44 | 0.03 | (0.00)<sup>(j)</sup> |
| &nbsp;&nbsp;&nbsp;Net realized and unrealized gain (loss) | 14.84 | 15.86 | (10.42) |
| Total from investment operations | 15.28 | 15.89 | (10.42) |
| &nbsp;&nbsp;&nbsp;Variable transaction fees (see Note 8) | 0.04 | 0.82 | 0.97 |
| Less distributions from: |  |  |  |
| &nbsp;&nbsp;&nbsp;Net investment income | (0.44) | (0.01) | - |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Total distributions | (0.44) | (0.01) | - |
| Net Asset Value, end of period | $72.13 | $57.25 | $40.55 |
| **Total Return (%)** | 26.82 <sup>(d)</sup> | 41.18 | (18.89)<sup>(d)</sup> |
| **Ratios to Average Net Assets and Supplemental Data** |  |  |  |
| Net Assets, end of period ($ millions) | $388 | $302 | $63 |
| &nbsp;&nbsp;&nbsp;Ratio of expenses (%) | 0.50 <sup>(e)</sup> | 0.50 | 0.50 <sup>(e)</sup> |
| &nbsp;&nbsp;&nbsp;Ratio of net investment income (loss) (%) | 1.37 <sup>(e)</sup> | 0.05 | (0.05)<sup>(e)</sup> |
| Portfolio turnover rate (%)<sup>(h)</sup> | 89 <sup>(d)</sup> | 3 | 0 <sup>(d)</sup> |

---

(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) 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) Annualized.

(f) The
 ratios of expenses to average net assets includes interest expense fees of 0.02%.

(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 May 11, 2021 (commencement of operations) through June 30, 2021.

(j) Less
 than $.005.

See Notes to Financial Statements.

**Simplify Exchange Traded Funds**

**Financial Highlights** (Continued)

---

| | | |
|:---|:---|:---|
| **Simplify Intermediate Term Treasury Futures Strategy ETF**<br> **Selected Per Share Data** | **For the<br> Six Months Ended**<br> **December 31, <br> 2022**<br> **(Unaudited)** | **Period Ended**<br> **June 30,<br> 2022**<sup>(a)</sup> |
| Net Asset Value, beginning of period | $18.28 | $25.00 |
| Income (loss) from investment operations: |  |  |
| &nbsp;&nbsp;&nbsp;Net investment income (loss)<sup>(b)</sup> | 0.17 | 0.14 |
| &nbsp;&nbsp;&nbsp;Net realized and unrealized gain (loss) | (2.94) | (6.74) |
| Total from investment operations | (2.77) | (6.60) |
| Less distributions from: |  |  |
| &nbsp;&nbsp;&nbsp;Net investment income | (0.25) | (0.12) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Total distributions | (0.25) | (0.12) |
| Net Asset Value, end of period | $15.26 | $18.28 |
| **Total Return (%)** | (15.17)<sup>(c)</sup> | (26.47)<sup>(c)</sup> |
| **Ratios to Average Net Assets and Supplemental Data** |  |  |
| Net Assets, end of period ($ millions) | $35 | $40 |
| &nbsp;&nbsp;&nbsp;Ratio of expenses before fee waiver (%) | 0.28 <sup>(d)(e)</sup> | 0.25 <sup>(d)</sup> |
| &nbsp;&nbsp;&nbsp;Ratio of expenses after fee waiver (%) | 0.18 <sup>(d)</sup> | 0.15 <sup>(d)</sup> |
| &nbsp;&nbsp;&nbsp;Ratio of net investment income (loss) (%) | 1.96 <sup>(d)</sup> | 0.85 <sup>(d)</sup> |
| Portfolio turnover rate (%)<sup>(f)</sup> | 0 <sup>(c)</sup> | 153 <sup>(c)</sup> |

---

---

| | | | |
|:---|:---|:---|:---|
| **Simplify Nasdaq 100 PLUS Convexity ETF**<br> **Selected Per Share Data** | **For the<br> Six Months Ended**<br> **December 31,<br> 2022**<br> **(Unaudited)** | **Year Ended <br> June 30,<br> 2022** | **Period Ended**<br> **June 30, <br> 2021**<sup>(g)</sup> |
| Net Asset Value, beginning of period | $22.83 | $29.53 | $25.67 |
| Income (loss) from investment operations: |  |  |  |
| &nbsp;&nbsp;&nbsp;Net investment income (loss)<sup>(b)</sup> | 0.05 | 0.11 | 0.07 |
| &nbsp;&nbsp;&nbsp;Net realized and unrealized gain (loss) | (2.40) | (6.71) | 3.86 |
| Total from investment operations | (2.35) | (6.60) | 3.93 |
| Less distributions from: |  |  |  |
| &nbsp;&nbsp;&nbsp;Net investment income | (0.07) | (0.10) | (0.07) |
| &nbsp;&nbsp;&nbsp;Return of capital | - | (0.00)<sup>(h)</sup> | - |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Total distributions | (0.07) | (0.10) | (0.07) |
| Net Asset Value, end of period | $20.41 | $22.83 | $29.53 |
| **Total Return (%)** | (10.35)<sup>(c)</sup> | (22.39) | 15.33 <sup>(c)</sup> |
| **Ratios to Average Net Assets and Supplemental Data** |  |  |  |
| Net Assets, end of period ($ millions) | $4 | $5 | $3 |
| &nbsp;&nbsp;&nbsp;Ratio of expenses before fee waiver (%) | 0.57 <sup>(d)(i)(j)</sup> | 0.50 <sup>(j)</sup> | 0.50 <sup>(d)(j)</sup> |
| &nbsp;&nbsp;&nbsp;Ratio of expenses after fee waiver (%) | 0.31 <sup>(d)(j)</sup> | 0.25 <sup>(j)</sup> | 0.25 <sup>(d)(j)</sup> |
| &nbsp;&nbsp;&nbsp;Ratio of net investment income (loss) (%) | 0.42 <sup>(d)</sup> | 0.36 | 0.49 <sup>(d)</sup> |
| Portfolio turnover rate (%)<sup>(f)</sup> | 0 <sup>(c)</sup> | 7 | 3 <sup>(c)</sup> |

---

(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) Annualized.

(e) The
 ratios of expenses to average net assets includes interest expense fees of 0.03%.

(f) Excludes
 the impact of in-kind transactions related to the processing of capital share transactions
 in Creation Units.

(g) For
 the period December 11, 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 0.06%.

(j) 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.

**Simplify Exchange Traded Funds**

**Financial Highlights** (Continued)

---

| | | | |
|:---|:---|:---|:---|
| **Simplify Nasdaq 100 PLUS Downside Convexity ETF**<br> **Selected Per Share Data** | **For the <br> Six Months Ended**<br> **December 31, <br> 2022**<br> **(Unaudited)** | **Year Ended<br> June 30, <br> 2022** | **Period Ended**<br> **June 30, <br> 2021**<sup>(a)</sup> |
| Net Asset Value, beginning of period | $22.57 | $29.01 | $25.48 |
| Income (loss) from investment operations: |  |  |  |
| &nbsp;&nbsp;&nbsp;Net investment income (loss)<sup>(b)</sup> | 0.05 | 0.10 | 0.07 |
| &nbsp;&nbsp;&nbsp;Net realized and unrealized gain (loss) | (3.14) | (6.45) | 3.52 |
| Total from investment operations | (3.09) | (6.35) | 3.59 |
| Less distributions from: |  |  |  |
| &nbsp;&nbsp;&nbsp;Net investment income | (0.06) | (0.09) | (0.06) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Total distributions | (0.06) | (0.09) | (0.06) |
| Net Asset Value, end of period | $19.42 | $22.57 | $29.01 |
| **Total Return (%)** | (13.71)<sup>(c)</sup> | (21.94) | 14.11 <sup>(c)</sup> |
| **Ratios to Average Net Assets and Supplemental Data** |  |  |  |
| Net Assets, end of period ($ millions) | $6 | $20 | $3 |
| &nbsp;&nbsp;&nbsp;Ratio of expenses before fee waiver (%) | 0.58 <sup>(d)(e)(f)</sup> | 0.50 <sup>(f)</sup> | 0.50 <sup>(d)(f)</sup> |
| &nbsp;&nbsp;&nbsp;Ratio of expenses after fee waiver (%) | 0.33 <sup>(d)(f)</sup> | 0.25 <sup>(f)</sup> | 0.25 <sup>(d)(f)</sup> |
| &nbsp;&nbsp;&nbsp;Ratio of net investment income (loss) (%) | 0.40 <sup>(d)</sup> | 0.38 | 0.45 <sup>(d)</sup> |
| Portfolio turnover rate (%)<sup>(g)</sup> | 0 <sup>(c)</sup> | 7 | 3 <sup>(c)</sup> |

---

---

| | |
|:---|:---|
| **Simplify Short Term Treasury Futures Strategy ETF**<br> **Selected Per Share Data** | **Period Ended**<br> **December 31,**<br> **2022**<sup>(h)</sup> **(Unaudited)** |
| Net Asset Value, beginning of period | $25.00 |
| Income (loss) from investment operations: |  |
| &nbsp;&nbsp;&nbsp;Net investment income (loss)<sup>(b)</sup> | 0.11 |
| &nbsp;&nbsp;&nbsp;Net realized and unrealized gain (loss) | (0.26) |
| Total from investment operations | (0.15) |
| Less distributions from: |  |
| &nbsp;&nbsp;&nbsp;Net investment income | (0.04) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Total distributions | (0.04) |
| Net Asset Value, end of period | $24.81 |
| **Total Return (%)** | (0.60)<sup>(c)</sup> |
| **Ratios to Average Net Assets and Supplemental Data** |  |
| Net Assets, end of period ($ millions) | $61 |
| &nbsp;&nbsp;&nbsp;Ratio of expenses before fee waiver (%) | 0.25 <sup>(d)</sup> |
| &nbsp;&nbsp;&nbsp;Ratio of expenses after fee waiver (%) | 0.15 <sup>(d)</sup> |
| &nbsp;&nbsp;&nbsp;Ratio of net investment income (loss) (%) | 3.57 <sup>(d)</sup> |
| Portfolio turnover rate (%)<sup>(g)</sup> | 0 <sup>(c)</sup> |

---

(a) For
 the period December 11, 2020 (commencement of operations) through June 30, 2021.

(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 0.08%.

(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 November 15, 2022 (commencement of operations) through December 31,
 2022.

See Notes to Financial Statements.

**Simplify Exchange Traded Funds**

**Financial Highlights** (Continued)

---

| | |
|:---|:---|
| **Simplify Stable Income ETF**<br> **Selected Per Share Data** | **Period Ended**<br> **December 31,**<br> **2022<sup>(a)</sup> <br> (Unaudited)** |
| Net Asset Value, beginning of period | $25.00 |
| Income (loss) from investment operations: |  |
| &nbsp;&nbsp;&nbsp;Net investment income (loss)<sup>(b)</sup> | 0.15 |
| &nbsp;&nbsp;&nbsp;Net realized and unrealized gain (loss) | 0.05 |
| Total from investment operations | 0.20 |
| Less distributions from: |  |
| &nbsp;&nbsp;&nbsp;Net investment income | (0.14) |
| &nbsp;&nbsp;&nbsp;Net realized gains | (0.01) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Total distributions | (0.15) |
| Net Asset Value, end of period | $25.05 |
| **Total Return (%)** | 0.77 <sup>(c)</sup> |
| **Ratios to Average Net Assets and Supplemental Data** |  |
| Net Assets, end of period ($ millions) | $3 |
| &nbsp;&nbsp;&nbsp;Ratio of expenses (%) | 0.43 <sup>(d)(e)</sup> |
| &nbsp;&nbsp;&nbsp;Ratio of net investment income (loss) (%) | 3.48 <sup>(d)</sup> |
| Portfolio turnover rate (%)<sup>(f)</sup> | 0 <sup>(c)</sup> |

---

---

| | | |
|:---|:---|:---|
| **Simplify Tail Risk Strategy ETF**<br> **Selected Per Share Data** | **For the <br> Six Months Ended**<br> **December 31,<br> 2022**<br> **(Unaudited)** | **Period Ended**<br> **June 30, <br> 2022<sup>(g)</sup>** |
| Net Asset Value, beginning of period | $19.98 | $25.00 |
| Income (loss) from investment operations: |  |  |
| &nbsp;&nbsp;&nbsp;Net investment income (loss)<sup>(b)</sup> | 0.61 | 0.38 |
| &nbsp;&nbsp;&nbsp;Net realized and unrealized gain (loss) | (8.14) | (4.04) |
| Total from investment operations | (7.53) | (3.66) |
| Less distributions from: |  |  |
| &nbsp;&nbsp;&nbsp;Net investment income | (0.73) | (0.34) |
| &nbsp;&nbsp;&nbsp;Return of capital | - | (1.02) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Total distributions | (0.73) | (1.36) |
| Net Asset Value, end of period | $11.72 | $19.98 |
| **Total Return (%)** | (38.14)<sup>(c)(h)</sup> | (15.01)<sup>(c)(h)</sup> |
| **Ratios to Average Net Assets and Supplemental Data** |  |  |
| Net Assets, end of period ($ millions) | $24 | $104 |
| &nbsp;&nbsp;&nbsp;Ratio of expenses before fee waiver (%) | 0.94 <sup>(d)(i)(j)</sup> | 0.76 <sup>(d)(j)(k)</sup> |
| &nbsp;&nbsp;&nbsp;Ratio of expenses after fee waiver (%) | 0.44 <sup>(d)(j)</sup> | 0.17 <sup>(d)(j)</sup> |
| &nbsp;&nbsp;&nbsp;Ratio of net investment income (loss) (%) | 7.22 <sup>(d)</sup> | 2.27 <sup>(d)</sup> |
| Portfolio turnover rate (%)<sup>(f)</sup> | 17 <sup>(c)</sup> | 125 <sup>(c)</sup> |

---

(a) For
 the period October 28, 2022 (commencement of operations) through December 31, 2022.

