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Simplify Aggregate Bond ETF 

AGGH

| NYSE Arca, Inc.

Annual Shareholder Report | June 30, 2025

This annual shareholder report contains important information about Simplify Aggregate Bond ETF (the "Fund") for the period of July 1, 2024 to June 30, 2025. You can find additional information about the Fund at www.simplify.us/resources. You can also request this information by contacting us at (855) 772-8488.

 

 

What were the Fund’s costs for the last year? 

(based on a hypothetical $10,000 investment)

Fund	Costs of a $10,000 investment	Costs paid as a percentage of a $10,000 investment
Simplify Aggregate Bond ETF	$26	0.25%

Management's Discussion of Fund Performance

For the year ended June 30, 2025, AGGH returned 6.19% vs. the Bloomberg U.S. Aggregate Bond Index’s return of 6.08% for the same period, outperforming the index by 0.11%.

 

Rising interest rates were a headwind for AGGH and the bond market in general over the period, especially during the ''Tariff Tantrum'' in early April. AGGH outperformed despite the challenges in structural volatility option-selling strategies, as rate volatility and long-term Treasury rates spiked over just a few days with rates resetting to a higher level. AGGH used structural income opportunities such as more efficient option writing and curve positioning.

 

In the next 12 months, we believe the Federal Reserve will likely restart their rate-cutting cycle, thus reducing front-end rates, however back-end rates may continue to have upward pressures due to the fiscal outlook. AGGH’s structural volatility selling strategies are well-positioned to capture returns as long-term treasury rates stabilize in a higher range.

Fund Performance

Growth of an Assumed $10,000 Investment

	Simplify Aggregate Bond ETF- NAV	Bloomberg U.S. Aggregate Bond Index
2/14/22	$10,000	$10,000
3/31/22	$9,797	$9,795
6/30/22	$9,511	$9,335
9/30/22	$9,243	$8,892
12/31/22	$9,124	$9,058
3/31/23	$9,424	$9,326
6/30/23	$9,558	$9,248
9/30/23	$9,336	$8,949
12/31/23	$9,897	$9,559
3/31/24	$9,861	$9,485
6/30/24	$9,795	$9,491
9/30/24	$10,411	$9,984
12/31/24	$10,057	$9,678
3/31/25	$10,533	$9,948
6/30/25	$10,401	$10,068

AVERAGE ANNUAL TOTAL RETURN Fund/Index	1 Year	Since Inception 2/14/2022
Simplify Aggregate Bond ETF - NAV	6.19%	1.18%
Bloomberg U.S. Aggregate Bond Index	6.08%	0.20%

The Fund's past performance is not a good predictor of future performance. The graph and table do not reflect deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares.  

 

The Fund had a return of capital of $10,913,767. 

Key Fund Statistics

The following table outlines key fund statistics that you should pay attention to. 

Fund net assets	$324,930,843
Total number of portfolio holdings	5
Total advisory fee paid	$667,617
Portfolio turnover rate	299%

Graphical Representation of Holdings

The table below shows the types of investments that make up the Fund as of the end of the reporting period.

Investment Categories	% of Net Assets
U.S. Exchange-Traded Funds	94.9%
U.S. Treasury Bills	4.5%
Other Assets in Excess of Liabilities	0.6%
Total	100.0%

Availability of Additional Information

You can find additional information about the Fund such as the prospectus, financial information, fund holdings and proxy voting at the website address or contact number included at the beginning of this shareholder report.

 

 

 

Simplify Barrier Income ETF 

SBAR

| NYSE Arca, Inc.

Annual Shareholder Report | June 30, 2025

This annual shareholder report contains important information about Simplify Barrier Income ETF (the "Fund") for the period of April 14, 2025 (commencement of operations) to June 30, 2025. You can find additional information about the Fund at www.simplify.us/resources. You can also request this information by contacting us at (855) 772-8488.

 

 

What were the Fund’s costs for the period? 

(based on a hypothetical $10,000 investment)

Fund	Costs of a $10,000 investment	Costs paid as a percentage of a $10,000 investment
Simplify Barrier Income ETF	$16Footnote Reference(1)	0.75%

Footnote	Description
Footnote(1)	Based on the period April 14, 2025 (commencement of operations) through June 30, 2025. Expenses would have been higher if based on the full reporting period.

Management's Discussion of Fund Performance

For the period April 14, 2025, to June 30, 2025, SBAR returned 6.52% vs. the return of 15.11% of the S&P 500 Index, underperforming by 8.59%.

 

SBAR’s strong absolute returns were supported by robust equity market performance and a decline in overall market volatility. SBAR's income generation is derived from a combination of Treasury yields and premium income from selling barrier options. On a relative basis, SBAR’s performance has been consistent with expectations, reflecting its income-oriented strategy.

 

Looking ahead, we believe SBAR is well-positioned to appeal to investors seeking high monthly income through barrier option structures, while also offering operational efficiencies typically lacking in traditional structured note investments.

 

Fund Performance

Growth of an Assumed $10,000 Investment

	Simplify Barrier Income ETF- NAV	S&P 500 TR Index
4/14/25	$10,000	$10,000
6/30/25	$10,652	$11,511

AVERAGE ANNUAL TOTAL RETURN Fund/Index	Since Inception 4/14/2025
Simplify Barrier Income ETF - NAV	6.52%
S&P 500 TR Index	15.11%

The Fund's past performance is not a good predictor of future performance. The graph and table do not reflect deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares. 

Key Fund Statistics

The following table outlines key fund statistics that you should pay attention to. 

Fund net assets	$35,180,297
Total number of portfolio holdings	3
Total advisory fee paid	$46,972
Portfolio turnover rate	0%

Graphical Representation of Holdings

The table below shows the types of investments that make up the Fund as of the end of the reporting period.

Investment Categories	% of Net Assets
U.S. Treasury Bills	100.0%
Liabilities in Excess of Other Assets	(0.0)%Footnote Reference†
Total	100.0%

Footnote	Description
Footnote†	Less than 0.05%

Availability of Additional Information

You can find additional information about the Fund such as the prospectus, financial information, fund holdings and proxy voting at the website address or contact number included at the beginning of this shareholder report.

 

 

 

Simplify Bond Bull ETF 

RFIX

| NYSE Arca, Inc.

Annual Shareholder Report | June 30, 2025

This annual shareholder report contains important information about Simplify Bond Bull ETF (the "Fund") for the period of December 9, 2024 to June 30, 2025. You can find additional information about the Fund at www.simplify.us/resources. You can also request this information by contacting us at (855) 772-8488.

 

 

This report describes changes to the Fund that occurred during the reporting period.

What were the Fund’s costs for the period? 

(based on a hypothetical $10,000 investment)

Fund	Costs of a $10,000 investment	Costs paid as a percentage of a $10,000 investment
Simplify Bond Bull ETF	$25Footnote Reference(1)	0.50%

Footnote	Description
Footnote(1)	Based on the period December 9, 2024 (commencement of operations) through June 30, 2025. Expenses would have been higher if based on the full reporting period.

Management's Discussion of Fund Performance

For the period December 9, 2024, to June 30, 2025, RFIX returned -17.43% vs. the return of -11.7% of the ICE BofA Long US Treasury Principal STRIPS Index for the same period, underperforming the index by 6.26%.

 

The main reason for the difference is that RFIX holds a position in long-term expiry (5 to 7 years) over the counter (OTC) receiver swaptions which function similarly to a long-term call option on the 10-year rate. These swaptions underperformed as the forward interest rates under them increased.

 

Looking forward, we anticipate decreases in rates that drive decreases in the forward rates along with decreases in implied volatilities would be beneficial to RFIX’s performance while increases in forward rates and increases in implied volatilities would be harmful. The path of future interest rates and implied volatilities is notoriously difficult to predict.

 

Fund Performance

Growth of an Assumed $10,000 Investment

	Simplify Bond Bull ETF- NAV	Bloomberg U.S. Aggregate Bond Index	ICE BofA Long US Treasury Principal STRIPS Index (USD) TR
12/9/24	$10,000	$10,000	$10,000
12/31/24	$8,685	$9,817	$8,989
3/31/25	$8,812	$10,090	$9,398
6/30/25	$8,257	$10,211	$8,883

AVERAGE ANNUAL TOTAL RETURN Fund/Index	Since Inception 12/9/2024
Simplify Bond Bull ETF - NAV	-17.43%
Bloomberg U.S. Aggregate Bond Index	2.11%
ICE BofA Long US Treasury Principal STRIPS Index (USD) TR	-11.17%

The Fund's past performance is not a good predictor of future performance. The graph and table do not reflect deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares. 

Key Fund Statistics

The following table outlines key fund statistics that you should pay attention to. 

Fund net assets	$152,635,408
Total number of portfolio holdings	11
Total advisory fee paid	$312,976
Portfolio turnover rate	0%

Graphical Representation of Holdings

The table below shows the types of investments that make up the Fund as of the end of the reporting period.

Investment Categories	% of Net Assets
U.S. Treasury Bills	106.0%
Purchased Swaptions	(6.2)%
Other Assets in Excess of Liabilities	0.2%
Total	100.0%

Material Fund Changes

This is a summary of certain changes to the Fund since December 9, 2024. For more complete information, you may review the Fund's prospectus dated February 20, 2025, which is available at www.simplify.us/resources or upon request at 1 (855)772-8488.

(1) The Fund was renamed from Simplify Downside Interest Rate Hedge Strategy ETF to Simplify Bond Bull ETF.

(2) In connection with this, the Fund also adopted a non-fundamental policy to invest at least 80% of its assets in bonds and other debt securities and instruments that provide investment exposure to such debt securities including derivatives.

Availability of Additional Information

You can find additional information about the Fund such as the prospectus, financial information, fund holdings and proxy voting at the website address or contact number included at the beginning of this shareholder report.

 

 

 

Simplify China A Shares PLUS Income ETF 

CAS

| NYSE Arca, Inc.

Annual Shareholder Report | June 30, 2025

This annual shareholder report contains important information about Simplify China A Shares PLUS Income ETF (the "Fund") for the period of January 13, 2025 (commencement of operations) to June 30, 2025. You can find additional information about the Fund at www.simplify.us/resources. You can also request this information by contacting us at (855) 772-8488.

 

 

What were the Fund’s costs for the period? 

(based on a hypothetical $10,000 investment)

Fund	Costs of a $10,000 investment	Costs paid as a percentage of a $10,000 investment
Simplify China A Shares PLUS Income ETF	$45Footnote Reference(1)	0.88%

Footnote	Description
Footnote(1)	Based on the period January 13, 2025 (commencement of operations) through June 30, 2025. Expenses would have been higher if based on the full reporting period.

Management's Discussion of Fund Performance

Since its inception on January 13, 2025, CAS returned 21.86% vs. the CSI 300 Net Total Return Index USD return of 9.73% for the same period.

 

CAS'  allocations to the smaller market capitalization indices, including the CSI 500, 1000, and 2000 contributed to performance as each outperformed the CSI 300 index meaningfully over the period.

 

Looking forward, we intend to maintain a diversified exposure within CAS across the various market capitalization segments of the onshore China stock market.

 

Fund Performance

Growth of an Assumed $10,000 Investment

	Simplify China A Shares PLUS Income ETF- NAV	MSCI China Net Total Return USD Index	CSI 300 Net Total Return Index USD - 011325
1/13/25	$10,000	$10,000	$10,002
3/31/25	$10,244	$12,342	$10,578
6/30/25	$12,186	$12,589	$10,947

AVERAGE ANNUAL TOTAL RETURN Fund/Index	Since Inception 1/13/2025
Simplify China A Shares PLUS Income ETF - NAV	21.86%
MSCI China Net Total Return USD Index	25.89%
CSI 300 Net Total Return Index USD - 011325	9.73%

The Fund's past performance is not a good predictor of future performance. The graph and table do not reflect deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares. 

Key Fund Statistics

The following table outlines key fund statistics that you should pay attention to. 

Fund net assets	$11,330,285
Total number of portfolio holdings	22
Total advisory fee paid	$40,387
Portfolio turnover rate	0%

Graphical Representation of Holdings

The table below shows the types of investments that make up the Fund as of the end of the reporting period.

Investment Categories	% of Net Assets
U.S. Treasury Bills	93.0%
Purchased Options	3.7%
Other Assets in Excess of Liabilities	3.3%
Total	100.0%

Availability of Additional Information

You can find additional information about the Fund such as the prospectus, financial information, fund holdings and proxy voting at the website address or contact number included at the beginning of this shareholder report.

 

 

 

Simplify Currency Strategy ETF 

FOXY

| NYSE Arca, Inc.

Annual Shareholder Report | June 30, 2025

This annual shareholder report contains important information about Simplify Currency Strategy ETF (the "Fund") for the period of February 3, 2025 (commencement of operations) to June 30, 2025. You can find additional information about the Fund at www.simplify.us/resources. You can also request this information by contacting us at (855) 772-8488.

 

 

What were the Fund’s costs for the period? 

(based on a hypothetical $10,000 investment)

Fund	Costs of a $10,000 investment	Costs paid as a percentage of a $10,000 investment
Simplify Currency Strategy ETF	$34Footnote Reference(1)	0.81%

Footnote	Description
Footnote(1)	Based on the period February 3, 2025 (commencement of operations) through June 30, 2025. Expenses would have been higher if based on the full reporting period.

Management's Discussion of Fund Performance

Since its inception on February 3, 2025, FOXY returned 6.16% vs. the benchmark Bloomberg GSAM FX Carry Index return of -1.12% for the same period.

 

The Fund’s approach of dynamically adjusting its currency exposures benefited performance. Among the G10 currencies, the Japanese Yen, Australian Dollar, and British Pound contributed. Within EM currencies, the Mexican Peso and Brazilian Real rounded out the top contributors.

 

Looking forward, it is intended that FOXY will continue to adhere to its systematic investment approach which aims to harvest yield in the currency market in a volatility managed fashion. Uncertainty over the direction of the U.S. Dollar has risen as a consequence of the current U.S. presidential administration’s pursuit of a new trade arrangements with other countries. And while FOXY is managed on a dollar-neutral basis, it remains to be seen whether changes to trade relationships will present a challenge to the structure of the currency market on which FOXY’s investment strategy is based.

 

Fund Performance

Growth of an Assumed $10,000 Investment

	Simplify Currency Strategy ETF- NAV	MSCI World Index (Net)	Bloomberg GSAM FX Carry Index - 020325
2/3/25	$10,000	$10,000	$10,000
3/31/25	$10,819	$9,586	$10,118
6/30/25	$10,616	$10,685	$9,889

AVERAGE ANNUAL TOTAL RETURN Fund/Index	Since Inception 2/3/2025
Simplify Currency Strategy ETF - NAV	6.16%
MSCI World Index (Net)	6.85%
Bloomberg GSAM FX Carry Index - 020325	-1.12%

The Fund's past performance is not a good predictor of future performance. The graph and table do not reflect deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares. 

 

 

The Fund had a return capital of $159,179. 

Key Fund Statistics

The following table outlines key fund statistics that you should pay attention to. 

Fund net assets	$14,943,973
Total number of portfolio holdings	4
Total advisory fee paid	$34,712
Portfolio turnover rate	0%

Graphical Representation of Holdings

The table below shows the types of investments that make up the Fund as of the end of the reporting period.

Investment Categories	% of Net Assets
U.S. Treasury Bills	97.7%
Other Assets in Excess of Liabilities	2.3%
Total	100.0%

Availability of Additional Information

You can find additional information about the Fund such as the prospectus, financial information, fund holdings and proxy voting at the website address or contact number included at the beginning of this shareholder report.

 

 

 

Simplify Enhanced Income ETF 

HIGH

| NYSE Arca, Inc.

Annual Shareholder Report | June 30, 2025

This annual shareholder report contains important information about Simplify Enhanced Income ETF (the "Fund") for the period of July 1, 2024 to June 30, 2025. You can find additional information about the Fund at www.simplify.us/resources. You can also request this information by contacting us at (855) 772-8488.

 

 

What were the Fund’s costs for the last year? 

(based on a hypothetical $10,000 investment)

Fund	Costs of a $10,000 investment	Costs paid as a percentage of a $10,000 investment
Simplify Enhanced Income ETF	$52	0.50%

Management's Discussion of Fund Performance

For the year ended June 30, 2025, HIGH returned 6.95% vs the ICE BofA US 3-Month Treasury Bill Index, return of 4.68% for the same period, outperforming the benchmark by 2.27%.

 

Around August 2024, the Portfolio Management team identified an opportunity to start spending low premium amounts for convex tail hedges on both upside and downside to improve the core income generating component of HIGH’s investment strategy. While this initially detracted from performance, the approach paid off during the ''tariff tantrum'' allowing HIGH to outperform in the first half of 2025.

 

Looking ahead, HIGH aims to maintain a steady NAV and distribution by putting on cost effective hedges to navigate extreme market conditions.

 

 

Fund Performance

Growth of an Assumed $10,000 Investment

	Simplify Enhanced Income ETF- NAV	Bloomberg U.S. Aggregate Bond Index	Capital U.S. Corporate High Yield Index	ICE BofA 3 Month US Treasury Bill Index
10/27/22	$10,000	$10,000	$10,000	$10,000
12/31/22	$10,073	$10,253	$10,161	$10,070
3/31/23	$10,244	$10,557	$10,524	$10,178
6/30/23	$10,507	$10,468	$10,708	$10,297
9/30/23	$10,706	$10,130	$10,757	$10,432
12/31/23	$10,830	$10,820	$11,528	$10,575
3/31/24	$11,010	$10,736	$11,697	$10,712
6/30/24	$11,191	$10,743	$11,825	$10,853
9/30/24	$11,029	$11,302	$12,450	$11,002
12/31/24	$11,022	$10,956	$12,472	$11,130
3/31/25	$10,649	$11,260	$12,597	$11,244
6/30/25	$11,969	$11,396	$13,042	$11,361

AVERAGE ANNUAL TOTAL RETURN Fund/Index	1 Year	Since Inception 10/27/2022
Simplify Enhanced Income ETF - NAV	6.95%	6.95%
Bloomberg U.S. Aggregate Bond Index	6.08%	5.01%
Capital U.S. Corporate High Yield Index	10.29%	10.44%
ICE BofA 3 Month US Treasury Bill Index	4.68%	4.89%

The Fund's past performance is not a good predictor of future performance. The graph and table do not reflect deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares.  

 

The Fund had a return of capital of $6,963,751. 

Key Fund Statistics

The following table outlines key fund statistics that you should pay attention to. 

Fund net assets	$192,166,444
Total number of portfolio holdings	22
Total advisory fee paid	$1,518,590
Portfolio turnover rate	0%

Graphical Representation of Holdings

The table below shows the types of investments that make up the Fund as of the end of the reporting period.

Investment Categories	% of Net Assets
U.S. Treasury Bills	96.2%
Purchased Options	3.7%
Other Assets in Excess of Liabilities	0.1%
Total	100.0%

Availability of Additional Information

You can find additional information about the Fund such as the prospectus, financial information, fund holdings and proxy voting at the website address or contact number included at the beginning of this shareholder report.

 

 

 

Simplify Health Care ETF 

PINK

| NYSE Arca, Inc.

Annual Shareholder Report | June 30, 2025

This annual shareholder report contains important information about Simplify Health Care ETF (the "Fund") for the period of July 1, 2024 to June 30, 2025. You can find additional information about the Fund at www.simplify.us/resources. You can also request this information by contacting us at (855) 772-8488.

 

 

What were the Fund’s costs for the last year? 

(based on a hypothetical $10,000 investment)

Fund	Costs of a $10,000 investment	Costs paid as a percentage of a $10,000 investment
Simplify Health Care ETF	$49	0.50%

Management's Discussion of Fund Performance

For the year ended June 30, 2025, PINK returned -3.84% vs the return of -5.66% of MSCI USA IMI/Health Care Net Index for the same period, outperforming the index by 1.82%.

 

PINK's outperformance is attributed to bottoms-up analysis, tactical trading, and strategic weightings in subsectors. In FY2025, stock selection played the most significant role, avoiding major drawdowns and identifying alpha-generating stocks across subsectors.

 

Looking ahead, PINK’s will employ rigorous bottom-up fundamental analysis, leveraging mosaic theory, industry insights, and channel checks seeking to identify high-conviction alpha opportunities.

Fund Performance

Growth of an Assumed $10,000 Investment

	Simplify Health Care ETF- NAV	S&P 500 TR Index	MSCI USA IMI/Health Care Net (USD) Index
10/7/21	$10,000	$10,000	$10,000
12/31/21	$11,178	$10,866	$10,774
3/31/22	$10,865	$10,366	$10,318
6/30/22	$9,863	$8,697	$9,563
9/30/22	$9,531	$8,272	$9,112
12/31/22	$10,701	$8,898	$10,151
3/31/23	$10,109	$9,565	$9,778
6/30/23	$10,731	$10,401	$10,076
9/30/23	$10,159	$10,060	$9,689
12/31/23	$11,102	$11,237	$10,364
3/31/24	$12,570	$12,423	$11,218
6/30/24	$12,752	$12,955	$11,060
9/30/24	$13,352	$13,718	$11,758
12/31/24	$12,087	$14,048	$10,596
3/31/25	$11,967	$13,448	$11,095
6/30/25	$12,262	$14,919	$10,434

AVERAGE ANNUAL TOTAL RETURN Fund/Index	1 Year	Since Inception 10/7/2021
Simplify Health Care ETF - NAV	-3.84%	5.62%
S&P 500 TR Index	15.16%	11.33%
MSCI USA IMI/Health Care Net (USD) Index	-5.66%	1.15%

The Fund's past performance is not a good predictor of future performance. The graph and table do not reflect deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares. 

Key Fund Statistics

The following table outlines key fund statistics that you should pay attention to. 

Fund net assets	$130,567,740
Total number of portfolio holdings	65
Total advisory fee paid	$832,382
Portfolio turnover rate	201%

Graphical Representation of Holdings

The table below shows the types of investments that make up the Fund as of the end of the reporting period.

Investment Categories	% of Net Assets
Common Stocks	96.0%
Money Market Funds	4.0%
Other Assets in Excess of Liabilities	0.0%Footnote Reference†
Total	100.0%

Footnote	Description
Footnote†	Less than 0.05%

Availability of Additional Information

You can find additional information about the Fund such as the prospectus, financial information, fund holdings and proxy voting at the website address or contact number included at the beginning of this shareholder report.

 

 

 

Simplify Hedged Equity ETF 

HEQT

| NYSE Arca, Inc.

Annual Shareholder Report | June 30, 2025

This annual shareholder report contains important information about Simplify Hedged Equity ETF (the "Fund") for the period of July 1, 2024 to June 30, 2025. You can find additional information about the Fund at www.simplify.us/resources. You can also request this information by contacting us at (855) 772-8488.

 

 

What were the Fund’s costs for the last year? 

(based on a hypothetical $10,000 investment)

Fund	Costs of a $10,000 investment	Costs paid as a percentage of a $10,000 investment
Simplify Hedged Equity ETF	$45	0.42%

Management's Discussion of Fund Performance

For the year ended June 30, 2025, HEQT returned 10.13% vs Bloomberg US EQ:FI 60:40 Index, which had a return of 12.07% for the same period, under-performing the index by 1.94%.

 

Over the past year, U.S. equities have demonstrated resilience and recovery following a turbulent early 2025 period. The large-cap market rebounded approximately 25% from spring lows, supported by easing tariff concerns, strong earnings, and labor market data. After declining nearly 19% in April due to the unexpected “Liberation Day” tariffs, markets recovered on policy adjustments and coordinated intervention, reaching record highs by late June. During the drawdown, HEQT provided downside protection through its systematic collar strategy. As equities rebounded, HEQT lagged due to capped upside exposure, a trade-off of its risk-managed design. Nonetheless, HEQT reduced portfolio volatility and drawdown risk.

 

Looking ahead, HEQT will seek to continue to allow investors access to U.S. large cap U.S. equities while hedging downside volatility with a risk-managed options overlay.

 

 

Fund Performance

Growth of an Assumed $10,000 Investment

	Simplify Hedged Equity ETF- NAV	Bloomberg US EQ:FI 60:40 Index	S&P 500 TR Index
11/1/21	$10,000	$10,000	$10,000
12/31/21	$10,251	$10,168	$10,357
3/31/22	$9,810	$9,606	$9,881
6/30/22	$9,254	$8,449	$8,290
9/30/22	$9,128	$8,053	$7,885
12/31/22	$9,389	$8,454	$8,481
3/31/23	$9,895	$8,953	$9,117
6/30/23	$10,425	$9,398	$9,914
9/30/23	$10,258	$9,108	$9,590
12/31/23	$10,961	$10,010	$10,711
3/31/24	$11,545	$10,597	$11,841
6/30/24	$12,101	$10,873	$12,349
9/30/24	$12,671	$11,476	$13,076
12/31/24	$12,968	$11,529	$13,391
3/31/25	$12,620	$11,346	$12,819
6/30/25	$13,326	$12,186	$14,221

AVERAGE ANNUAL TOTAL RETURN Fund/Index	1 Year	Since Inception 11/1/2021
Simplify Hedged Equity ETF - NAV	10.13%	8.16%
S&P 500 TR Index	15.16%	10.10%
Bloomberg US EQ:FI 60:40 Index	12.07%	5.55%

The Fund's past performance is not a good predictor of future performance. The graph and table do not reflect deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares. 

Key Fund Statistics

The following table outlines key fund statistics that you should pay attention to. 

Fund net assets	$331,626,457
Total number of portfolio holdings	5
Total advisory fee paid	$1,258,330
Portfolio turnover rate	5%

Graphical Representation of Holdings

The table below shows the types of investments that make up the Fund as of the end of the reporting period.

Investment Categories	% of Net Assets
U.S. Exchange-Traded Funds	104.8%
Purchased Options	0.4%
Money Market Funds	0.1%
Liabilities in Excess of Other Assets	(5.3)%
Total	100.0%

Availability of Additional Information

You can find additional information about the Fund such as the prospectus, financial information, fund holdings and proxy voting at the website address or contact number included at the beginning of this shareholder report.

 

 

 

Simplify High Yield ETF 

CDX

| NYSE Arca, Inc.

Annual Shareholder Report | June 30, 2025

This annual shareholder report contains important information about Simplify High Yield ETF (the "Fund") for the period of July 1, 2024 to June 30, 2025. You can find additional information about the Fund at www.simplify.us/resources. You can also request this information by contacting us at (855) 772-8488.

 

 

This report describes changes to the Fund that occurred during the reporting period.

What were the Fund’s costs for the last year? 

(based on a hypothetical $10,000 investment)

Fund	Costs of a $10,000 investment	Costs paid as a percentage of a $10,000 investment
Simplify High Yield ETF	$27	0.25%

Management's Discussion of Fund Performance

For the year ended June 30, 2025, CDX returned 13.60% vs the ICE BofA U.S. High Yield Index return of 10.24% for the same period, outperforming the benchmark by +3.36%.

 

Over the period, High Yield spreads were relatively unchanged starting the fiscal year at 3.09% and ending the year at 2.90%. However, there were two impactful periods of spread widening occurring in August of 2024 and April 2025, which led to strong returns from CDX.

 

The two key drivers of outperformance continue to be the embedded credit hedge overlay, referred to as ‘Quality minus Junk’ or ‘Q-J’ as well as the favorable funding received on the Total Return Swap for iShares iBoxx $ High Yield Corporate Bond ETF. Over the trailing 12-month period, the Quality basket of the hedge returned +11.97% while the short Junk basket of the hedge returned +0.03%, providing a performance tailwind as the strategy is long Quality and short Junk.

 

Looking forward, CDX is modestly over-hedged due to tight credit spreads and deteriorating US growth. Tight conditions and high bankruptcy filings suggest outperformance if spreads widen. 

Fund Performance

Growth of an Assumed $10,000 Investment

	Simplify High Yield ETF- NAV	Bloomberg U.S. Aggregate Bond Index	ICE BofA US High Yield Index
2/14/22	$10,000	$10,000	$10,000
3/31/22	$9,859	$9,795	$9,999
6/30/22	$9,027	$9,335	$9,002
9/30/22	$8,983	$8,892	$8,941
12/31/22	$9,200	$9,058	$9,297
3/31/23	$9,551	$9,326	$9,643
6/30/23	$9,636	$9,248	$9,800
9/30/23	$9,709	$8,949	$9,852
12/31/23	$10,347	$9,559	$10,548
3/31/24	$10,583	$9,485	$10,707
6/30/24	$10,775	$9,491	$10,824
9/30/24	$11,417	$9,984	$11,395
12/31/24	$11,239	$9,678	$11,413
3/31/25	$11,839	$9,948	$11,521
6/30/25	$12,241	$10,068	$11,933

AVERAGE ANNUAL TOTAL RETURN Fund/Index	1 Year	Since Inception 2/14/2022
Simplify High Yield ETF - NAV	13.60%	6.18%
Bloomberg U.S. Aggregate Bond Index	6.08%	0.20%
ICE BofA US High Yield Index	10.24%	5.38%

The Fund's past performance is not a good predictor of future performance. The graph and table do not reflect deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares. 

Key Fund Statistics

The following table outlines key fund statistics that you should pay attention to. 

Fund net assets	$245,327,789
Total number of portfolio holdings	9
Total advisory fee paid	$358,952
Portfolio turnover rate	622%

Graphical Representation of Holdings

The table below shows the types of investments that make up the Fund as of the end of the reporting period.

Investment Categories	% of Net Assets
U.S. Treasury Bills	97.5%
U.S. Exchange-Traded Funds	0.6%
Money Market Funds	0.5%
Purchased Options	0.2%
Other Assets in Excess of Liabilities	1.2%
Total	100.0%

Material Fund Changes

This is a summary of certain changes to the Fund since July 1, 2024. For more complete information, you may review the Fund's prospectus dated February 12, 2025, which is available at www.simplify.us/resources or upon request at 1 (855) 772-8488.

1) The Fund changed its name from Simplify High Yield PLUS Credit Hedge ETF to Simplify High Yield ETF, and

2) The Fund added an income generating option strategy to its principal investment strategies and also expanded option-related risk disclosures. 

 

 

Availability of Additional Information

You can find additional information about the Fund such as the prospectus, financial information, fund holdings and proxy voting at the website address or contact number included at the beginning of this shareholder report.

 

 

 

Simplify Interest Rate Hedge ETF 

PFIX

| NYSE Arca, Inc.

Annual Shareholder Report | June 30, 2025

This annual shareholder report contains important information about Simplify Interest Rate Hedge ETF (the "Fund") for the period of July 1, 2024 to June 30, 2025. You can find additional information about the Fund at www.simplify.us/resources. You can also request this information by contacting us at (855) 772-8488.

 

 

This report describes changes to the Fund that occurred during the reporting period.

What were the Fund’s costs for the last year? 

(based on a hypothetical $10,000 investment)

Fund	Costs of a $10,000 investment	Costs paid as a percentage of a $10,000 investment
Simplify Interest Rate Hedge ETF	$54	0.50%

Management's Discussion of Fund Performance

For the year ended June 30, 2025, PFIX returned 16.28% vs. the ICE U.S. Treasury 20+ Year Bond Index return of 0.30% for the same period, outperforming the index by 15.96%.

 

The main reason for the difference is that PFIX holds a position in long-term expiry (5 to 7 years) over the counter (OTC) payer swaptions which function similarly to a long-term put option on the 20-year rate. These swaptions performed well as the forward interest rates that underly them increased. These increases were offset somewhat by time decay on the options and increases in the interest rates used to discount the option payoff.

 

Looking forward, increases in interest rates that drive increases in the forward rates along with increases in implied volatilities would be beneficial to PFIX's performance while decreases in forward rates and declines in implied volatilities would be harmful. The path of future interest rates and implied volatilities is notoriously difficult to predict.

Fund Performance

Growth of an Assumed $10,000 Investment

	Simplify Interest Rate Hedge ETF - NAV	Bloomberg U.S. Aggregate Bond Index	ICE US Treasury 20+ Year Bond Index TR
5/10/21	$10,000	$10,000	$10,000
6/30/21	$8,111	$10,095	$10,478
12/31/21	$7,489	$10,101	$10,885
6/30/22	$11,452	$9,056	$8,527
12/31/22	$14,523	$8,787	$7,506
6/30/23	$12,981	$8,971	$7,805
12/31/23	$15,133	$9,273	$7,669
6/30/24	$18,534	$9,207	$7,247
12/31/24	$20,650	$9,389	$7,076
6/30/25	$21,549	$9,766	$7,269

AVERAGE ANNUAL TOTAL RETURN Fund/Index	1 Year	Since Inception 5/10/2021
Simplify Interest Rate Hedge ETF - NAV	16.28%	20.38%
Bloomberg U.S. Aggregate Bond Index	6.08%	-0.57%
ICE US Treasury 20+ Year Bond Index TR	0.30%	-7.42%

The Fund's past performance is not a good predictor of future performance. The graph and table do not reflect deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares. 

Key Fund Statistics

The following table outlines key fund statistics that you should pay attention to. 

Fund net assets	$156,051,239
Total number of portfolio holdings	12
Total advisory fee paid	$754,832
Portfolio turnover rate	0%

Graphical Representation of Holdings

The table below shows the types of investments that make up the Fund as of the end of the reporting period.

Investment Categories	% of Net Assets
U.S. Treasury Bills	61.1%
U.S. Government Obligations	28.1%
Purchased Swaptions	10.1%
Money Market Funds	0.2%
Other Assets in Excess of Liabilities	0.5%
Total	100.0%

Material Fund Changes

This is a summary of certain changes to the Fund since July 1, 2024. For more complete information, you may review the Fund's prospectus dated February 12, 2025, which is available at www.simplify.us/resources or upon request at 1 (855) 772-8488.

 

Changes were made to the Fund’s investment strategy to enhance the description of asset allocation, swaptions and the potential impact of interest rate risk on the Fund’s investments.

 

 

Availability of Additional Information

You can find additional information about the Fund such as the prospectus, financial information, fund holdings and proxy voting at the website address or contact number included at the beginning of this shareholder report.

 

 

 

Simplify Intermediate Term Treasury Futures Strategy ETF 

TYA

| Cboe BZX Exchange, Inc.

Annual Shareholder Report | June 30, 2025

This annual shareholder report contains important information about Simplify Intermediate Term Treasury Futures Strategy ETF (the "Fund") for the period of July 1, 2024 to June 30, 2025. You can find additional information about the Fund at www.simplify.us/resources. You can also request this information by contacting us at (855) 772-8488.

 

 

What were the Fund’s costs for the last year? 

(based on a hypothetical $10,000 investment)

Fund	Costs of a $10,000 investment	Costs paid as a percentage of a $10,000 investment
Simplify Intermediate Term Treasury Futures Strategy ETF	$16	0.15%

Management's Discussion of Fund Performance

For the year ended June 30, 2025, TYA returned 8.42% vs. the ICE U.S. Treasury 20+ Year Bond Index's  return of 0.30% for the same period, outperforming the index by 8.12%.

 

The primary drivers of return were TYA’s long position in near-to-expiry 10-year U.S. Treasury futures and its holdings of short-term Treasuries and cash. A long futures position earns the return of the cheapest-to-deliver bond in exchange for paying a short-term financing rate. The intermediate part of the yield curve was most attractive this year, as long-term rates remained elevated amid concerns over tariff-driven inflation and the U.S. fiscal outlook. TYA benefited from its positioning, leveraged up to three times, as the intermediate sector presented a more favorable risk-reward tradeoff than owning long-duration bonds outright.

 

Looking forward, TYA’s future performance will depend on interest rate movements—declines and curve steepening would benefit returns, while rising intermediate rates would detract. 

Fund Performance

Growth of an Assumed $10,000 Investment

	Simplify Intermediate Term Treasury Futures Strategy ETF- NAV	Bloomberg U.S. Aggregate Bond Index	ICE US Treasury 20+ Year Bond Index TR
9/27/21	$10,000	$10,000	$10,000
9/30/21	$10,031	$9,973	$9,816
12/31/21	$9,944	$9,974	$10,187
3/31/22	$8,132	$9,382	$9,083
6/30/22	$7,353	$8,942	$7,981
9/30/22	$6,204	$8,517	$7,123
12/31/22	$6,238	$8,677	$7,026
3/31/23	$6,688	$8,934	$7,483
6/30/23	$6,132	$8,858	$7,305
9/30/23	$5,345	$8,572	$6,356
12/31/23	$6,078	$9,156	$7,177
3/31/24	$5,747	$9,085	$6,920
6/30/24	$5,646	$9,091	$6,783
9/30/24	$6,309	$9,564	$7,322
12/31/24	$5,468	$9,271	$6,623
3/31/25	$5,919	$9,529	$6,938
6/30/25	$6,121	$9,644	$6,803

AVERAGE ANNUAL TOTAL RETURN Fund/Index	1 Year	Since Inception 9/27/2021
Simplify Intermediate Term Treasury Futures Strategy ETF - NAV	8.42%	-12.25%
Bloomberg U.S. Aggregate Bond Index	6.08%	-0.96%
ICE US Treasury 20+ Year Bond Index TR	0.30%	-9.75%

The Fund's past performance is not a good predictor of future performance. The graph and table do not reflect deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares. 

Key Fund Statistics

The following table outlines key fund statistics that you should pay attention to. 

Fund net assets	$152,686,772
Total number of portfolio holdings	6
Total advisory fee paid	$179,227
Portfolio turnover rate	0%

Graphical Representation of Holdings

The table below shows the types of investments that make up the Fund as of the end of the reporting period.

Investment Categories	% of Net Assets
U.S. Treasury Bills	98.6%
Money Market Funds	0.1%
Other Assets in Excess of Liabilities	1.3%
Total	100.0%

Availability of Additional Information

You can find additional information about the Fund such as the prospectus, financial information, fund holdings and proxy voting at the website address or contact number included at the beginning of this shareholder report.

 

 

 

Simplify MBS ETF 

MTBA

| NYSE Arca, Inc.

Annual Shareholder Report | June 30, 2025

This annual shareholder report contains important information about Simplify MBS ETF (the "Fund") for the period of July 1, 2024 to June 30, 2025. You can find additional information about the Fund at www.simplify.us/resources. You can also request this information by contacting us at (855) 772-8488.

 

 

What were the Fund’s costs for the last year? 

(based on a hypothetical $10,000 investment)

Fund	Costs of a $10,000 investment	Costs paid as a percentage of a $10,000 investment
Simplify MBS ETF	$15	0.15%

Management's Discussion of Fund Performance

For the year ended June 30, 2025, MTBA returned 5.52% vs. the 6.52% return of the Bloomberg U.S. Mortgage Backed Securities Index for the same period, underperforming the index by 1.00%.

 

MTBA invests in current coupon agency mortgage-backed securities (MBS) via TBA – “To-Be-Announced” contracts in the over-the-counter market. These positions accrue mortgage interest, incur financing charges, and experience mark-to-market gains and losses from interest rate changes.Mortgage rates were volatile over the period but the rates hovered above 6% generating attractive yield. TBA positions are notional, leaving cash to be invested in short-term treasuries.

 

Looking forward, we believe MTBA's performance is sensitive to changes in fixed-rate mortgage rates and short-term financing rates. Mortgage rates depend on multiple points on the term structure, volatilities, and supply-demand dynamics, all of which are challenging to predict.

 

Fund Performance

Growth of an Assumed $10,000 Investment

	Simplify MBS ETF - NAV	Bloomberg U.S. Aggregate Bond Index	Bloomberg U.S. Mortgage Backed Securities Index
11/6/23	$10,000	$10,000	$10,000
12/31/23	$10,367	$10,656	$10,713
6/30/24	$10,424	$10,581	$10,609
12/31/24	$10,595	$10,790	$10,842
6/30/25	$10,999	$11,223	$11,300

AVERAGE ANNUAL TOTAL RETURN Fund/Index	1 Year	Since Inception 11/6/2023
Simplify MBS ETF - NAV	5.52%	5.95%
Bloomberg U.S. Aggregate Bond Index	6.08%	7.25%
Bloomberg U.S. Mortgage Backed Securities Index	6.52%	7.69%

The Fund's past performance is not a good predictor of future performance. The graph and table do not reflect deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares.  

 

The Fund had a return of capital of $22,181,637. 

Key Fund Statistics

The following table outlines key fund statistics that you should pay attention to. 

Fund net assets	$1,372,905,745
Total number of portfolio holdings	10
Total advisory fee paid	$2,152,579
Portfolio turnover rate	1376%

Graphical Representation of Holdings

The table below shows the types of investments that make up the Fund as of the end of the reporting period.

Investment Categories	% of Net Assets
U.S. Government Agency Mortgage Backed Securities	99.7%
U.S. Treasury Bills	98.3%
Money Market Funds	0.1%
Liabilities in Excess of Other Assets	(98.1)%
Total	100.0%

Availability of Additional Information

You can find additional information about the Fund such as the prospectus, financial information, fund holdings and proxy voting at the website address or contact number included at the beginning of this shareholder report.

 

 

 

Simplify NEXT Intangible Core Index ETF 

NXTI

| Cboe BZX Exchange, Inc.

Annual Shareholder Report | June 30, 2025

This annual shareholder report contains important information about Simplify NEXT Intangible Core Index ETF (the "Fund") for the period of July 1, 2024 to June 30, 2025. You can find additional information about the Fund at www.simplify.us/resources. You can also request this information by contacting us at (855) 772-8488.

 

 

What were the Fund’s costs for the last year? 

(based on a hypothetical $10,000 investment)

Fund	Costs of a $10,000 investment	Costs paid as a percentage of a $10,000 investment
Simplify NEXT Intangible Core Index ETF	$28	0.25%

Management's Discussion of Fund Performance

For the year ended June 30, 2025, NXTI returned 21.95% vs. the S&P 500 index return of 15.16%, out-performing by 6.79%.

 

NXTI delivered positive returns across all sectors, with particularly strong stock selection in Information Technology, Healthcare, Consumer Staples, Communication Services, Energy, and Industrials. Key contributors to performance included Palantir Technologies, Walmart, and IBM, which collectively supported the fund’s outperformance. Offsetting some of these gains were negative contributions from Adobe, UnitedHealth Group, and Sarepta Therapeutics.

 

Looking ahead, NXTI will continue to seek companies with high intangible capital-to-book asset ratios within their respective sectors.

 

Fund Performance

Growth of an Assumed $10,000 Investment

	Simplify NEXT Intangible Core Index ETF - NAV	S&P 500 TR Index	Next Intangible Core Index TR (USD)
4/15/24	$10,000	$10,000	$10,000
6/30/24	$10,503	$10,819	$10,505
12/31/24	$11,635	$11,732	$11,682
6/30/25	$12,809	$12,460	$12,943

AVERAGE ANNUAL TOTAL RETURN Fund/Index	1 Year	Since Inception 4/15/2024
Simplify NEXT Intangible Core Index ETF - NAV	21.95%	22.75%
S&P 500 TR Index	15.16%	19.96%
NEXT Intangible Core Index TR (USD)	23.20%	23.80%

The Fund's past performance is not a good predictor of future performance. The graph and table do not reflect deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares. 

Key Fund Statistics

The following table outlines key fund statistics that you should pay attention to. 

Fund net assets	$1,538,687
Total number of portfolio holdings	201
Total advisory fee paid	$3,880
Portfolio turnover rate	34%

Graphical Representation of Holdings

The table below shows the types of investments that make up the Fund as of the end of the reporting period.

Investment Categories	% of Net Assets
Common Stocks	99.6%
Money Market Funds	0.4%
Other Assets in Excess of Liabilities	0.0%Footnote Reference†
Total	100.0%

Footnote	Description
Footnote†	Less than 0.05%

Availability of Additional Information

You can find additional information about the Fund such as the prospectus, financial information, fund holdings and proxy voting at the website address or contact number included at the beginning of this shareholder report.

 

 

 

Simplify Short Term Treasury Futures Strategy ETF 

TUA

| NYSE Arca, Inc.

Annual Shareholder Report | June 30, 2025

This annual shareholder report contains important information about Simplify Short Term Treasury Futures Strategy ETF (the "Fund") for the period of July 1, 2024 to June 30, 2025. You can find additional information about the Fund at www.simplify.us/resources. You can also request this information by contacting us at (855) 772-8488.

 

 

What were the Fund’s costs for the last year? 

(based on a hypothetical $10,000 investment)

Fund	Costs of a $10,000 investment	Costs paid as a percentage of a $10,000 investment
Simplify Short Term Treasury Futures Strategy ETF	$16	0.15%

Management's Discussion of Fund Performance

For the year ended June 30, 2025, TUA returned 8.04% vs. the 6.28% return of ICE U.S. Treasury 7-10 Year Bond Index for the same period, outperforming the index by 1.76%.

 

The primary drivers of return were TUA’s long position in the most liquid, near-to-expiry 2-year U.S. Treasury futures contract and its holdings of short-term treasuries and cash. A long position in Treasury futures earns returns on the cheapest to deliver bond in exchange for paying a short-term financing rate. The strategy continues to face headwinds with an inverted yield curve (2-year rates below the Federal Funds rate), causing the coupon earned to be lower than the borrowing rate. However, 2-year rates decreased over the period benefiting TUA’s long exposure to this part of the yield curve, which is leveraged up 5 times.

 

Looking forward, TUA’s performance will depend on interest rates movements. Increases in rates and/or further inversions will generally be harmful and decreases accompanied by steepening would be beneficial. Anticipating the future path interest rates may take and their term structure is challenging.

Fund Performance

Growth of an Assumed $10,000 Investment

	Simplify Short Term Treasury Futures Strategy ETF- NAV	Bloomberg U.S. Aggregate Bond Index	ICE US Treasury 7-10 Year Bond Index
11/14/22	$10,000	$10,000	$10,000
12/31/22	$9,940	$10,146	$10,081
3/31/23	$10,267	$10,446	$10,438
6/30/23	$9,303	$10,358	$10,244
9/30/23	$9,055	$10,024	$9,792
12/31/23	$9,725	$10,707	$10,422
3/31/24	$9,286	$10,624	$10,283
6/30/24	$9,179	$10,631	$10,277
9/30/24	$10,014	$11,183	$10,864
12/31/24	$9,380	$10,841	$10,366
3/31/25	$9,753	$11,142	$10,770
6/30/25	$9,917	$11,277	$10,920

AVERAGE ANNUAL TOTAL RETURN Fund/Index	1 Year	Since Inception 11/14/2022
Simplify Short Term Treasury Futures Strategy ETF - NAV	8.04%	-0.32%
Bloomberg U.S. Aggregate Bond Index	6.08%	4.68%
ICE US Treasury 7-10 Year Bond Index	6.26%	3.41%

The Fund's past performance is not a good predictor of future performance. The graph and table do not reflect deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares. 

Key Fund Statistics

The following table outlines key fund statistics that you should pay attention to. 

Fund net assets	$666,170,733
Total number of portfolio holdings	5
Total advisory fee paid	$914,002
Portfolio turnover rate	0%

Graphical Representation of Holdings

The table below shows the types of investments that make up the Fund as of the end of the reporting period.

Investment Categories	% of Net Assets
U.S. Treasury Bills	99.8%
Other Assets in Excess of Liabilities	0.2%
Total	100.0%

Availability of Additional Information

You can find additional information about the Fund such as the prospectus, financial information, fund holdings and proxy voting at the website address or contact number included at the beginning of this shareholder report.

 

 

 

Simplify Target 15 Distribution ETF 

XV

| NYSE Arca, Inc.

Annual Shareholder Report | June 30, 2025

This annual shareholder report contains important information about Simplify Target 15 Distribution ETF (the "Fund") for the period of April 14, 2025 (commencement of operations) to June 30, 2025. You can find additional information about the Fund at www.simplify.us/resources. You can also request this information by contacting us at (855) 772-8488.

 

 

What were the Fund’s costs for the period? 

(based on a hypothetical $10,000 investment)

Fund	Costs of a $10,000 investment	Costs paid as a percentage of a $10,000 investment
Simplify Target 15 Distribution ETF	$16Footnote Reference(1)	0.75%

Footnote	Description
Footnote(1)	Based on the period April 14, 2025 (commencement of operations) through June 30, 2025. Expenses would have been higher if based on the full reporting period.

Management's Discussion of Fund Performance

For the period April 14, 2025 to June 30, 2025, XV returned 7.99% vs. its referenced benchmark, S&P 500 Index, return of 15.11%, underperforming by 7.12%.

 

XV’s strong absolute returns were supported by robust equity market performance and a decline in overall market volatility. XV’s income generation is derived from a combination of interest income strategy and income generating option spread strategy. The interest income is from investments in the US Government securities and the option income is from selling barrier put options, essentially an option spread writing strategy by accepting the risk of a potential loss defined by the barrier levels in exchange for option premium/income. On a relative basis, XV's performance has been consistent with expectations, reflecting its income-oriented strategy.

 

Looking ahead, we believe XV is well-positioned to appeal to investors seeking high monthly income potential through barrier option structures, while also offering operational efficiencies typically lacking in traditional structured note investments.

 

Fund Performance

Growth of an Assumed $10,000 Investment

	Simplify Target 15 Distribution ETF- NAV	S&P 500 TR Index
4/14/25	$10,000	$10,000
6/30/25	$10,799	$11,511

AVERAGE ANNUAL TOTAL RETURN Fund/Index	Since Inception 4/14/2025
Simplify Target 15 Distribution ETF - NAV	7.99%
S&P 500 TR Index	15.11%

The Fund's past performance is not a good predictor of future performance. The graph and table do not reflect deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares. 

Key Fund Statistics

The following table outlines key fund statistics that you should pay attention to. 

Fund net assets	$47,402,442
Total number of portfolio holdings	3
Total advisory fee paid	$57,579
Portfolio turnover rate	0%

Graphical Representation of Holdings

The table below shows the types of investments that make up the Fund as of the end of the reporting period.

Investment Categories	% of Net Assets
U.S. Treasury Bills	101.2%
Liabilities in Excess of Other Assets	(1.2)%
Total	100.0%

Availability of Additional Information

You can find additional information about the Fund such as the prospectus, financial information, fund holdings and proxy voting at the website address or contact number included at the beginning of this shareholder report.

 

 

 

Simplify Treasury Option Income ETF 

BUCK

| NYSE Arca, Inc.

Annual Shareholder Report | June 30, 2025

This annual shareholder report contains important information about Simplify Treasury Option Income ETF (formerly, Simplify Stable Income ETF) (the "Fund") for the period of July 1, 2024 to June 30, 2025. You can find additional information about the Fund at www.simplify.us/resources. You can also request this information by contacting us at (855) 772-8488.

 

 

This report describes changes to the Fund that occurred during the reporting period.

What were the Fund’s costs for the last year? 

(based on a hypothetical $10,000 investment)

Fund	Costs of a $10,000 investment	Costs paid as a percentage of a $10,000 investment
Simplify Treasury Option Income ETF	$36	0.35%

Management's Discussion of Fund Performance

For the year ended June 30, 2025, BUCK returned 4.06% vs. the ICE BofA US 3-Month Treasury Bill Index, return of 4.68% for the same period, underperforming the benchmark by 0.62%.

 

It has been a challenging year for option-selling strategies especially during the ''Tariff Tantrum'' in early April, as rate volatility and long-term Treasury rates spiked over just a few days. The strategy in BUCK has focused on structural volatility selling in the treasury market and even though the options are short dated, with such a sharp selloff in interest rates over a very short timeframe (largest move in over 20 years) the fund performance was adversely impacted.

 

Looking ahead, we expect long-term treasury rates to stabilize in a higher range as uncertainties regarding fiscal outlook resolve and the increased volatility in Treasuries also results in higher yields from the increased premiums on the Fund's options positions. We believe BUCK is well-positioned to capture the higher potential returns generated in such environments.

Fund Performance

Growth of an Assumed $10,000 Investment

	Simplify Treasury Option Income ETF- NAV	Bloomberg U.S. Aggregate Bond Index	Bloomberg 1 - 3 Month U.S. Treasury Bill Index	ICE BofA 3 Month US Treasury Bill Index
10/27/22	$10,000	$10,000	$10,000	$10,000
12/31/22	$10,077	$10,253	$10,070	$10,070
3/31/23	$10,188	$10,557	$10,180	$10,178
6/30/23	$10,327	$10,468	$10,304	$10,297
9/30/23	$10,466	$10,130	$10,443	$10,432
12/31/23	$10,533	$10,820	$10,587	$10,575
3/31/24	$10,882	$10,736	$10,727	$10,712
6/30/24	$10,884	$10,743	$10,871	$10,853
9/30/24	$11,150	$11,302	$11,019	$11,002
12/31/24	$11,293	$10,956	$11,150	$11,130
3/31/25	$11,570	$11,260	$11,267	$11,244
6/30/25	$11,326	$11,396	$11,387	$11,361

AVERAGE ANNUAL TOTAL RETURN Fund/Index	1 Year	Since Inception 10/27/2022
Simplify Treasury Option Income ETF - NAV	4.06%	4.77%
Bloomberg U.S. Aggregate Bond Index	6.08%	5.01%
Bloomberg 1 - 3 Month U.S. Treasury Bill Index	4.75%	4.98%
ICE BofA 3 Month US Treasury Bill Index	4.68%	4.89%

The Fund's past performance is not a good predictor of future performance. The graph and table do not reflect deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares.  

 

The Fund had a return of capital of $8,307,884. 

Key Fund Statistics

The following table outlines key fund statistics that you should pay attention to. 

Fund net assets	$343,277,369
Total number of portfolio holdings	5
Total advisory fee paid	$889,296
Portfolio turnover rate	0%

Graphical Representation of Holdings

The table below shows the types of investments that make up the Fund as of the end of the reporting period.

Investment Categories	% of Net Assets
U.S. Treasury Bills	100.1%
Liabilities in Excess of Other Assets	(0.1)%
Total	100.0%

Material Fund Changes

This is a summary of certain changes to the Fund since July 1, 2024. For more complete information, you may review the Fund’s prospectus dated November 1, 2024, which is available at www.simplify.us/resources or upon request at 1 (855) 772-8488.

(1) The Fund was renamed from the Simplify Stable Income ETF to the Simplify Treasury Option Income ETF.

(2) The Fund revised its investment strategy to include direct investments in U.S. Treasury securities, in addition to gaining exposure to such securities through investments in ETFs.

 This included the addition of:

1) a non-fundamental policy to invest at least 80% of the Fund's assets in U.S. Treasuries and ETFs

2) the addition of U.S. Treasury Inflation-Protected Securities (TIPS) as potential investments

3) new or enhanced risk disclosures relating to these investments

4) clarification around the types of assets on which the Fund may write options when implementing its option strategy.

 

Availability of Additional Information

You can find additional information about the Fund such as the prospectus, financial information, fund holdings and proxy voting at the website address or contact number included at the beginning of this shareholder report.

 

 

 

Simplify US Equity PLUS Bitcoin Strategy ETF 

SPBC

| Nasdaq Stock Market LLC

Annual Shareholder Report | June 30, 2025

This annual shareholder report contains important information about Simplify US Equity PLUS Bitcoin Strategy ETF (formerly, Simplify US Equity PLUS GBTC ETF) (the "Fund") for the period of July 1, 2024 to June 30, 2025. You can find additional information about the Fund at www.simplify.us/resources. You can also request this information by contacting us at (855) 772-8488.

 

 

This report describes changes to the Fund that occurred during the reporting period.

What were the Fund’s costs for the last year? 

(based on a hypothetical $10,000 investment)

Fund	Costs of a $10,000 investment	Costs paid as a percentage of a $10,000 investment
Simplify US Equity PLUS Bitcoin Strategy ETF	$56	0.51%

Management's Discussion of Fund Performance

For the year ended June 30, 2025, SPBC returned 21.35% vs its referenced benchmark, S&P 500 Index, return of 15.16%, outperforming the benchmark by 6.19%.

 

During the reporting period SPBC targeted a 10% exposure to Grayscale Bitcoin (GBTC) and/or Vaneck Bitcoin (HODL), which returned 59.34% and 79.58% respectively over the same period, driving the outperformance of 6.19% vs. the benchmark. Periodic rebalancing to the target weight results in adding to Bitcoin ETP and/or Bitcoin ETF exposure when Bitcoin is underperforming and trimming outsized exposure when it’s outperforming, effectively capturing a rebalancing premium through disciplined, systematic allocation.

 

Looking ahead, we believe SPBC remains uniquely positioned to provide investors with exposure to U.S. Large Cap Equity combined with Bitcoin exposure. With the advent of Bitcoin ETFs in early 2024, HODL should act as a good proxy for exposure to the price of spot Bitcoin moving forward, as the Fund seeks to achieve its stated investment objectives.

Fund Performance

Growth of an Assumed $10,000 Investment

	Simplify US Equity PLUS Bitcoin Strategy ETF - NAV	S&P 500 TR Index
5/24/21	$10,000	$10,000
6/30/21	$10,146	$10,253
12/31/21	$11,444	$11,450
6/30/22	$8,355	$9,165
12/31/22	$8,247	$9,376
6/30/23	$10,668	$10,960
12/31/23	$12,260	$11,841
6/30/24	$14,860	$13,652
12/31/24	$16,804	$14,804
6/30/25	$18,032	$15,722

AVERAGE ANNUAL TOTAL RETURN Fund/Index	1 Year	Since Inception 5/24/2021
Simplify US Equity PLUS Bitcoin Strategy ETF - NAV	21.35%	15.46%
S&P 500 TR Index	15.16%	11.66%

The Fund's past performance is not a good predictor of future performance. The graph and table do not reflect deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares.  

 

Key Fund Statistics

The following table outlines key fund statistics that you should pay attention to. 

Fund net assets	$75,566,342
Total number of portfolio holdings	5
Total advisory fee paid	$189,440
Portfolio turnover rate	30%

Graphical Representation of Holdings

The table below shows the types of investments that make up the Fund as of the end of the reporting period.

Investment Categories	% of Net Assets
U.S. Exchange-Traded Funds	98.6%
U.S. Treasury Bills	0.8%
Money Market Funds	0.1%
Other Assets in Excess of Liabilities	0.5%
Total	100.0%

Material Fund Changes

This is a summary of certain changes to the Fund since July 1, 2024. For more complete information, you may review the Fund’s prospectus dated February 5, 2025, which is available at www.simplify.us/resources or upon request at 1 (855) 772-8488.

(1) The Fund was renamed from the Simplify US Equity PLUS GBTC ETF to the Simplify US Equity PLUS Bitcoin Strategy ETF.

(2) The Fund revised its investment strategy to expand the investable universe of Bitcoin-related investments.

(3) The Fund expanded its non-fundamental 80% investment policy to invest at least 80% of its net assets (plus any borrowings for investment purposes) in equity securities of U.S. companies, exchange-traded products with direct exposure to Bitcoin (“Bitcoin ETPs), and exchange-traded funds with indirect exposure to Bitcoin primarily through Bitcoin futures, options, swaps, or other derivative instruments (“Bitcoin ETFs”).

(4) Because of the strategy changes, the Fund became subject to additional Bitcoin-related risks such as Bitcoin ETFs Risk.

 

Availability of Additional Information

You can find additional information about the Fund such as the prospectus, financial information, fund holdings and proxy voting at the website address or contact number included at the beginning of this shareholder report.

 

 

 

Simplify US Equity PLUS Convexity ETF 

SPYC

| NYSE Arca, Inc.

Annual Shareholder Report | June 30, 2025

This annual shareholder report contains important information about Simplify US Equity PLUS Convexity ETF (the "Fund") for the period of July 1, 2024 to June 30, 2025. You can find additional information about the Fund at www.simplify.us/resources. You can also request this information by contacting us at (855) 772-8488.

 

 

What were the Fund’s costs for the last year? 

(based on a hypothetical $10,000 investment)

Fund	Costs of a $10,000 investment	Costs paid as a percentage of a $10,000 investment
Simplify US Equity PLUS Convexity ETF	$54	0.50%

Management's Discussion of Fund Performance

For the year ended June 30, 2025, SPYC returned 14.71% vs its referenced benchmark, S&P 500 Index, return of 15.16%, underperforming the benchmark by 0.45%.

 

Over the past year, U.S. equities have demonstrated notable resilience and recovery following a turbulent early‐2025 period. The U.S. large-cap market rebounded sharply, rising approximately 25% from its spring lows, driven by easing tariff concerns, robust corporate earnings, and strong labor market data. After plunging nearly 19% in April due to the unexpected announcement of “Liberation Day” tariffs, markets quickly regained footing on the back of policy adjustments and coordinated intervention, eventually reaching record highs by late June. SPYC’s dual mandate of capturing upside & downside convexity performed in line with expectations over the past year.

 

We will continue to monetize and exercise options, when possible, to outperform on the upside while maintaining a strong notional coverage on the downside. 

Fund Performance

Growth of an Assumed $10,000 Investment

	Simplify US Equity PLUS Convexity ETF - NAV	S&P 500 TR Index
9/3/20	$10,000	$10,000
12/31/20	$10,834	$10,927
6/30/21	$12,367	$12,593
12/31/21	$13,976	$14,063
6/30/22	$10,923	$11,256
12/31/22	$10,427	$11,516
6/30/23	$12,088	$13,462
12/31/23	$12,931	$14,543
6/30/24	$15,257	$16,767
12/31/24	$15,794	$18,182
6/30/25	$17,501	$19,310

AVERAGE ANNUAL TOTAL RETURN Fund/Index	1 Year	Since Inception 9/3/2020
Simplify US Equity PLUS Convexity ETF - NAV	14.71%	12.31%
S&P 500 TR Index	15.16%	14.62%

The Fund's past performance is not a good predictor of future performance. The graph and table do not reflect deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares. 

Key Fund Statistics

The following table outlines key fund statistics that you should pay attention to. 

Fund net assets	$83,345,978
Total number of portfolio holdings	22
Total advisory fee paid	$369,331
Portfolio turnover rate	8%

Graphical Representation of Holdings

The table below shows the types of investments that make up the Fund as of the end of the reporting period.

Investment Categories	% of Net Assets
U.S. Exchange-Traded Funds	96.1%
Purchased Options	3.3%
Money Market Funds	0.4%
Other Assets in Excess of Liabilities	0.2%
Total	100.0%

Availability of Additional Information

You can find additional information about the Fund such as the prospectus, financial information, fund holdings and proxy voting at the website address or contact number included at the beginning of this shareholder report.

 

 

 

Simplify US Equity PLUS Downside Convexity ETF 

SPD

| NYSE Arca, Inc.

Annual Shareholder Report | June 30, 2025

This annual shareholder report contains important information about Simplify US Equity PLUS Downside Convexity ETF (the "Fund") for the period of July 1, 2024 to June 30, 2025. You can find additional information about the Fund at www.simplify.us/resources. You can also request this information by contacting us at (855) 772-8488.

 

 

What were the Fund’s costs for the last year? 

(based on a hypothetical $10,000 investment)

Fund	Costs of a $10,000 investment	Costs paid as a percentage of a $10,000 investment
Simplify US Equity PLUS Downside Convexity ETF	$55	0.50%

Management's Discussion of Fund Performance

For the year ended June 30, 2025, SPD returned 18.38% vs its referenced benchmark, S&P 500 Index, return of 15.16%, outperforming the benchmark by 3.22%. 

 

Over the past year, U.S. equities have demonstrated notable resilience and recovery following a turbulent early‐2025 period. The U.S. large-cap market rebounded sharply, rising approximately 25% from its spring lows, driven by easing tariff concerns, robust corporate earnings, and strong labor market data. After plunging nearly 19% in April due to the unexpected announcement of “Liberation Day” tariffs, markets quickly regained footing on the back of policy adjustments and coordinated intervention, eventually reaching record highs by late June. SPD performed well against the deep drawdown in early April and delivered strong outperformance during the subsequent rebound, supported by its income overlay strategy and downside convexity exposure.

 

In the next 12 months, we will continue to actively manage the downside convexity profile while aiming to offset the cost with the Fund’s income overlay approach. 

Fund Performance

Growth of an Assumed $10,000 Investment

	Simplify US Equity PLUS Downside Convexity ETF - NAV	S&P 500 TR Index
9/3/20	$10,000	$10,000
12/31/20	$10,798	$10,927
6/30/21	$12,207	$12,593
12/31/21	$13,429	$14,063
6/30/22	$10,818	$11,256
12/31/22	$9,986	$11,516
6/30/23	$11,393	$13,462
12/31/23	$12,088	$14,543
6/30/24	$13,698	$16,767
12/31/24	$14,212	$18,182
6/30/25	$16,216	$19,310

AVERAGE ANNUAL TOTAL RETURN Fund/Index	1 Year	Since Inception 9/3/2020
Simplify US Equity PLUS Downside Convexity ETF - NAV	18.38%	10.54%
S&P 500 TR Index	15.16%	14.62%

The Fund's past performance is not a good predictor of future performance. The graph and table do not reflect deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares.  

Key Fund Statistics

The following table outlines key fund statistics that you should pay attention to. 

Fund net assets	$88,213,096
Total number of portfolio holdings	21
Total advisory fee paid	$531,814
Portfolio turnover rate	13%

Graphical Representation of Holdings

The table below shows the types of investments that make up the Fund as of the end of the reporting period.

Investment Categories	% of Net Assets
U.S. Exchange-Traded Funds	97.3%
Purchased Options	2.8%
Liabilities in Excess of Other Assets	(0.1)%
Total	100.0%

Availability of Additional Information

You can find additional information about the Fund such as the prospectus, financial information, fund holdings and proxy voting at the website address or contact number included at the beginning of this shareholder report.

 

 

 

Simplify US Equity PLUS Upside Convexity ETF 

SPUC

| NYSE Arca, Inc.

Annual Shareholder Report | June 30, 2025

This annual shareholder report contains important information about Simplify US Equity PLUS Upside Convexity ETF (the "Fund") for the period of July 1, 2024 to June 30, 2025. You can find additional information about the Fund at www.simplify.us/resources. You can also request this information by contacting us at (855) 772-8488.

 

 

What were the Fund’s costs for the last year? 

(based on a hypothetical $10,000 investment)

Fund	Costs of a $10,000 investment	Costs paid as a percentage of a $10,000 investment
Simplify US Equity PLUS Upside Convexity ETF	$53	0.50%

Management's Discussion of Fund Performance

For the year ended June 30, 2025, SPUC returned 11.20% vs its referenced benchmark, S&P 500 Index, return of 15.16%, under-performing the benchmark by 3.96%. 

 

Over the past year, U.S. equities have demonstrated notable resilience and recovery following a turbulent early‐2025 period. The U.S. large-cap market rebounded sharply, rising approximately 25% from its spring lows, driven by easing tariff concerns, robust corporate earnings, and strong labor market data. After plunging nearly 19% in April due to the unexpected announcement of “Liberation Day” tariffs, markets quickly regained footing on the back of policy adjustments and coordinated intervention, eventually reaching record highs by late June. 

 

As anticipated, SPUC underperformed the S&P 500 during the initial drawdown in early 2025, reflecting its design as an upside convexity strategy rather than a defensive vehicle. While SPUC recovered much of its relative underperformance during the ensuing market rally, it ultimately trailed the index for the full year. 

 

Looking ahead,we believe SPUC is positioned to capture U.S. equities market strength via its investment in call options. This approach offers investors an upside convexity solution that transforms a persistent market inefficiency into a source of enhanced return potential. 

 

Fund Performance

Growth of an Assumed $10,000 Investment

	Simplify US Equity PLUS Upside Convexity ETF - NAV	S&P 500 TR Index
9/3/20	$10,000	$10,000
12/31/20	$10,877	$10,927
6/30/21	$12,552	$12,593
12/31/21	$14,561	$14,063
6/30/22	$11,047	$11,256
12/31/22	$10,973	$11,516
6/30/23	$12,886	$13,462
12/31/23	$13,986	$14,543
6/30/24	$17,174	$16,767
12/31/24	$17,529	$18,182
6/30/25	$19,097	$19,310

AVERAGE ANNUAL TOTAL RETURN Fund/Index	1 Year	Since Inception 9/3/2020
Simplify US Equity PLUS Upside Convexity ETF - NAV	11.20%	14.36%
S&P 500 TR Index	15.16%	14.62%

The Fund's past performance is not a good predictor of future performance. The graph and table do not reflect deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares. 

Key Fund Statistics

The following table outlines key fund statistics that you should pay attention to. 

Fund net assets	$116,667,833
Total number of portfolio holdings	3
Total advisory fee paid	$251,486
Portfolio turnover rate	94%

Graphical Representation of Holdings

The table below shows the types of investments that make up the Fund as of the end of the reporting period.

Investment Categories	% of Net Assets
U.S. Exchange-Traded Funds	95.1%
Purchased Options	4.2%
Money Market Funds	1.0%
Liabilities in Excess of Other Assets	(0.3)%
Total	100.0%

Availability of Additional Information

You can find additional information about the Fund such as the prospectus, financial information, fund holdings and proxy voting at the website address or contact number included at the beginning of this shareholder report.

 

 

 

Simplify Bitcoin Strategy PLUS Income ETF 

MAXI

| Nasdaq Stock Market LLC

Annual Shareholder Report | June 30, 2025

This annual shareholder report contains important information about Simplify Bitcoin Strategy PLUS Income ETF (the "Fund") for the period of July 1, 2024 to June 30, 2025. You can find additional information about the Fund at www.simplify.us/resources. You can also request this information by contacting us at (855) 772-8488.

 

 

This report describes changes to the Fund that occurred during the reporting period.

What were the Fund’s costs for the last year? 

(based on a hypothetical $10,000 investment)

Fund	Costs of a $10,000 investment	Costs paid as a percentage of a $10,000 investment
Simplify Bitcoin Strategy PLUS Income ETF	$180	1.31%

Management's Discussion of Fund Performance

For the year ended June 30, 2025, MAXI returned 74.47% vs the return of 78.20% of the Nasdaq Bitcoin Reference Price Index for the same period, underperforming the index by 3.73%.

 

The underperformance of -3.73% is primarily attributable to the cost of obtaining exposure through futures contracts, compounded at times by the use of leverage, which amplifies both funding and roll costs. Between July 2024 and June 2025, the average annualized roll cost between BTC2 and BTC1 futures was approximately 6.8%. The remaining performance drag is likely due to the impact of the options overlay.

 

Looking ahead, we expect MAXI to perform better if the futures roll cost, as well as implied volatility and the equity market trends, are closer to their historical long-term average. 

Fund Performance

Growth of an Assumed $10,000 Investment

	Simplify Bitcoin Strategy PLUS Income ETF - NAV	S&P 500 TR Index	Nasdaq Bitcoin Reference Price Index (USD) 09-29-22
9/29/22	$10,000	$10,000	$10,000
9/30/22	$10,000	$9,850	$9,925
12/31/22	$8,693	$10,595	$8,511
3/31/23	$14,761	$11,389	$14,423
6/30/23	$15,816	$12,384	$15,648
9/30/23	$13,805	$11,979	$13,791
12/31/23	$21,172	$13,380	$21,544
3/31/24	$34,930	$14,792	$35,790
6/30/24	$29,106	$15,426	$30,899
9/30/24	$28,815	$16,334	$32,658
12/31/24	$40,339	$16,727	$47,964
3/31/25	$31,346	$16,013	$42,229
6/30/25	$50,781	$17,765	$55,063

AVERAGE ANNUAL TOTAL RETURN Fund/Index	1 Year	Since Inception 9/29/2022
Simplify Bitcoin Strategy PLUS Income ETF - NAV	74.47%	80.53%
S&P 500 TR Index	15.16%	23.23%
Nasdaq Bitcoin Reference Price Index (USD) 09-29-22	78.20%	85.92%

The Fund's past performance is not a good predictor of future performance. The graph and table do not reflect deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares. 

Key Fund Statistics

The following table outlines key fund statistics that you should pay attention to. 

Fund net assets	$52,290,824
Total number of portfolio holdings	24
Total advisory fee paid	$347,717
Portfolio turnover rate	0%

Graphical Representation of Holdings

The table below shows the types of investments that make up the Fund as of the end of the reporting period.

Investment Categories	% of Net Assets
U.S. Treasury Bills	194.9%
Purchased Options	15.8%
Liabilities in Excess of Other Assets	(110.7)%
Total	100.0%

Material Fund Changes

This summary of certain changes to the Fund since July 1, 2024. For more complete information, you may review the Fund's prospectus dated February 5, 2025, which is available at www.simplify.us/resources or upon request at 1 (855) 772-8488.

(1) The Fund revised its investment strategy to expand the investable universe of Bitcoin-related investments.

(2) The Fund changed its targeted Bitcoin exposure from 100% to a range of 50-200%.

(3) Because of the strategy changes, the Fund became subject to additional Bitcoin-related risks such as Bitcoin ETFs Risk, Exchange Traded Product Risk, and Valuation Risk. 

 

 

 

Availability of Additional Information

You can find additional information about the Fund such as the prospectus, financial information, fund holdings and proxy voting at the website address or contact number included at the beginning of this shareholder report.

 

 

 

Simplify Gold Strategy PLUS Income ETF 

YGLD

| NYSE Arca, Inc.

Annual Shareholder Report | June 30, 2025

This annual shareholder report contains important information about Simplify Gold Strategy PLUS Income ETF (the "Fund") for the period of December 2, 2024 to June 30, 2025. You can find additional information about the Fund at www.simplify.us/resources. You can also request this information by contacting us at (855) 772-8488.

 

 

What were the Fund’s costs for the period? 

(based on a hypothetical $10,000 investment)

Fund	Costs of a $10,000 investment	Costs paid as a percentage of a $10,000 investment
Simplify Gold Strategy PLUS Income ETF	$37Footnote Reference(1)	0.53%

Footnote	Description
Footnote(1)	Based on the period December 2, 2024 (commencement of operations) through June 30, 2025. Expenses would have been higher if based on the full reporting period.

Management's Discussion of Fund Performance

Since its inception on December 2nd, 2024, YGLD returned 39.74% vs. the Solactive Gold Spot Index's return of 25.44% for the same period, outperforming the index by +14.29%.

 

Much of the outperformance occurred in the period from 4/7/25-5/19/25 as gold prices rallied post the tariff-pause announcement and the option overlay was additive given the positive convexity. Gold prices have seen continued support from economic uncertainty, geopolitical risk and continued investment from foreign central banks.

 

Looking forward, we believe gold will remain well bid given continued market uncertainty and flows from overseas, while the income overlay can continue to add value in a risk-on market.

 

Fund Performance

Growth of an Assumed $10,000 Investment

	Simplify Gold Strategy PLUS Income ETF - NAV	Bloomberg U.S. Aggregate Bond Index	Solactive Gold Spot Index ER USD Index
12/2/24	$10,000	$10,000	$10,000
12/31/24	$9,585	$9,830	$9,946
3/31/25	$11,640	$10,103	$11,844
6/30/25	$13,974	$10,225	$12,544

AVERAGE ANNUAL TOTAL RETURN Fund/Index	Since Inception 12/2/2024
Simplify Gold Strategy PLUS Income ETF - NAV	39.74%
Bloomberg U.S. Aggregate Bond Index	2.25%
Solactive Gold Spot Index ER USD Index	25.44%

The Fund's past performance is not a good predictor of future performance. The graph and table do not reflect deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares. 

Key Fund Statistics

The following table outlines key fund statistics that you should pay attention to. 

Fund net assets	$28,249,612
Total number of portfolio holdings	22
Total advisory fee paid	$54,284
Portfolio turnover rate	0%

Graphical Representation of Holdings

The table below shows the types of investments that make up the Fund as of the end of the reporting period.

Investment Categories	% of Net Assets
U.S. Treasury Bills	92.9%
Purchased Options	3.0%
Other Assets in Excess of Liabilities	4.1%
Total	100.0%

Availability of Additional Information

You can find additional information about the Fund such as the prospectus, financial information, fund holdings and proxy voting at the website address or contact number included at the beginning of this shareholder report.

 

 

 

Simplify Multi-QIS Alternative ETF 

QIS

| NYSE Arca, Inc.

Annual Shareholder Report | June 30, 2025

This annual shareholder report contains important information about Simplify Multi-QIS Alternative ETF (the "Fund") for the period of July 1, 2024 to June 30, 2025. You can find additional information about the Fund at www.simplify.us/resources. You can also request this information by contacting us at (855) 772-8488.

 

 

What were the Fund’s costs for the last year? 

(based on a hypothetical $10,000 investment)

Fund	Costs of a $10,000 investment	Costs paid as a percentage of a $10,000 investment
Simplify Multi-QIS Alternative ETF	$95.2	1.00%

Management's Discussion of Fund Performance

For the year ended June 30, 2025, QIS returned -9.89% vs the 4.68%, return of the ICE BofA US 3-Months Treasury Bill Index for the same period, underperforming the index  by -14.57%.

 

Much of the underperformance occurred from March 2025 until June 2025, as the February market sell-off and subsequent "tariff tantrum" were headwinds for QIS.

 

During the last 12 months, the strategy was streamlined to increase resiliency in stressed markets. The new approach aims to improve performance and diversify exposures in various market conditions.

 

Quantitative strategies across the board have had one of their most challenging periods in the last decade, and we have seen above average correlations between strategies further reduce normal diversification benefits. Equity volatility strategies have also been a headwind, as implied volatilities have been low and realized volatilities have been high. We did also see some more idiosyncratic headwinds out of the commodity complex.

 

Looking forward, we anticipate normalization of these aforementioned headwinds, which we believe could become tailwinds and improve performance.

 

Fund Performance

Growth of an Assumed $10,000 Investment

	Simplify Multi-QIS Alternative ETF - NAV	Bloomberg U.S. Aggregate Bond Index	ICE BofA 3 Month US Treasury Bill Index
7/10/23	$10,000	$10,000	$10,000
12/31/23	$10,237	$10,437	$10,259
6/30/24	$10,478	$10,362	$10,529
12/31/24	$10,218	$10,567	$10,797
6/30/25	$9,441	$10,992	$11,021

AVERAGE ANNUAL TOTAL RETURN Fund/Index	1 Year	Since Inception 7/10/2023
Simplify Multi-QIS Alternative ETF - NAV	-9.89%	-2.87%
Bloomberg U.S. Aggregate Bond Index	6.08%	4.90%
ICE BofA 3 Month US Treasury Bill Index	4.68%	5.05%

The Fund's past performance is not a good predictor of future performance. The graph and table do not reflect deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares. 

Key Fund Statistics

The following table outlines key fund statistics that you should pay attention to. 

Fund net assets	$96,118,608
Total number of portfolio holdings	21
Total advisory fee paid	$1,084,120
Portfolio turnover rate	29%

Graphical Representation of Holdings

The table below shows the types of investments that make up the Fund as of the end of the reporting period.

Investment Categories	% of Net Assets
U.S. Treasury Bills	85.5%
U.S. Exchange-Traded Funds	7.9%
Purchased Options	8.0%
Liabilities in Excess of Other Assets	(1.4)%
Total	100.0%

Availability of Additional Information

You can find additional information about the Fund such as the prospectus, financial information, fund holdings and proxy voting at the website address or contact number included at the beginning of this shareholder report.

 

 

 

Simplify Volatility Premium ETF 

SVOL

| NYSE Arca, Inc.

Annual Shareholder Report | June 30, 2025

This annual shareholder report contains important information about Simplify Volatility Premium ETF (the "Fund") for the period of July 1, 2024 to June 30, 2025. You can find additional information about the Fund at www.simplify.us/resources. You can also request this information by contacting us at (855) 772-8488.

 

 

What were the Fund’s costs for the last year? 

(based on a hypothetical $10,000 investment)

Fund	Costs of a $10,000 investment	Costs paid as a percentage of a $10,000 investment
Simplify Volatility Premium ETF	$62	0.63%

Management's Discussion of Fund Performance

For the year ended June 30, 2025, SVOL returned -3.00% vs its referenced benchmark, S&P 500 Index, return of 15.16%, underperforming the benchmark by 18.16%.

 

The past year presented challenges for SVOL’s volatility premium harvesting strategy, marked by episodes of elevated market volatility in August 2024, December 2024, and throughout the first half of 2025. To navigate abrupt shifts in volatility regimes, the portfolio management team focused on NAV stability when confronted with abrupt shifts in volatility regimes. The timely response positioned SVOL well to recover from the market bottom on April 9, 2025. 

 

In the next 12 months, we believe SVOL is strategically positioned to capitalize on structural inefficiencies in volatility markets by selling options where implied volatility is elevated and buying where it's undervalued. We believe SVOL remains well-placed to extract risk premia in a risk-managed framework, reinforcing its role as a structural volatility strategy.

Fund Performance

Growth of an Assumed $10,000 Investment

	Simplify Volatility Premium ETF - NAV	S&P 500 TR Index
5/12/21	$10,000	$10,000
6/30/21	$10,805	$10,599
12/31/21	$11,436	$11,836
6/30/22	$10,132	$9,474
12/31/22	$10,914	$9,693
6/30/23	$12,476	$11,330
12/31/23	$13,429	$12,241
6/30/24	$14,353	$14,113
12/31/24	$14,392	$15,303
6/30/25	$13,923	$16,253

AVERAGE ANNUAL TOTAL RETURN Fund/Index	1 Year	Since Inception 5/12/2021
Simplify Volatility Premium ETF - NAV	-3.00%	8.33%
S&P 500 TR Index	15.16%	12.47%

The Fund's past performance is not a good predictor of future performance. The graph and table do not reflect deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares. 

 

 

The Fund had a return capital of $97,126,311. 

Key Fund Statistics

The following table outlines key fund statistics that you should pay attention to. 

Fund net assets	$916,740,325
Total number of portfolio holdings	27
Total advisory fee paid	$5,469,662
Portfolio turnover rate	298%

Graphical Representation of Holdings

The table below shows the types of investments that make up the Fund as of the end of the reporting period.

Investment Categories	% of Net Assets
U.S. Treasury Bills	110.7%
U.S. Exchange-Traded Funds	48.6%
Purchased Options	7.5%
Liabilities in Excess of Other Assets	(66.8)%
Total	100.0%

Availability of Additional Information

You can find additional information about the Fund such as the prospectus, financial information, fund holdings and proxy voting at the website address or contact number included at the beginning of this shareholder report.

 

 

 

Simplify Opportunistic Income ETF 

CRDT

| NYSE Arca, Inc.

Annual Shareholder Report | June 30, 2025

This annual shareholder report contains important information about Simplify Opportunistic Income ETF (the "Fund") for the period of July 1, 2024 to June 30, 2025. You can find additional information about the Fund at www.simplify.us/resources. You can also request this information by contacting us at (855) 772-8488.

 

 

This report describes changes to the Fund that occurred during the reporting period.

What were the Fund’s costs for the last year? 

(based on a hypothetical $10,000 investment)

Fund	Costs of a $10,000 investment	Costs paid as a percentage of a $10,000 investment
Simplify Opportunistic Income ETF	$86	0.84%

Management's Discussion of Fund Performance

For the year ended June 30, 2025, CRDT returned 3.54% vs. the Bloomberg U.S. Universal Total Return Index return of 6.49% for the same period.

 

CRDT's underweight duration positioning detracted modestly from performance over the period as yields on short and intermediate maturity US Treasuries moved lower. However, the primary detraction came from one of the positions in the distressed portion of the portfolio. Just prior to the close of the period, the position was marked down substantially despite the lack of any meaningful news around the restructuring.

 

Looking forward, we anticipate CRDT will continue to adjust its holdings opportunistically across the credit markets. At present, CRDT remains relatively cautiously positioned. This includes an underweight duration positioning in response to anticipated growth in the level of government debt as well as an underweight to credit markets given seemingly stretched valuations.

 

Fund Performance

Growth of an Assumed $10,000 Investment

	Simplify Opportunistic Income ETF - NAV	Bloomberg U.S. Aggregate Bond Index	ICE BofA US High Yield Index	Bloomberg U.S. Universal Total Return Index
6/26/23	$10,000	$10,000	$10,000	$10,000
6/30/23	$10,004	$9,958	$10,077	$9,965
12/31/23	$10,526	$10,293	$10,846	$10,340
6/30/24	$10,510	$10,219	$11,130	$10,311
12/31/24	$11,045	$10,421	$11,735	$10,551
6/30/25	$10,882	$10,840	$12,269	$10,983

AVERAGE ANNUAL TOTAL RETURN Fund/Index	1 Year	Since Inception 6/26/2023
Simplify Opportunistic Income ETF - NAV	3.54%	4.29%
Bloomberg U.S. Aggregate Bond Index	6.08%	4.09%
ICE BofA US High Yield Index	10.24%	10.71%
Bloomberg U.S. Universal Total Return Index	6.49%	4.78%

The Fund's past performance is not a good predictor of future performance. The graph and table do not reflect deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares. 

 

 

 

The Fund had a return capital of $587,298.

Key Fund Statistics

The following table outlines key fund statistics that you should pay attention to. 

Fund net assets	$78,043,591
Total number of portfolio holdings	77
Total advisory fee paid	$663,658
Portfolio turnover rate	418%

Graphical Representation of Holdings

The table below shows the types of investments that make up the Fund as of the end of the reporting period.

Investment Categories	% of Net Assets
Asset Backed Securities	33.3%
Corporate Bonds	18.0%
U.S. Treasury Bills	14.4%
Preferred Stocks	13.2%
Common Stocks	6.5%
Mortgage Backed Securities	6.2%
U.S. Government Agency Mortgage Backed Securities	2.5%
Foreign Bonds	2.5%
Purchased Options	0.1%
Term Loans	0.1%
Other Assets in Excess of Liabilities	3.2%
Total	100.0%

Material Fund Changes

This is a summary of certain changes to the Fund since July 1, 2024. For more complete information, you may review the Fund's prospectus dated November 1, 2024, which is available at www.simplify.us/resources or upon request at 1 (855) 772-8488.

 

A fee waiver agreement previously in place for the period beginning October 27, 2023 expired at the end of its term on October 31, 2024.

 

Availability of Additional Information

You can find additional information about the Fund such as the prospectus, financial information, fund holdings and proxy voting at the website address or contact number included at the beginning of this shareholder report.

 

 

 

Simplify Propel Opportunities ETF 

SURI

| NYSE Arca, Inc.

Annual Shareholder Report | June 30, 2025

This annual shareholder report contains important information about Simplify Propel Opportunities ETF (the "Fund") for the period of July 1, 2024 to June 30, 2025. You can find additional information about the Fund at www.simplify.us/resources. You can also request this information by contacting us at (855) 772-8488.

 

 

What were the Fund’s costs for the last year? 

(based on a hypothetical $10,000 investment)

Fund	Costs of a $10,000 investment	Costs paid as a percentage of a $10,000 investment
Simplify Propel Opportunities ETF	$229	2.56%

Management's Discussion of Fund Performance

For the year ended June 30, 2025, SURI returned -20.69% vs. the MSCI USA IMI Health Care Net Total Return USD Index benchmark return of -5.66% for the same period, underperforming the index by 15.03%.

 

SURI has a heavier weighting of early-stage and small/mid-cap (SMID) companies versus MSCI USA IMI Health Care Net Total Return USD Index. In general, SMID healthcare companies have underperformed versus large cap healthcare companies during this period. Positive contributors to SURI's  performance include Akero Therapeutics, Achieve Life Science and Plan GP Holdings. Detractors from SURI's  performance include Applied Therapeutics, Tscan Therapuetics and Athira Pharma.

 

Looking ahead, while we anticipate continued volatility in SMID healthcare companies versus the overall market, we belive specific catalysts within the SURI portfolio along with increased M&A and strategic activities targeting SMID healthcare companies to potentially drive outperformance.

 

Fund Performance

Growth of an Assumed $10,000 Investment

	Simplify Propel Opportunities ETF - NAV	S&P 500 TR Index	MSCI USA IMI/Health Care Net (USD) Index
2/7/23	$10,000	$10,000	$10,000
6/30/23	$9,503	$10,766	$10,034
12/31/23	$9,566	$11,631	$10,321
6/30/24	$11,144	$13,409	$11,014
12/31/24	$8,588	$14,540	$10,552
6/30/25	$8,838	$15,442	$10,390

AVERAGE ANNUAL TOTAL RETURN Fund/Index	1 Year	Since Inception 2/7/2023
Simplify Propel Opportunities ETF - NAV	-20.69%	-5.03%
S&P 500 TR Index	15.16%	19.92%
MSCI USA IMI/Health Care Net (USD) Index	-5.66%	1.61%

The Fund's past performance is not a good predictor of future performance. The graph and table do not reflect deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares.  

 

The Fund had a return of capital of $12,083,603. 

Key Fund Statistics

The following table outlines key fund statistics that you should pay attention to. 

Fund net assets	$65,973,784
Total number of portfolio holdings	20
Total advisory fee paid	$2,113,065
Portfolio turnover rate	22%

Graphical Representation of Holdings

The table below shows the types of investments that make up the Fund as of the end of the reporting period.

Investment Categories	% of Net Assets
U.S. Treasury Bills	54.3%
Common Stocks	42.5%
Limited Partnership	37.5%
Money Market Funds	17.4%
Corporate Bonds	5.9%
Liabilities in Excess of Other Assets	(57.6)%
Total	100.0%

Availability of Additional Information

You can find additional information about the Fund such as the prospectus, financial information, fund holdings and proxy voting at the website address or contact number included at the beginning of this shareholder report.

 

 

 

Simplify Volt TSLA Revolution ETF 

TESL

| NYSE Arca, Inc.

Annual Shareholder Report | June 30, 2025

This annual shareholder report contains important information about Simplify Volt TSLA Revolution ETF (formerly, Simplify Volt RoboCar Disruption and Tech ETF trading under ticker VCAR) (the "Fund") for the period of July 1, 2024 to June 30, 2025. You can find additional information about the Fund at www.simplify.us/resources. You can also request this information by contacting us at (855) 772-8488.

 

 

This report describes changes to the Fund that occurred during the reporting period.

What were the Fund’s costs for the last year? 

(based on a hypothetical $10,000 investment)

Fund	Costs of a $10,000 investment	Costs paid as a percentage of a $10,000 investment
Simplify Volt TSLA Revolution ETF	$154	0.96%

Management's Discussion of Fund Performance

For the year ended June 30, 2025, TESL returned 122.93% vs its referenced benchmark, S&P 500 Index, return of 15.16%, out-performing the benchmark by 107.77%.

 

TESL has delivered a strong return, showcasing the effectiveness of its proprietary algorithm and strategic use of derivative instruments—including options and swaps—for targeted protection, participation, and income generation.The dynamic exposure of 80 to 150% in Tesla-related instruments allows TESL to capture potential opportunities from Tesla’s volatile stock price movements.

 

Looking ahead, we anticipate sustained momentum in the broader autonomous driving sector. Leveraging active management and risk-managed options overlay, we believe TESL is positioned to harness upside potential while enhancing income and managing downside risk—offering a distinct and sophisticated approach to equity investing. 

Fund Performance

Growth of an Assumed $10,000 Investment

	Simplify Volt TSLA Revolution ETF - NAV	S&P 500 TR Index
12/28/20	$10,000	$10,000
12/31/20	$10,456	$10,057
6/30/21	$9,466	$11,591
12/31/21	$12,382	$12,944
6/30/22	$7,297	$10,361
12/31/22	$4,810	$10,600
6/30/23	$7,258	$12,391
12/31/23	$7,699	$13,387
6/30/24	$8,852	$15,434
12/31/24	$19,185	$16,736
6/30/25	$19,732	$17,774

AVERAGE ANNUAL TOTAL RETURN Fund/Index	1 Year	Since Inception 12/28/2020
Simplify Volt TSLA Revolution ETF - NAV	122.93%	16.29%
S&P 500 TR Index	15.16%	13.62%

The Fund's past performance is not a good predictor of future performance. The graph and table do not reflect deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares. 

 

 

Key Fund Statistics

The following table outlines key fund statistics that you should pay attention to. 

Fund net assets	$32,489,812
Total number of portfolio holdings	24
Total advisory fee paid	$145,570
Portfolio turnover rate	872%

Graphical Representation of Holdings

The table below shows the types of investments that make up the Fund as of the end of the reporting period.

Investment Categories	% of Net Assets
U.S. Treasury Bills	69.3%
Common Stocks	23.6%
Purchased Options	4.5%
Money Market Funds	2.3%
Other Assets in Excess of Liabilities	0.3%
Total	100.0%

Material Fund Changes

This is a summary of certain changes to the Fund since July 1, 2024. For more complete information, you may review the Fund’s prospectus dated November 1, 2024, which is available at www.simplify.us/resources or upon request at 1 (855) 772-8488.

(1) The Fund changed its name from Simplify Volt RoboCar Disruption and Tech ETF to Simplify Volt TSLA Revolution ETF.

(2) The Fund refocused its investment strategy to emphasize returns linked to Tesla, Inc. (NASDAQ: TSLA) (“Tesla”).

(3) The Fund revised its 80% investment policy such that it invests at least 80% of its net assets (plus any borrowings for investment purposes) in Tesla-related instruments.

(4) Because of the strategy changes, the Fund also became subject to compounding risk, leverage risk, and has a greater risk exposure to the price of Tesla stock. 

 

Availability of Additional Information

You can find additional information about the Fund such as the prospectus, financial information, fund holdings and proxy voting at the website address or contact number included at the beginning of this shareholder report.

 

 

 

Simplify Commodities Strategy No K-1 ETF 

HARD

| NYSE Arca, Inc.

Annual Shareholder Report | June 30, 2025

This annual shareholder report contains important information about Simplify Commodities Strategy No K-1 ETF (the "Fund") for the period of July 1, 2024 to June 30, 2025. You can find additional information about the Fund at www.simplify.us/resources. You can also request this information by contacting us at (855) 772-8488.

 

 

What were the Fund’s costs for the last year? 

(based on a hypothetical $10,000 investment)

Fund	Costs of a $10,000 investment	Costs paid as a percentage of a $10,000 investment
Simplify Commodities Strategy No K-1 ETF	$86	0.78%

Management's Discussion of Fund Performance

For the year ended June 30, 2025, HARD returned 20.52% vs the Bloomberg Commodity Index Total Return, which returned 5.77% for the same period, outperforming the benchmark by +14.75%. HARD surpassed its 2-year track record in March 2025.

 

A key enhancement was made to HARD's portfolio to add investment across diversified commodity markets: Cocoa, Cotton, Coffee, Winter Wheat, Canola, Sugar, Soybean Meal, Feeder Cattle, Live Cattle, Lean Hogs, Palladium and Platinum.

 

Positive returns from positions in softs (Cocoa, Coffee), select metals (Gold, Platinum), and Live and Feeder Cattle were additive to performance. HARD's average commodity exposure was about +40%, reflecting its long commodity bias, while avoiding negative carry in commodities with excessively steep or inverted curves. 

 

Looking ahead, we believe HARD’s asset selection and positioning should enable it to outperform during a cyclical bull market in commodities, while also adding value from supply-demand imbalances. 

Fund Performance

Growth of an Assumed $10,000 Investment

	Simplify Commodities Strategy No K-1 ETF - NAV	Bloomberg U.S. Aggregate Bond Index	Bloomberg Commodity Index Total Return
3/27/23	$10,000	$10,000	$10,000
3/31/23	$9,956	$10,050	$10,175
6/30/23	$9,914	$9,966	$9,914
9/30/23	$10,250	$9,644	$10,381
12/31/23	$9,497	$10,301	$9,901
3/31/24	$9,611	$10,221	$10,118
6/30/24	$9,977	$10,228	$10,410
9/30/24	$10,510	$10,759	$10,480
12/31/24	$11,298	$10,430	$10,433
3/31/25	$13,121	$10,720	$11,360
6/30/25	$12,024	$10,849	$11,010

AVERAGE ANNUAL TOTAL RETURN Fund/Index	1 Year	Since Inception 3/27/2023
Simplify Commodities Strategy No K-1 ETF - NAV	20.52%	8.49%
Bloomberg U.S. Aggregate Bond Index	6.08%	3.67%
Bloomberg Commodity Index Total Return	5.77%	4.35%

The Fund's past performance is not a good predictor of future performance. The graph and table do not reflect deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares. 

Key Fund Statistics

The following table outlines key fund statistics that you should pay attention to. 

Fund net assets	$31,554,991
Total number of portfolio holdings	6
Total advisory fee paid	$144,331
Portfolio turnover rate	0%

Graphical Representation of Holdings

The table below shows the types of investments that make up the Fund as of the end of the reporting period.

Investment Categories	% of Net Assets
U.S. Treasury Bills	121.1%
Liabilities in Excess of Other Assets	(21.1)%
Total	100.0%

Availability of Additional Information

You can find additional information about the Fund such as the prospectus, financial information, fund holdings and proxy voting at the website address or contact number included at the beginning of this shareholder report.

 

 

 

Simplify Managed Futures Strategy ETF 

CTA

| NYSE Arca, Inc.

Annual Shareholder Report | June 30, 2025

This annual shareholder report contains important information about Simplify Managed Futures Strategy ETF (the "Fund") for the period of July 1, 2024 to June 30, 2025. You can find additional information about the Fund at www.simplify.us/resources. You can also request this information by contacting us at (855) 772-8488.

 

 

What were the Fund’s costs for the last year? 

(based on a hypothetical $10,000 investment)

Fund	Costs of a $10,000 investment	Costs paid as a percentage of a $10,000 investment
Simplify Managed Futures Strategy ETF	$77	0.75%

Management's Discussion of Fund Performance

For the year ended June 30, 2025, CTA returned 4.23% vs  the -11.87% of the SG CTA Index for the same period, outperforming the index by 16.10%.

 

During the last 12 months, interest rates and additional commodity markets were added to the proprietary model to further enhance diversification. These included: Cocoa, Cotton, Coffee, Winter Wheat, Canola, Sugar, Soybean Meal, Feeder Cattle, Live Cattle, Lean Hogs, Palladium, Platinum, Canadian 2Y/5Y and U.S. 2Y/10Y/20Y/30Y rates.

 

Long positions in Cocoa and Gold, and to a lesser extent, Cattle, contributed positively. Short positions in the front end of the U.S. curve also added value as rates rose in late 2024.

 

The notional exposure of interest rates was primarily short in the second half of 2024 due to the shape of the curve which was identified by the model’s ‘carry’ signal. Interest rate exposure was positive in March/April 2025 due to the sell-off in equities, identified by the model’s ‘intermarket’ signal. Commodity exposure has been dynamic over the last 12 months.

 

In the next 12 months, we expect geopolitical and macroeconomic risks to remain heightened. CTA will continue to seek to provide absolute returns and risk diversification from traditional stocks and bonds via its dynamic positioning in various markets. 

Fund Performance

Growth of an Assumed $10,000 Investment

	Simplify Managed Futures Strategy ETF- NAV	Bloomberg U.S. Aggregate Bond Index	SG CTA Index
3/7/22	$10,000	$10,000	$10,000
3/31/22	$9,566	$9,749	$10,070
6/30/22	$10,907	$9,292	$10,814
9/30/22	$11,809	$8,850	$11,258
12/31/22	$11,182	$9,016	$10,725
3/31/23	$9,963	$9,283	$10,169
6/30/23	$10,922	$9,205	$10,727
9/30/23	$11,783	$8,907	$10,930
12/31/23	$10,789	$9,515	$10,362
3/31/24	$11,492	$9,441	$11,367
6/30/24	$12,508	$9,447	$11,116
9/30/24	$12,168	$9,938	$10,623
12/31/24	$13,398	$9,634	$10,606
3/31/25	$14,257	$9,901	$10,339
6/30/25	$13,037	$10,021	$9,799

AVERAGE ANNUAL TOTAL RETURN Fund/Index	1 Year	Since Inception 3/7/2022
Simplify Managed Futures Strategy ETF - NAV	4.23%	8.33%
Bloomberg U.S. Aggregate Bond Index	6.08%	0.06%
SG CTA Index	-11.85%	-0.61%

The Fund's past performance is not a good predictor of future performance. The graph and table do not reflect deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares. 

Key Fund Statistics

The following table outlines key fund statistics that you should pay attention to. 

Fund net assets	$1,055,122,574
Total number of portfolio holdings	5
Total advisory fee paid	$4,364,164
Portfolio turnover rate	0%

Graphical Representation of Holdings

The table below shows the types of investments that make up the Fund as of the end of the reporting period.

Investment Categories	% of Net Assets
U.S. Treasury Bills	99.6%
Other Assets in Excess of Liabilities	0.4%
Total	100.0%

Availability of Additional Information

You can find additional information about the Fund such as the prospectus, financial information, fund holdings and proxy voting at the website address or contact number included at the beginning of this shareholder report.

 

 

 

Simplify Piper Sandler US Small-Cap PLUS Income ETF 

LITL

| NYSE Arca, Inc.

Annual Shareholder Report | June 30, 2025

This annual shareholder report contains important information about Simplify Piper Sandler US Small-Cap PLUS Income ETF (the "Fund") for the period of April 28, 2025 (commencement of operations) to June 30, 2025. You can find additional information about the Fund at www.simplify.us/resources. You can also request this information by contacting us at (855) 772-8488.

 

 

What were the Fund’s costs for the period? 

(based on a hypothetical $10,000 investment)

Fund	Costs of a $10,000 investment	Costs paid as a percentage of a $10,000 investment
Simplify Piper Sandler US Small-Cap PLUS Income ETF	$16Footnote Reference(1)	0.90%

Footnote	Description
Footnote(1)	Based on the period April 28, 2025 (commencement of operations) through June 30, 2025. Expenses would have been higher if based on the full reporting period.

Management's Discussion of Fund Performance

For the period April 28, 2025, to June 30, 2025, LITL returned 10.25% vs. the Russell 2000 Total Return index return of 11.00%, underperforming by 0.75%.

 

LITL delivered positive returns across all sectors with the exception of Consumer Staples. At the sector level, the strategy demonstrated strong stock selection in Financials, Utilities, Communication Services, Healthcare, and Industrials. Notable contributors to performance included Dave Inc., Hims & Hers Health, and Oscar Health, while ADMA Biologics, ACI Worldwide, and Lifestance Health Group were among the `primary detractors. The option based income overlay added 0.08% since the inception of LITL .

 

Looking ahead, we anticipate the portfolio management team will maintain a disciplined focus on business cycle analysis to identify companies best positioned to outperform in the current economic environment. In addition, risk-managed options overlay enhances LITL's income potential and contributes meaningfully to total return, offering a differentiated approach to equity investing.

 

Fund Performance

Growth of an Assumed $10,000 Investment

	Simplify Piper Sandler US Small-Cap PLUS Income ETF- NAV	Russell 2000 Total Return
4/28/25	$10,000	$10,000
6/30/25	$11,025	$11,100

AVERAGE ANNUAL TOTAL RETURN Fund/Index	Since Inception 4/28/2025
Simplify Piper Sandler US Small-Cap PLUS Income ETF - NAV	10.25%
Russell 2000 Total Return	11.00%

The Fund's past performance is not a good predictor of future performance. The graph and table do not reflect deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares. 

Key Fund Statistics

The following table outlines key fund statistics that you should pay attention to. 

Fund net assets	$4,134,519
Total number of portfolio holdings	205
Total advisory fee paid	$4,820
Portfolio turnover rate	44%

Graphical Representation of Holdings

The table below shows the types of investments that make up the Fund as of the end of the reporting period.

Investment Categories	% of Net Assets
Common Stocks	80.4%
Purchased Options	1.6%
U.S. Exchange-Traded Funds	1.4%
Other Assets in Excess of Liabilities	16.6%
Total	100.0%

Availability of Additional Information

You can find additional information about the Fund such as the prospectus, financial information, fund holdings and proxy voting at the website address or contact number included at the beginning of this shareholder report.

 

 

 

Simplify Tara India Opportunities ETF 

IOPP

| NYSE Arca, Inc.

Annual Shareholder Report | June 30, 2025

This annual shareholder report contains important information about Simplify Tara India Opportunities ETF (the "Fund") for the period of July 1, 2024 to June 30, 2025. You can find additional information about the Fund at www.simplify.us/resources. You can also request this information by contacting us at (855) 772-8488.

 

 

This report describes changes to the Fund that occurred during the reporting period.

What were the Fund’s costs for the last year? 

(based on a hypothetical $10,000 investment)

Fund	Costs of a $10,000 investment	Costs paid as a percentage of a $10,000 investment
Simplify Tara India Opportunities ETF	$75	0.73%

Management's Discussion of Fund Performance

For the year ended June 30, 2025, IOPP returned 4.93% vs. the benchmark MSCI India Net Total Return USD MSCI India Index return of 0.85% for the same period.

 

The Fund’s holdings in a number of securities not included in the MSCI India Index, particularly in the Information Technology, Financials, and Consumer Discretionary sectors, contributed meaningfully to relative performance. Conversely, an off-benchmark holding in the Industrials sector detracted.

 

Looking forward, we expect the Fund will continue to focus on the sectors which are levered to domestic income growth in India. And within that context, we anticipate the portfolio management team will utilize its local research presence across India to identify names which the team judges to exhibit more attractive growth potential than is currently priced into the market.

Fund Performance

Growth of an Assumed $10,000 Investment

	Simplify Tara India Opportunities ETF - NAV	MSCI INDIA INDEX
3/4/24	$10,000	$10,000
6/30/24	$11,229	$10,916
12/31/24	$11,513	$10,385
6/30/25	$11,782	$11,008

AVERAGE ANNUAL TOTAL RETURN Fund/Index	1 Year	Since Inception 3/4/2024
Simplify Tara India Opportunities ETF - NAV	4.93%	13.20%
MSCI INDIA INDEX	0.85%	7.53%

The Fund's past performance is not a good predictor of future performance. The graph and table do not reflect deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares. 

Key Fund Statistics

The following table outlines key fund statistics that you should pay attention to. 

