# EDGAR Filing Document

**Accession Number:** 0001810747
**File Stem:** 0001752724-23-036472
**Filing Date:** 2023-2
**Character Count:** 7260
**Document Hash:** f4716e77480f88b6be6a150a49547eb6
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-23-036472.hdr.sgml**: 20230223

**ACCESSION NUMBER**: 0001752724-23-036472

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20221230

**FILED AS OF DATE**: 20230223

**DATE AS OF CHANGE**: 20230223

**PERIOD START**: 20230630

**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:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-23570
- **FILM NUMBER:** 23658121

**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 Volatility Premium ETF (Series ID: S000071794)

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

## Form NPORT-P: Monthly Portfolio Investments Report

### NPORT-P: Part A: General Information

**Item A.1. Information about the Registrant.**

- **a. Name of Registrant:** Simplify Exchange Traded Funds

- **b. Investment Company Act file number:** 811-23570

- **c. CIK number of Registrant:** 0001810747

- **d. LEI of Registrant:** 549300LDDEMEUCZQEO55

- **e. Address and telephone number of Registrant.**

  - **Street Address 1:** 222 Broadway

  - **City:** New York

  - **State:** NY

  - **Foreign country:** US

  - **Zip / Postal Code:** 10038

  - **Telephone number:** 646-741-2438

**Item A.2. Information about the Series.**

- **a. Name of Series:** Simplify Volatility Premium ETF

- **b. EDGAR series identifier (if any):** S000071794

- **c. LEI of Series:** 549300CF4TTP7FLGVJ11

**Item A.3. Reporting period.**

- **a. Date of fiscal year-end:** 2023-06-30

- **b. Date as of which information is reported:** 2022-12-30

**Item A.4. Final filing**

Does the Fund anticipate that this will be its final filing on Form N-PORT? **No**

### Fund Information

**Total Assets:** $143395326.33

**Total Liabilities:** $30297971.02

**Net Assets:** $113097355.31

**Amount of Assets Invested in Other Investment Companies:** $30123752.84

**Cash Not Reported:** $14172580.51

**Currency Risk Metrics (dv01):**

- 

**Credit Spread Risk - Investment Grade (dv01):**

- **3-Month:** -11.04700000 | **1-Year:** 0.00000000 | **5-Year:** 0.00000000 | **10-Year:** 0.00000000 | **30-Year:** 0.00000000

**Credit Spread Risk - Non-Investment Grade (dv01):**

- **3-Month:** 0.00000000 | **1-Year:** 0.00000000 | **5-Year:** 0.00000000 | **10-Year:** 0.00000000 | **30-Year:** 0.00000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000227300 | 3.69%                | 4.49%                | 1.57%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $0.13                    | $-451617.74                                |
| Month 2  | $-403903.59              | $913860.25                                 |
| Month 3  | $-669956.07              | $733468.70                                 |

**Designated Index Information**

- **Index Name:** S&P 500 (Price)

- **Index Identifier:** 500

### Schedule of Portfolio Investments

| Name                       | Title                                      | Identifiers                                   | Payoff Profile   | Asset Category   | Issuer Category   | Country   |   Balance | Units   | Value (USD)   | % of Net Assets   | Maturity Date   | Coupon Type   | Annualized Rate (%)   | Restricted?   |   Fair Value Level | Lending Status   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| NEW YORK STOCK EXCHANGE    | PROSHARES ULTRA VIX SHORT-TERM FUTURES ETF | CUSIP: 000000000<br>LEI: 549300HIIRNTNKXV3M12 | N/A              | DE               | CORP              | US        |      1000 | NC      | $23000.00     | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| US TREASURY N/B            | United States Treasury Note/Bond           | CUSIP: 91282CEU1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   9500000 | PA      | $9189765.63   | 8.13%             | 2025-06-15      | Fixed         | 2.88%                 | No            |                  1 | On Loan: No      |
| NEW YORK STOCK EXCHANGE    | PROSHARES ULTRA VIX SHORT-TERM FUTURES ETF | CUSIP: 000000000<br>LEI: 549300HIIRNTNKXV3M12 | N/A              | DE               | CORP              | US        |      4800 | NC      | $19200.00     | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| US TREASURY N/B            | United States Treasury Note/Bond           | CUSIP: 91282CCX7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  61000000 | PA      | $56894413.91  | 50.31%            | 2024-09-15      | Fixed         | 0.38%                 | No            |                  1 | On Loan: No      |
| NEW YORK STOCK EXCHANGE    | PROSHARES ULTRA VIX SHORT-TERM FUTURES ETF | CUSIP: 000000000<br>LEI: 549300HIIRNTNKXV3M12 | N/A              | DE               | CORP              | US        |      5000 | NC      | $115000.00    | 0.10%             |  |  |  | No            |                  1 | On Loan: No      |
| TREASURY BILL              | United States Treasury Bill                | CUSIP: 912796ZP7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  50000000 | PA      | $49023916.50  | 43.35%            | 2023-06-08      | None          | 0.00%                 | No            |                  1 | On Loan: No      |
| CBOE FUTURES EXCHANGE, LLC | CBOE Volatility Index                      | CUSIP: 000000000<br>LEI: 254900O9GJPIWCP8RH13 | N/A              | DE               | CORP              | US        |      -188 | NC      | $-18261.84    | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| CBOE FUTURES EXCHANGE, LLC | CBOE Volatility Index                      | CUSIP: 000000000<br>LEI: 254900O9GJPIWCP8RH13 | N/A              | DE               | CORP              | US        |      -989 | NC      | $1460681.68   | 1.29%             |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY & CO. LLC   | Morgan Stanley                             | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | Short            | RA               | CORP              | US        | -11047001 | PA      | $-11047001.00 | -9.77%            |  |  |  | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2023-02-22

**Name of Applicant:** Simplify Exchange Traded Funds

**Signature:** Paul Kim

**Name of Signer:** Paul Kim

**Title:** Trustee, President and Treasurer