(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 0.07%.

(f) Excludes
 the impact of in-kind transactions related to the processing of capital share transactions
 in Creation Units.

(g) For
 the period September 14, 2021 (commencement of operations) through June 30, 2022.

(h) Total
 Return would have been lower if certain expenses had not been waived/reimbursed by the Advisor.

(i) The
 ratios of expenses to average net assets includes interest expense fees of 0.19%.

(j) 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.

(k) The
 ratios of expenses to average net assets includes interest expense fees of 0.01%.

See Notes to Financial Statements.

**Simplify Exchange Traded Funds**

**Financial Highlights** (Continued)

---

| | | | |
|:---|:---|:---|:---|
| **Simplify US Equity PLUS Convexity ETF**<br> **Selected Per Share Data** | **For the<br> Six Months Ended**<br> **December 31, <br> 2022**<br> **(Unaudited)** | **Year Ended <br> June 30, <br> 2022** | **Period Ended**<br> **June 30, <br> 2021<sup>(a)</sup>** |
| Net Asset Value, beginning of period | $26.59 | $30.63 | $25.00 |
| Income (loss) from investment operations: |  |  |  |
| &nbsp;&nbsp;&nbsp;Net investment income (loss)<sup>(b)</sup> | 0.21 | 0.33 | 0.31 |
| &nbsp;&nbsp;&nbsp;Net realized and unrealized gain (loss) | (1.42) | (3.85) | 5.59 |
| Total from investment operations | (1.21) | (3.52) | 5.90 |
| Less distributions from: |  |  |  |
| &nbsp;&nbsp;&nbsp;Net investment income | (0.00)<sup>(c)</sup> | (0.52) | (0.27) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Total distributions | (0.00)<sup>(c)</sup> | (0.52) | (0.27) |
| Net Asset Value, end of period | $25.38 | $26.59 | $30.63 |
| **Total Return (%)** | (4.54)<sup>(d)</sup> | (11.68) | 23.68 <sup>(d)</sup> |
| **Ratios to Average Net Assets and Supplemental Data** |  |  |  |
| Net Assets, end of period ($ millions) | $77 | $61 | $89 |
| &nbsp;&nbsp;&nbsp;Ratio of expenses before fee waiver (%) | 0.57 <sup>(e)(f)(g)</sup> | 0.50 <sup>(g)</sup> | 0.50 <sup>(e)(g)</sup> |
| &nbsp;&nbsp;&nbsp;Ratio of expenses after fee waiver (%) | 0.32 <sup>(e)(g)</sup> | 0.25 <sup>(g)</sup> | 0.25 <sup>(e)(g)</sup> |
| &nbsp;&nbsp;&nbsp;Ratio of net investment income (loss) (%) | 1.55 <sup>(e)</sup> | 1.04 | 1.35 <sup>(e)</sup> |
| Portfolio turnover rate (%)<sup>(h)</sup> | 0 <sup>(d)</sup> | 3 | 6 <sup>(d)</sup> |

---

---

| | | | |
|:---|:---|:---|:---|
| **Simplify US Equity PLUS Downside Convexity ETF**<br> **Selected Per Share Data** | **For the <br> Six Months Ended**<br> **December 31, <br> 2022**<br> **(Unaudited)** | **Year Ended<br> June 30,<br> 2022** | **Period Ended**<br> **June 30, <br> 2021<sup>(a)</sup>** |
| Net Asset Value, beginning of period | $26.48 | $30.26 | $25.00 |
| Income (loss) from investment operations: |  |  |  |
| &nbsp;&nbsp;&nbsp;Net investment income (loss)<sup>(b)</sup> | 0.17 | 0.35 | 0.36 |
| &nbsp;&nbsp;&nbsp;Net realized and unrealized gain (loss) | (2.20) | (3.76) | 5.14 |
| Total from investment operations | (2.03) | (3.41) | 5.50 |
| Less distributions from: |  |  |  |
| &nbsp;&nbsp;&nbsp;Net investment income | (0.20) | (0.37) | (0.24) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Total distributions | (0.20) | (0.37) | (0.24) |
| Net Asset Value, end of period | $24.25 | $26.48 | $30.26 |
| **Total Return (%)** | (7.70)<sup>(d)</sup> | (11.38) | 22.07 <sup>(d)</sup> |
| **Ratios to Average Net Assets and Supplemental Data** |  |  |  |
| Net Assets, end of period ($ millions) | $239 | $445 | $225 |
| &nbsp;&nbsp;&nbsp;Ratio of expenses before fee waiver (%) | 0.66 <sup>(e)(g)(i)</sup> | 0.50 <sup>(g)</sup> | 0.50 <sup>(e)(g)</sup> |
| &nbsp;&nbsp;&nbsp;Ratio of expenses after fee waiver (%) | 0.41 <sup>(e)(g)</sup> | 0.25 <sup>(g)</sup> | 0.25 <sup>(e)(g)</sup> |
| &nbsp;&nbsp;&nbsp;Ratio of net investment income (loss) (%) | 1.26 <sup>(e)</sup> | 1.14 | 1.53 <sup>(e)</sup> |
| Portfolio turnover rate (%)<sup>(h)</sup> | 0 <sup>(d)</sup> | 5 | 4 <sup>(d)</sup> |

---

(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) Less
 than $.005.

(d) Not
 annualized.

(e) Annualized.

(f) The
 ratios of expenses to average net assets includes interest expense fees of 0.07%.

(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) The
 ratios of expenses to average net assets includes interest expense fees of 0.16%.

See Notes to Financial Statements.

**Simplify Exchange Traded Funds**

**Financial Highlights** (Continued)

---

| | | | |
|:---|:---|:---|:---|
| **Simplify US Equity PLUS GBTC ETF**<br> **Selected Per Share Data** | **For the<br> Six Months Ended**<br> **December 31, <br> 2022**<br> **(Unaudited)** | **Year Ended <br> June 30, <br> 2022** | **Period Ended**<br> **June 30, <br> 2021<sup>(a)</sup>** |
| Net Asset Value, beginning of period | $20.43 | $25.32 | $25.00 |
| Income (loss) from investment operations: |  |  |  |
| &nbsp;&nbsp;&nbsp;Net investment income (loss)<sup>(b)</sup> | 0.10 | 0.17 | 0.06 |
| &nbsp;&nbsp;&nbsp;Net realized and unrealized gain (loss) | (0.36)<sup>(c)</sup> | (4.51) | 0.30 |
| Total from investment operations | (0.26) | (4.34) | 0.36 |
| Less distributions from: |  |  |  |
| &nbsp;&nbsp;&nbsp;Net investment income |  | (0.21) | (0.04) |
| &nbsp;&nbsp;&nbsp;Net realized gains | - | (0.34) | - |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Total distributions | - | (0.55) | (0.04) |
| Net Asset Value, end of period | $20.17 | $20.43 | $25.32 |
| **Total Return (%)** | (1.29)<sup>(d)</sup> | (17.66) | 1.46 <sup>(d)</sup> |
| **Ratios to Average Net Assets and Supplemental Data** |  |  |  |
| Net Assets, end of period ($ millions) | $46 | $87 | $103 |
| &nbsp;&nbsp;&nbsp;Ratio of expenses (%) | 0.51 <sup>(e)(f)(g)</sup> | 0.50 <sup>(g)</sup> | 0.51 <sup>(e)(f)(g)</sup> |
| &nbsp;&nbsp;&nbsp;Ratio of net investment income (loss) (%) | 0.93 <sup>(e)</sup> | 0.66 | 2.65 <sup>(e)</sup> |
| Portfolio turnover rate (%)<sup>(h)</sup> | 3 <sup>(d)</sup> | 6 | 2 <sup>(d)</sup> |

---

---

| | | | |
|:---|:---|:---|:---|
| **Simplify US Equity PLUS Upside Convexity ETF**<br> **Selected Per Share Data** | **For the<br> Six Months Ended**<br> **December 31, <br> 2022**<br> **(Unaudited)** | **Year Ended <br> June 30,<br> 2022** | **Period Ended**<br> **June 30,<br> 2021<sup>(i)</sup>** |
| Net Asset Value, beginning of period | $26.60 | $30.99 | $25.00 |
| Income (loss) from investment operations: |  |  |  |
| &nbsp;&nbsp;&nbsp;Net investment income (loss)<sup>(b)</sup> | 0.23 | 0.36 | 0.32 |
| &nbsp;&nbsp;&nbsp;Net realized and unrealized gain (loss) | (0.42) | (3.91) | 6.02 |
| Total from investment operations | (0.19) | (3.55) | 6.34 |
| Less distributions from: |  |  |  |
| &nbsp;&nbsp;&nbsp;Net investment income | (0.15) | (0.43) | (0.35) |
| &nbsp;&nbsp;&nbsp;Net realized gains | - | (0.41) | - |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Total distributions | (0.15) | (0.84) | (0.35) |
| Net Asset Value, end of period | $26.26 | $26.60 | $30.99 |
| **Total Return (%)** | (0.67)<sup>(d)</sup> | (11.99) | 25.52 <sup>(d)</sup> |
| **Ratios to Average Net Assets and Supplemental Data** |  |  |  |
| Net Assets, end of period ($ millions) | $11 | $12 | $9 |
| &nbsp;&nbsp;&nbsp;Ratio of expenses before fee waiver (%) | 0.51 <sup>(e)(f)(g)</sup> | 0.50 <sup>(g)</sup> | 0.50 <sup>(e)(g)</sup> |
| &nbsp;&nbsp;&nbsp;Ratio of expenses after fee waiver (%) | 0.26 <sup>(e)(g)</sup> | 0.25 <sup>(g)</sup> | 0.25 <sup>(e)(g)</sup> |
| &nbsp;&nbsp;&nbsp;Ratio of net investment income (loss) (%) | 1.66 <sup>(e)</sup> | 1.13 | 1.37 <sup>(e)</sup> |
| Portfolio turnover rate (%)<sup>(h)</sup> | 0 <sup>(d)</sup> | 4 | 5 <sup>(d)</sup> |

---

(a) For
 the period May 25, 2021 (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) Annualized.

(f) The
 ratios of expenses to average net assets includes interest expense fees of 0.01%.

(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 September 4, 2020 (commencement of operations) through June 30, 2021.

See Notes to Financial Statements.

**Simplify Exchange Traded Funds**

**Financial Highlights** (Continued)

---

| | | |
|:---|:---|:---|
| **Simplify US Small Cap PLUS Downside Convexity ETF**<br> **Selected Per Share Data** | **For the<br> Six Months Ended**<br> **December 31, <br> 2022**<br> **(Unaudited)** | **Period Ended**<br> **June 30, <br> 2022<sup>(a)</sup>** |
| Net Asset Value, beginning of period | $20.30 | $25.00 |
| Income (loss) from investment operations: |  |  |
| &nbsp;&nbsp;&nbsp;Net investment income (loss)<sup>(b)</sup> | 0.14 | 0.08 |
| &nbsp;&nbsp;&nbsp;Net realized and unrealized gain (loss) | (1.40) | (4.70) |
| Total from investment operations | (1.26) | (4.62) |
| Less distributions from: |  |  |
| &nbsp;&nbsp;&nbsp;Net investment income | (0.17) | (0.08) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Total distributions | (0.17) | (0.08) |
| Net Asset Value, end of period | $18.87 | $20.30 |
| **Total Return (%)** | (6.24)<sup>(c)</sup> | (18.50)<sup>(c)</sup> |
| **Ratios to Average Net Assets and Supplemental Data** |  |  |
| Net Assets, end of period ($ millions) | $2 | $3 |
| &nbsp;&nbsp;&nbsp;Ratio of expenses before fee waiver (%) | 0.57 <sup>(d)(e)(f)</sup> | 0.50 <sup>(d)(f)</sup> |
| &nbsp;&nbsp;&nbsp;Ratio of expenses after fee waiver (%) | 0.31 <sup>(d)(f)</sup> | 0.25 <sup>(d)(f)</sup> |
| &nbsp;&nbsp;&nbsp;Ratio of net investment income (loss) (%) | 1.37 <sup>(d)</sup> | 0.80 <sup>(d)</sup> |
| Portfolio turnover rate (%)<sup>(g)</sup> | 7 <sup>(c)</sup> | 2 <sup>(c)</sup> |

---

---

| | | | |
|:---|:---|:---|:---|
| **Simplify Volt Cloud and Cybersecurity Disruption ETF**<br> **Selected Per Share Data** | **For the <br> Six Months Ended**<br> **December 31, <br> 2022**<br> **(Unaudited)** | **Year Ended <br> June 30, <br> 2022** | **Period Ended**<br> **June 30,<br> 2021<sup>(h)</sup>** |
| Net Asset Value, beginning of period | $7.42 | $13.36 | $12.50 |
| Income (loss) from investment operations: |  |  |  |
| &nbsp;&nbsp;&nbsp;Net investment income (loss)<sup>(b)</sup> | (0.02) | (0.11) | (0.05) |
| &nbsp;&nbsp;&nbsp;Net realized and unrealized gain (loss) | (2.77) | (4.77) | 0.91 |
| Total from investment operations | (2.79) | (4.88) | 0.86 |
| &nbsp;&nbsp;&nbsp;Net realized gains | - | (1.06) | - |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Total distributions | - | (1.06) | - |
| Net Asset Value, end of period | $4.63 | $7.42 | $13.36 |
| **Total Return (%)** | (37.60)<sup>(c)</sup> | (40.74) | 6.91 <sup>(c)</sup> |
| **Ratios to Average Net Assets and Supplemental Data** |  |  |  |
| Net Assets, end of period ($ millions) | $4 | $7 | $5 |
| &nbsp;&nbsp;&nbsp;Ratio of expenses (%) | 0.98 <sup>(d)(i)</sup> | 0.95 | 0.95 <sup>(d)(f)</sup> |
| &nbsp;&nbsp;&nbsp;Ratio of net investment income (loss) (%) | (0.52)<sup>(d)</sup> | (0.81) | (0.81)<sup>(d)</sup> |
| Portfolio turnover rate (%)<sup>(g)</sup> | 1364 <sup>(c)</sup> | 267 | 40 <sup>(c)</sup> |

---

(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) Annualized.