Fund net assets	$8,929,572
Total number of portfolio holdings	28
Total advisory fee paid	$75,476
Portfolio turnover rate	108%

Graphical Representation of Holdings

The table below shows the types of investments that make up the Fund as of the end of the reporting period.

Investment Categories	% of Net Assets
Common Stocks	95.0%
Money Market Funds	2.8%
Other Assets in Excess of Liabilities	2.2%
Total	100.0%

Material Fund Changes

This is a summary of certain changes to the Fund since July 1, 2024. For more complete information, you may review the Fund's prospectus dated November 1, 2024, as supplemented May 23, 2025, which is available at www.simplify.us/resources or upon

request at 1 (855) 772-8488.

 

Effective May 23, 2025, the Fund's "other expenses" were re-estimated and restated from 0.51% to 0.04% of the Fund's average daily net assets due to a decrease in expenses that were expected to occur during the current fiscal year. 

Availability of Additional Information

You can find additional information about the Fund such as the prospectus, financial information, fund holdings and proxy voting at the website address or contact number included at the beginning of this shareholder report.

 

 

 

Simplify National Muni Bond ETF 

NMB

| NYSE Arca, Inc.

Annual Shareholder Report | June 30, 2025

This annual shareholder report contains important information about Simplify National Muni Bond ETF (the "Fund") for the period of September 9, 2024 to June 30, 2025. You can find additional information about the Fund at www.simplify.us/resources. You can also request this information by contacting us at (855) 772-8488.

 

 

What were the Fund’s costs for the period? 

(based on a hypothetical $10,000 investment)

Fund	Costs of a $10,000 investment	Costs paid as a percentage of a $10,000 investment
Simplify National Muni Bond ETF	$41Footnote Reference(1)	0.50%

Footnote	Description
Footnote(1)	Based on the period September 9, 2024 (commencement of operations) through June 30, 2025. Expenses would have been higher if based on the full reporting period.

Management's Discussion of Fund Performance

For the period September 9 2024, to June 30, 2025, NMB returned 2.80% vs. the Bloomberg Municipal Bond Index, return of -1.14% for the same period, outperforming the index by 3.94%.

 

The primary drivers of return were NMB’s long position in an actively managed municipal bond strategy and a risk-managed, income generating options selling strategy spread across a variety of instruments, which  included equity, fixed income, and commodity indices and ETFs. The municipal bond strategy detracted from performance during the period while the option selling strategy had strong performance adding to returns.

 

Looking forward, we anticipate the performance of NMB's municipal bond strategy will depend on interest rate movements and municipal-to-treasury ratios and the options selling strategy will depend on implied volatility and market trends.

 

Fund Performance

Growth of an Assumed $10,000 Investment

	Simplify National Muni Bond ETF- NAV	S&P 500 TR Index	Bloomberg Municipal Bond Index
9/9/24	$10,000	$10,000	$10,000
9/30/24	$10,095	$10,540	$10,042
12/31/24	$9,843	$10,794	$9,920
3/31/25	$9,289	$10,333	$9,898
6/30/25	$10,280	$11,464	$9,886

AVERAGE ANNUAL TOTAL RETURN Fund/Index	Since Inception 9/9/2024
Simplify National Muni Bond ETF - NAV	2.80%
S&P 500 TR Index	14.64%
Bloomberg Municipal Bond Index	-1.14%

The Fund's past performance is not a good predictor of future performance. The graph and table do not reflect deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares. 

Key Fund Statistics

The following table outlines key fund statistics that you should pay attention to. 

Fund net assets	$73,958,352
Total number of portfolio holdings	47
Total advisory fee paid	$349,350
Portfolio turnover rate	678%

Graphical Representation of Holdings

The table below shows the types of investments that make up the Fund as of the end of the reporting period.

Investment Categories	% of Net Assets
Municipal Bonds	85.1%
Money Market Funds	17.0%
Purchased Options	2.2%
Liabilities in Excess of Other Assets	(4.3)%
Total	100.0%

Availability of Additional Information

You can find additional information about the Fund such as the prospectus, financial information, fund holdings and proxy voting at the website address or contact number included at the beginning of this shareholder report.

 

 

 

Simplify Gamma Emerging Market Bond ETF 

GAEM

| NYSE Arca, Inc.

Annual Shareholder Report | June 30, 2025

This annual shareholder report contains important information about Simplify Gamma Emerging Market Bond ETF (the "Fund") for the period of August 12, 2024 to June 30, 2025. You can find additional information about the Fund at www.simplify.us/resources. You can also request this information by contacting us at (855) 772-8488.

 

 

What were the Fund’s costs for the period? 

(based on a hypothetical $10,000 investment)

Fund	Costs of a $10,000 investment	Costs paid as a percentage of a $10,000 investment
Simplify Gamma Emerging Market Bond ETF	$70Footnote Reference(1)	0.76%

Footnote	Description
Footnote(1)	Based on the period August 12, 2024 (commencement of operations) through June 30, 2025. Expenses would have been higher if based on the full reporting period.

Management's Discussion of Fund Performance

Since its inception on August 12, 2024, GAEM returned 9.42% vs. the benchmark J.P. Morgan EMBI Global Diversified Composite Index return of 7.29% for the same period.

 

GAEM's local currency-denominated positions in the Dominican Republic contributed to relative performance over the period as did allocations to the bonds of Republic of El Salvador & Republic of Argentina.

 

Looking forward, GAEM's sub-adviser intends to continue applying its on-the-ground presence and expertise in Latin American bonds to identify compelling investment opportunities with the potential to produce attractive yield in the portfolio without taking a meaningful step down in credit quality.

 

Fund Performance

Growth of an Assumed $10,000 Investment

	Simplify Gamma Emerging Market Bond ETF - NAV	J.P. Morgan EMBI Global Core Index (USD)	J.P. Morgan EMBI Global Diversified Composite Index - 081224
8/12/24	$10,000	$10,000	$10,000
9/30/24	$10,289	$10,377	$10,355
12/31/24	$10,395	$10,138	$10,154
3/31/25	$10,585	$10,347	$10,382
6/30/25	$10,942	$10,705	$10,727

AVERAGE ANNUAL TOTAL RETURN Fund/Index	Since Inception 8/12/2024
Simplify Gamma Emerging Market Bond ETF - NAV	9.42%
J.P. Morgan EMBI Global Core Index (USD)	7.05%
J.P. Morgan EMBI Global Diversified Composite Index - 081224	7.29%

The Fund's past performance is not a good predictor of future performance. The graph and table do not reflect deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares. 

Key Fund Statistics

The following table outlines key fund statistics that you should pay attention to. 

Fund net assets	$11,494,950
Total number of portfolio holdings	45
Total advisory fee paid	$73,744
Portfolio turnover rate	131%

Graphical Representation of Holdings

The table below shows the types of investments that make up the Fund as of the end of the reporting period.

Investment Categories	% of Net Assets
Foreign Bonds	92.5%
U.S. Treasury Bills	7.8%
Money Market Funds	0.1%
Liabilities in Excess of Other Assets	(0.4)%
Total	100.0%

Availability of Additional Information

You can find additional information about the Fund such as the prospectus, financial information, fund holdings and proxy voting at the website address or contact number included at the beginning of this shareholder report.

 

 

 

Simplify Kayne Anderson Energy and Infrastructure Credit ETF 

KNRG

| NYSE Arca, Inc.

Annual Shareholder Report | June 30, 2025

This annual shareholder report contains important information about Simplify Kayne Anderson Energy and Infrastructure Credit ETF (the "Fund") for the period of May 27, 2025 (commencement of operations) to June 30, 2025. You can find additional information about the Fund at www.simplify.us/resources. You can also request this information by contacting us at (855) 772-8488.

 

 

What were the Fund’s costs for the period? 

(based on a hypothetical $10,000 investment)

Fund	Costs of a $10,000 investment	Costs paid as a percentage of a $10,000 investment
Simplify Kayne Anderson Energy and Infrastructure Credit ETF	$7Footnote Reference(1)	0.75%

Footnote	Description
Footnote(1)	Based on the period May 27, 2025 (commencement of operations) through June 30, 2025. Expenses would have been higher if based on the full reporting period.

Management's Discussion of Fund Performance

Since its inception on May 27, 2025, KNRG returned 2.56% vs. ICE BofA US High Yield Index's return of 2.05% for the same period.

 

Over the short period, KNRG benefited from having a slightly longer duration than the index as treasury yields declined modestly, allowing price appreciation to compensate for earning a yield slightly below that of the index.

 

Looking forward, we anticipate KNRG will continue to exploit opportunities in the Energy Infrastructure space, using its wide remit to source attractive yield across the investment grade and high yield bond markets, hybrids, preferreds, and other security types.

Fund Performance

Growth of an Assumed $10,000 Investment

	Simplify Kayne Anderson Energy and Infrastructure Credit ETF- NAV	Bloomberg U.S. Aggregate Bond Index	ICE BofA US High Yield Index
5/27/25	$10,000	$10,000	$10,000
6/30/25	$10,256	$10,191	$10,205

AVERAGE ANNUAL TOTAL RETURN Fund/Index	Since Inception 5/27/2025
Simplify Kayne Anderson Energy and Infrastructure Credit ETF - NAV	2.56%
Bloomberg U.S. Aggregate Bond Index	1.91%
ICE BofA US High Yield Index	2.05%

The Fund's past performance is not a good predictor of future performance. The graph and table do not reflect deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares. 

Key Fund Statistics

The following table outlines key fund statistics that you should pay attention to. 

Fund net assets	$9,558,791
Total number of portfolio holdings	32
Total advisory fee paid	$5,769
Portfolio turnover rate	8%

Graphical Representation of Holdings

The table below shows the types of investments that make up the Fund as of the end of the reporting period.

Investment Categories	% of Net Assets
Corporate Bonds	96.7%
Preferred Stocks	1.0%
Money Market Funds	0.5%
Other Assets in Excess of Liabilities	1.8%
Total	100.0%

Availability of Additional Information

You can find additional information about the Fund such as the prospectus, financial information, fund holdings and proxy voting at the website address or contact number included at the beginning of this shareholder report.

 

 

 

 

(b)

Not applicable.

 

Item 2. Code of Ethics.

 

(a)

As of the end of the period covered by the report, the registrant has adopted a code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party.

 

(b)

Not applicable.

 

(c)

There have been no amendments to the registrant’s code of ethics that apply to its principal executive officer or principal financial officer or that relate to one or more of the items set forth in paragraph (b) of Item 2 on Form N-CSR.

 

(d)

During the period covered by this report, the Registrant has not granted any waivers, including an implicit waiver, from a provision of the code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party, that relates to one or more of the items set forth in paragraph (b) of this item’s instructions.

 

(e)

Not Applicable.

 

(f)

(1) See Item 19 (a)(1).

 

(2) Not applicable.

 

(3) Not applicable.

 

Item 3. Audit Committee Financial Expert.

 

As of the end of the period covered by the report, the registrant’s board of Trustees has determined that Christopher Caltagirone is qualified to serve as an audit committee financial expert serving on its audit committee and that he is “independent,” as defined by Item 3(b) of Form N-CSR.

 

Item 4. Principal Accountant Fees and Services.

 

Audit Fees

 

(a)

The aggregate fees billed for each of the last two fiscal years for professional services rendered by the principal accountant for the audit of the registrant’s annual financial statements or services that are normally provided by the accountant in connection with statutory and regulatory filings or engagements for those fiscal years are $515,900 for 2024 and $606,450 for 2025.

 

Audit-Related Fees

 

(b)

The aggregate fees billed in each of the last two fiscal years for assurance and related services by the principal accountant that are reasonably related to the performance of the audit of the registrant’s financial statements and are not reported under paragraph (a) of this Item are $0 for 2024 and $0 for 2025.

 

 

 

 

Tax Fees

 

(c)

The aggregate fees billed in each of the last two fiscal years for professional services rendered by the principal accountant for tax services in regard to the year-end audit, tax compliance, tax advice, and tax planning are $124,000 for 2024 and $163,000 for 2025.

 

All Other Fees

 

(d)

The aggregate fees billed in each of the last two fiscal years for products and services provided by the principal accountant, other than the services reported in paragraphs (a) through (c) of this Item are $0 for 2024 and $0 for 2025.

 

(e)

(1)

The audit committee’s pre-approval policies and procedures described in paragraph (c)(7) of Rule 2-01 of Regulation S-X are as follows:

 

(a)

Pre-Approval Requirements.

 

(i)

Pre-Approval Requirements. Before the Auditor is engaged by a Fund to render audit or non-audit services, either:

 

(A)

The Audit Committee shall pre-approve all auditing services and permissible non-audit services (e.g., tax services) provided to a Fund. The Audit Committee may delegate to one or more of its members the authority to grant pre-approvals. The decisions of any member to whom authority is delegated under this section shall be presented to the full Audit Committee at each of its scheduled meetings; or

 

(B)

The engagement to render the audit service or permissible non-audit service is entered into pursuant to pre-approval policies and procedures established by the Audit Committee. Any such policies and procedures must (1) be detailed as to the particular service and (2) not involve any delegation of the Audit Committee’s responsibilities to the Advisers. The Audit Committee must be informed of each service entered into pursuant to the policies and procedures. A copy of any such policies and procedures shall be attached as an exhibit to the Audit Committee Charter;

 

(ii)

De Minimis Exceptions to Pre-Approval Requirements. Pre-Approval for a service provided to a Fund other than audit, review or attest services is not required if: (1) the aggregate amount of all such non-audit services provided to a Fund constitutes not more than 5 percent of the total amount of revenues paid by a Fund to the Auditor during the fiscal year in which the non-audit services are provided; (2) such services were not recognized by a Fund at the time of the engagement to be non-audit services; and (3) such services are promptly brought to the attention of the Audit Committee and are approved by the Audit Committee or by one or more members of the Audit Committee to whom authority to grant such approvals has been delegated by the Audit Committee prior to the completion of the audit;

 

(iii)

Pre-Approval of Non-Audit Services Provided to the Advisers and Certain Control Persons. The Audit Committee shall pre-approve any non-audit services proposed to be provided by the Auditor to (a) the Advisers and (b) any entity controlling, controlled by, or under common control with the Advisers that provides ongoing services to a Fund, if the Auditor’s engagement with the Advisers or any such control persons relates directly to the operations and financial reporting of a Fund.

 

Application of De Minimis Exception. The De Minimis exception set forth above under Section 5(d)(ii) applies to pre-approvals under this Section (iii) as well, except that the “total amount of revenues” calculation is based on the total amount of revenues paid to the Auditor by a Fund and any other entity that has its services approved under this Section (i.e., the Advisers or any control person).

 

 

 

 

(e)

(2)

The percentage of services described in each of paragraphs (b) through (d) of this Item that were approved by the audit committee pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X are as follows:

 

(b)

N/A

 

(c)

100%

 

(d)

N/A

 

(f)

If greater than 50%, disclose the percentage of hours expended on the principal accountant’s engagement to audit the registrant’s financial statements for the most recent fiscal year that were attributed to work performed by persons other than the principal accountant’s full-time, permanent employees. Not applicable

 

(g)

The aggregate non-audit fees billed by the registrant’s accountant for services rendered to the registrant, and rendered to the registrant’s investment adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the registrant for each of the last two fiscal years of the registrant was $124,000 for 2024 and $163,000 for 2025.

 

(h)

Not applicable.

 

(i)

Not applicable.

 

(j)

Not applicable.

 

Item 5. Audit Committee of Listed Registrants.

 

(a)

The registrant has a separately designated audit committee consisting of all the independent trustees of the registrant. The members of the audit committee are Christopher Caltagirone, Craig Enders and Zung T. Nguyen.

 

(b)

Not applicable.

 

Item 6. Investments.

 

(a)

The Registrant’s schedule of investments in unaffiliated issuers is included in the financial statements filed under Item 7 of this Form.

 

(b)

Not applicable.

 

 

 

 

Item 7. Financial Statements and Financial Highlights for Open-End Management Investment Companies.

 

(a)

A copy of the report(s) of the Funds’ Financial Statements and Financial Highlights are attached.

 

 

 

 

 

 

June 30, 2025

 

Annual Financial Statements and

Other Important Information

 

Simplify Exchange Traded Funds

 

Simplify Aggregate Bond ETF (AGGH)

Simplify Barrier Income ETF (SBAR)

Simplify Bond Bull ETF (formerly Simplify Downside Interest Rate Hedge Strate-gy ETF) (RFIX)

Simplify China A Shares PLUS Income ETF (CAS)

Simplify Currency Strategy ETF (FOXY)

Simplify Enhanced Income ETF (HIGH)

Simplify Health Care ETF (PINK)

Simplify Hedged Equity ETF (HEQT)

Simplify High Yield ETF (formerly Simplify High Yield PLUS Credit Hedge ETF) (CDX)

Simplify Interest Rate Hedge ETF (PFIX)

Simplify Intermediate Term Treasury Futures Strategy ETF (TYA)

Simplify MBS ETF (MTBA)

Simplify NEXT Intangible Core Index ETF (NXTI)

Simplify Short Term Treasury Futures Strategy ETF (TUA)

Simplify Target 15 Distribution ETF (XV)

Simplify Treasury Option Income ETF (formerly Simplify Stable Income ETF) (BUCK)

Simplify US Equity PLUS Bitcoin Strategy ETF (formerly Simplify US Equity PLUS GBTC ETF) (SPBC)

Simplify US Equity PLUS Convexity ETF (SPYC)

Simplify US Equity PLUS Downside Convexity ETF (SPD)

Simplify US Equity PLUS Upside Convexity ETF (SPUC)

Simplify Bitcoin Strategy PLUS Income ETF (MAXI)

Simplify Gold Strategy PLUS Income ETF (YGLD)

Simplify Multi-QIS Alternative ETF (QIS)

Simplify Volatility Premium ETF (SVOL)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

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Simplify Exchange Traded Funds

Table of Contents

 

 

Schedule of Investments:
Simplify Aggregate Bond ETF		4
Simplify Barrier Income Strategy ETF		6
Simplify Bond Bull ETF		8
Simplify China A Shares PLUS Income ETF		10
Simplify Currency Strategy ETF		13
Simplify Enhanced Income ETF		16
Simplify Health Care ETF		18
Simplify Hedged Equity ETF		21
Simplify High Yield ETF		23
Simplify Interest Rate Hedge ETF		29
Simplify Intermediate Term Treasury Futures Strategy ETF		32
Simplify MBS ETF		33
Simplify NEXT Intangible Core Index ETF		34
Simplify Short Term Treasury Futures Strategy ETF		40
Simplify Target 15 Distribution ETF		41
Simplify Treasury Option Income ETF		43
Simplify US Equity PLUS Bitcoin Strategy ETF		45
Simplify US Equity PLUS Convexity ETF		47
Simplify US Equity PLUS Downside Convexity ETF		49
Simplify US Equity PLUS Upside Convexity ETF		51
Consolidated Schedule of Investments:
Simplify Bitcoin Strategy PLUS Income ETF		52
Simplify Gold Strategy PLUS Income ETF		54
Simplify Multi-QIS Alternative ETF		56
Simplify Volatility Premium ETF		89
Statements of Assets and Liabilities		94
Consolidated Statements of Assets and Liabilities		99
Statements of Operations		100
Consolidated Statements of Operations		105
Statements of Changes in Net Assets		106
Consolidated Statements of Changes in Net Assets		116
Statements of Cash Flows		118
Financial Highlights		120
Consolidated Financial Highlights		130
Notes to Financial Statements		132
Report of Independent Registered Public Accounting Firm		164
Additional Information		167

 

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

 

 

 

 

Simplify Aggregate Bond ETF

Schedule of Investments

June 30, 2025

 

 

		Shares				Value
U.S. Exchange-Traded Funds – 94.9%
Fixed Income Funds – 94.9%
iShares Core U.S. Aggregate Bond ETF(a)(b)
(Cost $301,782,026)			3,109,340			$	308,446,528

 

		Principal
U.S. Treasury Bills – 4.5%
U.S. Treasury Bill, 4.29%, 7/8/2025(c)		$	1,300,000				1,298,951
U.S. Treasury Bill, 4.31%, 7/29/2025(c)			4,900,000				4,884,178
U.S. Treasury Bill, 4.31%, 8/26/2025(b)(c)			3,000,000				2,979,852
U.S. Treasury Bill, 4.31%, 9/30/2025(b)(c)			5,500,000				5,441,643
Total U.S. Treasury Bills (Cost $14,616,675)							14,604,624
Total Investments – 99.4%
(Cost $316,398,701)						$	323,051,152
Liabilities in Excess of Other Assets – 0.6%							1,879,691
Net Assets – 100.0%						$	324,930,843

 

		Number of Contracts			Notional Amount
Written Options – (0.4)%
Calls – Exchange-Traded – (0.2)%
10-Year U.S. Treasury Note Futures, July Strike Price $112, Expires 7/25/25		(1,000)			$	(112,000,000	)		$	(750,000	)
Puts – Over the Counter – (0.0)%†
USD Curve, September Strike Price 0.4%, Expires 9/30/25 (Counterparty: Morgan Stanley Capital Services LLC)		(300,000,000)			$	—			$	—
Puts – Exchange-Traded – (0.2)%
U.S. Treasury Bond Future, July Strike Price $108, Expires 7/25/25		(848)			$	(91,584,000	)		$	(39,750	)
U.S. Treasury Bond Future, July Strike Price $112, Expires 7/25/25		(560)				(62,720,000	)			(166,250	)
U.S. Treasury Bond Future, July Strike Price $113, Expires 7/25/25		(560)				(63,280,000	)			(262,500	)
U.S. Treasury Bond Future, July Strike Price $114, Expires 7/25/25		(280)				(31,920,000	)			(205,625	)
										(674,125	)
Total Written Options (Premiums Received $2,712,023)									$	(1,424,125	)

 

At June 30, 2025, open futures contracts were as follows:

 

		Number of Contracts			Notional Value				Expiration Date			Value/ Unrealized Appreciation (Depreciation)
Long position contracts:
10-Year U.S. Treasury Note Futures		1,000			$	112,125,000			9/19/25			$	906,228
U.S. Treasury Bond Futures		500				57,734,375			9/19/25				343,750
Total net unrealized appreciation												$	1,249,978

 

See Notes to Financial Statements.

 

4

 

 

Simplify Aggregate Bond ETF

Schedule of Investments (Continued)

June 30, 2025

 

 

	†	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 $180,807,112 have been pledged as collateral for options and swaps as of June 30, 2025.
	(c)	Represents a zero coupon bond. Rate shown reflects the effective yield.

 

At June 30, 2025, centrally cleared interest rate swap contracts outstanding were as follows:

 

Rate Paid by Fund			Rate Received by the Fund(1)		Payment Frequency Paid/ received		Counterparty		Maturity Date		Notional Amount				Fair Value				Upfront Premium Paid/ (Received)				Unrealized Appreciation/ (depreciation)
4.39% (SOFR + 0.00%)			3.115		Annual/Annual		MSCS		12/15/2057			28,900,000			$	3,838,834			$	0			$	3,838,834
4.39% (SOFR + 0.00%)			3.776		Annual/Annual		MSCS		12/15/2057			20,000,000				538,791				0				538,791
4.39% (SOFR + 0.00%)			3.81		Annual/Annual		MSCS		12/15/2057			20,000,000				429,772				0				429,772
3.29			4.39% (SOFR + 0.00%)		Annual/Annual		MSCS		12/15/2037			64,900,000				(3,087,948	)			0				(3,087,948	)
															$	1,719,449							$	1,719,449

 

(1)

The Fund pays the fixed rate and receives the floating rate.

 

Abbreviations:

 

MSCS	:	Morgan Stanley Capital Services LLC
SOFR	:	Secured Overnight Financing Rate

 

Summary of Investment Type††

 

Investment Categories		% of Net Assets
U.S. Exchange-Traded Funds			94.9	%
U.S. Treasury Bills			4.5	%
Total Investments			99.4	%
Liabilities in Excess of Other Assets			0.6	%
Net Assets			100.0	%

 

††

The percentage shown for each investment category is the total value of investments in that category as a percentage of the net assets of the Fund. The table depicts the Fund’s investments but may not represent the Fund’s market exposure to certain derivatives, if any, which are included in Liabilities in Excess of Other Assets.

 

See Notes to Financial Statements.

 

5

 

 

Simplify Barrier Income ETF

Schedule of Investments

June 30, 2025

 

 

		Principal				Value
U.S. Treasury Bills – 100.0%
U.S. Treasury Bill, 4.33%, 8/12/2025(a)(b)		$	28,950,000			$	28,805,190
U.S. Treasury Bill, 4.31%, 8/26/2025(a)(b)			2,750,000				2,731,530
U.S. Treasury Bill, 4.32%, 9/30/2025(a)			3,700,000				3,660,742
Total U.S. Treasury Bills (Cost $35,199,075)							35,197,462

 

Total Investments – 100.0%
(Cost $35,199,075)		$	35,197,462
Liabilities in Excess of Other Assets – (0.0)%†			(17,165	)
Net Assets – 100.0%		$	35,180,297

 

		Number of Contracts			Notional Amount
Written Options – (1.7)%
Puts – Over the Counter Barrier Options – (1.7)%
SPX/RTY/NDX WOF, Expires 5/15/26, P100%/70% NC1 EKI (Counterparty: Morgan Stanley Capital Services LLC)		(640,000)			$	(448,000	)		$	(3,840	)
SPX/RTY/NDX WOF, Expires 6/5/26, P100%/70% NC3 EKI (Counterparty: HSBC Bank)		(650,000)				(455,000	)			(20,670	)
SPX/RTY/NDX WOF, Expires 6/5/26, P100%/70% NC3 EKI (Counterparty: Morgan Stanley Capital Services LLC)		(650,000)				(455,000	)			(13,000	)
SPX/RTY/NDX WOF, Expires 6/12/26, P100%/70% NC2 EKI (Counterparty: HSBC Bank)		(2,000,000)				(1,400,000	)			(46,600	)
SPX/RTY/NDX WOF, Expires 6/18/26, P100%/70% NC2 EKI (Counterparty: HSBC Bank)		(1,000,000)				(700,000	)			(23,200	)
SPX/RTY/NDX WOF, Expires 6/18/26, P100%/70% NC3 EKI (Counterparty: Nomura International)		(1,000,000)				(700,000	)			(24,500	)
SPX/RTY/NDX WOF, Expires 6/26/26, P100%/70% NC2 EKI (Counterparty: Nomura International)		(15,000,000)				(10,500,000	)			(483,000	)
										(614,810	)
Total Written Options (Premiums Received $647,855)									$	(614,810	)

 

	†	Less than 0.05%
	(a)	Represents a zero coupon bond. Rate shown reflects the effective yield.
	(b)	Securities with an aggregate market value of $9,039,448 have been pledged as collateral for options as of June 30, 2025.

 

Abbreviations:

 

KO - Knock Out. - Represents a knock-out option contract with a built-in mechanism to expire worthless if a specified price level in the underlying asset(s) is reached.

EKI - European Knock In. - Represents a knock-in option contract that begins to function as a normal option only once a certain price level is reached before expiration.

 

See Notes to Financial Statements.

 

6

 

 

Simplify Barrier Income ETF

Schedule of Investments (Continued)

June 30, 2025

 

 

Summary of Investment Type††

 

Investment Categories		% of Net Assets
U.S. Treasury Bills			100.0	%
Total Investments			100.0	%
Liabilities in Excess of Other Assets			(0.0	)%†
Net Assets			100.0	%

 

	†	Less than 0.05%
	††	The percentage shown for each investment category is the total value of investments in that category as a percentage of the net assets of the Fund. The table depicts the Fund’s investments but may not represent the Fund’s market exposure to certain derivatives, if any, which are included in Liabilities in Excess of Other Assets.

 

See Notes to Financial Statements.

 

7

 

 

Simplify Bond Bull ETF

Schedule of Investments

June 30, 2025

 

 

		Principal				Value
U.S. Treasury Bills – 106.0%
U.S. Treasury Bill, 4.28%, 7/8/2025(a)		$	23,000,000			$	22,981,442
U.S. Treasury Bill, 4.30%, 7/29/2025(a)(b)			5,500,000				5,482,241
U.S. Treasury Bill, 4.34%, 8/5/2025(a)(b)			18,000,000				17,925,551
U.S. Treasury Bill, 4.34%, 8/26/2025(a)(b)			11,700,000				11,621,421
U.S. Treasury Bill, 4.33%, 9/30/2025(a)(b)			105,000,000				103,885,913
Total U.S. Treasury Bills (Cost $161,893,802)							161,896,568

 

		Notional Amount
Purchased Swaptions – (6.2)%
Calls – Over the Counter – (6.2)%
Interest Rate Swaption, pay semi annually a fixed rate of 3.00% and received quarterly a floating rate of SOFR, Expires 5/3/50 (counterparty: Bank of America)			300,000,000				69,480
Interest Rate Swaption, pay semi annually a fixed rate of 2.75% and received quarterly a floating rate of SOFR, Expires 3/17/42 (counterparty: Goldman Sachs International)			725,000,000				(1,868,425	)
Interest Rate Swaption, pay semi annually a fixed rate of 3.00% and received quarterly a floating rate of SOFR, Expires 3/15/32 (counterparty: Goldman Sachs International)			1,200,000,000				(5,035,180	)
Interest Rate Swaption, pay semi annually a fixed rate of 2.75% and received quarterly a floating rate of SOFR, Expires 3/15/32 (counterparty: Morgan Stanley Capital Services LLC)			25,000,000				(279,323	)
Interest Rate Swaption, pay semi annually a fixed rate of 3.00% and received quarterly a floating rate of SOFR, Expires 3/15/32 (counterparty: Morgan Stanley Capital Services LLC)			700,000,000				(1,480,315	)
Interest Rate Swaption, pay semi annually a fixed rate of 3.00% and received quarterly a floating rate of SOFR, Expires 3/17/42 (counterparty: Nomura International)			175,000,000				(898,599	)
							(9,492,362	)
Total Purchased Swaptions (Cost $0)							(9,492,362	)
Total Investments – 99.8%
(Cost $161,893,802)						$	152,404,206
Other Assets in Excess of Liabilities – 0.2%							231,202
Net Assets – 100.0%						$	152,635,408

 

	(a)	Represents a zero coupon bond. Rate shown reflects the effective yield.
	(b)	Securities with an aggregate market value of $128,009,555 have been pledged as collateral for options as of June 30, 2025.

 

See Notes to Financial Statements.

 

8

 

 

Simplify Bond Bull ETF

Schedule of Investments (Continued)

June 30, 2025

 

 

Summary of Investment Type††

 

Investment Categories		% of Net Assets
U.S. Treasury Bills			106.0	%
Purchased Swaptions			(6.2	)%
Total Investments			99.8	%
Other Assets in Excess of Liabilities			0.2	%
Net Assets			100.0	%

 

††

The percentage shown for each investment category is the total value of investments in that category as a percentage of the net assets of the Fund. The table depicts the Fund’s investments but may not represent the Fund’s market exposure to certain derivatives, if any, which are included in Other Assets in Excess of Liabilities.

 

See Notes to Financial Statements.

 

9

 

 

Simplify China A Shares PLUS Income ETF

Schedule of Investments

June 30, 2025

 

 

		Principal				Value
U.S. Treasury Bills – 93.0%
U.S. Treasury Bill, 4.29%, 7/8/2025(a)		$	4,720,000			$	4,716,191
U.S. Treasury Bill, 4.30%, 7/29/2025(a)			250,000				249,193
U.S. Treasury Bill, 4.34%, 8/5/2025(a)(b)			4,600,000				4,580,974
U.S. Treasury Bill, 4.31%, 8/26/2025(a)(b)			800,000				794,627
U.S. Treasury Bill, 4.32%, 9/30/2025(a)			200,000				197,878
Total U.S. Treasury Bills (Cost $10,538,805)							10,538,863

 

		Number of Contracts			Notional Amount
Purchased Options – 3.7%
Calls – Exchange-Traded – 3.6%
S&P 500 Index, July Strike Price $6,200, Expires 7/03/25		19				11,780,000				59,565
S&P 500 Index, July Strike Price $6,300, Expires 7/07/25		17				10,710,000				7,344
S&P 500 Index, July Strike Price $6,275, Expires 7/09/25		40				25,100,000				67,800
S&P 500 Index, July Strike Price $6,300, Expires 7/18/25		40				25,200,000				131,200
S&P 500 Index, July Strike Price $6,500, Expires 7/31/25		75				48,750,000				73,125
S&P 500 Index, August Strike Price $6,400, Expires 8/15/25		10				6,400,000				47,400
S&P 500 Index, August Strike Price $6,650, Expires 8/15/25		26				17,290,000				16,770
										403,204
Puts – Exchange-Traded – 0.1%
Nasdaq 100 Index, July Strike Price $20,450, Expires 7/11/25(c)		1				2,045,000				540
Nasdaq 100 Index, July Strike Price $20,600, Expires 7/16/25(c)		1				2,060,000				1,535
Russell 2000 Index, July Strike Price $1,950, Expires 7/11/25(c)		11				2,145,000				798
S&P 500 Index, July Strike Price $5,800, Expires 7/02/25		15				8,700,000				150
S&P 500 Index, July Strike Price $5,900, Expires 7/03/25		17				10,030,000				425
S&P 500 Index, July Strike Price $6,000, Expires 7/07/25		15				9,000,000				3,150
S&P 500 Index, July Strike Price $5,620, Expires 7/11/25(c)		7				3,934,000				717
S&P 500 Index, July Strike Price $5,650, Expires 7/16/25(c)		7				3,955,000				2,100
SPDR Gold Shares, July Strike Price $285, Expires 7/09/25(c)		112				3,192,000				952
SPDR Gold Shares, July Strike Price $280, Expires 7/11/25(c)		113				3,164,000				848
										11,215
Total Purchased Options (Cost $294,909)										414,419
Total Investments – 96.7%
(Cost $10,833,714)									$	10,953,282
Other Assets in Excess of Liabilities – 3.3%										377,003
Net Assets – 100.0%									$	11,330,285

 

See Notes to Financial Statements.

 

10

 

 

Simplify China A Shares PLUS Income ETF

Schedule of Investments (Continued)

June 30, 2025

 

 

		Number of Contracts			Notional Amount				Value
Written Options – (0.3)%
Puts – Exchange-Traded – (0.3)%
Nasdaq 100 Index, July Strike Price $21,450, Expires 7/11/25		(1)			$	(2,145,000	)		$	(2,180	)
Nasdaq 100 Index, July Strike Price $21,600, Expires 7/16/25		(1)				(2,160,000	)			(5,285	)
Russell 2000 Index, July Strike Price $2,050, Expires 7/11/25		(11)				(2,255,000	)			(3,190	)
S&P 500 Index, July Strike Price $5,920, Expires 7/11/25		(7)				(4,144,000	)			(3,150	)
S&P 500 Index, July Strike Price $5,960, Expires 7/16/25		(7)				(4,172,000	)			(8,610	)
SPDR Gold Shares, July Strike Price $295, Expires 7/09/25		(112)				(3,304,000	)			(4,480	)
SPDR Gold Shares, July Strike Price $290, Expires 7/11/25		(113)				(3,277,000	)			(2,712	)
										(29,607	)
Total Written Options (Premiums Received $39,336)									$	(29,607	)

 

	(a)	Represents a zero coupon bond. Rate shown reflects the effective yield.
	(b)	Securities with an aggregate market value of $1,194,255 have been pledged as collateral for options and swaps as of June 30, 2025.
	(c)	Held in connection with written options.

 

Summary of Investment Type††

 

Investment Categories		% of Net Assets
U.S. Treasury Bills			93.0	%
Purchased Options			3.7	%
Total Investments			96.7	%
Other Assets in Excess of Liabilities			3.3	%
Net Assets			100.0	%

 

††

The percentage shown for each investment category is the total value of investments in that category as a percentage of the net assets of the Fund. The table depicts the Fund’s investments but may not represent the Fund’s market exposure to certain derivatives, if any, which are included in Other Assets in Excess of Liabilities.

 

At June 30, 2025, over the counter total return swap contracts outstanding were as follows:

 

Reference Obligation/Index

Termination Date(a)

Financing Rate Paid (Received) by the Fund

Counterparty

Notional Amount

Unrealized Appreciation/ (Depreciation)(b)

CSI 1000 Net Total Return Index

7/15/2025

(5.05)% (SOFR- 9.50%)(c)

BOFA

2,220,213

$

91,461

CSI 2000 Net Total Return Index

7/15/2025

(8.55)% (SOFR- 13.00%)(c)

BOFA

2,801,096

125,682

CSI 300 Net Return Index

7/15/2025

0.95% (SOFR- 3.50%)(c)

BOFA

3,792,259

89,873

CSI 500 Net Total Return Index

7/15/2025

(3.75)% (SOFR- 8.20%)(c)

BOFA

2,218,061

73,587

$

380,603

 

	(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.

 

See Notes to Financial Statements.

 

11

 

 

Simplify China A Shares PLUS Income ETF

Schedule of Investments (Continued)

June 30, 2025

 

 

U.S. Treasury Bill with a market value of $3,585,096 have been pledged as collateral by the broker for total return swaps as of June 30, 2025.

 

Abbreviations:

 

BOFA

:

Bank of America

 

See Notes to Financial Statements.

 

12

 

 

Simplify Currency Strategy ETF

Schedule of Investments

June 30, 2025

 

 

		Principal				Value
U.S. Treasury Bills – 97.7%
U.S. Treasury Bill, 4.28%, 7/8/2025(a)(b)		$	9,975,000			$	9,966,951
U.S. Treasury Bill, 4.30%, 7/29/2025(a)(b)			1,760,000				1,754,317
U.S. Treasury Bill, 4.33%, 8/26/2025(a)(b)			600,000				595,971
U.S. Treasury Bill, 4.32%, 9/30/2025(a)(b)			2,300,000				2,275,596
Total U.S. Treasury Bills (Cost $14,592,619)							14,592,835
Total Investments – 97.7%
(Cost $14,592,619)						$	14,592,835
Other Assets in Excess of Liabilities – 2.3%							351,138
Net Assets – 100.0%						$	14,943,973

 

	(a)	Represents a zero coupon bond. Rate shown reflects the effective yield.
	(b)	Securities with an aggregate market value of $5,168,275 have been pledged as collateral for forward foreign exchange currency contracts as of June 30, 2025.

 

As of June 30, 2025, the Fund had the following forward foreign currency contracts outstanding:

 

Counterparty		Settlement Date			Currency To Deliver				Currency To Receive				Unrealized Appreciation				Unrealized Depreciation
Bank of America		9/17/2025			AUD	15,900,000			USD	10,351,934			$	—			$	(130,140	)
Bank of America		9/17/2025			AUD	15,550,000			USD	10,200,878				—				(50,458	)
Morgan Stanley Capital Services		9/17/2025			AUD	14,430,000			USD	9,444,908				—				(68,067	)
Bank of America		9/17/2025			BRL	2,346,000			USD	408,000				—				(15,188	)
Goldman Sachs & Co.		9/17/2025			BRL	3,795,963			USD	676,000				—				(8,742	)
Goldman Sachs & Co.		9/17/2025			CAD	9,970,000			USD	7,291,779				—				(59,334	)
Goldman Sachs & Co.		9/17/2025			CAD	10,000,000			USD	7,407,981				34,749				—
The Bank of New York Mellon		9/17/2025			CAD	10,190,000			USD	7,450,154				—				(63,170	)
Morgan Stanley Capital Services		9/17/2025			CHF	14,470,000			USD	18,173,321				—				(248,446	)
Citigroup Global Markets		9/17/2025			CNH	8,297,010			USD	1,164,600				—				(2,012	)
Citigroup Global Markets		9/17/2025			CNH	1,162,868			USD	163,000				—				(507	)
Nomura Securities & Co.		9/17/2025			CNH	946,888			USD	133,000				—				(138	)
Citigroup Global Markets		9/17/2025			EUR	6,380,000			USD	7,454,105				—				(101,428	)
Morgan Stanley Capital Services		9/17/2025			EUR	8,240,000			USD	9,616,663				—				(141,580	)
The Bank of New York Mellon		9/17/2025			EUR	360,000			USD	415,737				—				(10,594	)
Citigroup Global Markets		9/17/2025			GBP	11,020,000			USD	14,777,776				—				(356,704	)
Nomura Securities & Co.		9/17/2025			GBP	10,130,000			USD	13,768,770				—				(143,416	)
The Bank of New York Mellon		9/17/2025			GBP	6,990,000			USD	9,441,016				—				(158,804	)
Citigroup Global Markets		9/17/2025			JPY	1,434,410,000			USD	9,967,514				—				(83,933	)
Nomura Securities & Co.		9/17/2025			JPY	1,025,870,000			USD	7,171,519				—				(17,136	)
Bank of America		9/17/2025			KRW	4,968,829,635			USD	3,662,438				—				(37,820	)
Citigroup Global Markets		9/17/2025			KRW	495,163,740			USD	367,000				—				(1,746	)
Citigroup Global Markets		9/17/2025			KRW	1,165,532,200			USD	860,000				—				(7,965	)
Citigroup Global Markets		9/17/2025			KRW	166,153,320			USD	123,000				—				(733	)
Goldman Sachs & Co.		9/17/2025			KRW	164,766,175			USD	120,000				—				(2,700	)
Goldman Sachs & Co.		9/17/2025			KRW	795,948,163			USD	585,000				—				(7,738	)

 

See Notes to Financial Statements.

 

13

 

 

Simplify Currency Strategy ETF

Schedule of Investments (Continued)

June 30, 2025

 

 

Counterparty		Settlement Date			Currency To Deliver				Currency To Receive				Unrealized Appreciation				Unrealized Depreciation
Bank of America		9/17/2025			NOK	173,180,000			USD	17,134,613			$	—			$	(55,506	)
Bank of America		9/17/2025			NOK	4,830,000			USD	477,441				—				(1,993	)
Bank of America		9/17/2025			SEK	4,360,000			USD	460,411				—				(2,875	)
Goldman Sachs & Co.		9/17/2025			SEK	2,870,000			USD	302,075				—				(2,886	)
Morgan Stanley Capital Services		9/17/2025			SEK	91,370,000			USD	9,729,285				20,461				—
Citigroup Global Markets		9/17/2025			SGD	3,920,086			USD	3,067,600				—				(33,524	)
Citigroup Global Markets		9/17/2025			SGD	206,122			USD	162,000				—				(1,060	)
Citigroup Global Markets		9/17/2025			SGD	240,471			USD	188,000				—				(2,233	)
The Bank of New York Mellon		9/17/2025			SGD	294,244			USD	231,000				—				(1,772	)
Bank of America		9/17/2025			TWD	125,444,130			USD	4,280,347				—				(41,602	)
Citigroup Global Markets		9/17/2025			TWD	4,339,290			USD	150,000				498				—
Morgan Stanley Capital Services		9/17/2025			TWD	12,603,059			USD	428,000				—				(6,216	)
Morgan Stanley Capital Services		9/17/2025			TWD	21,046,958			USD	726,000				865				—
Bank of America		9/17/2025			USD	10,372,588			AUD	15,900,000				109,485				—
Morgan Stanley Capital Services		9/17/2025			USD	9,356,245			AUD	14,430,000				156,731				—
Goldman Sachs & Co.		9/17/2025			USD	4,346,500			BRL	25,091,866				179,743				—
Goldman Sachs & Co.		9/17/2025			USD	124,000			BRL	697,179				1,762				—
Goldman Sachs & Co.		9/17/2025			USD	157,000			BRL	883,214				2,320				—
Goldman Sachs & Co.		9/17/2025			USD	61,000			BRL	341,915				677				—
Bank of America		9/17/2025			USD	353,440			CAD	480,000				476				—
Goldman Sachs & Co.		9/17/2025			USD	14,427,818			CAD	19,620,000				38,464				—
The Bank of New York Mellon		9/17/2025			USD	7,377,162			CAD	10,060,000				40,310				—
Citigroup Global Markets		9/17/2025			USD	309,495			CHF	250,000				8,780				—
Citigroup Global Markets		9/17/2025			USD	238,532			CHF	190,000				3,357				—
Morgan Stanley Capital Services		9/17/2025			USD	7,240,825			CHF	5,800,000				143,159				—
Citigroup Global Markets		9/17/2025			USD	3,706,500			COP	15,464,444,625				36,777				—
Citigroup Global Markets		9/17/2025			USD	270,000			COP	1,110,466,800				—				(1,204	)
Goldman Sachs & Co.		9/17/2025			USD	187,000			COP	769,927,620				—				(634	)
Morgan Stanley Capital Services		9/17/2025			USD	939,000			COP	3,936,288,000				13,806				—
Citigroup Global Markets		9/17/2025			USD	7,427,153			EUR	6,380,000				128,380				—
Morgan Stanley Capital Services		9/17/2025			USD	9,980,430			EUR	8,600,000				204,145				—
The Bank of New York Mellon		9/17/2025			USD	7,727,796			EUR	6,590,000				76,430				—
Citigroup Global Markets		9/17/2025			USD	14,192,537			GBP	10,430,000				131,658				—
Nomura Securities & Co.		9/17/2025			USD	13,718,331			GBP	10,130,000				193,854				—
Nomura Securities & Co.		9/17/2025			USD	14,827,465			GBP	11,000,000				279,547				—
Nomura Securities & Co.		9/17/2025			USD	531,764			GBP	390,000				3,849				—
The Bank of New York Mellon		9/17/2025			USD	792,535			GBP	590,000				17,750				—
The Bank of New York Mellon		9/17/2025			USD	9,498,355			GBP	6,990,000				101,465				—
Citigroup Global Markets		9/17/2025			USD	17,833,975			JPY	2,556,780,000				82,339				—
Nomura Securities & Co.		9/17/2025			USD	7,157,392			JPY	1,025,870,000				31,262				—
Citigroup Global Markets		9/17/2025			USD	532,000			KRW	725,961,880				8,619				—
Citigroup Global Markets		9/17/2025			USD	209,000			MXN	4,007,372				2,746				—
Citigroup Global Markets		9/17/2025			USD	734,000			MXN	14,179,048				15,207				—
Citigroup Global Markets		9/17/2025			USD	158,000			MXN	3,026,697				1,928				—

 

See Notes to Financial Statements.

 

14

 

 

Simplify Currency Strategy ETF

Schedule of Investments (Continued)

June 30, 2025

 

 

Counterparty		Settlement Date			Currency To Deliver				Currency To Receive				Unrealized Appreciation				Unrealized Depreciation
Goldman Sachs & Co.		9/17/2025			USD	179,000			MXN	3,440,971			$	2,817			$	—
Goldman Sachs & Co.		9/17/2025			USD	3,091,100			MXN	59,995,234				78,987				—
Bank of America		9/17/2025			USD	7,347,153			NOK	73,350,000				—				(66,316	)
Goldman Sachs & Co.		9/17/2025			USD	10,443,921			SEK	98,600,000				33,151				—
Citigroup Global Markets		9/17/2025			USD	708,000			TWD	20,451,076				—				(3,395	)
Morgan Stanley Capital Services		9/17/2025			USD	479,000			TWD	13,545,402				—				(12,318	)
Morgan Stanley Capital Services		9/17/2025			USD	1,174,300			ZAR	21,079,336				9,402				—
Nomura Securities & Co.		9/17/2025			USD	95,000			ZAR	1,720,558				1,617				—
The Bank of New York Mellon		9/17/2025			USD	140,000			ZAR	2,520,682				1,548				—
The Bank of New York Mellon		9/17/2025			USD	53,000			ZAR	944,759				53				—
Total unrealized appreciation (depreciation)													$	2,199,174			$	(1,952,033	)

 

Currency Abbreviations
AUD	Australian Dollar
BRL	Brazilian Real
CAD	Canadian Dollar
CHF	Swiss Franc
CNH	Chinese Yuan
COP	Colombian Peso
EUR	Euro
GBP	Pound Sterling
JPY	Japanese Yen
KRW	South Korean Won
MXN	Mexican Peso
NOK	Norwegian Krone
SEK	Swedish Krona
SGD	Singapore Dollar
TWD	New Taiwan Dollar
USD	U.S. Dollar
ZAR	South African Rand

 

Summary of Investment Type††

 

Investment Categories		% of Net Assets
U.S. Treasury Bills			97.7	%
Total Investments			97.7	%
Other Assets in Excess of Liabilities			2.3	%
Net Assets			100.0	%

 

††

The percentage shown for each investment category is the total value of investments in that category as a percentage of the net assets of the Fund. The table depicts the Fund’s investments but may not represent the Fund’s market exposure to certain derivatives, if any, which are included in Other Assets in Excess of Liabilities.

 

See Notes to Financial Statements.

 

15

 

 

Simplify Enhanced Income ETF

Schedule of Investments

June 30, 2025

 

 

		Principal				Value
U.S. Treasury Bills – 96.2%
U.S. Treasury Bill, 4.29%, 7/8/2025(a)		$	28,000,000			$	27,977,407
U.S. Treasury Bill, 4.30%, 7/29/2025(a)			1,500,000				1,495,157
U.S. Treasury Bill, 4.34%, 8/5/2025(a)(b)			136,500,000				135,935,425
U.S. Treasury Bill, 4.32%, 8/26/2025(a)			7,600,000				7,548,957
U.S. Treasury Bill, 4.32%, 9/30/2025(a)			12,000,000				11,872,676
Total U.S. Treasury Bills (Cost $184,828,563)							184,829,622

 

		Number of Contracts			Notional Amount
Purchased Options – 3.7%
Calls – Exchange-Traded – 3.6%
S&P 500 Index, July Strike Price $6,200, Expires 7/03/25		339				210,180,000				1,062,765
S&P 500 Index, July Strike Price $6,300, Expires 7/07/25		287				180,810,000				123,984
S&P 500 Index, July Strike Price $6,275, Expires 7/09/25		686				430,465,000				1,162,770
S&P 500 Index, July Strike Price $6,300, Expires 7/18/25		671				422,730,000				2,200,880
S&P 500 Index, July Strike Price $6,500, Expires 7/31/25		1,287				836,550,000				1,254,825
S&P 500 Index, August Strike Price $6,400, Expires 8/15/25		175				112,000,000				829,500
S&P 500 Index, August Strike Price $6,650, Expires 8/15/25		438				291,270,000				282,510
										6,917,234
Puts – Exchange-Traded – 0.1%
Nasdaq 100 Index, July Strike Price $20,450, Expires 7/11/25(c)		19				38,855,000				10,260
Nasdaq 100 Index, July Strike Price $20,600, Expires 7/16/25(c)		19				39,140,000				29,165
Russell 2000 Index, July Strike Price $1,950, Expires 7/11/25(c)		194				37,830,000				14,065
S&P 500 Index, July Strike Price $5,800, Expires 7/02/25		256				148,480,000				2,560
S&P 500 Index, July Strike Price $5,900, Expires 7/03/25		293				172,870,000				7,325
S&P 500 Index, July Strike Price $6,000, Expires 7/07/25		250				150,000,000				52,500
S&P 500 Index, July Strike Price $5,620, Expires 7/11/25(c)		128				71,936,000				13,120
S&P 500 Index, July Strike Price $5,650, Expires 7/16/25(c)		126				71,190,000				37,800
SPDR Gold Shares, July Strike Price $285, Expires 7/09/25(c)		1,904				54,264,000				16,184
SPDR Gold Shares, July Strike Price $280, Expires 7/11/25(c)		1,952				54,656,000				14,640
										197,619
Total Purchased Options (Cost $5,037,800)										7,114,853
Total Investments – 99.9%
(Cost $189,866,363)									$	191,944,475
Other Assets in Excess of Liabilities – 0.1%										221,969
Net Assets – 100.0%									$	192,166,444

 

See Notes to Financial Statements.

 

16

 

 

Simplify Enhanced Income ETF

Schedule of Investments (Continued)

June 30, 2025

 

 

		Number of Contracts			Notional Amount				Value
Written Options – (0.3)%
Puts – Exchange-Traded – (0.3)%
Nasdaq 100 Index, July Strike Price $21,450, Expires 7/11/25		(19)			$	(40,755,000	)		$	(41,420	)
Nasdaq 100 Index, July Strike Price $21,600, Expires 7/16/25		(19)				(41,040,000	)			(100,415	)
Russell 2000 Index, July Strike Price $2,050, Expires 7/11/25		(194)				(39,770,000	)			(56,260	)
S&P 500 Index, July Strike Price $5,920, Expires 7/11/25		(128)				(75,776,000	)			(57,600	)
S&P 500 Index, July Strike Price $5,960, Expires 7/16/25		(126)				(75,096,000	)			(154,980	)
SPDR Gold Shares, July Strike Price $295, Expires 7/09/25		(1,904)				(56,168,000	)			(76,160	)
SPDR Gold Shares, July Strike Price $290, Expires 7/11/25		(1,952)				(56,608,000	)			(46,848	)
										(533,683	)
Total Written Options (Premiums Received $709,038)									$	(533,683	)

 

	(a)	Represents a zero coupon bond. Rate shown reflects the effective yield.
	(b)	Securities with an aggregate market value of $43,817,840 have been pledged as collateral for options as of June 30, 2025.
	(c)	Held in connection with Written Options.

 

Summary of Investment Type††

 

Investment Categories		% of Net Assets
U.S. Treasury Bills			96.2	%
Purchased Options			3.7	%
Total Investments			99.9	%
Other Assets in Excess of Liabilities			0.1	%
Net Assets			100.0	%

 

††

The percentage shown for each investment category is the total value of investments in that category as a percentage of the net assets of the Fund. The table depicts the Fund’s investments but may not represent the Fund’s market exposure to certain derivatives, if any, which are included in Other Assets in Excess of Liabilities.

 

See Notes to Financial Statements.

 

17

 

 

Simplify Health Care ETF

Schedule of Investments

June 30, 2025

 

 

		Shares				Value
Common Stocks – 96.0%
Consumer Discretionary – 5.2%
Chewy, Inc., Class A*			6,389			$	272,299
National Vision Holdings, Inc.*			281,211				6,470,665
							6,742,964
Consumer Staples – 3.9%
Philip Morris International, Inc.			27,969				5,093,994
Health Care – 78.6%
Abbott Laboratories			9,794				1,332,082
AbbVie, Inc.			18,384				3,412,438
ADMA Biologics, Inc.*			380,289				6,925,063
agilon health, Inc.*			100,152				230,350
Alignment Healthcare, Inc.*			120,321				1,684,494
Arcutis Biotherapeutics, Inc.*			409,432				5,740,237
Argenx SE, ADR*			1,467				808,640
AstraZeneca PLC, ADR			32,451				2,267,676
Benitec Biopharma, Inc.*			69,173				809,324
Biohaven Ltd.*			96,389				1,360,049
Boston Scientific Corp.*			7,103				762,933
Bristol-Myers Squibb Co.			524				24,256
Cardinal Health, Inc.			23,229				3,902,472
Cencora, Inc.			8,753				2,624,587
Cigna Group (The)			1,530				505,787
Cooper Cos., Inc. (The)*			6,224				442,900
CVS Health Corp.			46,904				3,235,438
Danaher Corp.			18,245				3,604,117
Dexcom, Inc.*			20,650				1,802,538
Edwards Lifesciences Corp.*			8,830				690,594
Eli Lilly & Co.			14,117				11,004,625
Embecta Corp.			1,383				13,401
Establishment Labs Holdings, Inc.*			1,966				83,968
Eyepoint Pharmaceuticals, Inc.*			79,472				747,831
Fulcrum Therapeutics, Inc.*			73,154				503,299
GE HealthCare Technologies, Inc.			24,776				1,835,158
Genedx Holdings Corp., Class A*			56,463				5,212,100
Gilead Sciences, Inc.			52,890				5,863,914
Guardant Health, Inc.*			26,582				1,383,327
Icon PLC*			731				106,324
Insmed, Inc.*			15,480				1,557,907
Insulet Corp.*			1,006				316,065
Intuitive Surgical, Inc.*			8,699				4,727,124
IQVIA Holdings, Inc.*			7,940				1,251,265
Johnson & Johnson			10,005				1,528,264
Leap Therapeutics, Inc.*			857,360				254,550
Ligand Pharmaceuticals, Inc.*			5,970				678,670
LivaNova PLC*			8,515				383,345
Nektar Therapeutics*			51,998				1,343,628
Neurocrine Biosciences, Inc.*			46,497				5,844,208
Pacira Biosciences, Inc.*			120,843				2,888,148
Praxis Precision Medicines, Inc.*			180				7,569
Quest Diagnostics, Inc.			8,161				1,465,960

 

See Notes to Financial Statements.

 

18

 

 

Simplify Health Care ETF

Schedule of Investments (Continued)

June 30, 2025

 

 

		Shares				Value
Common Stocks (continued)
Health Care (continued)
Regeneron Pharmaceuticals, Inc.			3,697			$	1,940,925
ResMed, Inc.			10,005				2,581,290
Revvity, Inc.			14,426				1,395,283
Sanofi SA, ADR			20,716				1,000,790
Sarepta Therapeutics Inc*			3,615				61,816
Stryker Corp.			1,098				434,402
Syndax Pharmaceuticals, Inc.*			25,049				234,584
Teleflex, Inc.			655				77,526
Tg Therapeutics, Inc.*			10,133				364,687
Thermo Fisher Scientific, Inc.			2,147				870,523
Ultragenyx Pharmaceutical, Inc.*			15,210				553,036
UnitedHealth Group, Inc.			4,005				1,249,440
Vertex Pharmaceuticals, Inc.*			1,081				481,261
Zimmer Biomet Holdings, Inc.			2,026				184,791
							102,596,979
Industrials – 2.9%
3M Co.			1,553				236,429
Fluor Corp*			68,174				3,495,281
Veralto Corp.			384				38,765
							3,770,475
Materials – 5.4%
PureCycle Technologies, Inc.*			519,017				7,110,533
Total Common Stocks (Cost $119,125,162)							125,314,945
Money Market Funds – 4.0%
Fidelity Investments Money Market Treasury Only Portfolio - Class I, 4.15%(a)
(Cost $5,238,910)			5,238,910				5,238,910
Total Investments – 100.0%
(Cost $124,364,072)						$	130,553,855
Other Assets in Excess of Liabilities – 0.0%†							13,885
Net Assets – 100.0%						$	130,567,740

 

*	Non Income Producing
†	Less than 0.05%
(a)	Rate shown reflects the 7-day yield as of June 30, 2025.

 

ADR

:

American Depositary Receipt

 

See Notes to Financial Statements.

 

19

 

 

Simplify Health Care ETF

Schedule of Investments (Continued)

June 30, 2025

 

 

Affiliates

 

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

 

Affiliate		Value at beginning of the period				Purchases Cost				Sales Proceeds				Net Realized Gain/(Loss)				Net Change in Unrealized Appreciation/ Depreciation				Value at the end of the period				Number of Shares at the end of the period				Dividend Income				Capital Gain Distributions
Simplify Short Term Treasury Futures Strategy ETF		$	—			$	16,440,133			$	(16,499,580	)		$	59,447			$	—			$	—				—			$	67,350			$	—
		$	—			$	16,440,133			$	(16,499,580	)		$	59,447			$	—			$	—				—			$	67,350			$	—

 

Summary of Investment Type††

 

Investment Categories		% of Net Assets
Common Stocks			96.0	%
Money Market Funds			4.0	%
Total Investments			100.0	%
Other Assets in Excess of Liabilities			0.0	%†
Net Assets			100.0	%

 

	†	Less than 0.05%
	††	The percentage shown for each investment category is the total value of investments in that category as a percentage of the net assets of the Fund. The table depicts the Fund’s investments but may not represent the Fund’s market exposure to certain derivatives, if any, which are included in Other Assets in Excess of Liabilities.

 

See Notes to Financial Statements.

 

20

 

 

Simplify Hedged Equity ETF

Schedule of Investments

June 30, 2025

 

 

		Shares				Value
U.S. Exchange-Traded Funds – 104.8%
Equity Funds – 104.8%
iShares Core S&P 500 ETF(a)(b)
(Cost $322,587,209)			559,643			$	347,482,339

 

		Number of Contracts			Notional Amount
Purchased Options – 0.4%
Puts – Exchange-Traded – 0.4%
S&P 500 Index, July Strike Price $4,970, Expires 7/18/25(c)		184			$	91,448,000				17,020
S&P 500 Index, August Strike Price $5,610, Expires 8/15/25(c)		180				100,980,000				350,100
S&P 500 Index, September Strike Price $5,690, Expires 9/19/25(c)		182				103,558,000				966,420
										1,333,540
Total Purchased Options (Cost $6,379,841)										1,333,540

 

		Shares
Money Market Funds – 0.1%
Fidelity Investments Money Market Treasury Only Portfolio - Class I, 4.15%(d)
(Cost $222,455)			222,455				222,455
Total Investments – 105.3%
(Cost $329,189,505)						$	349,038,334
Liabilities in Excess of Other Assets – (5.3)%							(17,411,877	)
Net Assets – 100.0%						$	331,626,457

 

		Number of Contracts			Notional Amount
Written Options – (5.2)%
Calls – Exchange-Traded – (5.1)%
S&P 500 Index, July Strike Price $5,580, Expires 7/18/25		(184)			$	(102,672,000	)		$	(11,726,320	)
S&P 500 Index, August Strike Price $6,200, Expires 8/15/25		(180)				(111,600,000	)			(2,549,700	)
S&P 500 Index, September Strike Price $6,280, Expires 9/19/25		(182)				(114,296,000	)			(2,733,640	)
										(17,009,660	)
Puts – Exchange-Traded – (0.1)%
S&P 500 Index, July Strike Price $4,175, Expires 7/18/25		(184)			$	(76,820,000	)		$	(4,600	)
S&P 500 Index, August Strike Price $4,725, Expires 8/15/25		(180)				(85,050,000	)			(72,900	)
S&P 500 Index, September Strike Price $4,790, Expires 9/19/25		(182)				(87,178,000	)			(216,580	)
										(294,080	)
Total Written Options (Premiums Received $6,845,279)									$	(17,303,740	)

 

	(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 $152,753,818 have been pledged as collateral for options as of June 30, 2025.
	(c)	Held in connection with Written Options.
	(d)	Rate shown reflects the 7-day yield as of June 30, 2025.

 

See Notes to Financial Statements.

 

21

 

 

Simplify Hedged Equity ETF

Schedule of Investments (Continued)

June 30, 2025

 

 

Summary of Investment Type††

 

Investment Categories		% of Net Assets
U.S. Exchange-Traded Funds			104.8	%
Purchased Options			0.4	%
Money Market Funds			0.1	%
Total Investments			105.3	%
Liabilities in Excess of Other Assets			(5.3	)%
Net Assets			100.0	%

 

††

The percentage shown for each investment category is the total value of investments in that category as a percentage of the net assets of the Fund. The table depicts the Fund’s investments but may not represent the Fund’s market exposure to certain derivatives, if any, which are included in Liabilities in Excess of Other Assets.

 

See Notes to Financial Statements.

 

22

 

 

Simplify High Yield ETF

Schedule of Investments

June 30, 2025

 

 

		Principal				Value
U.S. Treasury Bills – 97.5%
U.S. Treasury Bill, 4.29%, 7/8/2025(a)(b)		$	37,600,000			$	37,569,661
U.S. Treasury Bill, 4.31%, 7/29/2025(a)(b)			7,700,000				7,675,137
U.S. Treasury Bill, 4.34%, 8/5/2025(a)(b)			95,900,000				95,503,350
U.S. Treasury Bill, 4.31%, 8/26/2025(a)(b)			41,900,000				41,618,595
U.S. Treasury Bill, 4.32%, 9/30/2025(a)(b)			57,600,000				56,988,844
Total U.S. Treasury Bills (Cost $239,355,078)							239,355,587

 

		Shares
U.S. Exchange-Traded Funds – 0.6%
Fixed Income Funds – 0.6%
Simplify Intermediate Term Treasury Futures Strategy ETF(c)
(Cost $1,398,579)			105,000				1,416,450
Money Market Funds – 0.5%
Fidelity Investments Money Market Treasury Only Portfolio - Class I, 4.15%(d)
(Cost $1,112,414)			1,112,414				1,112,414

 

		Number of Contracts			Notional Amount
Purchased Options – 0.2%
Calls – Over-the Counter – 0.1%
USD/HKD, July Strike Price $7.8, Expires 7/08/25 (counterparty: JP Morgan)		50,000,000				3,900,000				287,982
Puts – Exchange-Traded – 0.1%
S&P 500 Index, August Strike Price $4,900, Expires 8/15/25		500				245,000,000				262,500
Total Purchased Options (Cost $855,614)										550,482

 

Total Investments – 98.8%
(Cost $242,721,685)		$	242,434,933
Other Assets in Excess of Liabilities – 1.2%			2,892,856
Net Assets – 100.0%		$	245,327,789

 

		Number of Contracts			Notional Amount
Written Option – (0.1)%
Puts – Exchange-Traded – (0.1)%
S&P 500 Index, August Strike Price $4,700, Expires 8/15/25 (Premiums Received $766,201)		(650)				(305,500,000	)		$	(260,000	)

 

	(a)	Represents a zero coupon bond. Rate shown reflects the effective yield.
	(b)	Securities with an aggregate market value of $27,561,163 have been pledged as collateral for options and swaps as of June 30, 2025.
	(c)	Affiliated fund managed by Simplify Asset Management Inc.
	(d)	Rate shown reflects the 7-day yield as of June 30, 2025.

 

See Notes to Financial Statements.

 

23

 

 

Simplify High Yield ETF

Schedule of Investments (Continued)

June 30, 2025

 

 

Affiliates

 

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

 

Affiliate		Value at beginning of the period				Purchases Cost				Sales Proceeds				Net Realized Gain/(Loss)				Net Change in Unrealized Appreciation/ Depreciation				Value at the end of the period				Number of Shares at the end of the period				Dividend Income				Capital Gain Distributions
Simplify Bond Bull ETF		$	—			$	3,351,642			$	(3,577,554	)		$	225,912			$	—			$	—				—			$	10,910			$	—
Simplify Intermediate Term Treasury Futures Strategy ETF			—				1,398,579				—				—				17,871				1,416,450				105,000				17,850				—
		$	—			$	4,750,221			$	(3,577,554	)		$	225,912			$	17,871			$	1,416,450				105,000			$	28,760			$	—

 

Summary of Investment Type††

 

Investment Categories		% of Net Assets
U.S. Treasury Bills			97.5	%
U.S. Exchange-Traded Funds			0.6	%
Money Market Funds			0.5	%
Purchased Options			0.2	%
Total Investments			98.8	%
Other Assets in Excess of Liabilities			1.2	%
Net Assets			100.0	%

 

††

The percentage shown for each investment category is the total value of investments in that category as a percentage of the net assets of the Fund. The table depicts the Fund’s investments but may not represent the Fund’s market exposure to certain derivatives, if any, which are included in Other Assets in Excess of Liabilities.

 

At June 30, 2025, centrally cleared credit default swap contracts outstanding were as follows:

 

Reference Entity		Maturity Date		Buy/Sell Protection		(Pay)/ Receive Financing Rate(1)		Counterparty			Notional Amount(2)				Fair Value				Premium (Paid)/ Received				Unrealized Appreciation/ (Depreciation)
CDX.NA.HY.44		06/20/2030		Buy(3)		5.00%		MSCS				19,200,000			$	(1,470,923	)		$	1,122,725			$	(348,198	)

 

	(1)	Payments received quarterly.
	(2)	The maximum amount of future payments (undiscounted) that the Fund as seller of protection could be required to make or receive as a buyer of credit protection under a credit default swap agreement would be an amount equal to the notional amount of the agreement.
	(3)	If the Fund is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation, other deliverable obligations or underlying securities comprising the referenced index or ii) receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index.

 

See Notes to Financial Statements.

 

24

 

 

Simplify High Yield ETF

Schedule of Investments (Continued)

June 30, 2025

 

 

At June 30, 2025, over the counter total return swap contracts outstanding were as follows:

 

Reference Obligation/Index

Termination Date(a)

Financing Rate Paid (Received) by the Fund

Counterparty

Notional Amount

Unrealized Appreciation/ (Depreciation)(b)

iShares iBoxx $ High Yield Corporate Bond ETF

3/13/2026

3.93% (EFFR - 0.40%)(c)

GS

64,841,801

$

843,555

iShares iBoxx $ High Yield Corporate Bond ETF

4/15/2026

3.83% (EFFR - 0.50%)(c)

BOFA

73,691,709

919,098

iShares iBoxx $ High Yield Corporate Bond ETF

5/15/2026

3.83% (EFFR - 0.50%)(c)

MSCS

101,923,647

1,307,396

Morgan Stanley Custom Junk Index*

2/17/2026

4.08% (EFFR - 0.25%)(c)

MSCS

(45,260,188

)

(424,548

)

Morgan Stanley Custom Quality Index*

2/17/2026

4.68% (EFFR + 0.35%)(c)

MSCS

59,653,819

604,684

$

3,250,185

 

*

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.

 

U.S. Treasury Bills with a market value of $53,579,622 have been pledged as collateral by the broker for total return swaps as of June 30, 2025.

 

Abbreviations:

 

BOFA	:	Bank of America
EFFR	:	Effective Federal Funds Rate
GS	:	Goldman Sachs
MSCS	:	Morgan Stanley Capital Services LLC

 

*

The following table shows the top 50 positions and related Market Value of the securities within the Morgan Stanley Custom Junk Index basket.

 

		Shares				Market Value				% of basket
Common Stocks
Communication Services
Charter Communications Inc, Class A			(1,298	)		$	(530,775	)			1.16	%
Sirius XM Holdings Inc.			(20,684	)			(475,104	)			1.04	%
Warner Bros Discovery, Inc.			(44,031	)			(504,590	)			1.10	%
ZoomInfo Technologies Inc.			(45,343	)			(458,867	)			1.00	%
							(1,969,336	)
Consumer Discretionary
Caesars Entertainment Inc.			(17,462	)			(495,753	)			1.08	%
Capri Holdings Ltd.			(26,033	)			(460,782	)			1.01	%
Carnival Corp.			(19,109	)			(537,358	)			1.17	%
Lithia Motors Inc.			(1,335	)			(450,872	)			0.99	%
Marriott Vacations Worldwide Corp.			(6,714	)			(485,489	)			1.06	%
MGM Resorts International			(13,286	)			(456,893	)			1.00	%
Norwegian Cruise Line Holdings Ltd.			(24,820	)			(503,347	)			1.10	%
Penn Entertainment Inc.			(27,470	)			(490,880	)			1.07	%
RH			(2,393	)			(452,302	)			0.99	%

 

See Notes to Financial Statements.

 

25

 

 

Simplify High Yield ETF

Schedule of Investments (Continued)

June 30, 2025

 

 

		Shares								% of basket
Common Stocks (continued)
Consumer Discretionary (continued)
Whirlpool Corp.			(4,558	)		$	(462,286	)			1.01	%
							(4,795,962	)
Consumer Staples
Dollar General Corp.			(4,059	)			(464,240	)			1.01	%
Health Care
Acadia Healthcare Co Inc.			(21,448	)			(486,645	)			1.06	%
DENTSPLY SIRONA Inc.			(28,435	)			(451,550	)			0.99	%
Elanco Animal Health Inc.			(32,378	)			(462,362	)			1.01	%
Envista Holdings Corp.			(23,866	)			(466,337	)			1.02	%
Perrigo Co PLC			(16,972	)			(453,481	)			0.99	%
Tenet Healthcare Corp.			(2,758	)			(485,406	)			1.06	%
Viatris Inc.			(51,443	)			(459,386	)			1.01	%
							(3,265,167	)
Industrials
Air Lease Corp.			(7,968	)			(466,040	)			1.02	%
Alaska Air Group Inc.			(9,284	)			(459,378	)			1.00	%
Amentum Holdings Inc.			(20,070	)			(473,845	)			1.04	%
American Airlines Group Inc.			(41,557	)			(466,271	)			1.02	%
Avis Budget Group Inc.			(3,552	)			(600,399	)			1.31	%
Clarivate PLC			(105,588	)			(454,028	)			0.99	%
Delta Air Lines Inc.			(9,724	)			(478,214	)			1.05	%
GXO Logistics Inc.			(10,471	)			(509,934	)			1.11	%
Ryder System Inc.			(3,028	)			(481,402	)			1.05	%
Sensata Technologies Holding PLC			(15,866	)			(477,723	)			1.04	%
Southwest Airlines Co.			(14,614	)			(474,072	)			1.04	%
United Airlines Holdings Inc.			(6,061	)			(482,621	)			1.06	%
WESCO International Inc.			(2,565	)			(474,976	)			1.04	%
							(6,298,903	)
Information Technology
BILL Holdings Inc.			(10,788	)			(499,035	)			1.09	%
Coherent Corp.			(5,609	)			(500,367	)			1.09	%
Entegris, Inc.			(5,789	)			(466,865	)			1.02	%
HP Inc.			(18,835	)			(460,704	)			1.01	%
Intel Corp.			(25,667	)			(574,950	)			1.26	%
Kyndryl Holdings Inc.			(11,237	)			(471,514	)			1.03	%
Lumentum Holdings Inc.			(5,281	)			(501,977	)			1.10	%
MKS Inc.			(4,839	)			(480,796	)			1.05	%
RingCentral Inc, Class A			(16,733	)			(474,391	)			1.04	%
Unity Software Inc.			(18,564	)			(449,259	)			0.98	%
							(4,879,858	)
Materials
Albemarle Corp.			(7,542	)			(472,651	)			1.03	%
Alcoa Corp.			(15,614	)			(460,779	)			1.01	%
Chemours Co. (The)			(41,405	)			(474,089	)			1.04	%
Mosaic Co/The			(12,850	)			(468,768	)			1.02	%
Olin Corp.			(22,314	)			(448,287	)			0.98	%
							(2,324,574	)

 

See Notes to Financial Statements.

 

26

 

 

Simplify High Yield ETF

Schedule of Investments (Continued)

June 30, 2025

 

 

		Shares								% of basket
Common Stocks (continued)
Materials (continued)
Other Components			(1,897,023	)		$	(21,686,695	)			47.55	%
Total						$	(45,684,735	)			100.00	%

 

*

The following table shows the top 50 positions and related Market Value of the securities within the Morgan Stanley Custom Quality Index basket.

 

		Shares				Market Value				% of basket
Common Stocks
Communication Services
Meta Platforms Inc, Class A			850			$	627,239				1.04	%
Omnicom Group Inc.			8,444				607,480				1.01	%
							1,234,719
Consumer Discretionary
AutoZone Inc.			166				614,731				1.02	%
Home Depot, Inc. (The)			1,688				618,745				1.03	%
Lowe’s Cos Inc.			2,761				612,660				1.01	%
O’Reilly Automotive Inc.			6,771				610,281				1.01	%
TopBuild Corp.			1,986				642,945				1.07	%
Yum! Brands Inc.			4,204				622,902				1.03	%
							3,722,264
Energy
Antero Midstream Corp.			32,820				621,943				1.03	%
DT Midstream Inc.			5,683				624,572				1.03	%
							1,246,515
Financials
Aon PLC, Class A			1,705				608,126				1.01	%
Brown & Brown Inc.			5,570				617,502				1.02	%
Cboe Global Markets Inc.			2,658				619,848				1.03	%
Fiserv Inc.			3,619				623,883				1.03	%
Intercontinental Exchange Inc.			3,319				608,850				1.01	%
Nasdaq Inc.			6,884				615,532				1.02	%
S&P Global Inc.			1,182				623,007				1.03	%
							4,316,748
Health Care
Elevance Health Inc.			1,585				616,369				1.02	%
Henry Schein Inc.			8,432				615,981				1.02	%
IDEXX Laboratories Inc.			1,128				605,213				1.00	%
Molina Healthcare Inc.			2,056				612,398				1.02	%
ResMed Inc.			2,371				611,654				1.01	%
Stryker Corp.			1,582				625,957				1.04	%
							3,687,572
Industrials
Allegion plc			4,384				631,831				1.05	%
Broadridge Financial Solutions Inc.			2,497				606,758				1.00	%
CACI International Inc, Class A			1,337				637,399				1.05	%
Comfort Systems USA Inc.			1,191				638,719				1.06	%
Core & Main Inc, Class A			10,655				643,020				1.06	%
Leidos Holdings Inc.			4,025				634,946				1.05	%
Loar Holdings Inc.			7,271				626,556				1.04	%
Masco Corp.			9,548				614,527				1.02	%

 

See Notes to Financial Statements.

 

27

 

 

Simplify High Yield ETF

Schedule of Investments (Continued)

June 30, 2025

 

 

		Shares								% of basket
Common Stocks (continued)
Industrials (continued)
Nvent Electric PLC			8,475			$	620,826				1.03	%
Pentair PLC			6,103				626,578				1.04	%
SS&C Technologies Holdings Inc.			7,411				613,643				1.02	%
							6,894,803
Information Technology
Amphenol Corp, Class A			6,390				630,984				1.05	%
Applied Materials Inc.			3,380				618,706				1.02	%
Autodesk Inc.			1,994				617,145				1.02	%
Bentley Systems Inc, Class B			11,924				643,532				1.07	%
Cisco Systems Inc.			9,108				631,919				1.05	%
Intuit Inc.			777				611,858				1.01	%
Microsoft Corp.			1,245				619,423				1.03	%
Motorola Solutions Inc.			1,464				615,708				1.02	%
Oracle Corp.			2,826				617,955				1.02	%
							5,607,230
Materials
Crown Holdings Inc.			5,877				605,193				1.00	%
Element Solutions Inc.			27,662				626,546				1.04	%
Sherwin-Williams Co/The			1,777				610,177				1.01	%
							1,841,916
Real Estate
Omega Healthcare Investors Inc.			16,542				606,266				1.00	%
Utilities
CenterPoint Energy Inc.			16,588				609,444				1.01	%
Edison International			12,341				636,778				1.06	%
NRG Energy Inc.			3,876				622,408				1.03	%
							1,868,630
Other Components			508,487				29,231,838				48.60	%
Total						$	60,258,501				100.00	%

 

See Notes to Financial Statements.

 

28

 

 

Simplify Interest Rate Hedge ETF

Schedule of Investments

June 30, 2025

 

 

		Principal				Value
U.S. Treasury Bills – 61.1%
U.S. Treasury Bill, 4.29%, 7/8/2025(a)(b)		$	11,500,000			$	11,490,721
U.S. Treasury Bill, 4.30%, 7/29/2025(a)			5,700,000				5,681,595
U.S. Treasury Bill, 4.34%, 8/5/2025(a)			51,100,000				50,888,843
U.S. Treasury Bill, 4.30%, 8/26/2025(a)(b)			17,700,000				17,581,125
U.S. Treasury Bill, 4.32%, 9/30/2025(a)(b)			9,900,000				9,794,958
Total U.S. Treasury Bills (Cost $95,437,677)							95,437,242
U.S. Government Obligations – 28.1%
U.S. Treasury Note, 0.25%, 9/30/2025(b)
(Cost $43,714,253)		$	44,225,000				43,786,740

 

		Notional Amount
Purchased Swaptions – 10.1%
Puts – Over the Counter – 10.1%
Interest Rate Swaption, pay semi annually a fixed rate of 4.50% and received quarterly a floating rate of SOFR, Expires 6/16/32 (counterparty: Barclays Bank PLC)(c)			65,000,000				(359,543	)
Interest Rate Swaption, pay semi annually a fixed rate of 4.50% and received quarterly a floating rate of SOFR, Expires 5/14/50 (counterparty: Goldman Sachs International)			465,000,000				395,835
Interest Rate Swaption, pay semi annually a fixed rate of 4.50% and received quarterly a floating rate of SOFR, Expires 6/21/52 (counterparty: Goldman Sachs International)			330,000,000				(843,623	)
Interest Rate Swaption, pay semi annually a fixed rate of 4.50% and received quarterly a floating rate of SOFR, Expires 6/16/32 (counterparty: J&P Morgan Chase & Co.)			135,000,000				(716,218	)
Interest Rate Swaption, pay semi annually a fixed rate of 4.50% and received quarterly a floating rate of SOFR, Expires 5/13/30 (counterparty: Morgan Stanley Capital Services LLC)(c)			1,045,000,000				17,303,822
							15,780,273
Total Purchased Swaptions (Cost $0)							15,780,273

 

		Shares
Money Market Funds – 0.2%
Fidelity Investments Money Market Treasury Only Portfolio - Class I, 4.15%(d)
(Cost $337,138)			337,138				337,138
Total Investments – 99.5%
(Cost $139,489,068)						$	155,341,393
Other Assets in Excess of Liabilities – 0.5%							709,846
Net Assets – 100.0%						$	156,051,239

 

See Notes to Financial Statements.

 

29

 

 

Simplify Interest Rate Hedge ETF

Schedule of Investments (Continued)

June 30, 2025

 

 

		Notional Amount				Value
Written Swaption – 0.4%
Puts – Over the Counter – 0.4%
Interest Rate Swaption, pay semi annually a fixed rate of 4.50% and received quarterly a floating rate of SOFR, Expires 5/01/50 (counterparty: Goldman Sachs International)			(300,000,000	)		$	648,645
Total Written Swaption (Cost $0)							648,645

 

	(a)	Represents a zero coupon bond. Rate shown reflects the effective yield.
	(b)	Securities with an aggregate market value of $25,048,226 have been pledged as collateral for purchased swaptions as of June 30, 2025.
	(c)	U.S. Treasury Notes with a market value of $5,336,778 have been pledged as collateral by the broker for purchased swaptions as of June 30, 2025.
	(d)	Rate shown reflects the 7-day yield as of June 30, 2025.

 

See Notes to Financial Statements.

 

30

 

 

Simplify Interest Rate Hedge ETF

Schedule of Investments (Continued)

June 30, 2025

 

 

At June 30, 2025, centrally cleared interest rate swap contracts outstanding were as follows:

 

Rate Paid by Fund

Rate Received by the Fund(1)

Payment Frequency Paid/ received

Counterparty

Maturity Date

Notional Amount

Fair Value

Upfront Premium Paid/ (Received)

Unrealized Appreciation/ (depreciation)

0.0211

4.39% (1 Day SOFR + 0.00%)

Annual/Annual

MSCS

05/15/2048

10,000

$

2,458

$

0

$

2,458

 

(1)

The Fund pays the fixed rate and receives the floating rate.

 

Abbreviations:
MSCS	:	Morgan Stanley Capital Services LLC
SOFR	:	Secured Overnight Financing Rate

 

Summary of Investment Type††

 

Investment Categories		% of Net Assets
U.S. Treasury Bills			61.1	%
U.S. Government Obligations			28.1	%
Purchased Swaptions			10.1	%
Money Market Funds			0.2	%
Total Investments			99.5	%
Other Assets in Excess of Liabilities			0.5	%
Net Assets			100.0	%

 

††

The percentage shown for each investment category is the total value of investments in that category as a percentage of the net assets of the Fund. The table depicts the Fund’s investments but may not represent the Fund’s market exposure to certain derivatives, if any, which are included in Other Assets in Excess of Liabilities.

 

See Notes to Financial Statements.

 

31

 

 

Simplify Intermediate Term Treasury Futures Strategy ETF

Schedule of Investments

June 30, 2025

 

 

		Principal				Value
U.S. Treasury Bills – 98.6%
U.S. Treasury Bill, 4.29%, 7/8/2025(a)(b)		$	6,750,000			$	6,744,554
U.S. Treasury Bill, 4.30%, 7/29/2025(a)(b)			33,000,000				32,893,445
U.S. Treasury Bill, 4.35%, 8/5/2025(a)(b)			83,300,000				82,955,465
U.S. Treasury Bill, 4.31%, 8/26/2025(a)(b)			12,200,000				12,118,063
U.S. Treasury Bill, 4.33%, 9/30/2025(a)(b)			16,000,000				15,830,234
Total U.S. Treasury Bills (Cost $150,547,169)							150,541,761

 

		Shares
Money Market Fund – 0.1%
Fidelity Investments Money Market Treasury Only Portfolio - Class I, 4.15%(c)
(Cost $145,315)			145,315				145,315
Total Investments – 98.7%
(Cost $150,692,484)						$	150,687,076
Other Assets in Excess of Liabilities – 1.3%							1,999,696
Net Assets – 100.0%						$	152,686,772

 

	(a)	Represents a zero coupon bond. Rate shown reflects the effective yield.
	(b)	Securities with an aggregate market value of $51,415,829 have been pledged as collateral for futures as of June 30, 2025.
	(c)	Rate shown reflects the 7-day yield as of June 30, 2025.

 

At June 30, 2025, open futures contracts were as follows:

 

		Number of Contracts			Notional Value				Expiration Date			Value/ Unrealized Appreciation (Depreciation)
Long position contracts:
10-Year U.S. Treasury Note Futures		4,077			$	457,133,625			9/19/25			$	8,336,338

 

Summary of Investment Type††

 

Investment Categories		% of Net Assets
U.S. Treasury Bills			98.6	%
Money Market Fund			0.1	%
Total Investments			98.7	%
Other Assets in Excess of Liabilities			1.3	%
Net Assets			100.0	%

 

††

The percentage shown for each investment category is the total value of investments in that category as a percentage of the net assets of the Fund. The table depicts the Fund’s investments but may not represent the Fund’s market exposure to certain derivatives, if any, which are included in Other Assets in Excess of Liabilities.

 

See Notes to Financial Statements.

 

32

 

 

Simplify MBS ETF

Schedule of Investments

June 30, 2025

 

 

		Principal				Value
U.S. Government Agency Mortgage Backed Securities – 99.7%
Federal National Mortgage Association, 5.00%, 7/15/2055 (TBA)		$	25,000,000			$	24,504,349
Federal National Mortgage Association, 5.50%, 7/15/2055 (TBA)			1,103,750,000				1,103,720,618
Federal National Mortgage Association, 6.00%, 7/15/2055 (TBA)			236,250,000				240,187,969
Total U.S. Government Agency Mortgage Backed Securities (Cost $1,348,374,319)							1,368,412,936
U.S. Treasury Bills – 98.3%
U.S. Treasury Bill, 4.29%, 7/8/2025(a)			88,500,000				88,428,591
U.S. Treasury Bill, 4.32%, 7/29/2025(a),(b)			246,300,000				245,504,712
U.S. Treasury Bill, 4.32%, 8/5/2025(a)			11,500,000				11,452,435
U.S. Treasury Bill, 4.33%, 8/12/2025(a)			737,300,000				733,611,967
U.S. Treasury Bill, 4.31%, 8/26/2025(a)			17,300,000				17,183,811
U.S. Treasury Bill, 4.32%, 9/30/2025(a)			256,600,000				253,877,384
Total U.S. Treasury Bills (Cost $1,350,066,119)							1,350,058,900

 

		Shares
Money Market Funds – 0.1%
Fidelity Investments Money Market Treasury Only Portfolio - Class I, 4.15% (c)
(Cost $733,778)			733,778				733,778
Total Investments – 198.1%
(Cost $2,699,174,216)						$	2,719,205,614
Liabilities in Excess of Other Assets – (98.1)%							(1,346,299,869	)
Net Assets – 100.0%						$	1,372,905,745

 

	(a)	Represents a zero coupon bond. Rate shown reflects the effective yield.
	(b)	Security, or a portion there of, in the amount of $77,748,060 has been pledged as collateral for TBAs as of June 30, 2025.
	(c)	Rate shown reflects the 7-day yield as of June 30, 2025.

 

Portfolio Abbreviations:

 

TBA

:

To Be Announced

 

Summary of Investment Type††

 

Investment Categories		% of Net Assets
U.S. Government Agency Mortgage Backed Securities			99.7	%
U.S. Treasury Bills			98.3	%
Money Market Funds			0.1	%
Total Investments			198.1	%
Liabilities in Excess of Other Assets			(98.1	)%
Net Assets			100.0	%

 

††

The percentage shown for each investment category is the total value of investments in that category as a percentage of the net assets of the Fund. The table depicts the Fund’s investments but may not represent the Fund’s market exposure to certain derivatives, if any, which are included in Liabilities in Excess of Other Assets.

 

See Notes to Financial Statements.

 

33

 

 

Simplify NEXT Intangible Core Index ETF

Schedule of Investments

June 30, 2025

 

 

		Shares				Value
Common Stocks – 99.6%
Communication Services – 5.2%
Electronic Arts, Inc.			57			$	9,103
Live Nation Entertainment, Inc.*			15				2,269
Match Group, Inc.			58				1,792
New York Times Co. (The), Class A			37				2,071
News Corp., Class B			130				4,460
Paramount Global, Class B			42				542
Pinterest, Inc., Class A*			149				5,343
Reddit, Inc., Class A*			41				6,173
Snap, Inc., Class A*			385				3,346
Spotify Technology SA*			46				35,298
Take-Two Interactive Software, Inc.*			40				9,714
							80,111
Consumer Discretionary – 6.8%
Airbnb, Inc., Class A*			46				6,088
AutoZone Inc*			1				3,712
Best Buy Co, Inc.			27				1,812
Booking Holdings, Inc.			3				17,368
Burlington Stores, Inc.*			9				2,094
Carvana Co., Class A*			12				4,044
Chewy, Inc., Class A*			62				2,642
Deckers Outdoor Corp.*			17				1,752
DoorDash, Inc., Class A*			31				7,642
DraftKings Inc, Class A*			28				1,201
Duolingo, Inc.*			11				4,510
Expedia Group, Inc.			10				1,687
Flutter Entertainment PLC*			10				2,858
GameStop Corp., Class A*			75				1,829
Home Depot, Inc. (The)			53				19,432
Light & Wonder, Inc.*			5				481
Lowe’s Cos, Inc.			30				6,656
Lululemon Athletica, Inc.*			18				4,276
O’Reilly Automotive, Inc.*			67				6,039
Ralph Lauren Corp.			8				2,194
Tractor Supply Co.			28				1,478
Ulta Beauty, Inc.*			6				2,807
Williams-Sonoma, Inc.			16				2,614
							105,216
Consumer Staples – 10.5%
Albertsons Cos., Inc., Class A			76				1,635
BJ’s Wholesale Club Holdings, Inc.*			17				1,833
Clorox Co. (The)			14				1,681
Coca-Cola Co. (The)			229				16,202
Colgate-Palmolive Co.			89				8,090
Estee Lauder Cos., Inc. (The), Class A			36				2,909
Hershey Co. (The)			10				1,659
Kellanova			19				1,511
Kimberly-Clark Corp.			33				4,254
Kroger Co. (The)			88				6,312
Monster Beverage Corp.*			51				3,195

 

See Notes to Financial Statements.

 

34

 

 

Simplify NEXT Intangible Core Index ETF

Schedule of Investments (Continued)

June 30, 2025

 

 

		Shares				Value
Common Stocks (continued)
Consumer Staples (continued)
PepsiCo, Inc.			73			$	9,639
Philip Morris International, Inc.			82				14,935
Sprouts Farmers Market, Inc.*			14				2,305
Sysco Corp.			25				1,894
Target Corp.			57				5,623
Walmart, Inc.			790				77,246
							160,923
Energy – 3.6%
Baker Hughes Co.			78				2,991
Exxon Mobil Corp.			323				34,819
Marathon Petroleum Corp.			24				3,987
Phillips 66			30				3,579
Targa Resources Corp.			18				3,133
Williams Cos., Inc. (The)			109				6,846
							55,355
Financials – 12.1%
Aflac, Inc.			28				2,953
Allstate Corp. (The)			14				2,818
American Express Co.			37				11,802
American International Group, Inc.			30				2,568
Ameriprise Financial Inc.			5				2,669
Arch Capital Group Ltd.			20				1,821
Arthur J Gallagher & Co.			14				4,482
Berkshire Hathaway, Inc., Class B*			112				54,406
Blackstone, Inc.			63				9,424
Brown & Brown, Inc.			15				1,663
Coinbase Global, Inc., Class A*			12				4,206
Hartford Insurance Group, Inc. (The)			15				1,903
LPL Financial Holdings Inc.			4				1,500
Marsh & McLennan Cos., Inc.			27				5,903
Mastercard, Inc., Class A			91				51,137
Progressive Corp. (The)			32				8,539
Prudential Financial, Inc.			18				1,934
Robinhood Markets, Inc., Class A*			44				4,120
Toast, Inc., Class A*			134				5,935
Tradeweb Markets, Inc., Class A			11				1,610
Travelers Cos., Inc. (The)			12				3,210
W R Berkley Corp.			20				1,469
							186,072
Health Care – 9.6%
ACADIA Pharmaceuticals, Inc.*			66				1,424
Agilent Technologies, Inc.			26				3,068
Align Technology, Inc.*			29				5,491
Alkermes PLC*			70				2,003
Alnylam Pharmaceuticals Inc*			52				16,957
Axsome Therapeutics, Inc.*			22				2,297
Blueprint Medicines Corp.*			26				3,333
Bridgebio Pharma, Inc.*			72				3,109
Cigna Group (The)			14				4,628

 

See Notes to Financial Statements.

 

35

 

 

Simplify NEXT Intangible Core Index ETF

Schedule of Investments (Continued)

June 30, 2025

 

 

		Shares				Value
Common Stocks (continued)
Health Care (continued)
Corcept Therapeutics, Inc.*			42			$	3,083
CVS Health Corp.			62				4,277
Elevance Health, Inc.			12				4,667
Exelixis, Inc.*			112				4,936
Glaukos Corp.*			21				2,169
Guardant Health, Inc.*			49				2,550
Henry Schein, Inc.*			49				3,579
Hims & Hers Health, Inc.*			46				2,293
Humana, Inc.			6				1,467
IDEXX Laboratories, Inc.*			32				17,163
Incyte Corp.*			77				5,244
Insmed, Inc.*			56				5,636
Inspire Medical Systems, Inc.*			12				1,557
Ionis Pharmaceuticals, Inc.*			64				2,529
Irhythm Technologies, Inc.*			13				2,001
Madrigal Pharmaceuticals, Inc.*			9				2,724
Mettler-Toledo International Inc*			2				2,349
Natera, Inc.*			54				9,123
Penumbra, Inc.*			15				3,849
PTC Therapeutics, Inc.*			32				1,563
Rhythm Pharmaceuticals, Inc.*			28				1,769
Tempus AI, Inc., Class A*			32				2,033
Tg Therapeutics, Inc.*			71				2,555
UnitedHealth Group, Inc.			46				14,351
Waters Corp.*			6				2,094
							147,871
Industrials – 7.8%
3M Co.			53				8,069
CACI International Inc, Class A*			5				2,384
Cummins Inc.			10				3,275
Dover Corp.			10				1,832
Fastenal Co.			57				2,394
Ferguson Enterprises, Inc.			10				2,178
GE Vernova, Inc.			24				12,700
General Electric Co.			85				21,878
Honeywell International, Inc.			49				11,411
Illinois Tool Works, Inc.			22				5,440
Lennox International, Inc.			4				2,293
Lyft, Inc., Class A*			101				1,592
Otis Worldwide Corp.			20				1,980
Rockwell Automation, Inc.			26				8,636
Rollins, Inc.			48				2,708
Uber Technologies, Inc.*			156				14,555
United Parcel Service, Inc., Class B			61				6,157
Veralto Corp.			22				2,221
WW Grainger, Inc.			5				5,201
Xylem, Inc.			18				2,328
							119,232

 

See Notes to Financial Statements.

 

36

 

 

Simplify NEXT Intangible Core Index ETF

Schedule of Investments (Continued)

June 30, 2025

 

 

		Shares				Value
Common Stocks (continued)
Information Technology – 41.6%
Adobe, Inc.*			102			$	39,462
Appfolio, Inc., Class A*			8				1,842
Applied Materials, Inc.			55				10,069
AppLovin Corp, Class A*			87				30,457
Atlassian Corp., Class A*			66				13,404
Aurora Innovation, Inc., Class A*			418				2,190
Autodesk, Inc.*			49				15,169
Cadence Design Systems, Inc.*			62				19,105
Ciena Corp.*			32				2,602
Cloudflare Inc, Class A*			79				15,471
Commvault Systems, Inc.*			10				1,743
Confluent, Inc., Class A*			80				1,994
Dell Technologies, Inc., Class C			155				19,003
DocuSign, Inc.*			58				4,518
Dropbox, Inc., Class A*			67				1,916
Dynatrace, Inc.*			70				3,865
Elastic NV*			26				2,193
F5, Inc.*			13				3,826
Fair Isaac Corp.*			5				9,140
Fortinet, Inc.*			179				18,924
Gartner, Inc.*			8				3,234
Gitlab, Inc., Class A*			44				1,985
GoDaddy Inc, Class A*			33				5,942
Guidewire Software, Inc.*			20				4,709
HP, Inc.			219				5,357
HubSpot, Inc.*			13				7,236
International Business Machines Corp.			202				59,545
Intuit, Inc.			64				50,408
Juniper Networks, Inc.			77				3,075
Keysight Technologies, Inc.*			17				2,786
Klaviyo, Inc., Class A*			62				2,082
Kyndryl Holdings, Inc.*			52				2,182
Lam Research Corp.			88				8,566
Lattice Semiconductor Corp.*			31				1,519
Manhattan Associates, Inc.*			14				2,765
MongoDB, Inc.*			21				4,410
Motorola Solutions, Inc.			39				16,398
NetApp, Inc.			48				5,114
Nutanix, Inc., Class A*			68				5,198
Palantir Technologies, Inc., Class A*			455				62,026
Pegasystems, Inc.			40				2,165
Procore Technologies, Inc.*			36				2,463
Pure Storage Inc, Class A*			82				4,721
Qorvo, Inc.*			21				1,783
QUALCOMM, Inc.			239				38,063
Rubrik, Inc., Class A*			48				4,300
Samsara, Inc., Class A*			160				6,365
Seagate Technology Holdings PLC			48				6,928
ServiceNow, Inc.*			48				49,348

 

See Notes to Financial Statements.

 

37

 

 

Simplify NEXT Intangible Core Index ETF

Schedule of Investments (Continued)

June 30, 2025

 

 

		Shares				Value
Common Stocks (continued)
Information Technology (continued)
Synopsys, Inc.*			36			$	18,456
Trimble Inc*			23				1,747
UiPath, Inc., Class A*			133				1,702
Unity Software, Inc.*			98				2,372
Vertex, Inc., Class A*			42				1,484
Workday, Inc., Class A*			63				15,120
Zscaler, Inc.*			35				10,988
							639,435
Materials – 1.2%
CRH PLC			35				3,213
DuPont de Nemours, Inc.			31				2,127
Ecolab, Inc.			21				5,658
Sherwin-Williams Co. (The)			14				4,807
Vulcan Materials Co.			11				2,869
							18,674
Real Estate – 0.1%
CBRE Group, Inc., Class A*			15				2,102
Utilities – 1.1%
Consolidated Edison, Inc.			32				3,211
Dominion Energy, Inc.			76				4,295
NiSource, Inc.			41				1,654
NRG Energy, Inc.			17				2,730
Vistra Corp.			28				5,427
							17,317
Total Common Stocks (Cost $1,342,063)							1,532,308
Money Market Funds – 0.4%
Fidelity Investments Money Market Treasury Only Portfolio - Class I, 4.15%(a)
(Cost $6,045)			6,045				6,045
Total Investments – 100.0%
(Cost $1,348,108)						$	1,538,353
Other Assets in Excess of Liabilities – 0.0%†							334
Net Assets – 100.0%						$	1,538,687

 

	*	Non Income Producing
	†	Less than 0.05%
	(a)	Rate shown reflects the 7-day yield as of June 30, 2025.

 

Summary of Investment Type††

 

Investment Categories		% of Net Assets
Common Stocks			99.6	%
Money Market Funds			0.4	%
Total Investments			100.0	%
Other Assets in Excess of Liabilities			0.0	%†
Net Assets			100.0	%

 

See Notes to Financial Statements.

 

38

 

 

Simplify NEXT Intangible Core Index ETF

Schedule of Investments (Continued)

June 30, 2025

 

 

†

Less than 0.05%

††

The percentage shown for each investment category is the total value of investments in that category as a percentage of the net assets of the Fund. The table depicts the Fund’s investments but may not represent the Fund’s market exposure to certain derivatives, if any, which are included in Other Assets in Excess of Liabilities.

 

See Notes to Financial Statements.

 

39

 

 

Simplify Short Term Treasury Futures Strategy ETF

Schedule of Investments

June 30, 2025

 

 

		Principal				Value
U.S. Treasury Bills – 99.8%
U.S. Treasury Bill, 4.29%, 7/8/2025(a)(b)		$	7,100,000			$	7,094,271
U.S. Treasury Bill, 4.31%, 7/29/2025(a)(b)			185,600,000				185,000,709
U.S. Treasury Bill, 4.34%, 8/5/2025(a)(b)			422,500,000				420,752,506
U.S. Treasury Bill, 4.31%, 8/26/2025(a)(b)			25,000,000				24,832,097
U.S. Treasury Bill, 4.33%, 9/30/2025(a)(b)			27,500,000				27,208,216
Total U.S. Treasury Bills (Cost $664,893,368)							664,887,799
Total Investments – 99.8%
(Cost $664,893,368)						$	664,887,799
Other Assets in Excess of Liabilities – 0.2%							1,282,934
Net Assets – 100.0%						$	666,170,733

 

	(a)	Represents a zero coupon bond. Rate shown reflects the effective yield.
	(b)	Securities with an aggregate market value of $233,370,369 have been pledged as collateral for futures as of June 30, 2025.

 

At June 30, 2025, open futures contracts were as follows:

 

		Number of Contracts			Notional Value				Expiration Date			Value/ Unrealized Appreciation (Depreciation)
Long position contracts:
U.S. 2 Years Note (CBT)		16,479			$	3,428,018,235			9/30/25			$	11,989,733

 

Summary of Investment Type††

 

Investment Categories		% of Net Assets
U.S. Treasury Bills			99.8	%
Total Investments			99.8	%
Other Assets in Excess of Liabilities			0.2	%
Net Assets			100.0	%

 

††

The percentage shown for each investment category is the total value of investments in that category as a percentage of the net assets of the Fund. The table depicts the Fund’s investments but may not represent the Fund’s market exposure to certain derivatives, if any, which are included in Other Assets in Excess of Liabilities.

 

See Notes to Financial Statements.

 

40

 

 

Simplify Target 15 Distribution ETF

Schedule of Investments

June 30, 2025

 

 

		Principal				Value
U.S. Treasury Bills – 101.2%
U.S. Treasury Bill, 4.33%, 8/12/2025(a)(b)		$	27,250,000			$	27,113,693
U.S. Treasury Bill, 4.32%, 8/26/2025(a)(b)			16,500,000				16,389,184
U.S. Treasury Bill, 4.32%, 9/30/2025(a)(b)			4,500,000				4,452,254
Total U.S. Treasury Bills (Cost $47,958,425)							47,955,131

 

Total Investments – 101.2%
(Cost $47,958,425)		$	47,955,131
Liabilities in Excess of Other Assets – (1.2)%			(552,689	)
Net Assets – 100.0%		$	47,402,442

 

		Notional Amount
Written Options – (2.2)%
Puts – Over the Counter Barrier Options – (2.2)%
SPX/RTY/NDX WOF, Expires 6/18/26, P100%/75% NC2 EKI (counterparty: HSBC Bank)		(10,000,000)				(257,000	)
SPX/RTY/NDX WOF, Expires 6/5/26, P100%/75% NC3 EKI (counterparty: Morgan Stanley Capital Services LLC)		(2,670,000)				(63,279	)
SPX/RTY/NDX WOF, Expires 6/12/26, P100%/75% NC2 EKI (counterparty: Nomura Securities)		(14,500,000)				(292,900	)
SPX/RTY/NDX WOF, Expires 6/26/26, P100%/75% NC2 EKI (counterparty: Nomura Securities)		(11,000,000)				(414,700	)
						(1,027,879	)
Total Written Options (Cost $(1,317,309))						(1,027,879	)

 

	(a)	Represents a zero coupon bond. Rate shown reflects the effective yield.
	(b)	Securities with an aggregate market value of $11,626,863 have been pledged as collateral for options as of June 30, 2025.

 

Summary of Investment Type††

 

Investment Categories		% of Net Assets
U.S. Treasury Bills			101.2	%
Total Investments			101.2	%
Liabilities in Excess of Other Assets			(1.2	)%
Net Assets			100.0	%

 

††

The percentage shown for each investment category is the total value of investments in that category as a percentage of the net assets of the Fund. The table depicts the Fund’s investments but may not represent the Fund’s market exposure to certain derivatives, if any, which are included in Liabilities in Excess of Other Assets.

 

See Notes to Financial Statements.

 

41

 

 

Simplify Target 15 Distribution ETF

Schedule of Investments (Continued)

June 30, 2025

 

 

Abbreviations:

 

EKI - European Knock In. - Represents a knock-in option contract that begins to function as a normal option only once a certain price level is reached before expiration.

 

See Notes to Financial Statements.

