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                    <name>BOARD OF TRADE OF THE CITY OF CHICAGO, INC.</name>
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                      <ticker value="USU5"/>
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                      <issuerName>US TREASURY N/B</issuerName>
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            <delta>XXXX</delta>
            <unrealizedAppr>276791.44000000</unrealizedAppr>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>TREASURY BILL</name>
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        <fairValLevel>1</fairValLevel>
        <debtSec>
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      </invstOrSec>
      <invstOrSec>
        <name>iShares Core U.S. Aggregate Bond ETF</name>
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        <valUSD>308446528.00000000</valUSD>
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        <assetCat>EC</assetCat>
        <issuerCat>RF</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>MORGAN STANLEY &amp; CO. LLC</name>
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          <other otherDesc="INTERNAL" value="OTCMS0011"/>
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        <valUSD>0.00000000</valUSD>
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        <assetCat>DE</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="OPT">
            <counterparties>
              <counterpartyName>MORGAN STANLEY &amp; CO. LLC</counterpartyName>
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            <putOrCall>Put</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>CONSTANT MATURITY SWAP</issuerName>
                <issueTitle>CONSTANT MATURITY SWAP</issueTitle>
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                  <other otherDesc="INTERNAL" value="CMS_INDEX_US"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <shareNo>1.00000000</shareNo>
            <exercisePrice>0.40000000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2025-09-30</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>0.00000000</unrealizedAppr>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>BOARD OF TRADE OF THE CITY OF CHICAGO, INC.</name>
        <lei>549300EX04Q2QBFQTQ27</lei>
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        <balance>-560.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-166250.00000000</valUSD>
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        <invCountry>US</invCountry>
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        <fairValLevel>1</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="OPT">
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              <counterpartyName>BOARD OF TRADE OF THE CITY OF CHICAGO, INC.</counterpartyName>
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            <writtenOrPur>Written</writtenOrPur>
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                  <payOffProf>Short</payOffProf>
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                  <expDate>2025-09-19</expDate>
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            <expDt>2025-07-25</expDt>
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        <securityLending>
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      </invstOrSec>
    </invstOrSecs>
    <signature>
      <ncom:dateSigned>2025-08-25</ncom:dateSigned>
      <ncom:nameOfApplicant>Simplify Exchange Traded Funds</ncom:nameOfApplicant>
      <ncom:signature>Paul Kim</ncom:signature>
      <ncom:signerName>Paul Kim</ncom:signerName>
      <ncom:title>Trustee, President and Treasurer</ncom:title>
    </signature>
  </formData>
</edgarSubmission>