(e) The
 ratios of expenses to average net assets includes interest expense fees of 0.06%.

(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 December 29, 2020 (commencement of operations) through June 30, 2021.

(i) The
 ratios of expenses to average net assets includes interest expense fees of 0.02%.

See Notes to Financial Statements.

**Simplify Exchange Traded Funds**

**Financial Highlights** (Continued)

---

| | | | |
|:---|:---|:---|:---|
| **Simplify Volt RoboCar Disruption and Tech ETF<br> Selected Per Share Data** | **For the<br> Six Months Ended<br> December 31,<br> 2022<br> (Unaudited)** | **Year Ended <br> June 30,<br> 2022** | **Period Ended<br> June 30, <br> 2021<sup>(a)</sup>** |
| Net Asset Value, beginning of period | $9.09 | $11.83 | $12.50 |
| Income (loss) from investment operations: |  |  |  |
| &nbsp;&nbsp;&nbsp;Net investment income (loss)<sup>(b)</sup> | 0.00 <sup>(c)</sup> | 0.06 | (0.04) |
| &nbsp;&nbsp;&nbsp;Net realized and unrealized gain (loss) | (3.10) | (2.75) | (0.63) |
| Total from investment operations | (3.10) | (2.69) | (0.67) |
| Less distributions from: |  |  |  |
| &nbsp;&nbsp;&nbsp;Net investment income |  | (0.03) |  |
| &nbsp;&nbsp;&nbsp;Return of capital | - | (0.02) | - |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Total distributions | - | (0.05) | - |
| Net Asset Value, end of period | $5.99 | $9.09 | $11.83 |
| **Total Return (%)** | (34.08)<sup>(d)</sup> | (22.91) | (5.34)<sup>(d)</sup> |
| **Ratios to Average Net Assets and Supplemental Data** |  |  |  |
| Net Assets, end of period ($ millions) | $3 | $5 | $2 |
| &nbsp;&nbsp;&nbsp;Ratio of expenses (%) | 1.02 <sup>(e)(f)</sup> | 0.95 | 0.95 <sup>(e)(g)</sup> |
| &nbsp;&nbsp;&nbsp;Ratio of net investment income (loss) (%) | 0.06 <sup>(e)</sup> | 0.46 | (0.71)<sup>(e)</sup> |
| Portfolio turnover rate (%)<sup>(h)</sup> | 204 <sup>(d)</sup> | 254 | 20 <sup>(d)</sup> |

---

(a) For
the period December 29, 2020 (commencement of operations) through June 30, 2021.

(b) Per
share numbers have been calculated using the average shares method.

(c) Less
than $.005.

(d) Not
annualized.

(e) Annualized.

(f) The
ratios of expenses to average net assets includes interest expense fees of 0.05%.

(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.

See Notes to Financial Statements.

**Simplify Exchange Traded Funds**

**Consolidated Financial Highlights**

---

| | |
|:---|:---|
| **Simplify Bitcoin Strategy PLUS Income ETF<br> Selected Per Share Data** | **Period Ended<br> December<br> 31, 2022<sup>(a)(b)</sup><br> (Unaudited)** |
| Net Asset Value, beginning of period | $12.50 |
| Income (loss) from investment operations: |  |
| &nbsp;&nbsp;&nbsp;Net investment income (loss)<sup>(c)</sup> | 0.01 |
| &nbsp;&nbsp;&nbsp;Net realized and unrealized gain (loss) | (1.65) |
| Total from investment operations | (1.64) |
| Less distributions from: |  |
| &nbsp;&nbsp;&nbsp;Net investment income | (0.40) |
| &nbsp;&nbsp;&nbsp;Net realized gains | (0.06) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Total distributions | (0.46) |
| Net Asset Value, end of period | $10.40 |
| **Total Return (%)** | (13.07)<sup>(d)</sup> |
| **Ratios to Average Net Assets and Supplemental Data** |  |
| Net Assets, end of period ($ millions) | $4 |
| &nbsp;&nbsp;&nbsp;Ratio of expenses (%) | 11.11 <sup>(e)(f)(g)</sup> |
| &nbsp;&nbsp;&nbsp;Ratio of net investment income (loss) (%) | 0.34 <sup>(e)</sup> |
| Portfolio turnover rate (%)<sup>(h)</sup> | 202 <sup>(d)</sup> |

---

---

| | | |
|:---|:---|:---|
| **Simplify Macro Strategy ETF<br> Selected Per Share Data** | **For the <br> Six Months Ended<br> December 31, <br> 2022<br> (Unaudited)** | **<br>Period Ended<br> June 30, <br> 2022<sup>(i)</sup>** |
| Net Asset Value, beginning of period | $23.59 | $25.00 |
| Income (loss) from investment operations: |  |  |
| &nbsp;&nbsp;&nbsp;Net investment income (loss)<sup>(c)</sup> | 0.99 | 0.16 |
| &nbsp;&nbsp;&nbsp;Net realized and unrealized gain (loss) | (0.41) | (1.56) |
| Total from investment operations | 0.58 | (1.40) |
| Less distributions from: |  |  |
| &nbsp;&nbsp;&nbsp;Net investment income | (0.81) | (0.01) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Total distributions | (0.81) | (0.01) |
| Net Asset Value, end of period | $23.36 | $23.59 |
| **Total Return (%)** | 2.44 <sup>(d)(j)</sup> | (5.61)<sup>(d)(j)</sup> |
| **Ratios to Average Net Assets and Supplemental Data** |  |  |
| Net Assets, end of period ($ millions) | $22 | $6 |
| &nbsp;&nbsp;&nbsp;Ratio of expenses before fee waiver (%) | 0.77 <sup>(e)(g)(k)</sup> | 0.75 <sup>(e)(g)</sup> |
| &nbsp;&nbsp;&nbsp;Ratio of expenses after fee waiver (%) | 0.42 <sup>(e)(g)</sup> | 0.45 <sup>(e)(g)</sup> |
| &nbsp;&nbsp;&nbsp;Ratio of net investment income (loss) (%) | 8.17 <sup>(e)</sup> | 5.88 <sup>(e)</sup> |
| Portfolio turnover rate (%)<sup>(h)</sup> | 43 <sup>(d)</sup> | 11 <sup>(d)</sup> |

---

(a) For
 the period September 30, 2022 (commencement of operations) through December 31,
 2022.

(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 10.16%.

(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 May 17, 2022 (commencement of operations) through June 30, 2022.

(j) Total
 Return would have been lower if certain expenses had not been waived/reimbursed by the
 Advisor.

(k) The
 ratios of expenses to average net assets includes interest expense fees of 0.02%.

See Notes to Financial Statements.

**Simplify Exchange Traded Funds**

**Consolidated Financial Highlights** (Continued)

---

| | | |
|:---|:---|:---|
| **Simplify Managed Futures Strategy ETF<br> Selected Per Share Data** | **For the<br> Six Months Ended<br> December 31,<br> 2022<br> (Unaudited)** | **Period Ended<br> June 30, <br> 2022<sup>(a)</sup>** |
| Net Asset Value, beginning of period | $27.27 | $25.00 |
| Income (loss) from investment operations: |  |  |
| &nbsp;&nbsp;&nbsp;Net investment income (loss)<sup>(b)</sup> | 0.28 | (0.02) |
| &nbsp;&nbsp;&nbsp;Net realized and unrealized gain (loss) | 0.42 <sup>(c)</sup> | 2.29 |
| Total from investment operations | 0.70 | 2.27 |
| Less distributions from: |  |  |
| &nbsp;&nbsp;&nbsp;Net investment income | (1.04) |  |
| &nbsp;&nbsp;&nbsp;Net realized gains | (0.67) | - |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Total distributions | (1.71) | - |
| Net Asset Value, end of period | $26.26 | $27.27 |
| **Total Return (%)** | 2.52 <sup>(d)</sup> | 9.07 <sup>(d)</sup> |
| **Ratios to Average Net Assets and Supplemental Data** |  |  |
| Net Assets, end of period ($ millions) | $158 | $29 |
| &nbsp;&nbsp;&nbsp;Ratio of expenses (%) | 0.76 <sup>(e)(f)(g)</sup> | 0.75 <sup>(e)(g)</sup> |
| &nbsp;&nbsp;&nbsp;Ratio of net investment income (loss) (%) | 1.99 <sup>(e)</sup> | (0.27)<sup>(e)</sup> |
| Portfolio turnover rate (%)<sup>(h)</sup> | 0 <sup>(d)</sup> | 0 <sup>(d)</sup> |

---

---

| | | | |
|:---|:---|:---|:---|
| **Simplify Volatility Premium ETF<br> Selected Per Share Data** | **For the <br> Six Months Ended<br> December 31,<br> 2022<br> (Unaudited)** | **Year Ended<br> June 30, <br> 2022<sup>(i)</sup>** | **Period Ended<br> June 30, <br> 2021<sup>(j)</sup>** |
| Net Asset Value, beginning of period | $22.18 | $27.01 | $25.00 |
| Income (loss) from investment operations: |  |  |  |
| &nbsp;&nbsp;&nbsp;Net investment income (loss)<sup>(b)</sup> | 0.15 | 0.03 | (0.02) |
| &nbsp;&nbsp;&nbsp;Net realized and unrealized gain (loss) | 1.47 | (1.54) | 2.03 |
| Total from investment operations | 1.62 | (1.51) | 2.01 |
| Less distributions from: |  |  |  |
| &nbsp;&nbsp;&nbsp;Net investment income | (1.95) | (0.04) | - |
| &nbsp;&nbsp;&nbsp;Return of capital | - | (3.28) | - |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Total distributions | (1.95) | (3.32) | - |
| Net Asset Value, end of period | $21.85 | $22.18 | $27.01 |
| **Total Return (%)** | 7.72 <sup>(d)</sup> | (6.23) | 8.05 <sup>(d)</sup> |
| **Ratios to Average Net Assets and Supplemental Data** |  |  |  |
| Net Assets, end of period ($ millions) | $113 | $99 | $15 |
| &nbsp;&nbsp;&nbsp;Ratio of expenses (%) | 1.84 <sup>(e)(g)(k)</sup> | 0.61 <sup>(g)(l)</sup> | 0.51 <sup>(e)(f)(g)</sup> |
| &nbsp;&nbsp;&nbsp;Ratio of net investment income (loss) (%) | 1.32 <sup>(e)</sup> | 0.10 | (0.51)<sup>(e)</sup> |
| Portfolio turnover rate (%)<sup>(h)</sup> | 88 <sup>(d)</sup> | 207 | 10 <sup>(d)</sup> |

---

(a) For
 the period March 8, 2022 (commencement of operations) through June 30, 2022.

(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) Annualized.

(f) The
 ratios of expenses to average net assets includes interest expense fees of 0.01%.

(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) 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.

(j) For
 the period May 13, 2021 (commencement of operations) through June 30, 2021.

(k) The
 ratios of expenses to average net assets includes interest expense fees of 1.34%.

(l) The
 ratios of expenses to average net assets includes interest expense fees of 0.11%.

See Notes to Financial Statements.

**Simplify Exchange Traded Funds**

**Notes to Financial Statements**

December 31, 2022 (Unaudited)

**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 December 31, 2022, 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 Nasdaq 100 PLUS Convexity ETF

Simplify Nasdaq 100 PLUS Downside Convexity 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 US Small Cap PLUS Downside Convexity ETF

Simplify Volt Cloud and Cybersecurity Disruption ETF

Simplify Volt RoboCar Disruption and Tech ETF

Simplify Bitcoin Strategy PLUS Income 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.

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 Nasdaq 100 PLUS Convexity ETF, Simplify Nasdaq 100 PLUS Downside Convexity ETF and Simplify US Equity PLUS GBTC ETF which offer shares that are listed and traded on the Nasdaq Stock Market LLC ("Nasdaq") and Simplify Intermediate Term Treasury Futures Strategy ETF which offers shares that are listed and traded on the CBOE BZX Exchange, Inc. 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. |
| 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 Exchange Traded Funds**

**Notes to Financial Statements** (Continued)

December 31, 2022 (Unaudited)

---

| | |
|:---|:---|
| **Fund** | **Investment objectives** |
| 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 Nasdaq 100 PLUS Convexity ETF | The Fund seeks to provide capital appreciation. |
| Simplify Nasdaq 100 PLUS Downside Convexity ETF | The Fund seeks to provide capital appreciation. |
| 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 long-term 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 US Small Cap PLUS Downside Convexity ETF | The Fund seeks to provide capital appreciation. |
| Simplify Volt Cloud and Cybersecurity Disruption 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 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 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<br> Date of<br> Subsidiary** | **Subsidiary Net<br> Assets at<br> December 31,<br> 2022** | **% of Fund's<br> Consolidated<br> Total Assets at<br> December 31,<br> 2022** |
| Simplify Bitcoin Strategy PLUS Income ETF | September 30, 2022 | $3632110 | 11.6% |
| Simplify Macro Strategy ETF | May 17, 2022 | $1372425 | 6.3% |
| Simplify Managed Futures Strategy ETF | March 8, 2022 | $35722225 | 22.5% |
| Simplify Volatility Premium ETF | May 13, 2021 | $30109553 | 21.9% |

---

**Simplify Exchange Traded Funds**

**Notes to Financial Statements** (Continued)

December 31, 2022 (Unaudited)

**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.

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).