 

42

 

 

Simplify Treasury Option Income ETF

Schedule of Investments

June 30, 2025

 

 

		Principal				Value
U.S. Treasury Bills – 100.1%
U.S. Treasury Bill, 4.29%, 7/8/2025(a)(b)		$	216,700,000			$	216,525,149
U.S. Treasury Bill, 4.31%, 7/29/2025(a)(b)			87,000,000				86,719,083
U.S. Treasury Bill, 4.33%, 8/5/2025(a)(b)			8,800,000				8,763,602
U.S. Treasury Bill, 4.31%, 8/26/2025(a)(b)			20,500,000				20,362,320
U.S. Treasury Bill, 4.33%, 9/30/2025(a)(b)			11,500,000				11,377,981
Total U.S. Treasury Bills (Cost $343,761,583)							343,748,135

 

Total Investments – 100.1%
(Cost $343,761,583)						$	343,748,135
Liabilities in Excess of Other Assets – (0.1)%							(470,766	)
Net Assets – 100.0%						$	343,277,369

 

		Number of Contracts			Notional Amount
Written Options – (0.6)%
Calls – Exchange-Traded – (0.4)%
10-Year U.S. Treasury Note Futures, July Strike Price $112, Expires 7/25/25		(1,100)			$	(123,200,000	)		$	(825,000	)
U.S. Long Bond, July Strike Price $116, Expires 7/25/25		(550)				(63,800,000	)			(601,562	)
										(1,426,562	)
Puts – Exchange-Traded – (0.2)%
U.S. Long Bond, July Strike Price $108, Expires 7/25/25		(382)			$	(41,256,000	)		$	(17,906	)
U.S. Long Bond, July Strike Price $112, Expires 7/25/25		(600)				(67,200,000	)			(178,125	)
U.S. Long Bond, July Strike Price $113, Expires 7/25/25		(600)				(67,800,000	)			(281,250	)
U.S. Long Bond, July Strike Price $114, Expires 7/25/25		(300)				(34,200,000	)			(220,313	)
										(697,594	)
Total Written Options (Premiums Received $3,081,176)									$	(2,124,156	)

 

	(a)	Represents a zero coupon bond. Rate shown reflects the effective yield.
	(b)	Securities with an aggregate market value of $117,401,267 have been pledged as collateral for futures as of June 30, 2025.

 

At June 30, 2025, open futures contracts were as follows:

 

		Number of Contracts			Notional Value				Expiration Date			Value/ Unrealized Appreciation (Depreciation)
Long position contracts:
U.S. Treasury Bond Futures		550			$	63,507,813			9/19/25			$	2,341,812
10-Year U.S. Treasury Note Futures		1,100				123,337,500			9/19/25				2,259,572
Total net unrealized appreciation												$	4,601,384

 

See Notes to Financial Statements.

 

43

 

 

Simplify Treasury Option Income ETF

Schedule of Investments (Continued)

June 30, 2025

 

 

Summary of Investment Type††

 

Investment Categories		% of Net Assets
U.S. Treasury Bills			100.1	%
Total Investments			100.1	%
Liabilities in Excess of Other Assets			(0.1	)%
Net Assets			100.0	%

 

††

The percentage shown for each investment category is the total value of investments in that category as a percentage of the net assets of the Fund. The table depicts the Fund’s investments but may not represent the Fund’s market exposure to certain derivatives, if any, which are included in Liabilities in Excess of Other Assets.

 

See Notes to Financial Statements.

 

44

 

 

Simplify US Equity PLUS Bitcoin Strategy ETF

Schedule of Investments

June 30, 2025

 

 

		Shares				Value
U.S. Exchange-Traded Funds – 98.6%
Alternative Funds – 10.0%
VanEck Bitcoin ETF*			248,616			$	7,575,330
Equity Funds – 88.6%
iShares Core S&P 500 ETF(a)(b)			107,835				66,954,751
Total U.S. Exchange-Traded Funds (Cost $71,405,366)							74,530,081

 

		Principal
U.S. Treasury Bills – 0.8%
U.S. Treasury Bill, 4.33%, 8/5/2025 (b)(c)		$	100,000				99,587
U.S. Treasury Bill, 4.38%, 8/26/2025 (b)(c)			500,000				496,642
Total U.S. Treasury Bills (Cost $596,264)							596,229

 

		Shares
Money Market Funds – 0.1%
Fidelity Investments Money Market Treasury Only Portfolio - Class I, 4.15%(d)
(Cost $72,603)			72,603				72,603
Total Investments – 99.5%
(Cost $72,074,233)						$	75,198,913
Other Assets in Excess of Liabilities – 0.5%							367,429
Net Assets – 100.0%						$	75,566,342

 

	*	Non Income Producing
	(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 $9,288,828 have been pledged as collateral for futures as of June 30, 2025.
	(c)	Represents a zero coupon bond. Rate shown reflects the effective yield.
	(d)	Rate shown reflects the 7-day yield as of June 30, 2025.

 

At June 30, 2025, open futures contracts were as follows:

 

		Number of Contracts			Notional Value				Expiration Date			Value/ Unrealized Appreciation (Depreciation)
Long position contracts:
S&P 500 E-Mini Future		28			$	8,755,250			9/19/25			$	279,165

 

Summary of Investment Type††

 

Investment Categories		% of Net Assets
U.S. Exchange-Traded Funds			98.6	%
U.S. Treasury Bills			0.8	%
Money Market Funds			0.1	%
Total Investments			99.5	%
Other Assets in Excess of Liabilities			0.5	%
Net Assets			100.0	%

 

See Notes to Financial Statements.

 

45

 

 

Simplify US Equity PLUS Bitcoin Strategy ETF

Schedule of Investments (Continued)

June 30, 2025

 

 

††

The percentage shown for each investment category is the total value of investments in that category as a percentage of the net assets of the Fund. The table depicts the Fund’s investments but may not represent the Fund’s market exposure to certain derivatives, if any, which are included in Other Assets in Excess of Liabilities.

 

See Notes to Financial Statements.

 

46

 

 

Simplify US Equity PLUS Convexity ETF

Schedule of Investments

June 30, 2025

 

 

		Shares				Value
U.S. Exchange-Traded Funds – 96.1%
Equity Funds – 96.1%
iShares Core S&P 500 ETF(a)(b)
(Cost $62,511,721)			128,981			$	80,084,303

 

		Number of Contracts			Notional Amount
Purchased Options – 3.3%
Calls – Exchange-Traded – 2.9%
S&P 500 Index, July Strike Price $6,200, Expires 7/03/25		146			$	90,520,000				457,710
S&P 500 Index, July Strike Price $6,300, Expires 7/07/25		93				58,590,000				40,176
S&P 500 Index, July Strike Price $6,275, Expires 7/09/25		220				138,050,000				372,900
S&P 500 Index, July Strike Price $6,300, Expires 7/18/25		223				140,490,000				731,440
S&P 500 Index, July Strike Price $6,500, Expires 7/31/25		415				269,750,000				404,625
S&P 500 Index, August Strike Price $6,400, Expires 8/15/25		58				37,120,000				274,920
S&P 500 Index, August Strike Price $6,650, Expires 8/15/25		146				97,090,000				94,170
										2,375,941

 

Puts – Exchange-Traded – 0.4%
Nasdaq 100 Index, July Strike Price $20,450, Expires 7/11/25(c)		6				12,270,000				3,240
Nasdaq 100 Index, July Strike Price $20,600, Expires 7/16/25(c)		6				12,360,000				9,210
Russell 2000 Index, July Strike Price $1,950, Expires 7/11/25(c)		63				12,285,000				4,567
S&P 500 Index, July Strike Price $5,800, Expires 7/02/25		110				63,800,000				1,100
S&P 500 Index, July Strike Price $5,900, Expires 7/03/25		127				74,930,000				3,175
S&P 500 Index, July Strike Price $6,000, Expires 7/07/25		108				64,800,000				22,680
S&P 500 Index, July Strike Price $5,620, Expires 7/11/25(c)		41				23,042,000				4,202
S&P 500 Index, July Strike Price $5,650, Expires 7/16/25(c)		41				23,165,000				12,300
S&P 500 Index, July Strike Price $5,455, Expires 7/18/25(c)		64				34,912,000				16,320
S&P 500 Index, August Strike Price $5,520, Expires 8/15/25(c)		54				29,808,000				85,590
S&P 500 Index, September Strike Price $5,250, Expires 9/19/25(c)		67				35,175,000				159,795
SPDR Gold Shares, July Strike Price $285, Expires 7/09/25(c)		623				17,755,500				5,296
SPDR Gold Shares, July Strike Price $280, Expires 7/11/25(c)		635				17,780,000				4,763
										332,238
Total Purchased Options (Cost $2,610,680)										2,708,179

 

		Shares
Money Market Funds – 0.4%
Fidelity Investments Money Market Treasury Only Portfolio - Class I, 4.15%(d)
(Cost $351,135)			351,135				351,135
Total Investments – 99.8%
(Cost $65,473,536)						$	83,143,617
Other Assets in Excess of Liabilities – 0.2%							202,361
Net Assets – 100.0%						$	83,345,978

 

See Notes to Financial Statements.

 

47

 

 

Simplify US Equity PLUS Convexity ETF

Schedule of Investments (Continued)

June 30, 2025

 

 

		Number of Contracts			Notional Amount				Value
Written Options – (0.4)%
Puts – Exchange-Traded – (0.4)%
Nasdaq 100 Index, July Strike Price $21,450, Expires 7/11/25		(6)			$	(12,870,000	)		$	(13,080	)
Nasdaq 100 Index, July Strike Price $21,600, Expires 7/16/25		(6)				(12,960,000	)			(31,710	)
Russell 2000 Index, July Strike Price $2,050, Expires 7/11/25		(63)				(12,915,000	)			(18,270	)
S&P 500 Index, July Strike Price $5,920, Expires 7/11/25		(41)				(24,272,000	)			(18,450	)
S&P 500 Index, July Strike Price $5,960, Expires 7/16/25		(41)				(24,436,000	)			(50,430	)
S&P 500 Index, July Strike Price $5,155, Expires 7/18/25		(64)				(32,992,000	)			(8,960	)
S&P 500 Index, August Strike Price $5,220, Expires 8/15/25		(54)				(28,188,000	)			(45,630	)
S&P 500 Index, September Strike Price $4,950, Expires 9/19/25		(67)				(33,165,000	)			(99,495	)
SPDR Gold Shares, July Strike Price $295, Expires 7/09/25		(623)				(18,378,500	)			(24,920	)
SPDR Gold Shares, July Strike Price $290, Expires 7/11/25		(635)				(18,415,000	)			(15,240	)
										(326,185	)
Total Written Options (Premiums Received $731,037)									$	(326,185	)

 

	(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 $43,463,000 have been pledged as collateral for options as of June 30, 2025.
	(c)	Held in connection with Written Options.
	(d)	Rate shown reflects the 7-day yield as of June 30, 2025.

 

Summary of Investment Type††

 

Investment Categories		% of Net Assets
U.S. Exchange-Traded Funds			96.1	%
Purchased Options			3.3	%
Money Market Funds			0.4	%
Total Investments			99.8	%
Other Assets in Excess of Liabilities			0.2	%
Net Assets			100.0	%

 

††

The percentage shown for each investment category is the total value of investments in that category as a percentage of the net assets of the Fund. The table depicts the Fund’s investments but may not represent the Fund’s market exposure to certain derivatives, if any, which are included in Other Assets in Excess of Liabilities.

 

See Notes to Financial Statements.

 

48

 

 

Simplify US Equity PLUS Downside Convexity ETF

Schedule of Investments

June 30, 2025

 

 

		Shares				Value
U.S. Exchange-Traded Funds – 97.3%
Equity Funds – 97.3%
iShares Core S&P 500 ETF(a)(b)
(Cost $78,232,594)			138,273			$	85,853,706

 

		Number of Contracts			Notional Amount
Purchased Options – 2.8%
Calls – Exchange-Traded – 2.1%
S&P 500 Index, July Strike Price $6,200, Expires 7/03/25		156			$	96,720,000				489,060
S&P 500 Index, July Strike Price $6,300, Expires 7/07/25		66				41,580,000				28,512
S&P 500 Index, July Strike Price $6,275, Expires 7/09/25		156				97,890,000				264,420
S&P 500 Index, July Strike Price $6,300, Expires 7/18/25		162				102,060,000				531,360
S&P 500 Index, July Strike Price $6,500, Expires 7/31/25		297				193,050,000				289,575
S&P 500 Index, August Strike Price $6,400, Expires 8/15/25		41				26,240,000				194,340
S&P 500 Index, August Strike Price $6,650, Expires 8/15/25		104				69,160,000				67,080
										1,864,347

 

Puts – Exchange-Traded – 0.7%
Nasdaq 100 Index, July Strike Price $20,450, Expires 7/11/25(c)		4				8,180,000				2,160
Nasdaq 100 Index, July Strike Price $20,600, Expires 7/16/25(c)		4				8,240,000				6,140
Russell 2000 Index, July Strike Price $1,950, Expires 7/11/25(c)		45				8,775,000				3,262
S&P 500 Index, July Strike Price $5,800, Expires 7/02/25		118				68,440,000				1,180
S&P 500 Index, July Strike Price $5,900, Expires 7/03/25		136				80,240,000				3,400
S&P 500 Index, July Strike Price $6,000, Expires 7/07/25		115				69,000,000				24,150
S&P 500 Index, July Strike Price $5,620, Expires 7/11/25(c)		29				16,298,000				2,972
S&P 500 Index, July Strike Price $5,650, Expires 7/16/25(c)		29				16,385,000				8,700
S&P 500 Index, July Strike Price $5,455, Expires 7/18/25(c)		137				74,733,500				34,935
S&P 500 Index, August Strike Price $5,520, Expires 8/15/25(c)		115				63,480,000				182,275
S&P 500 Index, September Strike Price $5,250, Expires 9/19/25(c)		143				75,075,000				341,055
SPDR Gold Shares, July Strike Price $285, Expires 7/09/25(c)		442				12,597,000				3,757
SPDR Gold Shares, July Strike Price $280, Expires 7/11/25(c)		451				12,628,000				3,383
										617,369
Total Purchased Options (Cost $3,236,486)										2,481,716

 

Total Investments – 100.1%
(Cost $81,469,080)		$	88,335,422
Liabilities in Excess of Other Assets – (0.1)%			(122,326	)
Net Assets – 100.0%		$	88,213,096

 

See Notes to Financial Statements.

 

49

 

 

Simplify US Equity PLUS Downside Convexity ETF

Schedule of Investments (Continued)

June 30, 2025

 

 

		Number of Contracts			Notional Amount				Value
Written Options – (0.5)%
Puts – Exchange-Traded – (0.5)%
Nasdaq 100 Index, July Strike Price $21,450, Expires 7/11/25		(4)			$	(8,580,000	)		$	(8,720	)
Nasdaq 100 Index, July Strike Price $21,600, Expires 7/16/25		(4)				(8,640,000	)			(21,140	)
Russell 2000 Index, July Strike Price $2,050, Expires 7/11/25		(45)				(9,225,000	)			(13,050	)
S&P 500 Index, July Strike Price $5,920, Expires 7/11/25		(29)				(17,168,000	)			(13,050	)
S&P 500 Index, July Strike Price $5,960, Expires 7/16/25		(29)				(17,284,000	)			(35,670	)
S&P 500 Index, July Strike Price $5,155, Expires 7/18/25		(137)				(70,623,500	)			(19,180	)
S&P 500 Index, August Strike Price $5,220, Expires 8/15/25		(115)				(60,030,000	)			(97,175	)
S&P 500 Index, September Strike Price $4,950, Expires 9/19/25		(143)				(70,785,000	)			(212,355	)
SPDR Gold Shares, July Strike Price $295, Expires 7/09/25		(442)				(13,039,000	)			(17,680	)
SPDR Gold Shares, July Strike Price $290, Expires 7/11/25		(451)				(13,079,000	)			(10,824	)
										(448,844	)
Total Written Options (Premiums Received $1,232,319)									$	(448,844	)

 

	(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 $55,881,000 have been pledged as collateral for options as of June 30, 2025.
	(c)	Held in connection with Written Options.

 

Summary of Investment Type††

 

Investment Categories		% of Net Assets
U.S. Exchange-Traded Funds			97.3	%
Purchased Options			2.8	%
Total Investments			100.1	%
Liabilities in Excess of Other Assets			(0.1	)%
Net Assets			100.0	%

 

††

The percentage shown for each investment category is the total value of investments in that category as a percentage of the net assets of the Fund. The table depicts the Fund’s investments but may not represent the Fund’s market exposure to certain derivatives, if any, which are included in Liabilities in Excess of Other Assets.

 

See Notes to Financial Statements.

 

50

 

 

Simplify US Equity PLUS Upside Convexity ETF

Schedule of Investments

June 30, 2025

 

 

		Shares				Value
U.S. Exchange-Traded Funds – 95.1%
Equity Funds – 95.1%
iShares Core S&P 500 ETF(a)(b)
(Cost $106,384,425)			178,654			$	110,926,269

 

		Number of Contracts			Notional Amount
Purchased Options – 4.2%
Calls – Exchange-Traded – 4.2%
S&P 500 Index, July Strike Price $5,970, Expires 7/18/25		188			$	112,236,000				4,907,740
Total Purchased Options (Cost $2,169,591)										4,907,740

 

		Shares
Money Market Funds – 1.0%
Fidelity Investments Money Market Treasury Only Portfolio - Class I, 4.15%(c)
(Cost $1,172,677)			1,172,677				1,172,677
Total Investments – 100.3%
(Cost $109,726,693)						$	117,006,686
Liabilities in Excess of Other Assets – (0.3)%							(338,853	)
Net Assets – 100.0%						$	116,667,833

 

	(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 $39,427,150 have been pledged as collateral for options as of June 30, 2025.
	(c)	Rate shown reflects the 7-day yield as of June 30, 2025.

 

Summary of Investment Type††

 

Investment Categories		% of Net Assets
U.S. Exchange-Traded Funds			95.1	%
Purchased Options			4.2	%
Money Market Funds			1.0	%
Total Investments			100.3	%
Liabilities in Excess of Other Assets			(0.3	)%
Net Assets			100.0	%

 

††

The percentage shown for each investment category is the total value of investments in that category as a percentage of the net assets of the Fund. The table depicts the Fund’s investments but may not represent the Fund’s market exposure to certain derivatives, if any, which are included in Liabilities in Excess of Other Assets.

 

See Notes to Financial Statements.

 

51

 

 

Simplify Bitcoin Strategy PLUS Income ETF

Consolidated Schedule of Investments

June 30, 2025

 

 

		Principal				Value
U.S. Treasury Bills – 194.9%
U.S. Treasury Bill, 4.29%, 7/8/2025(a)		$	6,900,000			$	6,894,432
U.S. Treasury Bill, 4.31%, 7/29/2025(a)(b)			3,200,000				3,189,668
U.S. Treasury Bill, 4.34%, 8/5/2025(a)(b)			2,400,000				2,390,074
U.S. Treasury Bill, 4.35%, 8/7/2025(a)(c)			60,000,000				59,738,410
U.S. Treasury Bill, 4.31%, 8/26/2025(a)(b)			25,500,000				25,328,739
U.S. Treasury Bill, 4.33%, 9/30/2025(a)(b)			4,400,000				4,353,314
Total U.S. Treasury Bills (Cost $101,895,476)							101,894,637

 

		Number of Contracts			Notional Amount
Purchased Options – 15.8%
Calls – Exchange-Traded – 15.6%
iShares Bitcoin Trust, July Strike Price $53, Expires 7/03/25		5,100				27,030,000				4,233,000
S&P 500 Index, July Strike Price $6,200, Expires 7/03/25		172				106,640,000				539,220
S&P 500 Index, July Strike Price $6,300, Expires 7/07/25		153				96,390,000				66,096
S&P 500 Index, July Strike Price $6,275, Expires 7/09/25		352				220,880,000				596,640
S&P 500 Index, July Strike Price $6,300, Expires 7/18/25		385				242,550,000				1,262,800
S&P 500 Index, July Strike Price $6,500, Expires 7/31/25		818				531,700,000				797,550
S&P 500 Index, August Strike Price $6,400, Expires 8/15/25		105				67,200,000				497,700
S&P 500 Index, August Strike Price $6,650, Expires 8/15/25		264				175,560,000				170,280
										8,163,286
Puts – Exchange-Traded – 0.2%
Nasdaq 100 Index, July Strike Price $20,450, Expires 7/11/25(d)		10				20,450,000				5,400
Nasdaq 100 Index, July Strike Price $20,600, Expires 7/16/25(d)		10				20,600,000				15,350
Russell 2000 Index, July Strike Price $1,950, Expires 7/11/25(d)		102				19,890,000				7,395
S&P 500 Index, July Strike Price $5,800, Expires 7/02/25		130				75,400,000				1,300
S&P 500 Index, July Strike Price $5,900, Expires 7/03/25		157				92,630,000				3,925
S&P 500 Index, July Strike Price $6,000, Expires 7/07/25		134				80,400,000				28,140
S&P 500 Index, July Strike Price $5,620, Expires 7/11/25(d)		67				37,654,000				6,868
S&P 500 Index, July Strike Price $5,650, Expires 7/16/25(d)		67				37,855,000				20,100
SPDR Gold Shares, July Strike Price $285, Expires 7/09/25(d)		1,016				28,956,000				8,636
SPDR Gold Shares, July Strike Price $280, Expires 7/11/25(d)		1,030				28,840,000				7,725
										104,839
Total Purchased Options (Cost $6,520,384)										8,268,125

 

Total Investments – 210.7%
(Cost $108,415,860)		$	110,162,762
Liabilities in Excess of Other Assets – (110.7)%			(57,871,938	)
Net Assets – 100.0%		$	52,290,824

 

See Notes to Financial Statements.

 

52

 

 

Simplify Bitcoin Strategy PLUS Income ETF

Consolidated Schedule of Investments (Continued)

June 30, 2025

 

 

		Number of Contracts			Notional Amount				Value
Written Options – (0.5)%
Puts – Exchange-Traded – (0.5)%
Nasdaq 100 Index, July Strike Price $21,450, Expires 7/11/25		(10)			$	(21,450,000	)		$	(21,800	)
Nasdaq 100 Index, July Strike Price $21,600, Expires 7/16/25		(10)				(21,600,000	)			(52,850	)
Russell 2000 Index, July Strike Price $2,050, Expires 7/11/25		(102)				(20,910,000	)			(29,580	)
S&P 500 Index, July Strike Price $5,920, Expires 7/11/25		(67)				(39,664,000	)			(30,150	)
S&P 500 Index, July Strike Price $5,960, Expires 7/16/25		(67)				(39,932,000	)			(82,410	)
SPDR Gold Shares, July Strike Price $295, Expires 7/09/25		(1,016)				(29,972,000	)			(40,640	)
SPDR Gold Shares, July Strike Price $290, Expires 7/11/25		(1,030)				(29,870,000	)			(24,720	)
										(282,150	)
Total Written Options (Premiums Received $374,329)									$	(282,150	)

 

(a)	Represents a zero coupon bond. Rate shown reflects the effective yield.
(b)	Securities with an aggregate market value of $32,480,600 have been pledged as collateral for options and futures as of June 30, 2025.
(c)	Security, or a portion thereof, in the amount of $59,738,410 has been pledged as collateral for reverse repurchase agreements as of June 30, 2025. See note 5 for additional information
(d)	Held in connection with Written Options.

 

At June 30, 2025, open futures contracts were as follows:

 

		Number of Contracts			Notional Value				Expiration Date			Value/ Unrealized Appreciation (Depreciation)
Long position contracts:
CME Bitcoin Futures		82			$	44,376,350			7/25/25			$	516,580

 

Summary of Investment Type††

 

Investment Categories		% of Net Assets
U.S. Treasury Bills			194.9	%
Purchased Options			15.8	%
Total Investments			210.7	%
Liabilities in Excess of Other Assets			(110.7	)%
Net Assets			100.0	%

 

††

The percentage shown for each investment category is the total value of investments in that category as a percentage of the net assets of the Fund. The table depicts the Fund’s investments but may not represent the Fund’s market exposure to certain derivatives, if any, which are included in Liabilities in Excess of Other Assets.

 

At June 30, 2025, open reverse repurchase agreements were as follows:

 

Counterparty		Interest Rate			Trade Date			Maturity Date			Face Amount				Payable for Reverse Repurchase Agreements
Morgan Stanley Capital Services LLC		4.53%			6/30/2025			7/1/2025			$	58,542,856			$	58,542,856
											$	58,542,856			$	58,542,856

 

See Notes to Financial Statements.

 

53

 

 

Simplify Gold Strategy PLUS Income ETF

Consolidated Schedule of Investments

June 30, 2025

 

 

		Principal				Value
U.S. Treasury Bills – 92.9%
U.S. Treasury Bill, 4.29%, 7/8/2025(a)		$	1,900,000			$	1,898,467
U.S. Treasury Bill, 4.31%, 7/29/2025(a)			5,720,000				5,701,530
U.S. Treasury Bill, 4.34%, 8/5/2025(a)			2,600,000				2,589,246
U.S. Treasury Bill, 4.31%, 8/26/2025(a)(b)			9,900,000				9,833,511
U.S. Treasury Bill, 4.33%, 9/30/2025(a)(b)			6,300,000				6,233,155
Total U.S. Treasury Bills (Cost $26,256,529)							26,255,909

 

		Number of Contracts			Notional Amount
Purchased Options – 3.0%
Calls – Exchange-Traded – 2.9%
S&P 500 Index, July Strike Price $6,200, Expires 7/03/25		53				32,860,000				166,155
S&P 500 Index, July Strike Price $6,300, Expires 7/07/25		42				26,460,000				18,144
S&P 500 Index, July Strike Price $6,275, Expires 7/09/25		108				67,770,000				183,060
S&P 500 Index, July Strike Price $6,300, Expires 7/18/25		51				32,130,000				167,280
S&P 500 Index, July Strike Price $6,500, Expires 7/31/25		100				65,000,000				97,500
S&P 500 Index, August Strike Price $6,400, Expires 8/15/25		28				17,920,000				132,720
S&P 500 Index, August Strike Price $6,650, Expires 8/15/25		69				45,885,000				44,505
										809,364
Puts – Exchange-Traded – 0.1%
Nasdaq 100 Index, July Strike Price $20,450, Expires 7/11/25(c)		2				4,090,000				1,080
Nasdaq 100 Index, July Strike Price $20,600, Expires 7/16/25(c)		2				4,120,000				3,070
Russell 2000 Index, July Strike Price $1,950, Expires 7/11/25(c)		28				5,460,000				2,030
S&P 500 Index, July Strike Price $5,800, Expires 7/02/25		40				23,200,000				400
S&P 500 Index, July Strike Price $5,900, Expires 7/03/25		44				25,960,000				1,100
S&P 500 Index, July Strike Price $6,000, Expires 7/07/25		37				22,200,000				7,770
S&P 500 Index, July Strike Price $5,620, Expires 7/11/25(c)		18				10,116,000				1,845
S&P 500 Index, July Strike Price $5,650, Expires 7/16/25(c)		18				10,170,000				5,400
SPDR Gold Shares, July Strike Price $285, Expires 7/09/25(c)		290				8,265,000				2,465
SPDR Gold Shares, July Strike Price $280, Expires 7/11/25(c)		286				8,008,000				2,145
										27,305
Total Purchased Options (Cost $583,742)										836,669

 

Total Investments – 95.9%
(Cost $26,840,271)		$	27,092,578
Other Assets in Excess of Liabilities – 4.1%			1,157,034
Net Assets – 100.0%		$	28,249,612

 

See Notes to Financial Statements.

 

54

 

 

Simplify Gold Strategy PLUS Income ETF

Consolidated Schedule of Investments (Continued)

June 30, 2025

 

 

		Number of Contracts			Notional Amount				Value
Written Options – (0.3)%
Puts – Exchange-Traded – (0.3)%
Nasdaq 100 Index, July Strike Price $21,450, Expires 7/11/25		(2)			$	(4,290,000	)		$	(4,360	)
Nasdaq 100 Index, July Strike Price $21,600, Expires 7/16/25		(2)				(4,320,000	)			(10,570	)
Russell 2000 Index, July Strike Price $2,050, Expires 7/11/25		(28)				(5,740,000	)			(8,120	)
S&P 500 Index, July Strike Price $5,920, Expires 7/11/25		(18)				(10,656,000	)			(8,100	)
S&P 500 Index, July Strike Price $5,960, Expires 7/16/25		(18)				(10,728,000	)			(22,140	)
SPDR Gold Shares, July Strike Price $295, Expires 7/09/25		(290)				(8,555,000	)			(11,600	)
SPDR Gold Shares, July Strike Price $290, Expires 7/11/25		(286)				(8,294,000	)			(6,864	)
										(71,754	)
Total Written Options (Premiums Received $95,571)									$	(71,754	)

 

(a)	Represents a zero coupon bond. Rate shown reflects the effective yield.
(b)	Securities with an aggregate market value of $10,275,426 have been pledged as collateral for options and futures as of June 30, 2025.
(c)	Held in connection with Written Options.

 

At June 30, 2025, open futures contracts were as follows:

 

		Number of Contracts			Notional Value				Expiration Date			Value/ Unrealized Appreciation (Depreciation)
Long position contracts:
Gold 100 OZ Future		119			$	39,361,630			8/27/25			$	(372,470	)

 

Summary of Investment Type††

 

Investment Categories		% of Net Assets
U.S. Treasury Bills			92.9	%
Purchased Options			3.0	%
Total Investments			95.9	%
Other Assets in Excess of Liabilities			4.1	%
Net Assets			100.0	%

 

††

The percentage shown for each investment category is the total value of investments in that category as a percentage of the net assets of the Fund. The table depicts the Fund’s investments but may not represent the Fund’s market exposure to certain derivatives, if any, which are included in Other Assets in Excess of Liabilities.

 

See Notes to Financial Statements

 

55

 

 

Simplify Multi-QIS Alternative ETF

Consolidated Schedule of Investments

June 30, 2025

 

 

		Principal				Value
U.S. Treasury Bills – 85.5%
U.S. Treasury Bill, 4.29%, 7/8/2025(a)(b)		$	24,050,000			$	24,030,595
U.S. Treasury Bill, 4.30%, 7/29/2025(a)(b)			25,000,000				24,919,276
U.S. Treasury Bill, 4.33%, 8/5/2025(a)(b)			7,100,000				7,070,634
U.S. Treasury Bill, 4.31%, 8/26/2025(a)(b)			6,000,000				5,959,703
U.S. Treasury Bill, 4.33%, 9/30/2025(a)(b)			20,400,000				20,183,549
Total U.S. Treasury Bills (Cost $82,162,315)							82,163,757

 

		Number of Contracts			Notional Amount
Purchased Options – 8.0%
Calls – Exchange-Traded – 7.7%
CBOE VIX, August Strike Price $30, Expires 8/20/25		555				1,665,000				53,835
S&P 500 Index, July Strike Price $6,200, Expires 7/03/25		333				206,460,000				1,043,955
S&P 500 Index, July Strike Price $6,300, Expires 7/07/25		283				178,290,000				122,256
S&P 500 Index, July Strike Price $6,275, Expires 7/09/25		686				430,465,000				1,162,770
S&P 500 Index, July Strike Price $6,300, Expires 7/18/25		741				466,830,000				2,430,480
S&P 500 Index, July Strike Price $6,500, Expires 7/31/25		1,403				911,950,000				1,367,925
S&P 500 Index, August Strike Price $6,400, Expires 8/15/25		188				120,320,000				891,120
S&P 500 Index, August Strike Price $6,650, Expires 8/15/25		470				312,550,000				303,150
										7,375,491
Puts - Over the Counter Barrier Options – 0.3%
RTY, Expires 1/26/26 90% Put/70% KO (Counterparty: Goldman)		12,352				25,199,451				280,528
SPX/USDJPY, Expires 7/18/25, <5690.9275/149.85 (Counterparty: Goldman)		1,330,000				1,330,000				23,742
										304,270
Puts – Exchange-Traded – 0.0%†
S&P 500 Index, July Strike Price $6,000, Expires 7/07/25		248				148,800,000				52,080
Total Purchased Options (Cost $5,411,945)										7,731,841

 

		Shares
U.S. Exchange-Traded Funds – 7.9%
Alternative Funds – 7.9%
Simplify Currency Strategy ETF(c)
(Cost $7,638,913)			289,943				7,566,932
Total Investments – 101.4%
(Cost $95,213,173)						$	97,462,530
Liabilities in Excess of Other Assets – (1.4)%							(1,343,922	)
Net Assets – 100.0%						$	96,118,608

 

See Notes to Financial Statements.

 

56

 

 

Simplify Multi-QIS Alternative ETF

Consolidated Schedule of Investments (Continued)

June 30, 2025

 

 

		Number of Contracts			Notional Amount				Value
Written Option – (0.4)%
Puts - Over the Counter Barrier Options – (0.4)%
SPX/RTY/NDX WOF, Expires 5/22/26, P100%/70% NC1 EKI (Counterparty: Nomura International) (Premiums Received $572,500)		(25,000,000)			$	(17,500,000	)		$	(337,500	)

 

(a)	Represents a zero coupon bond. Rate shown reflects the effective yield.
(b)	Securities with an aggregate market value of $54,110,378 have been pledged as collateral for options and swaps as of June 30, 2025.
(c)	Affiliated fund managed by Simplify Asset Management Inc.

 

Affiliates

 

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

 

Affiliate		Value at beginning of the period				Purchases Cost				Sales Proceeds				Return of Capital				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
Simplify Currency Strategy ETF		$	—			$	12,035,656			$	(4,065,456	)		$	(85,617	)		$	(261,382	)		$	(71,981	)		$	7,566,932				289,943			$	89,863
		$	—			$	12,035,656			$	(4,065,456	)		$	(85,617	)		$	(261,382	)		$	(71,981	)		$	7,566,932				289,943			$	89,863

 

As of June 30, 2025, the Fund had the following forward foreign currency contracts outstanding:

 

Counterparty		Settlement Date			Currency To Deliver				Currency To Receive				Unrealized Appreciation				Unrealized Depreciation
Citigroup Global Markets		9/17/2025			USD	3,304,614			EUR	2,850,000			$	70,507			$	—
Citigroup Global Markets		9/17/2025			JPY	462,460,000			USD	3,215,387				—				(25,243	)
Citigroup Global Markets		9/17/2025			CHF	7,910,000			USD	9,937,198				—				(133,028	)
Citigroup Global Markets		9/17/2025			CAD	3,410,000			USD	2,524,830				10,558				—
Citigroup Global Markets		9/17/2025			JPY	354,250,000			USD	2,473,969				—				(8,394	)
Citigroup Global Markets		9/17/2025			GBP	2,410,000			USD	3,254,491				—				(55,318	)
Citigroup Global Markets		9/17/2025			EUR	2,850,000			USD	3,266,819				—				(108,301	)
Goldman Sachs & Co.		9/17/2025			GBP	110,000			USD	149,889				—				(1,181	)
Citigroup Global Markets		9/17/2025			CAD	3,180,000			USD	2,325,187				—				(19,501	)
Citigroup Global Markets		9/17/2025			SEK	31,280,000			USD	3,260,007				—				(63,754	)
Citigroup Global Markets		9/17/2025			AUD	11,430,000			USD	7,507,910				—				(27,316	)
Citigroup Global Markets		9/17/2025			CHF	170,000			USD	213,311				—				(3,116	)
Citigroup Global Markets		9/17/2025			AUD	5,020,000			USD	3,267,854				—				(41,580	)
Citigroup Global Markets		9/17/2025			NOK	54,440,000			USD	5,386,793				—				(17,007	)
Citigroup Global Markets		9/17/2025			CAD	3,210,000			USD	2,348,216				—				(18,592	)
Goldman Sachs & Co.		9/17/2025			AUD	4,650,000			USD	3,025,834				—				(39,678	)
Goldman Sachs & Co.		9/17/2025			EUR	1,980,000			USD	2,311,764				—				(33,056	)
Goldman Sachs & Co.		9/17/2025			GBP	3,520,000			USD	4,721,746				—				(112,499	)
Citigroup Global Markets		9/17/2025			JPY	469,940,000			USD	3,278,142				—				(14,904	)
Citigroup Global Markets		9/17/2025			NOK	45,960,000			USD	4,537,520				—				(24,542	)
Goldman Sachs & Co.		9/17/2025			NOK	24,600,000			USD	2,430,985				—				(10,849	)
Citigroup Global Markets		9/17/2025			SEK	42,930,000			USD	4,551,140				—				(10,530	)
Citigroup Global Markets		9/17/2025			USD	3,255,329			AUD	5,020,000				54,105				—
Goldman Sachs & Co.		9/17/2025			USD	3,033,553			AUD	4,650,000				31,959				—
Citigroup Global Markets		9/17/2025			USD	2,302,481			CAD	3,140,000				12,714				—
Goldman Sachs & Co.		9/17/2025			USD	4,886,211			CAD	6,660,000				24,362				—

 

See Notes to Financial Statements.

 

57

 

 

Simplify Multi-QIS Alternative ETF

Consolidated Schedule of Investments (Continued)

June 30, 2025

 

 

Counterparty		Settlement Date			Currency To Deliver				Currency To Receive				Unrealized Appreciation				Unrealized Depreciation
Citigroup Global Markets		9/17/2025			USD	2,460,787			CHF	2,000,000			$	85,414			$	—
Citigroup Global Markets		9/17/2025			USD	5,710,714			EUR	4,870,000				56,597				—
Goldman Sachs & Co.		9/17/2025			USD	2,305,145			EUR	1,980,000				39,676				—
Citigroup Global Markets		9/17/2025			USD	6,795,459			GBP	4,970,000				30,164				—
Citigroup Global Markets		9/17/2025			USD	3,274,461			GBP	2,410,000				35,348				—
Goldman Sachs & Co.		9/17/2025			USD	4,634,176			GBP	3,440,000				90,199				—
Goldman Sachs & Co.		9/17/2025			USD	4,785,019			GBP	3,520,000				49,225				—
Citigroup Global Markets		9/17/2025			USD	5,748,635			JPY	824,190,000				26,773				—
Citigroup Global Markets		9/17/2025			USD	5,513,258			JPY	790,920,000				29,014				—
Goldman Sachs & Co.		9/17/2025			USD	3,442,226			JPY	495,050,000				26,774				—
Citigroup Global Markets		9/17/2025			USD	2,430,605			NOK	24,600,000				11,230				—
Citigroup Global Markets		9/17/2025			USD	2,328,789			NOK	23,250,000				—				(20,958	)
Goldman Sachs & Co.		9/17/2025			USD	59,295			NOK	600,000				262				—
Goldman Sachs & Co.		9/17/2025			USD	7,608,867			SEK	71,780,000				18,357				—
Goldman Sachs & Co.		9/17/2025			USD	256,518			SEK	2,430,000				1,690				—
Total unrealized appreciation (depreciation)													$	704,928			$	(789,347	)

 

Currency Abbreviations

 

	AUD	Australian Dollar
	CAD	Canadian Dollar
	CHF	Swiss Franc
	EUR	Euro
	GBP	Pound Sterling
	JPY	Japanese Yen
	NOK	Norwegian Krone
	SEK	Swedish Krona
	USD	U.S. Dollar

 

Abbreviations:

 

KO - Knock Out. - Represents a knock-out option contract with a built-in mechanism to expire worthless if a specified price level in the underlying asset(s) is reached.

EKI - European Knock In. - Represents a knock-in option contract that begins to function as a normal option only once a certain price level is reached before expiration.

 

Summary of Investment Type††

 

Investment Categories		% of Net Assets
U.S. Treasury Bills			85.5	%
Purchased Options			8.0	%
U.S. Exchange-Traded Funds			7.9	%
Total Investments			101.4	%
Liabilities in Excess of Other Assets			(1.4	)%
Net Assets			100.0	%

 

††

The percentage shown for each investment category is the total value of investments in that category as a percentage of the net assets of the Fund. The table depicts the Fund’s investments but may not represent the Fund’s market exposure to certain derivatives, if any, which are included in Liabilities in Excess of Other Assets.

 

See Notes to Financial Statements.

 

58

 

 

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June 30, 2025

 

 

At June 30, 2025, over the counter total return swap contracts outstanding were as follows:

 

Reference Obligation/Index

Termination Date(a)

Financing Rate Paid (Received) by the Fund

Counterparty

Notional Amount

Unrealized Appreciation/ (Depreciation)(b)

ARCMBBARS*

12/12/2025

0.00%(c)

BOFA

14,454,119

$

1,953

ARCMCC1RS*

6/15/2026

0.00%(c)

CITI

15,000,010

20,021

ARCMCC2RS*

6/15/2026

0.00%(c)

GS

15,004,544

16,682

ARFIFMRRS*

10/15/2025

0.00%(c)

UBS

25,108,638

66,407

ARFXXCCRS*

2/17/2026

0.00%(c)

DB

15,178,095

45,494

BACVWWTRS*

10/15/2025

0.00%(c)

BOA

9,479,504

(61,638

)

BNPXVTRS*

7/15/2025

0.19%(c)

BNP

9,029,890

(11,896

)

CTABOATRS(1)

3/13/2026

4.88% (SOFR+0.55%)(c)

BOA

48,265,395

(2,745,526

)

DFEQDLPRS*

5/15/2026

0.00%(c)

BOA

29,458,108

(111,745

)

DFEQGDTRS*

10/15/2025

0.15%(c)

UBS

11,901,242

(11,029

)

DFEQPR2RS*

4/15/2026

0.00%(c)

BOA

30,114,910

7,658

DFEQUDVRS*

4/15/2026

0.00%(c)

GS

21,174,383

(10,607

)

DFFIERVRS*

12/12/2025

0.00%(c)

NOM

11,488,677

(18,247

)

FOXBOATRS(2)

3/13/2026

4.88% (SOFR+0.55%)(c)

BOA

1,325,705

(23,139

)

FOXCI1TRS(2)

3/13/2026

4.98% (SOFR+0.65%)(c)

CITI

758,303

(13,259

)

GSISCDTRS*

10/15/2025

0.00%(c)

GS

12,463,284

(5,708

)

JPOSFTRS*

7/15/2025

0.00%(c)

JPM

20,385,725

82,981

Morgan Stanley Custom Junk Index*

2/17/2026

4.08% (EFFR - 0.25%)(c)

MSCS

(37,860,353

)

(320,059

)

Morgan Stanley Custom Quality Index*

2/17/2026

4.68% (EFFR + 0.35%)(c)

MSCS

48,005,023

475,267

MQCP44TRS*

10/15/2025

0.00%(c)

MAC

9,910,004

74,868

MSVXCSTRS*

10/15/2025

0.00%(c)

MS

29,304,849

248,167

NMVVR1TRS*

10/15/2025

0.00%(c)

NOM

11,422,613

123,838

SGDRCTTRS*

1/20/2026

0.18%(c)

SG

7,879,108

50,766

SGIXTTTRS*

12/31/2049

0.20%(c)

SG

9,546,480

37,210

VCEQCE1RS*

1/16/2026

0.10%(c)

BOA

7,707,533

15,364

VCEQCE2RS*

1/16/2026

0.10%(c)

BOA

7,735,738

8,000

VCEQUSURS*

5/15/2026

0.00%(c)

BOA

29,713,293

22,485

VMACBTRS*

10/15/2025

0.15%(c)

MAC

12,129,505

(70,810

)

$

(2,106,502

)

 

*	The components of the basket shown below. The aggregate unrealized of the constituents of the swap reference index have been shown below for derivative based indices.
(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.
(1)	Based on Simplify Managed Futures Strategy ETF.
(2)	Based on Simplify Currency Strategy ETF.

 

Abbreviations:

 

BNP	:	BNP Paribas
BOFA	:	Bank of America
EFFR	:	Effective Federal Funds Rate
GS	:	Goldman Sachs
JPM	:	JP Morgan
MSCS	:	Morgan Stanley Capital Services LLC

 

See Notes to Financial Statements.

 

59

 

 

Simplify Multi-QIS Alternative ETF

Consolidated Schedule of Investments (Continued)

June 30, 2025

 

 

NOM	:	Nomura International
SOFR	:	Secured Overnight Financing Rate

 

*	The following table shows the top 50 positions and related values of the securities within the ARCMBBARS (Diversified Commodity Carry Basket 2, Commodity) basket.

 

Security description		Notional Value				Long Short			Unrealized Appreciation/ (Depreciation)				% of basket
XBQ5 Comdty		$	1,770,922			Short								3.7	%
HOQ5 Comdty			1,770,922			Long								3.7	%
LHQ5 Comdty			1,410,425			Short								3.0	%
LHQ5 Comdty			1,096,285			Long								2.3	%
FCQ5 Comdty			1,096,285			Short								2.3	%
SBV5 Comdty			1,096,285			Long								2.3	%
HGU5 Comdty			1,096,285			Short								2.3	%
SMZ5 Comdty			1,096,285			Long								2.3	%
CCU5 Comdty			1,096,285			Short								2.3	%
QCU5 Comdty			1,096,285			Long								2.3	%
LPQ25 Comdty			1,096,285			Long								2.3	%
CAU5 Comdty			1,096,285			Short								2.3	%
BOZ5 Comdty			1,096,285			Short								2.3	%
KWU5 Comdty			1,096,285			Long								2.3	%
QSQ5 Comdty			1,062,553			Long								2.2	%
LCQ5 Comdty			1,055,329			Short								2.2	%
LCZ5 Comdty			1,049,422			Long								2.2	%
BOQ5 Comdty			1,031,344			Long								2.2	%
SMZ5 Comdty			1,030,354			Short								2.2	%
S Q5 Comdty			1,030,055			Long								2.2	%
BOZ5 Comdty			1,027,210			Short								2.2	%
SMQ5 Comdty			1,021,463			Long								2.2	%
W U5 Comdty			1,015,252			Short								2.1	%
W H6 Comdty			1,013,576			Long								2.1	%
SBH6 Comdty			1,012,411			Long								2.1	%
SBV5 Comdty			1,006,967			Short								2.1	%
LHN5 Comdty			1,000,797			Long								2.1	%
KWZ5 Comdty			1,000,042			Long								2.1	%
KWU5 Comdty			999,223			Short								2.1	%
NGJ26 Comdty			994,172			Long								2.1	%
NGH26 Comdty			990,583			Short								2.1	%
XBQ5 Comdty			959,920			Short								2.0	%
SMZ5 Comdty			873,781			Long								1.8	%
GBP-UNK			730,857			Long								1.5	%
EUR-UNK			730,857			Short								1.5	%
QWV5 Comdty			726,794			Short								1.5	%
CLQ5 Comdty			708,369			Short								1.5	%
S U5 Comdty			619,821			Short								1.3	%
BOZ5 Comdty			520,311			Short								1.1	%
CLQ5 Comdty			492,702			Long								1.0	%
CAD-UNK			491,880			Long								1.0	%
RSX5 Comdty			491,880			Long								1.0	%
COU5 Comdty			486,668			Long								1.0	%
EUR-UNK			471,417			Short								1.0	%
IJQ5 Comdty			471,417			Short								1.0	%
W U5 Comdty			450,794			Long								1.0	%
C U5 Comdty			447,765			Long								0.9	%

 

See Notes to Financial Statements.

 

60

 

 

Simplify Multi-QIS Alternative ETF

Consolidated Schedule of Investments (Continued)

June 30, 2025

 

 

Security description		Notional Value				Long Short			Unrealized Appreciation/ (Depreciation)				% of basket
S X5 Comdty			418,093			Short								0.9	%
LHZ5 Comdty			402,402			Short								0.9	%
LHQ5 Comdty			391,544			Short								0.8	%
Other Components			2,085,605			—								5.1	%
Total										1,953				100.0	%

 

*	The following table shows the top 50 positions and related values of the securities within the ARCMCC1RS (Diversified Commodity Carry Basket 2, Commodity) basket.

 

Security description		Notional Value				Long Short			Unrealized Appreciation/ (Depreciation)				% of basket
HGH6 Comdty		$	6,896,128			Long								8.6	%
S Q5 Comdty			3,627,336			Short								4.5	%
NGH6 Comdty			3,468,372			Long								4.3	%
GCG6 Comdty			2,240,913			Long								2.8	%
SMQ5 Comdty			2,137,337			Long								2.7	%
LCZ5 Comdty			2,095,854			Long								2.6	%
BOQ5 Comdty			2,040,079			Long								2.5	%
SIH6 Comdty			2,007,183			Long								2.5	%
SIU5 Comdty			1,963,487			Short								2.5	%
SBV5 Comdty			1,643,706			Short								2.1	%
SBH6 Comdty			1,594,446			Long								2.0	%
CLQ5 Comdty			1,523,055			Short								1.9	%
SBV5 Comdty			1,467,265			Short								1.8	%
FCQ5 Comdty			1,430,473			Short								1.8	%
XBQ5 Comdty			1,357,177			Long								1.7	%
KCH6 Comdty			1,265,408			Long								1.6	%
GCG6 Comdty			1,212,970			Long								1.5	%
GCQ5 Comdty			1,212,304			Short								1.5	%
KCU5 Comdty			1,182,854			Short								1.5	%
GCZ5 Comdty			1,110,750			Short								1.4	%
GCQ5 Comdty			1,107,525			Short								1.4	%
NGH6 Comdty			964,514			Long								1.2	%
LAU5 Comdty			848,283			Short								1.1	%
CCU5 Comdty			847,110			Short								1.1	%
HOQ5 Comdty			745,462			Long								0.9	%
LCG6 Comdty			696,196			Long								0.9	%
CLH6 Comdty			695,161			Long								0.9	%
LCQ5 Comdty			686,733			Short								0.9	%
NGU5 Comdty			616,763			Short								0.8	%
LAQ5 Comdty			614,799			Short								0.8	%
COH6 Comdty			607,256			Long								0.8	%
KWU5 Comdty			589,033			Short								0.7	%
BOZ5 Comdty			551,001			Short								0.7	%
W U5 Comdty			535,877			Short								0.7	%
CLH6 Comdty			525,316			Long								0.7	%
COU5 Comdty			522,365			Short								0.7	%
LHG6 Comdty			501,445			Long								0.6	%
HGH6 Comdty			499,997			Long								0.6	%
CLU5 Comdty			488,043			Short								0.6	%
COH6 Comdty			487,176			Long								0.6	%

 

See Notes to Financial Statements.

 

61

 

 

Simplify Multi-QIS Alternative ETF

Consolidated Schedule of Investments (Continued)

June 30, 2025

 

 

Security description		Notional Value				Long Short			Unrealized Appreciation/ (Depreciation)				% of basket
HGU5 Comdty			480,351			Short								0.6	%
CLU5 Comdty			462,419			Short								0.6	%
S X5 Comdty			440,457			Short								0.6	%
S H6 Comdty			439,593			Long								0.5	%
BOF6 Comdty			425,245			Long								0.5	%
LCZ5 Comdty			413,284			Long								0.5	%
CTH6 Comdty			399,453			Long								0.5	%
S X5 Comdty			391,145			Short								0.5	%
SIH6 Comdty			388,745			Long								0.5	%
SIU5 Comdty			388,222			Short								0.5	%
Other Components			21,240,097			—								26.2	%
Total										20,021				100.0	%

 

*	The following table shows the top 50 positions and related values of the securities within the ARCMCC2RS (Diversified Commodity Carry Basket 2, Commodity) basket.

 

Security description		Notional Value				Long Short			Unrealized Appreciation/ (Depreciation)				% of basket
GCZ5 Comdty		$	2,964,605			Long								6.1	%
GCQ5 Comdty			2,803,965			Short								5.8	%
NGF26 Comdty			2,045,286			Long								4.2	%
C U5 Comdty			1,522,390			Short								3.1	%
NGU25 Comdty			1,414,660			Short								2.9	%
NGF26 Comdty			1,327,632			Long								2.7	%
NGX25 Comdty			1,314,951			Short								2.7	%
COX5 Comdty			1,118,664			Long								2.3	%
COU5 Comdty			1,100,269			Short								2.3	%
HGU5 Comdty			1,070,569			Long								2.2	%
S F6 Comdty			1,025,212			Long								2.1	%
COX5 Comdty			1,007,670			Long								2.1	%
CLU5 Comdty			994,041			Long								2.0	%
HGZ5 Comdty			942,804			Short								1.9	%
C N6 Comdty			924,223			Long								1.9	%
S H6 Comdty			890,400			Short								1.8	%
SIU5 Comdty			870,509			Long								1.8	%
W U5 Comdty			849,111			Short								1.7	%
SIU5 Comdty			837,079			Short								1.7	%
C H6 Comdty			729,756			Long								1.5	%
LAG26 Comdty			708,898			Long								1.5	%
BOZ5 Comdty			707,379			Long								1.5	%
BOZ5 Comdty			680,214			Short								1.4	%
XBU5 Comdty			653,542			Short								1.3	%
LCV5 Comdty			634,669			Long								1.3	%
BOF6 Comdty			623,070			Short								1.3	%
BOK6 Comdty			622,605			Long								1.3	%
LCQ5 Comdty			621,040			Short								1.3	%
SBV5 Comdty			610,223			Short								1.3	%
COH6 Comdty			604,186			Short								1.2	%
LCZ5 Comdty			568,490			Short								1.2	%
LCV5 Comdty			568,289			Long								1.2	%

 

See Notes to Financial Statements.

 

62

 

 

Simplify Multi-QIS Alternative ETF

Consolidated Schedule of Investments (Continued)

June 30, 2025

 

 

Security description		Notional Value				Long Short		Unrealized Appreciation/ (Depreciation)				% of basket
SMZ5 Comdty			553,098			Long							1.1	%
CLN6 Comdty			526,484			Short							1.1	%
LAK26 Comdty			498,068			Short							1.0	%
SMH6 Comdty			487,959			Short							1.0	%
CTZ5 Comdty			484,241			Short							1.0	%
W U5 Comdty			460,867			Long							0.9	%
QSU5 Comdty			439,356			Long							0.9	%
KCK6 Comdty			438,099			Long							0.9	%
SBH6 Comdty			428,986			Long							0.9	%
KCK6 Comdty			409,193			Short							0.8	%
W K6 Comdty			405,764			Long							0.8	%
LNG6 Comdty			398,713			Long							0.8	%
QSK6 Comdty			385,623			Short							0.8	%
LNU5 Comdty			375,542			Short							0.8	%
LHQ5 Comdty			372,176			Short							0.8	%
SBH6 Comdty			363,503			Long							0.7	%
LXG6 Comdty			359,689			Long							0.7	%
XBU5 Comdty			354,719			Long							0.7	%
Other Components			7,549,237			—							15.7	%
Total									16,682				100.0	%

 

*

The following table shows the individual positions and related values of the securities within the ARFIFMRRS (FX Mean Reversion, Foreign Exchange) basket.

 

Security description		Notional Value				Long Short		Unrealized Appreciation/ (Depreciation)				% of basket
CHF/USD 09/30/2025 Curncy		$	4,536,562			Short							36.4	%
CAD/USD 10/01/2025 Curncy			2,560,811			Long							20.6	%
NOK/USD 09/30/2025 Curncy			2,453,234			Long							19.7	%
GBP/USD 09/30/2025 Curncy			1,317,576			Short							10.6	%
SEK/USD 09/30/2025 Curncy			1,053,639			Long							8.5	%
NZD/USD 09/30/2025 Curncy			385,637			Short							3.1	%
CAD/USD 08/29/2025 Curncy			88,174			Long							0.7	%
AUD/USD 09/30/2025 Curncy			53,780			Long							0.4	%
Total									66,407				100.0	%

 

*

The following table shows the top 50 positions and related values of the securities within the ARFXXCCRS (Cross Currency Carry, Foreign Exchange) basket.

 

Security description		Notional Value				Long Short		Unrealized Appreciation/ (Depreciation)				% of basket
JPY/USD Swap 2y2y 17/03/2027 19/03/2029			20,035,759			Long							8.8	%
JPY/USD Swap 2y2y 16/12/2026 18/12/2028			20,035,759			Long							8.8	%
JPY/USD Swap 2y2y 16/09/2026 19/09/2028			20,035,759			Long							8.8	%
JPY/USD Swap 2y2y 16/06/2027 18/06/2029			20,035,759			Long							8.8	%

 

See Notes to Financial Statements.

 

63

 

 

Simplify Multi-QIS Alternative ETF

Consolidated Schedule of Investments (Continued)

June 30, 2025

 

 

Security description		Notional Value				Long Short		Unrealized Appreciation/ (Depreciation)				% of basket
JPY/USD Swap 2y3y 16/06/2027 17/06/2030			13,331,301			Long							5.8	%
JPY/USD Swap 2y3y 16/12/2026 17/12/2029			13,331,301			Long							5.8	%
JPY/USD Swap 2y3y 17/03/2027 18/03/2030			13,331,301			Long							5.8	%
JPY/USD Swap 2y3y 16/09/2026 18/09/2029			13,331,301			Long							5.8	%
JPY/USD Swap 10y10y 20/09/2034 20/09/2044			5,610,354			Short							2.5	%
JPY/USD Swap 10y10y 22/03/2035 22/03/2045			5,610,354			Short							2.5	%
JPY/USD Swap 10y10y 20/12/2034 20/12/2044			5,610,354			Short							2.5	%
JPY/USD Swap 10y10y 20/06/2035 20/06/2045			5,610,354			Short							2.5	%
JPY/USD Swap 5y5y 21/03/2030 22/03/2035			3,328,328			Short							1.5	%
JPY/USD Swap 5y5y 20/06/2030 20/06/2035			3,328,328			Short							1.5	%
JPY/USD Swap 5y5y 19/09/2029 19/09/2034			3,328,328			Short							1.5	%
JPY/USD Swap 5y5y 19/12/2029 19/12/2034			3,328,328			Short							1.5	%
JPY/USD Swap 2y8y 16/12/2026 18/12/2034			3,225,326			Long							1.4	%
JPY/USD Swap 2y8y 17/03/2027 19/03/2035			3,225,326			Long							1.4	%
JPY/USD Swap 2y8y 16/09/2026 19/09/2034			3,225,326			Long							1.4	%
JPY/USD Swap 2y8y 16/06/2027 18/06/2035			3,225,326			Long							1.4	%
EUR/USD Swap 10y10y 20/06/2035 20/06/2045			2,924,486			Short							1.3	%
EUR/USD Swap 10y10y 21/03/2035 21/03/2045			2,924,486			Short							1.3	%
EUR/USD Swap 10y10y 20/12/2034 20/12/2044			2,924,486			Short							1.3	%
EUR/USD Swap 10y10y 20/09/2034 20/09/2044			2,924,486			Short							1.3	%
CAD/USD Swap 2y2y 16/12/2026 18/12/2028			2,859,318			Short							1.3	%
CAD/USD Swap 2y2y 16/09/2026 18/09/2028			2,859,318			Short							1.3	%
CAD/USD Swap 2y2y 16/06/2027 18/06/2029			2,859,318			Short							1.3	%
CAD/USD Swap 2y2y 17/03/2027 19/03/2029			2,859,318			Short							1.3	%

 

See Notes to Financial Statements.

 

64

 

 

Simplify Multi-QIS Alternative ETF

Consolidated Schedule of Investments (Continued)

June 30, 2025

 

 

Security description		Notional Value				Long Short		Unrealized Appreciation/ (Depreciation)				% of basket
AUD/USD Swap 2y2y 16/12/2026 18/12/2028			2,323,115			Short							1.0	%
AUD/USD Swap 2y2y 17/03/2027 19/03/2029			2,323,115			Short							1.0	%
AUD/USD Swap 2y2y 16/09/2026 18/09/2028			2,323,115			Short							1.0	%
AUD/USD Swap 2y2y 16/06/2027 18/06/2029			2,323,115			Short							1.0	%
EUR/USD Swap 2y8y 16/06/2027 18/06/2035			1,783,922			Short							0.8	%
EUR/USD Swap 2y8y 17/03/2027 19/03/2035			1,783,922			Short							0.8	%
EUR/USD Swap 2y8y 16/12/2026 18/12/2034			1,783,922			Short							0.8	%
EUR/USD Swap 2y8y 16/09/2026 18/09/2034			1,783,922			Short							0.8	%
EUR/USD Swap 2y18y 16/12/2026 16/12/2044			729,481			Short							0.3	%
EUR/USD Swap 2y18y 16/06/2027 16/06/2045			729,481			Short							0.3	%
EUR/USD Swap 2y18y 16/09/2026 16/09/2044			729,481			Short							0.3	%
EUR/USD Swap 2y18y 17/03/2027 17/03/2045			729,481			Short							0.3	%
GBP/USD Swap 10y10y 20/12/2034 20/12/2044			513,065			Long							0.2	%
GBP/USD Swap 10y10y 20/09/2034 20/09/2044			513,065			Long							0.2	%
GBP/USD Swap 10y10y 20/06/2035 20/06/2045			513,065			Long							0.2	%
GBP/USD Swap 10y10y 21/03/2035 21/03/2045			513,065			Long							0.2	%
AUD/USD Swap 5y5y 20/03/2030 20/03/2035			79,830			Short							0.0	%
AUD/USD Swap 5y5y 19/09/2029 19/09/2034			79,830			Short							0.0	%
AUD/USD Swap 5y5y 19/12/2029 19/12/2034			79,830			Short							0.0	%
AUD/USD Swap 5y5y 20/06/2030 20/06/2035			79,830			Short							0.0	%
EUR/USD Swap 2y3y 16/06/2027 17/06/2030			68,930			Short							0.0	%
EUR/USD Swap 2y3y 16/09/2026 17/09/2029			68,930			Short							0.0	%
Other Components			919,454			—							0.4	%
Total									45,494				100.0	%

 

*

The following table shows the top 50 positions and related values of the securities within the BACVWWTRS (Oil Convexity, Commodity) basket.

 

See Notes to Financial Statements.

 

65

 

 

Simplify Multi-QIS Alternative ETF

Consolidated Schedule of Investments (Continued)

June 30, 2025

 

 

Security description		Notional Value				Long Short		Unrealized Appreciation/ (Depreciation)				% of basket
COV5 Comdty			889,187			Long							30.0	%
CLX5 Comdty			314,099			Long							10.6	%
COX5 Comdty			178,565			Long							6.0	%
COU5 Comdty			119,651			Short							4.0	%
COZ5 Comdty			92,654			Short							3.1	%
COX5C 63.00 Comdty			85,452			Short							2.9	%
CLU5 Comdty			78,603			Short							2.6	%
CLV5 Comdty			77,936			Long							2.6	%
COV5C 64.00 Comdty			68,174			Short							2.3	%
COX5P 63.00 Comdty			47,753			Short							1.6	%
COV5C 60.00 Comdty			45,434			Short							1.5	%
COV5C 61.00 Comdty			39,693			Short							1.3	%
COU5P 71.00 Comdty			38,801			Short							1.3	%
COU5C 63.00 Comdty			37,710			Short							1.3	%
COV5P 64.00 Comdty			37,619			Short							1.3	%
COZ5P 65.00 Comdty			35,930			Short							1.2	%
COZ5C 65.00 Comdty			35,224			Short							1.2	%
COX5P 73.00 Comdty			31,225			Short							1.1	%
CLQ5 Comdty			30,342			Long							1.0	%
COV5C 63.00 Comdty			29,879			Short							1.0	%
COV5C 65.00 Comdty			29,059			Short							1.0	%
COU5P 73.00 Comdty			25,316			Short							0.9	%
COX5C 65.00 Comdty			24,625			Short							0.8	%
COU5C 64.00 Comdty			23,280			Short							0.8	%
COX5P 65.00 Comdty			23,086			Short							0.8	%
COU5C 62.00 Comdty			22,520			Short							0.8	%
COU5P 72.00 Comdty			22,341			Short							0.8	%
COV5P 65.00 Comdty			22,098			Short							0.7	%
COX5C 64.00 Comdty			18,808			Short							0.6	%
COZ5P 74.00 Comdty			17,891			Short							0.6	%
COU5P 70.00 Comdty			16,533			Short							0.6	%
COZ5P 72.00 Comdty			15,751			Short							0.5	%
COX5C 61.00 Comdty			13,799			Short							0.5	%
COX5P 71.00 Comdty			13,625			Short							0.5	%
COX5P 64.00 Comdty			13,618			Short							0.5	%
COZ5P 69.00 Comdty			12,804			Short							0.4	%
COX5P 70.00 Comdty			12,475			Short							0.4	%
COX5C 62.00 Comdty			12,194			Short							0.4	%
COV5P 63.00 Comdty			12,001			Short							0.4	%
CLV5P 39.00 Comdty			11,737			Long							0.4	%
COV5C 62.00 Comdty			11,542			Short							0.4	%
COX5P 68.00 Comdty			10,576			Short							0.4	%
COX5P 67.00 Comdty			9,500			Short							0.3	%
CLX5P 42.00 Comdty			9,369			Long							0.3	%
CLV5P 40.00 Comdty			9,135			Long							0.3	%
CLX5P 46.00 Comdty			9,120			Long							0.3	%
COV5P 61.00 Comdty			8,529			Short							0.3	%
CLX5P 45.00 Comdty			8,274			Long							0.3	%

 

See Notes to Financial Statements.

 

66

 

 

Simplify Multi-QIS Alternative ETF

Consolidated Schedule of Investments (Continued)

June 30, 2025

 

 

Security description		Notional Value				Long Short		Unrealized Appreciation/ (Depreciation)				% of basket
CLX5P 44.00 Comdty			7,558			Long							0.3	%
COV5P 60.00 Comdty			7,181			Short							0.2	%
Other Components			199,392			—							6.6	%
Total									(61,638	)			100.0	%

 

*

The following table shows the individual positions and related values of the securities within the BNPXVTRS (Synthetic Volatility Long, Equity) basket.

 

Security description		Notional Value				Long Short		Unrealized Appreciation/ (Depreciation)				% of basket
Cash		$	8,983,553			Long							99.6	%
UXN5 Index			18,574			Long							0.2	%
UXQ5 Index			15,863			Long							0.2	%
Total									(11,896	)			100.0	%

 

*

The following table shows the top 50 positions and related values of the securities within the DFEQDLPRS (Synthetic Shallow Hedge, Equity) basket.

 

Security description		Notional Value				Long Short		Unrealized Appreciation/ (Depreciation)				% of basket
CASH			29,046,536			Long							99.0	%
SPX 03/20/26 P5375 Index			21,060			Long							0.1	%
SPX 12/19/25 P5450 Index			11,899			Long							0.0	%
SPX 12/19/25 P5425 Index			11,523			Long							0.0	%
SPX 12/19/25 P5350 Index			10,692			Long							0.0	%
SPX 12/19/25 P5500 Index			10,478			Long							0.0	%
SPX 03/20/26 P5325 Index			10,093			Long							0.0	%
SPX 03/20/26 P5425 Index			8,227			Long							0.0	%
SPX 03/20/26 P5350 Index			7,737			Long							0.0	%
SPX 12/19/25 P5400 Index			7,522			Long							0.0	%
SPX 03/20/26 P5300 Index			7,410			Long							0.0	%
SPX 12/19/25 P5375 Index			7,269			Long							0.0	%
SPX 06/18/26 P5475 Index			7,113			Long							0.0	%
SPX 03/20/26 P5250 Index			7,095			Long							0.0	%
SPX 03/20/26 P4750 Index			6,419			Long							0.0	%
SPX 12/19/25 P5250 Index			6,413			Long							0.0	%
SPX 03/20/26 P5100 Index			6,294			Long							0.0	%
SPX 03/20/26 P5075 Index			6,166			Long							0.0	%
SPX 12/19/25 P5475 Index			6,126			Long							0.0	%
SPX 03/20/26 P5050 Index			6,051			Long							0.0	%
SPX 12/19/25 P5100 Index			5,459			Long							0.0	%
SPX 03/20/26 P5400 Index			5,369			Long							0.0	%
SPX 12/19/25 P5325 Index			5,221			Long							0.0	%
SPX 03/20/26 P4850 Index			5,177			Long							0.0	%

 

See Notes to Financial Statements.

 

67

 

 

Simplify Multi-QIS Alternative ETF

Consolidated Schedule of Investments (Continued)

June 30, 2025

 

 

Security description		Notional Value				Long Short		Unrealized Appreciation/ (Depreciation)				% of basket
SPX 12/19/25 P5275 Index			4,940			Long							0.0	%
SPX 03/20/26 P5200 Index			4,559			Long							0.0	%
SPX 09/19/25 P5450 Index			4,468			Long							0.0	%
SPX 12/19/25 P5525 Index			4,308			Long							0.0	%
SPX 03/20/26 P5125 Index			4,288			Long							0.0	%
SPX 09/19/25 P5275 Index			3,918			Long							0.0	%
SPX 12/19/25 P5050 Index			3,912			Long							0.0	%
SPX 09/19/25 P5475 Index			3,878			Long							0.0	%
SPX 03/20/26 P5000 Index			3,865			Long							0.0	%
SPX 06/18/26 P5575 Index			3,833			Long							0.0	%
SPX 03/20/26 P4975 Index			3,795			Long							0.0	%
SPX 06/18/26 P5550 Index			3,766			Long							0.0	%
SPX 06/18/26 P5525 Index			3,697			Long							0.0	%
SPX 09/19/25 P5225 Index			3,630			Long							0.0	%
SPX 06/18/26 P5425 Index			3,436			Long							0.0	%
SPX 09/19/25 P5150 Index			3,240			Long							0.0	%
SPX 12/19/25 P5200 Index			3,045			Long							0.0	%
SPX 03/20/26 P5450 Index			2,809			Long							0.0	%
SPX 09/19/25 P5400 Index			2,737			Long							0.0	%
SPX 09/19/25 P5375 Index			2,626			Long							0.0	%
SPX 09/19/25 P5175 Index			2,419			Long							0.0	%
SPX 03/20/26 P5225 Index			2,325			Long							0.0	%
SPX 03/20/26 P5150 Index			2,190			Long							0.0	%
SPX 09/19/25 P5250 Index			2,159			Long							0.0	%
SPX 09/19/25 P5425 Index			2,136			Long							0.0	%
SPX 03/20/26 P5025 Index			1,975			Long							0.0	%
Other Components			26,358			—							0.9	%
Total									(111,745	)			100.0	%

 

*

The following table shows the top 50 positions and related values of the securities within the DFEQGDTRS (Dispersion, Equity) basket.

 

Security description		Notional Value				Long Short		Unrealized Appreciation/ (Depreciation)				% of basket
SPY Equity		$	9,341,326			Long							75.2	%
BRKb Equity			366,136			Long							2.9	%
UNH Equity			123,818			Long							1.0	%
MCD Equity			106,583			Long							0.9	%
PG Equity			88,832			Long							0.7	%
COST Equity			64,986			Long							0.5	%
ACN Equity			35,282			Long							0.3	%
MA Equity			31,653			Long							0.3	%
KO Equity			29,970			Long							0.2	%
JNJ Equity			25,388			Long							0.2	%
LLY Equity			16,490			Long							0.1	%
ADBE Equity			14,273			Long							0.1	%

 

See Notes to Financial Statements.

 

68

 

 

Simplify Multi-QIS Alternative ETF

Consolidated Schedule of Investments (Continued)

June 30, 2025

 

 

Security description		Notional Value				Long Short		Unrealized Appreciation/ (Depreciation)				% of basket
V Equity			10,899			Long							0.1	%
VZ Equity			8,178			Long							0.1	%
PEP Equity			5,747			Long							0.0	%
ABBV Equity			5,343			Long							0.0	%
NVDA US 07/18/2025 C115 Equity			3,527			Long							0.0	%
NVDA US 07/18/2025 C115 Equity			3,425			Long							0.0	%
NVDA US 07/18/2025 C115 Equity			3,242			Long							0.0	%
NVDA US 07/18/2025 C120 Equity			3,180			Long							0.0	%
NVDA US 07/18/2025 C110 Equity			3,169			Long							0.0	%
NVDA US 07/18/2025 C115 Equity			3,142			Long							0.0	%
NVDA US 07/18/2025 C105 Equity			3,128			Long							0.0	%
NVDA US 07/18/2025 C120 Equity			3,127			Long							0.0	%
NVDA US 07/18/2025 C120 Equity			2,999			Long							0.0	%
NVDA US 07/18/2025 C120 Equity			2,978			Long							0.0	%
NVDA US 07/18/2025 C110 Equity			2,951			Long							0.0	%
NVDA US 07/18/2025 C120 Equity			2,866			Long							0.0	%
NVDA US 07/18/2025 C105 Equity			2,823			Long							0.0	%
NVDA US 07/18/2025 C120 Equity			2,783			Long							0.0	%
NVDA US 07/18/2025 C105 Equity			2,744			Long							0.0	%
NVDA US 07/18/2025 C120 Equity			2,635			Long							0.0	%
NVDA US 07/18/2025 C115 Equity			2,613			Long							0.0	%
NVDA US 07/18/2025 C110 Equity			2,585			Long							0.0	%
NVDA US 07/18/2025 C125 Equity			2,564			Long							0.0	%
NVDA US 07/18/2025 C120 Equity			2,553			Long							0.0	%
NVDA US 07/18/2025 C125 Equity			2,522			Long							0.0	%
NVDA US 07/18/2025 C115 Equity			2,432			Long							0.0	%
NVDA US 07/18/2025 C125 Equity			2,418			Long							0.0	%
NVDA US 07/18/2025 C125 Equity			2,401			Long							0.0	%
NVDA US 07/18/2025 C125 Equity			2,343			Long							0.0	%
NVDA US 07/18/2025 C110 Equity			2,332			Long							0.0	%
NVDA US 07/18/2025 C125 Equity			2,311			Long							0.0	%
NVDA US 07/18/2025 C125 Equity			2,294			Long							0.0	%
NVDA US 07/18/2025 C110 Equity			2,267			Long							0.0	%
NVDA US 07/18/2025 C125 Equity			2,245			Long							0.0	%
NVDA US 07/18/2025 C110 Equity			2,139			Long							0.0	%
NVDA US 07/18/2025 C115 Equity			2,131			Long							0.0	%
NVDA US 07/18/2025 C125 Equity			2,125			Long							0.0	%
NVDA US 07/18/2025 C120 Equity			2,123			Long							0.0	%
Other Components			2,054,097			—							17.4	%
Total									(11,029	)			100.0	%

 

*

The following table shows the top 50 positions and related values of the securities within the DFEQPR2RS (Dispersion, Equity) basket.

 

Security description		Notional Value				Long Short		Unrealized Appreciation/ (Depreciation)				% of basket
USD		$	25,503,193			Long							84.5	%
ESU5 Index			4,642,681			Long							15.4	%
SPXW US 07/02/25 C6230 Index			1,429			Short							0.0	%

 

See Notes to Financial Statements.

 

69

 

 

Simplify Multi-QIS Alternative ETF

Consolidated Schedule of Investments (Continued)

June 30, 2025

 

 

Security description		Notional Value				Long Short		Unrealized Appreciation/ (Depreciation)				% of basket
SPXW US 07/02/25 C6240 Index			1,151			Short							0.0	%
SPXW US 07/02/25 C6260 Index			1,088			Short							0.0	%
SPXW US 07/01/25 C6240 Index			1,039			Short							0.0	%
SPXW US 07/02/25 C6275 Index			957			Short							0.0	%
SPXW US 07/01/25 C6245 Index			899			Short							0.0	%
SPXW US 07/03/25 C6280 Index			816			Short							0.0	%
SPXW US 07/01/25 C6215 Index			804			Short							0.0	%
SPXW US 07/01/25 C6220 Index			777			Short							0.0	%
SPXW US 07/07/25 C6310 Index			709			Short							0.0	%
SPXW US 07/02/25 C6270 Index			701			Short							0.0	%
SPXW US 07/01/25 C6250 Index			665			Short							0.0	%
SPXW US 07/02/25 C6250 Index			610			Short							0.0	%
SPXW US 07/02/25 C6280 Index			607			Short							0.0	%
SPXW US 07/01/25 C6225 Index			559			Short							0.0	%
SPXW US 07/07/25 C6330 Index			556			Short							0.0	%
SPXW US 07/03/25 C6300 Index			550			Short							0.0	%
SPXW US 07/02/25 C6265 Index			535			Short							0.0	%
SPXW US 07/07/25 C6320 Index			499			Short							0.0	%
SPXW US 07/03/25 C6290 Index			477			Short							0.0	%
SPXW US 07/08/25 C6350 Index			443			Short							0.0	%
SPXW US 07/02/25 C6255 Index			428			Short							0.0	%
SPXW US 07/01/25 C6230 Index			423			Short							0.0	%
SPXW US 07/07/25 C6350 Index			406			Short							0.0	%
SPXW US 07/03/25 C6310 Index			395			Short							0.0	%
SPXW US 07/07/25 C6325 Index			394			Short							0.0	%
SPXW US 07/01/25 C6235 Index			350			Short							0.0	%
SPXW US 07/07/25 C6340 Index			341			Short							0.0	%
SPXW US 07/01/25 C6255 Index			315			Short							0.0	%
SPXW US 07/03/25 C6285 Index			301			Short							0.0	%
SPXW US 07/03/25 C6305 Index			294			Short							0.0	%
SPXW US 07/02/25 C6290 Index			284			Short							0.0	%
SPXW US 07/02/25 C6285 Index			253			Short							0.0	%
SPXW US 07/03/25 C6295 Index			227			Short							0.0	%
SPXW US 07/03/25 C6320 Index			225			Short							0.0	%
SPXW US 07/01/25 C6260 Index			222			Short							0.0	%
SPXW US 07/02/25 C6300 Index			218			Short							0.0	%
SPXW US 07/08/25 C6375 Index			212			Short							0.0	%
SPXW US 07/03/25 C6315 Index			194			Short							0.0	%
SPXW US 07/03/25 C6325 Index			186			Short							0.0	%
SPXW US 07/07/25 C6375 Index			182			Short							0.0	%
SPXW US 07/02/25 C6295 Index			165			Short							0.0	%
SPXW US 07/01/25 C6265 Index			163			Short							0.0	%
SPXW US 07/03/25 C6330 Index			155			Short							0.0	%
SPXW US 07/02/25 C6310 Index			129			Short							0.0	%
SPXW US 07/01/25 C6275 Index			125			Short							0.0	%
SPXW US 07/07/25 C6400 Index			118			Short							0.0	%
SPXW US 07/01/25 C6270 Index			117			Short							0.0	%
Other Components			1,526			—							0.1	%

 

See Notes to Financial Statements.

 

70

 

 

Simplify Multi-QIS Alternative ETF

Consolidated Schedule of Investments (Continued)

June 30, 2025

 

 

Security description

Notional Value

Long Short

Unrealized Appreciation/ (Depreciation)

% of basket

Total

7,658

100.0

%

 

*

The following table shows the top 50 positions and related values of the securities within the DFEQUDVRS (Dispersion, Equity) basket.

 

Security description		Notional Value				Long Short		Unrealized Appreciation/ (Depreciation)				% of basket
SPX 09/19/25 P5400 Index		$	24,049			Short							6.8	%
SPX 09/19/25 P5100 Index			18,449			Long							5.2	%
SPX 09/19/25 P5550 Index			18,187			Short							5.2	%
SPX 09/19/25 P5050 Index			17,633			Long							5.0	%
SPX 09/19/25 P5350 Index			16,669			Short							4.7	%
SPX 09/19/25 P5250 Index			14,586			Long							4.1	%
SPX 08/15/25 P5350 Index			11,785			Short							3.3	%
SPX 08/15/25 P5400 Index			10,852			Short							3.1	%
SPX 08/15/25 P5050 Index			10,559			Long							3.0	%
SPX 08/15/25 P5100 Index			9,055			Long							2.6	%
SPX 09/19/25 P5650 Index			8,643			Short							2.5	%
SPX 09/19/25 P5150 Index			8,197			Long							2.3	%
SPX 09/19/25 P5450 Index			7,520			Short							2.1	%
SPX 09/19/25 P5600 Index			7,298			Short							2.1	%
SPX 09/19/25 P5000 Index			6,773			Long							1.9	%
SPX 08/15/25 P5000 Index			5,054			Long							1.4	%
SPX 08/15/25 P5550 Index			4,833			Short							1.4	%
SPX 08/15/25 P5200 Index			4,739			Long							1.3	%
SPX 08/15/25 P5500 Index			4,373			Short							1.2	%
SPX 08/15/25 P5450 Index			4,266			Short							1.2	%
SPX 08/15/25 P4950 Index			3,947			Long							1.1	%
SPX 08/15/25 P5150 Index			3,725			Long							1.1	%
SPX 09/19/25 P5200 Index			2,859			Long							0.8	%
SPX 08/15/25 P5300 Index			2,675			Short							0.8	%
SPX 08/15/25 P4850 Index			2,244			Long							0.6	%
SPXW 08/29/25 P5650 Index			2,227			Short							0.6	%
SPX 09/19/25 P4950 Index			2,150			Long							0.6	%
SPX 09/19/25 P4900 Index			2,048			Long							0.6	%
SPXW 08/29/25 P5600 Index			1,968			Short							0.6	%
SPX 09/19/25 P4850 Index			1,957			Long							0.6	%
SPX 09/19/25 P4800 Index			1,878			Long							0.5	%
SPXW 08/22/25 P5650 Index			1,841			Short							0.5	%
SPXW 07/31/25 P5350 Index			1,825			Short							0.5	%
SPX 09/19/25 P4750 Index			1,806			Long							0.5	%
SPXW 08/29/25 P5550 Index			1,745			Short							0.5	%
SPX 09/19/25 P4700 Index			1,743			Long							0.5	%
SPX 09/19/25 P4650 Index			1,682			Long							0.5	%
SPXW 08/08/25 P5550 Index			1,679			Short							0.5	%
SPXW 08/08/25 P5400 Index			1,650			Short							0.5	%
SPXW 07/31/25 P5400 Index			1,643			Short							0.5	%
SPX 09/19/25 P4600 Index			1,628			Long							0.5	%
SPXW 08/22/25 P5600 Index			1,615			Short							0.5	%

 

See Notes to Financial Statements.

 

71

 

 

Simplify Multi-QIS Alternative ETF

Consolidated Schedule of Investments (Continued)

June 30, 2025

 

 

Security description		Notional Value				Long Short		Unrealized Appreciation/ (Depreciation)				% of basket
SPX 09/19/25 P5500 Index			1,607			Long							0.5	%
SPX 09/19/25 P4550 Index			1,578			Long							0.4	%
SPXW 07/25/25 P5350 Index			1,551			Short							0.4	%
SPX 08/15/25 P4900 Index			1,537			Long							0.4	%
SPX 09/19/25 P4500 Index			1,526			Long							0.4	%
SPX 09/19/25 P4450 Index			1,482			Long							0.4	%
SPXW 07/31/25 P5550 Index			1,462			Short							0.4	%
SPX 08/15/25 P5650 Index			1,443			Short							0.4	%
Other Components			79,691			—							22.9	%
Total									(10,607	)			100.0	%

 

The following table shows the individual positions and related values of the securities within the DFFIERVRS (EU Long Rates Volatility, Fixed Income) basket.

 

Security description		Notional Value				Long Short		Unrealized Appreciation/ (Depreciation)				% of basket
30Y10Y EUR Swaption Straddle		$	14,015,903			Long							17.1	%
30Y10Y EUR Swaption Straddle			7,709,987			Long							9.2	%
30Y10Y EUR Swaption Straddle			7,474,166			Long							8.9	%
30Y20Y EUR Swaption Straddle			5,745,840			Long							6.9	%
30Y10Y EUR Swaption Straddle			5,360,268			Long							6.4	%
30Y20Y EUR Swaption Straddle			5,310,680			Long							6.3	%
20Y10Y EUR Swaption Straddle			5,041,786			Long							6.0	%
30Y20Y EUR Swaption Straddle			5,000,585			Long							6.0	%
20Y10Y EUR Swaption Straddle			4,531,221			Long							5.4	%
30Y20Y EUR Swaption Straddle			3,804,065			Long							4.5	%
5Y10Y EUR Swaption Straddle			3,803,876			Long							4.5	%
20Y30Y EUR Swaption Straddle			3,624,832			Long							4.3	%
3Y10Y EUR Swaption Straddle			3,412,632			Long							4.1	%
3Y10Y EUR Swaption Straddle			2,710,669			Long							3.2	%
20Y30Y EUR Swaption Straddle			2,200,135			Long							2.6	%
30Y10Y EUR Swaption Straddle			2,137,753			Long							2.6	%
Fixed Leg @ 09/3/2055			342,351			Short							0.4	%
Fixed Leg @ 08/12/2054			183,797			Short							0.2	%
Fixed Leg @ 08/9/2054			172,961			Short							0.2	%
Fixed Leg @ 08/6/2055			130,004			Short							0.2	%
Fixed Leg @ 08/9/2054			125,457			Short							0.1	%
Fixed Leg @ 08/6/2055			118,297			Short							0.1	%
Fixed Leg @ 09/3/2055			112,502			Short							0.1	%
Fixed Leg @ 07/6/2045			110,618			Short							0.1	%
Fixed Leg @ 07/9/2044			99,151			Short							0.1	%
Fixed Leg @ 08/12/2054			84,235			Short							0.1	%
Fixed Leg @ 07/6/2045			70,555			Short							0.1	%
Fixed Leg @ 08/9/2054			52,946			Short							0.1	%
Fixed Leg @ 06/12/2029			51,605			Short							0.1	%
Fixed Leg @ 07/9/2044			42,204			Short							0.1	%
Fixed Leg @ 08/12/2027			34,636			Short							0.0	%
Fixed Leg @ 08/3/2028			28,669			Short							0.0	%
Total									(18,247	)			100.0	%

 

See Notes to Financial Statements.

 

72

 

 

Simplify Multi-QIS Alternative ETF

Consolidated Schedule of Investments (Continued)

June 30, 2025

 

 

The following table shows the top 50 positions and related values of the securities within the GSISCDTRS (Global Conditional Volatility, Hedge Equity) basket.

 

Security description		Notional Value				Long Short		Unrealized Appreciation/ (Depreciation)				% of basket
SPX 09/19/25 P5400 Index		$	7,071			Short							2.1	%
SX5E 08/15/25 P4950 Index			6,819			Short							2.0	%
SX5E 08/15/25 P4900 Index			6,364			Short							1.9	%
SX5E 08/15/25 P5000 Index			5,556			Short							1.6	%
SPX 09/19/25 P5100 Index			5,424			Long							1.6	%
SPX 09/19/25 P5550 Index			5,347			Short							1.6	%
SX5E 08/15/25 P4850 Index			5,222			Short							1.5	%
SPX 09/19/25 P5050 Index			5,184			Long							1.5	%
NKY 09/12/25 P34000 Index			5,072			Short							1.5	%
SPX 09/19/25 P5350 Index			4,901			Short							1.4	%
SPX 09/19/25 P5250 Index			4,288			Long							1.3	%
NKY 09/12/25 P33750 Index			4,220			Short							1.2	%
SX5E 09/19/25 P4700 Index			4,044			Short							1.2	%
NKY 09/12/25 P32000 Index			3,832			Long							1.1	%
SX5E 09/19/25 P4800 Index			3,697			Short							1.1	%
NKY 09/12/25 P31750 Index			3,479			Long							1.0	%
SPX 08/15/25 P5350 Index			3,465			Short							1.0	%
SX5E 09/19/25 P4750 Index			3,422			Short							1.0	%
NKY 08/08/25 P33750 Index			3,325			Short							1.0	%
SX5E 08/15/25 P4600 Index			3,226			Long							0.9	%
SPX 08/15/25 P5400 Index			3,191			Short							0.9	%
SX5E 09/19/25 P4450 Index			3,187			Long							0.9	%
NKY 08/08/25 P34000 Index			3,117			Short							0.9	%
SPX 08/15/25 P5050 Index			3,104			Long							0.9	%
SX5E 08/15/25 P4650 Index			3,065			Long							0.9	%
NKY 09/12/25 P34500 Index			2,950			Short							0.9	%
SX5E 09/19/25 P4550 Index			2,818			Long							0.8	%
SX5E 09/19/25 P4500 Index			2,739			Long							0.8	%
NKY 09/12/25 P36250 Index			2,686			Short							0.8	%
SPX 08/15/25 P5100 Index			2,662			Long							0.8	%
NKY 08/08/25 P32000 Index			2,611			Long							0.8	%
SPX 09/19/25 P5650 Index			2,541			Short							0.7	%
SX5E 07/18/25 P5000 Index			2,516			Short							0.7	%
SX5E 08/15/25 P4700 Index			2,491			Long							0.7	%
COV5P 60.00 Comdty			2,414			Short							0.7	%
SPX 09/19/25 P5150 Index			2,410			Long							0.7	%
NKY 09/12/25 P32500 Index			2,373			Long							0.7	%
NKY 08/08/25 P31750 Index			2,370			Long							0.7	%
SX5E 09/19/25 P4850 Index			2,345			Short							0.7	%
SX5E 09/19/25 P4650 Index			2,317			Short							0.7	%
SX5E 07/18/25 P4950 Index			2,218			Short							0.6	%
SX5E 09/19/25 P4400 Index			2,211			Long							0.6	%
SPX 09/19/25 P5450 Index			2,211			Short							0.6	%

 

See Notes to Financial Statements.

 

73

 

 

Simplify Multi-QIS Alternative ETF

Consolidated Schedule of Investments (Continued)

June 30, 2025

 

 

Security description		Notional Value				Long Short		Unrealized Appreciation/ (Depreciation)				% of basket
CLV5P 57.00 Comdty			2,179			Short							0.6	%
SPX 09/19/25 P5600 Index			2,146			Short							0.6	%
SPX 09/19/25 P5000 Index			1,992			Long							0.6	%
SX5E 07/18/25 P4900 Index			1,947			Short							0.6	%
NKY 09/12/25 P35250 Index			1,888			Short							0.6	%
CLV5P 56.00 Comdty			1,756			Short							0.5	%
NKY 09/12/25 P31000 Index			1,699			Long							0.5	%
Other Components			174,317			—							51.0	%
Total									(5,708	)			100.0	%

 

The following table shows the top 50 positions and related values of the securities within the JPOSFTRS (FX Volatility Carry, Foreign Exchange) basket.

 

Security description		Notional Value				Long Short		Unrealized Appreciation/ (Depreciation)				% of basket
USDCNH,Put,7.065296125618409,08/07/2025,05/06/2025		$	22,540			Short							0.1	%
USDCNH,Put,7.079046665101844,08/07/2025,05/06/2025			22,453			Short							0.1	%
USDCNH,Put,7.0927972045852785,08/07/2025,05/06/2025			22,366			Short							0.1	%
USDCNH,Put,7.106547744068712,08/07/2025,05/06/2025			22,279			Short							0.1	%
USDCNH,Put,7.120298283552147,08/07/2025,05/06/2025			22,193			Short							0.1	%
USDCNH,Put,7.134048823035582,08/07/2025,05/06/2025			22,108			Short							0.1	%
USDCNH,Put,7.147799362519017,08/07/2025,05/06/2025			22,023			Short							0.1	%
USDCNH,Put,7.086248427885084,30/06/2025,29/05/2025			21,964			Short							0.1	%
USDCNH,Put,7.0808453997759315,07/07/2025,04/06/2025			21,943			Short							0.1	%
USDCNH,Call,7.1615499020024505,08/07/2025,05/06/2025			21,938			Short							0.1	%
USDCNH,Put,7.083909471727097,03/07/2025,03/06/2025			21,896			Short							0.1	%
USDCNH,Put,7.099773530382158,30/06/2025,29/05/2025			21,880			Short							0.1	%
USDCNH,Put,7.094299598774193,07/07/2025,04/06/2025			21,860			Short							0.1	%
USDCNH,Call,7.175300441485885,08/07/2025,05/06/2025			21,854			Short							0.1	%
USDCNH,Put,7.078154747339832,02/07/2025,30/05/2025			21,833			Short							0.1	%
USDCNH,Put,7.09736786794685,03/07/2025,03/06/2025			21,813			Short							0.1	%
USDCNH,Put,7.11329863287923,30/06/2025,29/05/2025			21,797			Short							0.1	%
USDCNH,Put,7.107753797772455,07/07/2025,04/06/2025			21,777			Short							0.1	%
USDCNH,Call,7.18905098096932,08/07/2025,05/06/2025			21,771			Short							0.1	%
USDCNH,Put,7.091548765475193,02/07/2025,30/05/2025			21,751			Short							0.1	%
USDCNH,Put,7.110826264166603,03/07/2025,03/06/2025			21,730			Short							0.1	%
USDCNH,Put,7.126823735376304,30/06/2025,29/05/2025			21,714			Short							0.1	%
USDCNH,Put,7.121207996770717,07/07/2025,04/06/2025			21,695			Short							0.1	%

 

See Notes to Financial Statements.

 

74

 

 

Simplify Multi-QIS Alternative ETF

Consolidated Schedule of Investments (Continued)

June 30, 2025

 

 

Security description		Notional Value				Long Short		Unrealized Appreciation/ (Depreciation)				% of basket
USDCNH,Call,7.202801520452755,08/07/2025,05/06/2025			21,688			Short							0.1	%
USDCNH,Put,7.104942783610553,02/07/2025,30/05/2025			21,669			Short							0.1	%
USDCNH,Put,7.1242846603863565,03/07/2025,03/06/2025			21,648			Short							0.1	%
USDCNH,Put,7.140348837873377,30/06/2025,29/05/2025			21,632			Short							0.1	%
USDCNH,Put,7.1346621957689775,07/07/2025,04/06/2025			21,613			Short							0.1	%
USDCNH,Call,7.216552059936189,08/07/2025,05/06/2025			21,605			Short							0.1	%
USDCNH,Put,7.118336801745913,02/07/2025,30/05/2025			21,587			Short							0.1	%
USDCNH,Put,7.1377430566061095,03/07/2025,03/06/2025			21,567			Short							0.1	%
USDCNH,Put,7.15387394037045,30/06/2025,29/05/2025			21,550			Short							0.1	%
USDCNH,Put,7.148116394767239,07/07/2025,04/06/2025			21,532			Short							0.1	%
USDCNH,Call,7.230302599419623,08/07/2025,05/06/2025			21,523			Short							0.1	%
USDCNH,Put,7.131730819881273,02/07/2025,30/05/2025			21,506			Short							0.1	%
USDCNH,Put,7.1512014528258625,03/07/2025,03/06/2025			21,486			Short							0.1	%
USDCNH,Put,7.167399042867523,30/06/2025,29/05/2025			21,469			Short							0.1	%
USDCNH,Put,7.161570593765501,07/07/2025,04/06/2025			21,451			Short							0.1	%
USDCNH,Call,7.244053138903058,08/07/2025,05/06/2025			21,441			Short							0.1	%
USDCNH,Put,7.145124838016634,02/07/2025,30/05/2025			21,426			Short							0.1	%
USDCNH,Put,7.0721179174374535,09/07/2025,06/06/2025			21,408			Short							0.1	%
USDCNH,Put,7.1646598490456155,03/07/2025,03/06/2025			21,405			Short							0.1	%
USDCNH,Call,7.180924145364596,30/06/2025,29/05/2025			21,388			Short							0.1	%
USDCNH,Call,7.175024792763763,07/07/2025,04/06/2025			21,371			Short							0.1	%
USDCNH,Call,7.257803678386493,08/07/2025,05/06/2025			21,360			Short							0.1	%
USDCNH,Put,7.158518856151994,02/07/2025,30/05/2025			21,346			Short							0.1	%
USDCNH,Put,7.0852284904232405,09/07/2025,06/06/2025			21,329			Short							0.1	%
USDCNH,Call,7.1781182452653685,03/07/2025,03/06/2025			21,325			Short							0.1	%
USDCNH,Call,7.1944492478616695,30/06/2025,29/05/2025			21,308			Short							0.1	%
USDCNH,Call,7.188478991762024,07/07/2025,04/06/2025			21,291			Short							0.1	%
Other Components			20,043,972			—							95.0	%
Total									82,981				100.0	%

 

The following table shows the top 50 positions and related values of the securities within the Morgan Stanley Custom Junk Index basket.

 

See Notes to Financial Statements.

 

75

 

 

Simplify Multi-QIS Alternative ETF

Consolidated Schedule of Investments (Continued)

June 30, 2025

 

 

Security description		Shares				Long Short		Market Value				% of basket
Avis Budget Group Inc			2,939			Short			(496,850	)			1.3	%
Intel Corp			21,241			Short			(475,790	)			1.3	%
Carnival Corp			15,814			Short			(444,681	)			1.2	%
Charter Communications Inc			1,074			Short			(439,234	)			1.2	%
GXO Logistics Inc			8,665			Short			(421,987	)			1.1	%
Warner Bros Discovery Inc			36,437			Short			(417,565	)			1.1	%
Norwegian Cruise Line Holdings			20,539			Short			(416,536	)			1.1	%
Lumentum Holdings Inc			4,370			Short			(415,402	)			1.1	%
Coherent Corp			4,642			Short			(414,070	)			1.1	%
BILL Holdings Inc			8,927			Short			(412,968	)			1.1	%
Caesars Entertainment Inc			14,451			Short			(410,252	)			1.1	%
Penn Entertainment Inc			22,732			Short			(406,219	)			1.1	%
Acadia Healthcare Co Inc			17,749			Short			(402,715	)			1.1	%
Marriott Vacations Worldwide C			5,556			Short			(401,758	)			1.1	%
Tenet Healthcare Corp			2,282			Short			(401,689	)			1.1	%
United Airlines Holdings Inc			5,016			Short			(399,385	)			1.1	%
Ryder System Inc			2,506			Short			(398,376	)			1.1	%
MKS Inc			4,004			Short			(397,874	)			1.1	%
Delta Air Lines Inc			8,047			Short			(395,738	)			1.0	%
Sensata Technologies Holding P			13,130			Short			(395,331	)			1.0	%
Sirius XM Holdings Inc			17,116			Short			(393,164	)			1.0	%
WESCO International Inc			2,122			Short			(393,058	)			1.0	%
RingCentral Inc			13,847			Short			(392,574	)			1.0	%
Chemours Co/The			34,264			Short			(392,324	)			1.0	%
Southwest Airlines Co			12,093			Short			(392,310	)			1.0	%
Amentum Holdings Inc			16,608			Short			(392,122	)			1.0	%
Albemarle Corp			6,241			Short			(391,134	)			1.0	%
Kyndryl Holdings Inc			9,299			Short			(390,193	)			1.0	%
Mosaic Co/The			10,634			Short			(387,921	)			1.0	%
Entegris Inc			4,790			Short			(386,346	)			1.0	%
Envista Holdings Corp			19,750			Short			(385,909	)			1.0	%
American Airlines Group Inc			34,390			Short			(385,854	)			1.0	%
Air Lease Corp			6,594			Short			(385,663	)			1.0	%
Dollar General Corp			3,359			Short			(384,174	)			1.0	%
Elanco Animal Health Inc			26,794			Short			(382,619	)			1.0	%
Whirlpool Corp			3,772			Short			(382,557	)			1.0	%
Capri Holdings Ltd			21,543			Short			(381,312	)			1.0	%
Alcoa Corp			12,921			Short			(381,310	)			1.0	%
HP Inc			15,587			Short			(381,247	)			1.0	%
Viatris Inc			42,571			Short			(380,157	)			1.0	%
Alaska Air Group Inc			7,683			Short			(380,150	)			1.0	%
ZoomInfo Technologies Inc			37,522			Short			(379,727	)			1.0	%
MGM Resorts International			10,994			Short			(378,094	)			1.0	%
Clarivate PLC			87,377			Short			(375,723	)			1.0	%
Perrigo Co PLC			14,045			Short			(375,271	)			1.0	%
RH			1,980			Short			(374,295	)			1.0	%
DENTSPLY SIRONA Inc			23,531			Short			(373,673	)			1.0	%
Lithia Motors Inc			1,104			Short			(373,111	)			1.0	%

 

See Notes to Financial Statements.

 

76

 

 

Simplify Multi-QIS Alternative ETF

Consolidated Schedule of Investments (Continued)

June 30, 2025

 

 

Security description		Shares				Long Short		Market Value				% of basket
Unity Software Inc			15,363			Short			(371,777	)			1.0	%
Olin Corp			18,465			Short			(370,972	)			1.0	%
Other Components			1,569,846			—			(18,321,251	)			47.5	%
Total									(38,180,412	)			100.0	%

 

The following table shows the top 50 positions and related values of the securities within the Morgan Stanley Custom Quality Index basket.

 

Security description		Shares				Long Short		Market Value				% of basket
Bentley Systems Inc			9,593			Long			517,752				1.1	%
Core & Main Inc			8,572			Long			517,340				1.1	%
TopBuild Corp			1,598			Long			517,279				1.1	%
Comfort Systems USA Inc			958			Long			513,880				1.1	%
CACI International Inc			1,076			Long			512,818				1.1	%
Edison International			9,929			Long			512,318				1.1	%
Leidos Holdings Inc			3,238			Long			510,844				1.1	%
Cisco Systems Inc			7,328			Long			508,409				1.0	%
Allegion plc			3,527			Long			508,338				1.0	%
Amphenol Corp			5,141			Long			507,656				1.0	%
Meta Platforms Inc			684			Long			504,643				1.0	%
Pentair PLC			4,910			Long			504,112				1.0	%
Loar Holdings Inc			5,850			Long			504,094				1.0	%
Element Solutions Inc			22,255			Long			504,086				1.0	%
Stryker Corp			1,273			Long			503,612				1.0	%
DT Midstream Inc			4,572			Long			502,498				1.0	%
Fiserv Inc			2,911			Long			501,943				1.0	%
S&P Global Inc			951			Long			501,239				1.0	%
Yum! Brands Inc			3,382			Long			501,154				1.0	%
NRG Energy Inc			3,118			Long			500,757				1.0	%
Antero Midstream Corp			26,405			Long			500,382				1.0	%
nVent Electric PLC			6,819			Long			499,484				1.0	%
Cboe Global Markets Inc			2,138			Long			498,697				1.0	%
Microsoft Corp			1,002			Long			498,355				1.0	%
Home Depot Inc/The			1,358			Long			497,809				1.0	%
Applied Materials Inc			2,719			Long			497,778				1.0	%
Oracle Corp			2,274			Long			497,174				1.0	%
Brown & Brown Inc			4,481			Long			496,809				1.0	%
Autodesk Inc			1,604			Long			496,522				1.0	%
Elevance Health Inc			1,275			Long			495,898				1.0	%
Henry Schein Inc			6,784			Long			495,586				1.0	%
Motorola Solutions Inc			1,178			Long			495,366				1.0	%
Nasdaq Inc			5,538			Long			495,224				1.0	%
AutoZone Inc			133			Long			494,580				1.0	%
Masco Corp			7,682			Long			494,415				1.0	%

 

See Notes to Financial Statements.

 

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June 30, 2025

 

 

Security description		Shares				Long Short		Market Value				% of basket
SS&C Technologies Holdings Inc			5,963			Long			493,705				1.0	%
Lowe’s Cos Inc			2,222			Long			492,913				1.0	%
Molina Healthcare Inc			1,654			Long			492,703				1.0	%
Intuit Inc			625			Long			492,269				1.0	%
ResMed Inc			1,907			Long			492,105				1.0	%
O’Reilly Automotive Inc			5,448			Long			491,000				1.0	%
Sherwin-Williams Co/The			1,430			Long			490,916				1.0	%
CenterPoint Energy Inc			13,346			Long			490,327				1.0	%
Intercontinental Exchange Inc			2,670			Long			489,849				1.0	%
Aon PLC			1,371			Long			489,266				1.0	%
Omnicom Group Inc			6,794			Long			488,746				1.0	%
Broadridge Financial Solutions			2,009			Long			488,165				1.0	%
Omega Healthcare Investors Inc			13,309			Long			487,769				1.0	%
IDEXX Laboratories Inc			908			Long			486,922				1.0	%
Crown Holdings Inc			4,728			Long			486,906				1.0	%
Other Components			409,100			—			23,517,878				48.6	%
Total									48,480,290				100.0	%

 

The following table shows the top 50 positions and related values of the securities within the MQCP44TRS (Diversified Commodity Carry, Basket 1 Commodity) basket.

 

Security description		Notional Value				Long Short			Unrealized Appreciation/ (Depreciation)				% of basket
LNU5 Comdty		$	88,893			Short								13.8	%
LNH6 Comdty			59,156			Long								9.2	%
LNX5 Comdty			42,187			Long								6.6	%
QCZ5 Comdty			34,426			Long								5.4	%
QCU5 Comdty			34,291			Short								5.3	%
LAU25 Comdty			32,817			Short								5.1	%
LAH26 Comdty			26,522			Long								4.1	%
LXU5 Comdty			22,177			Short								3.5	%
GCZ5 Comdty			19,048			Long								3.0	%
GCQ5 Comdty			18,891			Short								2.9	%
LAX25 Comdty			16,345			Long								2.5	%
LNZ5 Comdty			14,688			Short								2.3	%
LXQ5 Comdty			14,561			Long								2.3	%
LNQ5 Comdty			14,098			Short								2.2	%
LXH6 Comdty			12,775			Long								2.0	%
LAM26 Comdty			11,006			Short								1.7	%
LLU5 Comdty			10,043			Short								1.6	%
LAV25 Comdty			9,115			Long								1.4	%
LNV5 Comdty			8,351			Long								1.3	%
LNF6 Comdty			8,291			Long								1.3	%
SMH6 Comdty			6,839			Long								1.1	%
LTX5 Comdty			5,957			Long								0.9	%
LXZ6 Comdty			5,833			Short								0.9	%
LLH6 Comdty			5,742			Long								0.9	%
QSU5 Comdty			5,558			Short								0.9	%

 

See Notes to Financial Statements.

 

78

 

 

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June 30, 2025

 

 

Security description		Notional Value				Long Short			Unrealized Appreciation/ (Depreciation)				% of basket
LAZ26 Comdty			5,481			Short								0.9	%
LLX5 Comdty			5,339			Long								0.8	%
LAQ25 Comdty			4,951			Short								0.8	%
SMZ5 Comdty			4,693			Short								0.7	%
CCZ5 Comdty			4,455			Long								0.7	%
LLF6 Comdty			4,300			Short								0.7	%
QSX5 Comdty			4,170			Long								0.6	%
LTV5 Comdty			3,970			Short								0.6	%
LTU5 Comdty			3,970			Short								0.6	%
LTZ5 Comdty			3,966			Long								0.6	%
CAU5 Comdty			3,960			Short								0.6	%
CAZ5 Comdty			3,951			Long								0.6	%
LXX5 Comdty			3,596			Long								0.6	%
LLV5 Comdty			3,157			Long								0.5	%
LXV5 Comdty			2,944			Short								0.5	%
LXF6 Comdty			2,937			Short								0.5	%
QSH6 Comdty			2,793			Long								0.4	%
QSQ5 Comdty			2,583			Long								0.4	%
LLQ5 Comdty			2,379			Short								0.4	%
SMV5 Comdty			2,273			Short								0.4	%
SMQ5 Comdty			2,261			Long								0.4	%
CCH6 Comdty			2,223			Short								0.3	%
CCU5 Comdty			2,222			Short								0.3	%
LLZ5 Comdty			2,057			Long								0.3	%
LTQ5 Comdty			1,987			Short								0.3	%
Other Components			28,302			—								4.4	%
Total										74,868				100.0	%

 

The following table shows the positions and related values of the securities within the MSVXCSTRS (Volatility Relative Value, Equity) basket.