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

**Simplify Exchange Traded Funds**

**Notes to Financial Statements** (Continued)

December 31, 2022 (Unaudited)

The following is a summary of the valuations as of December 31, 2022 for each Fund based upon the three levels defined above:

**Simplify Aggregate Bond PLUS Credit Hedge ETF**

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| | | | | |
|:---|:---|:---|:---|:---|
| **Assets** | **Level 1** | **Level 2** | **Level 3** | **Total** |
| Exchange-Traded Funds | $1557161 | $- | $- | $1557161 |
| Total Return Swaps | - | 2145 | - | 2145 |
| TOTAL | $1557161 | $2145 | $- | $1559306 |

---

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Liabilities** | **Level 1** | **Level 2** | **Level 3** | **Total** |
| Total Return Swaps | $- | $(2747) | $- | $(2747) |
| TOTAL | $- | $(2747) | $- | $(2747) |

---

**Simplify Developed Ex-US PLUS Downside Convexity ETF**

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Assets** | **Level 1** | **Level 2** | **Level 3** | **Total** |
| Exchange-Traded Funds | $22020274 | $- | $- | $22020274 |
| Purchased Options | 38205 |  |  | 38205 |
| Money Market Funds | 88 | - | - | 88 |
| TOTAL | $22058567 | $- | $- | $22058567 |

---

**Simplify Emerging Markets Equity PLUS Downside Convexity ETF**

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| | | | | |
|:---|:---|:---|:---|:---|
| **Assets** | **Level 1** | **Level 2** | **Level 3** | **Total** |
| Exchange-Traded Funds | $4789739 | $- | $- | $4789739 |
| Purchased Options | 7075 |  |  | 7075 |
| Money Market Funds | 1089 | - | - | 1089 |
| TOTAL | $4797903 | $- | $- | $4797903 |

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**Simplify Enhanced Income ETF**

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| | | | | |
|:---|:---|:---|:---|:---|
| **Assets** | **Level 1** | **Level 2** | **Level 3** | **Total** |
| U.S. Treasury Bills | $2489861 | $- | $- | $2489861 |
| Purchased Options | 743 | - | - | 743 |
| TOTAL | $2490604 | $- | $- | $2490604 |

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| | | | | |
|:---|:---|:---|:---|:---|
| **Liabilities** | **Level 1** | **Level 2** | **Level 3** | **Total** |
| Written Options | $(10395) | $- | $- | $(10395) |
| TOTAL | $(10395) | $- | $- | $(10395) |

---

**Simplify Health Care ETF**

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| | | | | |
|:---|:---|:---|:---|:---|
| **Assets** | **Level 1** | **Level 2** | **Level 3** | **Total** |
| Common Stocks | $55148451 | $- | $- | $55148451 |
| Money Market Funds | 2753477 | - | - | 2753477 |
| TOTAL | $57901928 | $- | $- | $57901928 |

---

**Simplify Exchange Traded Funds**

**Notes to Financial Statements** (Continued)

December 31, 2022 (Unaudited)

**Simplify Hedged Equity ETF**

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| | | | | |
|:---|:---|:---|:---|:---|
| **Assets** | **Level 1** | **Level 2** | **Level 3** | **Total** |
| Exchange-Traded Funds | $88363305 | $- | $- | $88363305 |
| Purchased Options | 1387140 |  |  | 1387140 |
| Money Market Funds | 202978 | - | - | 202978 |
| TOTAL | $89953423 | $- | $- | $89953423 |

---

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| | | | | |
|:---|:---|:---|:---|:---|
| **Liabilities** | **Level 1** | **Level 2** | **Level 3** | **Total** |
| Written Options | $(921360) | $- | $- | $(921360) |
| TOTAL | $(921360) | $- | $- | $(921360) |

---

**Simplify High Yield PLUS Credit Hedge ETF**

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| | | | | |
|:---|:---|:---|:---|:---|
| **Assets** | **Level 1** | **Level 2** | **Level 3** | **Total** |
| U.S. Treasury Bills | $35570871 | $- | $- | $35570871 |
| Purchased Options | 5660 | - | - | 5660 |
| TOTAL | $35576531 | $- | $- | $35576531 |

---

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| | | | | |
|:---|:---|:---|:---|:---|
| **Liabilities** | **Level 1** | **Level 2** | **Level 3** | **Total** |
| Total Return Swaps | $- | $(1078648) | $- | $(1078648) |
| TOTAL | $- | $(1078648) | $- | $(1078648) |

---

**Simplify Interest Rate Hedge ETF**

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| | | | | |
|:---|:---|:---|:---|:---|
| **Assets** | **Level 1** | **Level 2** | **Level 3** | **Total** |
| U.S. Government Obligations | $161275195 | $- | $- | $161275195 |
| U.S. Treasury Bills | 84730668 |  |  | 84730668 |
| Purchased Swaptions |  | 129872918 |  | 129872918 |
| Interest Rate Swaps | - | 1258 | - | 1258 |
| TOTAL | $246005863 | $129874176 | $- | $375880039 |

---

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| | | | | |
|:---|:---|:---|:---|:---|
| **Liabilities** | **Level 1** | **Level 2** | **Level 3** | **Total** |
| Purchased Swaptions | $- | $(5158733) | $- | $(5158733) |
| TOTAL | $- | $(5158733) | $- | $(5158733) |

---

**Simplify Intermediate Term Treasury Futures Strategy ETF**

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| | | | | |
|:---|:---|:---|:---|:---|
| **Assets** | **Level 1** | **Level 2** | **Level 3** | **Total** |
| U.S. Treasury Bills | $34791628 | $- | $- | $34791628 |
| Money Market Funds | 956871 | - | - | 956871 |
| TOTAL | $35748499 | $- | $- | $35748499 |

---

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| | | | | |
|:---|:---|:---|:---|:---|
| **Liabilities** | **Level 1** | **Level 2** | **Level 3** | **Total** |
| Futures | $(766594) | $- | $- | $(766594) |
| TOTAL | $(766594) | $- | $- | $(766594) |

---

**Simplify Nasdaq 100 PLUS Convexity ETF**

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| | | | | |
|:---|:---|:---|:---|:---|
| **Assets** | **Level 1** | **Level 2** | **Level 3** | **Total** |
| Exchange-Traded Funds | $3563359 | $- | $- | $3563359 |
| Purchased Options | 2830 | - | - | 2830 |
| TOTAL | $3566189 | $- | $- | $3566189 |

---

**Simplify Exchange Traded Funds**

**Notes to Financial Statements** (Continued)

December 31, 2022 (Unaudited)

**Simplify Nasdaq 100 PLUS Downside Convexity ETF**

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| | | | | |
|:---|:---|:---|:---|:---|
| **Assets** | **Level 1** | **Level 2** | **Level 3** | **Total** |
| Exchange-Traded Funds | $6296989 | $- | $- | $6296989 |
| Purchased Options | 9905 | - | - | 9905 |
| TOTAL | $6306894 | $- | $- | $6306894 |

---

**Simplify Short Term Treasury Futures Strategy ETF**

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| | | | | |
|:---|:---|:---|:---|:---|
| **Assets** | **Level 1** | **Level 2** | **Level 3** | **Total** |
| U.S. Treasury Bills | $59724910 | $- | $- | $59724910 |
| TOTAL | $59724910 | $- | $- | $59724910 |

---

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| | | | | |
|:---|:---|:---|:---|:---|
| **Liabilities** | **Level 1** | **Level 2** | **Level 3** | **Total** |
| TOTAL | $(572702) | $- | $- | $(572702) |

---

**Simplify Stable Income ETF**

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| | | | | |
|:---|:---|:---|:---|:---|
| **Assets** | **Level 1** | **Level 2** | **Level 3** | **Total** |
| U.S. Treasury Bills | $3099798 | $- | $- | $3099798 |
| Purchased Options | 165 | - | - | 165 |
| TOTAL | $3099963 | $- | $- | $3099963 |

---

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Liabilities** | **Level 1** | **Level 2** | **Level 3** | **Total** |
| Written Options | $(2310) | $- | $- | $(2310) |
| TOTAL | $(2310) | $- | $- | $(2310) |

---

**Simplify Tail Risk Strategy ETF**

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| | | | | |
|:---|:---|:---|:---|:---|
| **Assets** | **Level 1** | **Level 2** | **Level 3** | **Total** |
| Exchange-Traded Funds | $23470538 | $- | $- | $23470538 |
| Purchased Options | 223570 | - | - | 223570 |
| TOTAL | $23694108 | $- | $- | $23694108 |

---

**Simplify US Equity PLUS Convexity ETF**

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| | | | | |
|:---|:---|:---|:---|:---|
| **Assets** | **Level 1** | **Level 2** | **Level 3** | **Total** |
| Exchange-Traded Funds | $76538479 | $- | $- | $76538479 |
| Purchased Options | 77327 |  |  | 77327 |
| Money Market Funds | 272296 | - | - | 272296 |
| TOTAL | $76888102 | $- | $- | $76888102 |

---

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| | | | | |
|:---|:---|:---|:---|:---|
| **Liabilities** | **Level 1** | **Level 2** | **Level 3** | **Total** |
| Written Options | $(4220) | $- | $- | $(4220) |
| TOTAL | $(4220) | $- | $- | $(4220) |

---

**Simplify US Equity PLUS Downside Convexity ETF**

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Assets** | **Level 1** | **Level 2** | **Level 3** | **Total** |
| Exchange-Traded Funds | $238150648 | $- | $- | $238150648 |
| Purchased Options | 423111 |  |  | 423111 |
| Money Market Funds | 313176 | - | - | 313176 |
| TOTAL | $238886935 | $- | $- | $238886935 |

---

**Simplify Exchange Traded Funds**

**Notes to Financial Statements** (Continued)

December 31, 2022 (Unaudited)

**Simplify US Equity PLUS GBTC ETF**

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| | | | | |
|:---|:---|:---|:---|:---|
| **Assets** | **Level 1** | **Level 2** | **Level 3** | **Total** |
| Exchange-Traded Funds | $38754494 | $- | $- | $38754494 |
| Grantor Trusts | 4930544 |  |  | 4930544 |
| Money Market Funds | 1231985 | - | - | 1231985 |
| TOTAL | $44917023 | $- | $- | $44917023 |

---

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| | | | | |
|:---|:---|:---|:---|:---|
| **Liabilities** | **Level 1** | **Level 2** | **Level 3** | **Total** |
| Futures | $(189289) | $- | $- | $(189289) |
| TOTAL | $(189289) | $- | $- | $(189289) |

---

**Simplify US Equity PLUS Upside Convexity ETF**

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| | | | | |
|:---|:---|:---|:---|:---|
| **Assets** | **Level 1** | **Level 2** | **Level 3** | **Total** |
| Exchange-Traded Funds | $10495084 | $- | $- | $10495084 |
| Purchased Options | 3817 |  |  | 3817 |
| Money Market Funds | 10861 | - | - | 10861 |
| TOTAL | $10509762 | $- | $- | $10509762 |

---

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Liabilities** | **Level 1** | **Level 2** | **Level 3** | **Total** |
| Written Options | $(1595) | $- | $- | $(1595) |
| TOTAL | $(1595) | $- | $- | $(1595) |

---

**Simplify US Small Cap PLUS Downside Convexity ETF**

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| | | | | |
|:---|:---|:---|:---|:---|
| **Assets** | **Level 1** | **Level 2** | **Level 3** | **Total** |
| Exchange-Traded Funds | $2353697 | $- | $- | $2353697 |
| Purchased Options | 2830 |  |  | 2830 |
| Money Market Funds | 124 | - | - | 124 |
| TOTAL | $2356651 | $- | $- | $2356651 |

---

**Simplify Volt Cloud and Cybersecurity Disruption ETF**

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| | | | | |
|:---|:---|:---|:---|:---|
| **Assets** | **Level 1** | **Level 2** | **Level 3** | **Total** |
| Common Stocks | $3627527 | $- | $- | $3627527 |
| Purchased Options | 52625 |  |  | 52625 |
| Money Market Funds | 143866 | - | - | 143866 |
| TOTAL | $3824018 | $- | $- | $3824018 |

---

**Simplify Volt RoboCar Disruption and Tech ETF**

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| | | | | |
|:---|:---|:---|:---|:---|
| **Assets** | **Level 1** | **Level 2** | **Level 3** | **Total** |
| Common Stocks | $2224182 | $- | $- | $2224182 |
| Purchased Options | 22365 |  |  | 22365 |
| Money Market Funds | 302262 | - | - | 302262 |
| TOTAL | $2548809 | $- | $- | $2548809 |

---

**Simplify Exchange Traded Funds**

**Notes to Financial Statements** (Continued)

December 31, 2022 (Unaudited)

**Simplify Bitcoin Strategy PLUS Income ETF**

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| | | | | |
|:---|:---|:---|:---|:---|
| **Assets** | **Level 1** | **Level 2** | **Level 3** | **Total** |
| U.S. Treasury Bills | $13993709 | $- | $- | $13993709 |
| Purchased Options | 825 | - | - | 825 |
| TOTAL | $13994534 | $- | $- | $13994534 |

---

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| | | | | |
|:---|:---|:---|:---|:---|
| **Liabilities** | **Level 1** | **Level 2** | **Level 3** | **Total** |
| Written Options | $(11550) | $- | $- | $(11550) |
| Reverse Repurchase Agreements |  | (26949322) |  | (26949322) |
| Futures | (18823) | - | - | (18823) |
| TOTAL | $(30373) | $(26949322) | $- | $(26979695) |

---

**Simplify Macro Strategy ETF**

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| | | | | |
|:---|:---|:---|:---|:---|
| **Assets** | **Level 1** | **Level 2** | **Level 3** | **Total** |
| Exchange-Traded Funds | $18922243 | $- | $- | $18922243 |
| Purchased Options | 1927196 |  |  | 1927196 |
| Money Market Funds | 436319 | - | - | 436319 |
| TOTAL | $21285758 | $- | $- | $21285758 |

---

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| | | | | |
|:---|:---|:---|:---|:---|
| **Liabilities** | **Level 1** | **Level 2** | **Level 3** | **Total** |
| Written Options | $(154620) | $- | $- | $(154620) |
| TOTAL | $(154620) | $- | $- | $(154620) |

---

**Simplify Managed Futures Strategy ETF**

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Assets** | **Level 1** | **Level 2** | **Level 3** | **Total** |
| U.S. Treasury Bills | $130478899 | $- | $- | $130478899 |
| Futures | 8852380 | - | - | 8852380 |
| TOTAL | $175053504 | $- | $- | $175053504 |