 

Security description		Notional Value				Long Short			Unrealized Appreciation/ (Depreciation)				% of basket
USD Curncy		$	28,769,866			Long								94.0	%
UXN5 Index			740,501			Long								2.4	%
UXQ5 Index			626,630			Long								2.0	%
VIX UO 08/20/25 C27 Index			50,340			Short								0.2	%
VIX UO 07/16/25 C26 Index			41,513			Short								0.1	%
VIX UO 08/20/25 C25 Index			40,875			Short								0.1	%
VIX UO 08/20/25 C26 Index			35,641			Short								0.1	%
VIX UO 08/20/25 C28 Index			29,784			Short								0.1	%
VIX UO 08/20/25 C23.5 Index			29,399			Short								0.1	%
VIX UO 07/16/25 C24 Index			28,353			Short								0.1	%
VIX UO 07/16/25 C25 Index			25,486			Short								0.1	%

 

See Notes to Financial Statements.

 

79

 

 

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Consolidated Schedule of Investments (Continued)

June 30, 2025

 

 

Security description		Notional Value				Long Short			Unrealized Appreciation/ (Depreciation)				% of basket
VIX UO 07/16/25 C28 Index			22,510			Short								0.1	%
VIX UO 08/20/25 C30 Index			21,941			Short								0.1	%
VIX UO 07/16/25 C27 Index			18,824			Short								0.1	%
VIX UO 07/16/25 C23.5 Index			17,123			Short								0.1	%
VIX UO 07/16/25 C24.5 Index			15,665			Short								0.1	%
VIX UO 07/16/25 C23 Index			13,706			Short								0.0	%
VIX UO 08/20/25 C29 Index			11,075			Short								0.0	%
VIX UO 08/20/25 C31 Index			10,938			Short								0.0	%
VIX UO 08/20/25 C24 Index			7,386			Short								0.0	%
VIX UO 07/16/25 C22.5 Index			7,121			Short								0.0	%
VIX UO 07/16/25 C22 Index			7,087			Short								0.0	%
VIX UO 08/20/25 C32 Index			6,385			Short								0.0	%
VIX UO 07/16/25 C20.5 Index			5,488			Short								0.0	%
VIX UO 07/16/25 C21 Index			5,359			Short								0.0	%
VIX UO 07/16/25 C29 Index			4,069			Short								0.0	%
VIX UO 07/16/25 C30 Index			3,611			Short								0.0	%
VIX UO 07/16/25 C32 Index			2,226			Short								0.0	%
VIX UO 07/16/25 C21.5 Index			1,982			Short								0.0	%
VIX UO 07/16/25 C33 Index			273			Short								0.0	%
VIX UO 07/16/25 C31 Index			106			Short								0.0	%
VIX UO 07/16/25 C34 Index			97			Short								0.2	%
Total										248,167				100.0	%

 

The following table shows the positions and related values of the securities within the NMVVR1TRS (US Long Rates Volatility, Fixed Income) basket.

 

Security description		Notional Value				Long Short			Unrealized Appreciation/ (Depreciation)				% of basket
20Y10Y USD Swaption Straddle		$	16,477,614			Long								16.2	%
20Y10Y USD Swaption Straddle			15,757,269			Long								15.6	%
20Y10Y USD Swaption Straddle			10,469,925			Long								10.4	%
15Y10Y USD Swaption Straddle			9,589,683			Long								9.5	%
20Y10Y USD Swaption Straddle			8,733,798			Long								8.7	%
15Y10Y USD Swaption Straddle			7,972,190			Long								7.9	%
15Y10Y USD Swaption Straddle			7,221,542			Long								7.2	%
15Y10Y USD Swaption Straddle			4,618,190			Long								4.6	%
20Y20Y USD Swaption Straddle			4,586,227			Long								4.5	%
20Y20Y USD Swaption Straddle			3,157,925			Long								3.1	%
20Y20Y USD Swaption Straddle			2,629,235			Long								2.6	%
20Y20Y USD Swaption Straddle			2,618,384			Long								2.6	%
10Y10Y USD Swaption Straddle			2,395,959			Long								2.4	%
15Y30Y USD Swaption Straddle			2,171,577			Long								2.2	%
20Y10Y USD Swaption Straddle, Fixed Leg @ 08/9/2044			442,191			Short								0.4	%

 

See Notes to Financial Statements.

 

80

 

 

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Consolidated Schedule of Investments (Continued)

June 30, 2025

 

 

Security description		Notional Value				Long Short			Unrealized Appreciation/ (Depreciation)				% of basket
20Y10Y USD Swaption Straddle, Fixed Leg @ 07/12/2044			381,294			Short								0.4	%
20Y10Y USD Swaption Straddle, Fixed Leg @ 07/6/2045			280,464			Short								0.3	%
15Y10Y USD Swaption Straddle, Fixed Leg @ 08/9/2039			242,003			Short								0.2	%
20Y10Y USD Swaption Straddle, Fixed Leg @ 08/3/2045			214,793			Short								0.2	%
15Y10Y USD Swaption Straddle, Fixed Leg @ 06/6/2040			201,996			Short								0.2	%
15Y10Y USD Swaption Straddle, Fixed Leg @ 07/3/2040			168,938			Short								0.2	%
15Y10Y USD Swaption Straddle, Fixed Leg @ 07/12/2039			107,225			Short								0.1	%
20Y20Y USD Swaption Straddle, Fixed Leg @ 07/12/2044			106,845			Short								0.1	%
20Y20Y USD Swaption Straddle, Fixed Leg @ 08/3/2045			74,655			Short								0.1	%
20Y20Y USD Swaption Straddle,Fixed Leg @ 07/6/2045			66,974			Short								0.1	%
20Y20Y USD Swaption Straddle, Fixed Leg @ 08/9/2044			66,949			Short								0.1	%
10Y10Y USD Swaption Straddle, Fixed Leg @ 06/6/2035			53,751			Short								0.1	%
15Y30Y USD Swaption Straddle, Fixed Leg @ 07/3/2040			47,825			Short								0.0	%
Total										123,838				100.0	%

 

The following table shows the individual positions and related values of the securities within the The following table shows the individual positions and related values of the securities within the SGDRCTTRS (Dynamic Rates Slope, Fixed Income) basket.

 

Security description		Notional Value				Long Short			Unrealized Appreciation/ (Depreciation)				% of basket
Swap US 07/14/2025 2Y Rec-3.6898		$	28,057,935			Long								87.7	%
Swap US 07/14/2025 20Y Rec-4.1185			3,937,542			Short								12.3	%
Total										50,766				100.0	%

 

The following table shows the top 50 positions and related values of the securities within the SGIXPRTRS (Long Equity Convexity, Equity) basket.

 

Security description		Notional Value				Long Short			Unrealized Appreciation/ (Depreciation)				% of basket
ESU5 Index		$	6,708,514			Long								6.3	%
SPX US 12/19/25 P3550 Index			4,458,888			Long								4.2	%
SPX US 06/18/26 P3650 Index			4,267,122			Long								4.0	%

 

See Notes to Financial Statements.

 

81

 

 

Simplify Multi-QIS Alternative ETF

Consolidated Schedule of Investments (Continued)

June 30, 2025

 

 

Security description		Notional Value				Long Short			Unrealized Appreciation/ (Depreciation)				% of basket
SPX US 12/19/25 P4150 Index			3,548,795			Long								3.3	%
SPX US 12/19/25 P3300 Index			3,519,898			Long								3.3	%
SPX US 06/18/26 P3500 Index			3,134,648			Long								2.9	%
SPX US 06/18/26 P3200 Index			2,940,651			Long								2.7	%
SPX US 12/19/25 P3850 Index			2,873,718			Long								2.7	%
SPX US 12/19/25 P3000 Index			2,848,829			Long								2.7	%
SPX US 06/18/26 P3800 Index			2,721,184			Long								2.5	%
SPX US 06/18/26 P3350 Index			2,529,631			Long								2.4	%
SPX US 06/18/26 P3100 Index			2,394,645			Long								2.2	%
SPX US 12/19/25 P3250 Index			2,329,814			Long								2.2	%
SPX US 06/18/26 P3950 Index			2,269,133			Long								2.1	%
SPX US 12/19/25 P3400 Index			1,736,267			Long								1.6	%
SPX US 12/19/25 P4700 Index			1,660,525			Long								1.5	%
SPX US 12/19/25 P3500 Index			1,617,567			Long								1.5	%
SPX US 06/18/26 P3550 Index			1,608,106			Long								1.5	%
SPX US 12/19/25 P4650 Index			1,531,067			Long								1.4	%
SPX US 06/18/26 P5025 Index			1,524,726			Long								1.4	%
SPX US 12/19/25 P3750 Index			1,473,130			Long								1.4	%
SPX US 12/19/25 P3700 Index			1,405,036			Long								1.3	%
SPX US 12/19/25 P3600 Index			1,401,047			Long								1.3	%
SPX US 06/18/26 P3400 Index			1,389,644			Long								1.3	%
SPX US 12/19/25 P4075 Index			1,356,003			Long								1.3	%
SPX US 12/19/25 P3875 Index			1,345,757			Long								1.3	%
SPX US 06/18/26 P4125 Index			1,314,172			Long								1.2	%
SPX US 06/18/26 P3975 Index			1,303,981			Long								1.2	%
SPX US 06/18/26 P4725 Index			1,288,606			Long								1.2	%
SPX US 06/18/26 P3850 Index			1,262,083			Long								1.2	%
SPX US 12/19/25 P4450 Index			1,234,092			Long								1.2	%
SPX US 12/19/25 P4950 Index			1,219,060			Long								1.1	%
SPX US 12/19/25 P3975 Index			1,217,353			Long								1.1	%
SPX US 06/18/26 P4425 Index			1,096,339			Long								1.0	%
SPX US 06/18/26 P4150 Index			1,086,208			Long								1.0	%
SPX US 06/18/26 P4225 Index			1,083,428			Long								1.0	%
SPX US 12/19/25 P4750 Index			1,083,130			Long								1.0	%
SPX US 12/19/25 P4375 Index			1,082,300			Long								1.0	%
SPX US 06/18/26 P4275 Index			1,082,292			Long								1.0	%
SPX US 12/19/25 P3200 Index			1,055,497			Long								1.0	%
SPX US 12/19/25 P4275 Index			1,052,492			Long								1.0	%
SPX US 12/19/25 P3100 Index			1,044,290			Long								1.0	%
SPX US 06/18/26 P4100 Index			1,007,284			Long								0.9	%
SPX US 12/19/25 P5050 Index			958,264			Long								0.9	%
SPX US 12/19/25 P4425 Index			946,009			Long								0.9	%
SPX US 06/18/26 P4575 Index			945,006			Long								0.9	%
SPX US 06/18/26 P4450 Index			944,690			Long								0.9	%
SPX US 06/18/26 P4525 Index			944,531			Long								0.9	%
SPX US 12/19/25 P4400 Index			937,891			Long								0.9	%
SPX US 12/19/25 P4550 Index			929,112			Long								0.9	%
Other Components			16,441,877			—								15.3	%

 

See Notes to Financial Statements.

 

82

 

 

Simplify Multi-QIS Alternative ETF

Consolidated Schedule of Investments (Continued)

June 30, 2025

 

 

Security description

Notional Value

Long Short

Unrealized Appreciation/ (Depreciation)

% of basket

Total

37,210

100.0

%

 

The following table shows the top 50 positions and related values of the securities within the VCEQCE1RS (Long Equity Convexity, Unfunded Equity) basket.

 

Security description		Notional Value				Long Short			Unrealized Appreciation/ (Depreciation)				% of basket
EUR		$	8,933,364			Long								98.2	%
VGU5 Index			165,476			Long								1.8	%
WSX5EA 07/04/25 P5150 Index			868			Short								0.0	%
SX5E 08/15/25 P4300 Index			510			Long								0.0	%
WSX5EA 07/04/25 P5155 Index			504			Short								0.0	%
SX5E 08/15/25 P4400 Index			443			Long								0.0	%
WSX5EA 07/04/25 P5145 Index			412			Short								0.0	%
SX5E 08/15/25 P4425 Index			411			Long								0.0	%
SX5E 08/15/25 P4275 Index			403			Long								0.0	%
SX5E 08/15/25 P4325 Index			389			Long								0.0	%
SX5E 08/15/25 P4375 Index			388			Long								0.0	%
SX5E 08/15/25 P4350 Index			369			Long								0.0	%
SX5E 09/19/25 P4250 Index			332			Long								0.0	%
SX5E 09/19/25 P4225 Index			319			Long								0.0	%
WSX5EA 07/04/25 P5125 Index			273			Short								0.0	%
SX5E 08/15/25 P4475 Index			273			Long								0.0	%
SX5E 09/19/25 P4275 Index			271			Long								0.0	%
SX5E 09/19/25 P4375 Index			251			Long								0.0	%
SX5E 08/15/25 P4250 Index			241			Long								0.0	%
SX5E 09/19/25 P4350 Index			240			Long								0.0	%
SX5E 08/15/25 P4500 Index			233			Long								0.0	%
SX5E 09/19/25 P4325 Index			230			Long								0.0	%
SX5E 08/15/25 P4450 Index			200			Long								0.0	%
WSX5EA 07/04/25 P5100 Index			182			Short								0.0	%
SX5E 08/15/25 P4525 Index			172			Long								0.0	%
SX5E 08/15/25 P4175 Index			121			Long								0.0	%
SX5E 08/15/25 P4150 Index			116			Long								0.0	%
SX5E 09/19/25 P4100 Index			110			Long								0.0	%
SX5E 08/15/25 P4225 Index			109			Long								0.0	%
SX5E 09/19/25 P4075 Index			106			Long								0.0	%
SX5E 09/19/25 P4050 Index			102			Long								0.0	%
WSX5EA 07/04/25 P5025 Index			93			Short								0.0	%
WSX5EA 07/04/25 P4975 Index			92			Short								0.0	%
SX5E 08/15/25 P4200 Index			89			Long								0.0	%
WSX5EA 07/04/25 P5000 Index			69			Short								0.0	%
SX5E 09/19/25 P4200 Index			65			Long								0.0	%
SX5E 07/18/25 P4525 Index			64			Long								0.0	%

 

See Notes to Financial Statements.

 

83

 

 

Simplify Multi-QIS Alternative ETF

Consolidated Schedule of Investments (Continued)

June 30, 2025

 

 

Security description		Notional Value				Long Short			Unrealized Appreciation/ (Depreciation)				% of basket
SX5E 08/15/25 P4550 Index			57			Long								0.0	%
SX5E 07/18/25 P4550 Index			57			Long								0.0	%
WSX5EA 07/04/25 P4925 Index			46			Short								0.0	%
WSX5EA 07/04/25 P4950 Index			46			Short								0.0	%
SX5E 07/18/25 P4575 Index			36			Long								0.0	%
SX5E 08/15/25 P4125 Index			32			Long								0.0	%
SX5E 07/18/25 P4500 Index			30			Long								0.0	%
SX5E 07/18/25 P4475 Index			29			Long								0.0	%
SX5E 07/18/25 P4000 Index			26			Long								0.0	%
SX5E 07/18/25 P4200 Index			25			Long								0.0	%
SX5E 07/18/25 P4250 Index			24			Long								0.0	%
SX5E 07/18/25 P4175 Index			23			Long								0.0	%
SX5E 07/18/25 P4225 Index			21			Long								0.0	%
Other Components			197			—								0.0	%
Total										15,364				100.0	%

 

*

The following table shows the top 50 positions and related values of the securities within the VCEQCE2RS (EU Volatility Relative Value 1 Equity) basket.

 

Security description		Notional Value				Long Short			Unrealized Appreciation/ (Depreciation)				% of basket
EUR		$	8,780,555			Long								96.3	%
VGU5 Index			335,818			Long								3.7	%
SX5E 08/15/25 P4300 Index			1,024			Long								0.0	%
SX5E 08/15/25 P4400 Index			889			Long								0.0	%
WSX5EA 07/04/25 P5150 Index			870			Short								0.0	%
SX5E 08/15/25 P4425 Index			825			Long								0.0	%
SX5E 08/15/25 P4275 Index			808			Long								0.0	%
SX5E 08/15/25 P4325 Index			781			Long								0.0	%
SX5E 08/15/25 P4375 Index			780			Long								0.0	%
SX5E 08/15/25 P4350 Index			741			Long								0.0	%
SX5E 09/19/25 P4250 Index			666			Long								0.0	%
SX5E 09/19/25 P4225 Index			639			Long								0.0	%
SX5E 08/15/25 P4475 Index			548			Long								0.0	%
SX5E 09/19/25 P4275 Index			544			Long								0.0	%
WSX5EA 07/04/25 P5155 Index			505			Short								0.0	%
SX5E 09/19/25 P4375 Index			504			Long								0.0	%
SX5E 08/15/25 P4250 Index			484			Long								0.0	%
SX5E 09/19/25 P4350 Index			481			Long								0.0	%
SX5E 08/15/25 P4500 Index			467			Long								0.0	%

 

See Notes to Financial Statements.

 

84

 

 

Simplify Multi-QIS Alternative ETF

Consolidated Schedule of Investments (Continued)

June 30, 2025

 

 

Security description		Notional Value				Long Short			Unrealized Appreciation/ (Depreciation)				% of basket
SX5E 09/19/25 P4325 Index			462			Long								0.0	%
WSX5EA 07/04/25 P5145 Index			413			Short								0.0	%
SX5E 08/15/25 P4450 Index			402			Long								0.0	%
SX5E 08/15/25 P4525 Index			345			Long								0.0	%
WSX5EA 07/04/25 P5125 Index			274			Short								0.0	%
SX5E 08/15/25 P4175 Index			243			Long								0.0	%
SX5E 08/15/25 P4150 Index			232			Long								0.0	%
SX5E 09/19/25 P4100 Index			221			Long								0.0	%
SX5E 08/15/25 P4225 Index			218			Long								0.0	%
SX5E 09/19/25 P4075 Index			212			Long								0.0	%
SX5E 09/19/25 P4050 Index			205			Long								0.0	%
WSX5EA 07/04/25 P5100 Index			183			Short								0.0	%
SX5E 08/15/25 P4200 Index			179			Long								0.0	%
SX5E 09/19/25 P4200 Index			131			Long								0.0	%
SX5E 07/18/25 P4525 Index			129			Long								0.0	%
SX5E 07/18/25 P4550 Index			114			Long								0.0	%
SX5E 08/15/25 P4550 Index			114			Long								0.0	%
WSX5EA 07/04/25 P5025 Index			93			Short								0.0	%
WSX5EA 07/04/25 P4975 Index			93			Short								0.0	%
SX5E 07/18/25 P4575 Index			73			Long								0.0	%
WSX5EA 07/04/25 P5000 Index			70			Short								0.0	%
SX5E 08/15/25 P4125 Index			65			Long								0.0	%
SX5E 07/18/25 P4500 Index			60			Long								0.0	%
SX5E 07/18/25 P4475 Index			57			Long								0.0	%
SX5E 07/18/25 P4000 Index			52			Long								0.0	%
SX5E 07/18/25 P4200 Index			50			Long								0.0	%
SX5E 07/18/25 P4250 Index			47			Long								0.0	%
SX5E 07/18/25 P4175 Index			47			Long								0.0	%
WSX5EA 07/04/25 P4925 Index			46			Short								0.0	%
WSX5EA 07/04/25 P4950 Index			46			Short								0.0	%
SX5E 07/18/25 P4225 Index			43			Long								0.0	%
Other Components			396			—								0.0	%
Total										8,000				100.0	%

 

*

The following table shows the top 50 positions and related values of the securities within the VCEQUSURS (EU Volatility Relative Value 2, Equity) basket.

 

Security description		Notional Value				Long Short			Unrealized Appreciation/ (Depreciation)				% of basket
USD		$	26,039,330			Long								87.4	%
ESU5 Index			3,719,576			Long								12.5	%
SPXW US 07/02/25 C6230 Index			1,411			Short								0.0	%
SPXW US 07/02/25 C6240 Index			1,137			Short								0.0	%
SPXW US 07/02/25 C6260 Index			1,074			Short								0.0	%
SPXW US 07/01/25 C6240 Index			1,026			Short								0.0	%
SPXW US 07/02/25 C6275 Index			944			Short								0.0	%
SPXW US 07/01/25 C6245 Index			887			Short								0.0	%

 

See Notes to Financial Statements.

 

85

 

 

Simplify Multi-QIS Alternative ETF

Consolidated Schedule of Investments (Continued)

June 30, 2025

 

 

Security description		Notional Value				Long Short			Unrealized Appreciation/ (Depreciation)				% of basket
SPXW US 07/03/25 C6280 Index			806			Short								0.0	%
SPXW US 07/01/25 C6215 Index			794			Short								0.0	%
SPXW US 07/01/25 C6220 Index			767			Short								0.0	%
SPXW US 07/07/25 C6310 Index			700			Short								0.0	%
SPXW US 07/02/25 C6270 Index			692			Short								0.0	%
SPXW US 07/01/25 C6250 Index			657			Short								0.0	%
SPXW US 07/02/25 C6250 Index			603			Short								0.0	%
SPXW US 07/02/25 C6280 Index			600			Short								0.0	%
SPXW US 07/01/25 C6225 Index			552			Short								0.0	%
SPXW US 07/07/25 C6330 Index			549			Short								0.0	%
SPXW US 07/03/25 C6300 Index			543			Short								0.0	%
SPXW US 07/02/25 C6265 Index			528			Short								0.0	%
SPXW US 07/07/25 C6320 Index			492			Short								0.0	%
SPXW US 07/03/25 C6290 Index			471			Short								0.0	%
SPXW US 07/08/25 C6350 Index			437			Short								0.0	%
SPXW US 07/02/25 C6255 Index			423			Short								0.0	%
SPXW US 07/01/25 C6230 Index			417			Short								0.0	%
SPXW US 07/07/25 C6350 Index			401			Short								0.0	%
SPXW US 07/03/25 C6310 Index			390			Short								0.0	%
SPXW US 07/07/25 C6325 Index			389			Short								0.0	%
SPXW US 07/01/25 C6235 Index			346			Short								0.0	%
SPXW US 07/07/25 C6340 Index			337			Short								0.0	%
SPXW US 07/01/25 C6255 Index			311			Short								0.0	%
SPXW US 07/03/25 C6285 Index			298			Short								0.0	%
SPXW US 07/03/25 C6305 Index			291			Short								0.0	%
SPXW US 07/02/25 C6290 Index			281			Short								0.0	%
SPXW US 07/02/25 C6285 Index			250			Short								0.0	%
SPXW US 07/03/25 C6295 Index			224			Short								0.0	%
SPXW US 07/03/25 C6320 Index			222			Short								0.0	%
SPXW US 07/01/25 C6260 Index			219			Short								0.0	%
SPXW US 07/02/25 C6300 Index			215			Short								0.0	%
SPXW US 07/08/25 C6375 Index			210			Short								0.0	%
SPXW US 07/03/25 C6315 Index			192			Short								0.0	%
SPXW US 07/03/25 C6325 Index			184			Short								0.0	%
SPXW US 07/07/25 C6375 Index			180			Short								0.0	%
SPXW US 07/02/25 C6295 Index			163			Short								0.0	%
SPXW US 07/01/25 C6265 Index			161			Short								0.0	%
SPXW US 07/03/25 C6330 Index			153			Short								0.0	%
SPXW US 07/02/25 C6310 Index			128			Short								0.0	%
SPXW US 07/01/25 C6275 Index			123			Short								0.0	%
SPXW US 07/07/25 C6400 Index			116			Short								0.0	%
SPXW US 07/01/25 C6270 Index			115			Short								0.0	%
Other Components			1,506			—								0.1	%
Total										22,485				100.0	%

 

*

The following table shows the top 50 positions and related values of the securities within the VMACBTRS (Upside Risk Vol Premium, Equity) basket.

 

See Notes to Financial Statements.

 

86

 

 

Simplify Multi-QIS Alternative ETF

Consolidated Schedule of Investments (Continued)

June 30, 2025

 

 

Security description		Notional Value				Long Short			Unrealized Appreciation/ (Depreciation)				% of basket
LPN25 Comdty		$	95,389			Short								38.6	%
LPQ25 Comdty			27,093			Short								11.0	%
GCV5 Comdty			22,436			Short								9.1	%
GCQ5 Comdty			21,823			Short								8.8	%
LAN25 Comdty			19,786			Short								8.0	%
LXN5 Comdty			12,426			Short								5.0	%
LXQ5 Comdty			8,051			Short								3.3	%
LAQ25 Comdty			6,760			Short								2.7	%
CCZ5 Comdty			2,739			Short								1.1	%
GCZ5 Comdty			1,871			Short								0.8	%
CCU5 Comdty			1,228			Short								0.5	%
LPQ5C 9875 Comdty			587			Short								0.2	%
LLQ5 Comdty			543			Short								0.2	%
COU5 Comdty			512			Short								0.2	%
LPN5C 9700 Comdty			463			Short								0.2	%
LPQ5C 10100 Comdty			346			Short								0.1	%
LPQ5C 9850 Comdty			312			Short								0.1	%
LLZ5 Comdty			304			Short								0.1	%
LLN5 Comdty			260			Short								0.1	%
LPN5C 9800 Comdty			247			Short								0.1	%
LPN5C 9750 Comdty			239			Short								0.1	%
LLV5 Comdty			226			Short								0.1	%
LPN5C 9675 Comdty			226			Short								0.1	%
CCU5P 8350 Comdty			224			Short								0.1	%
GCJ6 Comdty			223			Short								0.1	%
LPQ5C 10200 Comdty			218			Short								0.1	%
LPQ5P 9575 Comdty			198			Short								0.1	%
GCV5C 2835 Comdty			191			Short								0.1	%
LPN5C 9725 Comdty			189			Short								0.1	%
LPQ5P 9550 Comdty			186			Short								0.1	%
CCZ5P 8550 Comdty			185			Short								0.1	%
CCU5P 8950 Comdty			182			Short								0.1	%
GCQ5C 2840 Comdty			182			Short								0.1	%
LPQ5C 9925 Comdty			179			Short								0.1	%
GCV5C 2855 Comdty			179			Short								0.1	%
CCZ5P 8350 Comdty			169			Short								0.1	%
LPQ5C 10150 Comdty			169			Short								0.1	%
GCV5C 2875 Comdty			169			Short								0.1	%
LLF6 Comdty			164			Short								0.1	%
CCZ5P 8200 Comdty			163			Short								0.1	%
CCU5P 10100 Comdty			162			Short								0.1	%
GCQ5C 2895 Comdty			158			Short								0.1	%
CCZ5P 7050 Comdty			158			Short								0.1	%
LPQ5C 10000 Comdty			158			Short								0.1	%
CCU5C 9650 Comdty			154			Short								0.1	%
CCZ5P 8100 Comdty			154			Short								0.1	%
LLX5 Comdty			151			Short								0.1	%
GCQ5C 2965 Comdty			146			Short								0.1	%

 

See Notes to Financial Statements.

 

87

 

 

Simplify Multi-QIS Alternative ETF

Consolidated Schedule of Investments (Continued)

June 30, 2025

 

 

Security description		Notional Value				Long Short			Unrealized Appreciation/ (Depreciation)				% of basket
GCQ5C 2955 Comdty			146			Short								0.1	%
LPN5C 9650 Comdty			145			Short								0.1	%
Other Components			18,286			—								6.8	%
Total										(70,810	)			100.0	%

 

See Notes to Financial Statements.

 

88

 

 

Simplify Volatility Premium ETF

Consolidated Schedule of Investments

June 30, 2025

 

 

		Principal				Value
U.S. Treasury Bills – 110.7%
U.S. Treasury Bill, 4.35%, 8/5/2025(a)(b)		$	138,500,000			$	137,927,153
U.S. Treasury Bill, 4.35%, 8/7/2025(a)(c)			630,000,000				627,253,307
U.S. Treasury Bill, 4.32%, 8/12/2025(a)(b)			134,000,000				133,329,722
U.S. Treasury Bill, 4.31%, 8/26/2025(a)(b)			60,000,000				59,597,033
U.S. Treasury Bill, 4.33%, 9/30/2025(a)(b)			57,500,000				56,889,905
Total U.S. Treasury Bills (Cost $1,015,053,068)							1,014,997,120

 

		Shares
U.S. Exchange-Traded Funds – 48.6%
Alternative Funds – 9.4%
Simplify Multi-QIS Alternative ETF(d)			3,927,620				86,368,364
Equity Funds – 9.7%
Simplify NEXT Intangible Core Index ETF(d)			22,303				686,375
Simplify Piper Sandler US Small-Capital Plus Income ETF*(d)			91,464				2,530,809
Simplify US Equity PLUS Upside Convexity ETF(b)(d)			1,913,678				85,560,543
							88,777,727
Fixed Income Funds – 29.5%
Simplify Aggregate Bond ETF(b)(d)			5,193,254				107,188,763
Simplify Barrier Income ETF(d)			1,100,000				28,842,000
Simplify Intermediate Term Treasury Futures Strategy ETF(b)(d)			2,917,182				39,352,785
Simplify National Muni Bond ETF(d)			2,714,076				67,824,759
Simplify Target 15 Distribution ETF(d)			1,000,000				26,630,000
							269,838,307
Total U.S. Exchange-Traded Funds (Cost $447,770,300)							444,984,398

 

		Number of Contracts			Notional Amount
Purchased Options – 7.5%
Calls – Exchange-Traded – 7.5%
CBOE Volatility Index, July Strike Price $50, Expires 7/16/25		10,001				50,005,000				85,008
CBOE Volatility Index, July Strike Price $60, Expires 7/16/25		12,000				72,000,000				66,000
CBOE Volatility Index, July Strike Price $70, Expires 7/16/25		14,000				98,000,000				49,000
CBOE Volatility Index, July Strike Price $80, Expires 7/16/25		12,094				96,752,000				42,329
CBOE Volatility Index, July Strike Price $90, Expires 7/16/25		10,000				90,000,000				25,000
CBOE Volatility Index, August Strike Price $60, Expires 8/20/25		16,000				96,000,000				440,000
S&P 500 Index, July Strike Price $6,200, Expires 7/03/25		3,098				1,920,760,000				9,712,230
S&P 500 Index, July Strike Price $6,300, Expires 7/07/25		2,692				1,695,960,000				1,162,944
S&P 500 Index, July Strike Price $6,275, Expires 7/09/25		6,260				3,928,150,000				10,610,700
S&P 500 Index, July Strike Price $6,300, Expires 7/18/25		7,149				4,503,870,000				23,448,720
S&P 500 Index, July Strike Price $6,500, Expires 7/31/25		12,674				8,238,100,000				12,357,150
S&P 500 Index, August Strike Price $6,400, Expires 8/15/25		1,717				1,098,880,000				8,138,580
S&P 500 Index, August Strike Price $6,650, Expires 8/15/25		4,299				2,858,835,000				2,772,855
										68,910,516
Total Purchased Options (Cost $49,741,969)										68,910,516

 

See Notes to Financial Statements.

 

89

 

 

Simplify Volatility Premium ETF

Consolidated Schedule of Investments (Continued)

June 30, 2025

 

 

		Value
Total Investments – 166.8%
(Cost $1,512,565,337)		$	1,528,892,034
Liabilities in Excess of Other Assets – (66.8)%			(612,151,709	)
Net Assets – 100.0%		$	916,740,325

 

		Number of Contracts			Notional Amount
Written Options – (0.4)%
Calls – Exchange-Traded – (0.2)%
U.S. Long Bond, July Strike Price $116, Expires 7/25/25		(2,000)			$	(232,000,000	)		$	(2,187,500	)
Puts – Exchange-Traded – (0.2)%
U.S. Treasury Bond Future, July Strike Price $112, Expires 7/25/25		(1,600)			$	(179,200,000	)		$	(475,000	)
U.S. Treasury Bond Future, July Strike Price $113, Expires 7/25/25		(1,600)				(180,800,000	)			(750,000	)
U.S. Treasury Bond Future, July Strike Price $114, Expires 7/25/25		(800)				(91,200,000	)			(587,500	)
										(1,812,500	)
Total Written Options (Premiums Received $6,890,350)									$	(4,000,000	)

 

	*	Non Income Producing
	(a)	Represents a zero coupon bond. Rate shown reflects the effective yield.
	(b)	Securities with an aggregate market value of $599,052,020 have been pledged as collateral for options as of June 30, 2025.
	(c)	Security, or a portion thereof, in the amount of $627,253,307 has been pledged as collateral for reverse repurchase agreements as of June 30, 2025. See note 5 for additional information
	(d)	Affiliated fund managed by Simplify Asset Management Inc.

 

At June 30, 2025, open futures contracts were as follows:

 

		Number of Contracts			Notional Value				Expiration Date		Value/ Unrealized Appreciation (Depreciation)
Long position contracts:
U.S. Treasury Bond Futures		2,000			$	230,937,500			9/19/25		$	6,598,902
Short position contracts:
CBOE VIX Future		(2,222)				(41,579,175	)		7/16/25			3,004,782
CBOE VIX Future		(6,954)				(139,758,710	)		8/20/25			2,549,276
Total unrealized appreciation/(depreciation)											$	5,554,058
Total net unrealized appreciation											$	12,152,960

 

See Notes to Financial Statements.

 

90

 

 

Simplify Volatility Premium ETF

Consolidated Schedule of Investments (Continued)

June 30, 2025

 

 

Affiliates

 

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

 

Affiliate		Value at beginning of the period				Purchases Cost				Sales Proceeds				Return of Capital				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
Simplify Aggregate Bond ETF		$	101,656,343			$	6,238,605			$	—			$	(3,894,280	)		$	—			$	3,188,095			$	107,188,763				5,193,254			$	4,113,755
Simplify Barrier Income ETF			—				27,586,730				—				—				—				1,255,270				28,842,000				1,100,000				616,000
Simplify Enhanced Income ETF			—				80,085,479				(78,569,074	)			—				(1,516,405	)			—				—				—				822,522
Simplify High Yield ETF			90,712,714				17,509,622				(109,939,427	)			—				1,730,377				(13,286	)			—				—				3,644,914
Simplify Intermediate Term Treasury Futures Strategy ETF			—				54,646,973				(12,491,331	)			—				(675,648	)			(2,127,209	)			39,352,785				2,917,182				1,854,123
Simplify MBS ETF			44,541,053				126,751,311				(170,713,287	)			(6,959	)			(722,076	)			149,958				—				—				1,902,221
Simplify Multi-QIS Alternative ETF			—				98,585,565				(991,952	)			—				(183,138	)			(11,042,111	)			86,368,364				3,927,620				1,585,262
Simplify National Muni Bond ETF			—				78,697,622				(10,144,759	)			—				(272,929	)			(455,175	)			67,824,759				2,714,076				2,371,897
Simplify NEXT Intangible Core Index ETF			—				657,037				—				—				—				29,338				686,375				22,303				1,338
Simplify Piper Sandler US Small-Capital Plus Income ETF			—				2,416,497				—				—				—				114,312				2,530,809				91,464				—
Simplify Target 15 Distribution ETF			—				25,007,000				—				—				—				1,623,000				26,630,000				1,000,000				650,000
Simplify Treasury Option Income ETF			79,180,333				30,276,389				(109,325,612	)			—				84,204				(215,314	)			—				—				4,527,741
Simplify US Equity PLUS Upside Convexity ETF			—				99,046,461				(18,472,947	)			—				607,769				4,379,260				85,560,543				1,913,678				415,646
Simplify US Small Cap PLUS Income ETF			—				2,148,900				(2,100,162	)			—				(48,738	)			—				—				—				9,500
		$	316,090,443			$	649,654,191			$	(512,748,551	)		$	(3,901,239	)		$	(996,584	)		$	(3,113,862	)		$	444,984,398				18,879,577			$	22,514,919

 

Summary of Investment Type††

 

Investment Categories		% of Net Assets
U.S. Treasury Bills			110.7	%
U.S. Exchange-Traded Funds			48.6	%
Purchased Options			7.5	%
Total Investments			166.8	%
Liabilities in Excess of Other Assets			(66.8	)%
Net Assets			100.0	%

 

See Notes to Financial Statements.

 

91

 

 

Simplify Volatility Premium ETF

Consolidated Schedule of Investments (Continued)

June 30, 2025

 

 

††

The percentage shown for each investment category is the total value of investments in that category as a percentage of the net assets of the Fund. The table depicts the Fund’s investments but may not represent the Fund’s market exposure to certain derivatives, if any, which are included in Liabilities in Excess of Other Assets.

 

At June 30, 2025, open reverse repurchase agreements were as follows:

 

Counterparty		Interest Rate			Trade Date		Maturity Date		Face Amount				Payable for Reverse Repurchase Agreements
Morgan Stanley Capital Services LLC		4.53%			6/30/2025		7/2/2025		$	614,699,989			$	614,699,989
									$	614,699,989			$	614,699,989

 

See Notes to Financial Statements.

 

92

 

 

 

 

 

 

 

 

 

 

 

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Simplify Exchange Traded Funds

Statements of Assets and Liabilities

June 30, 2025

 

 

		Simplify Aggregate Bond ETF				Simplify Barrier Income ETF				Simplify Bond Bull ETF				Simplify China A Shares PLUS Income ETF
Assets
Investments, at value		$	323,021,152			$	35,197,462			$	152,404,206			$	10,953,282
Cash			154,781				105,670				292,865				23,454
Cash held as collateral for swaps			41,532				—				—				—
Unrealized appreciation on centrally cleared swaps			4,807,397				—				—				—
Unrealized appreciation on over the counter swaps			—				—				—				380,603
Receivables:
Due from broker			1,453,248				—				—				5
Securities sold			—				512,000				—				25,260
Total assets			329,478,110				35,815,132				152,697,071				11,382,604
Liabilities
Unrealized depreciation on centrally cleared swaps			3,087,948				—				—				—
Payables:
Written options			1,424,125				614,810				—				29,607
Investment advisory fees			65,194				20,025				61,663				7,819
Securities purchased			—				—				—				14,893
Total liabilities			4,577,267				634,835				61,663				52,319
Net Assets		$	324,900,843			$	35,180,297			$	152,635,408			$	11,330,285
Net Assets Consist of
Paid-in capital		$	322,492,767			$	33,922,731			$	161,681,777			$	9,378,987
Distributable earnings (loss)			2,438,076				1,257,566				(9,046,369	)			1,951,298
Net Assets		$	324,930,843			$	35,180,297			$	152,635,408			$	11,330,285
Number of Common Shares outstanding			15,900,001				1,350,001				3,125,001				375,001
Net Asset Value, offering and redemption price per share		$	20.44			$	26.06			$	48.84			$	30.21
Investments, at cost		$	316,398,701			$	35,199,075			$	161,893,802			$	10,833,714
Premiums received on written options		$	2,712,023			$	647,855			$	—			$	39,336

 

See Notes to Financial Statements.

 

94

 

 

Simplify Exchange Traded Funds

Statements of Assets and Liabilities (Continued)

June 30, 2025

 

 

		Simplify Currency Strategy ETF				Simplify Enhanced Income ETF				Simplify Health Care ETF				Simplify Hedged Equity ETF
Assets
Investments, at value		$	14,592,835			$	191,944,475			$	130,553,855			$	349,038,334
Cash			109,917				617,248				—				—
Foreign currency at value			2,792				—				—				—
Unrealized appreciation on forward foreign currency contracts			2,199,174				—				—				—
Receivables:
Interest			—				1,610				—				519
Dividends			—				—				58,104				—
Foreign tax reclaim			—				—				41,044				—
Due from broker			—				442				—				132
Securities sold			—				468,373				719,281				—
Total assets			16,904,718				193,032,148				131,372,284				349,038,985
Liabilities
Unrealized depreciation on forward foreign currency contracts			1,952,033				—				—				—
Payables:
Investment advisory fees			8,712				75,713				54,152				108,788
Capital shares			—				—				750,392				—
Securities purchased			—				256,308				—				—
Written options			—				533,683				—				17,303,740
Total liabilities			1,960,745				865,704				804,544				17,412,528
Net Assets		$	14,943,973			$	192,166,444			$	130,567,740			$	331,626,457
Net Assets Consist of
Paid-in capital		$	15,272,006			$	197,010,302			$	149,839,741			$	341,592,379
Distributable earnings (loss)			(328,033	)			(4,843,858	)			(19,272,001	)			(9,965,922	)
Net Assets		$	14,943,973			$	192,166,444			$	130,567,740			$	331,626,457
Number of Common Shares outstanding			575,001				7,950,001				4,350,001				11,025,001
Net Asset Value, offering and redemption price per share		$	25.99			$	24.17			$	30.02			$	30.08
Investments, at cost		$	14,592,619			$	189,866,363			$	124,364,072			$	329,189,505
Foreign currency, at cost		$	2,661			$	—			$	—			$	—
Premiums received on written options		$	—			$	709,038			$	—			$	6,845,279

 

See Notes to Financial Statements.

 

95

 

 

Simplify Exchange Traded Funds

Statements of Assets and Liabilities (Continued)

June 30, 2025

 

 

		Simplify High Yield ETF				Simplify Interest Rate Hedge ETF				Simplify Intermediate Term Treasury Futures Strategy ETF				Simplify MBS ETF
Assets
Investments in unaffiliated securities, at value		$	241,018,483			$	155,341,393			$	150,687,076			$	2,719,205,614
Investments in affiliated securities, at value			1,416,450				—				—				—
Cash collateral			—				58,250				—				700,000
Unrealized appreciation on written options			—				648,645				—				—
Unrealized appreciation on centrally cleared swaps			—				2,458				—				—
Unrealized appreciation on over the counter swaps			3,674,733				—				—				—
Receivables:
Due from broker			1,414,344				39,523				2,017,368				—
Interest			3,409				28,947				590				—
Dividends			1,329				—				—				4,795
Securities sold			—				—				—				120,329,102
Total assets			247,528,748				156,119,216				152,705,034				2,840,239,511
Liabilities
Unrealized depreciation on over the counter swaps			424,548				—				—				—
Unrealized depreciation on centrally cleared swaps			348,198				—				—				—
Payables:
Premium received on swaps			1,122,725				—				—				—
Written options			260,000				—				—				—
Investment advisory fees			45,488				67,977				18,262				180,052
Securities purchased			—				—				—				1,467,153,714
Total liabilities			2,200,959				67,977				18,262				1,467,333,766
Net Assets		$	245,327,789			$	156,051,239			$	152,686,772			$	1,372,905,745
Net Assets Consist of
Paid-in capital		$	243,052,532			$	127,568,060			$	181,750,181			$	1,371,278,581
Distributable earnings (loss)			2,275,257				28,483,179				(29,063,409	)			1,627,164
Net Assets		$	245,327,789			$	156,051,239			$	152,686,772			$	1,372,905,745
Number of Common Shares outstanding			10,575,001				2,900,001				11,325,001				27,425,001
Net Asset Value, offering and redemption price per share		$	23.20			$	53.81			$	13.48			$	50.06
Investments, at cost		$	241,323,106			$	139,489,068			$	150,692,484			$	2,699,174,216
Investments in affiliated securities, at cost		$	1,398,579			$	—			$	—			$	—
Premiums received on written options		$	766,201			$	—			$	—			$	—

 

See Notes to Financial Statements.

 

96

 

 

Simplify Exchange Traded Funds

Statements of Assets and Liabilities (Continued)

June 30, 2025

 

 

		Simplify NEXT Intangible Core Index ETF				Simplify Short Term Treasury Futures Strategy ETF				Simplify Target 15 Distribution ETF				Simplify Treasury Option Income ETF
Assets
Investments, at value		$	1,538,353			$	664,887,799			$	47,955,131			$	343,748,135
Cash			—				193,041				87,673				209,131
Receivables:
Dividends			649				—				—				—
Due from broker			—				1,171,553				—				1,541,374
Securities sold			—				—				414,700				—
Investment adviser			—				54,440				—				—
Total assets			1,539,002				666,306,833				48,457,504				345,498,640
Liabilities
Payables:
Investment advisory fees			315				136,100				27,183				97,115
Written options			—				—				1,027,879				2,124,156
Total liabilities			315				136,100				1,055,062				2,221,271
Net Assets		$	1,538,687			$	666,170,733			$	47,402,442			$	343,277,369
Net Assets Consist of
Paid-in capital		$	1,359,004			$	699,098,400			$	45,719,648			$	349,004,892
Distributable earnings (loss)			179,683				(32,927,667	)			1,682,794				(5,727,523	)
Net Assets		$	1,538,687			$	666,170,733			$	47,402,442			$	343,277,369
Number of Common Shares outstanding			50,001				30,250,001				1,800,001				14,500,001
Net Asset Value, offering and redemption price per share		$	30.77			$	22.02			$	26.33			$	23.68
Investments, at cost		$	1,348,108			$	664,893,368			$	47,958,425			$	343,761,583
Premiums received on written options		$	—			$	—			$	—			$	3,081,176

 

See Notes to Financial Statements.

 

97

 

 

Simplify Exchange Traded Funds

Statements of Assets and Liabilities (Continued)

June 30, 2025

 

 

		Simplify US Equity PLUS Bitcoin Strategy ETF				Simplify US Equity PLUS Convexity ETF				Simplify US Equity PLUS Downside Convexity ETF				Simplify US Equity PLUS Upside Convexity ETF
Assets
Investments, at value		$	75,198,913			$	83,143,617			$	88,335,422			$	117,006,686
Cash			—				—				336,370				—
Receivables:
Securities sold			868,281				1,201,688				—				1,986,867
Due from broker			396,530				—				24,831				—
Interest			1,180				796				491				3,642
Total assets			76,464,904				84,346,101				88,697,114				118,997,195
Liabilities
Payables:
Securities purchased			869,266				—				—				—
Investment advisory fees			29,296				32,956				35,174				52,613
Due to broker			—				640,982				—				1,165,623
Capital shares			—				—				—				1,111,126
Written options			—				326,185				448,844				—
Total liabilities			898,562				1,000,123				484,018				2,329,362
Net Assets		$	75,566,342			$	83,345,978			$	88,213,096			$	116,667,833
Net Assets Consist of
Paid-in capital		$	76,215,572			$	72,265,396			$	134,469,359			$	111,786,131
Distributable earnings (loss)			(649,230	)			11,080,582				(46,256,263	)			4,881,702
Net Assets		$	75,566,342			$	83,345,978			$	88,213,096			$	116,667,833
Number of Common Shares outstanding			1,825,001				2,025,001				2,325,001				2,625,001
Net Asset Value, offering and redemption price per share		$	41.41			$	41.16			$	37.94			$	44.44
Investments, at cost		$	72,074,233			$	65,473,536			$	81,469,080			$	109,726,693
Premiums received on written options		$	—			$	731,037			$	1,232,319			$	—

 

See Notes to Financial Statements.

 

98

 

 

Simplify Exchange Traded Funds

Consolidated Statements of Assets and Liabilities

June 30, 2025

 

 

		Simplify Bitcoin Strategy PLUS Income ETF				Simplify Gold Strategy PLUS Income ETF				Simplify Multi- QIS Alternative ETF				Simplify Volatility Premium ETF
Assets
Investments in unaffiliated securities, at value		$	110,162,762			$	27,092,578			$	89,895,598			$	1,083,907,636
Investments in affiliated securities, at value			—				—				7,566,932				444,984,398
Cash			537,778				630,514				942,467				1,189,658
Foreign currency at value			—				—				19,451				—
Unrealized appreciation on over the counter swaps			—				—				1,297,162				—
Unrealized appreciation on forward foreign currency contracts			—				—				704,927				—
Receivables:
Due from broker			350,576				333,389				1,881				6,266,107
Securities sold			236,283				578,760				834,578				4,848,299
Dividends			—				—				4,057				—
Foreign tax reclaim			—				—				—				431
Total assets			111,287,399				28,635,241				101,267,053				1,541,196,529
Liabilities
Unrealized depreciation on over the counter swaps			—				—				3,403,663				—
Unrealized depreciation on forward foreign currency contracts			—				—				789,346				—
Payables:
Reverse repurchase agreement			58,542,856				—				—				614,699,989
Written options			282,150				71,754				337,500				4,000,000
Securities purchased			136,552				301,984				539,616				1,245,612
Investment advisory fees			35,017				11,891				78,320				359,101
Capital shares			—				—				—				4,150,546
Other accrued expenses			—				—				—				956
Total liabilities			58,996,575				385,629				5,148,445				624,456,204
Net Assets		$	52,290,824			$	28,249,612			$	96,118,608			$	916,740,325
Net Assets Consist of
Paid-in capital		$	37,092,354			$	21,913,109			$	95,666,620			$	917,141,472
Distributable earnings (loss)			15,198,470				6,336,503				451,988				(401,147	)
Net Assets		$	52,290,824			$	28,249,612			$	96,118,608			$	916,740,325
Number of Common Shares outstanding			1,680,001				825,001				4,325,001				49,725,001
Net Asset Value, offering and redemption price per share		$	31.13			$	34.24			$	22.22			$	18.44
Investments, at cost		$	108,415,860			$	26,840,271			$	87,574,260			$	1,064,795,037
Investments in affiliated securities, at cost		$	—			$	—			$	7,638,913			$	447,770,300
Foreign currency, at cost		$	—			$	—			$	18,107			$	—
Premiums received on written options		$	374,329			$	95,571			$	572,500			$	6,890,350

 

See Notes to Financial Statements.

 

99

 

 

Simplify Exchange Traded Funds

Statements of Operations

For the Year Ended June 30, 2025

 

 

		Simplify Aggregate Bond ETF				Simplify Barrier Income ETF(1)				Simplify Bond Bull ETF(2)				Simplify China A Shares PLUS Income ETF(3)
Investment Income
Dividend income		$	9,261,019			$	—			$	—			$	—
Interest income			784,062				276,932				2,809,680				193,197
Total income			10,045,081				276,932				2,809,680				193,197
Expenses
Investment advisory fees			1,335,260				46,972				312,976				40,387
Interest expense			1,703				—				—				97
Tax expenses			58				—				1,344				—
Other expenses			891				—				—				—
Total expenses			1,337,912				46,972				314,320				40,484
Less fees waived:
Waiver			(667,643	)			—				—				—
Net expenses			670,269				46,972				314,320				40,484
Net investment income (loss)			9,374,812				229,960				2,495,360				152,713
Realized and Unrealized Gain (Loss)
Net realized gain (loss) from:
Investments			(3,168,544	)			(5	)			(883	)			265,572
In-kind redemptions			246,871				—				—				—
Futures			(2,006,308	)			—				—				—
Swaps			2,401,423				—				—				1,010,699
Written options			(4,227,942	)			1,703,180				—				102,414
Net realized gain (loss)			(6,754,500	)			1,703,175				(883	)			1,378,685
Net change in unrealized appreciation (depreciation) on:
Investments			6,418,761				(1,613	)			(9,489,595	)			119,568
Futures			950,435				—				—				—
Swaps			1,719,449				—				—				380,603
Written options			1,156,357				33,045				—				9,729
Net unrealized gain (loss)			10,245,002				31,432				(9,489,595	)			509,900
Net realized and unrealized gain (loss)			3,490,502				1,734,607				(9,490,478	)			1,888,585
Net Increase (Decrease) in Net Assets Resulting from Operations		$	12,865,314			$	1,964,567			$	(6,995,118	)		$	2,041,298

 

(1)	For the period April 14, 2025 (commencement of operations) through June 30, 2025.
(2)	For the period December 9, 2024 (commencement of operations) through June 30, 2025.
(3)	For the period January 13, 2025 (commencement of operations) through June 30, 2025.

 

See Notes to Financial Statements.

 

100

 

 

Simplify Exchange Traded Funds

Statements of Operations (Continued)

For the Year Ended June 30, 2025

 

 

		Simplify Currency Strategy ETF(1)				Simplify Enhanced Income ETF				Simplify Health Care ETF				Simplify Hedged Equity ETF
Investment Income
Unaffiliated dividend income*		$	—			$	—			$	1,636,784			$	4,133,008
Affiliated dividend income			—				—				67,350				—
Interest income			204,339				14,534,288				—				—
Total income			204,339				14,534,288				1,704,134				4,133,008
Expenses
Investment advisory fees			34,712				1,518,590				832,382				1,487,143
Interest expense			2,760				7,055				2,198				2,039
Tax expenses			—				—				58				403
Other expenses			—				677				—				—
Total expenses			37,472				1,526,322				834,638				1,489,585
Less fees waived:
Waiver			—				—				—				(228,813	)
Net expenses			37,472				1,526,322				834,638				1,260,772
Net investment income (loss)			166,867				13,007,966				869,496				2,872,236
Realized and Unrealized Gain (Loss)
Net realized gain (loss) from:
Investments			(262	)			(12,861,698	)			(19,928,415	)			(6,056,387	)
Affiliated investments			—				—				59,447				—
In-kind redemptions			—				—				15,064,438				20,236,688
Written options			—				5,735,948				—				5,671,387
Forward foreign currency contracts			(575,050	)			—				—				—
Foreign currency transactions			(5	)			—				—				—
Net realized gain (loss)			(575,317	)			(7,125,750	)			(4,804,530	)			19,851,688
Net change in unrealized appreciation (depreciation) on:
Investments			216				2,312,766				(2,184,220	)			8,169,907
Forward foreign currency contracts			247,142				—				—				—
Foreign currency translations			131				—				—				—
Written options			—				(257,868	)			—				(9,216,343	)
Net unrealized gain (loss)			247,489				2,054,898				(2,184,220	)			(1,046,436	)
Net realized and unrealized gain (loss)			(327,828	)			(5,070,852	)			(6,988,750	)			18,805,252
Net Increase (Decrease) in Net Assets Resulting from Operations		$	(160,961	)		$	7,937,114			$	(6,119,254	)		$	21,677,488
* Withholding tax		$	—			$	—			$	34,209			$	—

 

(1)	For the period February 3, 2025 (commencement of operations) through June 30, 2025.

 

See Notes to Financial Statements.

 

101

 

 

Simplify Exchange Traded Funds

Statements of Operations (Continued)

For the Year Ended June 30, 2025

 

 

		Simplify High Yield ETF				Simplify Interest Rate Hedge ETF				Simplify Intermediate Term Treasury Futures Strategy ETF				Simplify MBS ETF
Investment Income
Unaffiliated dividend income		$	107,275			$	—			$	15,106			$	—
Affiliated dividend income			28,760				—				—				—
Interest income			6,347,594				6,137,076				5,462,089				65,746,431
Total income			6,483,629				6,137,076				5,477,195				65,746,431
Expenses
Investment advisory fees			717,904				754,832				298,704				3,587,710
Interest expense			771				508				848				9,006
Tax expenses			403				1,150				173				—
Total expenses			719,078				756,490				299,725				3,596,716
Less fees waived:
Waiver			(358,952	)			—				(119,477	)			(1,435,131	)
Net expenses			360,126				756,490				180,248				2,161,585
Net investment income (loss)			6,123,503				5,380,586				5,296,947				63,584,846
Realized and Unrealized Gain (Loss)
Net realized gain (loss) from:
Investments			(1,692,703	)			16,088,323				30,301				(14,741,027	)
Affiliated investments			225,912				—				—				—
Futures			—				—				(8,766,339	)			—
Swaps			9,193,669				—				—				—
Written options			1,977,013				—				—				—
Net realized gain (loss)			9,703,891				16,088,323				(8,736,038	)			(14,741,027	)
Net change in unrealized appreciation (depreciation) on:
Investments			(248,098	)			(5,162,553	)			(10,126	)			17,945,205
Affiliated investments			17,871				—				—				—
Futures			—				—				7,010,089				—
Swaps			3,687,163				535				—				—
Written options			478,202				648,645				—				—
Net unrealized gain (loss)			3,935,138				(4,513,373	)			6,999,963				17,945,205
Net realized and unrealized gain (loss)			13,639,029				11,574,950				(1,736,075	)			3,204,178
Net Increase (Decrease) in Net Assets Resulting from Operations		$	19,762,532			$	16,955,536			$	3,560,872			$	66,789,024

 

See Notes to Financial Statements.

 

102

 

 

Simplify Exchange Traded Funds

Statements of Operations (Continued)

For the Year Ended June 30, 2025

 

 

		Simplify NEXT Intangible Core Index ETF				Simplify Short Term Treasury Futures Strategy ETF				Simplify Target 15 Distribution ETF(1)				Simplify Treasury Option Income ETF
Investment Income
Dividend income*		$	16,090			$	—			$	—			$	—
Interest income			—				28,257,292				337,587				11,633,334
Total income			16,090				28,257,292				337,587				11,633,334
Expenses
Investment advisory fees			3,880				1,523,260				57,579				889,296
Interest expense			4				26				—				1,762
Tax expenses			—				2,248				—				44
Other expenses			—				—				—				55
Total expenses			3,884				1,525,534				57,579				891,157
Less fees waived:
Waiver			—				(609,258	)			—				—
Net expenses			3,884				916,276				57,579				891,157
Net investment income (loss)			12,206				27,341,016				280,008				10,742,177
Realized and Unrealized Gain (Loss)
Net realized gain (loss) from:
Investments			(2,176	)			157,422				(24	)			(1,027,281	)
In-kind redemptions			234,585				—				—				—
Futures			—				15,658,542				—				(1,121,029	)
Written options			—				—				2,238,675				(8,165,016	)
Net realized gain (loss)			232,409				15,815,964				2,238,651				(10,313,326	)
Net change in unrealized appreciation (depreciation) on:
Investments			99,254				(66,913	)			(3,294	)			(5,516	)
Futures			—				4,306,154				—				4,601,384
Written options			—				—				289,430				841,102
Net unrealized gain (loss)			99,254				4,239,241				286,136				5,436,970
Net realized and unrealized gain (loss)			331,663				20,055,205				2,524,787				(4,876,356	)
Net Increase (Decrease) in Net Assets Resulting from Operations		$	343,869			$	47,396,221			$	2,804,795			$	5,865,821
* Withholding tax		$	12			$	—			$	—			$	—

 

(1)	For the period April 14, 2025 (commencement of operations) through June 30, 2025.

 

See Notes to Financial Statements.

 

103

 

 

Simplify Exchange Traded Funds

Statements of Operations (Continued)

For the Year Ended June 30, 2025

 

 

		Simplify US Equity PLUS Bitcoin Strategy ETF				Simplify US Equity PLUS Convexity ETF				Simplify US Equity PLUS Downside Convexity ETF				Simplify US Equity PLUS Upside Convexity ETF
Investment Income
Dividend income		$	534,555			$	1,030,899			$	1,440,208			$	833,385
Interest income			34,621				—				—				—
Total income			569,176				1,030,899				1,440,208				833,385
Expenses
Investment advisory fees			189,440				369,331				531,814				251,486
Interest expense			2,504				461				1,522				2,229
Tax expenses			58				173				2,224				58
Other expenses			—				230				175				155
Total expenses			192,002				370,195				535,735				253,928
Net investment income (loss)			377,174				660,704				904,473				579,457
Realized and Unrealized Gain (Loss)
Net realized gain (loss) from:
Investments			123,034				(2,852,637	)			3,080,653				(2,026,450	)
In-kind redemptions			4,924,124				5,595,822				15,068,939				1,738,621
Futures			251,606				—				—				—
Written options			—				1,417,739				(2,465,418	)			(635,646	)
Net realized gain (loss)			5,298,764				4,160,924				15,684,174				(923,475	)
Net change in unrealized appreciation (depreciation) on:
Investments			1,574,163				5,597,801				(6,031,543	)			6,489,413
Futures			270,266				—				—				—
Written options			—				(1,432	)			41,353				(29,330	)
Net unrealized gain (loss)			1,844,429				5,596,369				(5,990,190	)			6,460,083
Net realized and unrealized gain (loss)			7,143,193				9,757,293				9,693,984				5,536,608
Net Increase (Decrease) in Net Assets Resulting from Operations		$	7,520,367			$	10,417,997			$	10,598,457			$	6,116,065

 

See Notes to Financial Statements.

 

104

 

 

Simplify Exchange Traded Funds

Consolidated Statements of Operations

For the Year Ended June 30, 2025

 

 

		Simplify Bitcoin Strategy PLUS Income ETF				Simplify Gold Strategy PLUS Income ETF(1)				Simplify Multi- QIS Alternative ETF				Simplify Volatility Premium ETF
Investment Income
Unaffiliated dividend income		$	—			$	—			$	20,358			$	2,250,479
Affiliated dividend income			—				—				89,863				22,514,919
Interest income			1,754,093				455,795				4,948,296				22,547,014
Total income			1,754,093				455,795				5,058,517				47,312,412
Expenses
Investment advisory fees			347,717				54,284				1,084,120				5,469,662
Interest on reverse repurchase agreement			60,656				—				—				1,032,367
Interest expense			127,068				2,653				1,561				6,605
Tax expenses			1,210				506				—				350,909
Other expenses			597				100				—				—
Total expenses			537,248				57,543				1,085,681				6,859,543
Net investment income (loss)			1,216,845				398,252				3,972,836				40,452,869
Realized and Unrealized Gain (Loss)
Net realized gain (loss) from:
Investments			(7,204,936	)			1,564,843				(7,064,379	)			(57,082,316	)
Affiliated investments			—				—				(261,382	)			(996,584	)
Futures			11,647,343				5,138,645				460,451				(94,529,001	)
Swaps			—				—				(15,864,776	)			—
Written options			8,555,763				220,950				7,500,210				44,276,336
Forward foreign currency contracts			—				—				19,360				—
Foreign currency transactions			—				—				(1,494	)			—
Net realized gain (loss)			12,998,170				6,924,438				(15,212,010	)			(108,331,565	)
Net change in unrealized appreciation (depreciation) on:
Investments			1,763,523				252,307				2,336,586				22,088,074
Affiliated investments			—				—				(71,981	)			(3,113,862	)
Forward foreign currency contracts			—				—				(84,419	)			—
Foreign currency translations			—				—				1,343				—
Futures			1,591,527				(372,470	)			—				11,121,240
Swaps			—				—				(2,494,335	)			—
Written options			54,247				23,817				224,261				2,597,171
Net unrealized gain (loss)			3,409,297				(96,346	)			(88,545	)			32,692,623
Net realized and unrealized gain (loss)			16,407,467				6,828,092				(15,300,555	)			(75,638,942	)
Net Increase (Decrease) in Net Assets Resulting from Operations		$	17,624,312			$	7,226,344			$	(11,327,719	)		$	(35,186,073	)

 

(1)	For the period December 2, 2024 (commencement of operations) through June 30, 2025.

 

See Notes to Financial Statements.

 

105

 

 

Simplify Exchange Traded Funds

Statements of Changes in Net Assets

 

 

		Simplify Aggregate Bond ETF								Simplify Barrier Income ETF
		Year Ended June 30, 2025				Year Ended June 30, 2024				For the period April 14, 2025(1) to June 30, 2025
Increase (Decrease) in Net Assets from Operations
Net investment income (loss)		$	9,374,812			$	5,621,077			$	229,960
Net realized gain (loss)			(6,754,500	)			(654,711	)			1,703,175
Net change in net unrealized appreciation (depreciation)			10,245,002				712,753				31,432
Net increase (decrease) in net assets resulting from operations			12,865,314				5,679,119				1,964,567
Distributions to Shareholders from:
Distributions			(9,356,735	)			(6,394,098	)			(707,001	)
Return of capital			(10,913,767	)			(8,368,404	)			—
Total distributions			(20,270,502	)			(14,762,502	)			(707,001	)
Fund Shares Transactions
Proceeds from shares sold			157,247,218				209,989,955				33,922,731
Value of shares redeemed			(32,248,571	)			(5,381,902	)			—
Net increase (decrease) in net assets resulting from fund share transactions			124,998,647				204,608,053				33,922,731
Total net increase (decrease) in Net Assets			117,593,459				195,524,670				35,180,297
Net Assets
Beginning of year			207,337,384				11,812,714				—
End of year		$	324,930,843			$	207,337,384			$	35,180,297
Changes in Shares Outstanding
Shares outstanding, beginning of year			10,000,001				525,001				—
Shares sold			7,475,000				9,725,000				1,350,001	(2)
Shares redeemed			(1,575,000	)			(250,000	)			—
Shares outstanding, end of year			15,900,001				10,000,001				1,350,001

 

(1)	Commencement of operations.
(2)	Shares not in increment of 25,000 shares, a creation unit, represent the Adviser’s initial seed investment in connection with the commencement of operations.

 

See Notes to Financial Statements.

 

106

 

 

Simplify Exchange Traded Funds

Statements of Changes in Net Assets (Continued)

 

 

		Simplify Bond Bull ETF				Simplify China A Shares PLUS Income ETF
		For the period December 9, 2024(1) to June 30, 2025				For the period January 13, 2025(1) to June 30, 2025
Increase (Decrease) in Net Assets from Operations
Net investment income (loss)		$	2,495,360			$	152,713
Net realized gain (loss)			(883	)			1,378,685
Net change in net unrealized appreciation (depreciation)			(9,489,595	)			509,900
Net increase (decrease) in net assets resulting from operations			(6,995,118	)			2,041,298
Distributions			(2,051,251	)			(90,000	)
Fund Shares Transactions
Proceeds from shares sold			183,220,251				10,714,545
Variable transaction fees (see Note 8)			1,677,081				33,568
Value of shares redeemed			(23,215,555	)			(1,369,126	)
Net increase (decrease) in net assets resulting from fund share transactions			161,681,777				9,378,987
Total net increase (decrease) in Net Assets			152,635,408				11,330,285
Net Assets
Beginning of period			—				—
End of period		$	152,635,408			$	11,330,285
Changes in Shares Outstanding
Shares outstanding, beginning of period			—				—
Shares sold			3,550,001	(2)			425,001	(2)
Shares redeemed			(425,000	)			(50,000	)
Shares outstanding, end of period			3,125,001				375,001

 

(1)	Commencement of operations.
(2)	Shares not in increment of 25,000 shares, a creation unit, represent the Adviser’s initial seed investment in connection with the commencement of operations.

 

See Notes to Financial Statements.

 

107

 

 

Simplify Exchange Traded Funds

Statements of Changes in Net Assets (Continued)

 

 

		Simplify Currency Strategy ETF				Simplify Enhanced Income ETF
		For the period February 3, 2025(1) to June 30, 2025				Year Ended June 30, 2025				Year Ended June 30, 2024
Increase (Decrease) in Net Assets from Operations
Net investment income (loss)		$	166,867			$	13,007,966			$	11,965,676
Net realized gain (loss)			(575,317	)			(7,125,750	)			3,631,514
Net change in net unrealized appreciation (depreciation)			247,489				2,054,898				196,587
Net increase (decrease) in net assets resulting from operations			(160,961	)			7,937,114				15,793,777
Distributions to Shareholders from:
Distributions			(167,072	)			(14,816,751	)			(15,538,128	)
Return of capital			(159,179	)			(6,963,751	)			(7,633,526	)
Total distributions			(326,251	)			(21,780,502	)			(23,171,654	)
Fund Shares Transactions
Proceeds from shares sold			21,661,338				166,862,287				473,404,665
Value of shares redeemed			(6,230,153	)			(396,338,890	)			(56,151,091	)
Net increase (decrease) in net assets resulting from fund share transactions			15,431,185				(229,476,603	)			417,253,574
Total net increase (decrease) in Net Assets			14,943,973				(243,319,991	)			409,875,697
Net Assets
Beginning of year			—				435,486,435				25,610,738
End of year		$	14,943,973			$	192,166,444			$	435,486,435
Changes in Shares Outstanding
Shares outstanding, beginning of year			—				17,925,001				1,025,001
Shares sold			825,001	(2)			7,000,000				19,200,000
Shares redeemed			(250,000	)			(16,975,000	)			(2,300,000	)
Shares outstanding, end of year			575,001				7,950,001				17,925,001

 

	(1)	Commencement of operations.
	(2)	Shares not in increment of 25,000 shares, a creation unit, represent the Adviser’s initial seed investment in connection with the commencement of operations.

 

See Notes to Financial Statements.

 

108

 

 

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

 

 

		Simplify Health Care ETF								Simplify Hedged Equity ETF
		Year Ended June 30, 2025				Year Ended June 30, 2024				Year Ended June 30, 2025				Year Ended June 30, 2024
Increase (Decrease) in Net Assets from Operations
Net investment income (loss)		$	869,496			$	371,495			$	2,872,236			$	1,793,143
Net realized gain (loss)			(4,804,530	)			6,503,689				19,851,688				18,317,958
Net change in net unrealized appreciation (depreciation)			(2,184,220	)			6,718,265				(1,046,436	)			3,883,500
Net increase (decrease) in net assets resulting from operations			(6,119,254	)			13,593,449				21,677,488				23,994,601
Distributions			(677,797	)			(490,865	)			(3,789,501	)			(6,120,484	)
Fund Shares Transactions
Proceeds from shares sold			126,501,083				134,296,970				304,053,693				242,299,095
Value of shares redeemed			(126,305,541	)			(69,294,326	)			(158,981,128	)			(198,304,502	)
Net increase (decrease) in net assets resulting from fund share transactions			195,542				65,002,644				145,072,565				43,994,593
Total net increase (decrease) in Net Assets			(6,601,509	)			78,105,228				162,960,552				61,868,710
Net Assets
Beginning of year			137,169,249				59,064,021				168,665,905				106,797,195
End of year		$	130,567,740			$	137,169,249			$	331,626,457			$	168,665,905
Changes in Shares Outstanding
Shares outstanding, beginning of year			4,375,001				2,225,001				6,100,001				4,300,001
Shares sold			4,000,000				4,700,000				10,400,000				9,325,000
Shares redeemed			(4,025,000	)			(2,550,000	)			(5,475,000	)			(7,525,000	)
Shares outstanding, end of year			4,350,001				4,375,001				11,025,001				6,100,001

 

See Notes to Financial Statements.

 

109

 

 

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

 

 

		Simplify High Yield ETF							Simplify Interest Rate Hedge ETF
		Year Ended June 30, 2025				Year Ended June 30, 2024				Year Ended June 30, 2025				Year Ended June 30, 2024
Increase (Decrease) in Net Assets from Operations
Net investment income (loss)		$	6,123,503			$	3,604,024			$	5,380,586			$	6,645,613
Net realized gain (loss)			9,703,891				4,618,101				16,088,323				24,670,221
Net change in net unrealized appreciation (depreciation)			3,935,138				(750,938	)			(4,513,373	)			28,081,286
Net increase (decrease) in net assets resulting from operations			19,762,532				7,471,187				16,955,536				59,397,120
Distributions			(16,269,523	)			(4,715,001	)			(5,568,494	)			(76,106,598	)
Fund Shares Transactions
Proceeds from shares sold			210,661,410				120,041,111				73,926,807				47,576,466
Variable transaction fees (see Note 8)			—				—				1,514,407				1,814,321
Value of shares redeemed			(124,994,410	)			(11,870,064	)			(76,218,164	)			(105,095,882	)
Net increase (decrease) in net assets resulting from fund share transactions			85,667,000				108,171,047				(776,950	)			(55,705,095	)
Total net increase (decrease) in Net Assets			89,160,009				110,927,233				10,610,092				(72,414,573	)
Net Assets
Beginning of year			156,167,780				45,240,547				145,441,147				217,855,720
End of year		$	245,327,789			$	156,167,780			$	156,051,239			$	145,441,147
Changes in Shares Outstanding
Shares outstanding, beginning of year			6,800,001				2,075,001				3,025,001				3,400,001
Shares sold			9,125,000				5,250,000				1,400,000				950,000
Shares redeemed			(5,350,000	)			(525,000	)			(1,525,000	)			(1,325,000	)
Shares outstanding, end of year			10,575,001				6,800,001				2,900,001				3,025,001

 

See Notes to Financial Statements.

 

110

 

 

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

 

 

		Simplify Intermediate Term Treasury Futures Strategy ETF								Simplify MBS ETF
		Year Ended June 30, 2025				Year Ended June 30, 2024				Year Ended June 30, 2025				For the period November 7, 2023(1) to June 30, 2024
Increase (Decrease) in Net Assets from Operations
Net investment income (loss)		$	5,296,947			$	2,417,645			$	63,584,846			$	13,271,970
Net realized gain (loss)			(8,736,038	)			(10,787,702	)			(14,741,027	)			(2,812,226	)
Net change in net unrealized appreciation (depreciation)			6,999,963				3,922,534				17,945,205				2,086,193
Net increase (decrease) in net assets resulting from operations			3,560,872				(4,447,523	)			66,789,024				12,545,937
Distributions to Shareholders from:
Distributions			(5,351,475	)			(2,051,789	)			(64,435,827	)			(13,271,970	)
Return of capital			—				—				(22,181,637	)			(2,807,611	)
Total distributions			(5,351,475	)			(2,051,789	)			(86,617,464	)			(16,079,581	)
Fund Shares Transactions
Proceeds from shares sold			164,400,307				18,754,647				1,212,434,602				786,576,820
Value of shares redeemed			(58,601,028	)			(16,917,836	)			(570,007,354	)			(32,736,239	)
Net increase (decrease) in net assets resulting from fund share transactions			105,799,279				1,836,811				642,427,248				753,840,581
Total net increase (decrease) in Net Assets			104,008,676				(4,662,501	)			622,598,808				750,306,937
Net Assets
Beginning of year			48,678,096				53,340,597				750,306,937				—
End of year		$	152,686,772			$	48,678,096			$	1,372,905,745			$	750,306,937
Changes in Shares Outstanding
Shares outstanding, beginning of year			3,750,001				3,625,001				14,900,001				—
Shares sold			12,075,000				1,400,000				23,950,000				15,550,001	(2)
Shares redeemed			(4,500,000	)			(1,275,000	)			(11,425,000	)			(650,000	)
Shares outstanding, end of year			11,325,001				3,750,001				27,425,001				14,900,001

 

	(1)	Commencement of operations.
	(2)	Shares not in increment of 25,000 shares, a creation unit, represent the Adviser’s initial seed investment in connection with the commencement of operations.

 

See Notes to Financial Statements.

 

111

 

 

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

 

 

		Simplify NEXT Intangible Core Index ETF								Simplify Short Term Treasury Futures Strategy ETF
		Year Ended June 30, 2025				For the period April 16, 2024(1) to June 30, 2024				Year Ended June 30, 2025				Year Ended June 30, 2024
Increase (Decrease) in Net Assets from Operations
Net investment income (loss)		$	12,206			$	6,251			$	27,341,016			$	30,643,907
Net realized gain (loss)			232,409				28,537				15,815,964				(57,414,467	)
Net change in net unrealized appreciation (depreciation)			99,254				90,991				4,239,241				30,916,505
Net increase (decrease) in net assets resulting from operations			343,869				125,779				47,396,221				4,145,945
Distributions			(54,898	)			(5,000	)			(27,674,131	)			(28,690,445	)
Fund Shares Transactions
Proceeds from shares sold			2,207,995				2,500,025				617,004,305				661,933,504
Value of shares redeemed			(3,579,083	)			—				(509,635,263	)			(632,576,103	)
Net increase (decrease) in net assets resulting from fund share transactions			(1,371,088	)			2,500,025				107,369,042				29,357,401
Total net increase (decrease) in Net Assets			(1,082,117	)			2,620,804				127,091,132				4,812,901
Net Assets
Beginning of year			2,620,804				—				539,079,601				534,266,700
End of year		$	1,538,687			$	2,620,804			$	666,170,733			$	539,079,601
Changes in Shares Outstanding
Shares outstanding, beginning of year			100,001				—				25,275,001				23,575,001
Shares sold			75,000				100,001	(2)			28,050,000				29,975,000
Shares redeemed			(125,000	)			—				(23,075,000	)			(28,275,000	)
Shares outstanding, end of year			50,001				100,001				30,250,001				25,275,001

 

	(1)	Commencement of operations.
	(2)	Shares not in increment of 25,000 shares, a creation unit, represent the Adviser’s initial seed investment in connection with the commencement of operations.

 

See Notes to Financial Statements.

 

112

 

 

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

 

 

		Simplify Target 15 Distribution ETF				Simplify Treasury Option Income ETF
		For the period April 14, 2025(1) to June 30, 2025				Year Ended June 30, 2025				Year Ended June 30, 2024
Increase (Decrease) in Net Assets from Operations
Net investment income (loss)		$	280,008			$	10,742,177			$	3,238,489
Net realized gain (loss)			2,238,651				(10,313,326	)			578,472
Net change in net unrealized appreciation (depreciation)			286,136				5,436,970				113,007
Net increase (decrease) in net assets resulting from operations			2,804,795				5,865,821				3,929,968
Distributions to Shareholders from:
Distributions			(1,122,001	)			(11,594,163	)			(3,934,176	)
Return of capital			—				(8,307,884	)			(2,109,218	)
Total distributions			(1,122,001	)			(19,902,047	)			(6,043,394	)
Fund Shares Transactions
Proceeds from shares sold			45,719,648				390,806,604				139,737,286
Value of shares redeemed			—				(173,020,408	)			(12,505,971	)
Net increase (decrease) in net assets resulting from fund share transactions			45,719,648				217,786,196				127,231,315
Total net increase (decrease) in Net Assets			47,402,442				203,749,970				125,117,889
Net Assets
Beginning of year			—				139,527,399				14,409,510
End of year		$	47,402,442			$	343,277,369			$	139,527,399
Changes in Shares Outstanding
Shares outstanding, beginning of year			—				5,675,001				575,001
Shares sold			1,800,001	(2)			15,925,000				5,600,000
Shares redeemed			—				(7,100,000	)			(500,000	)
Shares outstanding, end of year			1,800,001				14,500,001				5,675,001

 

	(1)	Commencement of operations.
	(2)	Shares not in increment of 25,000 shares, a creation unit, represent the Adviser’s initial seed investment in connection with the commencement of operations.

 

See Notes to Financial Statements.

 

113

 

 

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

 

 

		Simplify US Equity PLUS Bitcoin Strategy ETF								Simplify US Equity PLUS Convexity ETF
		Year Ended June 30, 2025				Year Ended June 30, 2024				Year Ended June 30, 2025				Year Ended June 30, 2024
Increase (Decrease) in Net Assets from Operations
Net investment income (loss)		$	377,174			$	89,806			$	660,704			$	731,782
Net realized gain (loss)			5,298,764				1,258,594				4,160,924				5,208,944
Net change in net unrealized appreciation (depreciation)			1,844,429				1,704,878				5,596,369				9,338,424
Net increase (decrease) in net assets resulting from operations			7,520,367				3,053,278				10,417,997				15,279,150
Distributions to Shareholders from:
Distributions			(440,000	)			(41,389	)			(716,500	)			(874,943	)
Return of capital			—				(93,611	)			—				—
Total distributions			(440,000	)			(135,000	)			(716,500	)			(874,943	)
Fund Shares Transactions
Proceeds from shares sold			89,850,062				19,130,905				24,738,970				11,796,266
Value of shares redeemed			(42,890,542	)			(9,264,119	)			(24,451,145	)			(26,258,350	)
Net increase (decrease) in net assets resulting from fund share transactions			46,959,520				9,866,786				287,825				(14,462,084	)
Total net increase (decrease) in Net Assets			54,039,887				12,785,064				9,989,322				(57,877	)
Net Assets
Beginning of year			21,526,455				8,741,391				73,356,656				73,414,533
End of year		$	75,566,342			$	21,526,455			$	83,345,978			$	73,356,656
Changes in Shares Outstanding
Shares outstanding, beginning of year			625,001				350,001				2,025,001				2,525,001
Shares sold			2,325,000				600,000				675,000				350,000
Shares redeemed			(1,125,000	)			(325,000	)			(675,000	)			(850,000	)
Shares outstanding, end of year			1,825,001				625,001				2,025,001				2,025,001

 

See Notes to Financial Statements.

 

114

 

 

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

 

 

		Simplify US Equity PLUS Downside Convexity ETF								Simplify US Equity PLUS Upside Convexity ETF
		Year Ended June 30, 2025				Year Ended June 30, 2024				Year Ended June 30, 2025				Year Ended June 30, 2024
Increase (Decrease) in Net Assets from Operations
Net investment income (loss)		$	904,473			$	1,063,515			$	579,457			$	68,037
Net realized gain (loss)			15,684,174				(3,060,772	)			(923,475	)			608,303
Net change in net unrealized appreciation (depreciation)			(5,990,190	)			17,805,961				6,460,083				902,184
Net increase (decrease) in net assets resulting from operations			10,598,457				15,808,704				6,116,065				1,578,524
Distributions to Shareholders from:
Distributions			(1,088,500	)			(1,085,380	)			(580,268	)			(81,193	)
Return of capital			—				(407,750	)			—				—
Total distributions			(1,088,500	)			(1,493,130	)			(580,268	)			(81,193	)
Fund Shares Transactions
Proceeds from shares sold			73,652,053				50,366,819				138,895,540				3,672,870
Value of shares redeemed			(109,134,887	)			(66,111,033	)			(35,827,455	)			(5,534,399	)
Net increase (decrease) in net assets resulting from fund share transactions			(35,482,834	)			(15,744,214	)			103,068,085				(1,861,529	)
Total net increase (decrease) in Net Assets			(25,972,877	)			(1,428,640	)			108,603,882				(364,198	)
Net Assets
Beginning of year			114,185,973				115,614,613				8,063,951				8,428,149
End of year		$	88,213,096			$	114,185,973			$	116,667,833			$	8,063,951
Changes in Shares Outstanding
Shares outstanding, beginning of year			3,525,001				4,225,001				200,001				275,001
Shares sold			2,150,000				1,700,000				3,275,000				100,000
Shares redeemed			(3,350,000	)			(2,400,000	)			(850,000	)			(175,000	)
Shares outstanding, end of year			2,325,001				3,525,001				2,625,001				200,001

 

See Notes to Financial Statements.

 

115

 

 

Simplify Exchange Traded Funds
Consolidated Statements of Changes in Net Assets

 

 

		Simplify Bitcoin Strategy PLUS Income ETF								Simplify Gold  Strategy PLUS Income ETF
		Year Ended June 30, 2025				Year Ended June 30, 2024				For the period December 2, 2024(1) to June 30, 2025
Increase (Decrease) in Net Assets from Operations
Net investment income (loss)		$	1,216,845			$	879,012			$	398,252
Net realized gain (loss)			12,998,170				11,387,935				6,924,438
Net change in net unrealized appreciation (depreciation)			3,409,297				(1,332,483	)			(96,346	)
Net increase (decrease) in net assets resulting from operations			17,624,312				10,934,464				7,226,344
Distributions			(12,937,151	)			(8,396,057	)			(517,501	)
Fund Shares Transactions
Proceeds from shares sold			49,258,948				17,720,224				28,885,871
Value of shares redeemed			(20,335,341	)			(26,531,270	)			(7,345,102	)
Net increase (decrease) in net assets resulting from fund share transactions			28,923,607				(8,811,046	)			21,540,769
Total net increase (decrease) in Net Assets			33,610,768				(6,272,639	)			28,249,612
Net Assets
Beginning of year			18,680,056				24,952,695				—
End of year		$	52,290,824			$	18,680,056			$	28,249,612
Changes in Shares Outstanding
Shares outstanding, beginning of year			740,001				1,380,001				—
Shares sold			1,760,000				760,000				1,075,001	(2)
Shares redeemed			(820,000	)			(1,400,000	)			(250,000	)
Shares outstanding, end of year			1,680,001				740,001				825,001

 

	(1)	Commencement of operations.
	(2)	Shares not in increment of 25,000 shares, a creation unit, represent the Adviser’s initial seed investment in connection with the commencement of operations.

 

See Notes to Financial Statements.

 

116

 

 

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

 

 

		Simplify Multi-QIS Alternative ETF								Simplify Volatility Premium ETF
		Year Ended June 30, 2025				For the period July 11, 2023(1) to June 30, 2024				Year Ended June 30, 2025				Year Ended June 30, 2024
Increase (Decrease) in Net Assets from Operations
Net investment income (loss)		$	3,972,836			$	4,780,584			$	40,452,869			$	31,005,037
Net realized gain (loss)			(15,212,010	)			(66,984	)			(108,331,565	)			64,354,407
Net change in net unrealized appreciation (depreciation)			(88,545	)			383,325				32,692,623				(5,253,316	)
Net increase (decrease) in net assets resulting from operations			(11,327,719	)			5,096,925				(35,186,073	)			90,106,128
Distributions to Shareholders from:
Distributions			(2,504,782	)			(4,209,252	)			(84,092,942	)			(103,075,545	)
Return of capital			—				—				(97,126,311	)			—
Total distributions			(2,504,782	)			(4,209,252	)			(181,219,253	)			(103,075,545	)
Fund Shares Transactions
Proceeds from shares sold			10,302,302				127,357,696				474,837,239				773,905,376
Value of shares redeemed			(15,290,493	)			(13,306,069	)			(341,707,812	)			(84,509,670	)
Net increase (decrease) in net assets resulting from fund share transactions			(4,988,191	)			114,051,627				133,129,427				689,395,706
Total net increase (decrease) in Net Assets			(18,820,692	)			114,939,300				(83,275,899	)			676,426,289
Net Assets
Beginning of year			114,939,300				—				1,000,016,224				323,589,935
End of year		$	96,118,608			$	114,939,300			$	916,740,325			$	1,000,016,224
Changes in Shares Outstanding
Shares outstanding, beginning of year			4,550,001				—				44,500,001				14,125,001
Shares sold			425,000				5,075,001				22,475,000				34,100,000
Shares redeemed			(650,000	)			(525,000	)			(17,250,000	)			(3,725,000	)
Shares outstanding, end of year			4,325,001				4,550,001				49,725,001				44,500,001

 

	(1)	Commencement of operations.
	(2)	Shares not in increment of 25,000 shares, a creation unit, represent the Adviser’s initial seed investment in connection with the commencement of operations.

 

See Notes to Financial Statements.

 

117

 

 

Simplify Exchange Traded Funds
Consolidated Statement of Cash Flows
For the Year Ended June 30, 2025

 

 

		Simplify Bitcoin Strategy PLUS Income ETF
Cash Flows Provided by (Used for) Operating Activities:
Net increase (decrease) in net assets resulting from operations		$	17,624,312
Adjustments to reconcile net increase (decrease) in net assets resulting from operations to net cash provided by / (used for) operating activities:
Net purchases and sales in short term investments			(43,541,863	)
Net change in unrealized (appreciation) / depreciation on investments			(1,763,523	)
Net proceeds from purchased and written options			(4,870,403	)
Net change in unrealized (appreciation) / depreciation on written options			(54,247	)
Net realized (gain) / loss from sales of investments			7,237,290
Net realized (gain) / loss from written options			(8,555,763	)
Net amortization of premium / (discount)			(1,754,388	)
(Increase) Decrease in securities sold receivable			(207,083	)
(Increase) Decrease in due from broker			(126,859	)
Interest payable on reverse repurchase agreement			(11,791	)
Increase (Decrease) in investment advisory fees payable			19,476
(Increase) Decrease in prepaid expenses			1,211
Increase (Decrease) securities purchased payable			16,083
Net Cash Provided by / (Used for) Operating Activities			(35,987,548	)
Cash Flows Provided by (Used for) from Financing Activities:
Shares Sold			49,258,948
Shares redeemed			(20,335,341	)
Proceeds from reverse repurchase agreement			503,914,628
Payments made on reverse repurchase agreement			(483,960,257	)
Distributions paid			(12,937,151	)
Cash provided by (used for) financing activities			35,940,827
Net increase (decrease) in cash			(46,721	)
Cash and Restricted Cash:
Cash and Restricted Cash, at beginning of year			584,499
Cash and Restricted Cash, at end of year		$	537,778
Supplemental Disclosure of Cash Flow Information
Non-cash financing activities:
Cash paid for interest on reverse repurchase agreements		$	60,656
Reconciliation of Restricted and Unrestricted Cash at the beginning of year to the Statements of Assets and Liabilities
Cash		$	584,499
Reconciliation of Restricted and Unrestricted Cash at the end of year to the Statements of Assets and Liabilities
Cash		$	537,778

 

See Notes to Financial Statements.

 

118

 

 

Simplify Exchange Traded Funds
Consolidated Statement of Cash Flows
For the Year Ended June 30, 2025

 

 

		Simplify Volatility Premium ETF
Cash Flows Provided by (Used for) Operating Activities:
Net increase (decrease) in net assets resulting from operations		$	(35,186,073	)
Adjustments to reconcile net increase (decrease) in net assets resulting from operations to net cash provided by / (used for) operating activities:
Purchases of long-term investment securities			(2,023,199,720	)
Proceeds from sale of securities			1,812,582,893
Net purchases and sales in short term investments			272,017,481
Net proceeds from purchased and written options			21,037,711
Return of capital distributions			3,901,237
Net change in unrealized (appreciation) / depreciation on investments			(22,088,074	)
Net change in unrealized (appreciation) / depreciation on investments - Affiliated			3,113,862
Net change in unrealized (appreciation) / depreciation on written options			(2,597,171	)
Net realized (gain) / loss from sales of investments			57,082,316
Net realized (gain) / loss from sales of investments - Affiliated			996,584
Net realized (gain) / loss from written options			(44,276,336	)
Net amortization of premium / (discount)			(22,542,017	)
(Increase) Decrease in dividends and interest receivable			118
(Increase) Decrease in securities sold receivable			(4,057,719	)
(Increase) Decrease in tax reclaims			(431	)
(Increase) Decrease in prepaid expenses			2,224
(Increase) Decrease in due from broker			23,385,651
Interest payable on reverse repurchase agreement			(179,012	)
Increase (Decrease) in investment advisory fees payable			(45,978	)
Increase (Decrease) securities purchased payable			(25,530,197	)
Net Cash Provided by / (Used for) Operating Activities			14,417,351
Cash Flows Provided by (Used for) from Financing Activities:
Shares Sold			474,837,239
Shares redeemed			(337,557,266	)
Proceeds from reverse repurchase agreement			7,521,080,899
Payments made on reverse repurchase agreement			(7,492,240,222	)
Distributions paid			(181,219,253	)
Cash provided by (used for) financing activities			(15,098,603	)
Net increase (decrease) in cash			(681,252	)
Cash and Restricted Cash(1):
Cash and Restricted Cash, at beginning of year			1,870,910
Cash and Restricted Cash, at end of year		$	1,189,658

 

(1)

Cash and restricted cash include cash and cash held as collateral for futures.

 

Supplemental Disclosure of Cash Flow Information
Non-cash financing activities:
Cash paid for interest on reverse repurchase agreements		$	1,032,367
Reconciliation of Restricted and Unrestricted Cash at the beginning of year to the Statements of Assets and Liabilities
Cash		$	1,870,910
Reconciliation of Restricted and Unrestricted Cash at the end of year to the Statements of Assets and Liabilities
Cash		$	1,189,658

 

See Notes to Financial Statements.

 

119

 

 

Simplify Exchange Traded Funds

Financial Highlights

 

 

														Period Ended
Simplify Aggregate Bond ETF		Years Ended June 30												June 30,
Selected Per Share Data		2025				2024				2023				2022(a)
Net Asset Value, beginning of period		$	20.73			$	22.50			$	23.64			$	25.00
Income (loss) from investment operations:
Net investment income (loss)(b)			0.73				0.89				0.55				0.13
Net realized and unrealized gain (loss)			0.53				(0.38	)(c)			(0.45	)			(1.35	)
Total from investment operations			1.26				0.51				0.10				(1.22	)
Less distributions from:
Net investment income			(0.72	)			(0.99	)			(0.83	)			(0.14	)
Return of capital			(0.83	)			(1.29	)			(0.41	)			—
Total distributions			(1.55	)			(2.28	)			(1.24	)			(0.14	)
Net Asset Value, end of period		$	20.44			$	20.73			$	22.50			$	23.64
Total Return (%)			6.19				2.48				0.49	(d)			(4.89	)(e)
Ratios to Average Net Assets and Supplemental Data
Net Assets, end of period ($ millions)		$	325			$	207			$	12			$	1
Ratio of expenses before fee waiver (%)			0.50	(f)			0.52	(f)(g)			0.87	(f)(h)			0.50	(f)(i)
Ratio of expenses after fee waiver (%)			0.25	(f)			0.26	(f)(g)			0.60	(f)(h)			0.25	(f)(i)
Ratio of net investment income (loss) (%)			3.51				4.19				2.44				1.43	(i)
Portfolio turnover rate (%)(j)			299				385				400				14	(e)

 

		Period Ended
Simplify Barrier Income ETF		June 30,
Selected Per Share Data		2025(k)
Net Asset Value, beginning of period		$	25.00
Income (loss) from investment operations:
Net investment income (loss)(b)			0.20
Net realized and unrealized gain (loss)			1.42
Total from investment operations			1.62
Less distributions from:
Net investment income			(0.56	)
Total distributions			(0.56	)
Net Asset Value, end of period		$	26.06
Total Return (%)			6.52	(e)
Ratios to Average Net Assets and Supplemental Data
Net Assets, end of period ($ millions)		$	35
Ratio of expenses (%)			0.75	(i)
Ratio of net investment income (loss) (%)			3.67	(i)
Portfolio turnover rate (%)(j)			0	(e)

 

	(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)	Total Return would have been lower if certain expenses had not been waived/reimbursed by the Advisor.
	(e)	Not annualized.
	(f)	The Fund invests in other ETFs and indirectly bears its proportionate shares of fees and expenses incurred by the Underlying Funds in which the Fund is invested. This ratio does not included these indirect fees and expenses.
	(g)	The ratios of expenses to average net assets includes interest expense fees of 0.02%.
	(h)	The ratios of expenses to average net assets includes interest expense fees of 0.36%.
	(i)	Annualized.
	(j)	Excludes the impact of in-kind transactions related to the processing of capital share transactions in Creation Units.
	(k)	For the period April 14, 2025 (commencement of operations) through June 30, 2025.

 

See Notes to Financial Statements.

 

120

 

 

Simplify Exchange Traded Funds

Financial Highlights (Continued)

 

 

		Period Ended
Simplify Bond Bull ETF Selected Per Share Data		June 30, 2025(a)
Net Asset Value, beginning of period		$	60.00
Income (loss) from investment operations:
Net investment income (loss)(b)			1.11
Net realized and unrealized gain (loss)			(11.56	)(c)
Total from investment operations			(10.45	)
Variable transaction fees (see Note 8)			0.75
Less distributions from:
Net investment income			(0.71	)
Total distributions			(0.71	)
Net Asset Value, end of period		$	48.84
Total Return (%)			(17.43	)(d)
Ratios to Average Net Assets and Supplemental Data
Net Assets, end of period ($ millions)		$	153
Ratio of expenses (%)			0.50	(e)
Ratio of net investment income (loss) (%)			3.99	(e)
Portfolio turnover rate (%)(f)			0	(d)

 

		Period Ended
Simplify China A Shares PLUS Income ETF Selected Per Share Data		June 30, 2025(g)
Net Asset Value, beginning of period		$	25.00
Income (loss) from investment operations:
Net investment income (loss)(b)			0.41
Net realized and unrealized gain (loss)			4.95
Total from investment operations			5.36
Variable transaction fees (see Note 8)			0.09
Less distributions from:
Net investment income			(0.24	)
Total distributions			(0.24	)
Net Asset Value, end of period		$	30.21
Total Return (%)			21.86	(d)
Ratios to Average Net Assets and Supplemental Data
Net Assets, end of period ($ millions)		$	11
Ratio of expenses (%)			0.88	(e)
Ratio of net investment income (loss) (%)			3.33	(e)
Portfolio turnover rate (%)(f)			0	(d)

 

	(a)	For the period December 9, 2024 (commencement of operations) through June 30, 2025.
	(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)	Excludes the impact of in-kind transactions related to the processing of capital share transactions in Creation Units.
	(g)	For the period January 13, 2025 (commencement of operations) through June 30, 2025.

 

See Notes to Financial Statements.

 

121

 

 

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Financial Highlights (Continued)

 

 

		Period Ended
Simplify Currency Strategy ETF Selected Per Share Data		June 30, 2025(a)
Net Asset Value, beginning of period		$	25.00
Income (loss) from investment operations:
Net investment income (loss)(b)			0.37
Net realized and unrealized gain (loss)			1.17	(c)
Total from investment operations			1.54
Less distributions from:
Net investment income			(0.28	)
Return of capital			(0.27	)
Total distributions			(0.55	)
Net Asset Value, end of period		$	25.99
Total Return (%)			6.16	(d)
Ratios to Average Net Assets and Supplemental Data
Net Assets, end of period ($ millions)		$	15
Ratio of expenses (%)			0.81	(e)(f)
Ratio of net investment income (loss) (%)			3.61	(e)
Portfolio turnover rate (%)(g)			0	(d)

 

										Period Ended
Simplify Enhanced Income ETF		Years Ended June 30								June 30,
Selected Per Share Data		2025				2024				2023(h)
Net Asset Value, beginning of period		$	24.29			$	24.99			$	25.00
Income (loss) from investment operations:
Net investment income (loss)(b)			1.01				1.18				0.65
Net realized and unrealized gain (loss)			0.57	(c)			0.37				0.60
Total from investment operations			1.58				1.55				1.25
Less distributions from:
Net investment income			(1.16	)			(1.48	)			(1.23	)
Net realized gains			—				(0.03	)			(0.03	)
Return of capital			(0.54	)			(0.74	)			—
Total distributions			(1.70	)			(2.25	)			(1.26	)
Net Asset Value, end of period		$	24.17			$	24.29			$	24.99
Total Return (%)			6.95				6.51				5.07	(d)
Ratios to Average Net Assets and Supplemental Data
Net Assets, end of period ($ millions)		$	192			$	435			$	26
Ratio of expenses (%)			0.50				0.52	(i)			0.87	(e)(j)
Ratio of net investment income (loss) (%)			4.28				4.83				3.92	(e)
Portfolio turnover rate (%)(g)			0				0				0	(d)

 

	(a)	For the period February 3, 2025 (commencement of operations) through June 30, 2025.
	(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 0.06%.
	(g)	Excludes the impact of in-kind transactions related to the processing of capital share transactions in Creation Units.
	(h)	For the period October 28, 2022 (commencement of operations) through June 30, 2023.
	(i)	The ratios of expenses to average net assets includes interest expense fees of 0.02%.
	(j)	The ratios of expenses to average net assets includes interest expense fees of 0.36%.

 

See Notes to Financial Statements.

 

122

 

 

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Financial Highlights (Continued)

 

 

														Period Ended
Simplify Health Care ETF		Years Ended June 30												June 30,
Selected Per Share Data		2025				2024				2023				2022(a)
Net Asset Value, beginning of period		$	31.35			$	26.55			$	24.58			$	25.00
Income (loss) from investment operations:
Net investment income (loss)(b)			0.16				0.12				0.18				0.08
Net realized and unrealized gain (loss)			(1.36	)			4.85				1.99				(0.42	)
Total from investment operations			(1.20	)			4.97				2.17				(0.34	)
Less distributions from:
Net investment income			(0.13	)			(0.17	)			(0.20	)			(0.08	)
Total distributions			(0.13	)			(0.17	)			(0.20	)			(0.08	)
Net Asset Value, end of period		$	30.02			$	31.35			$	26.55			$	24.58
Total Return (%)			(3.84	)			18.83				8.81				(1.38	)(c)
Ratios to Average Net Assets and Supplemental Data
Net Assets, end of period ($ millions)		$	131			$	137			$	59			$	34
Ratio of expenses (%)			0.50				0.50				0.50				0.50	(d)
Ratio of net investment income (loss) (%)			0.52				0.44				0.72				0.45	(d)
Portfolio turnover rate (%)(e)			201				210				118				146	(c)

 

														Period Ended
Simplify Hedged Equity ETF		Years Ended June 30												June 30,
Selected Per Share Data		2025				2024				2023				2022(f)
Net Asset Value, beginning of period		$	27.65			$	24.84			$	22.99			$	25.00
Income (loss) from investment operations:
Net investment income (loss)(b)			0.28				0.30				0.24				0.18
Net realized and unrealized gain (loss)			2.51				3.59				2.58				(2.04	)
Total from investment operations			2.79				3.89				2.82				(1.86	)
Less distributions from:
Net investment income			(0.36	)			(0.31	)			(0.54	)			(0.15	)
Net realized gains			—				(0.77	)			(0.43	)			—
Total distributions			(0.36	)			(1.08	)			(0.97	)			(0.15	)
Net Asset Value, end of period		$	30.08			$	27.65			$	24.84			$	22.99
Total Return (%)			10.13				16.08				12.65				(7.46	)(c)
Ratios to Average Net Assets and Supplemental Data
Net Assets, end of period ($ millions)		$	332			$	169			$	107			$	37
Ratio of expenses before fee waiver (%)			0.50	(g)			0.51	(g)(h)			0.73	(g)(i)			0.50	(d)(g)
Ratio of expenses after fee waiver (%)			0.42	(g)			0.51	(g)(h)			0.73	(g)(i)			0.50	(d)(g)
Ratio of net investment income (loss) (%)			0.97				1.19				1.02				1.16	(d)
Portfolio turnover rate (%)(e)			5				1				10				2	(c)

 

	(a)	For the period October 8, 2021 (commencement of operations) through June 30, 2022.
	(b)	Per share numbers have been calculated using the average shares method.
	(c)	Not annualized.
	(d)	Annualized.
	(e)	Excludes the impact of in-kind transactions related to the processing of capital share transactions in Creation Units.
	(f)	For the period November 2, 2021 (commencement of operations) through June 30, 2022.
	(g)	The 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)	The ratios of expenses to average net assets includes interest expense fees of 0.01%.
	(i)	The ratios of expenses to average net assets includes interest expense fees of 0.23%.

 

See Notes to Financial Statements.

 

123

 

 

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Financial Highlights (Continued)

 

 

														Period Ended
Simplify High Yield ETF		Years Ended June 30												June 30,
Selected Per Share Data		2025				2024				2023				2022(a)
Net Asset Value, beginning of period		$	22.97			$	21.80			$	22.23			$	25.00
Income (loss) from investment operations:
Net investment income (loss)(b)			0.98				1.12				0.67				0.01
Net realized and unrealized gain (loss)			1.95				1.40				0.76				(2.44	)
Total from investment operations			2.93				2.52				1.43				(2.43	)
Variable transaction fees (see Note 8)			—				—				—				0.01
Less distributions from:
Net investment income			(2.70	)			(1.35	)			(1.39	)			(0.24	)
Return of capital			—				—				(0.47	)			(0.11	)
Total distributions			(2.70	)			(1.35	)			(1.86	)			(0.35	)
Net Asset Value, end of period		$	23.20			$	22.97			$	21.80			$	22.23
Total Return (%)			13.60				11.82				6.75				(9.74	)(c)
Ratios to Average Net Assets and Supplemental Data
Net Assets, end of period ($ millions)		$	245			$	156			$	45			$	30
Ratio of expenses before fee waiver (%)			0.50	(d)			0.50				0.51	(e)			0.50	(d)(f)
Ratio of expenses after fee waiver (%)			0.25	(d)			0.25				0.26	(e)			0.25	(d)(f)
Ratio of net investment income (loss) (%)			4.26				4.98				3.05				0.15	(f)
Portfolio turnover rate (%)(g)			622				0				0				77	(c)

 

																		Period Ended
Simplify Interest Rate Hedge ETF		Years Ended June 30																June 30,
Selected Per Share Data		2025				2024				2023				2022				2021(h)
Net Asset Value, beginning of period		$	48.08			$	64.08			$	57.25			$	40.55			$	50.00
Income (loss) from investment operations:
Net investment income (loss)(b)			1.77				2.47				1.45				0.03				(0.00	)(i)
Net realized and unrealized gain (loss)			5.32				16.32				5.75				15.86				(10.42	)
Total from investment operations			7.09				18.79				7.20				15.89				(10.42	)
Variable transaction fees (see Note 8)			0.50				0.67				0.47				0.82				0.97
Less distributions from:
Net investment income			(1.86	)			(3.96	)			(0.84	)			(0.01	)			—
Net realized gains			—				(31.50	)			—				—				—
Total distributions			(1.86	)			(35.46	)			(0.84	)			(0.01	)			—
Net Asset Value, end of period		$	53.81			$	48.08			$	64.08			$	57.25			$	40.55
Total Return (%)			16.28				42.78				13.35				41.18				(18.89	)(c)
Ratios to Average Net Assets and Supplemental Data
Net Assets, end of period ($ millions)		$	156			$	145			$	218			$	302			$	63
Ratio of expenses (%)			0.50				0.50				0.50				0.50				0.50	(f)
Ratio of net investment income (loss) (%)			3.56				3.80				2.26				0.05				(0.05	)(f)
Portfolio turnover rate (%)(g)			0				164				124				3				0	(c)

 

	(a)	For the period February 15, 2022 (commencement of operations) through June 30, 2022.
	(b)	Per share numbers have been calculated using the average shares method.
	(c)	Not annualized.
	(d)	The Fund invests in other ETFs and indirectly bears its proportionate shares of fees and expenses incurred by the Underlying Funds in which the Fund is invested. This ratio does not included these indirect fees and expenses.
	(e)	The ratios of expenses to average net assets includes interest expense fees of 0.01%.
	(f)	Annualized.
	(g)	Excludes the impact of in-kind transactions related to the processing of capital share transactions in Creation Units.
	(h)	For the period May 11, 2021 (commencement of operations) through June 30, 2021.
	(i)	Less than $.005.

 

See Notes to Financial Statements.

 

124

 

 

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Financial Highlights (Continued)

 

 

														Period Ended
Simplify Intermediate Term Treasury Futures Strategy ETF		Years Ended June 30												June 30,
Selected Per Share Data		2025				2024				2023				2022(a)
Net Asset Value, beginning of period		$	12.98			$	14.71			$	18.28			$	25.00
Income (loss) from investment operations:
Net investment income (loss)(b)			0.58				0.68				0.51				0.14
Net realized and unrealized gain (loss)			0.48	(c)			(1.84	)			(3.53	)			(6.74	)
Total from investment operations			1.06				(1.16	)			(3.02	)			(6.60	)
Less distributions from:
Net investment income			(0.56	)			(0.57	)			(0.55	)			(0.12	)
Total distributions			(0.56	)			(0.57	)			(0.55	)			(0.12	)
Net Asset Value, end of period		$	13.48			$	12.98			$	14.71			$	18.28
Total Return (%)			8.42				(7.93	)			(16.61	)			(26.47	)(d)
Ratios to Average Net Assets and Supplemental Data
Net Assets, end of period ($ millions)		$	153			$	49			$	53			$	40
Ratio of expenses before fee waiver (%)			0.25				0.25				0.27	(e)			0.25	(f)
Ratio of expenses after fee waiver (%)			0.15				0.15				0.17	(e)			0.15	(f)
Ratio of net investment income (loss) (%)			4.43				5.08				3.16				0.85	(f)
Portfolio turnover rate (%)(g)			0				0				0				153	(d)

 

		Year Ended				Period Ended
Simplify MBS ETF		June 30,				June 30,
Selected Per Share Data		2025				2024(h)
Net Asset Value, beginning of period		$	50.36			$	50.00
Income (loss) from investment operations:
Net investment income (loss)(b)			2.23				1.66
Net realized and unrealized gain (loss)			0.47	(c)			0.45	(c)
Total from investment operations			2.70				2.11
Less distributions from:
Net investment income			(2.23	)			(1.44	)
Return of capital			(0.77	)			(0.31	)
Total distributions			(3.00	)			(1.75	)
Net Asset Value, end of period		$	50.06			$	50.36
Total Return (%)			5.52				4.24	(d)
Ratios to Average Net Assets and Supplemental Data
Net Assets, end of period ($ millions)		$	1,373			$	750
Ratio of expenses before fee waiver (%)			0.25				0.27	(e)(f)
Ratio of expenses after fee waiver (%)			0.15				0.17	(e)(f)
Ratio of net investment income (loss) (%)			4.43				5.13	(f)
Portfolio turnover rate (%)(g)			1,376				769	(d)

 

	(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)	Because of the timing of subscriptions and redemptions in relation to fluctuating markets at value, the amount shown may not agree with the change in aggregate gains and losses.
	(d)	Not annualized.
	(e)	The ratios of expenses to average net assets includes interest expense fees of 0.02%.
	(f)	Annualized.
	(g)	Excludes the impact of in-kind transactions related to the processing of capital share transactions in Creation Units.
	(h)	For the period November 7, 2023 (commencement of operations) through June 30, 2024.

 

See Notes to Financial Statements.

 

125

 

 

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Financial Highlights (Continued)

 

 

Simplify NEXT Intangible Core Index ETF Selected Per Share Data		Year Ended June 30, 2025				Period Ended June 30, 2024(a)
Net Asset Value, beginning of period		$	26.21			$	25.00
Income (loss) from investment operations:
Net investment income (loss)(b)			0.22				0.06
Net realized and unrealized gain (loss)			5.44				1.20
Total from investment operations			5.66				1.26
Less distributions from:
Net investment income			(0.26	)			(0.05	)
Net realized gains			(0.84	)			—
Total distributions			(1.10	)			(0.05	)
Net Asset Value, end of period		$	30.77			$	26.21
Total Return (%)			21.95				5.03	(c)
Ratios to Average Net Assets and Supplemental Data
Net Assets, end of period ($ millions)		$	2			$	3
Ratio of expenses (%)			0.25				0.25	(d)
Ratio of net investment income (loss) (%)			0.79				1.18	(d)
Portfolio turnover rate (%)(e)			34				28	(c)

 

Simplify Short Term Treasury Futures Strategy ETF		Years Ended June 30								Period Ended June 30,
Selected Per Share Data		2025				2024				2023(f)
Net Asset Value, beginning of period		$	21.33			$	22.66			$	25.00
Income (loss) from investment operations:
Net investment income (loss)(b)			0.98				1.14				0.68
Net realized and unrealized gain (loss)			0.70				(1.43	)			(2.38	)
Total from investment operations			1.68				(0.29	)			(1.70	)
Less distributions from:
Net investment income			(0.99	)			(1.04	)			(0.64	)
Total distributions			(0.99	)			(1.04	)			(0.64	)
Net Asset Value, end of period		$	22.02			$	21.33			$	22.66
Total Return (%)			8.04				(1.33	)			(6.97	)(c)
Ratios to Average Net Assets and Supplemental Data
Net Assets, end of period ($ millions)		$	666			$	539			$	534
Ratio of expenses before fee waiver (%)			0.25				0.25				0.26	(d)(g)
Ratio of expenses after fee waiver (%)			0.15				0.15				0.15	(d)(g)
Ratio of net investment income (loss) (%)			4.49				5.13				4.62	(d)
Portfolio turnover rate (%)(e)			0				0				0	(c)

 

	(a)	For the period April 16, 2024 (commencement of operations) through June 30, 2024.
	(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 15, 2022 (commencement of operations) through June 30, 2023.
	(g)	The ratios of expenses to average net assets includes interest expense fees of 0.01%.

 

See Notes to Financial Statements.

 

126

 

 

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Financial Highlights (Continued)

 

 

Simplify Target 15 Distribution ETF Selected Per Share Data		Period Ended June 30, 2025(a)
Net Asset Value, beginning of period		$	25.00
Income (loss) from investment operations:
Net investment income (loss)(b)			0.20
Net realized and unrealized gain (loss)			1.78
Total from investment operations			1.98
Less distributions from:
Net investment income			(0.65	)
Total distributions			(0.65	)
Net Asset Value, end of period		$	26.33
Total Return (%)			7.99	(c)
Ratios to Average Net Assets and Supplemental Data
Net Assets, end of period ($ millions)		$	47
Ratio of expenses (%)			0.75	(d)
Ratio of net investment income (loss) (%)			3.65	(d)
Portfolio turnover rate (%)(e)			0	(c)

 

Simplify Treasury Option Income ETF		Years Ended June 30								Period Ended June 30,
Selected Per Share Data		2025				2024				2023(f)
Net Asset Value, beginning of period		$	24.59			$	25.06			$	25.00
Income (loss) from investment operations:
Net investment income (loss)(b)			1.02				1.22				0.70
Net realized and unrealized gain (loss)			(0.04	)			0.10				0.11
Total from investment operations			0.98				1.32				0.81
Less distributions from:
Net investment income			(1.05	)			(1.14	)			(0.74	)
Net realized gains			(0.08	)			(0.03	)			(0.01	)
Return of capital			(0.76	)			(0.62	)			—
Total distributions			(1.89	)			(1.79	)			(0.75	)
Net Asset Value, end of period		$	23.68			$	24.59			$	25.06
Total Return (%)			4.06				5.39				3.27	(c)
Ratios to Average Net Assets and Supplemental Data
Net Assets, end of period ($ millions)		$	343			$	140			$	14
Ratio of expenses (%)			0.35				0.36	(g)			0.43	(d)(h)
Ratio of net investment income (loss) (%)			4.23				4.93				4.21	(d)
Portfolio turnover rate (%)(e)			0				0				0	(c)

 

	(a)	For the period April 14, 2025 (commencement of operations) through June 30, 2025.
	(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 October 28, 2022 (commencement of operations) through June 30, 2023.
	(g)	The ratios of expenses to average net assets includes interest expense fees of 0.01%.
	(h)	The ratios of expenses to average net assets includes interest expense fees of 0.08%.

 

See Notes to Financial Statements.

 

127

 

 

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Financial Highlights (Continued)

 

 

Simplify US Equity PLUS Bitcoin Strategy ETF		Years Ended June 30																Period Ended June 30,
Selected Per Share Data		2025				2024				2023				2022				2021(a)
Net Asset Value, beginning of period		$	34.44			$	24.98			$	20.43			$	25.32			$	25.00
Income (loss) from investment operations:
Net investment income (loss)(b)			0.38				0.25				0.18				0.17				0.06
Net realized and unrealized gain (loss)			6.95				9.51				5.35				(4.51	)			0.30
Total from investment operations			7.33				9.76				5.53				(4.34	)			0.36
Less distributions from:
Net investment income			(0.36	)			(0.09	)			(0.11	)			(0.21	)			(0.04	)
Net realized gains			—				—				—				(0.34	)			—
Return of capital			—				(0.21	)			(0.87	)			—				—
Total distributions			(0.36	)			(0.30	)			(0.98	)			(0.55	)			(0.04	)
Net Asset Value, end of period		$	41.41			$	34.44			$	24.98			$	20.43			$	25.32
Total Return (%)			21.35				39.29				27.69				(17.66	)			1.46	(c)
Ratios to Average Net Assets and Supplemental Data
Net Assets, end of period ($ millions)		$	76			$	22			$	9			$	87			$	103
Ratio of expenses (%)			0.51	(d)(e)			0.51	(d)(e)			0.51	(d)(e)			0.50	(e)			0.51	(d)(e)(f)
Ratio of net investment income (loss) (%)			1.00				0.83				0.84				0.66				2.65	(f)
Portfolio turnover rate (%)(g)			30				21				8				6				2	(c)

 

Simplify US Equity PLUS Convexity ETF		Years Ended June 30																Period Ended June 30,
Selected Per Share Data		2025				2024				2023				2022				2021(h)
Net Asset Value, beginning of period		$	36.23			$	29.08			$	26.59			$	30.63			$	25.00
Income (loss) from investment operations:
Net investment income (loss)(b)			0.34				0.34				0.36				0.33				0.31
Net realized and unrealized gain (loss)			4.95				7.22				2.46				(3.85	)			5.59
Total from investment operations			5.29				7.56				2.82				(3.52	)			5.90
Less distributions from:
Net investment income			(0.36	)			(0.41	)			(0.33	)			(0.52	)			(0.27	)
Total distributions			(0.36	)			(0.41	)			(0.33	)			(0.52	)			(0.27	)
Net Asset Value, end of period		$	41.16			$	36.23			$	29.08			$	26.59			$	30.63
Total Return (%)			14.71				26.21				10.67				(11.68	)			23.68	(c)
Ratios to Average Net Assets and Supplemental Data
Net Assets, end of period ($ millions)		$	83			$	73			$	73			$	61			$	89
Ratio of expenses (%)			0.50	(e)			0.50	(e)			0.53	(e)(i)			0.50	(e)			0.50	(e)(f)
Ratio of expenses after fee waiver (%)			0.50	(e)			0.38	(e)			0.28	(e)(i)			0.25	(e)			0.25	(e)(f)
Ratio of net investment income (loss) (%)			0.89				1.10				1.35				1.04				1.35	(f)
Portfolio turnover rate (%)(g)			8				3				1				3				6	(c)

 

	(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)	Not annualized.
	(d)	The ratios of expenses to average net assets includes interest expense fees of 0.01%.
	(e)	The Fund invests in other ETFs and indirectly bears its proportionate shares of fees and expenses incurred by the Underlying Funds in which the Fund is invested. This ratio does not included these indirect fees and expenses.
	(f)	Annualized.
	(g)	Excludes the impact of in-kind transactions related to the processing of capital share transactions in Creation Units.
	(h)	For the period September 4, 2020 (commencement of operations) through June 30, 2021.
	(i)	The ratios of expenses to average net assets includes interest expense fees of 0.03%.

 

See Notes to Financial Statements.

 

128

 

 

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Financial Highlights (Continued)

 

 

Simplify US Equity PLUS Downside Convexity ETF		Years Ended June 30																Period Ended June 30,
Selected Per Share Data		2025				2024				2023				2022				2021(a)
Net Asset Value, beginning of period		$	32.39			$	27.36			$	26.48			$	30.26			$	25.00
Income (loss) from investment operations:
Net investment income (loss)(b)			0.29				0.32				0.30				0.35				0.36
Net realized and unrealized gain (loss)			5.62				5.17				1.07	(c)			(3.76	)			5.14
Total from investment operations			5.91				5.49				1.37				(3.41	)			5.50
Less distributions from:
Net investment income			(0.36	)			(0.33	)			(0.49	)			(0.37	)			(0.24	)
Return of capital			—				(0.13	)			—				—				—
Total distributions			(0.36	)			(0.46	)			(0.49	)			(0.37	)			(0.24	)
Net Asset Value, end of period		$	37.94			$	32.39			$	27.36			$	26.48			$	30.26
Total Return (%)			18.38				20.23				5.31				(11.38	)			22.07	(d)
Ratios to Average Net Assets and Supplemental Data
Net Assets, end of period ($ millions)		$	88			$	114			$	116			$	445			$	225
Ratio of expenses (%)			0.50	(e)			0.50	(e)			0.62	(e)(f)			0.50	(e)			0.50	(e)(g)
Ratio of expenses after fee waiver (%)			0.50	(e)			0.38	(e)			0.37	(e)(f)			0.25	(e)			0.25	(e)(g)
Ratio of net investment income (loss) (%)			0.85				1.11				1.15				1.14				1.53	(g)
Portfolio turnover rate (%)(h)			13				0				0				5				4	(d)

 

Simplify US Equity PLUS Upside Convexity ETF		Years Ended June 30																Period Ended June 30,
Selected Per Share Data		2025				2024				2023				2022				2021(a)
Net Asset Value, beginning of period		$	40.32			$	30.65			$	26.60			$	30.99			$	25.00
Income (loss) from investment operations:
Net investment income (loss)(b)			0.46				0.34				0.40				0.36				0.32
Net realized and unrealized gain (loss)			4.02				9.78				3.99				(3.91	)			6.02
Total from investment operations			4.48				10.12				4.39				(3.55	)			6.34
Less distributions from:
Net investment income			(0.36	)			(0.45	)			(0.34	)			(0.43	)			(0.35	)
Net realized gains			—				—				—				(0.41	)			—
Total distributions			(0.36	)			(0.45	)			(0.34	)			(0.84	)			(0.35	)
Net Asset Value, end of period		$	44.44			$	40.32			$	30.65			$	26.60			$	30.99
Total Return (%)			11.20				33.28				16.65				(11.99	)			25.52	(d)
Ratios to Average Net Assets and Supplemental Data
Net Assets, end of period ($ millions)		$	117			$	8			$	8			$	12			$	9
Ratio of expenses (%)			0.50	(e)			0.50	(e)			0.50	(e)			0.50	(e)			0.50	(e)(g)
Ratio of expenses after fee waiver (%)			0.50	(e)			0.37	(e)			0.25	(e)			0.25	(e)			0.25	(e)(g)
Ratio of net investment income (loss) (%)			1.15				1.04				1.46				1.13				1.37	(g)
Portfolio turnover rate (%)(h)			94				4				0				4				5	(d)

 

(a)	For the period September 4, 2020 (commencement of operations) through June 30, 2021.
(b)	Per share numbers have been calculated using the average shares method.
(c)	Because of the timing of subscriptions and redemptions in relation to fluctuating markets at value, the amount shown may not agree with the change in aggregate gains and losses.
(d)	Not annualized.
(e)	The Fund invests in other ETFs and indirectly bears its proportionate shares of fees and expenses incurred by the Underlying Funds in which the Fund is invested. This ratio does not included these indirect fees and expenses.
(f)	The ratios of expenses to average net assets includes interest expense fees of 0.12%.
(g)	Annualized.
(h)	Excludes the impact of in-kind transactions related to the processing of capital share transactions in Creation Units.

 

See Notes to Financial Statements.

 

129

 

 

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Consolidated Financial Highlights

 

 

Simplify Bitcoin Strategy PLUS Income ETF		Years Ended June 30								Period Ended June 30,
Selected Per Share Data		2025				2024				2023(a)
Net Asset Value, beginning of period		$	25.24			$	18.08			$	12.50
Income (loss) from investment operations:
Net investment income (loss)(b)			0.78				0.76				0.15
Net realized and unrealized gain (loss)			14.28				12.23				6.64
Total from investment operations			15.06				12.99				6.79
Less distributions from:
Net investment income			(8.89	)			(4.97	)			(1.15	)
Net realized gains			(0.28	)			(0.86	)			(0.06	)
Total distributions			(9.17	)			(5.83	)			(1.21	)
Net Asset Value, end of period		$	31.13			$	25.24			$	18.08
Total Return (%)			74.47				84.03				58.15	(c)
Ratios to Average Net Assets and Supplemental Data
Net Assets, end of period ($ millions)		$	52			$	19			$	25
Ratio of expenses (%)			1.31	(d)(e)			6.09	(e)(f)			11.18	(e)(g)(h)
Ratio of net investment income (loss) (%)			2.97				3.67				1.35	(g)
Portfolio turnover rate (%)(i)			0				0				0	(c)

 

Simplify Gold Strategy PLUS Income ETF Selected Per Share Data		Period Ended June 30, 2025(j)
Net Asset Value, beginning of period		$	25.00
Income (loss) from investment operations:
Net investment income (loss)(b)			0.64
Net realized and unrealized gain (loss)			9.25
Total from investment operations			9.89
Less distributions from:
Net investment income			(0.65	)
Total distributions			(0.65	)
Net Asset Value, end of period		$	34.24
Total Return (%)			39.74	(c)
Ratios to Average Net Assets and Supplemental Data
Net Assets, end of period ($ millions)		$	28
Ratio of expenses (%)			0.53	(g)(k)
Ratio of net investment income (loss) (%)			3.67	(g)
Portfolio turnover rate (%)(i)			0	(c)

 

(a)	For the period September 30, 2022 (commencement of operations) through June 30, 2023.
(b)	Per share numbers have been calculated using the average shares method.
(c)	Not annualized.
(d)	The ratios of expenses to average net assets includes interest expense fees of 0.46%.
(e)	The Fund invests in other ETFs and indirectly bears its proportionate shares of fees and expenses incurred by the Underlying Funds in which the Fund is invested. This ratio does not included these indirect fees and expenses.
(f)	The ratios of expenses to average net assets includes interest expense fees of 5.24%.
(g)	Annualized.
(h)	The ratios of expenses to average net assets includes interest expense fees of 10.23%.
(i)	Excludes the impact of in-kind transactions related to the processing of capital share transactions in Creation Units.
(j)	For the period December 2, 2024 (commencement of operations) through June 30, 2025.
(k)	The ratios of expenses to average net assets includes interest expense fees of 0.03%.

 

See Notes to Financial Statements.

 

130

 

 

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Consolidated Financial Highlights (Continued)

 

 

Simplify Multi-QIS Alternative ETF		Year Ended June 30,				Period Ended June 30,
Selected Per Share Data		2025				2024(a)
Net Asset Value, beginning of period		$	25.26			$	25.00
Income (loss) from investment operations:
Net investment income (loss)(b)			0.88				1.07
Net realized and unrealized gain (loss)			(3.36	)			0.10
Total from investment operations			(2.48	)			1.17
Less distributions from:
Net investment income			(0.56	)			(0.91	)
Total distributions			(0.56	)			(0.91	)
Net Asset Value, end of period		$	22.22			$	25.26
Total Return (%)			(9.89	)			4.78	(c)
Ratios to Average Net Assets and Supplemental Data
Net Assets, end of period ($ millions)		$	96			$	115
Ratio of expenses (%)			1.00	(d)			1.00	(e)
Ratio of net investment income (loss) (%)			3.66				4.36	(e)
Portfolio turnover rate (%)(f)			29				0	(c)

 

																		Period Ended
Simplify Volatility Premium ETF		Years Ended June 30																June 30,
Selected Per Share Data		2025				2024				2023				2022				2021(g)
Net Asset Value, beginning of period		$	22.47			$	22.91			$	22.18			$	27.01			$	25.00
Income (loss) from investment operations:
Net investment income (loss)(b)			0.75				1.13				0.63				0.03				(0.02	)
Net realized and unrealized gain (loss)			(1.41	)			2.04				3.97				(1.54	)			2.03
Total from investment operations			(0.66	)			3.17				4.60				(1.51	)			2.01
Less distributions from:
Net investment income			(0.70	)			(3.61	)			(3.87	)			(0.04	)			—
Net realized gains			(0.86	)			—				—				—				—
Return of capital			(1.81	)			—				—				(3.28	)			—
Total distributions			(3.37	)			(3.61	)			(3.87	)			(3.32	)			—
Net Asset Value, end of period		$	18.44			$	22.47			$	22.91			$	22.18			$	27.01
Total Return (%)			(3.00	)			15.05				23.14				(6.23	)			8.05	(c)
Ratios to Average Net Assets and Supplemental Data
Net Assets, end of period ($ millions)		$	917			$	1,000			$	324			$	99			$	15
Ratio of expenses (%)			0.63	(d)(h)			0.65	(d)(i)			1.16	(d)(j)			0.61	(d)(k)			0.51	(d)(e)(l)
Ratio of net investment income (loss) (%)			3.70				5.00				2.85				0.10				(0.51	)(e)
Portfolio turnover rate (%)(f)			298				97				260				207				10	(c)

 

(a)	For the period July 11, 2023 (commencement of operations) through June 30, 2024.
(b)	Per share numbers have been calculated using the average shares method.
(c)	Not annualized.
(d)	The Fund invests in other ETFs and indirectly bears its proportionate shares of fees and expenses incurred by the Underlying Funds in which the Fund is invested. This ratio does not included these indirect fees and expenses.
(e)	Annualized.
(f)	Excludes the impact of in-kind transactions related to the processing of capital share transactions in Creation Units.
(g)	For the period May 13, 2021 (commencement of operations) through June 30, 2021.
(h)	The ratios of expenses to average net assets includes interest expense fees of 0.09%.
(i)	The ratios of expenses to average net assets includes interest expense fees of 0.15%.
(j)	The ratios of expenses to average net assets includes interest expense fees of 0.66%.
(k)	The ratios of expenses to average net assets includes interest expense fees of 0.11%.
(l)	The ratios of expenses to average net assets includes interest expense fees of 0.01%.

 

See Notes to Financial Statements.

 

131

 

 

Simplify Exchange Traded Funds

Notes to Financial Statements

June 30, 2025

 

 

1. Organization

 

Simplify Exchange Traded Funds (the “Trust”) is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end registered management investment company organized as a Delaware statutory trust.

 

As of June 30, 2025, the Trust consists of thirty four investment series of exchange-traded funds (“ETFs”) (each a “Fund” and collectively, the “Funds”) in operation and trading. These financial statements report on the Simplify Aggregate Bond ETF, Simplify Barrier Income ETF, Simplify Bond Bull ETF, Simplify China A Shares PLUS Income ETF, Simplify Currency Strategy ETF, Simplify Enhanced Income ETF, Simplify Health Care ETF, Simplify Hedged Equity ETF, Simplify High Yield ETF, Simplify Interest Rate Hedge ETF, Simplify Intermediate Term Treasury Futures Strategy ETF, Simplify MBS ETF, Simplify NEXT Intangible Core Index ETF, Simplify Short Term Treasury Futures Strategy ETF, Simplify Target 15 Distribution ETF, Simplify Treasury Option Income ETF, Simplify US Equity PLUS Bitcoin Strategy ETF, Simplify US Equity PLUS Convexity ETF, Simplify US Equity PLUS Downside Convexity ETF, Simplify US Equity PLUS Upside Convexity ETF, Simplify Bitcoin Strategy PLUS Income ETF, Simplify Gold Strategy PLUS Income ETF, Simplify Multi-QIS Alternative ETF and Simplify Volatility Premium ETF

 

Effective August 27, 2024, Simplify Stable Income ETF changed its name to Simplify Treasury Option Income ETF. Effective November 1, 2024, Simplify US Equity PLUS GBTC ETF changed its name to Simplify US Equity PLUS Bitcoin Strategy ETF. Effective February 20, 2025, Simplify Downside Interest Rate Hedge Strategy ETF changed its name to Simplify Bond Bull ETF. Effective February 12, 2025, Simplify High Yield PLUS Credit Hedge ETF changed its name to Simplify High Yield ETF.

 

Simplify Barrier Income ETF, Simplify Bond Bull ETF, Simplify China A Shares PLUS Income ETF, Simplify Currency Strategy ETF, Simplify Interest Rate Hedge ETF, Simplify Target 15 Distribution ETF, Simplify Bitcoin Strategy PLUS Income ETF and Simplify Gold Strategy PLUS Income ETF are each a non-diversified Fund of the Trust.

 

Simplify Asset Management Inc. (the “Adviser”) serves as investment adviser to each Fund. The Adviser 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 (‘Shares”) that are listed and traded on the NYSE Arca, Inc. (“NYSE Arca”), except for Simplify Intermediate Term Treasury Futures Strategy ETF and Simplify NEXT Intangible Core Index ETF which offers Shares that are listed and traded on the Cboe BZX Exchange, Inc. and Simplify US Equity PLUS Bitcoin Strategy ETF and Simplify Bitcoin Strategy PLUS Income ETF which offer Shares that are listed and traded on the Nasdaq Stock Market LLC (“Nasdaq”). Unlike mutual funds, each Fund issues and redeems Shares at net asset value (“NAV”) only in large specified lots consisting of 25,000 Shares, or 10,000 Shares in the case of Simplify Bitcoin Strategy PLUS Income ETF, 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 who are authorized participants 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 ETF		The Fund seeks to maximize total return.
Simplify Barrier Income ETF		The Fund seeks to provide monthly income.
Simplify Bond Bull ETF		The Fund seeks to hedge interest rate movements arising from falling long-term interest rates, and to benefit from market stress when fixed income volatility increases, while providing the potential for income.
Simplify China A Shares PLUS Income ETF		The Fund seeks capital appreciation and income.
Simplify Currency Strategy ETF		The Fund seeks capital gains.
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 long-term capital appreciation.
Simplify High Yield ETF		The Fund seeks to maximize current income by investing primarily in high-yield bonds through swaps on exchange traded funds 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 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 MBS ETF		The Fund seeks to provide total return, consistent with preservation of capital and prudent investment management.
Simplify NEXT Intangible Core Index ETF		The Fund seeks to provide investment results that track, before fees and expenses, the performance of the Next Intangible Core Index.
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.

 

132

 

 

Simplify Exchange Traded Funds

Notes to Financial Statements (Continued)

June 30, 2025

 

 

Fund		Investment Objectives
Simplify Target 15 Distribution ETF		The Fund seeks to provide high monthly income.
Simplify Treasury Option Income ETF		The Fund seeks to provide monthly income.
Simplify US Equity PLUS Bitcoin Strategy ETF		The Fund seeks long-term capital appreciation.
Simplify US Equity PLUS Convexity ETF		The Fund seeks to provide capital appreciation.
Simplify US Equity PLUS Downside Convexity ETF		The Fund seeks to provide capital appreciation.
Simplify US Equity PLUS Upside Convexity ETF		The Fund seeks to provide capital appreciation.
Simplify Bitcoin Strategy PLUS Income ETF		The Fund seeks income and capital appreciation.
Simplify Gold Strategy PLUS Income ETF		The Fund seeks capital gains and income.
Simplify Multi-QIS Alternative ETF		The Fund seeks to provide positive absolute returns and income.
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 a short-term volatility futures index while also 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 Gold Strategy PLUS Income ETF		Simplify Gold Strategy PLUS Income Cayman Fund
Simplify Multi-QIS Alternative ETF		Simplify Multi-QIS Alternative Cayman Fund
Simplify Volatility Premium ETF		Simplify Volatility Premium Cayman Fund

 

A summary of each Fund’s investment in its corresponding subsidiary is as follows:

 

Fund		Inception Date of Subsidiary		Subsidiary Net Assets at June 30, 2025				% of Fund’s Consolidated Total Assets at June 30, 2025
Simplify Bitcoin Strategy PLUS Income ETF		September 30, 2022		$	25,832,348				23.2	%
Simplify Gold Strategy PLUS Income ETF		December 2, 2024		$	6,883,966				24.0	%
Simplify Multi-QIS Alternative ETF		July 11, 2023		$	13,919,712				13.7	%
Simplify Volatility Premium ETF		May 13, 2021		$	357,721,146				23.2	%

 

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.

 

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 and the Adviser. Fair value pricing involves subjective judgments and it is possible that the fair value

 

133

 

 

Simplify Exchange Traded Funds

Notes to Financial Statements (Continued)

June 30, 2025

 

 

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 designated the Adviser as its valuation designee to execute these procedures pursuant to Rule 2a-5 under the 1940 Act. Independent pricing services may assist in calculating the value of a Fund’s portfolio securities. The Board reviews the execution of this process and the resultant fair value prices at least quarterly to assure the process produces reliable results. These securities are either categorized as Level 2 or 3 of the fair value hierarchy depending on the relevant inputs used.

 

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.

 

Over-the-counter options are valued based on prices provided by a broker.

 

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. These securities are categorized as Level 2 in the fair value hierarchy.

 

Money Market Funds are valued at NAV.

 

Forward foreign currency contracts are valued at the prevailing forward exchange rate of the underlying currencies and are categorized as Level 2.

 

Reverse repurchase agreements are valued at cost plus accrued interest. These securities are categorized as Level 2 in the fair value hierarchy.

 

Under certain circumstances, a Fund may use an independent pricing service to calculate the fair market value of foreign equity securities on a daily basis by applying valuation factors to the last sale price or the mean price as noted above. The fair market values supplied by the independent pricing service will generally reflect market trading that occurs after the close of the applicable foreign markets of comparable securities or the value of other instruments that have a strong correlation to the fair valued securities. The independent pricing service will also take into account the current relevant currency exchange rate. A security that is fair valued may be valued at a price higher or lower than actual market quotations or the value determined by other funds using their own fair valuation procedures. Because foreign securities may trade on days when Shares are not priced, the value of securities held by the Funds can change on days when Shares cannot be redeemed or purchased. In the event that a foreign security’s market quotations are not readily available or are deemed unreliable (for reasons other than because the foreign exchange on which it trades closed before the Funds’ calculation of NAV), the security will be valued at its fair market value as determined in good faith by the Adviser in accordance with procedures approved by the Board. Without fair valuation, it is possible that short-term traders could take advantage of the arbitrage opportunity and dilute the NAV of long-term investors. Fair valuation of the Funds’ portfolio securities can serve to reduce arbitrage opportunities available to short-term traders, but there is no assurance that it will prevent dilution of the Funds’ NAV by short-term traders. In addition, because the Funds may invest in underlying ETFs which hold portfolio securities primarily listed on foreign (non-U.S.) exchanges, and these exchanges may trade on weekends or other days when the underlying ETFs do not price their shares, the value of these portfolio securities may change on days when you may not be able to buy or sell Shares.

 

Investments initially valued in currencies other than the U.S. dollar are converted to U.S. dollars using exchange rates obtained from pricing services or other parties in accordance with the valuation procedures of the Adviser. As a result, the NAV of the Shares may be affected by changes in the value of currencies in relation to the U.S. dollar. The value of securities traded in markets outside the United States or denominated in currencies other than the U.S. dollar may be affected significantly on a day that the Exchange is closed and an investor is not able to purchase, redeem or exchange Shares.

 

134

 

 

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Notes to Financial Statements (Continued)

June 30, 2025

 

 

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.

 

The following is a summary of the valuations as of June 30, 2025 for each Fund based upon the three levels defined above:

 

135

 

 

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June 30, 2025

 

 

Simplify Aggregate Bond ETF
Assets		Level 1				Level 2				Level 3				Total
U.S. Exchange-Traded Funds		$	308,446,528			$	—			$	—			$	308,446,528
U.S. Treasury Bills			14,624,231				—				—				14,624,231
Interest Rate Swaps			—				4,807,397				—				4,807,397
Futures			1,249,978				—				—				1,249,978
TOTAL		$	324,320,737			$	4,807,397			$	—			$	329,128,134

 

Liabilities		Level 1				Level 2				Level 3				Total
Written Options		$	(1,424,125	)		$	—			$	—			$	(1,424,125	)
Interest Rate Swaps			—				(3,087,948	)			—				(3,087,948	)
TOTAL		$	(1,424,125	)		$	(3,087,948	)		$	—			$	(4,512,073	)

 

Simplify Barrier Income ETF
Assets		Level 1				Level 2				Level 3				Total
U.S. Treasury Bills			35,197,462				—				—				35,197,462
TOTAL		$	35,197,462			$	—			$	—			$	35,197,462

 

Liabilities		Level 1				Level 2				Level 3				Total
Written Options			—				(614,810	)			—				(614,810	)
TOTAL		$	—			$	(614,810	)		$	—			$	(614,810	)

 

Simplify Bond Bull ETF
Assets		Level 1				Level 2				Level 3				Total
U.S. Treasury Bills			161,896,568				—				—				161,896,568
Purchased Swaptions			—				69,480				—				69,480
TOTAL		$	161,896,568			$	69,480			$	—			$	161,966,048

 

Liabilities		Level 1				Level 2				Level 3				Total
Purchased Swaptions			—				(9,561,842	)			—				(9,561,842	)
TOTAL		$	—			$	(9,561,842	)		$	—			$	(9,561,842	)

 

Simplify China A Shares PLUS Income ETF
Assets		Level 1				Level 2				Level 3				Total
U.S. Treasury Bills			10,538,863				—				—				10,538,863
Purchased Options			414,419				—				—				414,419
Total Return Swaps			—				380,603				—				380,603
TOTAL		$	10,953,282			$	380,603			$	—			$	11,333,885

 

Liabilities		Level 1				Level 2				Level 3				Total
Written Options			(29,607	)			—				—				(29,607	)
TOTAL		$	(29,607	)		$	—			$	—			$	(29,607	)

 

Simplify Currency Strategy ETF
Assets		Level 1				Level 2				Level 3				Total
U.S. Treasury Bills			14,592,835				—				—				14,592,835
Forward Foreign Currency Contracts			—				2,199,174				—				2,199,174
TOTAL		$	14,592,835			$	2,199,174			$	—			$	16,792,009

 

Liabilities		Level 1				Level 2				Level 3				Total
Forward Foreign Currency Contracts		$	—			$	(1,952,033	)		$	—			$	(1,952,033	)

 

136

 

 

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Notes to Financial Statements (Continued)

June 30, 2025

 

 

TOTAL

$

—

$

(1,952,033

)

$

—

$

(1,952,033

)

 

Simplify Enhanced Income ETF
Assets		Level 1				Level 2				Level 3				Total
U.S. Treasury Bills		$	184,829,622			$	—			$	—			$	184,829,622
Purchased Options			7,114,853				—				—				7,114,853
TOTAL		$	191,944,475			$	—			$	—			$	191,944,475

 

Liabilities		Level 1				Level 2				Level 3				Total
Written Options			(533,683	)			—				—				(533,683	)
TOTAL		$	(533,683	)		$	—			$	—			$	(533,683	)

 

Simplify Health Care ETF
Assets		Level 1				Level 2				Level 3				Total
Common Stocks			125,314,945				—				—				125,314,945
Money Market Funds			5,238,910				—				—				5,238,910
TOTAL		$	130,553,855			$	—			$	—			$	130,553,855

 

Simplify Hedged Equity ETF
Assets		Level 1				Level 2				Level 3				Total
U.S. Exchange-Traded Funds			347,482,339				—				—				347,482,339
Purchased Options			1,333,540				—				—				1,333,540
Money Market Funds			222,455				—				—				222,455
TOTAL		$	349,038,334			$	—			$	—			$	349,038,334

 

Liabilities		Level 1				Level 2				Level 3				Total
Written Options			(17,303,740	)			—				—				(17,303,740	)
TOTAL		$	(17,303,740	)		$	—			$	—			$	(17,303,740	)

 

Simplify High Yield ETF
Assets		Level 1				Level 2				Level 3				Total
U.S. Treasury Bills			239,355,587				—				—				239,355,587
U.S. Exchange-Traded Funds			1,416,450				—				—				1,416,450
Purchased Options			262,500				287,982				—				550,482
Total Return Swaps			—				3,674,733				—				3,674,733
Money Market Funds			1,112,414				—				—				1,112,414
TOTAL		$	242,146,951			$	3,962,715			$	—			$	246,109,666

 

Liabilities		Level 1				Level 2				Level 3				Total
Written Options			(260,000	)			—				—				(260,000	)
Credit Default Swaps			—				(348,198	)			—				(348,198	)
Total Return Swaps			—				(424,548	)			—				(424,548	)
TOTAL		$	(260,000	)		$	(772,746	)		$	—			$	(1,032,746	)

 

Simplify Interest Rate Hedge ETF
Assets		Level 1				Level 2				Level 3				Total
U.S. Treasury Bills			95,437,242				—				—				95,437,242
U.S. Government Obligations			43,786,740				—				—				43,786,740
Purchased Swaptions			—				17,699,657				—				17,699,657
Written Swaptions			—				648,645				—				648,645
Interest Rate Swaps			—				2,458				—				2,458

 

137

 

 

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Notes to Financial Statements (Continued)

June 30, 2025

 

 

Money Market Funds		$	337,138			$	—			$	—			$	337,138
TOTAL		$	139,561,120			$	18,350,760			$	—			$	157,911,880

 

Liabilities		Level 1				Level 2				Level 3				Total
Purchased Swaptions			—				(1,919,384	)			—				(1,919,384	)
TOTAL		$	—			$	(1,919,384	)		$	—			$	(1,919,384	)

 

Simplify Intermediate Term Treasury Futures Strategy ETF
Assets		Level 1				Level 2				Level 3				Total
U.S. Treasury Bills			150,546,663				—				—				150,546,663
Money Market Funds			145,315				—				—				145,315
Futures			8,336,338				—				—				8,336,338
TOTAL		$	159,028,316			$	—			$	—			$	159,028,316

 

Simplify MBS ETF
Assets		Level 1				Level 2				Level 3				Total
U.S. Government Agency Mortgage Backed Securities			—				1,368,412,936				—				1,368,412,936
U.S. Treasury Bills			1,350,058,900				—				—				1,350,058,900
Money Market Funds			733,778				—				—				733,778
TOTAL		$	1,350,792,678			$	1,368,412,936			$	—			$	2,719,205,614

 

Simplify NEXT Intangible Core Index ETF
Assets		Level 1				Level 2				Level 3				Total
Common Stocks			1,532,308				—				—				1,532,308
Money Market Funds			6,045				—				—				6,045
TOTAL		$	1,538,353			$	—			$	—			$	1,538,353

 

Simplify Short Term Treasury Futures Strategy ETF
Assets		Level 1				Level 2				Level 3				Total
U.S. Treasury Bills			664,907,406				—				—				664,907,406
Futures			11,989,733				—				—				11,989,733
TOTAL		$	676,897,139			$	—			$	—			$	676,897,139

 

Simplify Target 15 Distribution ETF
Assets		Level 1				Level 2				Level 3				Total
U.S. Treasury Bills			47,955,131				—				—				47,955,131
TOTAL		$	47,955,131			$	—			$	—			$	47,955,131
Liabilities		Level 1				Level 2				Level 3				Total
Written Options			—				(1,027,879	)			—				(1,027,879	)
TOTAL		$	—			$	(1,027,879	)		$	—			$	(1,027,879	)

 

Simplify Treasury Option Income ETF
Assets		Level 1				Level 2				Level 3				Total
U.S. Treasury Bills			343,767,742				—				—				343,767,742
Futures			4,601,384				—				—				4,601,384
TOTAL		$	348,369,126			$	—			$	—			$	348,369,126

 

Liabilities		Level 1				Level 2				Level 3				Total
Written Options			(2,124,156	)			—				—				(2,124,156	)
TOTAL		$	(2,124,156	)		$	—			$	—			$	(2,124,156	)

 

138

 

 

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Notes to Financial Statements (Continued)

June 30, 2025

 

 

Simplify US Equity PLUS Bitcoin Strategy ETF
Assets		Level 1				Level 2				Level 3				Total
U.S. Exchange-Traded Funds		$	74,530,081			$	—			$	—			$	74,530,081
U.S. Treasury Bills			596,229				—				—				596,229
Money Market Funds			72,603				—				—				72,603
Futures			279,165				—				—				279,165
TOTAL		$	75,478,078			$	—			$	—			$	75,478,078

 

Simplify US Equity PLUS Convexity ETF
Assets		Level 1				Level 2				Level 3				Total
U.S. Exchange-Traded Funds			80,084,303				—				—				80,084,303
Purchased Options			2,708,179				—				—				2,708,179
Money Market Funds			351,135				—				—				351,135
TOTAL		$	83,143,617			$	—			$	—			$	83,143,617

 

Liabilities		Level 1				Level 2				Level 3				Total
Written Options			(326,185	)			—				—				(326,185	)
TOTAL		$	(326,185	)		$	—			$	—			$	(326,185	)

 

Simplify US Equity PLUS Downside Convexity ETF
Assets		Level 1				Level 2				Level 3				Total
U.S. Exchange-Traded Funds			85,853,706				—				—				85,853,706
Purchased Options			2,481,716				—				—				2,481,716
TOTAL		$	88,335,422			$	—			$	—			$	88,335,422

 

Liabilities		Level 1				Level 2				Level 3				Total
Written Options			(448,844	)			—				—				(448,844	)
TOTAL		$	(448,844	)		$	—			$	—			$	(448,844	)

 

Simplify US Equity PLUS Upside Convexity ETF
Assets		Level 1				Level 2				Level 3				Total
U.S. Exchange-Traded Funds			110,926,269				—				—				110,926,269
Purchased Options			4,907,740				—				—				4,907,740
Money Market Funds			1,172,677				—				—				1,172,677
TOTAL		$	117,006,686			$	—			$	—			$	117,006,686

 

Simplify Bitcoin Strategy PLUS Income ETF
Assets		Level 1				Level 2				Level 3				Total
U.S. Treasury Bills			101,894,637				—				—				101,894,637
Purchased Options			8,268,125				—				—				8,268,125
Futures			516,580				—				—				516,580
TOTAL		$	110,679,342			$	—			$	—			$	110,679,342

 

Liabilities		Level 1				Level 2				Level 3				Total
Reverse Repurchase Agreements			—				(58,542,856	)			—				(58,542,856	)
Written Options			(282,150	)			—				—				(282,150	)
TOTAL		$	(282,150	)		$	(58,542,856	)		$	—			$	(58,825,006	)

 

139

 

 

Simplify Exchange Traded Funds

Notes to Financial Statements (Continued)

June 30, 2025

 

 

Simplify Gold Strategy PLUS Income ETF
Assets		Level 1				Level 2				Level 3				Total
U.S. Treasury Bills		$	26,255,909			$	—			$	—				26,255,909
Purchased Options			836,669				—				—				836,669
TOTAL		$	27,092,578			$	—			$	—			$	27,092,578

 

Liabilities		Level 1				Level 2				Level 3				Total
Written Options			(71,754	)			—				—			$	(71,754	)
Futures			(372,470	)			—				—				(372,470	)
TOTAL		$	(444,224	)		$	—			$	—			$	(444,224	)

 

Simplify Multi-QIS Alternative ETF
Assets		Level 1				Level 2				Level 3				Total
U.S. Treasury Bills			82,163,757				—				—				82,163,757
U.S. Exchange-Traded Funds			7,566,932				—				—				7,566,932
Purchased Options			7,373,736				304,270				—				7,678,006
Total Return Swaps			—				1,297,161				—				1,297,161
Forward Foreign Currency Contracts			—				704,928				—				704,928
TOTAL		$	97,104,425			$	2,306,359			$	—			$	99,410,784

 

Liabilities		Level 1				Level 2				Level 3				Total
Total Return Swaps			—				(3,403,663	)			—				(3,403,663	)
Written Options			—				(337,500	)			—				(337,500	)
Forward Foreign Currency Contracts			—				(789,347	)			—				(789,347	)
TOTAL		$	—			$	(4,530,510	)		$	—			$	(4,530,510	)

 

Simplify Volatility Premium ETF
Assets		Level 1				Level 2				Level 3				Total
U.S. Treasury Bills			1,015,104,958				—				—				1,015,104,958
U.S. Exchange-Traded Funds			444,984,398				—				—				444,984,398
Purchased Options			68,910,516				—				—				68,910,516
Futures			12,152,960				—				—				12,152,960
TOTAL		$	1,541,152,832			$	—			$	—			$	1,541,152,832

 

Liabilities		Level 1				Level 2				Level 3				Total
Reverse Repurchase Agreements			—				(614,699,989	)			—				(614,699,989	)
Written Options			(4,000,000	)			—				—				(4,000,000	)
TOTAL		$	(4,000,000	)		$	(614,699,989	)		$	—			$	(618,699,989	)

 

Cash

 

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

 

Foreign Currency Translations

 

The books and records of the Funds are maintained in U.S. dollars. Investment securities and other assets and liabilities denominated in a foreign currency are translated into U.S. dollars at the prevailing exchange rates at period end. Purchases and sales of investment securities, income and expenses are translated into U.S. dollars at the prevailing exchange rates on the respective dates of the transactions.

 

Net realized and unrealized gains and losses on foreign currency transactions represent net gains and losses between trade and settlement dates on securities transactions, the acquisition and disposition of foreign currencies, and the difference between the amount of net investment income accrued and the U.S. dollar amount actually received. The portion of both realized and unrealized gains and losses on investments that results from fluctuations in foreign currency exchange rates is not separately disclosed, but is included with net realized and unrealized gain/appreciation and loss/depreciation on investments.

 

140

 

 

Simplify Exchange Traded Funds

Notes to Financial Statements (Continued)

June 30, 2025

 

 

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 to pay out dividends from net investment income monthly, except for Simplify China A Shares PLUS Income ETF, Simplify Currency Strategy ETF, Simplify Health Care ETF, Simplify Hedged Equity ETF, Simplify NEXT Intangible Core Index ETF, Simplify US Equity PLUS Bitcoin Strategy ETF, Simplify US Equity PLUS Convexity ETF, Simplify US Equity PLUS Downside Convexity ETF, Simplify US Equity PLUS Upside Convexity ETF, Simplify Gold Strategy PLUS Income ETF and Simplify Multi-QIS Alternative ETF which pay out dividends from net investment income quarterly. 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

 

In the normal course of business, a Fund uses derivative contracts in connection with its proprietary trading activities. Derivative contracts are subject to additional risks that can result in a loss of all or part of an investment. A Fund’s derivative activities and exposure to derivative contracts are classified by the following primary underlying risks: interest rate, credit, foreign exchange, commodity price, and equity price. In addition to its primary underlying risks, the Fund is also subject to additional counterparty risk due to inability of its counterparties to meet the terms of their contracts.

 

FASB Accounting Standards Codification, Derivatives and Hedging (“ASC 815”) requires enhanced disclosures about a Fund’s use of, and accounting for, derivative instruments and the effect of derivative instruments on a Fund’s financial position and results of operations. Tabular disclosure regarding derivative fair value and gain/loss by contract type (e.g., interest rate contracts, foreign exchange contracts, credit contracts, etc.) is required and derivatives accounted for as hedging instruments under ASC 815 must be disclosed separately from those that do not qualify for hedge accounting. Even though a Fund may use derivatives in an attempt to achieve an economic hedge, a Fund’s derivatives are not accounted for as hedging instruments under ASC 815 because investment companies account for their derivatives at fair value and record any changes in fair value in current period earnings.

 

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

 

141

 

 

Simplify Exchange Traded Funds

Notes to Financial Statements (Continued)

June 30, 2025

 

 

a purchase) so that the loss on the futures contract reaches a point at which the margin on deposit does not satisfy margin requirements, the broker will require an increase in the margin. However, if the value of a position increases because of favorable price changes in the futures contract so that the margin deposit exceeds the required margin, the broker will pay the excess to a Fund.

 

These subsequent payments, called “variation margin,” to and from the futures broker, are made on a daily basis as the price of the underlying assets fluctuate making the long and short positions in the futures contract more or less valuable, a process known as “marking to the market.” A Fund expects to earn interest income on margin deposits.

 

The primary risks associated with the use of futures contracts are (a) the imperfect correlation between the change in market value of the instruments held by a Fund and the price of the forward or futures contract; (b) possible lack of a liquid secondary market for a forward or futures contract and the resulting inability to close a forward or futures contract when desired; (c) investments in futures contracts involves leverage, which means a small percentage of assets in futures can have a disproportionately large impact on a Fund and the Fund can lose more than the principal amount invested; (d) losses caused by unanticipated market movements, which are potentially unlimited; (e) the adviser’s inability to predict correctly the direction of securities prices, interest rates, currency exchange rates and other economic factors; (f) the possibility that the counterparty will default in the performance of its obligations; and (g) if a 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.

 

Binary/Curve Option

 

OTC Options are complex instruments that have multiple components impacting the value of the options. The strike price, reference index, knock-in/knock-out rates, and observable/maturity dates are all inputs to the option value.

 

Binary Option		Put/Call	Description of option
USD Curve, September Strike Price 0.4%, Expires 9/30/25	Curve	Put	European curve option has 2 variables, strike rate and 30-5 year swap rate spread. On maturity date, the put option collects premium when the strike rate is above the 30- 5 year swap rate spread. This short put option put on in fund AGGH collects premium when the reverse is true, that is when the spread between 30-5 year swap rate is higher than 0.4% strike

 

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SPX/USDJPY, Expires 7/18/25, <5690.9275/149.85	Equity Hybrid Binary	Put	Hybrid Binary European option has two knock-in components – SPX strike and a USD/JPY FX rate. The knock-in event occurs if both the SPX price is at or below the initial price and the USD/JPY FX rate is at or below the initial rate on maturity date.
RTY, Expires 1/26/26 90% Put/70% KO	Autocallable	Put	RTY option is an European barrier knock-out option, whereby there is an initial price and if the reference index falls below the 70% barrier, then the option is terminated. On maturity date, if the reference index is below the 90% strike price, then the option is exercised.
OTC SPX/RTY/NDX WOF 5/22/26 P100%/70% NC1 EKI	Autocallable	Put	SPX/RTY/NDX options are Worst of Put, whereby there are initial prices and if any one of the reference index falls below the 70% barrier, then there is a knock-in event on maturity date. The reference index with the lowest relative performance determines the payout. If all reference indexes are greater than the initial price, there is a knock- out event at the observation dates.
SPX/RTY/NDX WOF, Expires 6/5/26, P100%/70% NC3 EKI	Autocallable	Put	SPX/RTY/NDX options are Worst of Put, whereby there are initial prices and if any one of the reference index falls below the 70% barrier, then there is a knock-in event on maturity date. The reference index with the lowest relative performance determines the payout. If all reference indexes are greater than the initial price, there is a knock- out event at the observation dates.
SPX/RTY/NDX WOF, Expires 5/15/26, P100%/70% NC1 EKI	Autocallable	Put	SPX/RTY/NDX options are Worst of Put, whereby there are initial prices and if any one of the reference index falls below the 70% barrier, then there is a knock-in event on maturity date. The reference index with the lowest relative performance determines the payout. If all reference indexes are greater than the initial price, there is a knock-out event at the observation dates.
SPX/RTY/NDX WOF, Expires 6/5/26, P100%/70% NC3 EKI	Autocallable	Put	SPX/RTY/NDX options are Worst of Put, whereby there are initial prices and if any one of the reference index falls below the 70% barrier, then there is a knock-in event on maturity date. The reference index with the lowest relative performance determines the payout. If all reference indexes are greater than the initial price, there is a knock-out event at the observation dates.
SPX/RTY/NDX WOF, Expires 6/12/26, P100%/70% NC2 EKI	Autocallable	Put	SPX/RTY/NDX options are Worst of Put, whereby there are initial prices and if any one of the reference index falls below the 70% barrier, then there is a knock-in event on maturity date. The reference index with the lowest relative performance determines the payout. If all reference indexes are greater than the initial price, there is a knock- out event at the observation dates.
SPX/RTY/NDX WOF, Expires 6/18/26, P100%/70% NC2 EKI	Autocallable	Put	SPX/RTY/NDX options are Worst of Put, whereby there are initial prices and if any one of the reference index falls below the 70% barrier, then there is a knock-in event on maturity date. The reference index with the lowest relative performance determines the payout. If all reference indexes are greater than the initial price, there is a knock- out event at the observation dates.
SPX/RTY/NDX WOF, Expires 6/18/26, P100%/70% NC3 EKI	Autocallable	Put	SPX/RTY/NDX options are Worst of Put, whereby there are initial prices and if any one of the reference index falls below the 70% barrier, then there is a knock-in event on maturity date. The reference index with the lowest relative performance determines the payout. If all reference indexes are greater than the initial price, there is a knock- out event at the observation dates.

 

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SPX/RTY/NDX WOF, Expires 6/26/26, P100%/70% NC2 EKI	Autocallable	Put	SPX/RTY/NDX options are Worst of Put, whereby there are initial prices and if any one of the reference index falls below the 70% barrier, then there is a knock-in event on maturity date. The reference index with the lowest relative performance determines the payout. If all reference indexes are greater than the initial price, there is a knock-out event at the observation dates.
SPX/RTY/NDX WOF, Expires 6/5/26, P100%/75% NC3 EKI	Autocallable	Put	SPX/RTY/NDX options are Worst of Put, whereby there are initial prices and if any one of the reference index falls below the 75% barrier, then there is a knock-in event on maturity date. The reference index with the lowest relative performance determines the payout. If all reference indexes are greater than the initial price, there is a knock- out event at the observation dates.
SPX/RTY/NDX WOF, Expires 6/12/26, P100%/75% NC2 EKI	Autocallable	Put	SPX/RTY/NDX options are Worst of Put, whereby there are initial prices and if any one of the reference index falls below the 75% barrier, then there is a knock-in event on maturity date. The reference index with the lowest relative performance determines the payout. If all reference indexes are greater than the initial price, there is a knock-out event at the observation dates.
SPX/RTY/NDX WOF, Expires 6/18/26, P100%/75% NC2 EKI	Autocallable	Put	SPX/RTY/NDX options are Worst of Put, whereby there are initial prices and if any one of the reference index falls below the 75% barrier, then there is a knock-in event on maturity date. The reference index with the lowest relative performance determines the payout. If all reference indexes are greater than the initial price, there is a knock-out event at the observation dates.
SPX/RTY/NDX WOF, Expires 6/26/26, P100%/75% NC2 EKI	Autocallable	Put	SPX/RTY/NDX options are Worst of Put, whereby there are initial prices and if any one of the reference index falls below the 75% barrier, then there is a knock-in event on maturity date. The reference index with the lowest relative performance determines the payout. If all reference indexes are greater than the initial price, there is a knock- out event at the observation dates.

 

Swaptions. A swaption is a contract that gives a counterparty the right (but not the obligation) to enter into a new swap agreement or to shorten, extend, cancel or otherwise modify an existing swap agreement, at some designated future time on specified terms. A Fund may write (sell) and purchase put and call swaptions. Depending on the terms of the particular swaption agreement, a Fund will generally incur a greater degree of risk when it writes a swaption than it will incur when it purchases a swaption. When a Fund purchases a swaption, it risks losing only the amount of the premium it has paid should it decide to let the swaption expire unexercised. However, when a Fund writes a swaption, it becomes obligated (if the swaption is exercised) according to the terms of the underlying agreement.

 

When a Fund writes a swaption, an amount equal to the premium received by a Fund is recorded as a liability, the value of which is marked-to-market daily to reflect the current market value of the swaption written. If the written swaption expires, a Fund realizes a gain equal to the amount of the premium paid, which is included in realized gain (loss) on written swaptions in the Statement of Operations. If the written swaption is exercised or sold, the premium received is added to the proceeds or offset against amounts paid on the underlying security to determine the realized gain or loss, which is reported as gain (loss) on written swaptions in the Statements of Operations.

 

A Fund may also purchase swaptions which involve the payment of premium in exchange for an option to enter into an interest rate swap and credit default swap with specified terms and conditions on a future date. The purchaser has the right, but not the obligation, to enter into the new swap agreement. Periodic payments are typically made during the life of the swap agreement according to the terms of such agreement. Changes in value of purchased swaptions are reported as part of change in unrealized gain (loss) on investments in the Statements of Operations. When the purchased swaption is exercised, terminated, expires or is sold, a Fund will record a gain or loss, which is reported as part of realized gain (loss) on investments in the Statements of Operations.

 

Swaps. Swap agreements are agreements between a Fund and a counterparty to exchange cash flows, assets, foreign currencies or market-linked returns at specified intervals. Swap agreements are privately negotiated in the OTC market (OTC swaps) or may be executed on a registered commodities exchange (centrally cleared swaps). Swaps are marked-to-market daily and the change in value is recorded as a component of unrealized appreciation/depreciation of swap contracts. The value of the swap will typically impose collateral posting obligations on the party that is considered out-of-the-money on the swap. Upfront payments made/received by the fund, if any, are amortized/accreted for financial reporting purposes, with the unamortized/unaccreted portion included in the Statement of assets and liabilities. A termination payment by the counterparty or the fund is recorded as realized gain or loss, as well as the net periodic payments received or paid by the fund. Entering into swap agreements involves, to varying degrees, elements of credit, market and documentation risk that may provide outcomes that produce losses in excess of the amounts recognized on the Statement of assets and liabilities. Such

 

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June 30, 2025

 

 

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.

 

Forward Foreign Exchange Currency Contracts

 

The Simplify Currency Strategy ETF and Simplify Multi-QIS Alternative ETF entered into forward foreign exchange contracts primarily to manage and/or gain exposure to certain foreign currencies. A forward exchange contract is an agreement between a Fund and a counterparty to buy or sell a foreign currency at a specific exchange rate on a future date.

 

The following table summarizes the value of the Funds’ derivative instruments held as of June 30, 2025 and the related location in the accompanying Statement of Assets and Liabilities or Consolidated Statement of Assets and Liabilities, presented by underlying risk exposure:

 

Fund		Asset Derivatives						Liability Derivatives
Simplify Aggregate Bond ETF
Interest Rate Contracts		Unrealized appreciation on futures contracts*		$	1,249,978			Unrealized depreciation on futures contracts*		$	—
Interest Rate Contracts		Written options		$	—			Written options		$	1,424,125
Interest Rate Contracts		Unrealized appreciation on OTC swaps		$	4,807,397			Unrealized depreciation on OTC swaps		$	3,097,948
Simplify Barrier Income ETF
Equity Contracts		Written options		$	—			Written options		$	614,810
Simplify Bond Bull ETF
Interest Rate Contracts		Investments, at value(1)		$	69,480			Investments, at value(1)		$	9,561,842
Simplify China A Shares PLUS Income ETF
Commodity Contracts		Investments, at value(2)		$	1,800			Investments, at value(2)		$	—
Equity Contracts		Investments, at value(2)		$	412,619			Investments, at value(2)		$	—
Commodity Contracts		Written options		$	—			Written options		$	7,192
Equity Contracts		Written options		$	—			Written options		$	22,415
Equity Contracts		Unrealized appreciation on OTC swaps		$	380,603			Unrealized depreciation on OTC swaps		$	—
Simplify Currency Strategy ETF
Foreign Exchange Contracts		Unrealized appreciation on forward foreign currency contracts		$	2,199,174			Unrealized depreciation on forward foreign currency contracts		$	1,952,033

 

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Fund		Asset Derivatives						Liability Derivatives
Simplify Enhanced Income ETF
Commodity Contracts		Investments, at value(2)		$	30,824			Investments, at value(2)		$	—
Equity Contracts		Investments, at value(2)		$	7,084,029			Investments, at value(2)		$	—
Commodity Contracts		Written options		$	—			Written options		$	123,008
Equity Contracts		Written options		$	—			Written options		$	410,675
Simplify Hedged Equity ETF
Equity Contracts		Investments, at value(2)		$	1,333,540			Investments, at value(2)		$	—
Equity Contracts		Written options		$	—			Written options		$	17,303,740
Simplify High Yield ETF
Equity Contracts		Investments, at value(2)		$	262,500			Investments, at value(2)		$	—
Equity Contracts		Written options		$	—			Written options		$	260,000
Foreign Exchange Contracts		Investments, at value(2)		$	287,982			Investments, at value(2)		$	—
Credit Contracts		Unrealized appreciation on Centrally Cleared swaps		$	—			Unrealized depreciation on Centrally Cleared swaps		$	348,198
Equity Contracts		Unrealized appreciation on OTC swaps		$	604,684			Unrealized depreciation on OTC swaps		$	424,548
Interest Rate Contracts		Unrealized appreciation on OTC swaps		$	3,070,049			Unrealized depreciation on OTC swaps		$	—
Simplify Interest Rate Hedge ETF
Interest Rate Contracts		Unrealized appreciation on OTC swaps		$	2,458			Unrealized depreciation on OTC swaps		$	—
Interest Rate Contracts		Investments, at value(1)		$	17,699,657			Investments, at value(1)		$	1,919,384
Interest Rate Contracts		Written options(3)		$	—			Written options(3)		$	648,645
Simplify Intermediate Term Treasury Futures Strategy ETF
Interest Rate Contracts		Unrealized appreciation on futures contracts*		$	8,336,338			Unrealized depreciation on futures contracts*		$	—
Simplify Short Term Treasury Futures Strategy ETF
Interest Rate Contracts		Unrealized appreciation on futures contracts*		$	11,989,733			Unrealized depreciation on futures contracts*		$	—
Simplify Target 15 Distribution ETF
Interest Rate Contracts		Unrealized appreciation on written swaption contracts*		$	—			Unrealized depreciation on written swaption contracts*		$	1,027,879
Simplify Treasury Option Income ETF
Interest Rate Contracts		Unrealized appreciation on futures contracts*		$	4,601,384			Unrealized depreciation on futures contracts*		$	—
Interest Rate Contracts		Written options		$	—			Written options		$	2,124,156

 

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June 30, 2025

 

 

Fund		Asset Derivatives						Liability Derivatives
Simplify US Equity PLUS Bitcoin Strategy ETF
Equity Contracts		Unrealized appreciation on futures contracts*		$	279,165			Unrealized depreciation on futures contracts*		$	—
Simplify US Equity PLUS Convexity ETF
Commodity Contracts		Investments, at value(2)		$	10,059			Investments, at value(2)		$	—
Equity Contracts		Investments, at value(2)		$	2,698,120			Investments, at value(2)		$	—
Commodity Contracts		Written options		$	—			Written options		$	40,160
Equity Contracts		Written options		$	—			Written options		$	286,025
Simplify US Equity PLUS Downside Convexity ETF
Commodity Contracts		Investments, at value(2)		$	7,140			Investments, at value(2)		$	—
Equity Contracts		Investments, at value(2)		$	2,474,576			Investments, at value(2)		$	—
Commodity Contracts		Written options		$	—			Written options		$	28,504
Equity Contracts		Written options		$	—			Written options		$	420,340
Simplify US Equity PLUS Upside Convexity ETF
Equity Contracts		Investments, at value(2)		$	4,907,740			Investments, at value(2)		$	—
Simplify Bitcoin Strategy PLUS Income ETF
Commodity Contracts		Unrealized appreciation on futures contracts*		$	516,580			Unrealized depreciation on futures contracts*		$	—
Commodity Contracts		Investments, at value(2)		$	4,249,361			Investments, at value(2)		$	—
Equity Contracts		Investments, at value(2)		$	4,018,764			Investments, at value(2)		$	—
Commodity Contracts		Written options		$	—			Written options		$	65,360
Equity Contracts		Written options		$	—			Written options		$	216,790
Simplify Gold Strategy PLUS Income ETF
Commodity Contracts		Unrealized appreciation on futures contracts*		$	—			Unrealized depreciation on futures contracts*		$	372,470
Equity Contracts		Investments, at value(2)		$	832,059			Investments, at value(2)		$	—
Equity Contracts		Written options		$	—			Written options		$	53,290
Commodity Contracts		Investments, at value(2)		$	4,610			Investments, at value(2)		$	—
Commodity Contracts		Written options		$	—			Written options		$	18,464

 

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June 30, 2025

 

 

Fund		Asset Derivatives						Liability Derivatives
Simplify Multi-QIS Alternative ETF
Equity Contracts		Investments, at value(2)		$	7,731,841			Investments, at value(2)		$	—
Commodity Contracts		Unrealized appreciation on OTC swaps		$	113,524			Unrealized depreciation on OTC swaps		$	2,877,974
Foreign Exchange Contracts		Unrealized appreciation on OTC swaps		$	194,882			Unrealized depreciation on OTC swaps		$	36,398
Interest Rate Contracts		Unrealized appreciation on OTC swaps		$	174,604			Unrealized depreciation on OTC swaps		$	18,247
Equity Contracts		Unrealized appreciation on OTC swaps		$	814,151			Unrealized depreciation on OTC swaps		$	471,044
Equity Contracts		Written options		$	—			Written options		$	337,500
Foreign Exchange Contracts		Unrealized appreciation on forward foreign currency contracts		$	704,927			Unrealized depreciation on forward foreign currency contracts		$	789,346
Simplify Volatility Premium ETF
Interest Rate Contracts		Unrealized appreciation on futures contracts*		$	6,598,902			Unrealized depreciation on futures contracts*		$	—
Equity Contracts		Unrealized appreciation on futures contracts*		$	5,554,058			Unrealized depreciation on futures contracts*		$	—
Equity Contracts		Investments, at value(2)		$	68,910,516			Investments, at value(2)		$	—
Interest Rate Contracts		Written options		$	—			Written options		$	4,000,000

 

	*	Includes cumulative unrealized appreciation or unrealized cumulative depreciation on futures contracts as disclosed in the Schedule of Investments.
	(1)	Purchased swaption contracts are included in Investments within the Statement of Assets and Liabilities.
	(2)	Purchased option contracts are included in Investments within the Statement of Assets and Liabilities or Consolidated Statement of Assets and Liabilities.
	(3)	Written swaption contracts are included in Written Options within the Statement of Assets and Liabilities.

 

For the year ended June 30, 2025, realized gains/(losses) and the change in unrealized appreciation/(depreciation) on purchased option contracts ^(a) by risk type, as disclosed in the Statements of Operations, is as follows:

 

Fund		Risk Type			Realized Gain/(Loss)				Change in Unrealized Appreciation/ (Depreciation)
Simplify Aggregate Bond ETF		Interest Rate			$	(944,031	)		$	—
Simplify China A Shares PLUS Income ETF		Equity				317,679				120,293
Simplify China A Shares PLUS Income ETF		Commodity				(51,158	)			(783	)
Simplify Enhanced Income ETF		Equity				(10,874,943	)			2,286,864
Simplify Enhanced Income ETF		Commodity				(1,618,999	)			48,940
Simplify Enhanced Income ETF		Interest Rate				(465,991	)			—
Simplify Hedged Equity ETF		Equity				(5,414,593	)			(4,090,641	)
Simplify Hedged Equity ETF		Interest Rate				(1,705	)			—
Simplify High Yield ETF		Equity				(2,524,187	)			(488,574	)
Simplify High Yield ETF		Foreign Exchange				491,610				245,483
Simplify Treasury Option Income ETF		Interest Rate				(1,025,902	)			—
Simplify US Equity PLUS Convexity ETF		Equity				(2,622,840	)			556,879

 

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Fund		Risk Type			Realized Gain/(Loss)				Change in Unrealized Appreciation/ (Depreciation)
Simplify US Equity PLUS Convexity ETF		Commodity			$	(278,611	)		$	(4,382	)
Simplify US Equity PLUS Downside Convexity ETF		Equity				4,037,749				488,084
Simplify US Equity PLUS Downside Convexity ETF		Commodity				(280,341	)			(3,111	)
Simplify US Equity PLUS Upside Convexity ETF		Equity				807,881				2,738,149
Simplify US Equity PLUS Upside Convexity ETF		Commodity				(13,427	)			—
Simplify Bitcoin Strategy PLUS Income ETF		Equity				(5,849,218	)			1,215,248
Simplify Bitcoin Strategy PLUS Income ETF		Commodity				(1,296,813	)			550,236
Simplify Bitcoin Strategy PLUS Income ETF		Interest Rate				(52,365	)			—
Simplify Gold Strategy PLUS Income ETF		Equity				1,639,237				254,929
Simplify Gold Strategy PLUS Income ETF		Commodity				(73,520	)			(2,002	)
Simplify Multi-QIS Alternative ETF		Equity				(7,000,153	)			2,380,435
Simplify Multi-QIS Alternative ETF		Interest Rate				(58,528	)			—
Simplify Volatility Premium ETF		Equity				17,301,829				22,182,920
Simplify Volatility Premium ETF		Interest Rate				(754,463	)			—

 

(a)

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

 

For the year ended June 30, 2025, realized gains/(losses) and the change in unrealized appreciation/(depreciation) on swap contracts by risk type, as disclosed in the Statements of Operations, is as follows:

 

Fund		Risk Type			Realized Gain/(Loss)				Change in Unrealized Appreciation/ (Depreciation)
Simplify Aggregate Bond ETF		Interest Rate			$	2,401,423			$	1,719,449
Simplify China A Shares PLUS Income ETF		Equity				1,010,699				380,603
Simplify High Yield ETF		Equity				2,659,820				860,603
Simplify High Yield ETF		Interest Rate				6,729,829				3,241,565
Simplify High Yield ETF		Credit				61,711				(415,005	)
Simplify Interest Rate Hedge ETF		Interest Rate				—				535
Simplify Multi-QIS Alternative ETF		Equity				(2,657,152	)			620,586
Simplify Multi-QIS Alternative ETF		Commodity				(7,228,961	)			(3,146,548	)
Simplify Multi-QIS Alternative ETF		Foreign Exchange				(2,104,050	)			74,028
Simplify Multi-QIS Alternative ETF		Credit				(66,892	)			(48,339	)
Simplify Multi-QIS Alternative ETF		Interest Rate				(3,807,721	)			5,936

 

For the year ended June 30, 2025, realized gains/(losses) and the change in unrealized appreciation/(depreciation) on purchased swaption contracts ^(b) by risk type, as disclosed in the Statements of Operations, is as follows:

 

Fund		Risk Type			Realized Gain/(Loss)				Change in Unrealized Appreciation/ (Depreciation)
Simplify Bond Bull ETF		Interest Rate			$	(4,500	)		$	(9,492,362	)
Simplify Interest Rate Hedge ETF		Interest Rate			$	16,060,753			$	(5,280,048	)

 

(b)

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

 

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June 30, 2025

 

 

For the year ended June 30, 2025, realized gains/(losses) and the change in unrealized appreciation/(depreciation) on futures contracts by risk type, as disclosed in the Statements of Operations, is as follows:

 

Fund		Risk Type			Realized Gain/(Loss)				Change in Unrealized Appreciation/ (Depreciation)
Simplify Aggregate Bond ETF		Interest Rate			$	(2,006,308	)		$	950,435
Simplify Intermediate Term Treasury Futures Strategy ETF		Interest Rate				(8,766,339	)			7,010,089
Simplify Short Term Treasury Futures Strategy ETF		Interest Rate				15,658,542				4,306,154
Simplify Treasury Option Income ETF		Equity				(460	)			—
Simplify Treasury Option Income ETF		Interest Rate				(1,120,569	)			4,601,384
Simplify US Equity PLUS Bitcoin Strategy ETF		Equity				251,606				270,266
Simplify Bitcoin Strategy PLUS Income ETF		Commodity				11,647,343				1,591,527
Simplify Gold Strategy PLUS Income ETF		Commodity				5,138,645				(372,470	)
Simplify Multi-QIS Alternative ETF		Equity				460,451				—
Simplify Volatility Premium ETF		Equity				(86,345,384	)			4,522,338
Simplify Volatility Premium ETF		Commodity				(949,482	)			—
Simplify Volatility Premium ETF		Interest Rate				(7,234,135	)			6,598,902

 

For the year ended June 30, 2025, realized gains/(losses) and the change in unrealized appreciation/(depreciation) on written option contracts by risk type, as disclosed in the Statements of Operations, is as follows:

 

Fund		Risk Type			Realized Gain/(Loss)				Change in Unrealized Appreciation/ (Depreciation)
Simplify Aggregate Bond ETF		Equity			$	37,500			$	—
Simplify Aggregate Bond ETF		Interest Rate				(4,265,442	)			1,156,357
Simplify Barrier Income ETF		Equity				1,703,180				33,045
Simplify China A Shares PLUS Income ETF		Equity				(26,962	)			7,071
Simplify China A Shares PLUS Income ETF		Commodity				129,376				2,658
Simplify Enhanced Income ETF		Equity				1,772,493				(116,992	)
Simplify Enhanced Income ETF		Commodity				3,223,739				(140,875	)
Simplify Enhanced Income ETF		Interest Rate				739,716				—
Simplify Hedged Equity ETF		Equity				5,671,387				(9,216,343	)
Simplify High Yield ETF		Equity				1,977,013				478,202
Simplify Interest Rate Hedge ETF		Interest Rate				—				648,645
Simplify Target 15 Distribution ETF		Equity				2,238,675				289,430
Simplify Treasury Option Income ETF		Interest Rate				(8,165,016	)			841,102
Simplify US Equity PLUS Convexity ETF		Equity				793,891				(16,354	)
Simplify US Equity PLUS Convexity ETF		Commodity				623,848				14,922
Simplify US Equity PLUS Downside Convexity ETF		Equity				(2,962,638	)			30,756
Simplify US Equity PLUS Downside Convexity ETF		Commodity				497,220				10,597
Simplify US Equity PLUS Upside Convexity ETF		Equity				(681,954	)			(29,330	)
Simplify US Equity PLUS Upside Convexity ETF		Commodity				46,309				—
Simplify Bitcoin Strategy PLUS Income ETF		Equity				6,929,150				48,498
Simplify Bitcoin Strategy PLUS Income ETF		Commodity				1,547,725				5,749
Simplify Bitcoin Strategy PLUS Income ETF		Interest Rate				78,888				—
Simplify Gold Strategy PLUS Income ETF		Equity				61,093				17,075
Simplify Gold Strategy PLUS Income ETF		Commodity				159,857				6,742
Simplify Multi-QIS Alternative ETF		Equity				7,500,210				224,261
Simplify Volatility Premium ETF		Equity				17,307,917				(85,946	)
Simplify Volatility Premium ETF		Interest Rate				26,968,419				2,683,117

 

150

 

 

Simplify Exchange Traded Funds

Notes to Financial Statements (Continued)

June 30, 2025

 

 

For the year ended June 30, 2025, realized gains/(losses) and the change in unrealized appreciation/(depreciation) on forward foreign currency contracts by risk type, as disclosed in the Statements of Operations, is as follows:

 

Fund		Risk Type			Realized Gain/(Loss)				Change in Unrealized Appreciation/ (Depreciation)
Simplify Currency Strategy ETF		Foreign Exchange			$	(575,050	)		$	(247,142	)
Simplify Multi-QIS Alternative ETF		Foreign Exchange			$	19,360			$	(84,419	)

 

For the year ended June 30, 2025, the average fiscal quarter end balances of outstanding derivative financial instruments were as follows:

 

Fund		Purchased Option Contracts (Contract Value)				Purchased Swaption Contracts (Contract Value)				Forward Foreign Currency Contracts (Notional Value)				Futures Contracts (Notional Value)				Written Option Contracts (Contract Value)				Swaps (Notional Value)
Simplify Aggregate Bond ETF		$	27,500			$	—			$	—			$	63,810,747			$	(811,697	)		$	106,900,000
Simplify Barrier Income ETF			—				—				—				—				(614,810	)			—
Simplify Bond Bull ETF			—				2,258,333,333				—				—				—				—
Simplify China A Shares PLUS Income ETF			263,793				—				—				—				(125,710	)			(10,879,238	)
Simplify Currency Strategy ETF			—				—				252,933				—				—				—
Simplify Enhanced Income ETF			2,163,559				—				—				—				(1,884,585	)			—
Simplify Health Care ETF			—				—				—				—				—				—
Simplify Hedged Equity ETF			3,148,162				—				—				—				(5,215,418	)			—
Simplify High Yield ETF			122,264				—				—				—				(57,574	)			175,574,600
Simplify Interest Rate Hedge ETF			—				1,833,000,000				—				—				—				10,000
Simplify Intermediate Term Treasury Futures Strategy ETF			—				—				—				360,300,881				—				—
Simplify MBS ETF			—				—				—				—				—				—
Simplify NEXT Intangible Core Index ETF			—				—				—				—				—				—
Simplify Short Term Treasury Futures Strategy ETF			—				—				—				3,120,863,319				—				—
Simplify Target 15 Distribution ETF			—				—				—				—				(1,027,879	)			—
Simplify Treasury Option Income ETF			30,938				—				—				37,369,063				(1,058,325	)			—
Simplify US Equity PLUS Bitcoin Strategy ETF			—				—				—				5,090,735				—				—
Simplify US Equity PLUS Convexity ETF			1,320,331				—				—				—				(606,004	)			—
Simplify US Equity PLUS Downside Convexity ETF			1,573,425				—				—				—				(931,240	)			—
Simplify US Equity PLUS Upside Convexity ETF			1,381,041				—				—				—				(45,953	)			—
Simplify Bitcoin Strategy PLUS Income ETF			1,906,332				—				—				38,184,085				(694,388	)			—
Simplify Gold Strategy PLUS Income ETF			346,829				—				—				29,306,607				(132,836	)			—
Simplify Multi-QIS Alternative ETF			2,039,977				—				(16,884	)			(395,728	)			(928,829	)			312,190,601
Simplify Volatility Premium ETF			22,310,831				—				—				170,322,609				(17,087,836	)			—

 

Certain Funds enter into International Swaps and Derivatives Association, Inc. Master Agreements (“ISDA Master Agreements”) or similar master agreements (collectively, “Master Agreements”) with its OTC derivative contract counterparties in order to, among other things,

 

151

 

 

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Notes to Financial Statements (Continued)

June 30, 2025

 

 

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, a 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.

 

The following table presents Funds’ derivative assets and liabilities by counterparty net of amounts available for offset under a master netting agreement or similar arrangement (collectively referred to as “MNA”) and net of the related collateral received/pledged by a Fund as of June 30, 2025:

 

Fund		Gross Amounts of Liabilities Presented in the Statements of Assets and Liabilities				Financial Instruments and Derivatives Available for Offset				Cash Collateral Pledged(1)				Non-Cash Collateral Pledged(1)				Net Amount of Derivatives Liabilities
Simplify Barrier Income ETF
HSBC Bank		$	90,470			$	—			$	—				—			$	90,470
Morgan Stanley Capital Services LLC			16,840				—			$	—				(16,840	)			—
Nomura Securities			507,500				—				—				—				507,500
		$	614,810			$	—			$	—			$	(16,840	)		$	597,970

 

Fund		Gross Amounts of Assets Presented in the Statement of Assets and Liabilities				Financial Instruments and Derivatives Available for Offset				Collateral Received(1)				Non-Cash Collateral Received(1)				Net Amount of Derivatives Assets
Simplify Bond Bull ETF
Bank of America NA		$	69,480			$	—			$	—			$	—			$	69,480
		$	69,480			$	—			$	—			$	—			$	69,480

 

(1)

The actual collateral received and/or pledged may be more than amount shown.

 

Fund		Gross Amounts of Liabilities Presented in the Statements of Assets and Liabilities				Financial Instruments and Derivatives Available for Offset				Cash Collateral Pledged(1)				Non-Cash Collateral Pledged(1)				Net Amount of Derivatives Liabilities
Simplify Bond Bull ETF
Goldman Sachs International		$	6,903,605			$	—			$	—			$	(6,903,605	)		$	—
Morgan Stanley Capital Services LLC			1,759,638				—				—				(1,759,638	)			—
Nomura Securities			898,599				—				—				(898,599	)			—
		$	9,561,842			$	—			$	—			$	(9,561,842	)		$	—

 

(1)

The actual collateral received and/or pledged may be more than amount shown.

 

Fund		Gross Amounts of Assets Presented in the Statement of Assets and Liabilities				Financial Instruments and Derivatives Available for Offset				Collateral Received(1)				Non-Cash Collateral Received(1)				Net Amount of Derivatives Assets
Simplify China A Shares PLUS Income ETF
Bank of America NA		$	380,603			$	—			$	—			$	(380,603	)		$	—
		$	380,603			$	—			$	—			$	(380,603	)		$	—

 

152

 

 

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Notes to Financial Statements (Continued)

June 30, 2025

 

 

Fund		Gross Amounts of Assets Presented in the Statement of Assets and Liabilities				Financial Instruments and Derivatives Available for Offset				Collateral Received(1)				Non-Cash Collateral Received(1)				Net Amount of Derivatives Assets
Simplify High Yield ETF
Bank of America NA		$	919,098			$	—			$	—			$	(919,098	)		$	—
Goldman Sachs International			843,555				—				—				(843,555	)			—
Morgan Stanley Capital Services LLC			1,912,080				(424,548	)			—				(1,487,532	)			—
		$	3,674,733			$	(424,548	)		$	—			$	(3,250,185	)		$	—

 

(1)

The actual collateral received and/or pledged may be more than amount shown.

 

Fund		Gross Amounts of Liabilities Presented in the Statements of Assets and Liabilities				Financial Instruments and Derivatives Available for Offset				Cash Collateral Pledged(1)				Non-Cash Collateral Pledged(1)				Net Amount of Derivatives Liabilities
Simplify High Yield ETF
Morgan Stanley Capital Services LLC		$	424,548			$	(424,548	)		$	—			$	—			$	—
		$	424,548			$	(424,548	)		$	—			$	—			$	—

 

(1)

The actual collateral received and/or pledged may be more than amount shown.

 

Fund		Gross Amounts of Assets Presented in the Statement of Assets and Liabilities(1)				Financial Instruments and Derivatives Available for Offset				Cash Collateral Received(2)				Non-Cash Collateral Received(2)				Net Amount of Derivatives Assets
Simplify Interest Rate Hedge ETF
Goldman Sachs International		$	1,044,480			$	(843,623	)		$	—			$	(200,857	)		$	—
Morgan Stanley Capital Services LLC			17,303,822				—				—				(5,336,778	)			11,967,044
		$	18,348,302			$	(843,623	)		$	—			$	(5,537,635	)		$	11,967,044

 

	(1)	Purchased swaption contracts are included in Investments within the Statement of Assets and Liabilities.
	(2)	The actual collateral received and/or pledged may be more than amount shown.

 

Fund		Gross Amounts of Liabilities Presented in the Statements of Assets and Liabilities(1)				Financial Instruments and Derivatives Available for Offset				Cash Collateral Pledged(2)				Non-Cash Collateral Pledged(2)				Net Amount of Derivatives Liabilities
Simplify Interest Rate Hedge ETF
Barclays Bank PLC		$	359,543			$	—			$	—			$	—			$	359,543
Goldman Sachs International			843,623				(843,623	)			—				—				—
JP Morgan Chase & Co.			716,218				—				—				(716,218	)			—
		$	1,919,384			$	(843,623	)		$	—			$	(716,218	)		$	359,543

 

	(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.

 

153

 

 

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Notes to Financial Statements (Continued)

June 30, 2025

 

 

Fund		Gross Amounts of Assets Presented in the Statement of Assets and Liabilities				Financial Instruments and Derivatives Available for Offset				Collateral Received(1)				Non-Cash Collateral Received(1)				Net Amount of Derivatives Assets
Simplify Multi-QIS Alternative ETF
Bank of America NA		$	55,460			$	(55,460	)		$	—			$	—			$	—
Citibank			20,021				(13,259	)			—				(6,762	)			—
Deutsche Bank			45,494				—				—				(45,494	)			—
Goldman Sachs International			16,682				(16,315	)			—				(367	)			—
JP Morgan Chase & Co.			82,981				—				—				(82,981	)			—
Macquarie Bank			74,868				(70,810	)			—				(4,058	)			—
Morgan Stanley Capital Services LLC			723,434				(320,059	)			—				(403,375	)			—
Nomura Securities			123,838				(18,247	)			—				(105,591	)			—
Societe Generale			87,976				—				—				(87,976	)			—
UBS			66,407				(11,029	)			—				(55,378	)			—
		$	1,297,161			$	(505,179	)		$	—			$	(791,982	)		$	—

 

(1)

The actual collateral received and/or pledged may be more than amount shown.

 

Fund		Gross Amounts of Liabilities Presented in the Statements of Assets and Liabilities				Financial Instruments and Derivatives Available for Offset				Cash Collateral Pledged(1)				Non-Cash Collateral Pledged(1)				Net Amount of Derivatives Liabilities
Simplify Multi-QIS Alternative ETF
Bank of America NA		$	2,942,048			$	(55,460	)		$	—			$	(2,886,588	)		$	—
BNP Paribas			11,896				—				—				(11,896	)			—
Citibank			13,259				(13,259	)			—				—				—
Goldman Sachs International			16,315				(16,315	)			—				—				—
Macquarie Bank			70,810				(70,810	)			—				—				—
Morgan Stanley Capital Services LLC			320,059				(320,059	)			—				—				—
Nomura Securities			18,247				(18,247	)			—				—				—
UBS			11,029				(11,029	)			—				—				—
		$	3,403,663			$	(505,179	)		$	—			$	(2,898,484	)		$	—

 

(1)

The actual collateral received and/or pledged may be more than amount shown.

 

Fund		Gross Amounts of Liabilities Presented in the Statements of Assets and Liabilities				Financial Instruments and Derivatives Available for Offset				Cash Collateral Pledged(1)				Non-Cash Collateral Pledged(1)				Net Amount of Derivatives Liabilities
Simplify Target 15 Distribution ETF
HSBC Bank		$	257,000			$	—			$	—			$	(257,000	)		$	—
Nomura Securities			63,279				—				—				(63,279	)			—
Nomura Securities			707,600				—				—				(494,690	)			212,910
		$	1,027,879			$	—			$	—			$	(814,969	)		$	212,910

 

5. Reverse Repurchase Agreements

 

The Funds are subject to Rule 18f-4 under the 1940 Act. Rule 18f-4 imposes limits on the amount of derivatives and other transactions a fund can enter into, eliminates the asset segregation framework that had been used by funds to comply with Section 18 of the 1940

 

154

 

 

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Notes to Financial Statements (Continued)

June 30, 2025

 

 

Act, and requires funds whose use of derivatives is more than a limited specified exposure to establish and maintain a comprehensive derivatives risk management program and appoint a derivatives risk manager.

 

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 Statements of Assets and Liabilities
			Gross Amounts of Recognized Liabilities				Gross Amounts Offset in the Consolidated Statements of Assets and Liabilities				Net Amounts Presented in the Consolidated Statements of Assets and Liabilities				Financial Instruments(a)				Collateral Pledged(a)				Net Amount Payable
Reverse Repurchase Agreements			$	58,542,856			$	—			$	58,542,856			$	58,542,856			$	58,542,856			$	—

 

(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 Statements of Assets and Liabilities
			Gross Amounts of Recognized Liabilities				Gross Amounts Offset in the Consolidated Statements of Assets and Liabilities				Net Amounts Presented in the Consolidated Statements of Assets and Liabilities				Financial Instruments(a)				Collateral Pledged(a)				Net Amount Payable
Reverse Repurchase Agreements			$	614,699,989			$	—			$	614,699,989			$	614,699,989			$	614,699,989			$	—

 

(a)

These amounts are limited to the derivatives asset/liability balance and, accordingly, do not include excess collateral received/pledged.

 

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 plus accrued interest payments to be made by the Funds to counterparties are reflected as a liability on the Consolidated Statements 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 Statements 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 year ended June 30, 2025, the average amount of reverse repurchase agreements outstanding and the daily weighted average interest rate for the Simplify Bitcoin Strategy PLUS Income ETF were $46,794,937 and 4.75%, respectively, and for Simplify Volatility Premium ETF $762,980,390 and 4.84%, respectively.

 

155

 

 

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Notes to Financial Statements (Continued)

June 30, 2025

 

 

The following table indicates the total amount of reverse repurchased agreements, including accrued interest, reconciled to the Simplify Bitcoin Strategy PLUS Income ETF liability as of June 30, 2025:

 

		Less than 30 days				30-90 days				Greater than 90 days				Total
U.S. Government Obligations		$	—			$	58,542,856			$	—			$	58,542,856

 

The following table indicates the total amount of reverse repurchased agreements, including accrued interest, reconciled to the Simplify Volatility Premium ETF liability as of June 30, 2025:

 

		Less than 30 days				30-90 days				Greater than 90 days				Total
U.S. Government Obligations		$	—			$	614,699,989			$	—			$	614,699,989

 

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.

 

For its investment advisory services to the Funds below, the Adviser was entitled to receive a management fee based on each Fund’s average daily net assets, computed and accrued daily and payable monthly, at an annual rate equal to:

 

Fund		Management Fee
Simplify Aggregate Bond ETF			0.50	%
Simplify Barrier Income ETF			0.75	%
Simplify Bond Bull ETF			0.50	%
Simplify China A Shares PLUS Income ETF			0.88	%
Simplify Currency Strategy ETF			0.75	%
Simplify Enhanced Income ETF			0.50	%
Simplify Health Care ETF			0.50	%
Simplify Hedged Equity ETF			0.50	%
Simplify High Yield ETF			0.50	%
Simplify Interest Rate Hedge ETF			0.50	%
Simplify Intermediate Term Treasury Futures Strategy ETF			0.25	%
Simplify MBS ETF			0.25	%
Simplify NEXT Intangible Core Index ETF			0.25	%
Simplify Short Term Treasury Futures Strategy ETF			0.25	%
Simplify Target 15 Distribution ETF			0.75	%
Simplify Treasury Option Income ETF			0.35	%
Simplify US Equity PLUS Bitcoin Strategy ETF			0.50	%
Simplify US Equity PLUS Convexity ETF			0.50	%
Simplify US Equity PLUS Downside Convexity ETF			0.50	%
Simplify US Equity PLUS Upside Convexity ETF			0.50	%
Simplify Bitcoin Strategy PLUS Income ETF			0.85	%
Simplify Gold Strategy PLUS Income ETF			0.50	%
Simplify Multi-QIS Alternative ETF			1.00	%
Simplify Volatility Premium ETF			0.50	%

 

The Adviser for the Fund below has contractually agreed, until at least October 31, 2025, to waive its management fees to 0.25% of the Fund’s average daily net assets. The agreement may only be terminated by the Board on 60 days’ written notice to the Adviser. For the year ended June 30, 2025, the Adviser waived fees of the Funds as follows:

 

Fund		Fees Waived
Simplify Aggregate Bond ETF		$	667,643

 

The Adviser for the Fund below has contractually agreed, until at least February 12, 2026, to waive its management fees to 0.25% of the Fund’s average daily assets. The agreement may only be terminated by the Board on 60 days’ written notice to the Adviser. For the year ended June 30, 2025, the Adviser waived fees of the Fund as follows:

 

Fund		Fees Waived
Simplify High Yield ETF		$	358,952

 

156

 

 

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Notes to Financial Statements (Continued)

June 30, 2025

 

 

The Adviser for the Funds below has contractually agreed, until at least October 31, 2025, to waive its management fees to 0.15% of each Fund’s average daily net assets. The agreement may only be terminated by the Board on 60 days’ written notice to the Adviser. For the year ended June 30, 2025, the Adviser waived fees of each Fund as follows:

 

Fund		Fees Waived
Simplify Intermediate Term Treasury Futures Strategy ETF		$	119,477
Simplify MBS ETF			1,435,131
Simplify Short Term Treasury Futures Strategy ETF			609,258

 

The Adviser for the Fund below has contractually agreed, until at least October 31, 2025, to waive its management fees to 0.40% of the Fund’s average daily net assets. For the year ended June 30, 2025, the Adviser waived fees of the Fund as follows:

 

Fund		Fees Waived
Simplify Hedged Equity ETF		$	228,813

 

Under the Investment Advisory Agreement, the Adviser has agreed to pay substantially all the operating expenses of the Funds, excluding interest expenses, taxes, brokerage expenses, Rule 12b-1 fees (if any), acquired fund fees and expenses, expenses incidental to a meeting of a Fund’s shareholders and the management fee. In addition to the excluded operating expenses, the Funds also pay non-operating expenses such as litigation and indemnification expenses and other expenses determined to be extraordinary by the Trust.

 

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. Adviser Compliance Associates, LLC d/b/a ACA Group, a related party to the Distributor, also provides a Chief Compliance Officer to the Trust.

 

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 ETF		$	338,067,914			$	303,908,165
Simplify Barrier Income ETF			—				—
Simplify Bond Bull ETF			—				—
Simplify China A Shares PLUS Income ETF			—				—
Simplify Currency Strategy ETF			—				—
Simplify Enhanced Income ETF			—				—
Simplify Health Care ETF			326,837,779				318,537,249
Simplify Hedged Equity ETF			26,632,088				13,675,854
Simplify High Yield ETF			34,732,490				33,748,583
Simplify Interest Rate Hedge ETF			—				—
Simplify Intermediate Term Treasury Futures Strategy ETF			—				—
Simplify MBS ETF			—				13
Simplify NEXT Intangible Core Index ETF			856,956				537,952
Simplify Short Term Treasury Futures Strategy ETF			—				—
Simplify Target 15 Distribution ETF			—				—
Simplify Treasury Option Income ETF			—				—
Simplify US Equity PLUS Bitcoin Strategy ETF			15,007,700				11,381,150
Simplify US Equity PLUS Convexity ETF			5,969,423				11,422,136
Simplify US Equity PLUS Downside Convexity ETF			13,342,294				15,463,811
Simplify US Equity PLUS Upside Convexity ETF			127,548,360				45,905,604
Simplify Bitcoin Strategy PLUS Income ETF			—				—
Simplify Gold Strategy PLUS Income ETF			1,020,483				1,020,598
Simplify Multi-QIS Alternative ETF			12,035,656				4,049,077

 

157

 

 

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Notes to Financial Statements (Continued)

June 30, 2025

 

 

Fund		Purchases				Sales
Simplify Volatility Premium ETF			2,023,199,720				1,812,582,893

 

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

 

Fund		Purchases				Sales
Simplify Aggregate Bond ETF		$	82,194,942			$	12,811,822
Simplify Barrier Income ETF			—				—
Simplify Bond Bull ETF			—				—
Simplify China A Shares PLUS Income ETF			—				—
Simplify Currency Strategy ETF			—				—
Simplify Enhanced Income ETF			—				—
Simplify Health Care ETF			122,849,504				122,247,464
Simplify Hedged Equity ETF			287,179,151				155,351,463
Simplify High Yield ETF			—				—
Simplify Interest Rate Hedge ETF			—				—
Simplify Intermediate Term Treasury Futures Strategy ETF			—				—
Simplify MBS ETF			—				—
Simplify NEXT Intangible Core Index ETF			694,415				2,431,372
Simplify Target 15 Distribution ETF			—				—
Simplify Short Term Treasury Futures Strategy ETF			—				—
Simplify Treasury Option Income ETF			—				—
Simplify US Equity PLUS Bitcoin Strategy ETF			84,643,691				40,819,970
Simplify US Equity PLUS Convexity ETF			24,367,045				21,630,699
Simplify US Equity PLUS Downside Convexity ETF			70,712,386				104,501,989
Simplify US Equity PLUS Upside Convexity ETF			37,358,266				18,575,554
Simplify Bitcoin Strategy PLUS Income ETF			—				—
Simplify Gold Strategy PLUS Income ETF			—				—
Simplify Multi-QIS Alternative ETF			—				—
Simplify Volatility Premium ETF			—				—

 

Purchases and sales of long term U.S. Government Securities were as follows:

 

Fund		Purchases				Sales
Simplify Aggregate Bond ETF		$	535,772,238			$	541,289,085
Simplify Interest Rate Hedge ETF			—				6,755,961
Simplify MBS ETF			19,732,522,983				19,104,729,410
Simplify Volatility Premium ETF			—				100,000

 

8. Fund Share Transactions

 

The Funds issue and redeem Shares at NAV only in large blocks of 25,000 Shares or 10,000 shares in the case of Simplify Bitcoin Strategy PLUS Income ETF (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 their respective exchange on each day that the exchange is open for business (“Business Day”). Each Fund’s Shares may only be purchased and sold on their respective 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 Funds’ custodian 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 variable fee of up to a maximum of 3% of the amount invested for creations and redemptions in cash, to offset brokerage and impact expenses associated with a cash transaction.

 

158

 

 

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Notes to Financial Statements (Continued)

June 30, 2025

 

 

9. Federal Income Taxes

 

For the year ended June 30, 2025, the effect of permanent “book/tax” reclassifications to the components of net assets are included below. These differences, if any, are primarily due to redemptions-in-kind, non-deductible excise tax paid, prior year true ups, distributions in excess, return of capital distributions, and if applicable, controlled foreign corporations income reversal.

 

Fund		Distributable earnings (loss)				Paid-in Capital
Simplify Aggregate Bond ETF		$	(132,310	)		$	132,310
Simplify Barrier Income ETF			—				—
Simplify Bond Bull ETF			—				—
Simplify China A Shares PLUS Income ETF			—				—
Simplify Currency Strategy ETF			—				—
Simplify Enhanced Income ETF			1,808,785				(1,808,785	)
Simplify Health Care ETF			(13,732,061	)			13,732,061
Simplify Hedged Equity ETF			(19,269,638	)			19,269,638
Simplify High Yield ETF			—				—
Simplify Interest Rate Hedge ETF			—				—
Simplify Intermediate Term Treasury Futures Strategy ETF			—				—
Simplify MBS ETF			—				—
Simplify NEXT Intangible Core Index ETF			(230,067	)			230,067
Simplify Short Term Treasury Futures Strategy ETF			—				—
Simplify Target 15 Distribution ETF			—				—
Simplify Treasury Option Income ETF			—				—
Simplify US Equity PLUS Bitcoin Strategy ETF			(4,807,966	)			4,807,966
Simplify US Equity PLUS Convexity ETF			(5,540,026	)			5,540,026
Simplify US Equity PLUS Downside Convexity ETF			(14,409,216	)			14,409,216
Simplify US Equity PLUS Upside Convexity ETF			(966,251	)			966,251
Simplify Bitcoin Strategy PLUS Income ETF			1,591,530				(1,591,530	)
Simplify Gold Strategy PLUS Income ETF			(372,340	)			372,340
Simplify Multi-QIS Alternative ETF			13,396,814				(13,396,814	)
Simplify Volatility Premium ETF			126,158,414				(126,158,414	)

 

The tax character of dividends and distributions declared for the year/period ended June 30, 2025 were as follows:

 

Fund		Ordinary Income*				Long -Term Capital Gains				Return of Capital
Simplify Aggregate Bond ETF		$	9,356,735			$	—			$	10,913,767
Simplify Barrier Income ETF			707,001				—				—
Simplify Bond Bull ETF			2,051,251				—				—
Simplify China A Shares PLUS Income ETF			90,000				—				—
Simplify Currency Strategy ETF			167,072				—				159,179
Simplify Enhanced Income ETF			14,816,751				—				6,963,751
Simplify Health Care ETF			677,797				—				—
Simplify Hedged Equity ETF			3,789,501				—				—
Simplify High Yield ETF			16,269,523				—				—
Simplify Interest Rate Hedge ETF			5,568,494				—				—
Simplify Intermediate Term Treasury Futures Strategy ETF			5,351,475				—				—
Simplify MBS ETF			64,435,827				—				22,181,637

 

159

 

 

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Notes to Financial Statements (Continued)

June 30, 2025

 

 

Fund		Ordinary Income*				Long -Term Capital Gains				Return of Capital
Simplify NEXT Intangible Core Index ETF		$	54,898			$	—			$	—
Simplify Short Term Treasury Futures Strategy ETF			27,674,130				—				—
Simplify Target 15 Distribution ETF			1,122,001				—				—
Simplify Treasury Option Income ETF			10,942,094				652,069				8,307,884
Simplify US Equity PLUS Bitcoin Strategy ETF			440,000				—				—
Simplify US Equity PLUS Convexity ETF			716,500				—				—
Simplify US Equity PLUS Downside Convexity ETF			1,088,500				—				—
Simplify US Equity PLUS Upside Convexity ETF			580,268				—				—
Simplify Bitcoin Strategy PLUS Income ETF			12,718,611				218,540				—
Simplify Gold Strategy PLUS Income ETF			517,501				—				—
Simplify Multi-QIS Alternative ETF			2,504,782				—				—
Simplify Volatility Premium ETF			37,860,732				46,232,210				97,126,311

 

*

For tax purposes short-term capital gain distributions are considered ordinary income distributions.

 

The tax character of dividends and distributions declared for the year ended June 30, 2024 were as follows:

 

Fund		Ordinary Income*				Long -Term Capital Gains				Return of Capital
Simplify Aggregate Bond ETF		$	6,394,098			$	—			$	8,368,404
Simplify Enhanced Income ETF			15,459,476				78,652				7,633,526
Simplify Health Care ETF			490,865				—				—
Simplify Hedged Equity ETF			3,828,551				2,291,933				—
Simplify High Yield ETF			4,715,001				—				—
Simplify Interest Rate Hedge ETF			9,178,055				66,928,543				—
Simplify Intermediate Term Treasury Futures Strategy ETF			2,051,789				—				—
Simplify MBS ETF			13,271,970				—				2,807,611
Simplify NEXT Intangible Core Index ETF			5,000				—				—
Simplify Short Term Treasury Futures Strategy ETF			28,690,445				—				—
Simplify Treasury Option Income ETF			3,918,784				15,392				2,109,218
Simplify US Equity PLUS Bitcoin Strategy ETF			41,389				—				93,611
Simplify US Equity PLUS Convexity ETF			874,943				—				—
Simplify US Equity PLUS Downside Convexity ETF			1,085,380				—				407,750
Simplify US Equity PLUS Upside Convexity ETF			81,193				—				—
Simplify Bitcoin Strategy PLUS Income ETF			8,229,546				166,512				—
Simplify Multi-QIS Alternative ETF			4,209,252				—				—
Simplify Volatility Premium ETF			103,075,545				—				—

 

*

For tax purposes short-term capital gain distributions are considered ordinary income distributions.

 

As of June 30, 2025, the components of accumulated earnings (losses) on a tax basis were as follows:

 

Fund		Undistributed Ordinary Income				Undistributed Long-term Capital Gains				Temporary Book/Tax Differences(a)				Net Unrealized Appreciation (Depreciation)				Accumulated Capital and Other Losses				Post-October/ Late-year Ordinary Loss Deferrals				Distributable earnings (loss)
Simplify Aggregate Bond ETF		$	—			$	—			$	—			$	7,281,183			$	(4,843,107	)		$	—			$	2,438,076
Simplify Barrier Income ETF			1,226,134				—				—				31,432				—				—				1,257,566
Simplify Bond Bull ETF			444,109				—				—				(9,489,595	)			(883	)			—				(9,046,369	)
Simplify China A Shares PLUS Income ETF			1,706,402				242,989				—				1,907				—				—				1,951,298
Simplify Currency Strategy ETF			—				—				—				(52,132	)			—				(275,901	)			(328,033	)
Simplify Enhanced Income ETF			—				—				—				33,459				(4,877,317	)			—				(4,843,858	)
Simplify Health Care ETF			206,892				—				—				3,060,531				(22,539,424	)			—				(19,272,001	)
Simplify Hedged Equity ETF			—				—				(24,895,130	)			24,262,593				(9,333,385	)			—				(9,965,922	)

 

160

 

 

Simplify Exchange Traded Funds

Notes to Financial Statements (Continued)

June 30, 2025

 

 

Fund		Undistributed Ordinary Income				Undistributed Long-term Capital Gains				Temporary Book/Tax Differences(a)				Net Unrealized Appreciation (Depreciation)				Accumulated Capital and Other Losses				Post-October/ Late-year Ordinary Loss Deferrals				Distributable earnings (loss)
Simplify High Yield ETF		$	2,883,604			$	—			$	—			$	(608,347	)		$	—			$	—			$	2,275,257
Simplify Interest Rate Hedge ETF			3,152,582				8,827,343				—				16,503,254				—				—				28,483,179
Simplify Intermediate Term Treasury Futures Strategy ETF			218,006				—				—				(6,147	)			(29,275,268	)			—				(29,063,409	)
Simplify MBS ETF			—				—				—				20,030,883				—				(18,403,719	)			1,627,164
Simplify NEXT Intangible Core Index ETF			366				—				—				188,465				—				(9,148	)			179,683
Simplify Short Term Treasury Futures Strategy ETF			640,890				—				—				(16,683	)			(33,551,874	)			—				(32,927,667	)
Simplify Target 15 Distribution ETF			1,396,658				—				—				286,136				—				—				1,682,794
Simplify Treasury Option Income ETF			—				—				—				(14,158	)			—				(5,713,364	)			(5,727,522	)
Simplify US Equity PLUS Bitcoin Strategy ETF			—				—				—				3,062,658				(3,711,888	)			—				(649,230	)
Simplify US Equity PLUS Convexity ETF			—				—				(1,057,006	)			17,412,889				(5,275,301	)			—				11,080,582
Simplify US Equity PLUS Downside Convexity ETF			—				—				(7,621,110	)			7,497,122				(46,132,275	)			—				(46,256,263	)
Simplify US Equity PLUS Upside Convexity ETF			1,726,141				1,843,282				(788,054	)			2,100,333				—				—				4,881,702
Simplify Bitcoin Strategy PLUS Income ETF			14,114,531				—				—				1,083,939				—				—				15,198,470
Simplify Gold Strategy PLUS Income ETF			5,554,498				1,150,365				—				(368,361	)			—				—				6,336,502
Simplify Multi-QIS Alternative ETF			133,977				335,558				—				(17,547	)			—				—				451,988
Simplify Volatility Premium ETF			—				—				—				(401,147	)			—				—				(401,147	)

 

(a)

The temporary book/tax differences was attributable primarily dividend payable, straddles deferral and Subpart F income.