---

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| | | | | |
|:---|:---|:---|:---|:---|
| **Liabilities** | **Level 1** | **Level 2** | **Level 3** | **Total** |
| Futures | $(2723911) | $- | $- | $(2723911) |
| TOTAL | $(2723911) | $- | $- | $(2723911) |

---

**Simplify Volatility Premium ETF**

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| | | | | |
|:---|:---|:---|:---|:---|
| **Assets** | **Level 1** | **Level 2** | **Level 3** | **Total** |
| U.S. Government Obligations | $66084180 | $- | $- | $66084180 |
| U.S. Treasury Bills | 49023916 |  |  | 49023916 |
| Purchased Options | 157200 |  |  | 157200 |
| Futures | 1460682 | - | - | 1460682 |
| TOTAL | $116725978 | $- | $- | $116725978 |

---

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| | | | | |
|:---|:---|:---|:---|:---|
| **Liabilities** | **Level 1** | **Level 2** | **Level 3** | **Total** |
| Reverse Repurchase Agreements | $- | $(11047001) | $- | $(11047001) |
| Futures | (18262) | - | - | (18262) |
| TOTAL | $(18262) | $(11047001) | $- | $(11065263) |

---

**Cash**

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

**Simplify Exchange Traded Funds**

**Notes to Financial Statements** (Continued)

December 31, 2022 (Unaudited)

**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 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 Short Term Treasury Futures Strategy ETF, Simplify Stable Income ETF, Simplify Tail Risk Strategy ETF, Simplify Bitcoin Strategy PLUS Income 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 Short Term Treasury Futures Strategy ETF, Simplify Stable Income ETF, Simplify Tail Risk Strategy ETF, Simplify Bitcoin Strategy PLUS Income 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

**Simplify Exchange Traded Funds**

**Notes to Financial Statements** (Continued)

December 31, 2022 (Unaudited)

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 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

**Simplify Exchange Traded Funds**

**Notes to Financial Statements** (Continued)

December 31, 2022 (Unaudited)

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 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 December 31, 2022 and the related location in the accompanying Statement of Assets and Liabilities or Consolidated Statement of Assets and Liabilities, presented by primary underlying risk exposure:

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Fund** | **Asset Derivatives** | **Asset Derivatives** | **Liability Derivatives** | **Liability Derivatives** |
| **Simplify Aggregate Bond PLUS Credit Hedge ETF** | **Simplify Aggregate Bond PLUS Credit Hedge ETF** | **Simplify Aggregate Bond PLUS Credit Hedge ETF** |  |  |
| Equity Contracts | Unrealized appreciation on otc swaps | $2145 | Unrealized depreciation on otc swaps | $2747 |
| **Simplify Developed Ex-US PLUS Downside Convexity ETF** | **Simplify Developed Ex-US PLUS Downside Convexity ETF** | **Simplify Developed Ex-US PLUS Downside Convexity ETF** |  |  |
| Equity Contracts | Investments, at value<sup>(1)</sup> | $38205 | Investments, at value<sup>(1)</sup> | $- |
| **Simplify Emerging Markets Equity PLUS Downside Convexity ETF** | **Simplify Emerging Markets Equity PLUS Downside Convexity ETF** | **Simplify Emerging Markets Equity PLUS Downside Convexity ETF** |  |  |
| Equity Contracts | Investments, at value<sup>(1)</sup> | $7075 | Investments, at value<sup>(1)</sup> | $- |
| **Simplify Enhanced Income ETF** | **Simplify Enhanced Income ETF** | **Simplify Enhanced Income ETF** |  |  |
| Equity Contracts | Investments, at value<sup>(1)</sup> | $743 | Investments, at value<sup>(1)</sup> | $- |
| Equity Contracts | Written options | $- | Written options | $10395 |
| **Simplify Hedged Equity ETF** | **Simplify Hedged Equity ETF** | **Simplify Hedged Equity ETF** |  |  |
| Equity Contracts | Investments, at value<sup>(1)</sup> | $1387140 | Investments, at value<sup>(1)</sup> | $- |
| Equity Contracts | Written options | $- | Written options | $921360 |
| **Simplify High Yield PLUS Credit Hedge ETF** | **Simplify High Yield PLUS Credit Hedge ETF** | **Simplify High Yield PLUS Credit Hedge ETF** |  |  |
| Equity Contracts | Investments, at value<sup>(1)</sup> | $5660 | Investments, at value<sup>(1)</sup> | $- |
| Equity Contracts | Unrealized appreciation on otc swaps | $- | Unrealized depreciation on otc swaps | $1078648 |
| **Simplify Interest Rate Hedge ETF** | **Simplify Interest Rate Hedge ETF** | **Simplify Interest Rate Hedge ETF** |  |  |
| Interest Rate Contracts | Investments, at value<sup>(2)</sup> | $129872918 | Investments, at value<sup>(2)</sup> | $5158733 |
| Interest Rate Contracts | Unrealized appreciation on otc swaps | $1258 | Unrealized depreciation on otc swaps | $- |

---

**Simplify Exchange Traded Funds**

**Notes to Financial Statements** (Continued)

December 31, 2022 (Unaudited)

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Fund** | **Asset Derivatives** | **Asset Derivatives** | **Liability Derivatives** | **Liability Derivatives** |
| **Simplify Intermediate Term Treasury Futures Strategy ETF** | **Simplify Intermediate Term Treasury Futures Strategy ETF** | **Simplify Intermediate Term Treasury Futures Strategy ETF** |  |  |
| Interest Rate Contracts | Unrealized appreciation on futures contracts\* | $- | Unrealized depreciation on futures contracts\* | $766594 |
| **Simplify Nasdaq 100 PLUS Convexity ETF** | **Simplify Nasdaq 100 PLUS Convexity ETF** | **Simplify Nasdaq 100 PLUS Convexity ETF** |  |  |
| Equity Contracts | Investments, at value<sup>(1)</sup> | $2830 | Investments, at value<sup>(1)</sup> | $- |
| **Simplify Nasdaq 100 PLUS Downside Convexity ETF** | **Simplify Nasdaq 100 PLUS Downside Convexity ETF** | **Simplify Nasdaq 100 PLUS Downside Convexity ETF** |  |  |
| Equity Contracts | Investments, at value<sup>(1)</sup> | $9905 | Investments, at value<sup>(1)</sup> | $- |
| **Simplify Short Term Treasury Futures Strategy ETF** | **Simplify Short Term Treasury Futures Strategy ETF** | **Simplify Short Term Treasury Futures Strategy ETF** |  |  |
| Commodity Contracts | Unrealized appreciation on futures contracts\* | $- | Unrealized depreciation on futures contracts\* | $- |
| **Simplify Stable Income ETF** | **Simplify Stable Income ETF** | **Simplify Stable Income ETF** |  |  |
| Equity Contracts | Investments, at value<sup>(1)</sup> | $165 | Investments, at value<sup>(1)</sup> | $- |
| Equity Contract | Written options | $- | Written options | $2310 |
| **Simplify Tail Risk Strategy ETF** | **Simplify Tail Risk Strategy ETF** | **Simplify Tail Risk Strategy ETF** |  |  |
| Equity Contracts | Investments, at value<sup>(1)</sup> | $223570 | Investments, at value<sup>(1)</sup> | $- |
| **Simplify US Equity PLUS Convexity ETF** | **Simplify US Equity PLUS Convexity ETF** | **Simplify US Equity PLUS Convexity ETF** |  |  |
| Equity Contracts | Investments, at value<sup>(1)</sup> | $77327 | Investments, at value<sup>(1)</sup> | $- |
| Equity Contracts | Written options | $- | Written options | $4220 |
| **Simplify US Equity PLUS Downside Convexity ETF** | **Simplify US Equity PLUS Downside Convexity ETF** | **Simplify US Equity PLUS Downside Convexity ETF** |  |  |
| Equity Contracts | Investments, at value<sup>(1)</sup> | $423111 | Investments, at value<sup>(1)</sup> | $- |
| **Simplify US Equity PLUS GBTC ETF** | **Simplify US Equity PLUS GBTC ETF** | **Simplify US Equity PLUS GBTC ETF** |  |  |
| Equity Contracts | Unrealized appreciation on futures contracts\* | $- | Unrealized depreciation on futures contracts\* | $189289 |
| **Simplify US Equity PLUS Upside Convexity ETF** | **Simplify US Equity PLUS Upside Convexity ETF** | **Simplify US Equity PLUS Upside Convexity ETF** |  |  |
| Equity Contracts | Investments, at value<sup>(1)</sup> | $3817 | Investments, at value<sup>(1)</sup> | $- |
| Equity Contracts | Written options | $- | Written options | $1595 |
| **Simplify US Small Cap PLUS Downside Convexity ETF** | **Simplify US Small Cap PLUS Downside Convexity ETF** | **Simplify US Small Cap PLUS Downside Convexity ETF** |  |  |
| Equity Contracts | Investments, at value<sup>(1)</sup> | $2830 | Investments, at value<sup>(1)</sup> | $- |
| **Simplify Volt Cloud and Cybersecurity Disruption ETF** | **Simplify Volt Cloud and Cybersecurity Disruption ETF** | **Simplify Volt Cloud and Cybersecurity Disruption ETF** |  |  |
| Equity Contracts | Investments, at value<sup>(1)</sup> | $52625 | Investments, at value<sup>(1)</sup> | $- |
| **Simplify Volt RoboCar Disruption and Tech ETF** | **Simplify Volt RoboCar Disruption and Tech ETF** | **Simplify Volt RoboCar Disruption and Tech ETF** |  |  |
| Equity Contracts | Investments, at value<sup>(1)</sup> | $22365 | Investments, at value<sup>(1)</sup> | $- |

---

**Simplify Exchange Traded Funds**

**Notes to Financial Statements** (Continued)

December 31, 2022 (Unaudited)

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Fund** | **Asset Derivatives** | **Asset Derivatives** | **Liability Derivatives** | **Liability Derivatives** |
| **Simplify Bitcoin Strategy PLUS Income ETF** | **Simplify Bitcoin Strategy PLUS Income ETF** | **Simplify Bitcoin Strategy PLUS Income ETF** |  |  |
| Equity Contracts | Investments, at value<sup>(1)</sup> | $825 | Investments, at value<sup>(1)</sup> | $- |
| Equity Contracts | Unrealized appreciation on futures contracts\* | $- | Unrealized depreciation on futures contracts\* | $18823 |
| Equity Contracts | Written options | $- | Written options | $11550 |
| **Simplify Macro Strategy ETF** | **Simplify Macro Strategy ETF** | **Simplify Macro Strategy ETF** |  |  |
| Equity Contracts | Investments, at value<sup>(1)</sup> | $1927196 | Investments, at value<sup>(1)</sup> | $- |
| Equity Contracts | Written options | $- | Written options | $154620 |
| **Simplify Managed Futures Strategy ETF** | **Simplify Managed Futures Strategy ETF** | **Simplify Managed Futures Strategy ETF** |  |  |
| Commodity Contracts | Unrealized appreciation on futures contracts\* | $8852380 | Unrealized depreciation on futures contracts\* | $2723911 |
| **Simplify Volatility Premium ETF** | **Simplify Volatility Premium ETF** | **Simplify Volatility Premium ETF** |  |  |
| Equity Contracts | Investments, at value<sup>(1)</sup> | $157200 | Investments, at value<sup>(1)</sup> | $- |
| Equity Contracts | Unrealized appreciation on futures contracts\* | $1460682 | Unrealized depreciation on futures contracts\* | $18262 |

---

\* 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 period ended December 31, 2022, realized gains/(losses) and the change in unrealized appreciation/(depreciation) on purchased option contracts <sup>(a)</sup> by risk type, as disclosed in the Statements of Operations, is as follows:

---

| | | | |
|:---|:---|:---|:---|
| **Fund** | **Risk Type** | **Realized Gain/<br> (Loss)** | **Change in<br> Unrealized<br> Appreciation/<br> (Depreciation)** |
| Simplify Aggregate Bond PLUS Credit Hedge ETF | Equity | $(95240) | $(3181) |
| Simplify Developed Ex-US PLUS Downside Convexity ETF | Equity | (3369988) | (203480) |
| Simplify Emerging Markets Equity PLUS Downside Convexity ETF | Equity | (1147303) | 18373 |
| Simplify Enhanced Income ETF | Equity | (1588) |  |
| Simplify Hedged Equity ETF | Equity | (2819522) | (661381) |
| Simplify High Yield PLUS Credit Hedge ETF | Equity | (1937311) | (83546) |
| Simplify Nasdaq 100 PLUS Convexity ETF | Equity | (689696) | 146126 |
| Simplify Nasdaq 100 PLUS Downside Convexity ETF | Equity | (2947209) | (136878) |
| Simplify Tail Risk Strategy ETF | Equity | (70128926) | (4319586) |
| Simplify US Equity PLUS Downside Convexity ETF | Equity | (86273545) | (5153741) |
| Simplify Volt Cloud and Cybersecurity Disruption ETF | Equity | (1453065) | (794569) |
| Simplify Volt RoboCar Disruption and Tech ETF | Equity | (7165602) | (97452) |
| Simplify Macro Strategy ETF | Equity | (375531) | 821834 |
| Simplify Volatility Premium ETF | Equity | (1439356) | (398518) |

---

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

**Simplify Exchange Traded Funds**

**Notes to Financial Statements** (Continued)

December 31, 2022 (Unaudited)

For the period ended December 31, 2022, realized gains/(losses) and the change in unrealized appreciation/(depreciation) on purchased swaption contracts <sup>(b)</sup> by risk type, as disclosed in the Statements of Operations, is as follows:

---

| | | | |
|:---|:---|:---|:---|
| **Fund** | **Risk Type** | **Realized Gain/<br> (Loss)** | **Change in<br> Unrealized<br> Appreciation/<br> (Depreciation)** |
| Simplify Interest Rate Hedge ETF | Interest Rate | $15704000 | $66478827 |

---

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

For the period ended December 31, 2022, 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/<br> (Loss)** | **Change in<br> Unrealized<br> Appreciation/<br> (Depreciation)** |
| Simplify Aggregate Bond PLUS Credit Hedge ETF | Equity | $9467 | $(5839) |
| Simplify High Yield PLUS Credit Hedge ETF | Equity | 1095614 | (724414) |
| Simplify Interest Rate Hedge ETF | Interest Rate |  | 529 |

---

For the period ended December 31, 2022, 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/<br> (Loss)** | **Change in<br> Unrealized<br> Appreciation/<br> (Depreciation)** |
| Simplify Intermediate Term Treasury Futures Strategy ETF | Interest Rate | $(7030585) | $362005 |
| Simplify Short Term Treasury Futures Strategy ETF | Interest Rate | (152142) | (572702) |
| Simplify US Equity PLUS GBTC ETF | Equity | 446738 | (193405) |
| Simplify Bitcoin Strategy PLUS Income ETF | Interest Rate | (807688) | (18823) |
| Simplify Managed Futures Strategy ETF | Commodity | (22315813) | (3158676) |
| Simplify Managed Futures Strategy ETF | Interest Rate | 5479045 | 7741982 |
| Simplify Volatility Premium ETF | Equity | 9540966 | 1907625 |

---

For the period ended December 31, 2022, 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/<br> (Loss)** | **Change in<br> Unrealized<br> Appreciation/<br> (Depreciation)** |
| Simplify Aggregate Bond PLUS Credit Hedge ETF | Equity | $70019 | $(318) |
| Simplify Developed Ex-US PLUS Downside Convexity ETF | Equity | 1639408 |  |
| Simplify Emerging Markets Equity PLUS Downside Convexity ETF | Equity | 576515 |  |
| Simplify Enhanced Income ETF | Equity | 1779 | 2827 |
| Simplify Hedged Equity ETF | Equity | 2913713 | 1157243 |
| Simplify High Yield PLUS Credit Hedge ETF | Equity | 1318618 | (15674) |
| Simplify Nasdaq 100 PLUS Convexity ETF | Equity | 270483 |  |
| Simplify Nasdaq 100 PLUS Downside Convexity ETF | Equity | 1911771 |  |
| Simplify Stable Income ETF | Equity | 764 | 608 |
| Simplify Tail Risk Strategy ETF | Equity | 42924987 |  |
| Simplify US Equity PLUS Convexity ETF | Equity | 2697739 | 141819 |
| Simplify US Equity PLUS Downside Convexity ETF | Equity | 51934052 |  |
| Simplify US Small Cap PLUS Downside Convexity ETF | Equity | 194895 |  |
| Simplify Volt Cloud and Cybersecurity Disruption ETF | Equity | 325639 |  |

---

**Simplify Exchange Traded Funds**

**Notes to Financial Statements** (Continued)

December 31, 2022 (Unaudited)

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| | | | |
|:---|:---|:---|:---|
| **Fund** | **Risk Type** | **Realized Gain/<br> (Loss)** | **Change in<br> Unrealized<br> Appreciation/<br> (Depreciation)** |
| Simplify Volt RoboCar Disruption and Tech ETF | Equity | $6027523 | $- |
| Simplify Bitcoin Strategy PLUS Income ETF | Equity | 59470 | 3041 |
| Simplify Macro Strategy ETF | Equity | 174630 | 133699 |

---

For the period ended December 31, 2022, the average fiscal quarter end balances of outstanding derivative financial instruments were as follows:

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **Fund** | **Purchased<br> Option<br> Contracts<br> (Contract Value)** | **Purchased<br> Swaption<br> Contracts<br> (Contract Value)** | **Futures<br> Contracts<br> (Notional Value)** | **Written<br> Option<br> Contracts<br> (Contract Value)** | **Swaps<br> (Notional Value)** |
| Simplify Aggregate Bond PLUS Credit Hedge ETF | $47496 | $- | $- | $(29638) | $- |
| Simplify Developed Ex-US PLUS Downside Convexity ETF | 764034 |  |  | (399965) |  |
| Simplify Emerging Markets Equity PLUS Downside Convexity ETF | 245160 |  |  | (133253) |  |
| Simplify Enhanced Income ETF | 808 |  |  | (10395) |  |
| Simplify Hedged Equity ETF | 2714265 |  |  | (842060) |  |
| Simplify High Yield PLUS Credit Hedge ETF | 723197 |  |  | (431831) |  |
| Simplify Interest Rate Hedge ETF |  | 100543719 |  |  | 3333 |
| Simplify Intermediate Term Treasury Futures Strategy ETF |  |  | 117216286 |  |  |
| Simplify Nasdaq 100 PLUS Convexity ETF | 204029 |  |  | (109442) |  |
| Simplify Nasdaq 100 PLUS Downside Convexity ETF | 1510958 |  |  | (831507) |  |
| Simplify Short Term Treasury Futures Strategy ETF |  |  | 304541017 |  |  |
| Simplify Stable Income ETF | 180 |  |  | (2310) |  |
| Simplify Tail Risk Strategy ETF | 29930259 |  |  | (17066370) |  |
| Simplify US Equity PLUS Convexity ETF | 2126702 |  |  | (1057498) |  |
| Simplify US Equity PLUS Downside Convexity ETF | 34931211 |  |  | (19372565) |  |
| Simplify US Equity PLUS GBTC ETF |  |  | 8831100 |  |  |
| Simplify US Equity PLUS Upside Convexity ETF | 17032 |  |  | (2700) |  |
| Simplify US Small Cap PLUS Downside Convexity ETF | 105815 |  |  | (53113) |  |
| Simplify Volt Cloud and Cybersecurity Disruption ETF | 555293 |  |  | (217547) |  |
| Simplify Volt RoboCar Disruption and Tech ETF | 633275 |  |  | (290986) |  |
| Simplify Bitcoin Strategy PLUS Income ETF | 438 |  |  | (5775) |  |
| Simplify Macro Strategy ETF | 2023504 |  |  | (576429) |  |
| Simplify Managed Futures Strategy ETF |  |  | (1074101602) |  |  |
| Simplify Volatility Premium ETF | 319617 |  | (28595264) |  |  |

---

The Simplify Interest Rate Hedge ETF enters 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 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.

**Simplify Exchange Traded Funds**

**Notes to Financial Statements** (Continued)

December 31, 2022 (Unaudited)

The following table presents Simplify Interest Rate Hedge ETF's 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 December 31, 2022:

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Fund** | **Gross Amounts of** **<br> Assets Presented<br> in the Statement<br> of Assets and<br> Liabilities<sup>(1)</sup>** | **Financial<br> Instruments<br> and Derivatives<br> Available for Offset** | **Collateral<br> Received<sup>(2)</sup>** | **Net<br> Amount of<br> Derivatives Assets** |
| **Simplify Interest Rate Hedge ETF** |  |  |  |  |
| Goldman Sachs International | $31973438 | $- | $- | $31973438 |
| Morgan Stanley Capital Services LLC | 45721668 |  | (45721668) |  |
| Bank of America NA | 40253749 |  | (30970803) | 9282946 |
| Barclays | 6765330 | - | - | 6765330 |
|  | $124714185 | $- | $(76692471) | $48021714 |

---

(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.

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 Not Offset in the<br> Statements of Assets and Liabilities** | **Gross Amounts Not Offset in the<br> Statements of Assets and Liabilities** | **Gross Amounts Not Offset in the<br> Statements of Assets and Liabilities** |
|  | **Gross Amounts of**<br>**Recognized<br> Liabilities** | **Gross Amounts<br> Offset in the<br> Consolidated<br> Statements of**<br>**Assets and<br> Liabilities** | **Net Amounts<br> Presented in the<br> Consolidated<br> Statements of**<br>**Assets and<br> Liabilities** | **Financial<br> Instruments<sup>(a)</sup>** | **Collateral<br> Pledged<sup>(a)</sup>** | **Net Amount<br> Payable** |
| Reverse Repurchase Agreements | $26949322 | $- | $26949322 | $26949322 | $13476482 | $13472840 |

---

(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 Not Offset in the<br> Statements of Assets and Liabilities** | **Gross Amounts Not Offset in the<br> Statements of Assets and Liabilities** | **Gross Amounts Not Offset in the<br> Statements of Assets and Liabilities** |
|  | **Gross Amounts of**<br>**Recognized<br> Liabilities** | **Gross Amounts<br> Offset in the<br> Consolidated<br> Statements of**<br>**Assets and<br> Liabilities** | **Net Amounts<br> Presented in the<br> Consolidated<br> Statements of**<br>**Assets and<br> Liabilities** | **Financial<br> Instruments<sup>(a)</sup>** | **Collateral<br> Pledged<sup>(a)</sup>** | **Net Amount<br> Payable** |
| Reverse Repurchase Agreements | $11047001 | $- | $11047001 | $11047001 | $11047001 | $- |

---

(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

**Simplify Exchange Traded Funds**

**Notes to Financial Statements** (Continued)

December 31, 2022 (Unaudited)

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 December 31, 2022, 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 $11,678,887 and 3.63%, and $34,645,254 and 2.77%, 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 December 31, 2022:

---

| | | | |
|:---|:---|:---|:---|
|  | **Less than<br> 30 days** | **Greater than<br> 90 days** | **Total** |
| U.S. Government Obligations | $– $– $| 26950991 | $26950991 |

---

The following table indicates the total amount of reverse repurchased agreements, including accrued interest, reconciled to the Simplify Volatility Premium ETF liability as of December 31, 2022:

---

| | | | |
|:---|:---|:---|:---|
|  | **Less than<br> 30 days** | **Greater than<br> 90 days** | **Total** |
| U.S. Government Obligations | $– $– $| 11048370 | $11048370 |

---

**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:

---

| | |
|:---|:---|
| <br>**Fund** | **Management**<br>**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 Nasdaq 100 PLUS Convexity ETF | 0.50% |
| Simplify Nasdaq 100 PLUS Downside Convexity ETF | 0.50% |
| 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 US Small Cap PLUS Downside Convexity ETF | 0.50% |
| Simplify Volt Cloud and Cybersecurity Disruption ETF | 0.95% |

---

**Simplify Exchange Traded Funds**

**Notes to Financial Statements** (Continued)

December 31, 2022 (Unaudited)

---

| | |
|:---|:---|
| <br>**Fund** | **Management**<br>**Fee** |
| Simplify Volt RoboCar Disruption and Tech ETF | 0.95% |
| Simplify Bitcoin Strategy Plus Income ETF | 0.85% |
| 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 period ended December 31, 2022, the Adviser waived expenses of the Funds as follows:

---

| | |
|:---|:---|
| <br>**Fund** | **Expenses**<br>**Waived** |
| Simplify Aggregate Bond PLUS | $2454 |
| Simplify High Yield PLUS Credit Hedge ETF | 59406 |
| Simplify Nasdaq 100 PLUS Convexity ETF | 6196 |
| Simplify Nasdaq 100 PLUS Downside Convexity ETF | 19314 |
| Simplify US Equity PLUS Convexity ETF | 73345 |
| Simplify US Equity PLUS Downside Convexity ETF | 496206 |
| Simplify US Equity PLUS Upside Convexity ETF | 16003 |

---

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 December 31, 2022, the Adviser waived expenses of the Fund as follows:

---

| | |
|:---|:---|
| <br>**Fund** | **Expenses**<br>**Waived** |
| Simplify Developed Ex-US PLUS Downside Convexity ETF | $26287 |
| Simplify Emerging Markets Equity PLUS Downside Convexity ETF | 8650 |
| Simplify US Small Cap PLUS Downside Convexity ETF | 3726 |

---

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 December 31, 2022, the Adviser waived expenses of the Fund as follows:

---

| | |
|:---|:---|
| <br>**Fund** | **Expenses**<br>**Waived** |
| Simplify Intermediate Term Treasury Futures Strategy ETF | $21195 |
| Simplify Short Term Treasury Futures Strategy ETF | $3696 |

---

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 December 31, 2022, the Adviser waived expenses of the Fund as follows:

---

| | |
|:---|:---|
| <br>**Fund** | **Expenses**<br>**Waived** |
| Simplify Tail Risk Strategy ETF | $82638 |
| Simplify Macro Strategy ETF | $- |

---

The Adviser has agreed to waive any 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 December 31, 2022, the affiliated funds fees waived by the Adviser are as follows:

**Simplify Exchange Traded Funds**

**Notes to Financial Statements** (Continued)

December 31, 2022 (Unaudited)

---

| | |
|:---|:---|
| <br>**Fund** | **Affiliated Fees**<br>**Waived** |
| Simplify Tail Risk Strategy ETF | $82864 |
| Simplify Macro Strategy ETF | 29918 |

---

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 December 31, 2022, the Adviser may potentially recoup the following amounts from the Funds listed below:

---

| | | | |
|:---|:---|:---|:---|
| | **Expires June 30,** | **Expires June 30,** | **Expires June 30,** |
| <br>**Fund** | **2024** | **2025** | **2026** |
| Simplify Aggregate Bond PLUS Credit Hedge ETF | $- | $1118 | $2455 |
| Simplify Developed Ex-US PLUS Downside Convexity ETF |  | 32273 | 26288 |
| Simplify Emerging Markets Equity PLUS Downside Convexity ETF |  | 6864 | 8650 |
| Simplify High Yield PLUS Credit Hedge ETF |  | 21199 | 59406 |
| Simplify Nasdaq 100 PLUS Convexity ETF | 3785 | 22537 | 6196 |
| Simplify Nasdaq 100 PLUS Downside Convexity ETF | 3357 | 33616 | 19314 |
| Simplify Risk Parity Treasury ETF |  | 24822 | 21195 |
| Simplify Tail Risk Strategy ETF |  | 104956 | 82638 |
| Simplify US Equity PLUS Convexity ETF | 134087 | 240785 | 73345 |
| Simplify US Equity PLUS Downside Convexity ETF | 164985 | 985654 | 496206 |
| Simplify US Equity PLUS Upside Convexity ETF | 11894 | 33708 | 16003 |
| Simplify US Small Cap PLUS Downside Convexity ETF |  | 3683 | 3726 |
| Simplify Short Term Treasury ETF |  |  | 3695 |