 

At June 30, 2025, gross unrealized appreciation and depreciation of investments, including derivatives, owned by each Fund, based on cost for federal income tax purposes were as follows:

 

Fund		Tax Cost				Gross Unrealized Appreciation				Gross Unrealized Depreciation				Net Unrealized Appreciation (Depreciation)
Simplify Aggregate Bond PLUS Credit Hedge ETF		$	317,489,418			$	10,910,310			$	(3,629,127	)		$	7,281,183
Simplify Barrier Income ETF			35,199,075				34,682				(3,250	)			31,432
Simplify Bond Bull ETF			161,893,802				9,564,608				(19,054,203	)			(9,489,595	)
Simplify China A Shares PLUS Income ETF			10,954,034				11,062,558				(11,060,651	)			1,907
Simplify Currency Strategy ETF			14,593,086				1,951,998				(2,004,130	)			(52,132	)
Simplify Enhanced Income ETF			191,956,861				63,894				(30,435	)			33,459
Simplify Health Care ETF			127,493,324				14,130,478				(11,069,947	)			3,060,531
Simplify Hedged Equity ETF			324,775,741				24,895,131				(632,538	)			24,262,593
Simplify High Yield ETF			242,721,748				346,447,197				(347,055,544	)			(608,347	)
Simplify Interest Rate Hedge ETF			139,528,766				16,505,520				(2,266	)			16,503,254
Simplify Intermediate Term Treasury Futures Strategy ETF			150,693,223				—				(6,147	)			(6,147	)
Simplify MBS ETF			2,699,174,731				20,068,105				(37,222	)			20,030,883
Simplify NEXT Intangible Core Index ETF			1,349,888				249,682				(61,217	)			188,465
Simplify Short Term Treasury Futures Strategy ETF			664,904,481				18,049				(34,732	)			(16,683	)
Simplify Target 15 Distribution ETF			47,958,425				289,477				(3,341	)			286,136
Simplify Treasury Option Income ETF			343,762,293				9,081				(23,239	)			(14,158	)
Simplify US Equity PLUS Bitcoin Strategy ETF			72,136,255				3,119,771				(57,113	)			3,062,658
Simplify US Equity PLUS Convexity ETF			65,745,651				17,685,004				(272,115	)			17,412,889
Simplify US Equity PLUS Downside Convexity ETF			80,845,787				7,628,598				(131,476	)			7,497,122
Simplify US Equity PLUS Upside Convexity ETF			114,906,353				7,279,993				(5,179,660	)			2,100,333
Simplify Bitcoin Strategy PLUS Income ETF			109,619,616				1,601,660				(517,721	)			1,083,939
Simplify Gold Strategy PLUS Income ETF			27,095,212				7,409				(375,770	)			(368,361	)
Simplify Multi-QIS Alternative ETF			97,561,110				187,298				(204,845	)			(17,547	)
Simplify Volatility Premium ETF			1,523,763,494				46,015,779				(46,416,926	)			(401,147	)

 

161

 

 

Simplify Exchange Traded Funds

Notes to Financial Statements (Continued)

June 30, 2025

 

 

The differences between book-basis and tax-basis components of net assets, if applicable, are primarily attributable to the tax deferral of losses on wash sales, grantor trust adjustments, section 1256 mark-to-market treatment of derivatives and return of capital basis adjustments from underlying investments.

 

The following Funds utilized the following amounts of capital loss carryforwards to offset taxable gains realized during the period ended June 30, 2025 as follows:

 

Fund		Amount
Simplify Hedged Equity ETF		$	6,677,207
Simplify High Yield ETF			4,190,589
Simplify MBS ETF			2,812,226
Simplify Short Term Treasury Futures Strategy ETF			20,124,462
Simplify US Equity PLUS Bitcoin Strategy ETF			779,573
Simplify US Equity PLUS Downside Convexity ETF			8,113,410
Simplify US Equity PLUS Upside Convexity ETF			387,201
Simplify Multi-QIS Alternative ETF			112,607
Simplify Volatility Premium ETF			14,271,665

 

At June 30, 2025, for federal income tax purposes, the Funds had capital loss carryforwards available as shown in the table below, to the extent provided by regulations, to offset future capital gains for an unlimited period. To the extent that these capital loss carryforwards are used to offset future capital gains, it is probable that the capital gains so offset will not be distributed to shareholders.

 

Fund		Short-Term				Long-Term				Total Amount
Simplify Aggregate Bond ETF		$	1,811,021			$	3,032,086			$	4,843,107
Simplify Bond Bull ETF			883				—				883
Simplify Enhanced Income ETF			4,365,601				511,716				4,877,317
Simplify Health Care ETF			20,410,281				2,129,143				22,539,424
Simplify Hedged Equity ETF			3,679,463				5,653,922				9,333,385
Simplify Intermediate Term Treasury Futures Strategy ETF			12,740,047				16,535,221				29,275,268
Simplify Short Term Treasury Futures Strategy ETF			13,299,181				20,252,693				33,551,874
Simplify US Equity PLUS Bitcoin Strategy ETF			1,556,605				2,155,283				3,711,888
Simplify US Equity PLUS Convexity ETF			2,680,437				2,594,864				5,275,301
Simplify US Equity PLUS Downside Convexity ETF			31,199,961				14,932,314				46,132,275

 

Certain capital and qualified late year ordinary losses incurred within the current taxable year after October 31 and December 31, respectively can be deferred. If elected these deferred losses are deemed to arise on the first business day of each Fund’s next taxable year. As of tax year-end June 30, 2025, the Funds will elect to defer post-October capital losses and late year ordinary losses as follows:

 

Fund		Capital Post- October Losses				Late-year ordinary Losses
Simplify Currency Strategy ETF		$	—			$	275,901
Simplify MBS ETF			18,403,719				—
Simplify NEXT Intangible Core Index ETF			9,148				—
Simplify Treasury Option Income ETF			5,713,364				—

 

10. Segment Reporting

 

Each Fund operates in one segment. The Chief Operating Decision Maker (“CODM”) is the President and Chief Executive Officer of each Fund. The CODM reviews the operating results of each Fund on a consolidated basis as part of making decisions for allocating resources and evaluating performance.

 

162

 

 

Simplify Exchange Traded Funds

Notes to Financial Statements (Continued)

June 30, 2025

 

 

11. Subsequent Events

 

Management has evaluated subsequent events through the date of issuance of these financial statements and, except as noted above, has determined that there are no other subsequent events that require adjustment to, or disclosure in, the financial statements.

 

163

 

 

Simplify Exchange Traded Funds

Report of Independent Registered Public Accounting Firm

 

 

To the Shareholders and Board of Trustees of
Simplify Exchange Traded Funds

 

Opinion on the Financial Statements

 

We have audited the accompanying statements of assets and liabilities or consolidated statements of assets and liabilities, including the schedules of investments or consolidated schedules of investments, of the funds listed below (the “Funds”), each a series of Simplify Exchange Traded Funds, as of June 30, 2025, the related statements of operations or consolidated statements of operations, the consolidated statements of cash flows, the statements of changes in net assets or consolidated statements of changes in net assets, the financial highlights or consolidated financial highlights for each of the periods indicated below, and the related notes (collectively referred to as the “Financial Statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of each of the Funds as of June 30, 2025, the results of their operations and their cash flows, the changes in net assets, and the financial highlights for each of the periods indicated below in conformity with accounting principles generally accepted in the United States of America.

 

Fund Name		Statements of Cash Flows		Statements of Operations		Statements of Changes in Net Assets		Financial Highlights
Simplify Aggregate Bond ETF		Not applicable		For the year ended June 30, 2025		For the years ended June 30, 2025 and 2024		For the years ended June 30, 2025, 2024, and 2023, and for the period from February 15, 2022 (commencement of operations) through June 30, 2022
Simplify Barrier Income ETF		Not applicable		For the period from April 14, 2025 (commencement of operations) through June 30, 2025
Simplify Bond Bull ETF (formerly Simplify Downside Interest Rate Hedge Strategy ETF)		Not applicable		For the period from December 9, 2024 (commencement of operations) through June 30, 2025
Simplify China A Shares PLUS Income ETF		Not applicable		For the period from January 13, 2025 (commencement of operations) through June 30, 2025
Simplify Currency Strategy ETF		Not applicable		For the period from February 3, 2025 (commencement of operations) through June 30, 2025
Simplify Enhanced Income ETF		Not applicable		For the year ended June 30, 2025		For the years ended June 30, 2025 and 2024		For the years ended June 30, 2025 and 2024, and for the period from October 28, 2022 (commencement of operations) through June 30, 2023
Simplify Health Care ETF		Not applicable		For the year ended June 30, 2025		For the years ended June 30, 2025 and 2024		For the years ended June 30, 2025, 2024, and 2023, and for the period from October 8, 2021 (commencement of operations) through June 30, 2022
Simplify Hedged Equity ETF		Not applicable		For the year ended June 30, 2025		For the years ended June 30, 2025 and 2024		For the years ended June 30, 2025, 2024, and 2023, and for the period from November 2, 2021 (commencement of operations) through June 30, 2022
Simplify High Yield ETF (formerly Simplify High Yield PLUS Credit Hedge ETF)		Not applicable		For the year ended June 30, 2025		For the years ended June 30, 2025 and 2024		For the years ended June 30, 2025, 2024, and 2023, and for the period from February 15, 2022 (commencement of operations) through June 30, 2022
Simplify Interest Rate Hedge ETF		Not applicable		For the year ended June 30, 2025		For the years ended June 30, 2025 and 2024		For the years ended June 30, 2025, 2024, 2023, and 2022, and for the period from May 11, 2021 (commencement of operations) through June 30, 2021
Simplify Intermediate Term Treasury Futures Strategy ETF		Not applicable		For the year ended June 30, 2025		For the years ended June 30, 2025 and 2024		For the years ended June 30, 2025, 2024, and 2023, and for the period from September 28, 2021 (commencement of operations) through June 30, 2022

 

164

 

 

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Report of Independent Registered Public Accounting Firm(Continued)

 

 

Simplify MBS ETF		Not applicable		For the year ended June 30, 2025		For the year ended June 30, 2025, and for the period from November 7, 2023 (commencement of operations) through June 30, 2024
Simplify NEXT Intangible Core Index ETF		Not applicable		For the year ended June 30, 2025		For the year ended June 30, 2025, and for the period from April 16, 2024 (commencement of operations) through June 30, 2024
Simplify Short Term Treasury Futures Strategy ETF		Not applicable		For the year ended June 30, 2025		For the years ended June 30, 2025 and 2024		For the years ended June 30, 2025 and 2024, and for the period from November 15, 2022 (commencement of operations) through June 30, 2023
Simplify Target 15 Distribution ETF		Not applicable		For the period from April 14, 2025 (commencement of operations) through June 30, 2025
Simplify Treasury Option Income ETF (formerly Simplify Stable Income ETF)		Not applicable		For the year ended June 30, 2025		For the years ended June 30, 2025 and 2024		For the years ended June 30, 2025 and 2024, and for the period from October 28, 2022 (commencement of operations) through June 30, 2023
Simplify US Equity PLUS Bitcoin Strategy ETF (formerly Simplify US Equity PLUS GBTC ETF)		Not applicable		For the year ended June 30, 2025		For the years ended June 30, 2025 and 2024		For the years ended June 30, 2025, 2024, 2023, and 2022, and for the period from May 25, 2021 (commencement of operations) through June 30, 2021
Simplify US Equity PLUS Convexity ETF		Not applicable		For the year ended June 30, 2025		For the years ended June 30, 2025 and 2024		For the years ended June 30, 2025, 2024, 2023, and 2022, and for the period from September 4, 2020 (commencement of operations) through June 30, 2021
Simplify US Equity PLUS Downside Convexity ETF		Not applicable		For the year ended June 30, 2025		For the years ended June 30, 2025 and 2024		For the years ended June 30, 2025, 2024, 2023, and 2022, and for the period from September 4, 2020 (commencement of operations) through June 30, 2021
Simplify US Equity PLUS Upside Convexity ETF		Not applicable		For the year ended June 30, 2025		For the years ended June 30, 2025 and 2024		For the years ended June 30, 2025, 2024, 2023, and 2022, and for the period from September 4, 2020 (commencement of operations) through June 30, 2021
Simplify Bitcoin Strategy PLUS Income ETF		Consolidated for the year ended June 30, 2025		Consolidated for the year ended June 30, 2025		Consolidated for the years ended June 30, 2025 and 2024		Consolidated for the years ended June 30, 2025 and 2024, and for the period from September 30, 2022 (commencement of operations) through June 30, 2023
Simplify Gold Strategy PLUS Income ETF		Not applicable		Consolidated for the period from December 2, 2024 (commencement of operations) through June 30, 2025
Simplify Multi-QIS Alternative ETF		Not applicable		Consolidated for the year ended June 30, 2025		Consolidated for the year ended June 30, 2025, and for the period from July 11, 2023 (commencement of operations) through June 30, 2024
Simplify Volatility Premium ETF		Consolidated for the year ended June 30, 2025		Consolidated for the year ended June 30, 2025		Consolidated for the years ended June 30, 2025 and 2024		Consolidated for the year ended June 30, 2025, 2024, 2023, and 2022, and for the period from May 13, 2021 (commencement of operations) through June 30, 2021

 

165

 

 

Simplify Exchange Traded Funds

Report of Independent Registered Public Accounting Firm(Continued)

 

 

Basis for Opinion

 

These financial statements are the responsibility of the Funds’ management. Our responsibility is to express an opinion on the Funds’ financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.

 

We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement whether due to error or fraud.

 

Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of June 30, 2025, by correspondence with the custodian and brokers; when replies were not received from brokers, we performed other auditing procedures. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that our audits provide a reasonable basis for our opinion.

 

We have served as the auditor of one or more funds advised by Simplify Asset Management, Inc. since 2020.

 

 

COHEN & COMPANY, LTD.

Cleveland, Ohio

August 29, 2025

 

166

 

 

Simplify Exchange Traded Funds

Additional Information (Unaudited)

 

 

Proxy Voting Policies and Procedures

 

Information regarding how each Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available without charge, upon request, by calling 1-855-772-8488; by visiting www.simplify.us; and on the SEC’s website at www. sec.gov.

 

Discount & Premium Information

 

Information regarding how often Shares of each Fund traded on Cboe BZX Exhange, Inc., NYSE Arca or NASDAQ, as applicable, at a price above (i.e., at a premium) or below (i.e., at a discount) the NAV of each Fund can be found at www.simplify.us.

 

Tax Information

 

Form 1099-DIV and other year-end tax information provide shareholders with actual calendar year amounts that should be included in their tax returns. Shareholders should consult their tax advisors.

 

Each Fund designates the following amounts or, if subsequently determined to be different, the maximum allowable for its year ended June 30, 2025.

 

Fund		Qualified Dividend Income*				Dividends Received Deduction
Simplify Aggregate Bond ETF			00.00	%			00.00	%
Simplify Barrier Income ETF			00.00	%			00.00	%
Simplify Bond Bull ETF			00.00	%			00.00	%
Simplify China A Shares PLUS Income ETF			00.00	%			00.00	%
Simplify Currency Strategy ETF			00.00	%			00.00	%
Simplify Enhanced Income ETF			00.00	%			00.00	%
Simplify Health Care ETF			100.00	%			99.82	%
Simplify Hedged Equity ETF			75.25	%			73.21	%
Simplify High Yield ETF			00.00	%			00.00	%
Simplify Interest Rate Hedge ETF			00.00	%			00.00	%
Simplify Intermediate Term Treasury Futures Strategy ETF			00.00	%			00.00	%
Simplify MBS ETF			00.00	%			00.00	%
Simplify NEXT Intangible Core Index ETF			00.00	%			00.00	%
Simplify Short Term Treasury Futures Strategy ETF			00.00	%			00.00	%
Simplify Target 15 Distribution ETF			00.00	%			00.00	%
Simplify Treasury Option Income ETF			00.00	%			00.00	%
Simplify US Equity PLUS Bitcoin Strategy ETF			100.00	%			100.00	%
Simplify US Equity PLUS Convexity ETF			100.00	%			100.00	%
Simplify US Equity PLUS Downside Convexity ETF			100.00	%			100.00	%
Simplify US Equity PLUS Upside Convexity ETF			100.00	%			100.00	%
Simplify Bitcoin Strategy PLUS Income ETF			100.00	%			100.00	%
Simplify Gold Strategy PLUS Income ETF			00.00	%			00.00	%
Simplify Multi-QIS Alternative ETF			00.00	%			00.00	%
Simplify Volatility Premium ETF			00.00	%			00.00	%

 

*

The above percentage is based on ordinary income dividends paid to shareholders during each Fund’s fiscal year.

 

167

 

 

 

 

 

 

June 30, 2025

 

Annual Financial Statements and

Other Important Information

 

Simplify Exchange Traded Funds

 

Simplify Opportunistic Income ETF (CRDT)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

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Simplify Exchange Traded Funds

Table of Contents

 

 

Schedule of Investments		4
Statement of Assets and Liabilities		10
Statement of Operations		11
Statements of Changes in Net Assets		12
Financial Highlights		13
Notes to Financial Statements		14
Report of Independent Registered Public Accounting Firm		24
Additional Information		25

 

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

 

 

 

 

Simplify Opportunistic Income ETF

Schedule of Investments

June 30, 2025

 

 

		Principal				Value
Asset Backed Securities – 33.3%
Allo Issuer LLC, Class C, Series 2025-1A, 144A, 8.10%, 4/20/2055(a)		$	1,750,000			$	1,752,324
Ally Bank Auto Credit-Linked Notes Series 2024-B, Class F, Series 2024-B, 144A, 8.04%, 9/15/2032(a)			595,245				602,335
AMSR 2024-SFR2 Trust, Class E1, Series 2024-SFR2, 144A, 4.15%, 11/17/2041(a)			1,000,000				935,653
Anchorage Capital CLO 19 Ltd., Class E, Series 2021-19A, 144A, 11.97%, (3-Month CME Term SOFR + 7.71%), 10/15/2034(a)(b)			1,000,000				1,003,630
Apidos CLO Lii, Class F, Series 2025-52A, 144A, 10.76%, (3-Month CME Term SOFR + 6.50%), 4/20/2038(a)(b)			500,000				463,975
Apidos CLO Xliii Ltd., Class FR, Series 2025-43A, 144A, 10.98%, (3-Month CME Term SOFR + 6.67%), 7/25/2038(a)(b)			1,000,000				952,500
Chase Auto Credit Linked Notes Series 2025-1, Class G, Series 2025-1, 144A, 10.42%, 2/25/2033(a)			800,000				802,625
Elmwood CLO XII Ltd., Class FR, Series 2021-5A, 144A, 13.01%, (3-Month CME Term SOFR + 8.75%), 10/15/2037(a)(b)			1,677,000				1,530,181
Frontier Issuer LLC, Class C, Series 2023-1, 144A, 11.50%, 8/20/2053(a)			300,000				315,708
GoldenTree Loan Management US CLO 16 Ltd., Class FRR, Series 2025-16A, 144A, 12.02%, (3-Month CME Term SOFR + 7.75%), 1/20/2038(a)(b)			1,000,000				907,942
Goodgreen 2024-1 Ltd., Class C, Series 2024-1A, 144A, 8.50%, 7/15/2056(a)			462,000				456,798
Green Lakes Park CLO LLC 2019-2, Class ERR, Series 2025-1A, 144A, 9.03%, (3-Month CME Term SOFR + 4.75%), 1/25/2038(a)(b)			1,000,000				978,659
Hertz Vehicle Financing III LLC, Class D, Series 2025-3A, 144A, 8.55%, 12/26/2029(a)			1,000,000				1,007,472
Hertz Vehicle Financing LLC, Class D, Series 2022-4A, 144A, 6.56%, 9/25/2026(a)			500,000				499,999
Huntington Bank Auto Credit-Linked Notes Series 2024-2, Class E, Series 2024-2, 144A, 11.80%, (SOFR + 7.50%), 10/20/2032(a)(b)			559,014				560,685
Huntington Bank Auto Credit-Linked Notes Series 2025-1, Class D, Series 2025-1, 144A, 7.80%, (SOFR + 3.50%), 3/21/2033(a)(b)			448,370				448,723
Invitation Homes 2024-SFR1 Trust, Class F, Series 2024-SFR1, 144A, 4.50%, 9/17/2041(a)			1,000,000				923,027
Magnetite 50 Ltd., Class F, Series 2025-50A, 144A, (3-Month CME Term SOFR + 6.68%), 7/25/2038(a)(b)			250,000				245,000
Milford Park CLO Ltd., Class ER, Series 2025-1A, 144A, 9.12%, (3-Month CME Term SOFR + 4.85%), 1/20/2038(a)(b)			1,000,000				986,998
Navient Private Education Refi Loan Trust 2021-B, Class R, Series 2021-BA, 144A, 7/15/2069(a)(c)			4,722				1,605,480
New Economy Assets Phase 1 Sponsor LLC, Class B1, Series 2021-1, 144A, 2.41%, 10/20/2061(a)			1,750,000				1,606,967
Parallel 2020-1 Ltd., Class DR, Series 2021-1A, 144A, 11.03%, (3-Month CME Term SOFR + 6.76%), 7/20/2034(a)(b)			800,000				786,176
Point Securitization Trust 2025-1, Class B1, Series 2025-1, 144A, 5.50%, 6/25/2055(a)			1,500,000				1,171,041
Saluda Grade Alternative Mortgage Trust 2024-FIG5, Class E, Series 2024-FIG5, 144A, 8.49%, 4/25/2054(a)			784,510				808,673
Uniti Fiber Abs Issuer Llc, Class C, Series 2025-1A, 144A, 9.12%, 4/20/2055(a)			2,000,000				2,070,726
Zayo Issuer LLC, Class C, Series 2025-1A, 144A, 8.66%, 3/20/2055(a)			2,500,000				2,572,716
Total Asset Backed Securities (Cost $26,028,317)							25,996,013

 

		Principal
Corporate Bonds – 18.0%
Basic Materials – 1.2%
Magnera Corp., 7.25%, 11/15/2031, 144A(a)			1,000,000				942,125
Communications – 2.4%
GoTo Group, Inc., 5.50%, 5/1/2028, 144A(a)			223,300				73,131
Lumen Technologies, Inc., 7.60%, 9/15/2039, Series P			2,175,000				1,852,077
							1,925,208
Energy – 1.5%
Energy Transfer LP, 6.00%, 6/15/2048			1,200,000				1,154,424

 

See Notes to Financial Statements.

 

4

 

 

Simplify Opportunistic Income ETF

Schedule of Investments (Continued)

June 30, 2025

 

 

		Principal				Value
Corporate Bonds (continued)
Financial – 11.9%
Assured Guaranty Municipal Holdings, Inc., 6.40%, 12/15/2066, 144A(a)(b)		$	1,000,000			$	929,693
First Republic Bank, 4.63%, 2/13/2047(d)			1,500,000				5,625
Flagstar Bancorp, Inc., 4.13%, (3-Month CME Term SOFR + 3.91%), 11/1/2030(b)			1,109,000				1,036,522
Flagstar Financial, Inc., 7.30%, (3-Month CME Term SOFR + 3.04%), 11/6/2028(b)			2,000,000				1,891,246
Global Atlantic Fin Co., 7.95%, (US 5 Year CMT T-Note + 3.61%), 10/15/2054, 144A(a)(b)			1,500,000				1,564,664
Lincoln National Corp., 6.94%, (3-Month CME Term SOFR + 2.62%), 5/17/2066(b)			812,000				693,406
Office Properties Income Trust, 9.00%, 3/31/2029, 144A(a)			850,000				829,504
Pennymac Corp., 8.50%, 6/1/2029			2,300,000				2,334,500
							9,285,160
Retail – 1.0%
Kohl’s Corp., 6.88%, 12/15/2037			1,250,000				768,299
Total Corporate Bonds (Cost $12,862,925)							14,075,216
U.S. Treasury Bills – 14.4%
U.S. Treasury Bill, 4.34%, 8/5/2025(e)(f)			700,000				697,105
U.S. Treasury Bill, 4.31%, 8/26/2025(e)(f)			4,700,000				4,668,434
U.S. Treasury Bill, 4.33%, 9/30/2025(e)(f)			5,900,000				5,837,399
Total U.S. Treasury Bills (Cost $11,203,570)							11,202,938

 

		Shares
Preferred Stocks – 13.2%
Consumer Discretionary – 0.7%
QVC Group, Inc., 8.00%			78,266				537,687
Financial – 12.5%
AGNC Investment Corp., 7.75%, (US 5 Year CMT T-Note + 4.39%), Series G(b)			22,060				548,191
B Riley Financial, Inc., 5.25%			74,272				457,516
Chimera Investment Corp., 10.35%, (3-Month CME Term SOFR + 6.05%), Series B(b)			74,800				1,826,616
Chimera Investment Corp., 7.75%, Series C(b)			20,000				451,400
Franklin BSP Realty Trust, Inc., 7.50%, Series E			11,300				228,486
MFA Financial, Inc., 8.88%			20,000				497,000
Rithm Capital Corp., 9.56%, (3-Month CME Term SOFR + 5.23%), Series C(b)			109,696				2,687,552
Rithm Capital Corp., 7.00%, (US 5 Year CMT T-Note + 6.22%), Series D(b)			112,564				2,694,782
Two Harbors Investment Corp., 8.13%, Series A(b)			16,561				380,406
							9,771,949
Total Preferred Stocks (Cost $12,019,764)							10,309,636
Common Stocks – 6.5%
Consumer Discretionary – 0.2%
QVC Group, Inc.*			12,000				33,000
Vinty Holding 5 SA*			110,068,833				104,330
							137,330
Financial – 6.2%
AGNC Investment Corp.			86,000				790,340
Annaly Capital Management, Inc.			62,900				1,183,778
Chimera Investment Corp.			51,025				707,717
Rithm Capital Corp.			142,085				1,604,140
Two Harbors Investment Corp.			53,250				573,502
							4,859,477

 

See Notes to Financial Statements.

 

5

 

 

Simplify Opportunistic Income ETF

Schedule of Investments (Continued)

June 30, 2025

 

 

		Shares				Value
Common Stocks (continued)
Information Technology – 0.1%
DSG TopCo Private Equity*(c)			2,754			$	41,310
Total Common Stocks (Cost $4,825,714)							5,038,117

 

		Principal
Mortgage Backed Securities – 6.2%
Collateralized Mortgage Backed Securities – 4.7%
BBCMS Mortgage Trust 2025-C32, 4.50%, 2/15/2062		$	1,000,000				723,350
Benchmark 2019-B9 Mortgage Trust, 3.00%, 3/15/2052			1,000,000				458,089
Benchmark 2021-B25 Mortgage Trust, 3.20%, 4/15/2054			591,160				414,762
Multifamily Connecticut Avenue Securities Trust 2025-01, 9.51%, 5/25/2055			1,300,000				1,321,483
PRET 2025-NPL6 LLC, 5.74%, 6/25/2055			250,000				250,000
Wells Fargo Commercial Mortgage Trust 2024-5C2, 4.25%, 11/15/2057			560,000				490,968
							3,658,652
Collateralized Mortgage Obligations – 1.5%
Radnor RE 2024-1 Ltd., 8.31%, 9/25/2034			1,150,000				1,188,542
Total Mortgage Backed Securities (Cost $4,875,358)							4,847,194
U.S. Government Agency Mortgage Backed Securities – 2.5%
Government National Mortgage Association, Class FM, Series 2025-28, 5.30%, 2/20/2055
Total U.S. Government Agency Mortgage Backed Securities (Cost $1,960,883)		$	1,967,642				1,963,626
Foreign Bonds – 2.5%
Airlines – 0.5%
Azul Investments LLP, 7.25%, 6/15/2026			4,105,000				410,500
Azul Investments LLP, 7.25%, 6/15/2026, 144A(a)			149,000				14,900
							425,400
Energy – 0.7%
MC Brazil Downstream Trading SARL, 7.25%, 6/30/2031, 144A(a)			391,275				309,772
Petroleos de Venezuela SA, 6.00%, 5/16/2024			1,800,000				229,848
							539,620
Financial – 0.0%
GOL Finance SA, Escrow(c)			3,230,000				–
Government – 1.3%
Bahamas Government International Bond, 9.00%, 6/16/2029, 144A(a)			500,000				532,000
Panama Government International Bond, 6.85%, 3/28/2054			500,000				458,315
							990,315
Total Foreign Bonds (Cost $4,822,867)							1,955,335

 

		Number of Contracts			Notional Amount
Purchased Options – 0.1%
Call - Over-the Counter – 0.1%
USD/HKD, July Strike Price $7.8, Expires 7/08/25 (counterparty: UBS Bank)		12,500,000				975,000				71,996
Total Purchased Options (Cost $6,893)										71,996

 

See Notes to Financial Statements.

 

6

 

 

Simplify Opportunistic Income ETF

Schedule of Investments (Continued)

June 30, 2025

 

 

		Principal				Value
Term Loans – 0.1%
Communications – 0.1%
Diamond Sports Group LLC, 15.00%, 1/3/2028
(Cost $63,202)		$	63,202			$	57,356
Total Investments – 96.8%
(Cost $78,669,493)						$	75,517,427
Other Assets in Excess of Liabilities – 3.2%							2,526,164
Net Assets – 100.0%						$	78,043,591

 

	*	Non Income Producing
	(a)	Security was purchased (sold) pursuant to Rule 144A under the Securities Act of 1933 and may not be resold (repurchased) subject to that rule except to qualified institutional buyers. Unless otherwise noted, Rule 144A securities are deemed to be liquid. Total fair value of Rule 144A securities amounts to $31,191,802, which represents 40.0% of net assets as of June 30, 2025.
	(b)	Floating rate investment. Interest rates reset periodically. Certain securities are fixed to variable and currently in the fixed phase. Interest rate shown reflects the rate in effect at June 30, 2025. For securities based on a published reference rate and spread, the reference rate and spread are indicated in the description above.
	(c)	Investment was valued using significant unobservable inputs.
	(d)	Defaulted security.
	(e)	Represents a zero coupon bond. Rate shown reflects the effective yield.
	(f)	Securities with an aggregate market value of $991,984 have been pledged as collateral for futures contracts as of June 30, 2025

 

Portfolio Abbreviations:

 

CME	:	Chicago Mercantile Exchange
CMT	:	Treasury Constant Maturity Rate
SOFR	:	Secured Overnight Financing Rate

 

At June 30, 2025, open futures contracts were as follows:

 

		Number of Contracts			Notional Value				Expiration Date		Value/ Unrealized Appreciation (Depreciation)
Long position contracts:
U.S. 5 Year Note (CBT)		688			$	74,992,000			9/30/25		$	581,686
Short position contracts:
U.S. Ultra Bond (CBT)		(133)				(15,843,625	)		9/19/25			(451,094	)
Total net unrealized appreciation											$	130,592

 

See Notes to Financial Statements.

 

7

 

 

Simplify Opportunistic Income ETF

Schedule of Investments (Continued)

June 30, 2025

 

 

Summary of Investment Type††

 

Investment Categories		% of Net Assets
Asset Backed Securities			33.3	%
Corporate Bonds			18.0	%
U.S. Treasury Bills			14.4	%
Preferred Stocks			13.2	%
Common Stocks			6.5	%
Mortgage Backed Securities			6.2	%
U.S. Government Agency Mortgage Backed Securities			2.5	%
Foreign Bonds			2.5	%
Purchased Options			0.1	%
Term Loans			0.1	%
Total Investments			96.8	%
Other Assets in Excess of Liabilities			3.2	%
Net Assets			100.0	%

 

††

The percentage shown for each investment category is the total value of investments in that category as a percentage of the net assets of the Fund. The table depicts the Fund’s investments but may not represent the Fund’s market exposure to certain derivatives, if any, which are included in Other Assets in Excess of Liabilities.

 

See Notes to Financial Statements.

 

8

 

 

 

 

 

 

 

 

 

 

 

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Simplify Exchange Traded Funds

Statement of Assets and Liabilities

June 30, 2025

 

 

		Simplify Opportunistic Income ETF
Assets
Investments, at value		$	75,517,427
Cash			471,153
Receivables:
Securities sold			1,520,052
Due from broker			503,991
Interest			468,911
Dividends			114,047
Total assets			78,595,581
Liabilities
Due to Custodian-Foreign Currency			438
Payables:
Securities purchased			495,000
Investment advisory fees			56,552
Total liabilities			551,990
Net Assets		$	78,043,591
Net Assets Consist of
Paid-in capital		$	83,341,973
Distributable earnings (loss)			(5,298,382	)
Net Assets		$	78,043,591
Number of Common Shares outstanding			3,275,001
Net Asset Value, offering and redemption price per share		$	23.83
Investments, at cost		$	78,669,493
Foreign currency, at cost		$	(424	)

 

See Notes to Financial Statements.

 

10

 

 

Simplify Exchange Traded Funds

Statement of Operations

For the Year Ended June 30, 2025

 

 

		Simplify Opportunistic Income ETF
Investment Income
Dividend income		$	1,713,835
Interest income			5,800,576
Total income			7,514,411
Expenses
Investment advisory fees			771,205
Interest expense			2,458
Tax expenses			18,887
Total expenses			792,550
Less fees waived:
Waiver			(107,547	)
Net expenses			685,003
Net investment income (loss)			6,829,408
Realized and Unrealized Gain (Loss)
Net realized gain (loss) from:
Investments			1,375,379
Futures			689,907
Swaps			(2,683,088	)
Written options			40,520
Foreign currency transactions			(48,534	)
Net realized gain (loss)			(625,816	)
Net change in unrealized appreciation (depreciation) on:
Investments			(4,601,433	)
Foreign currency translations			(36,620	)
Futures			(147,689	)
Swaps			(206,282	)
Net unrealized gain (loss)			(4,992,024	)
Net realized and unrealized gain (loss)			(5,617,840	)
Net Increase (Decrease) in Net Assets Resulting from Operations		$	1,211,568

 

See Notes to Financial Statements.

 

11

 

 

Simplify Exchange Traded Funds

Statements of Changes in Net Assets

 

 

		Simplify Opportunistic Income ETF
		Year Ended June 30, 2025				Year Ended June 30, 2024
Increase (Decrease) in Net Assets from Operations
Net investment income (loss)		$	6,829,408			$	5,159,653
Net realized gain (loss)			(625,816	)			(4,182,952	)
Net change in net unrealized appreciation (depreciation)			(4,992,024	)			1,964,012
Net increase (decrease) in net assets resulting from operations			1,211,568				2,940,713
Distributions to Shareholders from:
Distributions			(5,139,704	)			(4,326,748	)
Return of capital			(587,298	)			—
Total distributions			(5,727,002	)			(4,326,748	)
Fund Shares Transactions
Proceeds from shares sold			60,653,361				41,737,365
Value of shares redeemed			(52,794,986	)			(3,166,583	)
Net increase (decrease) in net assets resulting from fund share transactions			7,858,375				38,570,782
Total net increase (decrease) in Net Assets			3,342,941				37,184,747
Net Assets
Beginning of year			74,700,650				37,515,903
End of year		$	78,043,591			$	74,700,650
Changes in Shares Outstanding
Shares outstanding, beginning of year			3,025,001				1,500,001
Shares sold			2,400,000				1,650,000
Shares redeemed			(2,150,000	)			(125,000	)
Shares outstanding, end of year			3,275,001				3,025,001

 

See Notes to Financial Statements.

 

12

 

 

Simplify Exchange Traded Funds

Financial Highlights

 

 

Simplify Opportunistic Income ETF Selected Per Share Data										Period Ended June 30,
		Years Ended June 30
		2025				2024				2023(a)
Net Asset Value, beginning of period		$	24.69			$	25.01			$	25.00
Income (loss) from investment operations:
Net investment income (loss)(b)			2.11				1.97				0.01
Net realized and unrealized gain (loss)			(1.20	)			(0.73	)			—
Total from investment operations			0.91				1.24				0.01
Less distributions from:
Net investment income			(1.59	)			(1.56	)			—
Return of capital			(0.18	)			—				—
Total distributions			(1.77	)			(1.56	)			—
Net Asset Value, end of period		$	23.83			$	24.69			$	25.01
Total Return (%)			3.54				5.05				0.04	(c)
Ratios to Average Net Assets and Supplemental Data
Net Assets, end of period ($ millions)		$	78			$	75			$	38
Ratio of expenses before fee waiver (%)			0.98	(d)			0.96	(e)(f)			0.95	(g)
Ratio of expenses after fee waiver (%)			0.84	(d)(h)			0.51	(e)(f)			0.50	(g)
Ratio of net investment income (loss) (%)			8.41				7.83				4.52	(g)
Portfolio turnover rate (%)(i)			418				322				0	(c)

 

(a)

For the period June 27, 2023 (commencement of operations) through June 30, 2023.

(b)

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

(c)

Not annualized.

(d)

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

(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)

Annualized.

(h)

The increase in the Fund’s expense ratio is due to expiration of the advisory fee waiver which was in place through October 31, 2024. See Note 4.

(i)

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

 

See Notes to Financial Statements.

 

13

 

 

Simplify Exchange Traded Funds

Notes to Financial Statements

June 30, 2025

 

 

1. Organization

 

Simplify Exchange Traded Funds (the “Trust”) is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end registered management investment company organized as a Delaware statutory trust.

 

As of June 30, 2025, the Trust consists of thirty four investment series of exchange-traded funds (“ETFs”) in operation and trading. These financial statements report on the Simplify Opportunistic Income ETF (the “Fund”). The Fund is a diversified series of the Trust.

 

Simplify Asset Management Inc. (the “Adviser”) serves as investment adviser to the Fund and has overall responsibility for the general management and administration of the Fund, subject to the oversight of the Trust’s Board of Trustees (the “Board”).

 

The Fund offers shares (“Shares”) that are listed and traded on the NYSE Arca, Inc. (“NYSE Arca” or the “Exchange”). Unlike mutual funds, the Fund issues and redeems Shares 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 Fund’s distributor. Shares are not individually redeemable securities of the Fund, and owners of the Shares who are authorized participants may acquire those Shares from the Fund, or tender such Shares for redemption to the Fund, in Creation Units only.

 

Fund		Investment Objectives
Simplify Opportunistic Income ETF		The Fund seeks to provide current income. Long-term capital appreciation is a secondary objective.

 

2. 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 Fund is an investment company 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 Fund.

 

Investment Valuation

 

The 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.

 

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 and the Adviser. 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 designated the Adviser as its valuation designee to execute these procedures pursuant to Rule 2a-5 under the 1940 Act. Independent pricing services may assist in calculating the value of the Fund’s portfolio securities. The Board reviews the execution of this process and the resultant fair value prices at least quarterly to assure the process produces reliable results. These securities are either categorized as Level 2 or 3 of the fair value hierarchy depending on the relevant inputs used.

 

Equity securities, closed-end funds 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, closed-end funds 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.

 

Over-the-counter options are valued based upon prices provided by market makers in such securities. Over-the-counter options are categorized as Level 2.

 

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.

 

14

 

 

Simplify Exchange Traded Funds

Notes to Financial Statements (Continued)

June 30, 2025

 

 

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.

 

Under certain circumstances, the Fund may use an independent pricing service to calculate the fair market value of foreign equity securities on a daily basis by applying valuation factors to the last sale price or the mean price as noted above. The fair market values supplied by the independent pricing service will generally reflect market trading that occurs after the close of the applicable foreign markets of comparable securities or the value of other instruments that have a strong correlation to the fair valued securities. The independent pricing service will also take into account the current relevant currency exchange rate. A security that is fair valued may be valued at a price higher or lower than actual market quotations or the value determined by other funds using their own fair valuation procedures. Because foreign securities may trade on days when Shares are not priced, the value of securities held by the Fund can change on days when Shares cannot be redeemed or purchased. In the event that a foreign security’s market quotations are not readily available or are deemed unreliable (for reasons other than because the foreign exchange on which it trades closed before the Fund’s calculation of NAV), the security will be valued at its fair market value as determined in good faith by the Adviser in accordance with procedures approved by the Board. Without fair valuation, it is possible that short-term traders could take advantage of the arbitrage opportunity and dilute the NAV of long-term investors. Fair valuation of the Fund’s portfolio securities can serve to reduce arbitrage opportunities available to short-term traders, but there is no assurance that it will prevent dilution of the Fund’s NAV by short-term traders. In addition, because the Fund’s may invest in underlying ETFs which hold portfolio securities primarily listed on foreign (non-U.S.) exchanges, and these exchanges may trade on weekends or other days when the underlying ETFs do not price their shares, the value of these portfolio securities may change on days when you may not be able to buy or sell Shares.

 

Investments initially valued in currencies other than the U.S. dollar are converted to U.S. dollars using exchange rates obtained from pricing services or other parties in accordance with the valuation procedures of the Adviser as the Board’s valuation designee. As a result, the NAV of the Shares may be affected by changes in the value of currencies in relation to the U.S. dollar. The value of securities traded in markets outside the United States or denominated in currencies other than the U.S. dollar may be affected significantly on a day that the Exchange is closed and an investor is not able to purchase, redeem or exchange Shares.

 

The 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 fund has 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 the 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.

 

The following is a summary of the valuations as of June 30, 2025 for the Fund based upon the three levels defined above:

 

15

 

 

Simplify Exchange Traded Funds

Notes to Financial Statements (Continued)

June 30, 2025

 

 

Simplify Opportunistic Income ETF

 

Assets		Level 1				Level 2				Level 3				Total
Asset Backed Securities		$	—			$	24,390,533			$	1,605,480			$	25,996,013
Corporate Bonds			—				14,075,216				—				14,075,216
U.S. Treasury Bills			11,202,938				—				—				11,202,938
Preferred Stocks			10,309,636				—				—				10,309,636
Common Stocks			4,892,477				104,330				41,310				5,038,117
Mortgage Backed Securities			—				4,847,194				—				4,847,194
U.S. Government Agency Mortgage Backed Securities			—				1,963,626				—				1,963,626
Foreign Bonds			—				1,955,335				—				1,955,335
Term Loans			—				57,356				—				57,356
Purchased Options			—				71,996				—				71,996
Futures			581,686				—				—				581,686
TOTAL		$	26,986,737			$	47,465,586			$	1,646,790			$	76,099,113

 

Liabilities		Level 1				Level 2				Level 3				Total
Futures			(451,094	)			—				—				(451,094	)
TOTAL		$	(451,094	)		$	—			$	—			$	(451,094	)

 

A reconciliation of assets in which Level 3 inputs are used in determining fair value is presented when there are significant Level 3 financial instruments at the beginning and/or end of the reporting year. At June 30, 2025, the reconciliation of assets is as follows:

 

Simplify Opportunistic Income ETF		Asset Backed Securities				Common Stocks				Total
Balance at June 30, 2024		$	2,844,325			$	—				2,844,325
Purchases			895,000				—				895,000
Sales			(2,118,083	)			—				(2,118,083	)
Transfer into Level 3			—				—				—
Transfer out of Level 3			—				—				—
Net Realized Gain (Loss)			118,118				—				118,118
Net Change in Unrealized Appreciation (Depreciation)			(133,880	)			41,310				(92,570	)
Balance at June 30, 2025		$	1,605,480			$	41,310			$	1,646,790

 

The following table presents quantitative information about valuation techniques and inputs used for investments that are measured at fair value and categorized within Level 3 at June 30, 2025:

 

16

 

 

Simplify Exchange Traded Funds

Notes to Financial Statements (Continued)

June 30, 2025

 

 

Simplify Opportunistic Income ETF

 

		Fair Value at June 30, 2025				Market Approach			Unobservable Input		Range (Weighted Average)(a)			Impact to Valuation from an Increase in Input(b)
Common Stock		$	41,310			Market Approach			Broker Quote		$15 (100%)			Increase
		$	41,310
Asset Backed Security		$	1,605,480			Market Approach			Broker Quote		$34,000 (100%)			Increase
		$	1,605,480
Foreign Bond		$	—			Liquidation Basis			Expected Proceeds		$0 (100%)			Increase
		$	—

 

	(a)	Unobservable inputs were weighted by the notional value of the instruments.
	(b)	Represents the change in fair value of the level 3 investments that would result from an increase in the corresponding input. A decrease in the unobservable input would have the opposite effect.

 

Cash

 

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

 

Foreign Currency Translations

 

The books and records of the Fund are maintained in U.S. dollars. Investment securities and other assets and liabilities denominated in a foreign currency are translated into U.S. dollars at the prevailing exchange rates at period end. Purchases and sales of investment securities, income and expenses are translated into U.S. dollars at the prevailing exchange rates on the respective dates of the transactions.

 

Net realized and unrealized gains and losses on foreign currency transactions represent net gains and losses between trade and settlement dates on securities transactions, the acquisition and disposition of foreign currencies, and the difference between the amount of net investment income accrued and the U.S. dollar amount actually received. The portion of both realized and unrealized gains and losses on investments that results from fluctuations in foreign currency exchange rates is not separately disclosed, but is included with net realized and unrealized gain/appreciation and loss/depreciation on investments.

 

Investment Transactions and Related Income

 

For financial reporting purposes, investment transactions are reported on the trade date. However, for daily NAV determination, portfolio securities transactions are reflected no later than in the first calculation on the first business day following trade date. 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 Statement of Operations is shown net of any foreign taxes withheld on income from foreign securities, which are provided for in accordance with the Fund’s understanding of the applicable tax rules and regulations.

 

When-Issued and Delayed-Delivery Transactions

 

The Portfolio may engage in when-issued or delayed-delivery transactions. The Portfolio record when-issued securities on the trade date. Securities purchased on a when-issued or delayed-delivery basis are marked to market daily and begin earning interest on the settlement date. Losses may occur on these transactions due to changes in market conditions or the failure of counterparties to perform under the contract.

 

Income Tax Information and Distributions to Shareholders

 

It is the Fund’s policy to comply with all requirements of the Internal Revenue Code of 1986, as amended (the “Code”). The Fund intends to qualify for and to elect treatment as a separate Regulated Investment Company (“RIC”) under Subchapter M of the Code. It is the Fund’s policy 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. The Fund may occasionally be required to make supplemental distributions at some other time during the year. The Fund reserves the right to declare special distributions if, in its reasonable discretion, such action is necessary or advisable to preserve the status of the 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

 

17

 

 

Simplify Exchange Traded Funds

Notes to Financial Statements (Continued)

June 30, 2025

 

 

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 the 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 the Fund’s financial statement.

 

The Fund will recognize interest and penalties, if any, related to uncertain tax positions as income tax expense on the Statement of Operations.

 

3. Derivative Financial Instruments

 

In the normal course of business, the Fund uses derivative contracts in connection with its proprietary trading activities. Derivative contracts are subject to additional risks that can result in a loss of all or part of an investment. The Fund’s derivative activities and exposure to derivative contracts are classified by the following primary underlying risks: interest rate, credit, foreign exchange, commodity price, and equity price. In addition to its primary underlying risks, the Fund is also subject to additional counterparty risk due to inability of its counterparties to meet the terms of their contracts.

 

FASB Accounting Standards Codification, Derivatives and Hedging (“ASC 815”) requires enhanced disclosures about the Fund’s use of, and accounting for, derivative instruments and the effect of derivative instruments on the Fund’s financial position and results of operations. Tabular disclosure regarding derivative fair value and gain/loss by contract type (e.g., interest rate contracts, foreign exchange contracts, credit contracts, etc.) is required and derivatives accounted for as hedging instruments under ASC 815 must be disclosed separately from those that do not qualify for hedge accounting. Even though the Fund may use derivatives in an attempt to achieve an economic hedge, the Fund’s derivatives are not accounted for as hedging instruments under ASC 815 because investment companies account for their derivatives at fair value and record any changes in fair value in current period earnings.

 

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 the Fund purchases or sells a security, no price would be paid or received by the Fund upon the purchase or sale of a futures contract. Upon entering into a futures contract, and to maintain the Fund’s open positions in futures contracts, the 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 the 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.” The 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 the Fund and the price of the forward or futures contract; (b) possible lack of a liquid secondary market for a forward or futures contract and the resulting inability to close a forward or futures contract when desired; (c) investments in futures contracts involves leverage, which means a small percentage of assets in futures can have a disproportionately large impact on the 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 the Fund may have to sell securities at a time when it may be disadvantageous to do so.

 

Option Contracts

 

The 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.

 

18

 

 

Simplify Exchange Traded Funds

Notes to Financial Statements (Continued)

June 30, 2025

 

 

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 Statement 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 Statement 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 Statement of Operations to the extent the cost of the closing transaction exceeds the premiums received or paid. When the Fund 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 Fund 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 Statement of Assets and Liabilities.

 

Swaps

 

Swap agreements are agreements between the Fund and a counterparty to exchange cash flows, assets, foreign currencies or market-linked returns at specified intervals. Swap agreements are privately negotiated in the OTC market (OTC swaps) or may be executed on a registered commodities exchange (centrally cleared swaps). Swaps are marked-to-market daily and the change in value is recorded as a component of unrealized appreciation/depreciation of swap contracts. The value of the swap will typically impose collateral posting obligations on the party that is considered out-of-the-money on the swap. Upfront payments made/received by the fund, if any, are amortized/accreted for financial reporting purposes, with the unamortized/unaccreted portion included in the Statement of assets and liabilities. A termination payment by the counterparty or the fund is recorded as realized gain or loss, as well as the net periodic payments received or paid by the fund. Entering into swap agreements involves, to varying degrees, elements of credit, market and documentation risk that may provide outcomes that produce losses in excess of the amounts recognized on the Statement of assets and liabilities. Such 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. The 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 Fund’s derivative instruments held as of June 30, 2025 and the related location in the accompanying Statement of Assets and Liabilities presented by underlying risk exposure:

 

Fund		Asset Derivatives						Liability Derivatives
Simplify Opportunistic Income ETF
Interest Rate Contracts		Unrealized appreciation on futures contracts*		$	581,686			Unrealized depreciation on futures contracts*		$	451,094
Foreign Exchange Contracts		Investments(1)		$	71,996			Investments(1)		$	—

 

*

Includes cumulative unrealized appreciation or unrealized cumulative depreciation on futures contracts as disclosed in the Schedule of Investments.

(1)

Purchased option contracts are included in Investments within the Statement of Assets and Liabilities.

 

19

 

 

Simplify Exchange Traded Funds

Notes to Financial Statements (Continued)

June 30, 2025

 

 

For the year ended June 30, 2025, realized gains/(losses) and the change in unrealized appreciation/(depreciation) on purchased option contracts ^(a) by risk type, as disclosed in the Statement of Operations, is as follows:

 

Fund		Risk Type			Realized Gain/(Loss)				Change in Unrealized Appreciation/ (Depreciation)
Simplify Opportunistic Income ETF		Equity Foreign Exchange			$	(236,880	)		$	—
Simplify Opportunistic Income ETF		Contracts				366,597				65,103
Simplify Opportunistic Income ETF		Interest Rate				(19,740	)			—

 

(a)

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

 

For the year ended June 30, 2025, realized gains/(losses) and the change in unrealized appreciation/(depreciation) on swap contracts by risk type, as disclosed in the Statement of Operations, is as follows:

 

Fund		Risk Type			Realized Gain/(Loss)				Change in Unrealized Appreciation/ (Depreciation)
Simplify Opportunistic Income ETF		Equity			$	(90,633	)		$	97,960
Simplify Opportunistic Income ETF		Interest Rate				(1,130,515	)			—
Simplify Opportunistic Income ETF		Credit				(1,461,941	)			(304,242	)

 

For the year ended June 30, 2025, realized gains/(losses) and the change in unrealized appreciation/(depreciation) on futures contracts by risk type, as disclosed in the Statement of Operations, is as follows:

 

Fund		Risk Type			Realized Gain/(Loss)				Change in Unrealized Appreciation/ (Depreciation)
Simplify Opportunistic Income ETF		Commodity			$	(68,980	)		$	—
Simplify Opportunistic Income ETF		Interest Rate				758,887				(147,689	)

 

For the year ended June 30, 2025, realized gains/(losses) and the change in unrealized appreciation/(depreciation) on written option contracts by risk type, as disclosed in the Statement of Operations, is as follows:

 

Fund		Risk Type			Realized Gain/(Loss)				Change in Unrealized Appreciation/ (Depreciation)
Simplify Opportunistic Income ETF		Equity			$	40,520			$	—

 

For the year ended June 30, 2025, the average fiscal quarter end balances of outstanding derivative financial instruments were as follows:

 

Fund		Purchased Option Contracts (Contract Value)				Futures Contracts (Notional Value)				Written Option Contracts (Contract Value)				Swaps (Notional Value)
Simplify Opportunistic Income ETF		$	24,424			$	51,964,118			$	—	(a)		$	50,492,617

 

(a)

Derivative financial instrument not held at any quarter-end during the year ended June 30, 2025. The risk type table serves as an indicator of activity during the period.

 

The Fund 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

 

20

 

 

Simplify Exchange Traded Funds

Notes to Financial Statements (Continued)

June 30, 2025

 

 

financial instrument’s payables and/or receivables with collateral held and/or posted and create one single net payment (close-out netting) in the event of default or termination.

 

The following table presents Fund’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 June 30, 2025:

 

Fund		Gross Amounts of Assets Presented in the Statement of Assets and Liabilities				Financial Instruments and Derivatives Available for Offset				Collateral Received(1)				Non-Cash Collateral Received(1)				Net Amount of Derivatives Assets
Simplify Opportunistic Income ETF
UBS		$	71,996			$	—			$	—			$	—			$	71,996
		$	71,996			$	—			$	—			$	—			$	71,996

 

(1)

The actual collateral received and/or pledged may be more than amount shown.

 

Purchased option contracts are included in Investments within the Statement of Assets and Liabilities.

 

4. Investment Advisory Agreement and Other Agreements

 

The Adviser has overall responsibility for the general management and administration of the Fund, subject to the oversight of the Board. Under an investment advisory agreement between the Trust, on behalf of the Fund, 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 Fund to operate.

 

Asterozoa Management LLC (the “Sub-Adviser”) serves as investment sub-adviser to the Fund. The Sub-Adviser is responsible for day-to-day management of the Fund, subject to supervision of the Adviser. The Adviser, not the Fund, pays the Sub-Adviser.

 

For its investment advisory services to the Fund, the Adviser is entitled to receive a management fee computed and accrued daily and payable monthly, at an annual rate equal to 0.95% of the Fund’s average daily net assets.

 

The Adviser contractually agreed to waive its fee payable under the management agreement by 0.45% through October 31, 2024. For the year ended June 30, 2025, the Adviser waived fees of $107,547.

 

Under the Investment Advisory Agreement, the Adviser has agreed to pay substantially all the operating expenses of the Fund, excluding interest expenses, taxes, brokerage expenses, Rule 12b-1 fees (if any), acquired fund fees and expenses, expenses incidental to a meeting of the Fund’s shareholders and the management fee. In addition to the excluded operating expenses, the Fund also pays non-operating expenses such as litigation and indemnification expenses and other expenses determined to be extraordinary by the Trust.

 

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, the 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 Fund 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 the 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 the Fund.

 

Foreside Financial Services, LLC (the “Distributor”) serves as the distributor of Creation Units for the Fund on an agency basis. The Distributor does not maintain a secondary market in Shares of the Fund. Adviser Compliance Associates, LLC d/b/a ACA Group, a related party to the Distributor, also provides a Chief Compliance Officer to the Trust.

 

A Trustee and certain Officers of the Trust are also employees of the Adviser and/or an affiliate of the Distributor.

 

5. 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 Opportunistic Income ETF		$	337,767,703			$	332,787,315

 

21

 

 

Simplify Exchange Traded Funds

Notes to Financial Statements (Continued)

June 30, 2025

 

 

6. Fund Share Transactions

 

The Fund issues and redeems 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”). The Fund’s Shares may only be purchased and sold on the Exchange through a broker-dealer. Because the 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 Fund’s custodian when purchasing and redeeming Creation Units of the 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 Fund may charge an additional variable fee of up to a maximum of 3% of the amount invested for creations and redemptions in cash, to offset brokerage and impact expenses associated with a cash transaction.

 

7. Federal Income Taxes

 

For the year ended June 30, 2025, the effect of permanent “book/tax” reclassifications to the components of net assets are included below. These differences, if any, are primarily due to redemptions-in-kind, non-deductible excise tax paid, prior year true ups, distributions in excess, return of capital distributions, and if applicable, controlled foreign corporations income reversal.

 

Fund		Distributable earnings (loss)				Paid-in Capital
Simplify Opportunistic Income ETF		$	—			$	—

 

The tax character of dividends and distributions declared for the year ended June 30, 2025 were as follows:

 

Fund		Ordinary Income*				Long-Term Capital Gains				Return of Capital
Simplify Opportunistic Income ETF		$	5,139,704			$	—			$	587,298

 

*

For tax purposes short-term capital gain distributions are considered ordinary income distributions.

 

The tax character of dividends and distributions declared for the year ended June 30, 2024 were as follows:

 

Fund		Ordinary Income*				Long-Term Capital Gains				Return of Capital
Simplify Opportunistic Income ETF		$	4,326,748			$	—			$	—

 

*

For tax purposes short-term capital gain distributions are considered ordinary income distributions. As of June 30, 2025, the components of accumulated earnings (losses) on a tax basis were as follows:

 

Fund		Undistributed Ordinary Income				Undistributed Long-term Capital Gains				Temporary Book/Tax Differences				Net Unrealized Appreciation (Depreciation)				Accumulated Capital and Other Losses				Post-October/ Late-year Ordinary Loss Deferrals				Distributable earnings (loss)
Simplify Opportunistic Income ETF		$	—			$	—			$	—			$	(3,261,105	)		$	(2,037,277	)		$	—			$	(5,298,382	)

 

At June 30, 2025, gross unrealized appreciation and depreciation of investments, including derivatives, owned by the Fund, based on cost for federal income tax purposes were as follows:

 

22

 

 

Simplify Exchange Traded Funds

Notes to Financial Statements (Continued)

June 30, 2025

 

 

Fund		Tax Cost				Gross Unrealized Appreciation				Gross Unrealized Depreciation				Net Unrealized Appreciation (Depreciation)
Simplify Opportunistic Income ETF		$	78,731,400			$	2,902,618			$	(6,163,723	)		$	(3,261,105	)

 

The differences between book-basis and tax-basis components of net assets, if applicable, 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.

 

If available, the Fund utilized capital loss carryforwards to offset taxable gains realized during the year ended June 30, 2025 as follows:

 

Fund		Amount
Simplify Opportunistic Income ETF		$	1,109,295

 

At June 30, 2025, for federal income tax purposes, the Fund 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 Opportunistic Income ETF		$	2,037,277			$	—			$	2,037,277

 

Certain capital and qualified late year ordinary losses incurred after October 31 and December 31, respectively can be deferred. If elected these deferred losses are deemed to arise on the first business day of the Fund’s next taxable year. As of tax year-end June 30 2025, the Fund will elect to defer post-October capital losses and late year ordinary losses as follows:

 

Fund		Capital Post- October Losses				Late-year ordinary Losses
Simplify Opportunistic Income ETF		$	—			$	—

 

8. Segment Reporting

 

The Fund operates in one segment. The Chief Operating Decision Maker (“CODM”) is the President and Chief Executive Officer of the Fund. The CODM reviews the operating results of the Fund on a consolidated basis as part of making decisions for allocating resources and evaluating performance.

 

9. 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 statements.

 

23

 

 

Simplify Exchange Traded Funds

Report of Independent Registered Public Accounting Firm

 

 

To the Shareholders and Board of Trustees of
Simplify Exchange Traded Funds

 

Opinion on the Financial Statements

 

We have audited the accompanying statement of assets and liabilities, including the schedule of investments, of Simplify Opportunistic Income ETF (the “Fund”), a series of Simplify Exchange Traded Funds, as of June 30, 2025, the related statement of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, the financial highlights for the years ended June 30, 2025 and 2024, and for the period from June 27, 2023 (commencement of operations) through June 30, 2023, and the related notes (collectively referred to as the “Financial Statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Fund as of June 30, 2025, the results of its operations for the year then ended, the changes in net assets for each of the two years in the period then ended, and the financial highlights each of the three periods in the period then ended, in conformity with accounting principles generally accepted in the United States of America.

 

Basis for Opinion

 

These financial statements are the responsibility of the Fund’s management. Our responsibility is to express an opinion on the Fund’s financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.

 

We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement whether due to error or fraud.

 

Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of June 30, 2025, by correspondence with the custodian and brokers; when replies were not received from brokers, we performed other auditing procedures. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that our audits provide a reasonable basis for our opinion.

 

We have served as the auditor of one or more funds advised by Simplify Asset Management, Inc. since 2020.

 

 

COHEN & COMPANY, LTD.

Cleveland, Ohio

August 29, 2025

 

24

 

 

Simplify Exchange Traded Funds

Additional Information (Unaudited)

 

 

Proxy Voting Policies and Procedures

 

Information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available without charge, upon request, by calling 1-855-772-8488; by visiting www.simplify.us; and on the SEC’s website at www.sec.gov.

 

Discount & Premium Information

 

Information regarding how often Shares of the Fund traded on NYSE Arca at a price above (i.e., at a premium) or below (i.e., at a discount) the NAV of the Fund can be found at www.simplify.us.

 

Tax Information

 

Form 1099-DIV and other year-end tax information provide shareholders with actual calendar year amounts that should be included in their tax returns. Shareholders should consult their tax advisors.

 

The Fund designates the following amounts or, if subsequently determined to be different, the maximum allowable for its year ended June 30, 2025.

 

Fund		Qualified Dividend Income*				Dividends Received Deduction
Simplify Opportunistic Income ETF			29.52	%			31.76	%

 

*

The above percentage is based on ordinary income dividends paid to shareholders during the Fund’s fiscal year.

 

25

 

 

 

 

 

 

June 30, 2025

 

Annual Financial Statements and
Other Important Information

 

Simplify Exchange Traded Funds

 

Simplify Propel Opportunities ETF (SURI)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

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Simplify Exchange Traded Funds

Table of Contents

 

 

Schedule of Investments		4
Statement of Assets and Liabilities		6
Statement of Operations		7
Statements of Changes in Net Assets		8
Statement of Cash Flows		9
Financial Highlights		10
Notes to Financial Statements		11
Report of Independent Registered Public Accounting Firm		18
Additional Information		19

 

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

 

 

 

 

Simplify Propel Opportunities ETF
Schedule of Investments
June 30, 2025

 

 

		Principal				Value
U.S. Treasury Bills – 54.3%
U.S. Treasury Bill, 4.35%, 8/7/2025 (a)(b)
(Cost $35,841,991)		$	36,000,000			$	35,843,046

 

		Shares
Common Stocks – 42.5%
Health Care – 42.5%
Abeona Therapeutics, Inc.*			558,584				3,172,757
Achieve Life Sciences, Inc.*			1,184,512				2,676,997
Akero Therapeutics, Inc.*			145,609				7,769,696
Applied Therapeutics, Inc.*			4,487,505				1,396,063
Athira Pharma, Inc.*			1,492,792				450,823
Capricor Therapeutics, Inc.*			40,000				397,200
Chinook Therapeutics, Inc.*(c)			25,000				2,500
Delcath Systems, Inc.*			106,629				1,450,154
Eiger BioPharmaceuticals, Inc.*(c)			90,000				423,000
MAAT Pharma Saca*			94,181				532,516
Milestone Pharmaceuticals, Inc.*			990,000				1,920,600
Phathom Pharmaceuticals, Inc.*			521,935				5,005,357
TScan Therapeutics, Inc.*			1,046,916				1,518,028
WTS - Achieve Life Science, Inc.*(c)			966,667				9,667
Zevra Therapeutics, Inc.*			147,000				1,295,070
Total Common Stocks (Cost $44,501,454)							28,020,428
Limited Partnership – 37.5%
Energy – 37.5%
Plains GP Holdings LP, Class A*
(Cost $4,616,207)			1,272,360				24,721,955
Money Market Fund – 17.4%
Fidelity Investments Money Market Treasury Only Portfolio - Class I, 4.15%(d)
(Cost $11,460,032)			11,460,032				11,460,032

 

		Principal
Corporate Bonds – 5.9%
Communications – 5.9%
Telesat Canada / Telesat LLC, 5.63%, 12/6/2026, 144A(e)			2,700,000				1,633,500
Telesat Canada / Telesat LLC, 6.50%, 10/15/2027, 144A(e)			6,124,000				2,297,204
Total Corporate Bonds (Cost $5,630,127)							3,930,704
Total Investments – 157.6%
(Cost $102,049,811)						$	103,976,165
Liabilities in Excess of Other Assets – (57.6)%							(38,002,381	)
Net Assets – 100.0%						$	65,973,784

 

	*	Non Income Producing
	(a)	Represents a zero coupon bond. Rate shown reflects the effective yield.
	(b)	Security, or a portion thereof, in the amount of $35,842,680 has been pledged as collateral for reverse repurchase agreements as of June 30, 2025. See note 3 for additional information
	(c)	Investment was valued using significant unobservable inputs.
	(d)	Rate shown reflects the 7-day yield as of June 30, 2025.

 

See Notes to Financial Statements.

 

4

 

 

Simplify Propel Opportunities ETF
Schedule of Investments (Continued)
June 30, 2025

 

 

(e)

Security was purchased (sold) pursuant to Rule 144A under the Securities Act of 1933 and may not be resold (repurchased) subject to that rule except to qualified institutional buyers. Unless otherwise noted, Rule 144A securities are deemed to be liquid. Total fair value of Rule 144A securities amounts to $3,930,704, which represents 5.9% of net assets as of June 30, 2025.

 

Summary of Investment Type††

  

Investment Categories		% of Net Assets
U.S. Treasury Bills			54.3	%
Common Stocks			42.5	%
Limited Partnership			37.5	%
Money Market Funds			17.4	%
Corporate Bonds			5.9	%
Total Investments			157.6	%
Liabilities in Excess of Other Assets			(57.6	)%
Net Assets			100.0	%

 

††

The percentage shown for each investment category is the total value of investments in that category as a percentage of the net assets of the Fund. The table depicts the Fund’s investments but may not represent the Fund’s market exposure to certain derivatives, if any, which are included in Liabilities in Excess of Other Assets.

 

At June 30, 2025, open reverse repurchase agreements were as follows:

 

Counterparty		Interest Rate			Trade Date		Maturity Date		Face Amount				Payable for Reverse Repurchase Agreements
Morgan Stanley Capital Services LLC		4.55%			6/30/2025		7/1/2025		$	35,120,240			$	35,120,240
									$	35,120,240			$	35,120,240

 

See Notes to Financial Statements.

 

5

 

 

Simplify Exchange Traded Funds
Statement of Assets and Liabilities
June 30, 2025

 

 

		Simplify Propel Opportunities ETF
Assets
Investments, at value		$	103,976,165
Foreign currency at value			4
Receivables:
Interest			141,761
Securities sold			16,952
Total assets			104,134,882
Liabilities
Payables:
Reverse repurchase agreement			35,120,240
Securities purchased			2,900,001
Investment advisory fees			140,857
Total liabilities			38,161,098
Net Assets		$	65,973,784
Net Assets Consist of
Paid-in capital		$	81,096,566
Distributable earnings (loss)			(15,122,782	)
Net Assets		$	65,973,784
Number of Common Shares outstanding			4,390,001
Net Asset Value, offering and redemption price per share		$	15.03
Investments, at cost		$	102,049,811
Foreign currency, at cost		$	4

 

See Notes to Financial Statements.

 

6

 

 

Simplify Exchange Traded Funds
Statement of Operations
For the Year Ended June 30, 2025

 

 

		Simplify Propel Opportunities ETF
Investment Income
Dividend income		$	204,159
Interest income			1,521,368
Total income			1,725,527
Expenses
Investment advisory fees			2,324,371
Interest on reverse repurchase agreement			48,224
Tax expenses			30
Total expenses			2,372,625
Less fees waived:
Waiver			(211,306	)
Net expenses			2,161,319
Net investment income (loss)			(435,792	)
Realized and Unrealized Gain (Loss)
Net realized gain (loss) from:
Investments			(528,947	)
Foreign currency transactions			39,378
Net realized gain (loss)			(489,569	)
Net change in unrealized appreciation (depreciation) on:
Investments			(19,253,988	)
Foreign currency translations			46
Net unrealized gain (loss)			(19,253,942	)
Net realized and unrealized gain (loss)			(19,743,511	)
Net Increase (Decrease) in Net Assets Resulting from Operations		$	(20,179,303	)

 

See Notes to Financial Statements.

 

7

 

 

Simplify Exchange Traded Funds
Statements of Changes in Net Assets

 

 

		Simplify Propel Opportunities ETF
		Year Ended June 30, 2025				Year Ended June 30, 2024
Increase (Decrease) in Net Assets from Operations
Net investment income (loss)		$	(435,792	)		$	(576,611	)
Net realized gain (loss)			(489,569	)			(9,112,974	)
Net change in net unrealized appreciation (depreciation)			(19,253,942	)			24,763,358
Net increase (decrease) in net assets resulting from operations			(20,179,303	)			15,073,773
Distributions to Shareholders from:
Return of capital			(12,083,603	)			(14,533,703	)
Total distributions			(12,083,603	)			(14,533,703	)
Fund Shares Transactions
Proceeds from shares sold			4,458,058				24,650,767
Value of shares redeemed			(3,164,938	)			(28,418,927	)
Net increase (decrease) in net assets resulting from fund share transactions			1,293,120				(3,768,160	)
Total net increase (decrease) in Net Assets			(30,969,786	)			(3,228,090	)
Net Assets
Beginning of year			96,943,570				100,171,660
End of year		$	65,973,784			$	96,943,570
Changes in Shares Outstanding
Shares outstanding, beginning of year			4,380,001				4,570,001
Shares sold			200,000				1,060,000
Shares redeemed			(190,000	)			(1,250,000	)
Shares outstanding, end of year			4,390,001				4,380,001

 

See Notes to Financial Statements.

 

8

 

 

Simplify Exchange Traded Funds
Statement of Cash Flows

For the Year Ended June 30, 2025

 

 

		Simplify Propel Opportunities ETF
Cash Flows Provided by (Used for) Operating Activities:
Net increase (decrease) in net assets resulting from operations		$	(20,179,303	)
Adjustments to reconcile net increase (decrease) in net assets resulting from operations to net cash provided by / (used for) operating activities:
Purchases of long-term investment securities			(17,421,229	)
Net purchases and sales in short term investments			(46,941,555	)
Net change in unrealized (appreciation) / depreciation on investments			19,253,988
Net realized (gain) / loss from sales of investments			528,947
Proceeds from sale of securities			36,778,592
Return of capital distributions			1,806,692
Net amortization of premium / (discount)			(971,993	)
(Increase) Decrease in dividends and interest receivable			(3,194	)
(Increase) Decrease in due from advisor			20,464
(Increase) Decrease in prepaid expenses			30
(Increase) Decrease in securities sold receivable			(16,952	)
Increase (Decrease) in investment advisory fees payable			(84,241	)
Increase (Decrease) securities purchased payable			2,900,001
Net Cash Provided by / (Used for) Operating Activities			(24,329,753	)
Cash Flows Provided by (Used for) from Financing Activities:
Shares Sold			4,458,058
Shares redeemed			(3,164,938	)
Proceeds from reverse repurchase agreement			368,128,126
Payments made on reverse repurchase agreement			(333,007,886	)
Distributions paid			(12,083,603	)
Cash provided by (used for) financing activities			24,329,757
Net increase (decrease) in cash			4
Cash and Restricted Cash:
Cash and Restricted Cash, at beginning of year			—
Cash and Restricted Cash, at end of year		$	4
Supplemental Disclosure of Cash Flow Information
Non-cash financing activities:
Cash paid for interest on reverse repurchase agreements		$	48,224
Reconciliation of Restricted and Unrestricted Cash at the beginning of year to the Statements of Assets and Liabilities
Cash		$	—
Reconciliation of Restricted and Unrestricted Cash at the end of year to the Statements of Assets and Liabilities
Cash		$	4

 

See Notes to Financial Statements.

 

9

 

 

Simplify Exchange Traded Funds
Financial Highlights

 

 

Simplify Propel Opportunities ETF		Years Ended June 30								Period Ended June 30,
Selected Per Share Data		2025				2024				2023(a)
Net Asset Value, beginning of period		$	22.13			$	21.92			$	25.00
Income (loss) from investment operations:
Net investment income (loss)(b)			(0.10	)			(0.13	)			(0.04	)
Net realized and unrealized gain (loss)			(4.28	)			3.63				(1.36	)
Total from investment operations			(4.38	)			3.50				(1.40	)
Less distributions from:
Net investment income			—				—				(0.87	)
Return of capital			(2.72	)			(3.29	)			(0.81	)
Total distributions			(2.72	)			(3.29	)			(1.68	)
Net Asset Value, end of period		$	15.03			$	22.13			$	21.92
Total Return (%)			(20.69	)			17.27				(4.97	)(c)
Ratios to Average Net Assets and Supplemental Data
Net Assets, end of period ($ millions)		$	66			$	97			$	100
Ratio of expenses before fee waiver (%)			2.81	(d)			2.75	(e)			2.75	(e)(f)
Ratio of expenses after fee waiver (%)			2.56	(d)			2.50	(e)			2.50	(e)(f)
Ratio of net investment income (loss) (%)			(0.52	)			(0.60	)			(0.50	)(f)
Portfolio turnover rate (%)(g)			22				42				46	(c)

 

	(a)	For the period February 8, 2023 (commencement of operations) through June 30, 2023.
	(b)	Per share numbers have been calculated using the average shares method.
	(c)	Not annualized.
	(d)	The ratios of expenses to average net assets includes interest expense fees of 0.06%.
	(e)	The Fund invests in other ETFs and indirectly bears its proportionate shares of fees and expenses incurred by the Underlying Funds in which the Fund is invested. This ratio does not included these indirect fees and expenses.
	(f)	Annualized.
	(g)	Excludes the impact of in-kind transactions related to the processing of capital share transactions in Creation Units.

 

See Notes to Financial Statements.

 

10

 

 

Simplify Exchange Traded Funds

Notes to Financial Statements

June 30, 2025

 

 

1. Organization

 

Simplify Exchange Traded Funds (the “Trust”) is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end registered management investment company organized as a Delaware statutory trust.

 

As of June 30, 2025, the Trust consists of thirty four investment series of exchange-traded funds (“ETFs”) in operation and trading. These financial statements report on the Simplify Propel Opportunities ETF (the “Fund”). The Fund is a non-diversified series of the Trust.

 

Simplify Asset Management Inc. (the “Adviser”) serves as investment adviser to the Fund and has overall responsibility for the general management and administration of the Fund, subject to the oversight of the Trust’s Board of Trustees (the “Board”).

 

The Fund offers shares (“Shares”) that are listed and traded on the NYSE Arca, Inc. (“NYSE Arca” or the “Exchange”). Unlike mutual funds, the Fund issues and redeems Shares 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 Fund’s distributor. Shares are not individually redeemable securities of the Fund, and owners of the Shares who are authorized participants may acquire those Shares from the Fund, or tender such Shares for redemption to the Fund, in Creation Units only.

 

Fund		Investment Objectives
Simplify Propel Opportunities ETF		The Fund seeks to provide long-term growth of capital.

 

2. 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 Fund is an investment company 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 Fund.

 

Investment Valuation

 

The 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.

 

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 and the Adviser. 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 designated the Adviser as its valuation designee to execute these procedures pursuant to Rule 2a-5 under the 1940 Act. Independent pricing services may assist in calculating the value of the Fund’s portfolio securities. The Board reviews the execution of this process and the resultant fair value prices at least quarterly to assure the process produces reliable results. These securities are either categorized as Level 2 or 3 of the fair value hierarchy depending on the relevant inputs used.

 

Equity securities, closed-end funds, 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, closed-end funds 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, closed-end funds, 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.

 

Money Market Funds are valued at NAV.

 

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.

 

11

 

 

Simplify Exchange Traded Funds

Notes to Financial Statements (Continued)

June 30, 2025

 

 

Reverse repurchase agreements are valued at cost plus accrued interest. These securities are categorized as Level 2 in the fair value hierarchy.

 

Under certain circumstances, the Fund may use an independent pricing service to calculate the fair market value of foreign equity securities on a daily basis by applying valuation factors to the last sale price or the mean price as noted above. The fair market values supplied by the independent pricing service will generally reflect market trading that occurs after the close of the applicable foreign markets of comparable securities or the value of other instruments that have a strong correlation to the fair valued securities. The independent pricing service will also take into account the current relevant currency exchange rate. A security that is fair valued may be valued at a price higher or lower than actual market quotations or the value determined by other funds using their own fair valuation procedures. Because foreign securities may trade on days when Shares are not priced, the value of securities held by the Fund can change on days when Shares cannot be redeemed or purchased. In the event that a foreign security’s market quotations are not readily available or are deemed unreliable (for reasons other than because the foreign exchange on which it trades closed before the Fund’s calculation of NAV), the security will be valued at its fair market value as determined in good faith by the Adviser as the Board’s valuation designee in accordance with procedures approved by the Board. Without fair valuation, it is possible that short-term traders could take advantage of the arbitrage opportunity and dilute the NAV of long-term investors. Fair valuation of the Fund’s portfolio securities can serve to reduce arbitrage opportunities available to short-term traders, but there is no assurance that it will prevent dilution of the Fund’s NAV by short-term traders. In addition, because the Fund may invest in underlying ETFs which hold portfolio securities primarily listed on foreign (non-U.S.) exchanges, and these exchanges may trade on weekends or other days when the underlying ETFs do not price their shares, the value of these portfolio securities may change on days when you may not be able to buy or sell Shares.

 

Investments initially valued in currencies other than the U.S. dollar are converted to U.S. dollars using exchange rates obtained from pricing services or other parties in accordance with the valuation procedures of the Adviser. As a result, the NAV of the Shares may be affected by changes in the value of currencies in relation to the U.S. dollar. The value of securities traded in markets outside the United States or denominated in currencies other than the U.S. dollar may be affected significantly on a day that the Exchange is closed and an investor is not able to purchase, redeem or exchange Shares.

 

The 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 fund has 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 the 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.

 

The following is a summary of the valuations as of June 30, 2025 for the Fund based upon the three levels defined above:

 

Simplify Propel Opportunities ETF
Assets		Level 1				Level 2				Level 3				Total
U.S. Treasury Bills		$	35,843,046			$	—			$	—			$	35,843,046
Common Stocks			27,585,261				—				435,167				28,020,428
Limited Partnership			24,721,955				—				—				24,721,955
Corporate Bonds			—				3,930,704				—				3,930,704
Money Market Fund			11,460,032				—				—				11,460,032
TOTAL		$	99,610,294			$	3,930,704			$	435,167			$	103,976,165

 

Liabilities		Level 1				Level 2				Level 3				Total
Reverse Repurchase Agreements			—				(35,120,240	)			—				(35,120,240	)
TOTAL		$	—			$	(35,120,240	)		$	—			$	(35,120,240	)

 

Cash

 

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

 

12

 

 

Simplify Exchange Traded Funds

Notes to Financial Statements (Continued)

June 30, 2025

 

 

Foreign Currency Translations

 

The books and records of the Fund are maintained in U.S. dollars. Investment securities and other assets and liabilities denominated in a foreign currency are translated into U.S. dollars at the prevailing exchange rates at period end. Purchases and sales of investment securities, income and expenses are translated into U.S. dollars at the prevailing exchange rates on the respective dates of the transactions.

 

Net realized and unrealized gains and losses on foreign currency transactions represent net gains and losses between trade and settlement dates on securities transactions, the acquisition and disposition of foreign currencies, and the difference between the amount of net investment income accrued and the U.S. dollar amount actually received. The portion of both realized and unrealized gains and losses on investments that results from fluctuations in foreign currency exchange rates is not separately disclosed, but is included with net realized and unrealized gain/appreciation and loss/depreciation on investments.

 

Investment Transactions and Related Income

 

For financial reporting purposes, investment transactions are reported on the trade date. However, for daily NAV determination, portfolio securities transactions are reflected no later than in the first calculation on the first business day following trade date. Dividend income is recorded on the ex-dividend date. Interest income is recognized on an accrual basis and includes, where applicable, the amortization of premium or accretion of discount based on effective yield. Gains or losses realized on sales of securities are determined using the 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 the Fund’s understanding of the applicable tax rules and regulations.

 

Income Tax Information and Distributions to Shareholders

 

It is the Fund’s policy to comply with all requirements of the Internal Revenue Code of 1986, as amended (the “Code”). The Fund intends to qualify for and to elect treatment as a separate Regulated Investment Company (“RIC”) under Subchapter M of the Code. It is the Fund’s policy is to pay out dividends from net investment income quarterly. 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. The Fund may occasionally be required to make supplemental distributions at some other time during the year. The Fund reserves the right to declare special distributions if, in its reasonable discretion, such action is necessary or advisable to preserve the status of the 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 the 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 the Fund’s financial statement.

 

The Fund will recognize interest and penalties, if any, related to uncertain tax positions as income tax expense on the Statement of Operations.

 

3. Reverse Repurchase Agreements

 

The Fund is subject to Rule 18f-4 under the 1940 Act. Rule 18f-4 imposes limits on the amount of derivatives and other transactions the Fund can enter into, eliminates the asset segregation framework that had been used by the Fund to comply with Section 18 of the 1940 Act, and requires a fund whose use of derivatives is more than a limited specified exposure to establish and maintain a comprehensive derivatives risk management program and appoint a derivatives risk manager.

 

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.

 

13

 

 

Simplify Exchange Traded Funds

Notes to Financial Statements (Continued)

June 30, 2025

 

 

Offsetting of Reverse Repurchase Agreements Liabilities

 

Simplify Propel Opportunities ETF

														Gross Amounts Not Offset in the Statements of Assets and Liabilities
		Gross Amounts of Recognized Liabilities				Gross Amounts Offset in the Statements of Assets and Liabilities				Net Amounts Presented in the Statements of Assets and Liabilities				Financial Instruments(a)				Collateral Pledged(a)				Net Amount Payable
Reverse Repurchase Agreements		$	35,120,240			$	—			$	35,120,240			$	35,120,240			$	35,120,240			$	—

 

(a)

These amounts are limited to the derivatives asset/liability balance and, accordingly, do not include excess collateral received/pledged.

 

Reverse repurchase agreements involve the sale of securities held by the Fund with an agreement to repurchase the securities at an agreed-upon price, date and interest payment. The Fund may borrow for investment purposes indirectly using reverse repurchase agreements. Cash received in exchange for securities delivered plus accrued interest payments to be made by the Fund to counterparties are reflected as a liability on the Statements of Assets and Liabilities. Interest payments made by the Fund to counterparties are recorded as a component of interest expense on the Fund’s Statements of Operations. Borrowing may cause the Fund 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 Fund is 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 Fund is insufficient or there are delays in the Fund’s ability to access such collateral, the value of an investment in the Fund may decline. As of June 30, 2025, the average amount of reverse repurchase agreements outstanding and the daily weighted average interest rate for the Fund was $35,291,787 and 4.80%, respectively.

 

The following table indicates the total amount of reverse repurchased agreements, including accrued interest, reconciled to the Simplify Propel Opportunities ETF liability as of June 30, 2025:

 

		Less than 30 days				30-90 days				Greater than 90 days				Total
U.S. Government Obligations		$	—			$	35,120,240			$	—			$	35,120,240

 

4. Investment Advisory Agreement and Other Agreements

 

The Adviser has overall responsibility for the general management and administration of the Fund, subject to the oversight of the Board. Under an investment advisory agreement between the Trust, on behalf of the Fund, 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 Fund to operate.

 

Propel Bio Management, LLC (the “Sub-Adviser”) serves as investment sub-adviser to the Fund. The Sub-Adviser is responsible for day-to-day management of the Fund’s equity portfolio, subject to supervision of the Adviser. The Adviser, not the Fund, pays the sub-advisory fee to the Sub-Adviser.

 

Mr. Richard Kayne (through a trust where he serves as a trustee) directly owns voting preferred shares of the Adviser and through the same trust is indirectly the Fund’s seed investor. Mr. Kayne is also a majority owner in Propel Bio Partners, LLC, a Delaware limited liability company, which serves as the general partner to Propel Bio Partners, L.P. (the “Private Fund”), a Delaware limited partnership and a private pooled investment vehicle that is exempt from registration under the Investment Company Act of 1940 and the Securities Act of 1933. The Sub-Adviser serves as the investment adviser to the Private Fund. Mr. Kayne’s indirect part ownership of the Adviser and provision of see capital to the Fund presents a potential conflict of interest on the part of the Adviser in selecting the Sub-Adviser. These relationships between Mr. Kayne and each of the Adviser and the Sub-Adviser were fully disclosed to, discussed with and considered by the Board in approving the appointment of the Sub-Adviser.

 

14

 

 

Simplify Exchange Traded Funds

Notes to Financial Statements (Continued)

June 30, 2025

 

 

For its investment advisory services, the Adviser is entitled to receive a management fee based on the Fund’s average daily net assets, computed and accrued daily and payable monthly, at an annual rate equal to:

 

Assets		Management Fee
Up to and including $1 billion			2.75	%
Over $1 billion and less the $5 billion			2.50	%
Over $5 billion and less the $10 billion			2.00	%
Over $10 billion			1.00	%

 

The Adviser and Sub-Adviser have each agreed to waive its respective advisory and sub-advisory fee by 0.25% on an annualized basis through October 31, 2025. This waiver may be terminated by the Fund’s Board of Trustees on 60 days’ notice and terminates automatically if the management agreement or sub-advisory agreement is terminated. For the year ended June 30, 2025, the Adviser waived fees of $211,306.

 

Under the Investment Advisory Agreement, the Adviser has agreed to pay substantially all the operating expenses of the Fund, excluding interest expenses, taxes, brokerage expenses, Rule 12b-1 fees (if any), acquired fund fees and expenses, expenses incidental to a meeting of the Fund’s shareholders and the Management Fee. In addition to the excluded operating expenses, the Fund also pays non-operating expenses such as litigation and indemnification expenses and other expenses determined to be extraordinary by the Trust.

 

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, the 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 Fund 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 the 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 the Fund.

 

Foreside Financial Services, LLC (the “Distributor”) serves as the distributor of Creation Units for the Fund on an agency basis. The Distributor does not maintain a secondary market in Shares of the Fund. Adviser Compliance Associates, LLC d/b/a ACA Group, a related party to the Distributor also provides a Chief Compliance Officer to the Trust.

 

A Trustee and certain Officers of the Trust are also employees of the Adviser and/or an affiliate of the Distributor.

 

5. 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 Propel Opportunities ETF		$	17,421,229			$	36,728,771

 

6. Fund Share Transactions

 

The Fund issues and redeems 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”). The Fund’s Shares may only be purchased and sold on the Exchange through a broker-dealer. Because the 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 “Fund’s custodian” when purchasing and redeeming Creation Units of the 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 Fund may charge an additional variable fee of up to a maximum of 3% of the amount invested for creations and redemptions in cash, to offset brokerage and impact expenses associated with a cash transaction.

 

15

 

 

Simplify Exchange Traded Funds

Notes to Financial Statements (Continued)

June 30, 2025

 

 

7. Federal Income Taxes

 

For the year ended June 30, 2025, the effect of permanent “book/tax” reclassifications to the components of net assets are included below. These differences, if any, are primarily due to redemptions-in-kind, non-deductible excise tax paid, prior year true ups, distributions in excess, return of capital distributions, and if applicable, controlled foreign corporations income reversal.

 

Fund		Distributable earnings (loss)				Paid-in Capital
Simplify Propel Opportunities ETF		$	370,117			$	(370,117	)

 

The tax character of dividends and distributions declared for the year ended June 30, 2025 were as follows:

 

Fund		Ordinary Income*				Long-Term Capital Gains				Return of Capital
Simplify Propel Opportunities ETF		$	—			$	—			$	12,083,603

 

*

For tax purposes short-term capital gain distributions are considered ordinary income distributions.

 

The tax character of dividends and distributions declared for the year ended June 30, 2024 were as follows:

 

Fund		Ordinary Income*				Long-Term Capital Gains				Return of Capital
Simplify Propel Opportunities ETF		$	—			$	—			$	14,533,703

 

*

For tax purposes short-term capital gain distributions are considered ordinary income distributions.

 

As of June 30, 2025, the components of accumulated earnings (losses) on a tax basis were as follows:

 

Fund		Undistributed Ordinary Income				Undistributed Long-term Capital Gains				Temporary Book/Tax Differences(a)				Net Unrealized Appreciation (Depreciation)				Accumulated Capital and Other Losses				Post-October/ Late-year Ordinary Loss Deferrals				Distributable earnings (loss)
Simplify Propel Opportunities ETF		$	—			$	—			$	—			$	(7,436,704	)		$	(7,686,078	)		$	—			$	(15,122,782	)

 

(a)

The temporary book/tax differences was attributable primarily dividend payable, straddles deferral and Subpart F income.

 

At June 30, 2025, gross unrealized appreciation and depreciation of investments owned by the Fund, based on cost for federal income tax purposes were as follows:

 

Fund		Tax Cost				Gross Unrealized Appreciation				Gross Unrealized Depreciation				Net Unrealized Appreciation (Depreciation)
Simplify Propel Opportunities ETF		$	111,412,915			$	18,192,448			$	(25,629,152	)		$	(7,436,704	)

 

The differences between book-basis and tax-basis components of net assets, if applicable, 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.

 

If available, the Fund utilized capital loss carryforwards to offset taxable gains realized during the period ended June 30, 2025 as follows:

 

Fund		Amount
Simplify Propel Opportunities ETF		$	2,873,824

 

At June 30, 2025, for federal income tax purposes, the Fund 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 Propel Opportunities ETF		$	7,686,078			$	—			$	7,686,078

 

16

 

 

Simplify Exchange Traded Funds

Notes to Financial Statements (Continued)

June 30, 2025

 

 

Certain capital and qualified late year ordinary losses incurred within the current taxable year after October 31 and December 31, respectively can be deferred. If elected these deferred losses are deemed to arise on the first business day of a Fund’s next taxable year. As of tax year-end June 30 2025, the Fund will elect to defer post-October capital losses and late year ordinary losses as follows:

 

Fund		Capital Post- October Losses				Late-year ordinary Losses
Simplify Propel Opportunities ETF		$	—			$	—

 

8. Segment Reporting

 

The Fund operates in one segment. The Chief Operating Decision Maker (“CODM”) is the President and Chief Executive Officer of the Fund. The CODM reviews the operating results of the Fund on a consolidated basis as part of making decisions for allocating resources and evaluating performance.

 

9. 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 statements.

 

17

 

 

Simplify Exchange Traded Funds

Report of Independent Registered Public Accounting Firm

 

 

To the Shareholders and Board of Trustees of
Simplify Exchange Traded Funds

 

Opinion on the Financial Statements

 

We have audited the accompanying statement of assets and liabilities, including the schedule of investments, of Simplify Propel Opportunities ETF (the “Fund”), a series of Simplify Exchange Traded Funds, as of June 30, 2025, the related statement of operations and cash flows for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, the financial highlights for the years ended June 30, 2025 and 2024, and for the period from February 8, 2023 (commencement of operations) through June 30, 2023, and the related notes (collectively referred to as the “Financial Statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Fund as of June 30, 2025, the results of its operations for the year then ended, the changes in net assets for each of the two years in the period then ended, and the financial highlights each of the three periods in the period then ended, in conformity with accounting principles generally accepted in the United States of America.

 

Basis for Opinion

 

These financial statements are the responsibility of the Fund’s management. Our responsibility is to express an opinion on the Fund’s financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.

 

We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement whether due to error or fraud.

 

Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of June 30, 2025, by correspondence with the custodian and brokers; when replies were not received from brokers, we performed other auditing procedures. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that our audits provide a reasonable basis for our opinion.

 

We have served as the auditor of one or more funds advised by Simplify Asset Management, Inc. since 2020.

 

 

COHEN & COMPANY, LTD.

Cleveland, Ohio

August 29, 2025

 

18

 

 

Simplify Exchange Traded Funds

Additional Information (Unaudited)

 

 

Proxy Voting Policies and Procedures

 

Information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available without charge, upon request, by calling 1-855-772-8488; by visiting www.simplify.us; and on the SEC’s website at www.sec.gov.

 

Discount & Premium Information

 

Information regarding how often Shares of the Fund traded on NYSE Arca at a price above (i.e., at a premium) or below (i.e., at a discount) the NAV of the Fund can be found at www.simplify.us.

 

Tax Information

 

Form 1099-DIV and other year-end tax information provide shareholders with actual calendar year amounts that should be included in their tax returns. Shareholders should consult their tax advisors.

 

The Fund designates the following amounts or, if subsequently determined to be different, the maximum allowable for its year ended June 30, 2025.

 

Fund		Qualified Dividend Income*				Dividends Received Deduction
Simplify Propel Opportunities ETF			0.00	%			0.00	%

 

*

The above percentage is based on ordinary income dividends paid to shareholders during the Fund’s fiscal year.

 

19

 

 

 

 

 

 

June 30, 2025

 

Annual Financial Statements and
Other Important Information

 

Simplify Exchange Traded Funds

 

Simplify Volt TSLA Revolution ETF (TESL)

(formerly “Simplify Volt RoboCar Disruption and Tech ETF” trading under the ticker “VCAR”)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

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Simplify Exchange Traded Funds

Table of Contents

 

 

Schedule of Investments		4
Statement of Assets and Liabilities		8
Statement of Operations		9
Statements of Changes in Net Assets		10
Financial Highlights		11
Notes to Financial Statements		12
Report of Independent Registered Public Accounting Firm		20
Additional Information		21

 

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

 

 

 

 

Simplify Volt TSLA Revolution ETF

Schedule of Investments

June 30, 2025

 

 

		Principal				Value
U.S. Treasury Bills – 69.3%
U.S. Treasury Bill, 4.29%, 7/8/2025 (a)		$	3,800,000			$	3,796,934
U.S. Treasury Bill, 4.34%, 8/5/2025 (a)(b)			900,000				896,277
U.S. Treasury Bill, 4.31%, 8/26/2025 (a)(b)			7,400,000				7,350,301
U.S. Treasury Bill, 4.33%, 9/30/2025 (a)(b)			10,600,000				10,487,530
Total U.S. Treasury Bills (Cost $22,531,965)							22,531,042

 

		Shares
Common Stocks – 23.6%
Consumer Discretionary – 23.6%
Tesla, Inc.*(b)
(Cost $5,717,106)			24,141				7,668,630

 

		Number of Contracts			Notional Amount
Purchased Options – 4.5%
Calls – Exchange-Traded – 3.8%
S&P 500 Index, July Strike Price $6,200, Expires 7/03/25		64				39,680,000				200,640
S&P 500 Index, July Strike Price $6,300, Expires 7/07/25		49				30,870,000				21,168
S&P 500 Index, July Strike Price $6,275, Expires 7/09/25		116				72,790,000				196,620
S&P 500 Index, July Strike Price $6,300, Expires 7/18/25		115				72,450,000				377,200
S&P 500 Index, July Strike Price $6,500, Expires 7/31/25		227				147,550,000				221,325
S&P 500 Index, August Strike Price $6,400, Expires 8/15/25		32				20,480,000				151,680
S&P 500 Index, August Strike Price $6,650, Expires 8/15/25		79				52,535,000				50,955
										1,219,588
Puts – Exchange-Traded – 0.7%
Russell 2000 Index, July Strike Price $1,950, Expires 7/11/25(c)		25				4,875,000				1,813
S&P 500 Index, July Strike Price $5,800, Expires 7/02/25		48				27,840,000				480
S&P 500 Index, July Strike Price $5,900, Expires 7/03/25		52				30,680,000				1,300
S&P 500 Index, July Strike Price $6,000, Expires 7/07/25		43				25,800,000				9,030
S&P 500 Index, July Strike Price $5,620, Expires 7/11/25(c)		13				7,306,000				1,332
S&P 500 Index, July Strike Price $5,650, Expires 7/16/25(c)		13				7,345,000				3,900
S&P 500 Index, July Strike Price $5,455, Expires 7/18/25(c)		56				30,548,000				14,280
S&P 500 Index, August Strike Price $5,520, Expires 8/15/25(c)		42				23,184,000				66,570
S&P 500 Index, September Strike Price $5,250, Expires 9/19/25(c)		53				27,825,000				126,405
SPDR Gold Shares, July Strike Price $285, Expires 7/09/25(c)		166				4,731,000				1,411
SPDR Gold Shares, July Strike Price $280, Expires 7/11/25(c)		168				4,704,000				1,260
										227,781
Total Purchased Options (Cost $1,597,371)										1,447,369

 

		Shares
Money Market Fund – 2.3%
Fidelity Investments Money Market Treasury Only Portfolio - Class I, 4.15%(d)
(Cost $735,709)			735,709				735,709

 

See Notes to Financial Statements.

 

4

 

 

Simplify Volt TSLA Revolution ETF

Schedule of Investments (Continued)

June 30, 2025

 

 

		Value
Total Investments – 99.7%
(Cost $30,582,151)		$	32,382,750
Other Assets in Excess of Liabilities – 0.3%			107,062
Net Assets – 100.0%		$	32,489,812

 

		Number of Contracts			Notional Amount
Written Options – (0.5)%
Puts – Exchange-Traded – (0.5)%
Russell 2000 Index, July Strike Price $2,050, Expires 7/11/25		(25)			$	(5,125,000	)		$	(7,250	)
S&P 500 Index, July Strike Price $5,920, Expires 7/11/25		(13)				(7,696,000	)			(5,850	)
S&P 500 Index, July Strike Price $5,960, Expires 7/16/25		(13)				(7,748,000	)			(15,990	)
S&P 500 Index, July Strike Price $5,155, Expires 7/18/25		(56)				(28,868,000	)			(7,840	)
S&P 500 Index, August Strike Price $5,220, Expires 8/15/25		(42)				(21,924,000	)			(35,490	)
S&P 500 Index, September Strike Price $4,950, Expires 9/19/25		(53)				(26,235,000	)			(78,705	)
SPDR Gold Shares, July Strike Price $295, Expires 7/09/25		(166)				(4,897,000	)			(6,640	)
SPDR Gold Shares, July Strike Price $290, Expires 7/11/25		(168)				(4,872,000	)			(4,032	)
										(161,797	)
Total Written Options (Premiums Received $459,749)									$	(161,797	)

 

	*	Non Income Producing
	(a)	Represents a zero coupon bond. Rate shown reflects the effective yield.
	(b)	Securities with an aggregate market value of $15,780,175 have been pledged as collateral for options and swap contracts as of June 30, 2025.
	(b)	Held in connection with Written Options.
	(c)	Rate shown reflects the 7-day yield as of June 30, 2025.

 

Summary of Investment Type††

 

Investment Categories		% of Net Assets
U.S. Treasury Bills			69.3	%
Common Stocks			23.6	%
Purchased Options			4.5	%
Money Market Funds			2.3	%
Total Investments			99.7	%
Other Assets in Excess of Liabilities			0.3	%
Net Assets			100.0	%

 

††

The percentage shown for each investment category is the total value of investments in that category as a percentage of the net assets of the Fund. The table depicts the Fund’s investments but may not represent the Fund’s market exposure to certain derivatives, if any, which are included in Other Assets in Excess of Liabilities.

 

See Notes to Financial Statements.

 

5

 

 

Simplify Volt TSLA Revolution ETF

Schedule of Investments (Continued)

June 30, 2025

 

 

At June 30, 2025, over the counter total return swap contracts outstanding were as follows:

 

Reference Obligation/Index		Termination Date(a)		Financing Rate Paid (Received) by the Fund		Counterparty			Notional Amount				Unrealized Appreciation/ (Depreciation)(b)
Tesla, Inc.		3/13/2026		5.14% (SOFR + 0.75%)(c)		BOFA				18,701,716			$	(565,815	)
													$	(565,815	)

 

	(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.

 

Abbreviations:

 

BOFA	:	Bank of America
SOFR	:	Secured Overnight Financing Rate

 

See Notes to Financial Statements.

 

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Simplify Exchange Traded Funds

Statement of Assets and Liabilities

June 30, 2025

 

 

		Simplify Volt TSLA Revolution ETF
Assets
Investments, at value		$	32,382,750
Cash			948,249
Receivables:
Securities sold			36,251
Interest			4,686
Total assets			33,371,936
Liabilities
Unrealized depreciation on over the counter swaps			565,815
Payables:
Written options			161,797
Securities purchased			129,680
Investment advisory fees			24,832
Total liabilities			882,124
Net Assets		$	32,489,812
Net Assets Consist of
Paid-in capital		$	28,432,223
Distributable earnings (loss)			4,057,589
Net Assets		$	32,489,812
Number of Common Shares outstanding			1,350,001
Net Asset Value, offering and redemption price per share		$	24.07
Investments, at cost		$	30,582,151
Premiums received on written options		$	459,749

 

See Notes to Financial Statements.

 

8

 

 

Simplify Exchange Traded Funds

Statement of Operations

For the Year Ended June 30, 2025

 

 

		Simplify Volt TSLA Revolution ETF
Investment Income
Dividend income*		$	243,726
Interest income			128,123
Total income			371,849
Expenses
Investment advisory fees			145,570
Interest expense			374
Tax expenses			403
Total expenses			146,347
Net investment income (loss)			225,502
Realized and Unrealized Gain (Loss)
Net realized gain (loss) from:
Investments			298,653
In-kind redemptions			901,216
Swaps			6,399,166
Written options			(633,956	)
Net realized gain (loss)			6,965,079
Net change in unrealized appreciation (depreciation) on:
Investments			(99,216	)
Swaps			(565,815	)
Written options			261,630
Net unrealized gain (loss)			(403,401	)
Net realized and unrealized gain (loss)			6,561,678
Net Increase (Decrease) in Net Assets Resulting from Operations		$	6,787,180
* Withholding tax		$	185

 

See Notes to Financial Statements.

 

9

 

 

Simplify Exchange Traded Funds

Statement of Changes in Net Assets

 

 

		Simplify Volt TSLA Revolution ETF
		Year Ended June 30, 2025				Year Ended June 30, 2024
Increase (Decrease) in Net Assets from Operations
Net investment income (loss)		$	225,502			$	(13,006	)
Net realized gain (loss)			6,965,079				(554,245	)
Net change in net unrealized appreciation (depreciation)			(403,401	)			1,562,250
Net increase (decrease) in net assets resulting from operations			6,787,180				994,999
Distributions			(485,916	)			—
Fund Shares Transactions
Proceeds from shares sold			33,694,409				223,867
Value of shares redeemed			(13,019,313	)			—
Net increase (decrease) in net assets resulting from fund share transactions			20,675,096				223,867
Total net increase (decrease) in Net Assets			26,976,360				1,218,866
Net Assets
Beginning of year			5,513,452				4,294,586
End of year		$	32,489,812			$	5,513,452
Changes in Shares Outstanding
Shares outstanding, beginning of year			500,001				475,001
Shares sold			1,550,000				25,000
Shares redeemed			(700,000	)			—
Shares outstanding, end of year			1,350,001				500,001

 

See Notes to Financial Statements.

 

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Simplify Exchange Traded Funds

Financial Highlights

 

 

Simplify Volt TSLA Revolution ETF		Years Ended June 30																Period Ended June 30,
Selected Per Share Data		2025				2024				2023				2022				2021(a)
Net Asset Value, beginning of period		$	11.03			$	9.04			$	9.09			$	11.83			$	12.50
Income (loss) from investment operations:
Net investment income (loss)(b)			0.27				(0.03	)			(0.00	)(c)			0.06				(0.04	)
Net realized and unrealized gain (loss)			13.22				2.02				(0.05	)			(2.75	)			(0.63	)
Total from investment operations			13.49				1.99				(0.05	)			(2.69	)			(0.67	)
Less distributions from:
Net investment income			(0.45	)			—				—				(0.03	)			—
Return of capital			—				—				—				(0.02	)			—
Total distributions			(0.45	)			—				—				(0.05	)			—
Net Asset Value, end of period		$	24.07			$	11.03			$	9.04			$	9.09			$	11.83
Total Return (%)			122.93				21.96				(0.54	)			(22.91	)			(5.34	)(d)
Ratios to Average Net Assets and Supplemental Data
Net Assets, end of period ($ millions)		$	32			$	6			$	4			$	5			$	2
Ratio of expenses (%)			0.96	(e)			0.95				0.99	(f)			0.95				0.95	(g)(h)
Ratio of net investment income (loss) (%)			1.47				(0.28	)			(0.01	)			0.46				(0.71	)(g)
Portfolio turnover rate (%)(h)			872				19				255				254				20	(d)

 

	(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)	The ratios of expenses to average net assets includes interest expense fees and tax expense of 0.01%.
	(f)	The ratios of expenses to average net assets includes interest expense fees of 0.03%.
	(g)	Annualized.
	(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.
	(i)	Excludes the impact of in-kind transactions related to the processing of capital share transactions in Creation Units.

 

See Notes to Financial Statements.

 

11

 

 

Simplify Exchange Traded Funds

Notes to Financial Statements

June 30,2025

 

 

1. Organization

 

Simplify Exchange Traded Funds (the “Trust”) is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end registered management investment company organized as a Delaware statutory trust.

 

As of June 30, 2025, the Trust consists of thirty four investment series of exchange-traded funds (“ETFs”) in operation and trading. These financial statements report on the Simplify Volt TSLA Revolution ETF (the “Fund”).

 

The Simplify Volt Robocar Disruption and Tech ETF changed its name to Simplify Volt TSLA Revolution ETF on November 1, 2024. Effective January 2, 2025 the ticker symbol for the Fund changed from VCAR to TESL. The Fund is a non-diversified series of the Trust.