---

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 | $2419898 | $852326 |
| Simplify Developed Ex-US PLUS Downside Convexity ETF |  | 1467191 |
| Simplify Emerging Markets Equity PLUS Downside Convexity ETF |  | 471661 |
| Simplify Enhanced Income ETF |  |  |
| Simplify Health Care ETF | 8166776 | 10141549 |
| Simplify Hedged Equity ETF | 8815412 | 5328365 |
| Simplify High Yield PLUS Credit Hedge ETF |  | 408795 |
| Simplify Interest Rate Hedge ETF |  |  |
| Simplify Intermediate Term Treasury Futures Strategy ETF |  |  |
| Simplify Nasdaq 100 PLUS Convexity ETF |  | 212919 |
| Simplify Nasdaq 100 PLUS Downside Convexity ETF |  | 956036 |
| Simplify Short Term Treasury Futures Strategy ETF |  |  |
| Simplify Stable Income ETF |  |  |

---

**Simplify Exchange Traded Funds**

**Notes to Financial Statements** (Continued)

December 31, 2022 (Unaudited)

---

| | | |
|:---|:---|:---|
| **Fund** | **Purchases** | **Sales** |
| Simplify Tail Risk Strategy ETF | 9713948 | 42052244 |
| Simplify US Equity PLUS Convexity ETF |  | 2803039 |
| Simplify US Equity PLUS Downside Convexity ETF | 545697 | 32924757 |
| Simplify US Equity PLUS GBTC ETF | 1957509 | 1501502 |
| Simplify US Equity PLUS Upside Convexity ETF |  | 300807 |
| Simplify US Small Cap PLUS Downside Convexity ETF | 453644 | 215649 |
| Simplify Volt Cloud and Cybersecurity Disruption ETF | 58175546 | 55722912 |
| Simplify Volt RoboCar Disruption and Tech ETF | 6458924 | 6472933 |
| Simplify Bitcoin Strategy Plus Income ETF | 4650489 | 4795168 |
| Simplify Macro Strategy ETF | 8712183 | 5852899 |
| Simplify Managed Futures Strategy ETF |  |  |
| Simplify Volatility Premium ETF |  |  |

---

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

---

| | | |
|:---|:---|:---|
| **Fund** | **Purchases** | **Sales** |
| Simplify Aggregate Bond PLUS Credit Hedge ETF | $- | $1052605 |
| Simplify Developed Ex-US PLUS Downside Convexity ETF | 9031435 | 5648249 |
| Simplify Emerging Markets Equity PLUS Downside Convexity ETF | 474310 | 2224751 |
| Simplify Enhanced Income ETF |  |  |
| Simplify Health Care ETF | 57612730 | 35760992 |
| Simplify Hedged Equity ETF | 82457052 | 34263979 |
| Simplify High Yield PLUS Credit Hedge ETF | 299342 |  |
| Simplify Interest Rate Hedge ETF | 3304321 |  |
| Simplify Intermediate Term Treasury Futures Strategy ETF |  |  |
| Simplify Nasdaq 100 PLUS Convexity ETF |  | 1108580 |
| Simplify Nasdaq 100 PLUS Downside Convexity ETF | 4728910 | 16032903 |
| Simplify Short Term Treasury Futures Strategy ETF |  |  |
| Simplify Stable Income ETF |  |  |
| Simplify Tail Risk Strategy ETF | 15405264 | 48269789 |
| Simplify US Equity PLUS Convexity ETF | 45476733 | 27061963 |
| Simplify US Equity PLUS Downside Convexity ETF | 78011605 | 244799293 |
| Simplify US Equity PLUS GBTC ETF |  | 40380749 |
| Simplify US Equity PLUS Upside Convexity ETF | 3314646 | 4654455 |
| Simplify US Small Cap PLUS Downside Convexity ETF | 1009028 | 1478100 |
| Simplify Volt Cloud and Cybersecurity Disruption ETF |  |  |
| Simplify Volt RoboCar Disruption and Tech ETF |  | 324316 |
| Simplify Bitcoin Strategy Plus Income ETF |  |  |
| Simplify Macro Strategy ETF | 23986374 | 5975380 |
| 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 | $162843795 | $122017855 |
| Simplify Volatility Premium ETF | 84170430 | 112051836 |

---

**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 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.

**Simplify Exchange Traded Funds**

**Notes to Financial Statements** (Continued)

December 31, 2022 (Unaudited)

**9. Federal Income Taxes**

At June 30, 2022, gross unrealized appreciation and depreciation of investments owned by each Fund, based on cost for federal income tax purposes were as follows:

---

| | | | | |
|:---|:---|:---|:---|:---|
| <br>**Fund** |<br><br>**Tax Cost** |<br>**Gross**<br>**Unrealized**<br>**Appreciation** |<br>**Gross**<br>**Unrealized**<br>**Depreciation** | **Net**<br>**Unrealized**<br>**Appreciation**<br>**(Depreciation)** |
| Simplify Aggregate Bond PLUS Credit Hedge ETF | $1253018 | $275780 | $(351549) | $(75769) |
| Simplify Developed Ex-US PLUS Downside Convexity ETF | 23474516 | 151964 | (3960804) | (3808840) |
| Simplify Emerging Markets Equity PLUS Downside Convexity ETF | 8420809 | 6388 | (966575) | (960187) |
| Simplify Health Care ETF | 36754469 | 761218 | (4354998) | (3593780) |
| Simplify Hedged Equity ETF | 43441185 | 56462 | (5494834) | (5438372) |
| Simplify High Yield PLUS Credit Hedge ETF | 22989528 | 57851 | (66677) | (8826) |
| Simplify Interest Rate Hedge ETF | 127921126 | 58236087 | (6858846) | 51377241 |
| Simplify Nasdaq 100 PLUS Convexity ETF | 7286164 | 16713 | (2171140) | (2154427) |
| Simplify Nasdaq 100 PLUS Downside Convexity ETF | 24941132 | 96367 | (5253125) | (5156758) |
| Simplify Risk Parity Treasury ETF | 28730422 |  | (1715) | (1715) |
| Simplify Tail Risk Strategy ETF | 109290738 | 5875829 | (10353294) | (4477465) |
| Simplify US Equity PLUS Convexity ETF | 69824399 | 245473 | (8813109) | (8567636) |
| Simplify US Equity PLUS Downside Convexity ETF | 508919678 | 3552724 | (66657790) | (63105066) |
| Simplify US Equity PLUS GBTC ETF | 100145847 | 111948 | (16382692) | (16270744) |
| Simplify US Equity PLUS Upside Convexity ETF | 13807746 | 2817 | (1777400) | (1774583) |
| Simplify US Small Cap PLUS Downside Convexity ETF | 3592648 | 13886 | (561329) | (547443) |
| Simplify Volt Cloud and Cybersecurity Disruption ETF | 9238936 | 41065 | (6259251) | (6218186) |
| Simplify Volt RoboCar Disruption and Tech ETF | 5206642 | 37358 | (1670507) | (1633149) |
| Simplify Macro Strategy ETF | 6448375 | 108571 | (379114) | (270543) |
| Simplify Managed Futures Strategy ETF | 20706883 | 1556541 | (7594) | 1548947 |
| Simplify Volatility Premium ETF | 96977377 | 24219 | (1497994) | (1473775) |

---

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.

At June 30, 2022, 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 Developed Ex-US PLUS Downside Convexity ETF | $1535677 | $- | $1535677 |
| Simplify Emerging Markets Equity PLUS Downside Convexity ETF | 290872 |  | 290872 |
| Simplify Health Care ETF | 2348312 |  | 2348312 |
| Simplify High Yield PLUS Credit Hedge ETF | 2885885 | 50496 | 2936381 |
| Simplify Interest Rate Hedge ETF | 3805662 |  | 3805662 |
| Simplify Intermediate Term Treasury Futures Strategy ETF | 5407939 | 5557057 | 10964996 |
| Simplify Nasdaq 100 PLUS Convexity ETF | 275318 | 99562 | 374880 |
| Simplify Nasdaq 100 PLUS Downside Convexity ETF | 425623 | 86238 | 511861 |
| Simplify Tail Risk Strategy ETF | 5076645 | 752646 | 5829291 |
| Simplify US Equity PLUS Convexity ETF | 1364136 | 784114 | 2148250 |
| Simplify US Equity PLUS Downside Convexity ETF | 8130270 | 2022002 | 10152272 |
| Simplify US Small Cap PLUS Downside Convexity ETF | 63106 |  | 63106 |
| Simplify Volt RoboCar Disruption and Tech ETF | 2592784 | 201167 | 2793951 |
| Simplify Macro Strategy ETF | 37644 | 34384 | 72028 |
| Simplify Managed Futures Strategy ETF | 233053 | 103994 | 337047 |

---

**Simplify Exchange Traded Funds**

**Notes to Financial Statements** (Continued)

December 31, 2022 (Unaudited)

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 2022, the following Funds incurred and will elect to defer post-October capital losses and late year ordinary losses:

---

| | | |
|:---|:---|:---|
| <br>**Fund** | **Capital Post-**<br>**October Losses** | **Late-year**<br>**ordinary Losses** |
| Simplify US Equity PLUS GBTC ETF | $4101372 | $- |
| Simplify US Equity PLUS Upside Convexity ETF | 438690 |  |
| Simplify Volt Cloud and Cybersecurity Disruption ETF | 2653407 | 40179 |
| Simplify Volatility Premium ETF | 678323 |  |

---

**10. Coronavirus (COVID-19) Global Pandemic**

The current novel coronavirus (COVID-19) global pandemic and the aggressive responses taken by many governments, including closing borders, restricting international and domestic travel, and the imposition of prolonged quarantines or similar restrictions, as well as the forced or voluntary closure of, or operational changes to, many retail and other businesses, has had negative impacts, and in many cases severe negative impacts, on markets worldwide. It is not known how long such impacts, or any future impacts of other significant events described above, will or would last, but there could be a prolonged period of global economic slowdown, which may impact your investment.

**11. London Interbank Offered Rate (LIBOR) Risk**

LIBOR is used extensively in the U.S. and globally as a "benchmark" or "reference rate" for various commercial and financial contracts, including corporate and municipal bonds, bank loans, asset-backed and mortgage-related securities, interest rate swaps and other derivatives. Instruments in which the Fund invests may pay interest at floating rates based on LIBOR or may be subject to interest caps or floors based on LIBOR. The Fund's Pay Fixed Swaptions contracts currently include exposure to LIBOR. These swaptions grant the fund the right but not the obligation to enter into cleared swaps with terms starting in May of 2028 under which the fund pays a fixed rate in exchange for receiving periodic floating rate payments based on 3 month USD LIBOR. The industry currently anticipates the conversion of all LIBOR based instruments to SOFR based instruments in June 2023 or sooner.

Since 2017, the UK's Financial Conduct Authority has been working towards the cessation of LIBOR at the end of December 2021. In November 2020, though, the administrator of the U.S. Dollar Libor benchmarks, the ICE Benchmark Administration, extended the retirement date for most US Dollar LIBOR rates until June 2023. Regulators and industry working groups have suggested numerous alternative reference rates to LIBOR. Leading alternatives include Sonia in the UK, €STR in the EU, Tonar in Japan, and in the U.S., the NY Fed has been working to develop the Secured Overnight Financing Rate (SOFR). Global consensus is still coalescing around the transition to a new reference rate and the process for amending existing contracts. Abandonment of or modifications to LIBOR could have adverse impacts on newly issued financial instruments and existing financial instruments which reference LIBOR. There also remains uncertainty and risk regarding the willingness and ability of issuers to include enhanced provisions in new and existing contracts or instruments. The transition away from LIBOR may lead to increased volatility and illiquidity in markets that are tied to LIBOR, reduced values of LIBOR-related investments, and reduced effectiveness of hedging strategies, adversely affecting the Fund's performance or NAV. In addition, the alternative reference rate may be an ineffective substitute resulting in prolonged adverse market conditions for the Fund.

**12. 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.

**Simplify Exchange Traded Funds**

**Board Consideration in Approval of Investment Advisory** (Unaudited)

**Simplify Short Term Treasury Futures ETF (TUA), Simplify Stable Income ETF (BUCK), and Simplify Enhanced Income ETF (HIGH)**

In connection with the meeting of the Board of Trustees (the "Board" or "Trustees") of Simplify Exchange Traded Funds (the "Trust") held on October 10, 2022 (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 Stable Income ETF, Simplify Short Term Futures Strategy, and Simplify Enhanced Income ETF (each a "New Fund" and collectively, the "New Funds").

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 Funds 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 $1.45 billion in assets as of August 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 Funds and noted their extensive industry experience. The Trustees noted that the Adviser would manage the day-to-day portfolio administration, trade execution and compliance monitoring, and implementation of the option overlay strategy, and that the Adviser would also manage the composition of the portfolio. The Trustees noted that Simplify would monitor compliance with each 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 personnel resources and access to capital to service the New Funds, and concluded that Simplify was expected to provide high quality service to each New Fund and their respective shareholders.

**Performance**

The Trustees reviewed the investment objective of each Fund and the results of Simplify's back-tested performance data. They reviewed the annualized returns of each strategy as of August 31, 2022, noting that each outperformed the relevant benchmark for the one- five- and ten-year periods ended August 31, 2022. The Trustees acknowledged the limitations of back-tested performance data and noted that (i) in generating the data, no market risk was involved because no actual trading was done; (ii) because the data was created with the benefit of hindsight, it may be difficult to account for all factors that would have affected Simplify's decision-making process; (iii) assumptions used to generate the data may not be indicative of current or future market conditions and (iv) due to the benefit of hindsight, back-tested performance tends to show favorable results. The Trustees considered the Adviser's experience managing specialized ETFs. Taking all factors into consideration, the Trustees concluded that Simplify had the tools to deliver favorable returns to each Fund's shareholders.