 

Simplify Asset Management Inc. (the “Adviser”) serves as investment adviser to the Fund and has overall responsibility for the general management and administration of the Fund, subject to the oversight of the Trust’s Board of Trustees (the “Board”).

 

The Fund offers (“Shares”) that are listed and traded on the NYSE Arca, Inc. (“NYSE Arca” or the “Exchange”). Unlike mutual funds, the Fund issues and redeems Shares 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 Fund’s distributor. Shares are not individually redeemable securities of the Fund, and owners of the Shares who are authorized participants may acquire those Shares from the Fund, or tender such Shares for redemption to the Fund, in Creation Units only.

 

Fund		Investment Objectives
Simplify Volt TSLA Revolution ETF		The Fund seeks to provide capital appreciation.

 

2. 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 Fund is an 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 Fund.

 

Investment Valuation

 

The 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.

 

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 and the Adviser. 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 designated the Adviser as its valuation designee to execute these procedures pursuant to Rule 2a-5 under the 1940 Act. Independent pricing services may assist in calculating the value of the Fund’s portfolio securities. The Board reviews the execution of this process and the resultant fair value prices at least quarterly to assure the process produces reliable results. These securities are either categorized as Level 2 or 3 of the fair value hierarchy depending on the relevant inputs used.

 

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.

 

12

 

 

Simplify Exchange Traded Funds

Notes to Financial Statements (Continued)

June 30,2025

 

 

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. These securities are generally categorized as Level 2 of the fair value hierarchy.

 

Money Market Funds are valued at NAV.

 

The 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 fund has 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 the 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.

 

The following is a summary of the valuations as of June 30, 2025 for the Fund based upon the three levels defined above:

 

Simplify Volt TSLA Revolution ETF

 

Assets		Level 1				Level 2				Level 3				Total
U.S. Treasury Bills		$	22,531,042			$	—			$	—			$	22,531,042
Common Stocks			7,668,630				—				—				7,668,630
Purchased Options			1,447,369				—				—				1,447,369
Money Market Fund			735,709				—				—				735,709
TOTAL		$	32,382,750			$	—			$	—			$	32,382,750

 

Liabilities		Level 1				Level 2				Level 3				Total
Written Options		$	(161,797	)		$	—			$	—			$	(161,797	)
Total Return Swaps			—				(565,815	)			—				(565,815	)
TOTAL		$	(161,797	)		$	(565,815	)		$	—			$	(727,612	)

 

Cash

 

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

 

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 Statement of Operations is shown net of any foreign taxes withheld on income from foreign securities, which are provided for in accordance with the Fund’s understanding of the applicable tax rules and regulations.

 

Income Tax Information and Distributions to Shareholders

 

It is the Fund’s policy to comply with all requirements of the Internal Revenue Code of 1986, as amended (the “Code”). The Fund intends to qualify for and to elect treatment as a separate Regulated Investment Company (“RIC”) under Subchapter M of the Code. It is the Fund’s policy to pay out dividends from net investment income quarterly. 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. The Fund may occasionally be required to make supplemental distributions at some other time during the year. The Fund reserves the right to declare special distributions if, in its reasonable discretion, such action is necessary or advisable to preserve the status of the 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

 

13

 

 

Simplify Exchange Traded Funds

Notes to Financial Statements (Continued)

June 30,2025

 

 

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 the 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 the Fund’s financial statement.

 

The Fund will recognize interest and penalties, if any, related to uncertain tax positions as income tax expense on the Statement of Operation.

 

3. Derivative Financial Instruments

 

In the normal course of business, the Fund uses derivative contracts in connection with its proprietary trading activities. Derivative contracts are subject to additional risks that can result in a loss of all or part of an investment. The Fund’s derivative activities and exposure to derivative contracts are classified by the following primary underlying risks: interest rate, credit, foreign exchange, commodity price, and equity price. In addition to its primary underlying risks, the Fund is also subject to additional counterparty risk due to inability of its counterparties to meet the terms of their contracts.

 

FASB Accounting Standards Codification, Derivatives and Hedging (“ASC 815”) requires enhanced disclosures about the Fund’s use of, and accounting for, derivative instruments and the effect of derivative instruments on the Fund’s financial position and results of operations. Tabular disclosure regarding derivative fair value and gain/loss by contract type (e.g., interest rate contracts, foreign exchange contracts, credit contracts, etc.) is required and derivatives accounted for as hedging instruments under ASC 815 must be disclosed separately from those that do not qualify for hedge accounting. Even though the Fund may use derivatives in an attempt to achieve an economic hedge, the Fund’s derivatives are not accounted for as hedging instruments under ASC 815 because investment companies account for their derivatives at fair value and record any changes in fair value in current period earnings.

 

Option Contracts

 

The 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 Statement 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 Statement of Operations to the extent the cost of the closing transaction exceeds the premiums received or paid. When the Fund writes 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 Fund writes 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 Statement of Assets and Liabilities.

 

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

 

14

 

 

Simplify Exchange Traded Funds

Notes to Financial Statements (Continued)

June 30,2025

 

 

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 Fund’s derivative instruments held as of June 30, 2025 and the related location in the accompanying Statement of Assets and Liabilities, presented by underlying risk exposure:

 

Fund		Asset Derivatives							Liability Derivatives
Simplify Volt TSLA Revolution ETF
Commodity Contracts		Investments, at value(1)			$	2,671			Investments, at value(1)		$	—
Equity Contracts		Investments, at value(1)			$	1,444,698			Investments, at value(1)		$	—
Commodity Contracts		Written options			$	—			Written options		$	10,672
Equity Contracts		Written options			$	—			Written options		$	151,125
Equity Contracts		Unrealized appreciation on OTC swaps			$	—			Unrealized depreciation on OTC swaps		$	565,815

 

(1)

Purchased option contracts are included in Investments within the Statement of Assets and Liabilities.

 

For the year ended June 30, 2025, realized gains/(losses) and the change in unrealized appreciation/(depreciation) on purchased option contracts ^(a) by risk type, as disclosed in the Statement of Operations, is as follows:

 

Fund		Risk Type			Realized Gain/ (Loss)				Change in Unrealized Appreciation/ (Depreciation)
Simplify Volt TSLA Revolution ETF		Equity			$	3,276,152			$	(102,006	)
Simplify Volt TSLA Revolution ETF		Commodity				(58,190	)			(1,163	)

 

(a)

Purchased option contracts are included in Net Realized Gain (Loss) on Investments within the Statement of Operation.

 

For the year ended June 30, 2025, realized gains/(losses) and the change in unrealized appreciation/(depreciation) on swap contracts by risk type, as disclosed in the Statement of Operations, is as follows:

 

Fund		Risk Type			Realized Gain/ (Loss)				Change in Unrealized Appreciation/ (Depreciation)
Simplify Volt TSLA Revolution ETF		Equity			$	6,399,166			$	(565,815	)

 

15

 

 

Simplify Exchange Traded Funds

Notes to Financial Statements (Continued)

June 30,2025

 

 

For the year ended June 30, 2025, realized gains/(losses) and the change in unrealized appreciation/(depreciation) on written option contracts by risk type, as disclosed in the Statement of Operations, is as follows:

 

Fund		Risk Type			Realized Gain/ (Loss)				Change in Unrealized Appreciation/ (Depreciation)
Simplify Volt TSLA Revolution ETF		Equity			$	(761,404	)		$	257,679
Simplify Volt TSLA Revolution ETF		Commodity				127,449				3,951

 

For the year ended June 30, 2025, the average fiscal quarter end balances of outstanding derivative financial instruments were as follows:

 

Fund		Purchased Option Contracts (Contract Value)				Written Option Contracts (Contract Value)				Swaps (Notional Value)
Simplify Volt TSLA Revolution ETF		$	511,516			$	(143,790	)		$	(4,596,863	)

 

The Fund 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, a 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.

 

The following table presents Fund’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 June 30, 2025:

 

Fund

Gross Amounts of Assets Presented in the Statement of Assets and Liabilities

Financial Instruments and Derivatives Available for Offset

Collateral Received(1)

Non-Cash Collateral Received(1)

Net Amount of Derivatives Assets

Simplify Volt TSLA Revolution ETF

$

—

$

—

$

—

$

—

$

—

 

Fund		Gross Amounts of Liabilities Presented in the Statements of Assets and Liabilities				Financial Instruments and Derivatives Available for Offset				Cash Collateral Pledged(1)				Non-Cash Collateral Pledged(1)				Net Amount of Derivatives Liabilities
Simplify Volt TSLA Revolution ETF
Bank of America NA		$	565,815			$	—			$	—			$	(565,815	)		$	—
		$	565,815			$	—			$	—			$	(565,815	)		$	—

 

4. Investment Advisory Agreement and Other Agreements

 

The Adviser has overall responsibility for the general management and administration of the Fund, subject to the oversight of the Board. Under an investment advisory agreement between the Trust, on behalf of the Fund, 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 Fund to operate.

 

Volt Equity LLC (the “Sub-Adviser”) serves as investment sub-adviser to the Fund. The Sub-Adviser is responsible for day-to-day management of the Fund, subject to supervision of the Adviser. The Sub-Adviser is paid by the Adviser, not the Fund.

 

16

 

 

Simplify Exchange Traded Funds

Notes to Financial Statements (Continued)

June 30,2025

 

 

For its investment advisory services to the Fund, the Adviser is entitled to receive a management fee computed and accrued daily and payable monthly, at an annual rate equal to 0.95% of the Fund’s average daily net assets.

 

Under the Investment Advisory Agreement, the Adviser has agreed to pay substantially all the operating expenses of the Fund, excluding interest expenses, taxes, brokerage expenses, Rule 12b-1 fees (if any), acquired fund fees and expenses, expenses incidental to a meeting of the Fund’s shareholders and the Management Fee. In addition to the excluded operating expenses, the Fund also pays non-operating expenses such as litigation and indemnification expenses and other expenses determined to be extraordinary by the Trust.

 

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, the 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 Fund 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 the 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 the Fund.

 

Foreside Financial Services, LLC (the “Distributor”) serves as the distributor of Creation Units for the Fund on an agency basis. The Distributor does not maintain a secondary market in Shares of the Fund. Adviser Compliance Associates, LLC d/b/a ACA Group, a related party to the Distributor also provides a Chief Compliance Officer to the Trust.

 

A Trustee and certain Officers of the Trust are also employees of the Adviser and/or an affiliate of the Distributor.

 

5. 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 Volt TSLA Revolution ETF		$	79,332,981			$	87,812,618

 

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

 

Fund		Purchases				Sales
Simplify Volt TSLA Revolution ETF		$	18,826,265			$	7,573,876

 

6. Fund Share Transactions

 

The Fund issues and redeems 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”). The Fund’s Shares may only be purchased and sold on the Exchange through a broker-dealer. Because the Fund’s Shares trade at market prices rather than at its 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 “Fund’s custodian” 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 Fund may charge an additional variable fee of up to a maximum of 3% of the amount invested for creations and redemptions in cash, to offset brokerage and impact expenses associated with a cash transaction.

 

7. Federal Income Taxes

 

For the year ended June 30, 2025, the effect of permanent “book/tax” reclassifications to the components of net assets are included below. These differences, if any, are primarily due to redemptions-in-kind, non-deductible excise tax paid, prior year true ups, distributions in excess, return of capital distributions, and if applicable, controlled foreign corporations income reversal.

 

Fund		Distributable earnings (loss)				Paid-in Capital
Simplify Volt TSLA Revolution ETF		$	1,206,128			$	(1,206,128	)

 

17

 

 

Simplify Exchange Traded Funds

Notes to Financial Statements (Continued)

June 30,2025

 

 

The tax character of dividends and distributions declared for the year ended June 30, 2025 were as follows:

 

Fund		Ordinary Income*				Long-Term Capital Gains				Return of Capital
Simplify Volt TSLA Revolution ETF		$	485,916			$	—			$	—

 

*

For tax purposes short-term capital gain distributions are considered ordinary income distributions.

 

The tax character of dividends and distributions declared for the year ended June 30, 2024 were as follows:

 

Fund

Ordinary Income*

Long-Term Capital Gains

Return of Capital

Simplify Volt TSLA Revolution ETF

$

—

$

—

$

—

 

*

For tax purposes short-term capital gain distributions are considered ordinary income distributions.

 

As of June 30, 2025, the components of accumulated earnings (losses) on a tax basis were as follows:

 

Fund		Undistributed Ordinary Income				Undistributed Long-term Capital Gains				Temporary Book/Tax Differences				Net Unrealized Appreciation (Depreciation)				Accumulated Capital and Other Losses				Post-October / Late-year Ordinary Loss Deferrals				Distributable earnings (loss)
Simplify Volt TSLA Revolution ETF		$	6,910,359			$	1,464,331			$	—			$	(4,317,101	)		$	—			$	—			$	4,057,589

 

At June 30, 2025, gross unrealized appreciation and depreciation of investments, including derivatives, owned by the Fund, based on cost for federal income tax purposes were as follows:

 

Fund		Tax Cost				Gross Unrealized Appreciation				Gross Unrealized Depreciation				Net Unrealized Appreciation (Depreciation)
Simplify Volt TSLA Revolution ETF		$	36,703,802			$	1,955,730			$	(6,272,831	)		$	(4,317,101	)

 

The differences between book-basis and tax-basis components of net assets, if applicable, 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.

 

If available, the Fund utilized the following amount of capital loss carryforwards to offset taxable gains realized during the year ended June 30, 2025:

 

Fund		Amount
Simplify Volt TSLA Revolution ETF		$	5,026,857

 

At June 30, 2025, for federal income tax purposes, the Fund 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.

 

18

 

 

Simplify Exchange Traded Funds

Notes to Financial Statements (Continued)

June 30,2025

 

 

Fund

Short-Term

Long-Term

Total Amount

Simplify Volt TSLA Revolution ETF

$

—

$

—

$

—

 

Certain capital and qualified late year ordinary losses incurred within the current taxable year after October 31 and December 31, respectively can be deferred. If elected these deferred losses are deemed to arise on the first business day of the Fund’s next taxable year. As of tax year-end June 30, 2025, the Fund will elect to defer post-October capital losses and late year ordinary losses as follows:

 

Fund		Capital Post- October Losses				Late-year ordinary Losses
Simplify Volt TSLA Revolution ETF		$	—			$	—

 

8. Segment Reporting

 

The Fund operates in one segment. The Chief Operating Decision Maker (“CODM”) is the President and Chief Executive Officer of the Fund. The CODM reviews the operating results of the Fund on a consolidated basis as part of making decisions for allocating resources and evaluating performance.

 

9. 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 statements.

 

19

 

 

Simplify Exchange Traded Funds

Report of Independent Registered Public Accounting Firm

 

 

To the Shareholders of and Board of Trustees of
Simplify Exchange Traded Funds

 

Opinion on the Financial Statements

 

We have audited the accompanying statement of assets and liabilities, including the schedule of investments, of Simplify Volt TSLA Revolution ETF (formerly Simplify Volt RoboCar Disruption and Tech ETF) (the “Fund”), a series of Simplify Exchange Traded Funds, as of June 30, 2025, the related statement of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, the financial highlights for the years ended June 30, 2025, 2024, 2023, and 2022 and for the period from December 29, 2020 (commencement of operations) through June 30, 2021, and the related notes (collectively referred to as the “Financial Statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Fund as of June 30, 2025, the results of its operations for the year then ended, the changes in net assets for each of the two years in the period then ended, and the financial highlights each of the five periods in the period then ended, in conformity with accounting principles generally accepted in the United States of America.

 

Basis for Opinion

 

These financial statements are the responsibility of the Fund’s management. Our responsibility is to express an opinion on the Fund’s financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.

 

We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement whether due to error or fraud.

 

Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of June 30, 2025, by correspondence with the custodian and brokers. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that our audits provide a reasonable basis for our opinion.

 

We have served as the auditor of one or more funds advised by Simplify Asset Management, Inc. since 2020.

 

 

COHEN & COMPANY, LTD.

Cleveland, Ohio

August 29, 2025

 

20

 

 

Simplify Exchange Traded Funds

Additional Information (Unaudited)

 

 

Proxy Voting Policies and Procedures

 

Information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available without charge, upon request, by calling 1-855-772-8488; and on the SEC’s website at www.sec.gov.

 

Discount & Premium Information

 

Information regarding how often Shares of the Fund traded on NYSE Arca, at a price above (i.e., at a premium) or below (i.e., at a discount) the NAV of the Fund can be found at www.simplify.us.

 

Tax Information

 

Form 1099-DIV and other year-end tax information provide shareholders with actual calendar year amounts that should be included in their tax returns. Shareholders should consult their tax advisors.

 

The Fund designates the following amounts or, if subsequently determined to be different, the maximum allowable for its year ended June 30, 2025.

 

Fund		Qualified Dividend Income*				Dividends Received Deduction
Simplify Volt TSLA Revolution ETF			00.00	%			00.00	%

 

*

The above percentage is based on ordinary income dividends paid to shareholders during the Fund’s fiscal year.

 

21

 

 

 

 

 

 

June 30, 2025

 

Annual Financial Statements and

Other Important Information

 

Simplify Exchange Traded Funds

 

Simplify Commodities Strategy No K-1 ETF (HARD)

Simplify Managed Futures Strategy ETF (CTA)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

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Simplify Exchange Traded Funds

Table of Contents

 

 

Consolidated Schedule of Investments:
Simplify Commodities Strategy No K-1 ETF		4
Simplify Managed Futures Strategy ETF		7
Consolidated Statements of Assets and Liabilities		10
Consolidated Statements of Operations		11
Consolidated Statements of Changes in Net Assets		12
Consolidated Statement of Cash Flows		13
Consolidated Financial Highlights		14
Notes to Financial Statements		15
Report of Independent Registered Public Accounting Firm		23
Additional Information		24

 

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

 

 

 

 

Simplify Commodities Strategy No K-1 ETF

Consolidated Schedule of Investments

June 30, 2025

 

 

		Principal				Value
U.S. Treasury Bills – 121.1%
U.S. Treasury Bill, 4.29%, 7/8/2025 (a)		$	500,000			$	499,597
U.S. Treasury Bill, 4.30%, 7/29/2025 (a)(b)			16,300,000				16,247,368
U.S. Treasury Bill, 4.35%, 8/5/2025 (a)(b)			2,300,000				2,290,487
U.S. Treasury Bill, 4.35%, 8/7/2025 (a)(c)			8,000,000				7,965,121
U.S. Treasury Bill, 4.29%, 8/26/2025 (a)(b)			7,400,000				7,350,301
U.S. Treasury Bill, 4.32%, 9/30/2025 (a)(b)			3,900,000				3,858,620
Total U.S. Treasury Bills (Cost $38,210,858)							38,211,494
Total Investments – 121.1%
(Cost $38,210,858)						$	38,211,494
Liabilities in Excess of Other Assets – (21.1)%							(6,656,503	)
Net Assets – 100.0%						$	31,554,991

 

	(a)	Represents a zero coupon bond. Rate shown reflects the effective yield.
	(b)	Securities with an aggregate market value of $8,943,036 have been pledged as collateral for futures contracts as of June 30, 2025.
	(c)	Security, or a portion thereof, in the amount of $7,965,040 has been pledged as collateral for reverse repurchase agreements as of June 30, 2025. See note 5 for additional information

 

At June 30, 2025, open futures contracts were as follows:

 

		Number of Contracts			Notional Value				Expiration Date			Value/ Unrealized Appreciation (Depreciation)
Long position contracts:
WTI Crude Future		1			$	65,110			7/22/25			$	2,632
NY Harbor ULSD Future		4				382,418			7/31/25				(36,638	)
Gasoline RBOB Future		7				609,197			7/31/25				(37,208	)
Lean Hogs Future		135				5,805,000			8/14/25				(2,890	)
Soybean Future		5				257,438			8/14/25				(11,400	)
Soybean Oil Future		19				600,210			8/14/25				(25,727	)
WTI Crude Future		11				702,350			8/20/25				(21,626	)
Gold 100 OZ Future		6				1,984,620			8/27/25				(31,075	)
Cattle Feeder Future		19				2,951,412			8/28/25				23,863
NY Harbor ULSD Future		2				189,151			8/29/25				(2,566	)
Live Cattle Future		15				1,283,250			8/29/25				(30,142	)
Soybean Future		4				203,650			9/12/25				(5,288	)
Kansas City Hard Red Winter Wheat Future		6				158,025			9/12/25				(9,216	)
Corn Future		11				225,087			9/12/25				(10,425	)
Soybean Oil Future		14				441,504			9/12/25				(21,453	)
Wheat Future (CBT)		36				968,850			9/12/25				(53,925	)
Cocoa Future		23				2,070,000			9/15/25				(90,260	)
WTI Crude Future		5				313,800			9/22/25				(10,645	)
Cattle Feeder Future		19				2,950,938			9/25/25				51,725
Palladium Future		23				2,546,330			9/26/25				213,744
Copper Future		28				3,557,750			9/26/25				42,850
Silver Future		17				3,074,620			9/26/25				1,795
Lean Hogs Future		71				2,624,160			10/14/25				13,361
WTI Crude Future		5				310,300			10/21/25				(17,703	)
Platinum Future		16				1,074,400			10/29/25				39,564

 

See Notes to Financial Statements.

 

4

 

 

Simplify Commodities Strategy No K-1 ETF

Consolidated Schedule of Investments (Continued)

June 30, 2025

 

 

		Number of Contracts			Notional Value				Expiration Date			Value/ Unrealized Appreciation (Depreciation)
Long position contracts: (continued)
Cattle Feeder Future		13			$	2,005,413			10/30/25			$	23,063
Live Cattle Future		38				3,194,660			10/31/25				(21,065	)
Canola (WCE) Future		159				1,657,313			11/14/25				(35,587	)
Soybean Future		43				2,208,050			11/14/25				(51,643	)
WTI Crude Future		15				924,750			11/20/25				(10,410	)
Lean Hogs Future		1				33,510			12/12/25				—
Kansas City Hard Red Winter Wheat Future		3				82,500			12/12/25				(5,737	)
Wheat Future (CBT)		16				448,000			12/12/25				(23,338	)
Corn Future		65				1,382,875			12/12/25				(47,165	)
Cocoa Future		13				1,078,870			12/15/25				(50,250	)
WTI Crude Future		2				122,880			12/19/25				(6,410	)
Copper Future		3				386,100			12/29/25				(2,075	)
Gold 100 OZ Future		2				672,580			12/29/25				(11,960	)
Live Cattle Future		23				1,937,980			12/31/25				(40,890	)
Soybean Future		1				52,113			1/14/26				(462	)
Canola (WCE) Future		23				242,642			1/14/26				(6,869	)
WTI Crude Future		2				122,700			1/20/26				(6,140	)
WTI Crude Future		4				245,240			2/20/26				(9,160	)
Canola (WCE) Future		2				21,311			3/13/26				(206	)
Kansas City Hard Red Winter Wheat Future		1				28,575			3/13/26				(1,125	)
Wheat Future (CBT)		3				86,888			3/13/26				(3,288	)
Corn Future		15				330,750			3/13/26				(11,950	)
Cocoa Future		4				314,400			3/16/26				(3,130	)
Cotton No. 2 Future		1				35,250			5/6/26				55
Corn Future		2				45,100			5/14/26				(187	)
Total unrealized appreciation/(depreciation)												$	(354,582	)
Short position contracts:
Soybean Meal Future		(4)				(110,320	)		8/14/25				(160	)
Natural Gas Future		(5)				(174,500	)		8/27/25				6,950
Soybean Meal Future		(6)				(167,940	)		9/12/25				(130	)
Coffee “C” Future		(5)				(562,688	)		9/18/25				7,828
Natural Gas Future		(6)				(215,580	)		9/26/25				6,420
Sugar #11 (World) Future		(36)				(653,184	)		9/30/25				14,098
Soybean Meal Future		(2)				(56,620	)		10/14/25				(100	)
Natural Gas Future		(3)				(119,550	)		10/29/25				4,040
Natural Gas Future		(3)				(136,800	)		11/25/25				3,510
Cotton No. 2 Future		(1)				(34,065	)		12/8/25				(105	)
Coffee “C” Future		(1)				(110,475	)		12/18/25				1,856
Natural Gas Future		(3)				(145,560	)		12/29/25				3,510
Natural Gas Future		(1)				(40,930	)		2/25/26				1,770
Sugar #11 (World) Future		(13)				(246,646	)		2/27/26				1,249
Sugar #11 (World) Future		(6)				(111,821	)		4/30/26				571
Total unrealized appreciation/(depreciation)												$	51,307
Total net unrealized depreciation												$	(303,275	)

 

See Notes to Financial Statements.

 

5

 

 

Simplify Commodities Strategy No K-1 ETF

Consolidated Schedule of Investments (Continued)

June 30, 2025

 

 

Summary of Investment Type††

 

Investment Categories		% of Net Assets
U.S. Treasury Bills			121.1	%
Total Investments			121.1	%
Liabilities in Excess of Other Assets			(21.1	)%
Net Assets			100.0	%

 

††

The percentage shown for each investment category is the total value of investments in that category as a percentage of the net assets of the Fund. The table depicts the Fund’s investments but may not represent the Fund’s market exposure to certain derivatives, if any, which are included in Liabilities in Excess of Other Assets.

 

At June 30, 2025, open reverse repurchase agreements were as follows:

 

Counterparty		Interest Rate			Trade Date			Maturity Date		Face Amount				Payable for Reverse Repurchase Agreements
Morgan Stanley Capital Services LLC		4.55%			6/30/2025			7/1/2025		$	7,804,498			$	7,804,498
										$	7,804,498			$	7,804,498

 

See Notes to Financial Statements.

 

6

 

 

Simplify Managed Futures Strategy ETF

Consolidated Schedule of Investments

June 30, 2025

 

 

		Principal				Value
U.S. Treasury Bills – 99.6%
U.S. Treasury Bill, 4.29%, 7/8/2025 (a)(b)		$	222,100,000			$	221,920,792
U.S. Treasury Bill, 4.31%, 7/29/2025 (a)(b)			365,000,000				363,821,437
U.S. Treasury Bill, 4.35%, 8/5/2025 (a)(b)			172,800,000				172,085,285
U.S. Treasury Bill, 4.31%, 8/26/2025 (a)(b)			144,400,000				143,430,194
U.S. Treasury Bill, 4.33%, 9/30/2025 (a)(b)			151,600,000				149,991,471
Total U.S. Treasury Bills (Cost $1,051,233,363)							1,051,249,179

 

Total Investments – 99.6%
(Cost $1,051,233,363)		$	1,051,249,179
Other Assets in Excess of Liabilities – 0.4%			3,873,395
Net Assets – 100.0%		$	1,055,122,574

 

	(a)	Represents a zero coupon bond. Rate shown reflects the effective yield.
	(b)	Securities with an aggregate market value of $380,819,850 have been pledged as collateral for futures contracts as of June 30, 2025.

 

At June 30, 2025, open futures contracts were as follows:

 

		Number of Contracts			Notional Value				Expiration Date			Value/ Unrealized Appreciation (Depreciation)
Long position contracts:
NY Harbor ULSD Future		62			$	5,927,485			7/31/25			$	(200,380	)
Gasoline RBOB Future		213				18,537,007			7/31/25				(1,138,335	)
Soybean Future		1				51,488			8/14/25				(2,081	)
Soybean Oil Future		382				12,067,380			8/14/25				(487,647	)
Lean Hogs Future		2,987				128,441,000			8/14/25				(839,100	)
WTI Crude Future		273				17,431,050			8/20/25				(913,214	)
Gold 100 OZ Future		55				18,192,350			8/27/25				(798,384	)
Cattle Feeder Future		366				56,853,525			8/28/25				(27,223	)
NY Harbor ULSD Future		2				189,151			8/29/25				(6,434	)
Gasoline RBOB Future		31				2,658,944			8/29/25				(157,263	)
Live Cattle Future		484				41,406,200			8/29/25				(946,462	)
Soybean Future		9				458,213			9/12/25				(15,975	)
Kansas City Hard Red Winter Wheat Future		71				1,869,963			9/12/25				(92,392	)
Corn Future		94				1,923,475			9/12/25				(105,669	)
Soybean Oil Future		265				8,357,040			9/12/25				(377,606	)
Wheat Future (CBT)		538				14,478,925			9/12/25				(557,850	)
Cocoa Future		499				44,910,000			9/15/25				(1,685,282	)
CAN 10Year Bond Future		657				58,861,024			9/18/25				633,193
CAN 5Year Bond Future		565				47,345,071			9/18/25				250,002
CAN 2Year Bond Future		94				7,293,931			9/18/25				11,375
WTI Crude Future		102				6,401,520			9/22/25				(260,010	)
Cattle Feeder Future		376				58,397,500			9/25/25				781,195
Palladium Future		368				40,741,280			9/26/25				3,212,136
Copper Future		515				65,437,188			9/26/25				542,240
Silver Future		363				65,652,180			9/26/25				(197,120	)

 

See Notes to Financial Statements.

 

7

 

 

Simplify Managed Futures Strategy ETF

Consolidated Schedule of Investments (Continued)

June 30, 2025

 

 

		Number of Contracts			Notional Value				Expiration Date			Value/ Unrealized Appreciation (Depreciation)
Long position contracts: (continued)
NY Harbor ULSD Future		1			$	94,038			9/30/25			$	(3,468	)
Lean Hogs Future		1,396				51,596,160			10/14/25				36,460
Soybean Oil Future		18				567,432			10/14/25				(10,230	)
WTI Crude Future		88				5,461,280			10/21/25				(368,529	)
Platinum Future		488				32,769,200			10/29/25				1,207,547
Cattle Feeder Future		252				38,874,150			10/30/25				305,254
Live Cattle Future		847				71,207,290			10/31/25				(645,889	)
Canola (WCE) Future		549				5,722,420			11/14/25				(87,379	)
Soybean Future		300				15,405,000			11/14/25				(463,873	)
WTI Crude Future		296				18,248,400			11/20/25				(1,181,357	)
Kansas City Hard Red Winter Wheat Future		32				880,000			12/12/25				(43,787	)
Corn Future		297				6,318,675			12/12/25				(207,256	)
Wheat Future (CBT)		210				5,880,000			12/12/25				(238,563	)
Cocoa Future		299				24,814,010			12/15/25				(849,091	)
3-Month CORRA Futures		1,558				278,806,774			12/16/25				(402,468	)
WTI Crude Future		73				4,485,120			12/19/25				(286,529	)
Copper Future		87				11,196,900			12/29/25				122,663
Silver Future		38				6,956,660			12/29/25				46,285
Gold 100 OZ Future		46				15,469,340			12/29/25				(332,306	)
Live Cattle Future		526				44,320,760			12/31/25				(905,729	)
Soybean Future		8				416,900			1/14/26				(3,890	)
Canola (WCE) Future		68				717,377			1/14/26				(23,892	)
WTI Crude Future		46				2,822,100			1/20/26				(128,835	)
WTI Crude Future		50				3,065,500			2/20/26				(143,206	)
Gold 100 OZ Future		4				1,355,800			2/25/26				(34,190	)
Canola (WCE) Future		3				31,966			3/13/26				(256	)
Kansas City Hard Red Winter Wheat Future		9				257,175			3/13/26				(11,605	)
Corn Future		28				617,400			3/13/26				(12,265	)
Wheat Future (CBT)		49				1,419,163			3/13/26				(57,450	)
Cocoa Future		71				5,580,600			3/16/26				(52,687	)
3-Month CORRA Futures		1,186				212,552,451			3/17/26				(182,877	)
Copper Future		16				2,080,600			3/27/26				(900	)
Corn Future		6				135,300			5/14/26				(1,050	)
3-Month CORRA Futures		542				97,160,988			6/16/26				(85,567	)
Total unrealized appreciation/(depreciation)												$	(8,425,201	)
Short position contracts:
Natural Gas Future		(13)				(449,280	)		7/29/25				80,504
Soybean Meal Future		(26)				(717,080	)		8/14/25				(1,130	)
Natural Gas Future		(210)				(7,329,000	)		8/27/25				410,122
Soybean Meal Future		(68)				(1,903,320	)		9/12/25				259
Coffee “C” Future		(211)				(23,745,413	)		9/18/25				988,166
U.S. Treasury Bond Futures		(493)				(56,926,094	)		9/19/25				(1,963,784	)
U.S.10Years Ultra Bond (CBT)		(1,114)				(127,291,906	)		9/19/25				(2,784,861	)
U.S. Ultra Bond (CBT)		(726)				(86,484,750	)		9/19/25				(3,515,655	)
10-Year U.S. Treasury Note Futures		(2,724)				(305,428,500	)		9/19/25				(3,854,131	)
Natural Gas Future		(384)				(13,797,120	)		9/26/25				735,213

 

See Notes to Financial Statements.

 

8

 

 

Simplify Managed Futures Strategy ETF

Consolidated Schedule of Investments (Continued)

June 30, 2025

 

 

		Number of Contracts			Notional Value				Expiration Date			Value/ Unrealized Appreciation (Depreciation)
Short position contracts: (continued)
Sugar #11 (World) Future		(1,752)			$	(31,788,288	)		9/30/25			$	1,051,279
U.S. 5 Year Note (CBT)		(993)				(108,237,000	)		9/30/25				(24,781	)
U.S. 2 Years Note (CBT)		(4,885)				(1,016,194,495	)		9/30/25				(3,056,298	)
Soybean Meal Future		(11)				(311,410	)		10/14/25				(490	)
Natural Gas Future		(173)				(6,894,050	)		10/29/25				282,220
Natural Gas Future		(166)				(7,569,600	)		11/25/25				80,932
Cotton No. 2 Future		(887)				(30,215,655	)		12/8/25				(347,909	)
Coffee “C” Future		(77)				(8,506,575	)		12/18/25				309,906
Natural Gas Future		(249)				(12,081,480	)		12/29/25				(19,077	)
Natural Gas Future		(100)				(4,562,000	)		1/28/26				5,052
Natural Gas Future		(150)				(6,139,500	)		2/25/26				171,840
Sugar #11 (World) Future		(696)				(13,205,069	)		2/27/26				243,089
Cotton No. 2 Future		(131)				(4,549,630	)		3/9/26				(70,880	)
3 Month SOFR Future		(494)				(118,967,550	)		3/17/26				(217,137	)
Coffee “C” Future		(34)				(3,684,750	)		3/19/26				170,344
Sugar #11 (World) Future		(197)				(3,671,450	)		4/30/26				42,457
Cotton No. 2 Future		(16)				(564,000	)		5/6/26				(11,008	)
3 Month SOFR Future		(1,569)				(378,913,500	)		6/16/26				(802,050	)
3 Month SOFR Future		(2,409)				(583,098,450	)		9/15/26				(1,434,613	)
3 Month SOFR Future		(724)				(175,452,350	)		12/15/26				(8,788	)
Total unrealized appreciation/(depreciation)												$	(13,541,209	)
Total net unrealized depreciation												$	(21,966,410	)

 

Summary of Investment Type††

 

Investment Categories		% of Net Assets
U.S. Treasury Bills			99.6	%
Total Investments			99.6	%
Other Assets in Excess of Liabilities			0.4	%
Net Assets			100.0	%

 

††

The percentage shown for each investment category is the total value of investments in that category as a percentage of the net assets of the Fund. The table depicts the Fund’s investments but may not represent the Fund’s market exposure to certain derivatives, if any, which are included in Other Assets in Excess of Liabilities.

 

See Notes to Financial Statements.

 

9

 

 

Simplify Exchange Traded Funds

Consolidated Statements of Assets and Liabilities

June 30, 2025

 

 

		Simplify Commodities Strategy No K-1 ETF				Simplify Managed Futures Strategy ETF
Assets
Investments, at value		$	38,211,494			$	1,051,249,179
Cash			406,379				997,984
Receivables:
Capital shares			701,226				—
Due from broker			60,412				3,539,000
Total assets			39,379,511				1,055,786,163
Liabilities
Payables:
Reverse repurchase agreement			7,804,498				—
Investment advisory fees			20,022				663,589
Total liabilities			7,824,520				663,589
Net Assets		$	31,554,991			$	1,055,122,574
Net Assets Consist of
Paid-in capital		$	31,882,141			$	1,105,997,244
Distributable earnings (loss)			(327,150	)			(50,874,670	)
Net Assets		$	31,554,991			$	1,055,122,574
Number of Common Shares outstanding			1,125,001				39,525,001
Net Asset Value, offering and redemption price per share		$	28.05			$	26.70
Investments, at cost		$	38,210,858			$	1,051,233,363
Foreign currency, at cost		$	788			$	—

 

See Notes to Financial Statements.

 

10

 

 

Simplify Exchange Traded Funds

Consolidated Statements of Operations

For the Year Ended June 30, 2025

 

 

		Simplify Commodities Strategy No K-1 ETF				Simplify Managed Futures Strategy ETF
Investment Income
Interest income		$	837,210			$	25,802,336
Total income			837,210				25,802,336
Expenses
Investment advisory fees			144,331				4,364,164
Interest on reverse repurchase agreement			5,154				—
Interest expense			163				1,659
Tax expenses			30				403
Total expenses			149,678				4,366,226
Net investment income (loss)			687,532				21,436,110
Realized and Unrealized Gain (Loss)
Net realized gain (loss) from:
Investments			1,605				(67,883	)
Futures			(1,020,000	)			(23,763,140	)
Foreign currency transactions			2,194				(292,757	)
Net realized gain (loss)			(1,016,201	)			(24,123,780	)
Net change in unrealized appreciation (depreciation) on:
Investments			(80	)			1,949
Foreign currency translations			(788	)			2,944
Futures			(190,600	)			(24,703,081	)
Net unrealized gain (loss)			(191,468	)			(24,698,188	)
Net realized and unrealized gain (loss)			(1,207,669	)			(48,821,968	)
Net Increase (Decrease) in Net Assets Resulting from Operations		$	(520,137	)		$	(27,385,858	)

 

See Notes to Financial Statements.

 

11

 

 

Simplify Exchange Traded Funds

Consolidated Statements of Changes in Net Assets

 

 

		Simplify Commodities Strategy No K-1 ETF								Simplify Managed Futures Strategy ETF
		Year Ended June 30, 2025				Year Ended June 30, 2024				Year Ended June 30, 2025				Year Ended June 30, 2024
Increase (Decrease) in Net Assets from Operations
Net investment income (loss)		$	687,532			$	358,050			$	21,436,110			$	6,251,581
Net realized gain (loss)			(1,016,201	)			(336,718	)			(24,123,780	)			17,102,582
Net change in net unrealized appreciation (depreciation)			(191,468	)			(119,092	)			(24,698,188	)			(3,522,650	)
Net increase (decrease) in net assets resulting from operations			(520,137	)			(97,760	)			(27,385,858	)			19,831,513
Distributions			(574,561	)			(250,815	)			(28,257,099	)			(12,670,742	)
Fund Shares Transactions
Proceeds from shares sold			68,736,599				8,042,779				1,002,745,461				131,896,571
Value of shares redeemed			(46,360,032	)			(3,592,542	)			(96,849,532	)			(61,930,645	)
Net increase (decrease) in net assets resulting from fund share transactions			22,376,567				4,450,237				905,895,929				69,965,926
Total net increase (decrease) in Net Assets			21,281,869				4,101,662				850,252,972				77,126,697
Net Assets
Beginning of year			10,273,122				6,171,460				204,869,602				127,742,905
End of year		$	31,554,991			$	10,273,122			$	1,055,122,574			$	204,869,602
Changes in Shares Outstanding
Shares outstanding, beginning of year			425,001				250,001				7,600,001				5,000,001
Shares sold			2,350,000				325,000				35,425,000				5,025,000
Shares redeemed			(1,650,000	)			(150,000	)			(3,500,000	)			(2,425,000	)
Shares outstanding, end of year			1,125,001				425,001				39,525,001				7,600,001

 

See Notes to Financial Statements.

 

12

 

 

Simplify Exchange Traded Funds

Consolidated Statement of Cash Flows

For the Year Ended June 30, 2025

 

 

		Simplify Commodities Strategy No K-1 ETF
Cash Flows Provided by (Used for) Operating Activities:
Net increase (decrease) in net assets resulting from operations		$	(520,137	)
Adjustments to reconcile net increase (decrease) in net assets resulting from operations to net cash provided by / (used for) operating activities:
Net purchases and sales in short term investments			(27,222,050	)
Net change in unrealized (appreciation) / depreciation on investments			80
Net realized (gain) / loss from sales of investments			(1,605	)
Net amortization of premium / (discount)			(837,210	)
(Increase) Decrease in due from broker			62,969
(Increase) Decrease in prepaid expenses			30
Increase (Decrease) in investment advisory fees payable			13,564
Net Cash Provided by / (Used for) Operating Activities			(28,504,359	)
Cash Flows Provided by (Used for) from Financing Activities:
Shares Sold			68,035,373
Shares redeemed			(46,360,032	)
Proceeds from reverse repurchase agreement			63,166,956
Payments made on reverse repurchase agreement			(55,362,458	)
Distributions paid			(574,561	)
Cash provided by (used for) financing activities			28,905,278
Net increase (decrease) in cash			400,919
Cash and Restricted Cash:
Cash and Restricted Cash, at beginning of period			5,460
Cash and Restricted Cash, at end of period		$	406,379
Supplemental Disclosure of Cash Flow Information:
Non-cash financing activities:
Cash and Restricted Cash, at beginning of period		$	5,154

 

See Notes to Financial Statements.

 

13

 

 

Simplify Exchange Traded Funds

Consolidated Financial Highlights

 

 

Simplify Commodities Strategy No K-1 ETF		Years Ended June 30								Period Ended June 30,
Selected Per Share Data		2025				2024				2023(a)
Net Asset Value, beginning of period		$	24.17			$	24.69			$	25.00
Income (loss) from investment operations:
Net investment income (loss)(b)			1.00				0.99				0.20
Net realized and unrealized gain (loss)			3.90	(c)			(0.85	)			(0.41	)
Total from investment operations			4.90				0.14				(0.21	)
Less distributions from:
Net investment income			(0.93	)			(0.66	)			(0.10	)
Net realized gains			(0.09	)			—				—
Total distributions			(1.02	)			(0.66	)			(0.10	)
Net Asset Value, end of period		$	28.05			$	24.17			$	24.69
Total Return (%)			20.52				0.63				(0.86	)(d)
Ratios to Average Net Assets and Supplemental Data
Net Assets, end of period ($ millions)		$	32			$	10			$	6
Ratio of expenses (%)			0.78	(e)(f)			0.75	(f)			0.75	(f)(g)
Ratio of net investment income (loss) (%)			3.57				4.09				3.06	(g)
Portfolio turnover rate (%)(h)			0				0				0	(d)

 

Simplify Managed Futures Strategy ETF		Years Ended June 30												Period Ended June 30,
Selected Per Share Data		2025				2024				2023				2022(i)
Net Asset Value, beginning of period		$	26.96			$	25.55			$	27.27			$	25.00
Income (loss) from investment operations:
Net investment income (loss)(b)			1.02				1.05				0.67				(0.02	)
Net realized and unrealized gain (loss)			0.13	(c)			2.40				(0.58	)			2.29
Total from investment operations			1.15				3.45				0.09				2.27
Less distributions from:
Net investment income			(1.29	)			(0.78	)			(1.14	)			—
Net realized gains			(0.12	)			(1.26	)			(0.67	)			—
Total distributions			(1.41	)			(2.04	)			(1.81	)			—
Net Asset Value, end of period		$	26.70			$	26.96			$	25.55			$	27.27
Total Return (%)			4.23				14.52				0.13				9.07	(d)
Ratios to Average Net Assets and Supplemental Data
Net Assets, end of period ($ millions)		$	1,055			$	205			$	128			$	29
Ratio of expenses (%)			0.75	(f)			0.76	(f)(j)			0.78	(e)(f)			0.75	(f)(g)
Ratio of net investment income (loss) (%)			3.68				4.06				2.49				(0.27	)(g)
Portfolio turnover rate (%)(h)			0				0				0				0	(d)

 

	(a)	For the period March 28, 2023 (commencement of operations) through June 30, 2023.
	(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 on the Consolidated Statement of Changes.
	(d)	Not annualized.
	(e)	The ratios of expenses to average net assets includes interest expense fees of 0.03%.
	(f)	The Fund invests in other ETFs and indirectly bears its proportionate shares of fees and expenses incurred by the Underlying Funds in which the Fund is invested. This ratio does not included these indirect fees and expenses.
	(g)	Annualized.
	(h)	Excludes the impact of in-kind transactions related to the processing of capital share transactions in Creation Units.
	(i)	For the period March 8, 2022 (commencement of operations) through June 30, 2022.
	(j)	The ratios of expenses to average net assets includes interest expense fees of 0.01%.

 

See Notes to Financial Statements.

 

14

 

 

Simplify Exchange Traded Funds

Notes to Financial Statements

June 30, 2025

 

 

1. Organization

 

Simplify Exchange Traded Funds (the “Trust”) is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end registered management investment company organized as a Delaware statutory trust.

 

As of June 30, 2025, the Trust consists of thirty four investment series of exchange-traded funds (“ETFs”) (each a “Fund” and collectively, the “Funds”) in operation and trading. These financial statements report on Simplify Commodities Strategy No K-1 ETF and Simplify Managed Futures Strategy ETF, each of which is a diversified series of the Trust.

 

Simplify Asset Management Inc. (the “Adviser”) serves as investment adviser to the Funds and has overall responsibility for the general management and administration of the Funds, subject to the oversight of the Trust’s Board of Trustees (the “Board”).

 

Each Fund offers shares (“Shares”) that are listed and traded on the NYSE Arca, Inc. (“NYSE Arca” or the “Exchange”). Unlike mutual funds, each Fund issues and redeems Shares 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 who are authorized participants may acquire those Shares from the Funds, or tender such Shares for redemption to the Funds, in Creation Units only.

 

Fund		Investment Objectives
Simplify Commodities Strategy No K-1 ETF		The Fund seeks long term capital appreciation.
Simplify Managed Futures Strategy ETF		The Fund seeks long term capital appreciation.

 

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 Commodities Strategy No K-1 ETF		Simplify Commodities Strategy No K-1 Cayman Fund
Simplify Managed Futures Strategy ETF		Simplify Managed Futures Strategy Cayman Fund

 

A summary of each Fund’s investment in its corresponding subsidiary is as follows:

 

Fund		Inception Date of Subsidiary		Subsidiary Net Assets at June 30, 2025				% of Fund’s Consolidated Total Assets at June 30, 2025
Simplify Commodities Strategy No K-1 ETF		March 28, 2023		$	9,003,547				22.9	%
Simplify Managed Futures Strategy ETF		March 8, 2022		$	260,714,670				24.7	%

 

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.

 

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 and the Adviser. 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

 

15

 

 

Simplify Exchange Traded Funds

Notes to Financial Statements (Continued)

June 30, 2025

 

 

prices can differ from market prices when they become available or when a price becomes available. The Board has designated the Adviser as its valuation designee to execute these procedures pursuant to Rule 2a-5 under the 1940 Act. Independent pricing services may assist in calculating the value of the Fund’s portfolio securities. The Board reviews the execution of this process and the resultant fair value prices at least quarterly to assure the process produces reliable results. These securities are either categorized as Level 2 or 3 of the fair value hierarchy depending on the relevant inputs used.

 

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.

 

Futures contracts are generally valued at the settlement prices established each day on the exchange on which they are traded and are categorized as Level 1.

 

Reverse repurchase agreements are valued at cost plus accrued interest. These securities are categorized as Level 2 in the fair value hierarchy.

 

Under certain circumstances, a Fund may use an independent pricing service to calculate the fair market value of foreign equity securities on a daily basis by applying valuation factors to the last sale price or the mean price as noted above. The fair market values supplied by the independent pricing service will generally reflect market trading that occurs after the close of the applicable foreign markets of comparable securities or the value of other instruments that have a strong correlation to the fair valued securities. The independent pricing service will also take into account the current relevant currency exchange rate. A security that is fair valued may be valued at a price higher or lower than actual market quotations or the value determined by other funds using their own fair valuation procedures. Because foreign securities may trade on days when Shares are not priced, the value of securities held by the Funds can change on days when Shares cannot be redeemed or purchased. In the event that a foreign security’s market quotations are not readily available or are deemed unreliable (for reasons other than because the foreign exchange on which it trades closed before the Funds’ calculation of NAV), the security will be valued at its fair market value as determined in good faith by the Adviser as the Board’s valuation designee in accordance with procedures approved by the Board. Without fair valuation, it is possible that short-term traders could take advantage of the arbitrage opportunity and dilute the NAV of long-term investors. Fair valuation of the Funds’ portfolio securities can serve to reduce arbitrage opportunities available to short-term traders, but there is no assurance that it will prevent dilution of the Funds’ NAV by short-term traders. In addition, because the Funds may invest in underlying ETFs which hold portfolio securities primarily listed on foreign (non-U.S.) exchanges, and these exchanges may trade on weekends or other days when the underlying ETFs do not price their shares, the value of these portfolio securities may change on days when you may not be able to buy or sell Shares.

 

Investments initially valued in currencies other than the U.S. dollar are converted to U.S. dollars using exchange rates obtained from pricing services or other parties in accordance with the valuation procedures of the Adviser as the Board’s valuation designee. As a result, the NAV of the Shares may be affected by changes in the value of currencies in relation to the U.S. dollar. The value of securities traded in markets outside the United States or denominated in currencies other than the U.S. dollar may be affected significantly on a day that the Exchange is closed and an investor is not able to purchase, redeem or exchange Shares:

 

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.

 

The following is a summary of the valuations as of June 30, 2025 for each Fund based upon the three levels defined above:

 

16

 

 

Simplify Exchange Traded Funds

Notes to Financial Statements (Continued)

June 30, 2025

 

 

Simplify Commodities Strategy No K-1 ETF

 

Assets		Level 1				Level 2				Level 3				Total
U.S. Treasury Bills		$	38,211,494			$	—			$	—			$	38,211,494
Futures			464,454				—				—				464,454
TOTAL		$	38,675,948			$	—			$	—			$	38,675,948
Liabilities		Level 1				Level 2				Level 3				Total
Reverse Repurchase Agreements			—				(7,804,498	)			—				(7,804,498	)
Futures			(767,729	)			—				—				(767,729	)
TOTAL		$	(767,729	)		$	(7,804,498	)		$	—			$	(8,572,227	)
Simplify Managed Futures Strategy ETF
Assets		Level 1				Level 2				Level 3				Total
U.S. Treasury Bills			1,051,249,179				—				—				1,051,249,179
Futures			11,719,733				—				—				11,719,733
TOTAL		$	1,062,968,912			$	—			$	—			$	1,062,968,912
Liabilities		Level 1				Level 2				Level 3				Total
Futures			(33,686,143	)			—				—				(33,686,143	)
TOTAL		$	(33,686,143	)		$	—			$	—			$	(33,686,143	)

 

Cash

 

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

 

Foreign Currency Translations

 

The books and records of the Funds are maintained in U.S. dollars. Investment securities and other assets and liabilities denominated in a foreign currency are translated into U.S. dollars at the prevailing exchange rates at period end. Purchases and sales of investment securities, income and expenses are translated into U.S. dollars at the prevailing exchange rates on the respective dates of the transactions.

 

Net realized and unrealized gains and losses on foreign currency transactions represent net gains and losses between trade and settlement dates on securities transactions, the acquisition and disposition of foreign currencies, and the difference between the amount of net investment income accrued and the U.S. dollar amount actually received. The portion of both realized and unrealized gains and losses on investments that results from fluctuations in foreign currency exchange rates is not separately disclosed, but is included with net realized and unrealized gain/appreciation and loss/depreciation on investments..

 

Investment Transactions and Related Income

 

For financial reporting purposes, investment transactions are reported on the trade date. However, for daily NAV determination, portfolio securities transactions are reflected no later than in the first calculation on the first business day following trade date. Dividend income is recorded on the ex-dividend date. Interest income is recognized on an accrual basis and includes, where applicable, the amortization of premium or accretion of discount based on effective yield. Gains or losses realized on sales of securities are determined using the 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 It is Simplify Commodities Strategy No K-1 ETF’s policy to pay out dividends from net investment income quarterly. It is Simplify Managed Futures Strategy ETF’s policy 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

 

17

 

 

Simplify Exchange Traded Funds

Notes to Financial Statements (Continued)

June 30, 2025

 

 

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 each Fund’s financial statement.

 

Each Fund will recognize interest and penalties, if any, related to uncertain tax positions as income tax expense on the Statements of Operations.

 

4. Derivative Financial Instruments

 

In the normal course of business, a Fund uses derivative contracts in connection with its proprietary trading activities. Derivative contracts are subject to additional risks that can result in a loss of all or part of an investment. A Fund’s derivative activities and exposure to derivative contracts are classified by the following primary underlying risks: interest rate, credit, foreign exchange, commodity price, and equity price. In addition to its primary underlying risks, a Fund is also subject to additional counterparty risk due to inability of its counterparties to meet the terms of their contracts.

 

FASB Accounting Standards Codification, Derivatives and Hedging (“ASC 815”) requires enhanced disclosures about a Fund’s use of, and accounting for, derivative instruments and the effect of derivative instruments on a Fund’s financial position and results of operations. Tabular disclosure regarding derivative fair value and gain/loss by contract type (e.g., interest rate contracts, foreign exchange contracts, credit contracts, etc.) is required and derivatives accounted for as hedging instruments under ASC 815 must be disclosed separately from those that do not qualify for hedge accounting. Even though a Fund may use derivatives in an attempt to achieve an economic hedge, a Fund’s derivatives are not accounted for as hedging instruments under ASC 815 because investment companies account for their derivatives at fair value and record any changes in fair value in current period earnings.

 

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.

 

The primary risks associated with the use of futures contracts are (a) the imperfect correlation between the change in market value of the instruments held by a Fund and the price of the forward or futures contract; (b) possible lack of a liquid secondary market for a forward or futures contract and the resulting inability to close a forward or futures contract when desired; (c) investments in futures contracts involves leverage, which means a small percentage of assets in futures can have a disproportionately large impact on a Fund and the Fund can lose more than the principal amount invested; (d) losses caused by unanticipated market movements, which are potentially unlimited; (e) the adviser’s inability to predict correctly the direction of securities prices, interest rates, currency exchange rates and other economic 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.

 

The following table summarizes the value of the Funds’ derivative instruments held as of June 30, 2025 and the related location in the accompanying Consolidated Statement of Assets and Liabilities, presented by underlying risk exposure:

 

Fund

Asset Derivatives

Liability Derivatives

Simplify Commodities Strategy No K-1 ETF

Commodity Contracts

Unrealized appreciation on futures contracts*

$

464,454

Unrealized depreciation on futures contracts*

$

767,729

 

18

 

 

Simplify Exchange Traded Funds

Notes to Financial Statements (Continued)

June 30, 2025

 

 

Fund		Asset Derivatives						Liability Derivatives
Simplify Managed Futures Strategy ETF
Commodity Contracts		Unrealized appreciation on futures contracts*		$	10,825,163			Unrealized depreciation on futures contracts*		$	15,353,131
Interest Rate Contracts		Unrealized appreciation on futures contracts*		$	894,570			Unrealized depreciation on futures contracts*		$	18,333,010

 

*

Includes cumulative unrealized appreciation or unrealized cumulative depreciation on futures contracts as disclosed in the Consolidated Schedule of Investments.

 

For the year ended June 30, 2025, realized gains/(losses) and the change in unrealized appreciation/(depreciation) on futures contracts by risk type, as disclosed in the Consolidated Statements of Operations, is as follows:

 

Fund		Risk Type			Realized Gain/(Loss)				Change in Unrealized Appreciation/ (Depreciation)
Simplify Commodities Strategy No K-1 ETF		Commodity			$	(1,020,000	)		$	(190,600	)
Simplify Managed Futures Strategy ETF		Commodity				4,213,052				(6,916,312	)
Simplify Managed Futures Strategy ETF		Interest Rate				(27,976,192	)			(17,786,769	)

 

For the year ended June 30, 2025, the average fiscal quarter end balances of outstanding derivative financial instruments were as follows:

 

Fund		Futures Contracts (Notional Value)
Simplify Commodities Strategy No K-1 ETF		$	30,633,694
Simplify Managed Futures Strategy ETF		$	(60,908,955	)

 

Certain Funds may enter into International Swaps and Derivatives Association, Inc. Master Agreements (“ISDA Master Agreements”) or similar master agreements (collectively, “Master Agreements”) with their 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, a 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.

 

The Funds did not have OTC derivatives subject to a master netting agreement or similar arrangement (collectively referred to as “MNA”) as of June 30, 2025.

 

5. Reverse Repurchase Agreements

 

The Funds are subject to Rule 18f-4 under the 1940 Act. Rule 18f-4 imposes limits on the amount of derivatives and other transactions a fund can enter into, eliminates the asset segregation framework that had been used by funds to comply with Section 18 of the 1940 Act, and requires funds whose use of derivatives is more than a limited specified exposure to establish and maintain a comprehensive derivatives risk management program and appoint a derivatives risk manager.

 

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.

 

19

 

 

Simplify Exchange Traded Funds

Notes to Financial Statements (Continued)

June 30, 2025

 

 

Offsetting of Reverse Repurchase Agreements Liabilities

 

Simplify Commodities Strategy No K-1 ETF

														Gross Amounts Not Offset in the Statements of Assets and Liabilities
		Gross Amounts of Recognized Liabilities				Gross Amounts Offset in the Consolidated Statements of Assets and Liabilities				Net Amounts Presented in the Consolidated Statements of Assets and Liabilities				Financial Instruments(a)				Collateral Pledged(a)				Net Amount Payable
Reverse Repurchase Agreements		$	7,804,498			$	—			$	7,804,498			$	7,804,498			$	7,804,498			$	—

 

(a)

These amounts are limited to the derivatives asset/liability balance and, accordingly, do not include excess collateral received/pledged.

 

Reverse repurchase agreements involve the sale of securities held by the Simplify Commodities Strategy No K-1 ETF with an agreement to repurchase the securities at an agreed-upon price, date and interest payment. The Fund may borrow for investment purposes indirectly using reverse repurchase agreements. Cash received in exchange for securities delivered plus accrued interest payments to be made by the Fund to counterparties are reflected as a liability on the Consolidated Statements of Assets and Liabilities. Interest payments made by the Fund to counterparties are recorded as a component of interest expense on each Fund’s Consolidated Statements of Operations. Borrowing may cause the Fund 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 Fund is 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 Fund may decline. For the year ended June 30, 2025, the average amount of reverse repurchase agreements outstanding and the daily weighted average interest rate for the Simplify Commodities Strategy No K-1 ETF was $6,812,352 and 4.61%, respectively.

 

The following table indicates the total amount of reverse repurchase agreements, including accrued interest, reconciled to the Simplify Commodities Strategy No K-1 ETF liability as of June 30, 2025:

 

		Less than 30 days				30-90 days				Greater than 90 days				Total
U.S. Government Obligations		$	—			$	7,804,498			$	—			$	—

 

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. The Adviser has engaged Altis Partners (Jersey) Limited to act as the futures adviser to the Funds under a futures advisory agreement (“Futures Advisory Agreement”) with the Adviser. The Adviser, not the Funds, pays the futures adviser.

 

For its investment advisory services to each Fund, the Adviser is entitled to receive a management fee, computed and accrued daily and payable monthly, at an annual rate equal to 0.75% of each Fund’s average daily net assets.

 

Under the Investment Advisory Agreement, the Adviser has agreed to pay substantially all the operating expenses of the Funds, excluding interest expenses, taxes, brokerage expenses, Rule 12b-1 fees (if any), acquired fund fees and expenses, expenses incidental to a meeting of a Fund’s shareholders and the Management Fee. In addition to the excluded operating expenses, the Funds also pay non-operating expenses such as litigation and indemnification expenses and other expenses determined to be extraordinary by the Trust.

 

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.

 

20

 

 

Simplify Exchange Traded Funds

Notes to Financial Statements (Continued)

June 30, 2025

 

 

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 each Fund. Adviser Compliance Associates, LLC d/b/a ACA Group, a related party to the Distributor, also provides a Chief Compliance Officer to the Trust.

 

A Trustee and certain Officers of the Trust are also employees of the Adviser and/or an affiliate of 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 Commodities Strategy No K-1 ETF		$	—			$	—
Simplify Managed Futures Strategy ETF			—				—

 

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 Funds’ custodian 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 variable fee of up to a maximum of 3% of the amount invested for creations and redemptions in cash, to offset brokerage and impact expenses associated with a cash transaction.

 

9. Federal Income Taxes

 

For the year ended June 30, 2025, the effect of permanent “book/tax” reclassifications to the components of net assets are included below. These differences, if any, are primarily due to redemptions-in-kind, non-deductible excise tax paid, prior year true ups, distributions in excess, return of capital distributions, and if applicable, controlled foreign corporations income reversal.

 

Fund		Distributable earnings (loss)				Paid-in Capital
Simplify Commodities Strategy No K-1 ETF		$	845,402			$	(845,402	)
Simplify Managed Futures Strategy ETF			(6,916,310	)			6,916,310

 

The tax character of dividends and distributions declared for the year ended June 30, 2025 were as follows:

 

Fund		Ordinary Income*				Long-Term Capital Gains				Return of Capital
Simplify Commodities Strategy No K-1 ETF		$	550,149			$	24,412			$	—
Simplify Managed Futures Strategy ETF			28,257,099				—				—

 

*

For tax purposes short-term capital gain distributions are considered ordinary income distributions.

 

The tax character of dividends and distributions declared for the year ended June 30, 2024 were as follows:

 

Fund		Ordinary Income*				Long-Term Capital Gains				Return of Capital
Simplify Commodities Strategy No K-1 ETF		$	250,815			$	—			$	—
Simplify Managed Futures Strategy ETF			7,586,987				5,083,755				—

 

*

For tax purposes short-term capital gain distributions are considered ordinary income distributions.

 

21

 

 

Simplify Exchange Traded Funds

Notes to Financial Statements (Continued)

June 30, 2025

 

 

As of June 30, 2025, the components of accumulated earnings (losses) on a tax basis were as follows:

 

Fund		Undistributed Ordinary Income				Undistributed Long-term Capital Gains				Temporary Book/Tax Differences				Net Unrealized Appreciation (Depreciation)				Accumulated Capital and Other Losses				Post-October/ Late-year Ordinary Loss Deferrals				Distributable earnings (loss)
Simplify Commodities Strategy No K-1 ETF		$	—			$	—			$	—			$	(303,730	)		$	—			$	(23,420	)		$	(327,150	)
Simplify Managed Futures Strategy ETF			667,438				—				—				(4,503,717	)			(47,038,391	)			—				(50,874,670	)

 

At June 30, 2025, gross unrealized appreciation and depreciation of investments, including derivatives, owned by each Fund, based on cost for federal income tax purposes were as follows:

 

Fund		Tax Cost				Gross Unrealized Appreciation				Gross Unrealized Depreciation				Net Unrealized Appreciation (Depreciation)
Simplify Commodities Strategy No K-1 ETF		$	38,211,160			$	656,683			$	(960,413	)		$	(303,730	)
Simplify Managed Futures Strategy ETF			1,051,233,403				34,528				(4,538,245	)			(4,503,717	)

 

The differences between book-basis and tax-basis components of net assets, if applicable, 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, 2025, 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 Commodities Strategy No K-1 ETF		$	—			$	—			$	—
Simplify Managed Futures Strategy ETF			18,249,826				28,788,565				47,038,391

 

If available, the Funds utilized capital loss carryforwards to offset taxable gains realized during the year ended June 30, 2025 as follows:

 

Fund		Amount
Simplify Commodities Strategy No K-1 ETF		$	151
Simplify Managed Futures Strategy ETF			—

 

Certain capital and qualified late year ordinary losses incurred within the current taxable year after October 31 and December 31, respectively can be deferred. If elected these deferred losses are deemed to arise on the first business day of each Fund’s next taxable year. As of tax year-end June 30, 2025, the Funds will elect to defer post-October capital losses and late year ordinary losses as follows:

 

		Capital Post-				Late-year
Fund		October Losses				ordinary Losses
Simplify Commodities Strategy No K-1 ETF		$	(23,420	)		$	—
Simplify Managed Futures Strategy ETF			—				—

 

10. Segment Reporting

 

Each Fund operates in one segment. The Chief Operating Decision Maker (“CODM”) is the President and Chief Executive Officer of the Fund. The CODM reviews the operating results of the Funds on a consolidated basis as part of making decisions for allocating resources and evaluating performance.

 

11. Subsequent Events

 

Management has evaluated subsequent events through the date of issuance of these financial statements and has determined that there are no subsequent events that require adjustment to, or disclosure in, the financial statements.

 

22

 

 

Simplify Exchange Traded Funds

Report of Independent Registered Public Accounting Firm

 

 

To the Shareholders and Board of Trustees of
Simplify Exchange Traded Funds

 

Opinion on the Financial Statements

 

We have audited the accompanying consolidated statements of assets and liabilities, including the consolidated schedules of investments, of the funds listed below (the “Funds”), each a series of Simplify Exchange Traded Funds, as of June 30, 2025, the related consolidated statements of operations, the consolidated statements of cash flows, the consolidated statements of changes in net assets, the consolidated financial highlights for each of the periods indicated below, and the related notes (collectively referred to as the “Financial Statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of each of the Funds as of June 30, 2025, the results of their operations and their cash flows, the changes in net assets, and the financial highlights for each of the periods indicated below in conformity with accounting principles generally accepted in the United States of America.

 

Fund Name		Consolidated Statements of Cash Flows		Consolidated Statements of Operations		Consolidated Statements of Changes in Net Assets		Consolidated Financial Highlights
Simplify Commodities Strategy No K-1 ETF		For the year ended June 30, 2025		For the year ended June 30, 2025		For the years ended June 30, 2025 and 2024		For the years ended June 30, 2025 and 2024, and for the period from March 28, 2023 (commencement of operations) through June 30, 2023.
Simplify Managed Futures Strategy ETF		Not applicable		For the year ended June 30, 2025		For the years ended June 30, 2025 and 2024		For the years ended June 30, 2025, 2024, and 2023, and for the period from March 8, 2022 (commencement of operations) through June 30, 2022.

 

Basis for Opinion

 

These financial statements are the responsibility of the Funds’ management. Our responsibility is to express an opinion on the Funds’ financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.

 

We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement whether due to error or fraud.

 

Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of June 30, 2025, by correspondence with the custodian and brokers. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that our audits provide a reasonable basis for our opinion.

 

We have served as the auditor of one or more funds advised by Simplify Asset Management, Inc. since 2020.

 

 

COHEN & COMPANY, LTD.

Cleveland, Ohio

August 29, 2025

 

23

 

 

Simplify Exchange Traded Funds

Additional Information

 

 

Proxy Voting Policies and Procedures

 

Information regarding how each Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available without charge, upon request, by calling 1-855-772-8488; by visiting www.simplify.us; and on the SEC’s website at www. sec.gov.

 

Discount & Premium Information

 

Information regarding how often Shares of each Fund traded on NYSE Arca or NASDAQ, as applicable, at a price above (i.e., at a premium) or below (i.e., at a discount) the NAV of each Fund can be found at www.simplify.us.

 

Tax Information

 

Form 1099-DIV and other year-end tax information provide shareholders with actual calendar year amounts that should be included in their tax returns. Shareholders should consult their tax advisors.

 

Each Fund designates the following amounts or, if subsequently determined to be different, the maximum allowable for its year ended June 30, 2025.

 

Fund		Qualified Dividend Income*				Dividends Received Deduction
Simplify Commodities Strategy No K-1 ETF			0.00	%			0.00	%
Simplify Managed Futures Strategy ETF			100.00	%			100.00	%

 

*

The above percentage is based on ordinary income dividends paid to shareholders during each Fund’s fiscal year.

 

24

 

 

 

 

 

 

June 30, 2025

 

Annual Financial Statements and

Other Important Information

 

Simplify Exchange Traded Funds

 

Simplify Piper Sandler US Small-Cap PLUS Income ETF (LITL)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

(This page intentionally left blank)

 

 

 

 

 

 

 

 

 

 

 

 

 

Simplify Exchange Traded Funds

Table of Contents

 

 

Schedule of Investments		4
Statement of Assets and Liabilities		10
Statement of Operations		11
Statement of Changes in Net Assets		12
Financial Highlights		13
Notes to Financial Statements		14
Report of Independent Registered Public Accounting Firm		21
Additional Information		22

 

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

 

 

 

 

Simplify Piper Sandler US Small-Cap PLUS Income ETF

Schedule of Investments

June 30, 2025

 

 

		Shares				Value
Common Stocks – 80.4%
Communication Services – 3.1%
Cargurus, Inc., Class A*			538			$	18,007
Cinemark Holdings, Inc.			500				15,090
Everquote, Inc., Class A*(a)			732				17,700
Gogo, Inc.*			1,590				23,341
Grindr, Inc.*			691				15,686
Liberty Latin America Ltd.*			3,374				20,986
Lumen Technologies, Inc.*			4,303				18,847
							129,657
Consumer Discretionary – 8.5%
Abercrombie & Fitch Co., Class A*			215				17,813
Adient PLC*			1,082				21,056
Arko Corp.			3,941				16,670
Asbury Automotive Group, Inc.*(a)			74				17,652
Brinker International Inc.*			98				17,672
Cricut, Inc., Class A			2,784				18,848
Everi Holdings, Inc.*			1,196				17,031
Frontdoor, Inc.*			307				18,095
G-III Apparel Group Ltd.*			581				13,014
Groupon, Inc., Class A*			579				19,368
Hanesbrands, Inc.*			3,408				15,609
Kontoor Brands, Inc.			246				16,229
Laureate Education, Inc., Class A*			750				17,535
Red Rock Resorts, Inc., Class A			351				18,262
Rush Street Interactive, Inc.*			1,329				19,802
Seaworld Entertainment, Inc.*			377				17,776
Signet Jewelers Ltd.			253				20,126
Stride, Inc.*(a)			111				16,116
Urban Outfitters, Inc.*(a)			241				17,482
Victoria’s Secret & Co.*			795				14,723
							350,879
Consumer Staples – 1.9%
Cal-Maine Foods, Inc.			176				17,535
Central Garden And Pet Co., Class A*			468				16,464
Chefs’ Warehouse, Inc. (The)*			264				16,846
Sprouts Farmers Market, Inc.*(a)			98				16,135
United Natural Foods, Inc.*			552				12,867
							79,847
Energy – 4.4%
California Resources Corp.			382				17,446
Centrus Energy Corp., Class A*			133				24,363
Championx Corp.			701				17,413
CVR Energy, Inc.			721				19,359
Gulfport Energy Operating Corp.*(a)			88				17,703
Highpeak Energy, Inc.(a)			1,706				16,718
Liberty Oilfield Services, Inc., Class A(a)			1,456				16,715
Magnolia Oil & Gas Corp., Class A			785				17,647
Scorpio Tankers, Inc.			424				16,591
Teekay Corp Ltd.			1,996				16,467
							180,422

 

See Notes to Financial Statements.

 

4

 

 

Simplify Piper Sandler US Small-Cap PLUS Income ETF

Schedule of Investments (Continued)

June 30, 2025

 

 

		Shares				Value
Common Stocks (continued)
Financials – 16.2%
1st Source Corp.			279			$	17,318
Axos Financial, Inc.*			243				18,478
Bank of NT Butterfield & Son Ltd.			400				17,712
Banner Corp.			274				17,577
Bread Financial Holdings Inc.			329				18,792
Cadence Bank			557				17,813
Cno Financial Group, Inc.			444				17,130
Dave, Inc.*			84				22,546
Enact Holdings, Inc.			477				17,721
Enova International, Inc.*			182				20,297
Enterprise Financial Services Corp.			319				17,577
Essent Group Ltd.			291				17,672
Federal Agricultural Mortgage Corp., Class C(a)			90				17,485
Fidelis Insurance Holdings Ltd.			965				16,000
First Bancorp/Puerto Rico			844				17,581
First MID-Illinois Bancshares, Inc.			478				17,920
Hancock Holding Co.			309				17,737
Hci Group, Inc.			100				15,220
Horace Mann Educators Corp.			388				16,672
International Bancshares Corp.			269				17,905
Jackson Financial, Inc., Class A			206				18,291
Mercury General Corp.			262				17,643
Navient Corp.			1,255				17,695
NCR Atleos Corp.*(a)			636				18,145
Nelnet, Inc., Class A			145				17,562
Nmi Holdings, Inc., Class A*(a)			425				17,931
Ofg Bancorp			410				17,548
Oscar Health, Inc., Class A*(a)			1,222				26,200
Palomar Holdings, Inc.*			98				15,116
Pjt Partners, Inc., Class A			112				18,481
Root, Inc., Class A*			129				16,508
Selective Insurance Group			192				16,637
Sezzle, Inc.*			158				28,322
Skyward Specialty Insurance Group, Inc.*			266				15,372
Tiptree Financial, Inc.			761				17,944
United Fire Group, Inc.			593				17,019
Washington Federal, Inc.			594				17,392
							670,959
Health Care – 17.5%
ACADIA Pharmaceuticals, Inc.*			782				16,868
Adapthealth Corp., Class A*(a)			1,879				17,719
Addus Homecare Corp.*			152				17,509
ADMA Biologics, Inc.*(a)			850				15,478
Alkermes PLC*			551				15,764
Amneal Pharmaceuticals, Inc.*(a)			2,305				18,647
Amphastar Pharmaceuticals, Inc.*			656				15,062
Ardent Health, Inc.*			1,165				15,914
BioCryst Pharmaceuticals Inc.*			1,569				14,058
Bridgebio Pharma, Inc.*			493				21,288

 

See Notes to Financial Statements.

 

5

 

 

Simplify Piper Sandler US Small-Cap PLUS Income ETF

Schedule of Investments (Continued)

June 30, 2025

 

 

		Shares				Value
Common Stocks (continued)
Health Care (continued)
Brightspring Health Services, Inc.*			708			$	16,702
Catalyst Pharmaceutical Partners, Inc.*			676				14,669
Collegium Pharmaceutical, Inc.*			579				17,121
Corvel Corp.*			152				15,623
Dynavax Technologies Corp.*(a)			1,723				17,092
Enhabit, Inc.*(a)			1,607				15,491
Ensign Group, Inc. (The)			115				17,740
Genedx Holdings Corp., Class A*			237				21,877
Halozyme Therapeutics, Inc.*			301				15,658
Hims & Hers Health, Inc.*			298				14,855
Innoviva Inc.(a)			862				17,318
Integer Holdings Corp.*			142				17,462
Lifestance Health Group, Inc.*(a)			2,840				14,683
LivaNova PLC*			390				17,558
Mannkind Corp.*			4,065				15,203
National Healthcare Corp.			162				17,336
Novocure Ltd.*			883				15,717
Option Care Health, Inc.*			516				16,760
Pacs Group, Inc.*(a)			1,701				21,977
Pediatrix Medical Group Inc.*			1,192				17,105
Phreesia, Inc.*			689				19,609
Prestige Brands Holdings, Inc.*			197				15,730
Progyny, Inc.*			785				17,270
PTC Therapeutics, Inc.*			348				16,996
Radnet, Inc.*			293				16,675
Select Medical Holdings Corp.			1,103				16,744
Teladoc Health, Inc.*			2,438				21,235
Transmedics Group, Inc.*			133				17,823
Twist Bioscience Corp.*			576				21,191
Ufp Technologies, Inc.*			72				17,580
Vericel Corp.*			409				17,403
Waystar Holding Corp.*(a)			422				17,247
							721,757
Industrials – 12.1%
Alamo Group, Inc.			85				18,562
Argan, Inc.			80				17,638
Brink’s Co. (The)			206				18,394
Centuri Holdings, Inc.*			808				18,132
Construction Partners, Inc., Class A*(a)			161				17,111
Corecivic, Inc.*			768				16,182
Federal Signal Corp.			179				19,049
Gms, Inc.*			223				24,251
Granite Construction, Inc.			189				17,673
Griffon Corp.			245				17,731
Heidrick & Struggles International, Inc.			386				17,663
Ies Holdings, Inc.*(a)			65				19,255
Janus International Group, Inc.*(a)			2,065				16,809
Legalzoom.Com, Inc.*(a)			1,848				16,466
Matson, Inc.(a)			149				16,591

 

See Notes to Financial Statements.

 

6

 

 

Simplify Piper Sandler US Small-Cap PLUS Income ETF

Schedule of Investments (Continued)

June 30, 2025

 

 

		Shares				Value
Common Stocks (continued)
Industrials (continued)
Mueller Industries, Inc.			217			$	17,245
Nextracker Inc., Class A*			298				16,202
Pitney Bowes, Inc.(a)			1,638				17,871
Primoris Services Corp.			234				18,238
Resideo Technologies Inc.*			815				17,979
Skywest, Inc.*			166				17,093
SPX Technologies, Inc.*			111				18,613
Sterling Construction Co., Inc.*(a)			90				20,766
Trinet Group Inc.			203				14,847
Upwork, Inc.*			1,089				14,636
Vectrus, Inc.*			373				18,109
Verra Mobility Corp., Class A*			713				18,103
Willdan Group, Inc.*			312				19,503
							500,712
Information Technology – 8.3%
Aci Worldwide, Inc.*			365				16,757
Adeia, Inc.			1,314				18,580
Alarm.Com Holdings, Inc.*			294				16,632
Avepoint, Inc.*			905				17,475
Blackbaud Inc.*			271				17,401
Blackline, Inc.*			302				17,099
Box, Inc., Class A*			446				15,240
Clear Secure, Inc., Class A			682				18,932
Commvault Systems, Inc.*(a)			92				16,038
Eplus, Inc.*			236				17,016
Impinj, Inc.*			148				16,438
Intapp, Inc.*			306				15,796
InterDigital Inc.(a)			78				17,490
Netgear, Inc.			575				16,715
Plexus Corp.*			129				17,455
Q2 Holdings, Inc.*			193				18,063
Qualys, Inc.*			122				17,430
Scansource, Inc.*			418				17,477
Semtech Corp.*			452				20,403
Vertex, Inc., Class A*			426				15,053
							343,490
Materials – 3.3%
Balchem Corp.			101				16,079
Cabot Corp.			226				16,950
Carpenter Technology Corp.(a)			72				19,899
Commercial Metals Co.			362				17,706
Knife River Corp.*			179				14,614
Perimeter Solutions, Inc.*			1,398				19,460
Sylvamo Corp.			318				15,932
U.S. Lime & Minerals, Inc.(a)			164				16,367
							137,007

 

See Notes to Financial Statements.

 

7

 

 

Simplify Piper Sandler US Small-Cap PLUS Income ETF

Schedule of Investments (Continued)

June 30, 2025

 

 

		Shares				Value
Common Stocks (continued)
Real Estate – 3.8%
CBL & Associates Properties Inc.			669			$	16,986
Corporate Office Properties Trust SBI Md			615				16,962
Douglas Emmett, Inc.			1,185				17,822
Empire State Realty Trust, Inc., Class A(a)			2,202				17,814
Exp World Holdings, Inc.(a)			1,980				18,018
Outfront Media, Inc.			1,021				16,663
Paramount Group, Inc.*			2,788				17,007
Phillips Edison & Co., Inc.			476				16,674
Real Brokerage, Inc.*			4,095				18,468
							156,414
Utilities – 1.3%
Ormat Technologies, Inc.			227				19,013
Southwest Gas Corp.			235				17,482
Spire, Inc.			224				16,350
							52,845
Total Common Stocks (Cost $3,080,223)							3,323,989

 

		Number of Contracts			Notional Amount
Purchased Options – 1.6%
Calls – Exchange-Traded – 1.6%
S&P 500 Index, July Strike Price $6,200, Expires 7/03/25		3			$	1,860,000				9,405
S&P 500 Index, July Strike Price $6,300, Expires 7/07/25		3				1,890,000				1,296
S&P 500 Index, July Strike Price $6,275, Expires 7/09/25		6				3,765,000				10,170
S&P 500 Index, July Strike Price $6,300, Expires 7/18/25		6				3,780,000				19,680
S&P 500 Index, July Strike Price $6,500, Expires 7/31/25		11				7,150,000				10,725
S&P 500 Index, August Strike Price $6,400, Expires 8/15/25		2				1,280,000				9,480
S&P 500 Index, August Strike Price $6,650, Expires 8/15/25		4				2,660,000				2,580
										63,336
Puts – Exchange-Traded – 0.0%†
Russell 2000 Index, July Strike Price $1,950, Expires 7/11/25(b)		2				390,000				145
S&P 500 Index, July Strike Price $5,800, Expires 7/02/25		2				1,160,000				20
S&P 500 Index, July Strike Price $5,900, Expires 7/03/25		3				1,770,000				75
S&P 500 Index, July Strike Price $6,000, Expires 7/07/25		2				1,200,000				420
S&P 500 Index, July Strike Price $5,620, Expires 7/11/25(b)		1				562,000				102
S&P 500 Index, July Strike Price $5,650, Expires 7/16/25(b)		1				565,000				300
SPDR Gold Shares, July Strike Price $285, Expires 7/09/25(b)		17				484,500				145
SPDR Gold Shares, July Strike Price $280, Expires 7/11/25(b)		17				476,000				127
										1,334
Total Purchased Options (Cost $45,300)										64,670

 

		Shares
U.S. Exchange-Traded Funds – 1.4%
Equity Funds – 1.4%
iShares Russell 2000 ETF
(Cost $56,209)			268				57,832

 

See Notes to Financial Statements.

 

8

 

 

Simplify Piper Sandler US Small-Cap PLUS Income ETF

Schedule of Investments (Continued)

June 30, 2025

 

 

		Value
Total Investments – 83.4%
(Cost $3,181,732)		$	3,446,491
Other Assets in Excess of Liabilities – 16.6%			688,028
Net Assets – 100.0%		$	4,134,519

 

		Number of Contracts			Notional Amount
Written Options – (0.1)%
Puts – Exchange-Traded – (0.1)%
Russell 2000 Index, July Strike Price $2,050, Expires 7/11/25		(2)			$	(410,000	)		$	(580	)
S&P 500 Index, July Strike Price $5,920, Expires 7/11/25		(1)				(592,000	)			(450	)
S&P 500 Index, July Strike Price $5,960, Expires 7/16/25		(1)				(596,000	)			(1,230	)
SPDR Gold Shares, July Strike Price $295, Expires 7/09/25		(17)				(501,500	)			(680	)
SPDR Gold Shares, July Strike Price $290, Expires 7/11/25		(17)				(493,000	)			(408	)
										(3,348	)
Total Written Options (Premiums Received $4,560)									$	(3,348	)

 

	*	Non Income Producing
	†	Less than 0.05%
	(a)	Securities with an aggregate market value of $503,665 have been pledged as collateral for options as of June 30, 2025.
	(b)	Held in connection with Written Options.

 

Summary of Investment Type††

 

Investment Categories		% of Net Assets
Common Stocks			80.4	%
Purchased Options			1.6	%
U.S. Exchange-Traded Funds			1.4	%
Total Investments			83.4	%
Other Assets in Excess of Liabilities			16.6	%
Net Assets			100.0	%

 

††

The percentage shown for each investment category is the total value of investments in that category as a percentage of the net assets of the Fund. The table depicts the Fund’s investments but may not represent the Fund’s market exposure to certain derivatives, if any, which are included in Other Assets in Excess of Liabilities.

 

See Notes to Financial Statements.

 

9

 

 

Simplify Exchange Traded Funds

Statements of Assets and Liabilities

June 30, 2025

 

 

		Simplify Piper Sandler US Small-Cap PLUS Income ETF
Assets
Investments, at value		$	3,446,491
Cash			19,130
Receivables:
Capital shares			689,091
Dividends			1,619
Securities sold			1,229
Total assets			4,157,560
Liabilities
Payables:
Securities purchased			17,224
Written options			3,348
Investment advisory fees			2,469
Total liabilities			23,041
Net Assets		$	4,134,519
Net Assets Consist of
Paid-in capital		$	3,857,224
Distributable earnings (loss)			277,295
Net Assets		$	4,134,519
Number of Common Shares outstanding			150,001
Net Asset Value, offering and redemption price per share		$	27.56
Investments, at cost		$	3,181,732
Premiums received on written options		$	4,560

 

See Notes to Financial Statements.

 

10

 

 

Simplify Exchange Traded Funds

Statements of Operations

For the Period Ended June 30, 2025

 

 

		Simplify Piper Sandler US Small-Cap PLUS Income ETF(1)
Investment Income
Dividend income		$	8,035
Expenses
Investment advisory fees			4,820
Total expenses			4,820
Net investment income (loss)			3,215
Realized and Unrealized Gain (Loss)
Net realized gain (loss) from:
Investments			(28,970	)
Written options			37,079
Net realized gain (loss)			8,109
Net change in unrealized appreciation (depreciation) on:
Investments			264,759
Written options			1,212
Net unrealized gain (loss)			265,971
Net realized and unrealized gain (loss)			274,080
Net Increase (Decrease) in Net Assets Resulting from Operations		$	277,295

 

(1)

For the period April 28, 2025 (commencement of operations) through June 30, 2025.

 

See Notes to Financial Statements.

 

11

 

 

Simplify Exchange Traded Funds

Statement of Changes in Net Assets

 

 

		Simplify Piper Sandler US Small-Cap PLUS Income ETF
		For the period April 28, 2025(1) to June 30, 2025
Increase (Decrease) in Net Assets from Operations
Net investment income (loss)		$	3,215
Net realized gain (loss)			8,109
Net change in net unrealized appreciation (depreciation)			265,971
Net increase (decrease) in net assets resulting from operations			277,295
Fund Shares Transactions
Proceeds from shares sold			3,857,224
Value of shares redeemed			—
Net increase (decrease) in net assets resulting from fund share transactions			3,857,224
Total net increase (decrease) in Net Assets			4,134,519
Net Assets
Beginning of period			—
End of period		$	4,134,519
Changes in Shares Outstanding
Shares outstanding, beginning of period			—
Shares sold			150,001	(2)
Shares redeemed			—
Shares outstanding, end of period			150,001

 

	(1)	Commencement of operations.
	(2)	Shares not in increment of 25,000 shares (a “Creation Unit”) represent the Adviser’s initial seed investment in connection with the commencement of operations.

 

See Notes to Financial Statements.

 

12

 

 

Simplify Exchange Traded Funds

Financial Highlights

 

 

Simplify Piper Sandler US Small-Cap PLUS Income ETF Selected Per Share Data		Period Ended June 30, 2025(a)
Net Asset Value, beginning of period		$	25.00
Income (loss) from investment operations:
Net investment income (loss)(b)			0.03
Net realized and unrealized gain (loss)			2.53
Total from investment operations			2.56
Net Asset Value, end of period		$	27.56
Total Return (%)			10.25	(c)
Ratios to Average Net Assets and Supplemental Data
Net Assets, end of period ($ millions)		$	4
Ratio of expenses (%)			0.90	(d)(e)
Ratio of net investment income (loss) (%)			0.60	(d)
Portfolio turnover rate (%)(f)			44	(c)

 

	(a)	For the period April 28, 2025 (commencement of operations) through June 30, 2025.
	(b)	Per share numbers have been calculated using the average shares method.
	(c)	Not annualized.
	(d)	Annualized.
	(e)	The Fund invests in other ETFs and indirectly bears its proportionate shares of fees and expenses incurred by the Underlying Funds in which the Fund is invested. This ratio does not included these indirect fees and expenses.
	(f)	Excludes the impact of in-kind transactions related to the processing of capital share transactions in Creation Units.

 

See Notes to Financial Statements.

 

13

 

 

Simplify Exchange Traded Funds

Notes to Financial Statements

June 30, 2025

 

 

1. Organization

 

Simplify Exchange Traded Funds (the “Trust”) is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end registered management investment company organized as a Delaware statutory trust.

 

As of June 30, 2025, the Trust consists of thirty four investment series of exchange-traded funds (“ETFs’) in operation and trading. These financial statements report on the Simplify Piper Sandler US Small-Cap PLUS Income ETF (the “Fund”). The Fund is a Non-diversified series of the Trust.

 

Simplify Asset Management Inc. (the “Adviser”) serves as investment adviser to the Fund and has overall responsibility for the general management and administration of the Fund, subject to the oversight of the Trust’s Board of Trustees (the “Board”).

 

The Fund offers shares (“Shares”) that are listed and traded on the NYSE Arca, Inc. (“NYSE Arca” or the “Exchange”). Unlike mutual funds, the Fund, issues and redeems 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, and owners of the Shares who are authorized participants may acquire those Shares from the Fund, or tender such shares for redemption to the Fund, in Creation Units only.

 

Fund		Investment Objectives
Simplify Piper Sandler US Small-Cap PLUS Income ETF		The Fund seeks capital appreciation and income.

 

2. 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 Fund is an 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 Fund.

 

Investment Valuation

 

The Fund’s investments are valued using procedures approved by the Board and are generally valued using market valuations. 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.

 

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 and the Adviser. 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 designated the Adviser as its valuation designee to execute these procedures pursuant to Rule 2a-5 under the 1940 Act. Independent pricing services may assist in calculating the value of the Fund’s portfolio securities. The Board reviews the execution of this process and the resultant fair value prices at least quarterly to assure the process produces reliable results. These securities are either categorized as Level 2 or 3 of the fair value hierarchy depending on the relevant inputs used.

 

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.

 

Money Market Funds are valued at NAV.

 

Under certain circumstances, a Fund may use an independent pricing service to calculate the fair market value of foreign equity securities on a daily basis by applying valuation factors to the last sale price or the mean price as noted above. The fair market values supplied by the independent pricing service will generally reflect market trading that occurs after the close of the applicable foreign markets of comparable securities or the value of other instruments that have a strong correlation to the fair valued securities. The independent pricing service will also take into account the current relevant currency exchange rate. A security that is fair valued may be valued at a

 

14

 

 

Simplify Exchange Traded Funds

Notes to Financial Statements (Continued)

June 30, 2025

 

 

price higher or lower than actual market quotations or the value determined by other funds using their own fair valuation procedures. Because foreign securities may trade on days when Shares are not priced, the value of securities held by the Fund can change on days when Shares cannot be redeemed or purchased. In the event that a foreign security’s market quotations are not readily available or are deemed unreliable (for reasons other than because the foreign exchange on which it trades closed before the Fund’s calculation of NAV), the security will be valued at its fair market value as determined in good faith by the Adviser in accordance with procedures approved by the Board. Without fair valuation, it is possible that short-term traders could take advantage of the arbitrage opportunity and dilute the NAV of long-term investors. Fair valuation of the Fund’s portfolio securities can serve to reduce arbitrage opportunities available to short-term traders, but there is no assurance that it will prevent dilution of the Fund’s NAV by short-term traders. In addition, because the Fund may invest in underlying ETFs which hold portfolio securities primarily listed on foreign (non-U.S.) exchanges, and these exchanges may trade on weekends or other days when the underlying ETFs do not price their shares, the value of these portfolio securities may change on days when you may not be able to buy or sell Shares.

 

Investments initially valued in currencies other than the U.S. dollar are converted to U.S. dollars using exchange rates obtained from pricing services or other parties in accordance with the valuation procedures of the Adviser. As a result, the NAV of the Shares may be affected by changes in the value of currencies in relation to the U.S. dollar. The value of securities traded in markets outside the United States or denominated in currencies other than the U.S. dollar may be affected significantly on a day that the Exchange is closed and an investor is not able to purchase, redeem or exchange Shares.

 

The 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 fund 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 the 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.

 

The following is a summary of the valuations as of June 30, 2025 for the Fund based upon the three levels defined above:

 

Assets		Level 1				Level 2				Level 3				Total
Common Stocks		$	3,323,989			$	—			$	—			$	3,323,989
U.S. Exchange-Traded Funds			57,832				—				—				57,832
Purchased Options			64,670				—				—				64,670
TOTAL		$	3,446,491			$	—			$	—			$	3,446,491

 

Liabilities		Level 1				Level 2				Level 3				Total
Written Options		$	(3,348	)		$	—			$	—			$	(3,348	)
TOTAL		$	(3,348	)		$	—			$	—			$	(3,348	)

 

Cash

 

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

 

Foreign Currency Translations

 

The books and records of the Fund is maintained in U.S. dollars. Investment securities and other assets and liabilities denominated in a foreign currency are translated into U.S. dollars at the prevailing exchange rates at period end. Purchases and sales of investment securities, income and expenses are translated into U.S. dollars at the prevailing exchange rates on the respective dates of the transactions.

 

Net realized and unrealized gains and losses on foreign currency transactions represent net gains and losses between trade and settlement dates on securities transactions, the acquisition and disposition of foreign currencies, and the difference between the amount of net investment income accrued and the U.S. dollar amount actually received. The portion of both realized and unrealized gains and losses on investments that results from fluctuations in foreign currency exchange rates is not separately disclosed, but is included with net realized and unrealized gain/appreciation and loss/depreciation on investments.

 

15

 

 

Simplify Exchange Traded Funds

Notes to Financial Statements (Continued)

June 30, 2025

 

 

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 the Fund’s understanding of the applicable tax rules and regulations.

 

Income Tax Information and Distributions to Shareholders

 

It is the Fund’s policy to comply with all requirements of the Internal Revenue Code of 1986, as amended (the “Code”). The Fund intends to qualify for and to elect treatment as a separate Regulated Investment Company (“RIC”) under Subchapter M of the Code. It is the Fund’s policy to pay out dividends from net investment income quarterly. 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. The Fund may occasionally be required to make supplemental distributions at some other time during the year. The Fund reserves the right to declare special distributions if, in its reasonable discretion, such action is necessary or advisable to preserve the status of the 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 the 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 the Fund’s financial statement.

 

The Fund will recognize interest and penalties, if any, related to uncertain tax positions as income tax expense on the Statement of Operations.

 

3. Derivative Financial Instruments

 

In the normal course of business, the Fund uses derivative contracts in connection with its proprietary trading activities. Derivative contracts are subject to additional risks that can result in a loss of all or part of an investment. The Fund’s derivative activities and exposure to derivative contracts are classified by the following primary underlying risks: interest rate, credit, foreign exchange, commodity price, and equity price. In addition to its primary underlying risks, the Fund is also subject to additional counterparty risk due to inability of its counterparties to meet the terms of their contracts.

 

FASB Accounting Standards Codification, Derivatives and Hedging (“ASC 815”) requires enhanced disclosures about the Fund’s use of, and accounting for, derivative instruments and the effect of derivative instruments on the Fund’s financial position and results of operations. Tabular disclosure regarding derivative fair value and gain/loss by contract type (e.g., interest rate contracts, foreign exchange contracts, credit contracts, etc.) is required and derivatives accounted for as hedging instruments under ASC 815 must be disclosed separately from those that do not qualify for hedge accounting. Even though the Fund may use derivatives in an attempt to achieve an economic hedge, the Fund’s derivatives are not accounted for as hedging instruments under ASC 815 because investment companies account for their derivatives at fair value and record any changes in fair value in current period earnings.

 

Option Contracts

 

The 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,

 

16

 

 

Simplify Exchange Traded Funds

Notes to Financial Statements (Continued)

June 30, 2025

 

 

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 Statement 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 Statement 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 Statement of Operations to the extent the cost of the closing transaction exceeds the premiums received or paid. When the Fund writes 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 Fund writes 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 Statement of Assets and Liabilities.

 

The following table summarizes the value of the Fund’s derivative instruments held as of June 30, 2025 and the related location in the accompanying Statement of Assets and Liabilities, presented by underlying risk exposure:

 

Fund		Asset Derivatives						Liability Derivatives
Simplify Piper Sandler US Small-Cap PLUS Income ETF
Commodity Contracts		Investments, at value(1)		$	272			Investments, at value(1)		$	—
Equity Contracts		Investments, at value(1)		$	64,398			Investments, at value(1)		$	—
Commodity Contracts		Written options		$	—			Written options		$	1,088
Equity Contracts		Written options		$	—			Written options		$	2,260

 

(1)

Purchased option contracts are included in Investments within the Statement of Assets and Liabilities.

 

For the period ended June 30, 2025, realized gains/(losses) and the change in unrealized appreciation/(depreciation) on purchased option contracts ^(a) by risk type, as disclosed in the Statement of Operations, is as follows:

 

Fund		Risk Type		Realized Gain/(Loss)				Change in Unrealized Appreciation/ (Depreciation)
Simplify Piper Sandler US Small-Cap PLUS Income ETF		Equity		$	(52,125	)		$	19,489
Simplify Piper Sandler US Small-Cap PLUS Income ETF		Commodity			(2,091	)			(118	)

 

(a)

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

 

For the period ended June 30, 2025, realized gains/(losses) and the change in unrealized appreciation/(depreciation) on written option contracts by risk type, as disclosed in the Statement of Operations, is as follows:

 

Fund		Risk Type		Realized Gain/(Loss)				Change in Unrealized Appreciation/ (Depreciation)
Simplify Piper Sandler US Small-Cap PLUS Income ETF		Equity		$	35,073			$	811
Simplify Piper Sandler US Small-Cap PLUS Income ETF		Commodity			2,006				400

 

17

 

 

Simplify Exchange Traded Funds

Notes to Financial Statements (Continued)

June 30, 2025

 

 

For the period ended June 30, 2025, the average fiscal quarter end balances of outstanding derivative financial instruments were as follows:

 

Fund		Purchased Option Contracts (Contract Value)				Written Option Contracts (Contract Value)
Simplify Piper Sandler US Small-Cap PLUS Income ETF		$	64,671			$	(3,348	)

 

4. Investment Advisory Agreement and Other Agreements

 

The Adviser has overall responsibility for the general management and administration of the Fund, subject to the oversight of the Board. Under an investment advisory agreement between the Trust, on behalf of the Fund, 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 Fund to operate.

 

Piper Sandler & Co. (the “Sub-Adviser”) serves as investment sub-adviser to the Fund. The Sub-Adviser is responsible for day-to-day management of the Fund, subject to supervision of the Adviser. The Sub-Adviser is paid by the Adviser, not the Fund.

 

For its investment advisory services to the Fund, the Adviser was entitled to receive a management fee, computed and accrued daily and payable monthly, at an annual rate equal to 0.90% of the Fund’s average daily net assets.

 

Under the Investment Advisory Agreement, the Adviser has agreed to pay substantially all the operating expenses of the Fund, excluding interest expenses, taxes, brokerage expenses, Rule 12b-1 fees (if any), acquired fund fees and expenses, expenses incidental to a meeting of the Fund’s shareholders and the Management Fee. In addition to the excluded operating expenses, the Fund also pay non-operating expenses such as litigation and indemnification expenses and other expenses determined to be extraordinary by the Trust.

 

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, the 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 Fund 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 the 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 the Fund.

 

Foreside Financial Services, LLC (the “Distributor”) serves as the distributor of Creation Units for the Fund on an agency basis. The Distributor does not maintain a secondary market in Shares of the Fund. Adviser Compliance Associates, LLC d/b/a ACA Group, a related party to the Distributor, also provides a Chief Compliance Officer to the Trust.

 

A Trustee and certain Officers of the Trust are also employees of the Adviser and/or the Distributor.

 

5. 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 Piper Sandler US Small-Cap PLUS Income ETF		$	3,801,325			$	1,292,793

 

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

 

Fund		Purchases				Sales
Simplify Piper Sandler US Small-Cap PLUS Income ETF		$	602,370			$	—

 

6. Fund Share Transactions

 

The Fund 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.

 

18

 

 

Simplify Exchange Traded Funds

Notes to Financial Statements (Continued)

June 30, 2025

 

 

Fund Shares are listed and traded on the Exchange on each day that the Exchange is open for business (“Business Day”). The Fund’s Shares may only be purchased and sold on the Exchange through a broker-dealer. Because the 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 Fund’s custodian when purchasing and redeeming Creation Units of the 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 Fund may charge an additional variable fee of up to a maximum of 3% of the amount invested for creations and redemptions in cash, to offset brokerage and impact expenses associated with a cash transaction.

 

7. Federal Income Taxes

 

For the period ended June 30, 2025, the effect of permanent “book/tax” reclassifications to the components of net assets are included below. These differences, if any, are primarily due to redemptions-in-kind, non-deductible excise tax paid, prior year true ups, distributions in excess, return of capital distributions, and if applicable, controlled foreign corporations income reversal.

 

Fund		Distributable earnings (loss)				Paid-in Capital
Simplify Piper Sandler US Small-Cap PLUS Income ETF		$	—			$	—

 

The tax character of dividends and distributions declared for the period ended June 30, 2025 were as follows:

 

Fund

Ordinary Income*

Long -Term Capital Gains

Return of Capital

Simplify Piper Sandler US Small-Cap PLUS Income ETF

$

—

$

—

$

—

 

*

For tax purposes short-term capital gain distributions are considered ordinary income distributions.

 

As of June 30, 2025, the components of accumulated earnings (losses) on a tax basis were as follows:

 

Fund		Undistributed Ordinary Income				Undistributed Long-term Capital Gains				Temporary Book/Tax Differences				Net Unrealized Appreciation (Depreciation)				Accumulated Capital and Other Losses				Post-October/ Late-year Ordinary Loss Deferrals				Distributable earnings (loss)
Simplify Piper Sandler US Small-Cap PLUS Income ETF		$	34,618			$	—			$	—			$	242,677			$	—			$	—			$	277,295

 

At June 30, 2025, gross unrealized appreciation and depreciation of investments, including derivatives, owned by the Fund, based on cost for federal income tax purposes were as follows:

 

Fund		Tax Cost				Gross Unrealized Appreciation				Gross Unrealized Depreciation				Net Unrealized Appreciation (Depreciation)
Simplify Piper Sandler US Small-Cap PLUS Income ETF		$	3,204,215			$	308,877			$	(66,200	)		$	242,677

 

The differences between book-basis and tax-basis components of net assets, if applicable, 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.

 

If available, the Fund utilized the following amount of capital loss carryforwards to offset taxable gains realized during the period ended June 30, 2025:

 

Fund		Amount
Simplify Piper Sandler US Small-Cap PLUS Income ETF		$	—

 

19

 

 

Simplify Exchange Traded Funds

Notes to Financial Statements (Continued)

June 30, 2025

 

 

Certain capital and qualified late year ordinary losses incurred within the current taxable year after October 31 and December 31, respectively can be deferred. If elected these deferred losses are deemed to arise on the first business day of the Fund’s next taxable year. As of tax year-end June 30, 2025, the Fund will elect to defer post-October capital losses and late year ordinary losses as follows:

 

Fund		Capital Post- October Losses				Late-year ordinary Losses
Simplify Piper Sandler US Small-Cap PLUS Income ETF		$	—			$	—

 

8. Segment Reporting

 

The Fund operates in one segment. The Chief Operating Decision Maker (“CODM”) is the President and Chief Executive Officer of the Fund. The CODM reviews the operating results of the Fund on a consolidated basis as part of making decisions for allocating resources and evaluating performance.

 

9. 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 statements.

 

20

 

 

Simplify Exchange Traded Funds

Report of Independent Registered Public Accounting Firm

 

 

To the Shareholders and Board of Trustees of

Simplify Exchange Traded Funds

 

Opinion on the Financial Statements

 

We have audited the accompanying statement of assets and liabilities, including the schedule of investments, of Simplify Piper Sandler US Small-Cap PLUS Income ETF (the “Fund), a series of Simplify Exchange Traded Funds, as of June 30, 2025, the related statements of operations and changes in net assets and the financial highlights for the period from April 28, 2025 (commencement of operations) to June 30, 2025, and the related notes (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Fund as of June 30, 2025, the results of its operations, the changes in net assets, and the financial highlights for the period then ended, in conformity with accounting principles generally accepted in the United States of America.

 

Basis for Opinion

 

These financial statements are the responsibility of the Fund’s management. Our responsibility is to express an opinion on the Fund’s financial statements based on our audit. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.

 

We conducted our audit in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement whether due to error or fraud.

 

Our audit included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of June 30, 2025, by correspondence with the custodian and brokers. Our audit also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that our audit provides a reasonable basis for our opinion.

 

We have served as the auditor of one or more funds advised by Simplify Asset Management, Inc. since 2020.

 

 

COHEN & COMPANY, LTD.

Cleveland, Ohio

August 29, 2025

 

21

 

 

Simplify Exchange Traded Funds

Additional Information (Unaudited)

 

 

Proxy Voting Policies and Procedures

 

Information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available without charge, upon request, by calling 1-855-772-8488; by visiting www.simplify.us; and on the SEC’s website at www.sec.gov.

 

Discount & Premium Information

 

Information regarding how often Shares of the Fund traded on NYSE Arca at a price above (i.e., at a premium) or below (i.e., at a discount) the NAV of the Fund can be found at www.simplify.us.

 

Tax Information

 

Form 1099-DIV and other year-end tax information provide shareholders with actual calendar year amounts that should be included in their tax returns. Shareholders should consult their tax advisors.

 

The Fund designates the following amounts or, if subsequently determined to be different, the maximum allowable for its year ended June 30, 2025.

 

Fund		Qualified Dividend Income*				Dividends Received Deduction
Simplify Piper Sandler US Small-Cap PLUS Income ETF			00.00	%			00.00	%

 

*

The above percentage is based on ordinary income dividends paid to shareholders during the Fund’s fiscal year.

 

22

 

 

 

 

 

 

 

June 30, 2025

 

Annual Financial Statements and

Other Important Information

 

Simplify Exchange Traded Funds

 

Simplify Tara India Opportunities ETF (IOPP)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

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Simplify Exchange Traded Funds

Table of Contents

 

 

Schedule of Investments		4
Statement of Assets and Liabilities		6
Statement of Operations		7
Statements of Changes in Net Assets		8
Financial Highlights		9
Notes to Financial Statements		10
Report of Independent Registered Public Accounting Firm		15
Additional Information		16

 

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

 

 

 

 

Simplify Tara India Opportunities ETF

Schedule of Investments

June 30, 2025

 

 

		Shares				Value
Common Stocks – 95.0%
Communication Services – 11.7%
Bharti Airtel Ltd.			26,909			$	630,554
INFO Edge India Ltd.			23,955				415,721
							1,046,275
Consumer Discretionary – 28.0%
Bajaj Auto Ltd.			4,267				416,749
Gabriel India Ltd.			26,750				219,059
ITC Hotels Ltd.*			17,461				45,279
Tata Motors Ltd.			50,898				408,324
Titan Co. Ltd.*			11,201				481,972
UNO Minda Ltd.			28,295				364,345
Zomato Ltd.*			184,617				568,640
							2,504,368
Consumer Staples – 19.2%
Avenue Supermarts Ltd., 144A*(a)			8,081				411,993
Bikaji Foods International Ltd.*			12,884				111,248
Britannia Industries Ltd.			6,078				414,673
ITC Ltd.			77,893				378,248
Marico Ltd.			46,738				393,671
							1,709,833
Financials – 10.1%
ICICI Bank Ltd.			25,101				423,169
Kotak Mahindra Bank Ltd.			19,108				482,045
							905,214
Health Care – 7.5%
Apollo Hospitals Enterprise Ltd.			4,449				375,696
JB Chemicals & Pharmaceuticals Ltd.			14,919				292,135
							667,831
Industrials – 12.9%
Craftsman Automation Ltd.*			5,871				381,348
Havells India Ltd.			11,126				201,230
Indian Railway Catering & Tourism Corp. Ltd.			21,908				199,640
Titagarh Rail System Ltd.			17,036				187,295
Triveni Turbine Ltd.			25,135				179,500
							1,149,013
Information Technology – 2.8%
Infosys Ltd.			13,487				251,906
Materials – 2.8%
Gravita India Ltd.			7,723				169,364
SH Kelkar & Co. Ltd., 144A*(a)			28,849				79,029
							248,393
Total Common Stocks (Cost $8,882,356)							8,482,833
Money Market Fund – 2.8%
Fidelity Investments Money Market Treasury Only Portfolio - Class I, 4.15%(b)
(Cost $253,910)			253,910				253,910

 

See Notes to Financial Statements.

 

4

 

 

Simplify Tara India Opportunities ETF

Schedule of Investments (Continued)

June 30, 2025

 

 

		Value
Total Investments – 97.8%
(Cost $9,136,266)		$	8,736,743
Other Assets in Excess of Liabilities – 2.2%			192,829
Net Assets – 100.0%		$	8,929,572

 

	*	Non Income Producing
	(a)	Security was purchased (sold) pursuant to Rule 144A under the Securities Act of 1933 and may not be resold (repurchased) subject to that rule except to qualified institutional buyers. Unless otherwise noted, Rule 144A securities are deemed to be liquid. Total fair value of Rule 144A securities amounts to $491,022, which represents 5.5% of net assets as of June 30, 2025.
	(b)	Rate shown reflects the 7-day yield as of June 30, 2025.

 

Summary of Investment Type††

 

Investment Categories		% of Net Assets
Common Stocks			95.0	%
Money Market Fund			2.8	%
Total Investments			97.8	%
Other Assets in Excess of Liabilities			2.2	%
Net Assets			100.0	%

 

††

The percentage shown for each investment category is the total value of investments in that category as a percentage of the net assets of the Fund. The table depicts the Fund’s investments but may not represent the Fund’s market exposure to certain derivatives, if any, which are included in Other Assets in Excess of Liabilities.

 

See Notes to Financial Statements.

 

5

 

 

Simplify Exchange Traded Funds

Statement of Assets and Liabilities

June 30, 2025

 

 

		Simplify Tara India Opportunities ETF
Assets
Investments, at value		$	8,736,743
Cash			150,078
Receivables:
Foreign capital gains tax			30,071
Dividends			17,692
Total assets			8,934,584
Liabilities
Payables:
Investment advisory fees			5,012
Total liabilities			5,012
Net Assets		$	8,929,572
Net Assets Consist of
Paid-in capital		$	9,425,749
Distributable earnings (loss)			(496,177	)
Net Assets		$	8,929,572
Number of Common Shares outstanding			325,001
Net Asset Value, offering and redemption price per share		$	27.48
Investments, at cost		$	9,136,266

 

See Notes to Financial Statements.

 

6

 

 

Simplify Exchange Traded Funds

Statement of Operations

For the Year Ended June 30, 2025

 

 

		Simplify Tara India Opportunities ETF
Investment Income
Dividend income*		$	113,944
Expenses
Investment advisory fees			107,818
Interest expense			3,550
Total expenses			111,368
Less fees waived:
Waiver			(32,342	)
Net expenses			79,026
Net investment income (loss)			34,918
Realized and Unrealized Gain (Loss)
Net realized gain (loss) from:
Investments			732,889	(1)
Foreign currency transactions			(57,400	)
Net realized gain (loss)			675,489
Net change in unrealized appreciation (depreciation) on:
Investments			(1,020,818	)(2)
Foreign currency translations			(401	)
Net unrealized gain (loss)			(1,021,219	)
Net realized and unrealized gain (loss)			(345,730	)
Net Increase (Decrease) in Net Assets Resulting from Operations		$	(310,812	)
* Withholding tax		$	13,987

 

	(1)	Net of foreign capital gain taxes of $(308,839).
	(2)	Net of deferred foreign capital gains taxes $135,765.

 

See Notes to Financial Statements.

 

7

 

 

Simplify Exchange Traded Funds

Statements of Changes in Net Assets

 

 

		Simplify Tara India Opportunities ETF
		Year Ended June 30, 2025				For the period March 5, 2024(1) to June 30, 2024
Increase (Decrease) in Net Assets from Operations
Net investment income (loss)		$	34,918			$	(4,266	)
Net realized gain (loss)			675,489				115,205
Net change in net unrealized appreciation (depreciation)			(1,021,219	)			621,219
Net increase (decrease) in net assets resulting from operations			(310,812	)			732,158
Distributions			(1,006,686	)			—
Fund Shares Transactions
Proceeds from shares sold			6,959,317				7,673,061
Variable transaction fees (see Note 5)			41,922				16,441
Value of shares redeemed			(5,175,829	)			—
Net increase (decrease) in net assets resulting from fund share transactions			1,825,410				7,689,502
Total net increase (decrease) in Net Assets			507,912				8,421,660
Net Assets
Beginning of period			8,421,660				—
End of period		$	8,929,572			$	8,421,660
Changes in Shares Outstanding
Shares outstanding, beginning of period			300,001				—
Shares sold			225,000				300,001	(2)
Shares redeemed			(200,000	)			—
Shares outstanding, end of period			325,001				300,001

 

	(1)	Commencement of operations.
	(2)	Shares not in increment of 25,000 shares (a “Creation Unit”) represent the Adviser’s initial seed investment in connection with the commencement of operations.

 

See Notes to Financial Statements.

 

8

 

 

Simplify Exchange Traded Funds

Financial Highlights

 

 

Simplify Tara India Opportunities ETF Selected Per Share Data		Year Ended June 30, 2025				Period Ended June 30, 2024(a)
Net Asset Value, beginning of period		$	28.07			$	25.00
Income (loss) from investment operations:
Net investment income (loss)(b)			0.09				(0.02	)
Net realized and unrealized gain (loss)			1.15	(c)			3.01
Total from investment operations			1.24				2.99
Variable transaction fees (see Note 5)			0.11				0.08
Less distributions from:
Net investment income			(0.56	)			—
Net realized gains			(1.38	)			—
Total distributions			(1.94	)			—
Net Asset Value, end of period		$	27.48			$	28.07
Total Return (%)			4.93				12.29	(d)
Ratios to Average Net Assets and Supplemental Data
Net Assets, end of period ($ millions)		$	9			$	8
Ratio of expenses before fee waiver (%)			1.03	(e)			1.51	(f)(g)
Ratio of expenses after fee waiver (%)			0.73	(e)			1.21	(f)(g)
Ratio of net investment income (loss) (%)			0.32				(0.27	)(f)
Portfolio turnover rate (%)(h)			108				33	(d)

 

	(a)	For the period March 5, 2024 (commencement of operations) through June 30, 2024.
	(b)	Per share numbers have been calculated using the average shares method.
	(c)	Because of the timing of subscriptions and redemptions in relation to fluctuating markets at value, the amount shown may not agree with the change in aggregate gains and losses.
	(d)	Not annualized.
	(e)	The ratios of expenses to average net assets includes interest expense fees of 0.03%.
	(f)	Annualized.
	(g)	The ratios of expenses to average net assets includes interest expense fees of 0.51%.
	(h)	Excludes the impact of in-kind transactions related to the processing of capital share transactions in Creation Units.

 

See Notes to Financial Statements.

 

9

 

 

Simplify Exchange Traded Funds

Notes to Financial Statements

June 30, 2025

 

 

1. Organization

 

Simplify Exchange Traded Funds (the “Trust”) is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end registered management investment company organized as a Delaware statutory trust.

 

As of June 30, 2025, the Trust consists of thirty four investment series of exchange-traded funds (“ETFs”) in operation and trading. These financial statements report on the Simplify Tara India Opportunities ETF (the “Fund”). The Fund is a diversified series of the Trust.

 

Simplify Asset Management Inc. (the “Adviser”) serves as investment adviser to the Fund and has overall responsibility for the general management and administration of the Fund, subject to the oversight of the Trust’s Board of Trustees (the “Board”).

 

The Fund offers shares (“Shares”) that are listed and traded on the NYSE Arca, Inc. (“NYSE Arca” or the “Exchange”). Unlike mutual funds, the Fund issues and redeems Shares 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 Fund’s distributor. Shares are not individually redeemable securities of the Fund, and owners of the Shares who are authorized participants may acquire those Shares from the Fund, or tender such Shares for redemption to the Fund, in Creation Units only.

 

Fund		Investment Objectives
Simplify Tara India Opportunities ETF		The Fund seeks to achieve long-term capital appreciation.

 

2. 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 Fund is an investment company 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 Fund.

 

Investment Valuation

 

The 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 and the Adviser. 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 designated the Adviser as its valuation designee to execute these procedures pursuant to Rule 2a-5 under the 1940 Act. Independent pricing services may assist in calculating the value of the Fund’s portfolio securities. The Board reviews the execution of this process and the resultant fair value prices at least quarterly to assure the process produces reliable results. These securities are either categorized as Level 2 or 3 of the fair value hierarchy depending on the relevant inputs used.

 

Equity securities 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 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 are generally categorized as Level 1 of the fair value hierarchy.

 

Money Market Funds are valued at NAV.

 

Under certain circumstances, the Fund may use an independent pricing service to calculate the fair market value of foreign equity securities on a daily basis by applying valuation factors to the last sale price or the mean price as noted above. The fair market values supplied by the independent pricing service will generally reflect market trading that occurs after the close of the applicable foreign markets of comparable securities or the value of other instruments that have a strong correlation to the fair valued securities. The independent pricing service will also take into account the current relevant currency exchange rate. A security that is fair valued may be valued at a price higher or lower than actual market quotations or the value determined by other funds using their own fair valuation procedures. Because foreign securities may trade on days when Shares are not priced, the value of securities held by the Fund can change on days when Shares cannot be redeemed or purchased. In the event that a foreign security’s market quotations are not readily available or are deemed unreliable (for reasons other than because the foreign exchange on which it trades closed before the Fund’s calculation of NAV), the security will be valued at its fair market value as determined in good faith by the Adviser in accordance with procedures approved by the Board as discussed below. Without fair valuation, it is possible that short-term traders could take advantage of the arbitrage opportunity

 

10

 

 

Simplify Exchange Traded Funds

Notes to Financial Statements (Continued)

June 30, 2025

 

 

and dilute the NAV of long-term investors. Fair valuation of the Fund’s portfolio securities can serve to reduce arbitrage opportunities available to short-term traders, but there is no assurance that it will prevent dilution of the Fund’s NAV by short-term traders. In addition, because the Fund may invest in underlying ETFs which hold portfolio securities primarily listed on foreign (non-U.S.) exchanges, and these exchanges may trade on weekends or other days when the underlying ETFs do not price their shares, the value of these portfolio securities may change on days when you may not be able to buy or sell Shares.

 

Investments initially valued in currencies other than the U.S. dollar are converted to U.S. dollars using exchange rates obtained from pricing services or other parties in accordance with the valuation procedures of the Adviser. As a result, the NAV of the Shares may be affected by changes in the value of currencies in relation to the U.S. dollar. The value of securities traded in markets outside the United States or denominated in currencies other than the U.S. dollar may be affected significantly on a day that the Exchange is closed and an investor is not able to purchase, redeem or exchange Shares.

 

The 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 fund has 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 the 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.

 

The following is a summary of the valuations as of June 30, 2025 for the Fund based upon the three levels defined above:

 

Assets		Level 1				Level 2				Level 3				Total
Common Stocks		$	8,482,833			$	—			$	—			$	8,482,833
Money Market Fund			253,910				—				—				253,910
TOTAL		$	8,736,743			$	—			$	—			$	8,736,743

 

Cash

 

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

 

Foreign Currency Translations

 

The books and records of the Fund are maintained in U.S. dollars. Investment securities and other assets and liabilities denominated in a foreign currency are translated into U.S. dollars at the prevailing exchange rates at period end. Purchases and sales of investment securities, income and expenses are translated into U.S. dollars at the prevailing exchange rates on the respective dates of the transactions.

 

Net realized and unrealized gains and losses on foreign currency transactions represent net gains and losses between trade and settlement dates on securities transactions, the acquisition and disposition of foreign currencies, and the difference between the amount of net investment income accrued and the U.S. dollar amount actually received. The portion of both realized and unrealized gains and losses on investments that results from fluctuations in foreign currency exchange rates is not separately disclosed, but is included with net realized and unrealized gain/appreciation and loss/depreciation on investments.

 

Investment Transactions and Related Income

 

For financial reporting purposes, investment transactions are reported on the trade date. However, for daily NAV determination, portfolio securities transactions are reflected no later than in the first calculation on the first business day following trade date. 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 the Fund’s understanding of the applicable tax rules and regulations.

 

Income Tax Information and Distributions to Shareholders

 

It is the Fund’s policy to comply with all requirements of the Internal Revenue Code of 1986, as amended (the “Code”). The Fund intends to qualify for and to elect treatment as a separate Regulated Investment Company (“RIC”) under Subchapter M of the Code. It is the Fund’s

 

11

 

 

Simplify Exchange Traded Funds

Notes to Financial Statements (Continued)

June 30, 2025

 

 

policy to pay out dividends from net investment income quarterly. 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. The Fund may occasionally be required to make supplemental distributions at some other time during the year. The Fund reserves the right to declare special distributions if, in its reasonable discretion, such action is necessary or advisable to preserve the status of the 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 the 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 the Fund’s financial statement.

 

The Fund will recognize interest and penalties, if any, related to uncertain tax positions as income tax expense on the Statement of Operations.

 

In addition to the requirements of the Code, the Fund may also be subject to capital gains tax in India and potentially other foreign jurisdictions, on gains realized upon the sale of securities in India or other such foreign jurisdictions, payable upon repatriation of sales proceeds. Any realized losses in excess of gains in India may be carried forward to offset future gains. Exposure to Indian securities and potentially other foreign jurisdictions accrue a deferred tax liability for unrealized gains in excess of available loss carryforwards based on existing tax rates and holding periods of the securities.

 

3. Investment Advisory Agreement and Other Agreements

 

The Adviser has overall responsibility for the general management and administration of the Fund, subject to the oversight of the Board. Under an investment advisory agreement between the Trust, on behalf of the Fund, 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 Fund to operate.

 

System 2 Advisors L.P. (the “Sub-Adviser”) serves as investment sub-adviser to the Fund. The Sub-Adviser is responsible for day-to-day management of the Fund, subject to supervision of the Adviser. The Adviser, not the Fund, pays the Sub-Adviser.

 

For its investment advisory services to the Fund, the Adviser was entitled to receive a management fee computed and accrued daily and payable monthly, at an annual rate equal to 1.00% of the Fund’s average daily net assets.

 

The Adviser has contractually agreed to waive its management fee to 0.70% of the Fund’s average daily net assets through at least October 31, 2025. This agreement may be terminated only by the Board of Trustees on 60 days’ written notice to the Adviser. For the year ended June 30, 2025, the Adviser waived fees of $32,342.

 

Under the Investment Advisory Agreement, the Adviser has agreed to pay substantially all the operating expenses of the Fund, excluding interest expenses, taxes, brokerage expenses, Rule 12b-1 fees (if any), acquired fund fees and expenses, expenses incidental to a meeting of the Fund’s shareholders and the Management Fee. In addition to the excluded operating expenses, the Fund also pays non-operating expenses such as litigation and indemnification expenses and other expenses determined to be extraordinary by the Trust.

 

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, the 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 Fund 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 the 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 the Fund.

 

Foreside Financial Services, LLC (the “Distributor”) serves as the distributor of Creation Units for the Fund on an agency basis. The Distributor does not maintain a secondary market in Shares of the Fund. Adviser Compliance Associates, LLC d/b/a ACA Group, a related party to the Distributor, also provides a Chief Compliance Officer to the Trust.

 

A Trustee and certain Officers of the Trust are also employees of the Adviser and/or the Distributor.

 

12

 

 

Simplify Exchange Traded Funds

Notes to Financial Statements (Continued)

June 30, 2025

 

 

4. 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 Tara India Opportunities ETF		$	11,569,181			$	10,791,553

 

5. Fund Share Transactions

 

The Fund issues and redeems 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”). The Fund’s Shares may only be purchased and sold on the Exchange through a broker-dealer. Because the 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 Fund’s custodian when purchasing and redeeming Creation Units of the 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 Fund may charge an additional variable fee of up to a maximum of 3% of the amount invested for creations and redemptions in cash, to offset brokerage and impact expenses associated with a cash transaction.

 

6. Federal Income Taxes

 

For the year ended June 30, 2025, the effect of permanent “book/tax” reclassifications to the components of net assets are included below. These differences, if any, are primarily due to redemptions-in-kind, non-deductible excise tax paid, prior year true ups, distributions in excess, return of capital distributions, and if applicable, controlled foreign corporations income reversal.

 

Fund		Distributable earnings (loss)				Paid-in Capital
Simplify Tara India Opportunities ETF		$	89,163			$	(89,163	)

 

The tax character of dividends and distributions declared for the year ended June 30, 2025 were as follows:

 

Fund		Ordinary Income*				Long -Term Capital Gains				Return of Capital
Simplify Tara India Opportunities ETF		$	988,592			$	18,094			$	—

 

*

For tax purposes short-term capital gain distributions are considered ordinary income distributions.

 

The tax character of dividends and distributions declared for the period ended June 30, 2024 were as follows:

 

Fund

Ordinary Income*

Long -Term Capital Gains

Return of Capital

Simplify Tara India Opportunities ETF

$

—

$

—

$

—

 

*

For tax purposes short-term capital gain distributions are considered ordinary income distributions.

 

As of June 30, 2025, the components of accumulated earnings (losses) on a tax basis were as follows:

 

Fund		Undistributed Ordinary Income				Undistributed Long-term Capital Gains				Temporary Book/Tax Differences				Net Unrealized Appreciation (Depreciation)				Accumulated Capital and Other Losses				Post-October/ Late-year Ordinary Loss Deferrals				Distributable earnings (loss)
Simplify Tara India Opportunities ETF		$	—			$	—			$	—			$	(496,177	)		$	—			$	—			$	(496,177	)

 

13

 

 

Simplify Exchange Traded Funds

Notes to Financial Statements (Continued)

June 30, 2025

 

 

At June 30, 2025, gross unrealized appreciation and depreciation of investments owned by the Fund, based on cost for federal income tax purposes were as follows:

 

														Net
						Gross				Gross				Unrealized
						Unrealized				Unrealized				Appreciation
Fund		Tax Cost				Appreciation				Depreciation				(Depreciation)
Simplify Tara India Opportunities ETF		$	9,232,443			$	474,384			$	(970,561	)		$	(496,177	)

 

The differences between book-basis and tax-basis components of net assets, if applicable, 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.

 

If available, the Fund utilized the following amount of capital loss carryforwards to offset taxable gains realized during the year ended June 30, 2025:

 

Fund		Amount
Simplify Tara India Opportunities ETF		$	—

 

Certain capital and qualified late year ordinary losses incurred within the current taxable year after October 31 and December 31, respectively can be deferred. If elected these deferred losses are deemed to arise on the first business day of the Fund’s next taxable year. As of tax year-end June 30, 2025, the Fund will elect to defer post-October capital losses and late year ordinary losses as follows:

 

		Capital Post-				Late-year
Fund		October Losses				ordinary Losses
Simplify Tara India Opportunities ETF		$	—			$	—

 

7. Segment Reporting

 

The Fund operates in one segment. The Chief Operating Decision Maker (“CODM”) is the President and Chief Executive Officer of the Fund. The CODM reviews the operating results of the Fund on a consolidated basis as part of making decisions for allocating resources and evaluating performance.

 

8. 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 statements.

 

14

 

 

Simplify Exchange Traded Funds

Report of Independent Registered Public Accounting Firm

 

 

To the Shareholders and Board of Trustees of
Simplify Exchange Traded Funds

 

Opinion on the Financial Statements

 

We have audited the accompanying statement of assets and liabilities, including the schedule of investments, of Simplify Tara India Opportunities ETF (the “Fund”), a series of Simplify Exchange Traded Funds, as of June 30, 2025, the related statement of operations for the year then ended, and the statements of changes in net assets and the financial highlights for the year ended June 30, 2025 and for the period from March 5, 2024 (commencement of operations) through June 30, 2024, and the related notes (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Fund as of June 30, 2025, the results of its operations for the year then ended, and the changes in net assets and the financial highlights for each of the two periods in the period then ended, in conformity with accounting principles generally accepted in the United States of America.

 

Basis for Opinion

 

These financial statements are the responsibility of the Fund’s management. Our responsibility is to express an opinion on the Fund’s financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.

 

We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement whether due to error or fraud.

 

Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of June 30, 2025, by correspondence with the custodian and brokers. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that our audits provide a reasonable basis for our opinion.

 

We have served as the auditor of one or more funds advised by Simplify Asset Management, Inc. since 2020.

 

 

COHEN & COMPANY, LTD.

Cleveland, Ohio

August 29, 2025

 

15

 

 

Simplify Exchange Traded Funds

Additional Information (Unaudited)

 

 

Proxy Voting Policies and Procedures

 

Information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available without charge, upon request, by calling 1-855-772-8488; by visiting www.simplify.us; and on the SEC’s website at www.sec.gov.

 

Discount & Premium Information

 

Information regarding how often Shares of the Fund traded on NYSE Arca at a price above (i.e., at a premium) or below (i.e., at a discount) the NAV of the Fund can be found at www.simplify.us.

 

Tax Information

 

Form 1099-DIV and other year-end tax information provide shareholders with actual calendar year amounts that should be included in their tax returns. Shareholders should consult their tax advisors.

 

The Fund designates the following amounts or, if subsequently determined to be different, the maximum allowable for its year ended June 30, 2025.

 

		Qualified				Dividends
		Dividend				Received
Fund		Income*				Deduction
Simplify Tara India Opportunities ETF			00.00	%			00.00	%

 

*

The above percentage is based on ordinary income dividends paid to shareholders during the Fund’s fiscal year.

 

16

 

 

 

 

 

 

June 30, 2025

 

Annual Financial Statements and

Other Important Information

 

Simplify Exchange Traded Funds

 

Simplify National Muni Bond ETF (NMB)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

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Simplify Exchange Traded Funds

Table of Contents

 

 

Schedule of Investments		4
Statement of Assets and Liabilities		8
Statement of Operations		9
Statement of Changes in Net Assets		10
Financial Highlights		11
Notes to Financial Statements		12
Report of Independent Registered Public Accounting Firm		18
Additional Information		19

 

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

 

 

 

 

Simplify National Muni Bond ETF

Schedule of Investments

June 30, 2025

 

 

		Principal				Value
Municipal Bonds – 85.1%
Arizona – 2.0%
City of Phoenix Civic Improvement Corporation Junior Lien Airport RB, Series 2019B (AMT), 3.25%, 7/1/2049		$	2,000,000			$	1,457,946
California – 14.2%
Airport Commission of The City and County of San Francisco San Francisco International Airport Second Series RB Series 2025A (AMT), 5.50%, 5/1/2055(a)			2,500,000				2,595,950
Department of Airports of The City of Los Angeles California Los Angeles International Airport Subordinate Revenue and Refunding RB 2025 Series A (Private Activity/AMT), 5.00%, 5/15/2055(a)			2,000,000				2,002,947
San Diego County Regional Airport Authority San Diego International Airport Senior Airport RB, Series 2023B (Private Activity/Amt), 5.00%, 7/1/2053(a)			3,000,000				2,979,352
San Diego County Regional Airport Authority Subordinate Airport RB, Series 2021B (Private Activity/Amt), 5.00%, 7/1/2056(a)			3,000,000				2,948,858
							10,527,107
Colorado – 3.7%
City and County of Denver, Colorado for and on Behalf of Its Department of Aviation Airport System RB, Series 2022A (AMT), 4.13%, 11/15/2053			3,150,000				2,710,411
Florida – 7.2%
Miami-Dade County, Florida Seaport Revenue Refunding Bonds, Series 2021A Sub-Series 2021A-2 Bonds (NON-AMT), 3.00%, 10/1/2050			1,930,000				1,353,956
State of Florida Department of Transportation Turnpike RB, Series 2024C, 4.00%, 7/1/2051			2,000,000				1,756,162
State of Florida Department of Transportation Turnpike RB, Series 2024C, 4.00%, 7/1/2054(a)			2,500,000				2,178,332
							5,288,450
Illinois – 3.5%
City of Chicago Chicago O’Hare International Airport General Airport Senior Lien RB, Series 2024B (NON-AMT), 5.50%, 1/1/2059			2,500,000				2,619,165
Massachusetts – 2.8%
Massachusetts Development Finance Agency RB Boston College Issue, Series W 2025, 5.00%, 7/1/2055			2,000,000				2,047,410
New Mexico – 2.0%
New Mexico Mortgage Finance Authority Single Family Mortgage Program Class I Bonds, Series 2025 C (NON-AMT), 5.10%, 9/1/2055			1,500,000				1,495,270
New York – 10.2%
Dormitory Authority of The State of New York State Personal Income Tax RB General Purpose, Series 2024A, 4.00%, 3/15/2054			3,500,000				3,026,024
New York City Municipal Water Finance Authority Water and Sewer System Second General Resolution RB, Fiscal 2025 Series AA, 5.25%, 6/15/2053			2,335,000				2,430,963
New York City Transitional Finance Authority Future Tax Secured Subordinate Bonds, Fiscal 2022 Series B, 3.00%, 8/1/2048			3,000,000				2,121,960
							7,578,947
North Carolina – 2.8%
City of Charlotte North Carolina Airport RB, Series 2025A (NON-AMT), 5.25%, 7/1/2055			2,000,000				2,090,189
Oklahoma – 5.3%
Oklahoma Capitol Improvement Authority State Highways Capital Improvement RB, Series 2025A, 5.25%, 7/1/2055			2,000,000				2,085,319
Oklahoma Turnpike Authority Oklahoma Turnpike System Second Senior RB, Series 2025A, 4.25%, 1/1/2055			2,000,000				1,839,158
							3,924,477

 

See Notes to Financial Statements.

 

4

 

 

Simplify National Muni Bond ETF

Schedule of Investments (Continued)

June 30, 2025

 

 

		Principal				Value
Municipal Bonds (continued)
Pennsylvania – 10.2%
City of Philadelphia Pennsylvania Gas Works RB Seventeenth Series 1998 General Ordinance Consisting of Gas Works RB Seventeenth Series A, 5.25%, 8/1/2054		$	1,500,000			$	1,532,619
Pennsylvania Economic Development Financing Authority RB Villanova University Project, Series 2024, 4.00%, 8/1/2054			2,410,000				2,079,161
Pennsylvania Higher Educational Facilities Authority University of Pennsylvania Health System Health System RB, Series 2025, 5.50%, 8/15/2055			2,000,000				2,105,958
Pennsylvania Turnpike Commission Turnpike RB, Series A of 2025, 4.13%, 12/1/2050			2,000,000				1,848,019
							7,565,757
Texas – 18.0%
Carrollton-Farmers Branch Independent School District Dallas and Denton Counties Texas Unlimited Tax School Building Bonds, Series 2023, 4.00%, 2/15/2053			2,380,000				2,059,094
Cedar Hill Independent School District Dallas County Texas Unlimited Tax School Building Bonds, Series 2024, 4.00%, 2/15/2050			3,000,000				2,626,572
City of Austin Texas Electric Utility System Revenue Refunding and Improvement Bonds, Series 2023, 5.25%, 11/15/2053			2,000,000				2,059,087
Lower Colorado River Authority Transmission Contract Refunding RB LCRA Transmission Services Corporation Project Series 2025, 5.00%, 5/15/2055(a)			2,000,000				1,984,492
North Texas Municipal Water District Texas Panther Creek Regional Wastewater System Contract RB, Series 2025, 5.00%, 6/1/2055			2,000,000				2,014,201
North Texas Municipal Water District Water System Revenue Refunding and Improvement Bonds, Series 2025, 5.00%, 9/1/2055			2,500,000				2,547,604
							13,291,050
Virginia – 3.2%
Hampton Roads Transportation Accountability Commission Hampton Roads Transportation Fund Senior Lien RB, Series 2022, 4.00%, 7/1/2057(a)			2,750,000				2,365,253
Total Municipal Bonds (Cost $63,370,247)							62,961,432

 

		Shares
Money Market Fund – 17.0%
Fidelity Investments Money Market Treasury Only Portfolio - Class I, 4.15%(b)
(Cost $12,563,068)			12,563,068				12,563,068

 

		Number of Contracts			Notional Amount
Purchased Options – 2.2%
Calls – Exchange-Traded – 2.2%
S&P 500 Index, July Strike Price $6,200, Expires 7/03/25		67				41,540,000				210,045
S&P 500 Index, July Strike Price $6,300, Expires 7/07/25		55				34,650,000				23,760
S&P 500 Index, July Strike Price $6,275, Expires 7/09/25		150				94,125,000				254,250
S&P 500 Index, July Strike Price $6,300, Expires 7/18/25		157				98,910,000				514,960
S&P 500 Index, July Strike Price $6,500, Expires 7/31/25		293				190,450,000				285,675
S&P 500 Index, August Strike Price $6,400, Expires 8/15/25		40				25,600,000				189,600
S&P 500 Index, August Strike Price $6,650, Expires 8/15/25		101				67,165,000				65,145
										1,543,435
Puts – Exchange-Traded – 0.0%†
Nasdaq 100 Index, July Strike Price $20,450, Expires 7/11/25(c)		3				6,135,000				1,620
Nasdaq 100 Index, July Strike Price $20,600, Expires 7/16/25(c)		3				6,180,000				4,605
Russell 2000 Index, July Strike Price $1,950, Expires 7/11/25(c)		37				7,215,000				2,682
S&P 500 Index, July Strike Price $5,800, Expires 7/02/25		51				29,580,000				510
S&P 500 Index, July Strike Price $5,900, Expires 7/03/25		58				34,220,000				1,450
S&P 500 Index, July Strike Price $6,000, Expires 7/07/25		48				28,800,000				10,080
S&P 500 Index, July Strike Price $5,620, Expires 7/11/25(c)		24				13,488,000				2,460

 

See Notes to Financial Statements.

 

5

 

 

Simplify National Muni Bond ETF

Schedule of Investments (Continued)

June 30, 2025

 

 

		Number of Contracts			Notional Amount				Value
Purchased Options – 2.2% (continued)
Puts – Exchange-Traded – 0.0%† (continued)
S&P 500 Index, July Strike Price $5,650, Expires 7/16/25(c)		24			$	13,560,000			$	7,200
SPDR Gold Shares, July Strike Price $285, Expires 7/09/25(c)		375				10,687,500				3,188
SPDR Gold Shares, July Strike Price $280, Expires 7/11/25(c)		378				10,584,000				2,835
										36,630
Total Purchased Options (Cost $1,121,689)										1,580,065

 

Total Investments – 104.3%
(Cost $77,055,004)		$	77,104,565‌
Liabilities in Excess of Other Assets – (4.3)%			(3,146,213	)
Net Assets – 100.0%		$	73,958,352	‌

 

		Number of Contracts			Notional Amount
Written Options – (0.1)%
Puts – Exchange-Traded – (0.1)%
Nasdaq 100 Index, July Strike Price $21,450, Expires 7/11/25		(3)			$	(6,435,000	)		$	(6,540	)
Nasdaq 100 Index, July Strike Price $21,600, Expires 7/16/25		(3)				(6,480,000	)			(15,855	)
Russell 2000 Index, July Strike Price $2,050, Expires 7/11/25		(37)				(7,585,000	)			(10,730	)
S&P 500 Index, July Strike Price $5,920, Expires 7/11/25		(24)				(14,208,000	)			(10,800	)
S&P 500 Index, July Strike Price $5,960, Expires 7/16/25		(24)				(14,304,000	)			(29,520	)
SPDR Gold Shares, July Strike Price $295, Expires 7/09/25		(375)				(11,062,500	)			(15,000	)
SPDR Gold Shares, July Strike Price $290, Expires 7/11/25		(378)				(10,962,000	)			(9,072	)
										(97,517	)
Total Written Options (Premiums Received $129,743)									$	(97,517	)

 

	†	Less than 0.05%
	(a)	Securities with an aggregate market value of $17,032,138 have been pledged as collateral for options as of June 30, 2025.
	(b)	Rate shown reflects the 7-day yield as of June 30, 2025.
	(c)	Held in connection with Written Options.

 

Portfolio Abbreviations:

 

AMT

:

Alternative Minimum Tax (subject to)

RB

:

Revenue Bond

 

See Notes to Financial Statements.

 

6

 

 

Simplify National Muni Bond ETF

Schedule of Investments (Continued)

June 30, 2025

 

 

Summary of Investment Type††

 

Investment Categories		% of Net Assets
Municipal Bonds			85.1	%
Money Market Fund			17.0	%
Purchased Options			2.2	%
Total Investments			104.3	%
Liabilities in Excess of Other Assets			(4.3	)%
Net Assets			100.0	%

 

††

The percentage shown for each investment category is the total value of investments in that category as a percentage of the net assets of the Fund. The table depicts the Fund’s investments but may not represent the Fund’s market exposure to certain derivatives, if any, which are included in Liabilities in Excess of Other Assets.

 

See Notes to Financial Statements.

 

7

 

 

Simplify Exchange Traded Funds

Statement of Assets and Liabilities

June 30, 2025

 

 

		Simplify National Muni Bond ETF
Assets
Investments, at value		$	77,104,565
Cash			607,671
Receivables:
Securities sold			2,746,149
Interest			880,699
Total assets			81,339,084
Liabilities
Payables:
Securities purchased			7,249,840
Written options			97,517
Investment advisory fees			33,375
Total liabilities			7,380,732
Net Assets		$	73,958,352
Net Assets Consist of
Paid-in capital		$	75,117,764
Distributable earnings (loss)			(1,159,412	)
Net Assets		$	73,958,352
Number of Common Shares outstanding			2,975,001
Net Asset Value, offering and redemption price per share		$	24.86
Investments, at cost		$	77,055,004
Premiums received on written options		$	129,743

 

See Notes to Financial Statements.

 

8

 

 

Simplify Exchange Traded Funds

Statement of Operations

For the Period Ended June 30, 2025

 

 

		Simplify National Muni Bond ETF(1)
Investment Income
Dividend income		$	366,569
Interest income			2,959,478
Total income			3,326,047
Expenses
Investment advisory fees			349,350
Interest expense			821
Other expenses			400
Total expenses			350,571
Net investment income (loss)			2,975,476
Realized and Unrealized Gain (Loss)
Net realized gain (loss) from:
Investments			(5,850,488	)
Written options			4,420,597
Net realized gain (loss)			(1,429,891	)
Net change in unrealized appreciation (depreciation) on:
Investments			49,561
Written options			32,226
Net unrealized gain (loss)			81,787
Net realized and unrealized gain (loss)			(1,348,104	)
Net Increase (Decrease) in Net Assets Resulting from Operations		$	1,627,372

 

(1)	For the period September 9, 2024 (commencement of operations) through June 30, 2025.

 

See Notes to Financial Statements.

 

9

 

 

Simplify Exchange Traded Funds
Statement of Changes in Net Assets

 

 

		Simplify National Muni Bond ETF
		For the period September 9, 2024(1) to June 30, 2025
Increase (Decrease) in Net Assets from Operations
Net investment income (loss)		$	2,975,476
Net realized gain (loss)			(1,429,891	)
Net change in net unrealized appreciation (depreciation)			81,787
Net increase (decrease) in net assets resulting from operations			1,627,372
Distributions			(2,786,784	)
Fund Shares Transactions
Proceeds from shares sold			98,589,382
Value of shares redeemed			(23,471,618	)
Net increase (decrease) in net assets resulting from fund share transactions			75,117,764
Total net increase (decrease) in Net Assets			73,958,352
Net Assets
Beginning of period			—
End of period		$	73,958,352
Changes in Shares Outstanding
Shares outstanding, beginning of period			—
Shares sold			3,925,001	(2)
Shares redeemed			(950,000	)
Shares outstanding, end of period			2,975,001

 

	(1)	Commencement of operations.
	(2)	Shares not in increment of 25,000 shares (a “Creation Unit”) represent the Adviser’s initial seed investment in connection with the commencement of operations.

 

See Notes to Financial Statements.

 

10

 

 

Simplify Exchange Traded Funds
Financial Highlights

 

 

Simplify National Muni Bond ETF Selected Per Share Data		Period Ended June 30, 2025(a)
Net Asset Value, beginning of period		$	25.00
Income (loss) from investment operations:
Net investment income (loss)(b)			0.84
Net realized and unrealized gain (loss)			(0.19	)
Total from investment operations			0.65
Less distributions from:
Net investment income			(0.79	)
Total distributions			(0.79	)
Net Asset Value, end of period		$	24.86
Total Return (%)			2.80	(c)
Ratios to Average Net Assets and Supplemental Data
Net Assets, end of period ($ millions)		$	74
Ratio of expenses (%)			0.50	(d)
Ratio of net investment income (loss) (%)			4.26	(d)
Portfolio turnover rate (%)(e)			678	(c)

 

(a)	For the period September 9, 2024 (commencement of operations) through June 30, 2025.
(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.

 

See Notes to Financial Statements.

 

11

 

 

Simplify Exchange Traded Funds

Notes to Financial Statements

June 30, 2025

 

 

1. Organization

 

Simplify Exchange Traded Funds (the “Trust”) is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end registered management investment company organized as a Delaware statutory trust.

 

As of June 30, 2025, the Trust consists of thirty four investment series of exchange-traded funds (“ETFs”) in operation and trading. These financial statements report on the Simplify National Muni Bond ETF (the “Fund”). The Fund is a diversified series of the Trust.

 

Simplify Asset Management Inc. (the “Adviser”) serves as investment adviser to the Fund and has overall responsibility for the general management and administration of the Fund, subject to the oversight of the Trust’s Board of Trustees (the “Board”).

 

The Fund offers shares (“Shares”) that are listed and traded on the NYSE Arca, Inc. (“NYSE Arca” or the “Exchange”). Unlike mutual funds, the Fund issues and redeems Shares 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 Fund’s distributor. Shares are not individually redeemable securities of the Fund, and owners of the Shares who are authorized participants may acquire those Shares from the Fund, or tender such Shares for redemption to the Fund, in Creation Units only.

 

Fund		Investment Objectives
Simplify National Muni Bond ETF		The Fund seek income, with a secondary investment objective of capital appreciation.

 

2. 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 Fund is an investment company 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 Fund.

 

Investment Valuation

 

The 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 and the Adviser. 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 designated the Adviser as its valuation designee to execute these procedures pursuant to Rule 2a-5 under the 1940 Act. Independent pricing services may assist in calculating the value of the Fund’s portfolio securities. The Board reviews the execution of this process and the resultant fair value prices at least quarterly to assure the process produces reliable results. These securities are either categorized as Level 2 or 3 of the fair value hierarchy depending on the relevant inputs used.

 

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.

 

Money Market Funds are valued at NAV.

 

Under certain circumstances, the Fund may use an independent pricing service to calculate the fair market value of foreign equity securities on a daily basis by applying valuation factors to the last sale price or the mean price as noted above. The fair market values supplied by the independent pricing service will generally reflect market trading that occurs after the close of the applicable foreign markets of comparable securities or the value of other instruments that have a strong correlation to the fair valued securities. The independent pricing service will also take into account the current relevant currency exchange rate. A security that is fair valued may be valued at a

 

12

 

 

Simplify Exchange Traded Funds

Notes to Financial Statements (Continued)

June 30, 2025

 

 

price higher or lower than actual market quotations or the value determined by other funds using their own fair valuation procedures. Because foreign securities may trade on days when Shares are not priced, the value of securities held by the Fund can change on days when Shares cannot be redeemed or purchased. In the event that a foreign security’s market quotations are not readily available or are deemed unreliable (for reasons other than because the foreign exchange on which it trades closed before the Fund’s calculation of NAV), the security will be valued at its fair market value as determined in good faith by the Adviser in accordance with procedures approved by the Board. Without fair valuation, it is possible that short-term traders could take advantage of the arbitrage opportunity and dilute the NAV of long-term investors. Fair valuation of the Fund’s portfolio securities can serve to reduce arbitrage opportunities available to short-term traders, but there is no assurance that it will prevent dilution of the Fund’s NAV by short-term traders. In addition, because the Fund’s may invest in underlying ETFs which hold portfolio securities primarily listed on foreign (non-U.S.) exchanges, and these exchanges may trade on weekends or other days when the underlying ETFs do not price their shares, the value of these portfolio securities may change on days when you may not be able to buy or sell Shares.

 

Investments initially valued in currencies other than the U.S. dollar are converted to U.S. dollars using exchange rates obtained from pricing services or other parties in accordance with the valuation procedures of the Adviser. As a result, the NAV of the Shares may be affected by changes in the value of currencies in relation to the U.S. dollar. The value of securities traded in markets outside the United States or denominated in currencies other than the U.S. dollar may be affected significantly on a day that the Exchange is closed and an investor is not able to purchase, redeem or exchange Shares.

 

The 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 fund has 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 the 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.

 

The following is a summary of the valuations as of June 30, 2025 for the Fund based upon the three levels defined above:

 

Assets		Level 1				Level 2				Level 3				Total
Municipal Bonds		$	—			$	62,961,432			$	—			$	62,961,432
Purchased Options			1,580,065				—				—				1,580,065
Money Market Fund			12,563,068				—				—				12,563,068
TOTAL		$	14,143,133			$	62,961,432			$	—			$	77,104,565

 

Liabilities		Level 1				Level 2				Level 3				Total
Written Options		$	(97,517	)		$	—			$	—			$	(97,517	)
TOTAL		$	(97,517	)		$	—			$	—			$	(97,517	)

 

Cash

 

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

 

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. 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 Statement of Operations is shown net of any foreign taxes withheld on income from foreign securities, which are provided for in accordance with the Fund’s understanding of the applicable tax rules and regulations.

 

Income Tax Information and Distributions to Shareholders

 

It is the Fund’s policy to comply with all requirements of the Internal Revenue Code of 1986, as amended (“the Code”). The Fund intends to qualify for and to elect treatment as a separate Regulated Investment Company (“RIC”) under Subchapter M of the Code. It is the Fund’s policy is to pay out dividends from net investment income quarterly. Taxable net realized gains from investment transactions, reduced by

 

13

 

 

Simplify Exchange Traded Funds

Notes to Financial Statements (Continued)

June 30, 2025

 

 

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. The Fund may occasionally be required to make supplemental distributions at some other time during the year. The Fund reserves the right to declare special distributions if, in its reasonable discretion, such action is necessary or advisable to preserve the status of the 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 the 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 the Fund’s financial statement.

 

The Fund will recognize interest and penalties, if any, related to uncertain tax positions as income tax expense on the Statement of Operations.

 

3. Derivative Financial Instruments

 

In the normal course of business, the Fund uses derivative contracts in connection with its proprietary trading activities. Derivative contracts are subject to additional risks that can result in a loss of all or part of an investment. The Fund’s derivative activities and exposure to derivative contracts are classified by the following primary underlying risks: interest rate, credit, foreign exchange, commodity price, and equity price. In addition to its primary underlying risks, the Fund is also subject to additional counterparty risk due to inability of its counterparties to meet the terms of their contracts.

 

FASB Accounting Standards Codification, Derivatives and Hedging (“ASC 815”) requires enhanced disclosures about the Fund’s use of, and accounting for, derivative instruments and the effect of derivative instruments on the Fund’s financial position and results of operations. Tabular disclosure regarding derivative fair value and gain/loss by contract type (e.g., interest rate contracts, foreign exchange contracts, credit contracts, etc.) is required and derivatives accounted for as hedging instruments under ASC 815 must be disclosed separately from those that do not qualify for hedge accounting. Even though the Fund may use derivatives in an attempt to achieve an economic hedge, the Fund’s derivatives are not accounted for as hedging instruments under ASC 815 because investment companies account for their derivatives at fair value and record any changes in fair value in current period earnings.

 

Option Contracts

 

The 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 Statement 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 Statement 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 Statement of Operations to the extent the cost of the closing transaction exceeds the premiums received or paid. When the Fund 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 Fund write a put option, cash is segregated in an

 

14

 

 

Simplify Exchange Traded Funds

Notes to Financial Statements (Continued)

June 30, 2025

 

 

amount sufficient to cover the obligation. These amounts, which are considered restricted, are included in cash pledged as collateral for options written in the Statement of Assets and Liabilities.

 

The following table summarizes the value of the Fund’s derivative instruments held as of June 30, 2025 and the related location in the accompanying Statement of Assets and Liabilities, presented by underlying risk exposure:

 

Fund		Asset Derivatives						Liability Derivatives
Simplify National Muni Bond ETF
Commodity Contracts		Investments, at value(1)		$	6,023			Investments, at value(1)		$	—
Equity Contracts		Investments, at value(1)		$	1,574,042			Investments, at value(1)		$	—
Commodity Contracts		Written options		$	—			Written options		$	24,072
Equity Contracts		Written options		$	—			Written options		$	73,445

 

(1)

Purchased option contracts are included in Investments within the Statement of Assets and Liabilities.

 

For the period ended June 30, 2025, realized gains/(losses) and the change in unrealized appreciation/(depreciation) on purchased option contracts ^(a) by risk type, as disclosed in the Statement of Operations, is as follows:

 

Fund		Risk Type		Realized Gain/ (Loss)				Change in Unrealized Appreciation/ (Depreciation)
Simplify National Muni Bond ETF		Equity		$	654,295			$	460,997
Simplify National Muni Bond ETF		Commodity			(452,424	)			(2,621	)
Simplify National Muni Bond ETF		Interest Rate			(73,640	)			—

 

(a)

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

 

For the period ended June 30, 2025, realized gains/(losses) and the change in unrealized appreciation/(depreciation) on written option contracts by risk type, as disclosed in the Statement of Operations, is as follows:

 

Fund		Risk Type		Realized Gain/ (Loss)				Change in Unrealized Appreciation/ (Depreciation)
Simplify National Muni Bond ETF		Equity		$	3,413,985			$	23,334
Simplify National Muni Bond ETF		Commodity			873,404				8,892
Simplify National Muni Bond ETF		Interest Rate			133,208				—

 

For the period ended June 30, 2025, the average fiscal quarter end balances of outstanding derivative financial instruments were as follows:

 

Fund		Purchased Option Contracts (Contract Value)				Written Option Contracts (Contract Value)
Simplify National Muni Bond ETF		$	669,319			$	(568,390	)

 

4. Investment Advisory Agreement and Other Agreements

 

The Adviser has overall responsibility for the general management and administration of the Fund, subject to the oversight of the Board. Under an investment advisory agreement between the Trust, on behalf of the Fund, 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 Fund to operate.

 

FCO Advisors LP (the “Sub-Adviser”) serves as investment sub-adviser to the Fund. The Sub-Adviser is responsible for day-to-day management of the Fund, subject to supervision of the Adviser. The Adviser, not the Fund, pays the Sub-Adviser.

 

15

 

 

Simplify Exchange Traded Funds

Notes to Financial Statements (Continued)

June 30, 2025

 

 

For its investment advisory services to the Fund, the Adviser was entitled to receive a management fee computed and accrued daily and payable monthly, at an annual rate equal to 0.50% of the Fund’s average daily net assets.

 

Under the Investment Advisory Agreement, the Adviser has agreed to pay substantially all the operating expenses of the Fund, excluding interest expenses, taxes, brokerage expenses, Rule 12b-1 fees (if any), acquired fund fees and expenses, expenses incidental to a meeting of the Fund’s shareholders and the management fee. In addition to the excluded operating expenses, the Fund also pays non-operating expenses such as litigation and indemnification expenses and other expenses determined to be extraordinary by the Trust.

 

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, the 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 Fund 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 the 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 the Fund.

 

Foreside Financial Services, LLC (the “Distributor”) serves as the distributor of Creation Units for the Fund on an agency basis. The Distributor does not maintain a secondary market in Shares of the Fund. Adviser Compliance Associates, LLC d/b/a ACA Group, a related party to the Distributor, also provides a Chief Compliance Officer to the Trust.

 

A Trustee and certain Officers of the Trust are also employees of the Adviser and/or an affiliate of the Distributor.

 

5. 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 National Muni Bond ETF		$	550,419,160			$	481,246,218

 

6. Fund Share Transactions

 

The Fund issues and redeems 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”). The Fund’s Shares may only be purchased and sold on the Exchange through a broker-dealer. Because the 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 “Fund’s custodian” when purchasing and redeeming Creation Units of the 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 Fund may charge an additional variable fee of up to a maximum of 3% of the amount invested for creations and redemptions in cash, to offset brokerage and impact expenses associated with a cash transaction.

 

7. Federal Income Taxes

 

For the period ended June 30, 2025, the effect of permanent “book/tax” reclassifications to the components of net assets are included below. These differences, if any, are primarily due to redemptions-in-kind, non-deductible excise tax paid, prior year true ups, distributions in excess, return of capital distributions, and if applicable, controlled foreign corporations income reversal.

 

Fund		Distributable earnings (loss)				Paid-in Capital
Simplify National Muni Bond ETF		$	—			$	—

 

The tax character of dividends and distributions declared for the period ended June 30, 2025 were as follows:

 

Fund		Ordinary Income*				Tax-Exempt				Long -Term Capital Gains				Return of Capital
Simplify National Muni Bond ETF		$	558,727			$	2,228,057			$	—			$	—

 

*

For tax purposes short-term capital gain distributions are considered ordinary income distributions.

 

16

 

 

Simplify Exchange Traded Funds

Notes to Financial Statements (Continued)

June 30, 2025

 

 

As of June 30, 2025, the components of accumulated earnings (losses) on a tax basis were as follows:

 

Fund		Undistributed Ordinary Income				Undistributed Long-term Capital Gains				Temporary Book/Tax Differences				Net Unrealized Appreciation (Depreciation)				Accumulated Capital and Other Losses				Post-October/ Late-year Ordinary Loss Deferrals				Distributable earnings (loss)
Simplify National Muni Bond ETF		$	188,692			$	—			$	—			$	(569,607	)		$	(778,497	)		$	—			$	(1,159,412	)

 

At June 30, 2025, gross unrealized appreciation and depreciation of investments, including derivatives, owned by the Fund, based on cost for federal income tax purposes were as follows:

 

Fund		Tax Cost				Gross Unrealized Appreciation				Gross Unrealized Depreciation				Net Unrealized Appreciation (Depreciation)
Simplify National Muni Bond ETF		$	77,683,064			$	380,422			$	(950,029	)		$	(569,607	)

 

The differences between book-basis and tax-basis components of net assets, if applicable, 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.

 

If available, the Fund utilized the following amount of capital loss carryforwards to offset taxable gains realized during the period ended June 30, 2025:

 

Fund		Amount
Simplify National Muni Bond ETF		$	—

 

At June 30, 2025, 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 National Muni Bond ETF		$	778,497			$	—			$	778,497

 

Certain capital and qualified late year ordinary losses incurred within the current taxable year after October 31 and December 31, respectively can be deferred. If elected these deferred losses are deemed to arise on the first business day of the Fund’s next taxable year. As of tax year-end June 30, 2025, the Fund will elect to defer post-October capital losses and late year ordinary losses as follows:

 

Fund		Capital Post- October Losses				Late-year ordinary Losses
Simplify National Muni Bond ETF		$	—			$	—

 

8. Segment Reporting

 

The Fund operates in one segment. The Chief Operating Decision Maker (“CODM”) is the President and Chief Executive Officer of the Fund. The CODM reviews the operating results of the Fund on a consolidated basis as part of making decisions for allocating resources and evaluating performance.

 

9. 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 statements.

 

17

 

 

Simplify Exchange Traded Funds

Report of Independent Registered Public Accounting Firm

 

 

To the Shareholders and Board of Trustees of
Simplify Exchange Traded Funds

 

Opinion on the Financial Statements

 

We have audited the accompanying statement of assets and liabilities, including the schedule of investments, of Simplify National Muni Bond ETF (the “Fund), a series of Simplify Exchange Traded Funds, as of June 30, 2025, the related statements of operations and changes in net assets and the financial highlights for the period from September 9, 2024 (commencement of operations) to June 30, 2025, and the related notes (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Fund as of June 30, 2025, the results of its operations, the changes in net assets, and the financial highlights for the period then ended, in conformity with accounting principles generally accepted in the United States of America.

 

Basis for Opinion

 

These financial statements are the responsibility of the Fund’s management. Our responsibility is to express an opinion on the Fund’s financial statements based on our audit. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.

 

We conducted our audit in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement whether due to error or fraud.

 

Our audit included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of June 30, 2025, by correspondence with the custodian and brokers; when replies were not received from brokers, we performed other auditing procedures. Our audit also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that our audit provides a reasonable basis for our opinion.

 

We have served as the auditor of one or more funds advised by Simplify Asset Management, Inc. since 2020.

 

 

COHEN & COMPANY, LTD.

Cleveland, Ohio

August 29, 2025

 

18

 

 

Simplify Exchange Traded Funds

Additional Information (Unaudited)

 

 

Proxy Voting Policies and Procedures

 

Information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available without charge, upon request, by calling 1-855-772-8488; by visiting www.simplify.us; and on the SEC’s website at www.sec.gov.

 

Discount & Premium Information

 

Information regarding how often Shares of the Fund traded on NYSE Arca at a price above (i.e., at a premium) or below (i.e., at a discount) the NAV of the Fund can be found at www.simplify.us.

 

Tax Information

 

Form 1099-DIV and other year-end tax information provide shareholders with actual calendar year amounts that should be included in their tax returns. Shareholders should consult their tax advisors.

 

The Fund designates the following amounts or, if subsequently determined to be different, the maximum allowable for its year ended June 30, 2025.

 

Fund		Qualified Dividend Income*				Dividends Received Deduction
Simplify National Muni Bond ETF			0.00	%			0.00	%

 

*

The above percentage is based on ordinary income dividends paid to shareholders during the Fund’s fiscal year.

 

19

 

 

 

 

 

 

June 30, 2025

 

Annual Financial Statements and

Other Important Information

 

Simplify Exchange Traded Funds

 

Simplify Gamma Emerging Market Bond ETF (GAEM)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

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Simplify Exchange Traded Funds

Table of Contents

 

 

Schedule of Investments		4
Statement of Assets and Liabilities		8
Statement of Operations		9
Statement of Changes in Net Assets		10
Financial Highlights		11
Notes to Financial Statements		12
Report of Independent Registered Public Accounting Firm		17
Additional Information		18

 

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

 

 

 

 

Simplify Gamma Emerging Market Bond ETF

Schedule of Investments

June 30, 2025

 

 

		Principal				Value
Foreign Bonds – 92.5%
Argentina – 4.7%
Argentine Republic Government International Bond, 4.13%, 7/9/2035		$	500,000			$	338,601
Pluspetrol SA, 8.50%, 5/30/2032, 144A(a)			200,000				203,500
							542,101
Bahamas – 3.3%
Bahamas Government International Bond, 6.00%, 11/21/2028			80,000				79,840
Bahamas Government International Bond, 8.25%, 6/24/2036, 144A(a)			300,000				305,100
							384,940
Brazil – 6.6%
Braskem Netherlands Finance BV, 8.00%, 10/15/2034, 144A(a)			250,000				200,413
Brazilian Government International Bond, 6.00%, 10/20/2033			200,000				198,888
CSN Resources SA, 8.88%, 12/5/2030			150,000				147,983
LD Celulose International GmbH, 7.95%, 1/26/2032, 144A(a)			200,000				210,625
							757,909
Chile – 1.8%
Latam Airlines Group SA, 7.88%, 4/15/2030, 144A(a)			200,000				204,250
Colombia – 19.5%
Aris Mining Corp., 8.00%, 10/31/2029, 144A(a)			200,000				203,716
Banco Davivienda SA, 8.13%, (US 5 Year CMT T-Note + 4.59%), 7/2/2035, 144A(a)(b)			250,000				252,050
Bancolombia SA, 8.63%, (US 5 Year CMT T-Note + 4.32%), 12/24/2034(b)			200,000				210,414
Colombia Government International Bond, 8.75%, 11/14/2053			310,000				307,783
Colombia Government International Bond, 8.38%, 11/7/2054			200,000				190,560
Colombia Telecomunicaciones SA ESP, 4.95%, 7/17/2030			408,000				352,683
Ecopetrol SA, 7.75%, 2/1/2032			250,000				246,075
Ecopetrol SA, 8.38%, 1/19/2036			300,000				289,499
Empresas Publicas de Medellin ESP, 4.25%, 7/18/2029			200,000				184,585
							2,237,365
Dominican Republic – 17.2%
AES Espana BV, 5.70%, 5/4/2028			180,000				172,759
Dominican Republic International Bond, 10.50%, 3/15/2037, 144A(a)	DOP		64,700,000				1,081,930
Dominican Republic International Bond, 7.15%, 2/24/2055, 144A(a)			200,000				199,890
Dominican Republic International Bond, 5.88%, 1/30/2060			343,000				288,754
Empresa Generadora de Electricidad Haina SA, 5.63%, 11/8/2028			250,000				238,530
							1,981,863
El Salvador – 6.3%
El Salvador Government International Bond, 7.65%, 6/15/2035			250,000				241,250
El Salvador Government International Bond, 7.63%, 2/1/2041			250,000				228,750
El Salvador Government International Bond, 9.65%, 11/21/2054, 144A(a)			250,000				257,500
							727,500
Guatemala – 1.7%
Investment Energy Resources Ltd., 6.25%, 4/26/2029			200,000				196,191
Honduras – 3.2%
Honduras Government International Bond, 8.63%, 11/27/2034, 144A(a)			350,000				367,763
Jamaica – 1.8%
Kingston Airport Revenue Finance Ltd., 6.75%, 12/15/2036, 144A(a)			200,000				201,283

 

See Notes to Financial Statements.

 

4

 

 

Simplify Gamma Emerging Market Bond ETF

Schedule of Investments (Continued)

June 30, 2025

 

 

		Principal				Value
Foreign Bonds (continued)
Mexico – 8.1%
Comision Federal de Electricidad, 6.45%, 1/24/2035, 144A(a)		$	400,000			$	394,467
Petroleos Mexicanos, 6.63%, 6/15/2035			170,000				142,800
Petroleos Mexicanos, 7.69%, 1/23/2050			500,000				393,630
							930,897
Panama – 14.0%
Panama Government International Bond, 3.16%, 1/23/2030			300,000				271,162
Panama Government International Bond, 6.70%, 1/26/2036			270,000				268,836
Panama Government International Bond, 6.85%, 3/28/2054			200,000				183,326
Panama Government International Bond, 7.88%, 3/1/2057			300,000				305,725
Promerica Financial Corp., 10.75%, 8/14/2028			200,000				208,612
Telecomunicaciones Digitales SA, 4.50%, 1/30/2030			200,000				186,737
UEP Penonome II SA, 6.50%, 10/1/2038			202,777				179,932
							1,604,330
Peru – 1.7%
Volcan Cia Minera SAA, 8.75%, 1/24/2030			200,000				198,841
Trinidad and Tobago – 2.6%
National Gas Co of Trinidad & Tobago Ltd., 6.05%, 1/15/2036			100,000				90,745
Telecommunications Services of Trinidad & Tobago Ltd., 8.88%, 10/18/2029			200,000				202,474
							293,219
Total Foreign Bonds (Cost $10,448,965)							10,628,452
U.S. Treasury Bills – 7.8%
U.S. Treasury Bill, 4.08%, 7/29/2025(c)			500,000				498,386
U.S. Treasury Bill, 4.38%, 8/14/2025(c)			400,000				397,899
Total U.S. Treasury Bills (Cost $896,306)							896,285

 

		Shares
Money Market Fund – 0.1%
Fidelity Investments Money Market Treasury Only Portfolio - Class I, 4.15%(d)
(Cost $14,848)			14,848				14,848
Total Investments – 100.4%
(Cost $11,360,119)						$	11,539,585
Liabilities in Excess of Other Assets – (0.4)%							(44,635	)
Net Assets – 100.0%						$	11,494,950

 

	(a)	Security was purchased (sold) pursuant to Rule 144A under the Securities Act of 1933 and may not be resold (repurchased) subject to that rule except to qualified institutional buyers. Unless otherwise noted, Rule 144A securities are deemed to be liquid. Total fair value of Rule 144A securities amounts to $4,082,487, which represents 35.5% of net assets as of June 30, 2025.
	(b)	Floating rate investment. Interest rates reset periodically. Interest rate shown reflects the rate in effect at June 30, 2025. For securities based on a published reference rate and spread, the reference rate and spread are indicated in the description above.
	(c)	Represents a zero coupon bond. Rate shown reflects the effective yield.
	(d)	Rate shown reflects the 7-day yield as of June 30, 2025.

 

Currency Abbreviations:

 

DOP

:

Dominican Peso

 

See Notes to Financial Statements.

 

5

 

 

Simplify Gamma Emerging Market Bond ETF

Schedule of Investments (Continued)

June 30, 2025

 

 

Portfolio Abbreviations:

 

CMT

:

Treasury Constant Maturity Rate

 

INDUSTRY ALLOCATION*
Government			52.0	%
Energy			14.8	%
Utilities			9.0	%
Basic Materials			8.4	%
Communications			6.4	%
Financial			5.8	%
Consumer, Cyclical			1.8	%
Industrial			1.7	%
Money Market Fund			0.1	%

 

*

Percentage of total investments as of June 30, 2025.

 

See Notes to Financial Statements.

 

6

 

 

 

 

 

 

 

 

 

 

 

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Simplify Exchange Traded Funds

Statement of Assets and Liabilities

June 30, 2025

 

 

		Simplify Gamma Emerging Market Bond ETF
Assets
Investments, at value		$	11,539,585
Receivables:
Securities sold			832,120
Interest			256,722
Total assets			12,628,427
Liabilities
Payables:
Securities purchased			1,126,369
Investment advisory fees			7,108
Total liabilities			1,133,477
Net Assets		$	11,494,950
Net Assets Consist of
Paid-in capital		$	11,279,586
Distributable earnings (loss)			215,364
Net Assets		$	11,494,950
Number of Common Shares outstanding			450,001
Net Asset Value, offering and redemption price per share		$	25.54
Investments, at cost		$	11,360,119

 

See Notes to Financial Statements.

 

8

 

 

Simplify Exchange Traded Funds

Statement of Operations

For the Period Ended June 30, 2025

 

 

		Simplify Gamma Emerging Market Bond ETF(1)
Investment Income
Interest income		$	784,028
Total income			784,028
Expenses
Investment advisory fees			93,409
Interest expense			654
Total expenses			94,063
Less fees waived:
Waiver			(19,665	)
Net expenses			74,398
Net investment income (loss)			709,630
Realized and Unrealized Gain (Loss)
Net realized gain (loss) from:
Investments			121,442
Foreign currency transactions			1,240
Net realized gain (loss)			122,682
Net change in unrealized appreciation (depreciation) on:
Investments			179,466
Foreign currency translations			(9,970	)
Net unrealized gain (loss)			169,496
Net realized and unrealized gain (loss)			292,178
Net Increase (Decrease) in Net Assets Resulting from Operations		$	1,001,808

 

(1)

For the period August 12, 2024 (commencement of operations) through June 30, 2025.

 

See Notes to Financial Statements.

 

9

 

 

Simplify Exchange Traded Funds

Statement of Changes in Net Assets

 

 

		Simplify Gamma Emerging Market Bond ETF
		For the period August 12, 2024(1) to June 30, 2025
Increase (Decrease) in Net Assets from Operations
Net investment income (loss)		$	709,630
Net realized gain (loss)			122,682
Net change in net unrealized appreciation (depreciation)			169,496
Net increase (decrease) in net assets resulting from operations			1,001,808
Distributions			(786,444	)
Fund Shares Transactions
Proceeds from shares sold			11,279,586
Value of shares redeemed			—
Net increase (decrease) in net assets resulting from fund share transactions			11,279,586
Total net increase (decrease) in Net Assets			11,494,950
Net Assets
Beginning of period			—
End of period		$	11,494,950
Changes in Shares Outstanding
Shares outstanding, beginning of period			—
Shares sold			450,001	(2)
Shares redeemed			—
Shares outstanding, end of period			450,001

 

	(1)	Commencement of operations.
	(2)	Shares not in increment of 25,000 shares (a “Creation Unit”) represent the Adviser’s initial seed investment in connection with the commencement of operations.

 

See Notes to Financial Statements.

 

10

 

 

Simplify Exchange Traded Funds

Financial Highlights

 

 

Simplify Gamma Emerging Market Bond ETF Selected Per Share Data		Period Ended June 30, 2025(a)
Net Asset Value, beginning of period		$	25.00
Income (loss) from investment operations:
Net investment income (loss)(b)			1.62
Net realized and unrealized gain (loss)			0.67
Total from investment operations			2.29
Less distributions from:
Net investment income			(1.49	)
Net realized gains			(0.26	)
Total distributions			(1.75	)
Net Asset Value, end of period		$	25.54
Total Return (%)			9.42	(c)
Ratios to Average Net Assets and Supplemental Data
Net Assets, end of period ($ millions)		$	11
Ratio of expenses before fee waiver (%)			0.96	(d)(e)
Ratio of expenses after fee waiver (%)			0.76	(d)(e)
Ratio of net investment income (loss) (%)			7.22	(d)
Portfolio turnover rate (%)(f)			131	(c)

 

	(a)	For the period August 12, 2024 (commencement of operations) through June 30, 2025.
	(b)	Per share numbers have been calculated using the average shares method.
	(c)	Not annualized.
	(d)	Annualized.
	(e)	The ratios of expenses to average net assets includes interest expense fees of 0.01%.
	(f)	Excludes the impact of in-kind transactions related to the processing of capital share transactions in Creation Units.

 

See Notes to Financial Statements.

 

11

 

 

Simplify Exchange Traded Funds

Notes to Financial Statements

June 30, 2025

 

 

1. Organization

 

Simplify Exchange Traded Funds (the “Trust”) is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end registered management investment company organized as a Delaware statutory trust.

 

As of June 30, 2025, the Trust consists of thirty four investment series of exchange-traded funds (“ETFs”) in operation and trading. These financial statements report on the Simplify Gamma Emerging Market Bond ETF (the “Fund”). The Fund is a non-diversified series of the Trust.

 

Simplify Asset Management Inc. (the “Adviser”) serves as investment adviser to the Fund and has overall responsibility for the general management and administration of the Fund, subject to the oversight of the Trust’s Board of Trustees (the “Board”).

 

The Fund offers shares (“Shares”) that are listed and traded on the NYSE Arca, Inc. (“NYSE Arca” or the “Exchange”). Unlike mutual funds, the Fund issues and redeems Shares 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 Fund’s distributor. Shares are not individually redeemable securities of the Fund, and owners of the Shares who are authorized participants may acquire those Shares from the Fund, or tender such Shares for redemption to the Fund, in Creation Units only.

 

Fund		Investment Objectives
Simplify Gamma Emerging Market Bond ETF		The Fund seeks income and capital appreciation.

 

2. 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 Fund is an investment company 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 Fund.

 

Investment Valuation

 

The 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 and the Adviser. 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 designated the Adviser as its valuation designee to execute these procedures pursuant to Rule 2a-5 under the 1940 Act. Independent pricing services may assist in calculating the value of the Fund’s portfolio securities. The Board reviews the execution of this process and the resultant fair value prices at least quarterly to assure the process produces reliable results. These securities are either categorized as Level 2 or 3 of the fair value hierarchy depending on the relevant inputs used.

 

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.

 

Money Market Funds are valued at NAV.

 

Under certain circumstances, the Fund may use an independent pricing service to calculate the fair market value of foreign equity securities on a daily basis by applying valuation factors to the last sale price or the mean price as noted above. The fair market values supplied by the independent pricing service will generally reflect market trading that occurs after the close of the applicable foreign markets of comparable securities or the value of other instruments that have a strong correlation to the fair valued securities. The independent pricing service will also take into account the current relevant currency exchange rate. A security that is fair valued may be valued at a price higher or lower than actual market quotations or the value determined by other funds using their own fair valuation procedures. Because foreign securities may trade on days when Shares are not priced, the value of securities held by the Fund can change on days when Shares cannot be redeemed or purchased. In the event that a foreign security’s market quotations are not readily available or are deemed unreliable (for reasons other than because the foreign exchange on which it trades closed before the Fund’s calculation of NAV), the security will be valued at its fair market value as determined in good faith by the Adviser in accordance with procedures approved by the Board. Without fair valuation, it is possible that short-term traders could take advantage of the arbitrage opportunity and dilute the NAV

 

12

 

 

Simplify Exchange Traded Funds

Notes to Financial Statements (Continued)

June 30, 2025

 

 

of long-term investors. Fair valuation of the Fund’s portfolio securities can serve to reduce arbitrage opportunities available to short-term traders, but there is no assurance that it will prevent dilution of the Fund’s NAV by short-term traders. In addition, because the Fund’s may invest in underlying ETFs which hold portfolio securities primarily listed on foreign (non-U.S.) exchanges, and these exchanges may trade on weekends or other days when the underlying ETFs do not price their shares, the value of these portfolio securities may change on days when you may not be able to buy or sell Shares.

 

Investments initially valued in currencies other than the U.S. dollar are converted to U.S. dollars using exchange rates obtained from pricing services or other parties in accordance with the valuation procedures of the Adviser. As a result, the NAV of the Shares may be affected by changes in the value of currencies in relation to the U.S. dollar. The value of securities traded in markets outside the United States or denominated in currencies other than the U.S. dollar may be affected significantly on a day that the Exchange is closed and an investor is not able to purchase, redeem or exchange Shares.

 

The 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 fund has 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 the 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.

 

The following is a summary of the valuations as of June 30, 2025 for the Fund based upon the three levels defined above:

 

Assets		Level 1				Level 2				Level 3				Total
Foreign Bonds		$	—			$	10,628,452			$	—			$	10,628,452
U.S. Treasury Bills			896,285				—				—				896,285
Money Market Fund			14,848				—				—				14,848
TOTAL		$	911,133			$	10,628,452			$	—			$	11,539,585

 

Cash

 

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

 

Foreign Currency Translations

 

The books and records of the Fund are maintained in U.S. dollars. Investment securities and other assets and liabilities denominated in a foreign currency are translated into U.S. dollars at the prevailing exchange rates at period end. Purchases and sales of investment securities, income and expenses are translated into U.S. dollars at the prevailing exchange rates on the respective dates of the transactions.

 

Net realized and unrealized gains and losses on foreign currency transactions represent net gains and losses between trade and settlement dates on securities transactions, the acquisition and disposition of foreign currencies, and the difference between the amount of net investment income accrued and the U.S. dollar amount actually received. The portion of both realized and unrealized gains and losses on investments that results from fluctuations in foreign currency exchange rates is not separately disclosed, but is included with net realized and unrealized gain/appreciation and loss/depreciation on investments.

 

Investment Transactions and Related Income

 

For financial reporting purposes, investment transactions are reported on the trade date. However, for daily NAV determination, portfolio securities transactions are reflected no later than in the first calculation on the first business day following trade date. 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 Statement of Operations is shown net of any foreign taxes withheld on income from foreign securities, which are provided for in accordance with the Fund’s understanding of the applicable tax rules and regulations.

 

Income Tax Information and Distributions to Shareholders

 

It is the Fund’s policy to comply with all requirements of the Internal Revenue Code of 1986, as amended (“the Code”). The Fund intends to qualify for and to elect treatment as a separate Regulated Investment Company (“RIC”) under Subchapter M of the Code. It is the Fund’s

 

13

 

 

Simplify Exchange Traded Funds

Notes to Financial Statements (Continued)

June 30, 2025

 

 

policy is to pay out dividends from net investment income quarterly. 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. The Fund may occasionally be required to make supplemental distributions at some other time during the year. The Fund reserves the right to declare special distributions if, in its reasonable discretion, such action is necessary or advisable to preserve the status of the 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 the 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 the Fund’s financial statement.

 

The Fund will recognize interest and penalties, if any, related to uncertain tax positions as income tax expense on the Statement of Operations.

 

3. Investment Advisory Agreement and Other Agreements

 

The Adviser has overall responsibility for the general management and administration of the Fund, subject to the oversight of the Board. Under an investment advisory agreement between the Trust, on behalf of the Fund, 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 Fund to operate.

 

Gamma Asset Management LLC (the “Sub-Adviser”) serves as investment sub-adviser to the Fund. The Sub-Adviser is responsible for day-to-day management of the Fund, subject to supervision of the Adviser. The Adviser, not the Fund, pays the Sub-Adviser.

 

For its investment advisory services to the Fund, the Adviser was entitled to receive a management fee computed and accrued daily and payable monthly, at an annual rate equal to 0.95% of the Fund’s average daily net assets.

 

The Adviser has contractually agreed to waive its fee payable under the management agreement to 0.75% of the Fund’s average daily net assets through at least October 31, 2025. This agreement may be terminated only by the Board of Trustees on 60 days’ written notice to the Adviser. For the period ended June 30, 2025, the Adviser waived fees of $19,665.

 

Under the Investment Advisory Agreement, the Adviser has agreed to pay substantially all the operating expenses of the Fund, excluding interest expenses, taxes, brokerage expenses, Rule 12b-1 fees (if any), acquired fund fees and expenses, expenses incidental to a meeting of the Fund’s shareholders and the management fee. In addition to the excluded operating expenses, the Fund also pays non-operating expenses such as litigation and indemnification expenses and other expenses determined to be extraordinary by the Trust.

 

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, the 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 Fund 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 the 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 the Fund.

 

Foreside Financial Services, LLC (the “Distributor”) serves as the distributor of Creation Units for the Fund on an agency basis. The Distributor does not maintain a secondary market in Shares of the Fund. Adviser Compliance Associates, LLC d/b/a ACA Group, a related party to the Distributor, also provides a Chief Compliance Officer to the Trust.

 

A Trustee and certain Officers of the Trust are also employees of the Adviser and/or an affiliate of the Distributor.

 

4. 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 Gamma Emerging Market Bond ETF		$	22,745,421			$	12,464,188

 

14

 

 

Simplify Exchange Traded Funds

Notes to Financial Statements (Continued)

June 30, 2025

 

 

5. Fund Share Transactions

 

The Fund issues and redeems 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”). The Fund’s Shares may only be purchased and sold on the Exchange through a broker-dealer. Because the 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 Fund’s custodian when purchasing and redeeming Creation Units of the 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 Fund may charge an additional variable fee of up to a maximum of 3% of the amount invested for creations and redemptions in cash, to offset brokerage and impact expenses associated with a cash transaction.

 

6. Federal Income Taxes

 

For the period ended June 30, 2025, the effect of permanent “book/tax” reclassifications to the components of net assets are included below. These differences, if any, are primarily due to redemptions-in-kind, non-deductible excise tax paid, prior year true ups, distributions in excess, return of capital distributions, and if applicable, controlled foreign corporations income reversal.

 

Fund		Distributable earnings (loss)				Paid-in Capital
Simplify Gamma Emerging Market Bond ETF		$	—			$	—

 

The tax character of dividends and distributions declared for the period ended June 30, 2025 were as follows:

 

Fund		Ordinary Income*				Long-Term Capital Gains				Return of Capital
Simplify Gamma Emerging Market Bond ETF		$	786,444			$	—			$	—

 

*

For tax purposes short-term capital gain distributions are considered ordinary income distributions.

 

As of June 30, 2025, the components of accumulated earnings (losses) on a tax basis were as follows:

 

Fund		Undistributed Ordinary Income				Undistributed Long-term Capital Gains				Temporary Book/Tax Differences				Net Unrealized Appreciation (Depreciation)				Accumulated Capital and Other Losses				Post-October/ Late-year Ordinary Loss Deferrals				Distributable earnings (loss)
Simplify Gamma Emerging Market Bond ETF		$	95,248			$	—			$	—			$	169,496			$	—			$	(49,380	)		$	215,364

 

At June 30, 2025, gross unrealized appreciation and depreciation of investments owned by the Fund, based on cost for federal income tax purposes were as follows:

 

Fund		Tax Cost				Gross Unrealized Appreciation				Gross Unrealized Depreciation				Net Unrealized Appreciation (Depreciation)
Simplify Gamma Emerging Market Bond ETF		$	11,360,119			$	330,995			$	(161,499	)		$	169,496

 

The differences between book-basis and tax-basis components of net assets, if applicable, 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.

 

15

 

 

Simplify Exchange Traded Funds

Notes to Financial Statements (Continued)

June 30, 2025

 

 

If available, the Fund utilized the following amount of capital loss carryforwards to offset taxable gains realized during the period ended June 30, 2025:

 

Fund		Amount
Simplify Gamma Emerging Market Bond ETF		$	—

 

Certain capital and qualified late year ordinary losses incurred within the current taxable year after October 31 and December 31, respectively can be deferred. If elected these deferred losses are deemed to arise on the first business day of the Fund’s next taxable year. As of tax year-end June 30, 2025, the Fund will elect to defer post-October capital losses and late year ordinary losses as follows:

 

Fund		Capital Post- October Losses				Late-year ordinary Losses
Simplify Gamma Emerging Market Bond ETF		$	49,380			$	—

 

7. Segment Reporting

 

The Fund operates in one segment. The Chief Operating Decision Maker (“CODM”) is the President and Chief Executive Officer of the Fund. The CODM reviews the operating results of the Fund on a consolidated basis as part of making decisions for allocating resources and evaluating performance.

 

8. 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 statements.

 

16

 

 

Simplify Exchange Traded Funds

Report of Independent Registered Public Accounting Firm

 

 

To the Shareholders and Board of Trustees of
Simplify Exchange Traded Funds

 

Opinion on the Financial Statements

 

We have audited the accompanying statement of assets and liabilities, including the schedule of investments, of Simplify Gamma Emerging Market Bond ETF (the “Fund), a series of Simplify Exchange Traded Funds, as of June 30, 2025, the related statements of operations and changes in net assets and the financial highlights for the period from August 12, 2024 (commencement of operations) to June 30, 2025, and the related notes (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Fund as of June 30, 2025, the results of its operations, the changes in net assets, and the financial highlights for the period then ended, in conformity with accounting principles generally accepted in the United States of America.

 

Basis for Opinion

 

These financial statements are the responsibility of the Fund’s management. Our responsibility is to express an opinion on the Fund’s financial statements based on our audit. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.

 

We conducted our audit in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement whether due to error or fraud.

 

Our audit included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of June 30, 2025, by correspondence with the custodian and brokers; when replies were not received from brokers, we performed other auditing procedures. Our audit also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that our audit provides a reasonable basis for our opinion.

 

We have served as the auditor of one or more funds advised by Simplify Asset Management, Inc. since 2020.

 

 

COHEN & COMPANY, LTD.

Cleveland, Ohio

August 29, 2025

 

17

 

 

Simplify Exchange Traded Funds

Additional Information (Unaudited)

 

 

Proxy Voting Policies and Procedures

 

Information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available without charge, upon request, by calling 1-855-772-8488; by visiting www.simplify.us; and on the SEC’s website at www.sec.gov.

 

Discount & Premium Information

 

Information regarding how often Shares of the Fund traded on NYSE Arca at a price above (i.e., at a premium) or below (i.e., at a discount) the NAV of the Fund can be found at www.simplify.us.

 

Tax Information

 

Form 1099-DIV and other year-end tax information provide shareholders with actual calendar year amounts that should be included in their tax returns. Shareholders should consult their tax advisors.

 

The Fund designates the following amounts or, if subsequently determined to be different, the maximum allowable for its period ended June 30, 2025.

 

Fund		Qualified Dividend Income*				Dividends Received Deduction
Simplify Gamma Emerging Market Bond ETF			0.00	%			0.00	%

 

*

The above percentage is based on ordinary income dividends paid to shareholders during the Fund’s fiscal year.

 

18

 

 

 

 

 

 

June 30, 2025

 

Annual Financial Statements and

Other Important Information

 

Simplify Exchange Traded Funds

 

Simplify Kayne Anderson Energy and Infrastructure Credit ETF (KNRG)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

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Simplify Exchange Traded Funds

Table of Contents

 

 

	Schedule of Investments	4
	Statement of Assets and Liabilities	6
	Statement of Operations	7
	Statements of Changes in Net Assets	8
	Financial Highlights	9
	Notes to Financial Statements	10
	Report of Independent Registered Public Accounting Firm	15
	Additional Information	16

 

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

 

 

 

 

Simplify Kayne Anderson Energy and Infrastructure Credit ETF

Schedule of Investments

June 30, 2025

 

 

		Principal				Value
Corporate Bonds – 96.7%
Energy – 72.9%
Buckeye Partners LP, 5.85%, 11/15/2043		$	200,000			$	176,634
CQP Holdco LP / BIP-V Chinook Holdco LLC, 7.50%, 12/15/2033, 144A(a)			300,000				326,698
Delek Logistics Partners LP / Delek Logistics Finance Corp., 7.38%, 6/30/2033, 144A(a)			200,000				199,263
Enbridge, Inc., 8.50%, (US 5 Year CMT T-Note + 4.43%), 1/15/2084(b)			350,000				390,617
Energy Transfer LP, 7.13%, (US 5 Year CMT T-Note + 5.31%), 5/15/2174, Series G			725,000				740,271
Hess Midstream Operations LP, 5.88%, 3/1/2028, 144A(a)			300,000				304,669
Kinder Morgan Energy Partners LP, 6.95%, 1/15/2038			300,000				332,945
Oneok Partners LP, 6.13%, 2/1/2041			400,000				400,700
Plains All American Pipeline LP, 8.70%, (3-Month CME Term SOFR + 4.37%), 11/15/2173, Series B(b)			500,000				502,307
Prairie Acquiror LP, 9.00%, 8/1/2029, 144A(a)			650,000				676,378
Rockies Express Pipeline LLC, 6.75%, 3/15/2033, 144A(a)			150,000				156,677
Rockies Express Pipeline LLC, 6.88%, 4/15/2040, 144A(a)			100,000				100,247
South Bow Canadian Infrastructure Holdings Ltd., 7.50%, (US 5 Year CMT T-Note + 3.67%), 3/1/2055, 144A(a)(b)			400,000				413,061
Tallgrass Energy Partners LP / Tallgrass Energy Finance Corp., 7.38%, 2/15/2029, 144A(a)			150,000				154,262
Targa Resources Corp., 6.50%, 2/15/2053			200,000				205,780
TransCanada PipeLines Ltd., 6.80%, (3-Month CME Term SOFR + 2.47%), 5/15/2067(b)			400,000				369,643
Venture Global LNG, Inc., 8.38%, 6/1/2031, 144A(a)			38,000				39,500
Venture Global LNG, Inc., 9.88%, 2/1/2032, 144A(a)			75,000				81,047
Venture Global LNG, Inc., 9.00%, (US 5 Year CMT T-Note + 5.44%), 12/31/2049, 144A(a)(b)			437,000				425,601
Western Midstream Operating LP, 5.45%, 4/1/2044			350,000				306,169
Williams Cos., Inc. (The), 8.75%, 3/15/2032			350,000				421,412
Williams Cos., Inc. (The), 5.75%, 6/24/2044			250,000				245,398
							6,969,279
Utilities – 23.8%
AES Corp. (The), 7.60%, (US 5 Year CMT T-Note + 3.20%), 1/15/2055(b)			100,000				103,422
AES Corp. (The), 6.95%, (US 5 Year CMT T-Note + 2.89%), 7/15/2055(b)			150,000				146,193
AltaGas Ltd., 7.20%, (US 5 Year CMT T-Note + 2.89%), 10/15/2054, 144A(a)(b)			300,000				300,816
Entergy Corp., 7.13%, (US 5 Year CMT T-Note + 2.67%), 12/1/2054(b)			400,000				414,961
PG&E Corp., 7.38%, (US 5 Year CMT T-Note + 3.88%), 3/15/2055(b)			500,000				474,385
Sempra, 6.88%, (US 5 Year CMT T-Note + 2.79%), 10/1/2054			400,000				403,513
Venture Global Plaquemines LNG LLC, 7.75%, 5/1/2035, 144A(a)			300,000				325,008
Vistra Corp., 8.88%, (US 5 Year CMT T-Note + 5.05%), 7/15/2174, Series C, 144A(a)			100,000				108,939
							2,277,237
Total Corporate Bonds (Cost $9,071,608)							9,246,516

 

		Shares
Preferred Stocks – 1.0%
Utilities – 1.0%
Nextera Energy, Inc.
(Cost $94,460)			2,000				94,180
Money Market Fund – 0.5%
Fidelity Investments Money Market Treasury Only Portfolio - Class I, 4.15%(c)
(Cost $48,338)			48,338				48,338

 

See Notes to Financial Statements.

 

4

 

 

Simplify Kayne Anderson Energy and Infrastructure Credit ETF

Schedule of Investments (Continued)

June 30, 2025

 

 

		Value
Total Investments – 98.2%
(Cost $9,214,406)		$	9,389,034
Other Assets in Excess of Liabilities – 1.8%			169,757
Net Assets – 100.0%		$	9,558,791

 

	(a)	Security was purchased (sold) pursuant to Rule 144A under the Securities Act of 1933 and may not be resold (repurchased) subject to that rule except to qualified institutional buyers. Unless otherwise noted, Rule 144A securities are deemed to be liquid. Total fair value of Rule 144A securities amounts to $3,612,166, which represents 37.7% of net assets as of June 30, 2025.
	(b)	Floating rate investment. Interest rates reset periodically. Interest rate shown reflects the rate in effect at June 30, 2025. For securities based on a published reference rate and spread, the reference rate and spread are indicated in the description above.
	(c)	Rate shown reflects the 7-day yield as of June 30, 2025.

 

Portfolio Abbreviations:

 

CME	:	Chicago Mercantile Exchange
CMT	:	Treasury Constant Maturity Rate
SOFR	:	Secured Overnight Financing Rate

 

Summary of Investment Type††

 

Investment Categories		% of Net Assets
Corporate Bonds			96.7	%
Preferred Stocks			1.0	%
Money Market Fund			0.5	%
Total Investments			98.2	%
Other Assets in Excess of Liabilities			1.8	%
Net Assets			100.0	%

 

††

The percentage shown for each investment category is the total value of investments in that category as a percentage of the net assets of the Fund. The table depicts the Fund’s investments but may not represent the Fund’s market exposure to certain derivatives, if any, which are included in Other Assets in Excess of Liabilities.

 

See Notes to Financial Statements.

 

5

 

 

Simplify Exchange Traded Funds

Statement of Assets and Liabilities

June 30, 2025

 

 

		Simplify Kayne Anderson Energy and Infrastructure Credit ETF
Assets
Investments, at value		$	9,389,034
Receivables:
Interest			175,218
Total assets			9,564,252
Liabilities
Payables:
Investment advisory fees			5,461
Total liabilities			5,461
Net Assets		$	9,558,791
Net Assets Consist of
Paid-in capital		$	9,385,729
Distributable earnings (loss)			173,062
Net Assets		$	9,558,791
Number of Common Shares outstanding			375,001
Net Asset Value, offering and redemption price per share		$	25.49
Investments, at cost		$	9,214,406

 

See Notes to Financial Statements.

 

6

 

 

Simplify Exchange Traded Funds

Statement of Operations

For the Period Ended June 30, 2025

 

 

		Simplify Kayne Anderson Energy and Infrastructure Credit ETF(1)
Investment Income
Dividend income		$	1,824
Interest income			53,310
Total income			55,134
Expenses
Investment advisory fees			5,769
Total expenses			5,769
Net investment income (loss)			49,365
Realized and Unrealized Gain (Loss)
Net realized gain (loss) from:
Investments			6,346
Net realized gain (loss)			6,346
Net change in unrealized appreciation (depreciation) on:
Investments			174,628
Net unrealized gain (loss)			174,628
Net realized and unrealized gain (loss)			180,974
Net Increase (Decrease) in Net Assets Resulting from Operations		$	230,339

 

(1)

For the period May 27, 2025 (commencement of operations) through June 30, 2025.

 

See Notes to Financial Statements.

 

7

 

 

Simplify Exchange Traded Funds

Statements of Changes in Net Assets

 

 

		Simplify Kayne Anderson Energy and Infrastructure Credit ETF
		For the period May 27, 2025(1) to June 30, 2025
Increase (Decrease) in Net Assets from Operations
Net investment income (loss)		$	49,365
Net realized gain (loss)			6,346
Net change in net unrealized appreciation (depreciation)			174,628
Net increase (decrease) in net assets resulting from operations			230,339
Distributions			(56,250	)
Fund Shares Transactions
Proceeds from shares sold			9,384,702
Value of shares redeemed			—
Net increase (decrease) in net assets resulting from fund share transactions			9,384,702
Total net increase (decrease) in Net Assets			9,558,791
Net Assets
Beginning of period			—
End of period		$	9,558,791
Changes in Shares Outstanding
Shares outstanding, beginning of period			—
Shares sold			375,001	(2)
Shares redeemed			—
Shares outstanding, end of period			375,001

 

(1)	Commencement of operations.
(2)	Shares not in increment of 25,000 shares (a “Creation Unit”) represent the Adviser’s initial seed investment in connection with the commencement of operations.

 

See Notes to Financial Statements.

 

8

 

 

Simplify Exchange Traded Funds

Financial Highlights

 

 

Simplify Kayne Anderson Energy and Infrastructure Credit ETF Selected Per Share Data		Period Ended June 30, 2025(a)
Net Asset Value, beginning of period		$	25.00
Income (loss) from investment operations:
Net investment income (loss)(b)			0.15
Net realized and unrealized gain (loss)			0.49
Total from investment operations			0.64
Less distributions from:
Net investment income			(0.15	)
Total distributions			(0.15	)
Net Asset Value, end of period		$	25.49
Total Return (%)			2.56	(c)
Ratios to Average Net Assets and Supplemental Data
Net Assets, end of period ($ millions)		$	10
Ratio of expenses (%)			0.75	(d)
Ratio of net investment income (loss) (%)			6.42	(d)
Portfolio turnover rate (%)(e)			8	(c)

 

	(a)	For the period May 27, 2025 (commencement of operations) through June 30, 2025.
	(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.

 

See Notes to Financial Statements.

 

9

 

 

Simplify Exchange Traded Funds

Notes to Financial Statements

June 30, 2025

 

 

1. Organization

 

Simplify Exchange Traded Funds (the “Trust”) is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end registered management investment company organized as a Delaware statutory trust.

 

As of June 30, 2025, the Trust consists of thirty four investment series of exchange-traded funds (“ETFs”) in operation and trading. These financial statements report on the Simplify Kayne Anderson Energy and Infrastructure Credit ETF (the “Fund”). The Fund is a non-diversified series of the Trust.

 

Simplify Asset Management Inc. (the “Adviser”) serves as investment adviser to the Fund and has overall responsibility for the general management and administration of the Fund, subject to the oversight of the Trust’s Board of Trustees (the “Board”).

 

The Fund offers shares (“Shares”) that are listed and traded on the NYSE Arca, Inc. (“NYSE Arca” or the “Exchange”). Unlike mutual funds, the Fund issues and redeems Shares 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 Fund’s distributor. Shares are not individually redeemable securities of the Fund, and owners of the Shares who are authorized participants may acquire those Shares from the Fund, or tender such Shares for redemption to the Fund, in Creation Units only.

 

Fund		Investment Objectives
Simplify Kayne Anderson Energy and Infrastructure Credit ETF		The Fund primarily seeks current income and secondarily seeks capital appreciation.

 

2. 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 Fund is an investment company 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 Fund.

 

Investment Valuation

 

The 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 and the Adviser. 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 designated the Adviser as its valuation designee to execute these procedures pursuant to Rule 2a-5 under the 1940 Act. Independent pricing services may assist in calculating the value of the Fund’s portfolio securities. The Board reviews the execution of this process and the resultant fair value prices at least quarterly to assure the process produces reliable results. These securities are either categorized as Level 2 or 3 of the fair value hierarchy depending on the relevant inputs used.

 

Equity securities and preferred stocks 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 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 are generally categorized as Level 1 of 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.

 

Money Market Funds are valued at NAV.

 

Under certain circumstances, the Fund may use an independent pricing service to calculate the fair market value of foreign equity securities on a daily basis by applying valuation factors to the last sale price or the mean price as noted above. The fair market values supplied by the independent pricing service will generally reflect market trading that occurs after the close of the applicable foreign markets of comparable securities or the value of other instruments that have a strong correlation to the fair valued securities. The independent pricing service will also take into account the current relevant currency exchange rate. A security that is fair valued may be valued at a

 

10

 

 

Simplify Exchange Traded Funds

Notes to Financial Statements (Continued)

June 30, 2025

 

 

price higher or lower than actual market quotations or the value determined by other funds using their own fair valuation procedures. Because foreign securities may trade on days when Shares are not priced, the value of securities held by the Fund can change on days when Shares cannot be redeemed or purchased. In the event that a foreign security’s market quotations are not readily available or are deemed unreliable (for reasons other than because the foreign exchange on which it trades closed before the Fund’s calculation of NAV), the security will be valued at its fair market value as determined in good faith by the Adviser in accordance with procedures approved by the Board. Without fair valuation, it is possible that short-term traders could take advantage of the arbitrage opportunity and dilute the NAV of long-term investors. Fair valuation of the Fund’s portfolio securities can serve to reduce arbitrage opportunities available to short-term traders, but there is no assurance that it will prevent dilution of the Fund’s NAV by short-term traders. In addition, because the Fund’s may invest in underlying ETFs which hold portfolio securities primarily listed on foreign (non-U.S.) exchanges, and these exchanges may trade on weekends or other days when the underlying ETFs do not price their shares, the value of these portfolio securities may change on days when you may not be able to buy or sell Shares.

 

Investments initially valued in currencies other than the U.S. dollar are converted to U.S. dollars using exchange rates obtained from pricing services or other parties in accordance with the valuation procedures of the Adviser. As a result, the NAV of the Shares may be affected by changes in the value of currencies in relation to the U.S. dollar. The value of securities traded in markets outside the United States or denominated in currencies other than the U.S. dollar may be affected significantly on a day that the Exchange is closed and an investor is not able to purchase, redeem or exchange Shares.

 

The 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 Fund has 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 the 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.

 

The following is a summary of the valuations as of June 30, 2025 for the Fund based upon the three levels defined above:

 

Simplify Kayne Anderson Energy and Infrastructure Credit ETF

 

Assets		Level 1				Level 2				Level 3				Total
Corporate Bonds		$	—			$	9,246,516			$	—			$	9,246,516
Preferred Stocks			94,180				—				—				94,180
Money Market Fund			48,338				—				—				48,338
TOTAL		$	142,518			$	9,246,516			$	—			$	9,389,034

 

Cash

 

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

 

Foreign Currency Translations

 

The books and records of the Fund are maintained in U.S. dollars. Investment securities and other assets and liabilities denominated in a foreign currency are translated into U.S. dollars at the prevailing exchange rates at period end. Purchases and sales of investment securities, income and expenses are translated into U.S. dollars at the prevailing exchange rates on the respective dates of the transactions.

 

Net realized and unrealized gains and losses on foreign currency transactions represent net gains and losses between trade and settlement dates on securities transactions, the acquisition and disposition of foreign currencies, and the difference between the amount of net investment income accrued and the U.S. dollar amount actually received. The portion of both realized and unrealized gains and losses on investments that results from fluctuations in foreign currency exchange rates is not separately disclosed, but is included with net realized and unrealized gain/appreciation and loss/depreciation on investments.

 

Investment Transactions and Related Income

 

For financial reporting purposes, investment transactions are reported on the trade date. However, for daily NAV determination, portfolio securities transactions are reflected no later than in the first calculation on the first business day following trade date. 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 Statement of Operations is shown net of any foreign

 

11

 

 

Simplify Exchange Traded Funds

Notes to Financial Statements (Continued)

June 30, 2025

 

 

taxes withheld on income from foreign securities, which are provided for in accordance with the Fund’s understanding of the applicable tax rules and regulations.

 

Income Tax Information and Distributions to Shareholders

 

It is the Fund’s policy to comply with all requirements of the Internal Revenue Code of 1986, as amended (“the Code”). The Fund intends to qualify for and to elect treatment as a separate Regulated Investment Company (“RIC”) under Subchapter M of the Code. It is the Fund’s policy 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. The Fund may occasionally be required to make supplemental distributions at some other time during the year. The Fund reserves the right to declare special distributions if, in its reasonable discretion, such action is necessary or advisable to preserve the status of the 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 the 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 the Fund’s financial statement.

 

The Fund will recognize interest and penalties, if any, related to uncertain tax positions as income tax expense on the Statement of Operations.

 

3. Investment Advisory Agreement and Other Agreements

 

The Adviser has overall responsibility for the general management and administration of the Fund, subject to the oversight of the Board. Under an investment advisory agreement between the Trust, on behalf of the Fund, 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 Fund to operate.

 

Kayne Anderson Capital Advisors, L.P. (the “Sub-Adviser”) serves as investment sub-adviser to the Fund. The Sub-Adviser is responsible for day-to-day management of the Fund’s credit portfolio, subject to supervision of the Adviser. The Adviser, not the Fund, pays the Sub-Adviser.

 

For its investment advisory services to the Fund, the Adviser was entitled to receive a management fee computed and accrued daily and payable monthly, at an annual rate equal to 0.75% of Fund’s average daily net assets.

 

Under the Investment Advisory Agreement, the Adviser has agreed to pay substantially all the operating expenses of the Fund, excluding interest expenses, taxes, brokerage expenses, Rule 12b-1 fees (if any), acquired fund fees and expenses, expenses incidental to a meeting of the Fund’s shareholders and the management fee. In addition to the excluded operating expenses, the Fund also pays non-operating expenses such as litigation and indemnification expenses and other expenses determined to be extraordinary by the Trust.

 

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, the 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 Fund 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 the 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 the Fund.

 

Foreside Financial Services, LLC (the “Distributor”) serves as the distributor of Creation Units for the Fund on an agency basis. The Distributor does not maintain a secondary market in Shares of the Fund. Adviser Compliance Associates, LLC d/b/a ACA Group, a related party to the Distributor, also provides a Chief Compliance Officer to the Trust.

 

A Trustee and certain Officers of the Trust are also employees of the Adviser and/or an affiliate of the Distributor.

 

12

 

 

Simplify Exchange Traded Funds

Notes to Financial Statements (Continued)

June 30, 2025

 

 

4. 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 Kayne Anderson Energy and Infrastructure Credit ETF		$	9,548,691			$	387,919

 

5. Fund Share Transactions

 

The Fund issues and redeems 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”). The Fund’s Shares may only be purchased and sold on the Exchange through a broker-dealer. Because the 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 Fund’s custodian when purchasing and redeeming Creation Units of the 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 Fund may charge an additional variable fee of up to a maximum of 3% of the amount invested for creations and redemptions in cash, to offset brokerage and impact expenses associated with a cash transaction.

 

6. Federal Income Taxes

 

For the period ended June 30, 2025, the effect of permanent “book/tax” reclassifications to the components of net assets are included below. These differences, if any, are primarily due to redemptions-in-kind, non-deductible excise tax paid, prior year true ups, distributions in excess, return of capital distributions, and if applicable, controlled foreign corporations income reversal.

 

Fund		Distributable earnings (loss)				Paid-in Capital
Simplify Kayne Anderson Energy and Infrastructure Credit ETF		$	(1,028	)		$	1,028

 

The tax character of dividends and distributions declared for the period ended June 30, 2025 were as follows:

 

Fund		Ordinary Income*				Long-Term Capital Gains				Return of Capital
Simplify Kayne Anderson Energy and Infrastructure Credit ETF		$	56,250			$	—			$	—

 

*

For tax purposes short-term capital gain distributions are considered ordinary income distributions.

 

As of June 30, 2025, the components of accumulated earnings (losses) on a tax basis were as follows:

 

Fund		Undistributed Ordinary Income				Undistributed Long-term Capital Gains				Temporary Book/Tax Differences				Net Unrealized Appreciation (Depreciation)				Accumulated Capital and Other Losses				Post-October/ Late-year Ordinary Loss Deferrals				Distributable earnings (loss)
Simplify Kayne Anderson Energy and Infrastructure Credit ETF		$	—			$	—			$	—			$	173,062			$	—			$	—			$	173,062

 

13

 

 

Simplify Exchange Traded Funds

Notes to Financial Statements (Continued)

June 30, 2025

 

 

At June 30, 2025, gross unrealized appreciation and depreciation of investments owned by the Fund, based on cost for federal income tax purposes were as follows:

 

Fund		Tax Cost				Gross Unrealized Appreciation				Gross Unrealized Depreciation				Net Unrealized Appreciation (Depreciation)
Simplify Kayne Anderson Energy and Infrastructure Credit ETF		$	9,215,947			$	194,021			$	(20,959	)		$	173,062

 

The differences between book-basis and tax-basis components of net assets, if applicable, 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, 2025, for federal income tax purposes, the Fund 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 Kayne Anderson Energy and Infrastructure Credit ETF

$

—

$

—

$

—

 

If available, the Fund utilized the following amount of capital loss carryforwards to offset taxable gains realized during the period ended June 30, 2025:

 

Fund		Amount
Simplify Kayne Anderson Energy and Infrastructure Credit ETF		$	—

 

Certain capital and qualified late year ordinary losses incurred within the current taxable year after October 31 and December 31, respectively can be deferred. If elected these deferred losses are deemed to arise on the first business day of the Fund’s next taxable year. As of tax year-end June 30, 2025, the Fund will elect to defer post-October capital losses and late year ordinary losses as follows:

 

Fund		Capital Post- October Losses				Late-year ordinary Losses
Simplify Kayne Anderson Energy and Infrastructure Credit ETF		$	—			$	—

 

7. Segment Reporting

 

The Fund operates in one segment. The Chief Operating Decision Maker (“CODM”) is the President and Chief Executive Officer of the Fund. The CODM reviews the operating results of the Fund on a consolidated basis as part of making decisions for allocating resources and evaluating performance.

 

8. 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 statements.

 

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Simplify Exchange Traded Funds

Report of Independent Registered Public Accounting Firm

 

 

To the Shareholders and Board of Trustees of
Simplify Exchange Traded Funds

 

Opinion on the Financial Statements

 

We have audited the accompanying statement of assets and liabilities, including the schedule of investments, of Simplify Kayne Anderson Energy and Infrastructure Credit ETF (the “Fund), a series of Simplify Exchange Traded Funds, as of June 30, 2025, the related statements of operations and changes in net assets and the financial highlights for the period from May 27, 2025 (commencement of operations) to June 30, 2025, and the related notes (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Fund as of June 30, 2025, the results of its operations, the changes in net assets, and the financial highlights for the period then ended, in conformity with accounting principles generally accepted in the United States of America.

 

Basis for Opinion

 

These financial statements are the responsibility of the Fund’s management. Our responsibility is to express an opinion on the Fund’s financial statements based on our audit. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.

 

We conducted our audit in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement whether due to error or fraud.

 

Our audit included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of June 30, 2025, by correspondence with the custodian and brokers. Our audit also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that our audit provides a reasonable basis for our opinion.

 

We have served as the auditor of one or more funds advised by Simplify Asset Management, Inc. since 2020.

 

 

COHEN & COMPANY, LTD.

Cleveland, Ohio

August 29, 2025

 

15

 

 

Simplify Exchange Traded Funds

Additional Information (Unaudited)

 

 

Proxy Voting Policies and Procedures

 

Information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available without charge, upon request, by calling 1-855-772-8488; by visiting www.simplify.us; and on the SEC’s website at www.sec.gov.

 

Discount & Premium Information

 

Information regarding how often Shares of the Fund traded on NYSE Arca at a price above (i.e., at a premium) or below (i.e., at a discount) the NAV of the Fund can be found at www.simplify.us.

 

Tax Information

 

Form 1099-DIV and other year-end tax information provide shareholders with actual calendar year amounts that should be included in their tax returns. Shareholders should consult their tax advisors.

 

The Fund designates the following amounts or, if subsequently determined to be different, the maximum allowable for its period ended June 30, 2025.

 

Fund		Qualified Dividend Income*				Dividends Received Deduction
Simplify Kayne Anderson Energy and Infrastructure Credit ETF			0.00	%			0.00	%

 

*

The above percentage is based on ordinary income dividends paid to shareholders during the Fund’s fiscal year.

 

16