**Fees and Expenses**

The Trustees acknowledged that BUCK had a proposed annual unitary advisory fee of 0.35%. The Trustees noted that the proposed advisory fee was lower than the adviser selected peer group average advisory fee and higher than its expected Morningstar category average advisory fee. The Trustees agreed that the proposed advisory fee was not unreasonable.

The Trustees acknowledged that HIGH had a proposed annual unitary advisory fee of 0.50%. The Trustees noted that the proposed advisory fee was lower than the adviser selected peer group average advisory fee, yet more than its expected Morningstar category average advisory fee. The Trustees agreed that the proposed advisory fee was not unreasonable.

The Trustees acknowledged that TUA had a proposed annual unitary advisory fee of 0.25%. The Trustees noted that the proposed advisory fee was lower than the adviser selected peer group average advisory fee and its expected Morningstar category average advisory fee. The Trustees then noted that TUA's proposed net expense ratio is also lower than the average of its peer group and its expected Morningstar category. 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 each New 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. They further noted that Simplify projected making a profit in connection with each 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 each New Fund.

**Simplify Exchange Traded Funds**

**Board Consideration in Approval of Investment Advisory** (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 Adviser's belief that the current proposed advisory fees reflect significant economies of scale, as demonstrated by the low margin in the first year, and that economies of scale to be realized by Simplify, including lower variable costs and decreasing impact of fixed costs, were likely offset by the additional resources necessary to service the New Funds. They noted that Simplify had agreed to consider breakpoints for each New Fund once assets 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 Management 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 each New Fund and its future shareholders.

**Simplify Bitcoin Strategy PLUS Income 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 August 23, 2022 (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 Bitcoin Strategy PLUS Income ETF (the "New Fund") and its Cayman subsidiary.

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 $1.36 billion in assets as of June 30, 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 that the Adviser would manage the day-to-day portfolio administration, trade execution and compliance monitoring, and implementation of the option overlay strategy, and that the Adviser would also manage the composition of the portfolio. They noted that the Adviser believed the proposed New Fund would provide investors with a unique solution to provide exposure to bitcoin with risk mitigation or return enhancement using proprietary overlays. 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 plans for raising additional capital to ensure it had sufficient financial and personnel resources to service the New Fund, and concluded that, based on the Board's experience with the Adviser since the launch of the Trust, Simplify had the resources and ability to provide high quality service to the New Fund and its shareholders.

**Performance**

The Trustees reviewed the investment objective of the New Fund and considered the performance of other Funds in the Trust. They reviewed the hypothetical, back-tested annualized returns as of June 30, 2022, noting that the strategy outperformed the benchmark for the one- and five-year periods ended June 30, 2022. The Trustees considered the Adviser's experience managing specialized thematic ETFs. 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 0.85% and 0.97%, respectively. The Trustees noted that the proposed advisory fee was lower than the Fund's peer group (four funds) average advisory fee and Morningstar category (US Fund Digital Assets) average advisory fee. The Trustees then noted that the New Fund's proposed net expense ratio is higher than the average of its peer group, but less than its expected Morningstar category. The Trustees acknowledged that the New Fund incorporated a derivatives overlay to augment the risk return profile of the strategy and as such, the fees charged by the New Fund are 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 New 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. They further

**Simplify Exchange Traded Funds**

**Board Consideration in Approval of Investment Advisory** (Unaudited) (Continued)

noted that Simplify projected making a profit 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 that the Adviser would market the Fund by focusing on advisers through targeted digital marketing and follow-up from staff. The Trustees also noted the Adviser's belief that the current proposed advisory fees reflect significant economies of scale, as demonstrated by the low margin in the first year, and that economies of scale in the New Fund including lower variable costs and decreasing impact of fixed costs were likely offset by the additional resources necessary to research and execute larger position sizes in the options overlays as well as the investment in resources to better service shareholders. They noted that Simplify had agreed to consider breakpoints for the New Fund once assets 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 future shareholders.

Simplify Bitcoin Strategy PLUS Income ETF – Management Agreement with respect to Cayman Controlled Foreign Corporation (Simplify Bitcoin Strategy PLUS Income Cayman Fund)

The Trustees concluded that their prior deliberations with respect to the investment advisory agreement with respect to the Simplify Bitcoin Strategy PLUS Income ETF applied as well to the management agreement (the "Cayman Agreement") between the Adviser and the Simplify Bitcoin Strategy PLUS Income 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 management agreement with respect to the Cayman Subsidiary, 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 Fund and its subsidiary.

**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 or on the SEC's Web site at 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, CBOE, 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.

---

| | | |
|:---|:---|:---|
| **Investment Adviser** | **Investment Sub-Adviser** | **Custodian, Administrator & Transfer Agent** |
| Simplify Asset Management Inc.<br> 222 Broadway, 22/F<br> New York, NY 10038 | Volt Equity LLC<br> 1423 Broadway PMB 137<br> Oakland, CA 94612 | The Bank of New York Mellon<br> 240 Greenwich Street<br> New York, NY 10036 |
| **Distributor** | **Independent Registered Public Accounting Firm** | **Legal Counsel** |
| Foreside Financial Services, LLC<br> Three Canal Plaza, Suite 100<br> Portland, ME 04101 | Cohen & Company Ltd.<br> 1350 Euclid Ave., Suite 800<br> Cleveland, OH 44115 | Thompson Hine LLP<br> 41 South High Street Suite 1700<br> Columbus, OH 43215 |
|  | **Simplify Exchange Traded **Funds** |  |
|  | 222 Broadway, 22/F<br> New York, NY 10038 |  |

---

(b) Not
 applicable

**Item 2. Code of Ethics.**

Not Applicable for the semi-annual reporting period.

**Item 3. Audit Committee Financial Expert.**

Not Applicable for the semi-annual reporting period.

**Item 4. Principal Accountant Fees and Services.**

Not Applicable for the semi-annual reporting period.

**Item 5. Audit Committee of Listed Registrants.**

Not Applicable for the semi-annual reporting period.

**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(a) of this
 form.

(b) Not
 applicable.

**Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.**

Not applicable.

**Item 8. Portfolio Managers of Closed-End Management Investment Companies.**

Not applicable.

**Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.**

Not applicable.

**Item 10. Submission of Matters to a Vote of Security Holders.**

Not applicable.

**Item 11. Controls and Procedures.**

&nbsp;&nbsp;&nbsp;&nbsp;(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)).

&nbsp;&nbsp;&nbsp;&nbsp;(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.**

Not applicable.

**Item 13. Exhibits.**

(a)(1) Not applicable.

(a)(2) [Certifications pursuant to Rule 30a-2(a) under the 1940 Act and Section 302 of the Sarbanes-Oxley Act of 2002 are attached hereto.](simplifyetf_ex99cert.htm)

There was no change in the Registrant's independent public accountant during the period covered by the report.

(b) [Certifications pursuant to Rule 30a-2(b) under the 1940 Act and Section 906 of the Sarbanes-Oxley Act of 2002 are attached hereto.](simplifyetf_ex99-906cert.htm)

**SIGNATURES**<br>

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) | (Registrant) | Simplify Exchange Traded Funds |
| By (Signature and Title)\* | By (Signature and Title)\* | /s/ Paul Kim, President |
| | | Paul Kim, President |
| | | (principal executive officer) |
| Date: | February 28, 2023 |  |

---

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)\* | By (Signature and Title)\* | /s/ Paul Kim, President |
| | | Paul Kim, President and Treasurer |
| | | (principal executive officer) |
| Date | February 28, 2023 |  |

---

\* Print the name and title of each signing officer under his or her signature.

## Ex-99.Cert

**Exhibit 99.CERT**

**Certification Pursuant to Rule 30a-2(a) under the 1940 Act and Section 302 of the Sarbanes-Oxley Act**

I, Paul Kim, certify that:

1. I
 have reviewed this report on Form N-CSR of Simplify Exchange Traded Funds;

2. Based
 on my knowledge, this report does not contain any untrue statement of a material fact or
 omit to state a material fact necessary to make the statements made, in light of the circumstances
 under which such statements were made, not misleading with respect to the period covered
 by this report;

3. Based
 on my knowledge, the financial statements, and other financial information included in this
 report, fairly present in all material respects the financial condition, results of operations,
 changes in net assets, and cash flows (if the financial statements are required to include
 a statement of cash flows) of the registrant as of, and for, the periods presented in this
 report;

4. The
 registrant's other certifying officer(s) and I are responsible for establishing and
 maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment
 Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d)
 under the Investment Company Act of 1940) for the registrant and have:

&nbsp;&nbsp;&nbsp;&nbsp;(a) Designed
 such disclosure controls and procedures, or caused such disclosure controls and procedures
 to be designed under our supervision, to ensure that material information relating to the
 registrant, including its consolidated subsidiaries, is made known to us by others within
 those entities, particularly during the period in which this report is being prepared;

&nbsp;&nbsp;&nbsp;&nbsp;(b) Designed
 such internal control over financial reporting, or caused such internal control over financial
 reporting to be designed under our supervision, to provide reasonable assurance regarding
 the reliability of financial reporting and the preparation of financial statements for external
 purposes in accordance with generally accepted accounting principles;

&nbsp;&nbsp;&nbsp;&nbsp;(c) Evaluated
 the effectiveness of the registrant's disclosure controls and procedures and presented
 in this report our conclusions about the effectiveness of the disclosure controls and procedures,
 as of a date within 90 days prior to the filing date of this report based on such evaluation;
 and

&nbsp;&nbsp;&nbsp;&nbsp;(d) Disclosed
 in this report any change in the registrant's internal control over financial reporting
 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; and

5. The
 registrant's other certifying officer(s) and I have disclosed to the registrant's
 auditors and the audit committee of the registrant's board of directors (or persons
 performing the equivalent functions):

&nbsp;&nbsp;&nbsp;&nbsp;(a) All
 significant deficiencies and material weaknesses in the design or operation of internal control
 over financial reporting which are reasonably likely to adversely affect the registrant's
 ability to record, process, summarize, and report financial information; and

&nbsp;&nbsp;&nbsp;&nbsp;(b) Any
 fraud, whether or not material, that involves management or other employees who have a significant
 role in the registrant's internal control over financial reporting.

---

| | | |
|:---|:---|:---|
| Date: | February 28, 2023 | /s/ Paul Kim, President |
|  |  | Paul Kim, President |
|  | | (principal executive officer) |

---

**Certification Pursuant to Rule 30a-2(a) under the 1940 Act and Section 302 of the Sarbanes-Oxley Act**

I, Paul Kim, certify that:

1. I
 have reviewed this report on Form N-CSR of Simplify Exchange Traded Funds;

2. Based
 on my knowledge, this report does not contain any untrue statement of a material fact or
 omit to state a material fact necessary to make the statements made, in light of the circumstances
 under which such statements were made, not misleading with respect to the period covered
 by this report;

3. Based
 on my knowledge, the financial statements, and other financial information included in this
 report, fairly present in all material respects the financial condition, results of operations,
 changes in net assets, and cash flows (if the financial statements are required to include
 a statement of cash flows) of the registrant as of, and for, the periods presented in this
 report;

4. The
 registrant's other certifying officer(s) and I are responsible for establishing and
 maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment
 Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d)
 under the Investment Company Act of 1940) for the registrant and have:

&nbsp;&nbsp;&nbsp;&nbsp;(a) Designed
 such disclosure controls and procedures, or caused such disclosure controls and procedures
 to be designed under our supervision, to ensure that material information relating to the
 registrant, including its consolidated subsidiaries, is made known to us by others within
 those entities, particularly during the period in which this report is being prepared;

&nbsp;&nbsp;&nbsp;&nbsp;(b) Designed
 such internal control over financial reporting, or caused such internal control over financial
 reporting to be designed under our supervision, to provide reasonable assurance regarding
 the reliability of financial reporting and the preparation of financial statements for external
 purposes in accordance with generally accepted accounting principles;

&nbsp;&nbsp;&nbsp;&nbsp;(c) Evaluated
 the effectiveness of the registrant's disclosure controls and procedures and presented
 in this report our conclusions about the effectiveness of the disclosure controls and procedures,
 as of a date within 90 days prior to the filing date of this report based on such evaluation;
 and

&nbsp;&nbsp;&nbsp;&nbsp;(d) Disclosed
 in this report any change in the registrant's internal control over financial reporting
 that occurred during the 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; and

5. The
 registrant's other certifying officer(s) and I have disclosed to the registrant's
 auditors and the audit committee of the registrant's board of directors (or persons
 performing the equivalent functions):

&nbsp;&nbsp;&nbsp;&nbsp;(a) All
 significant deficiencies and material weaknesses in the design or operation of internal control
 over financial reporting which are reasonably likely to adversely affect the registrant's
 ability to record, process, summarize, and report financial information; and

&nbsp;&nbsp;&nbsp;&nbsp;(b) Any
 fraud, whether or not material, that involves management or other employees who have a significant
 role in the registrant's internal control over financial reporting.

---

| | | |
|:---|:---|:---|
| Date: | February 28, 2023 | /s/ Paul Kim |
|  |  | Paul Kim, Treasurer |
|  | | (principal financial officer) |

---

## Exhibit 99.906

**Exhibit 99.906 CERT**

**Certification Pursuant to Rule 30a-2(b) under the 1940 Act and Section 906 of the Sarbanes-Oxley Act**

I, Paul Kim, Principal Executive Officer and Principal Financial Officer of Simplify Exchange Traded Funds; (the "Registrant"), certify that:

&nbsp;&nbsp;&nbsp;&nbsp;1. The Form N-CSR of the Registrant (the "Report")
fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934, as amended; and

&nbsp;&nbsp;&nbsp;&nbsp;2. The information contained in the Report fairly presents, in
all material respects, the financial condition and results of operations of the Registrant.

---

| | | |
|:---|:---|:---|
| Date: | February 28, 2023 | /s/ Paul Kim |
|  |  | Paul Kim, President and Treasurer |
| | | (principal executive officer) |

---