Correspondence 0001829126-25-000176 from Simplify Exchange Traded Funds (CIK 0001810747)
Simplify Exchange Traded Funds (CIK 0001810747)
Date: Jan. 13, 2025 · CIK: 0001810747 · Accession: 0001829126-25-000176
AI Filing Summary & Sentiment
File numbers found in text: 333-238475, 811-23570
Letter
VIA EDGAR TRANSMISSION Securities and Exchange Commission Division of Investment Management 100 F. Street, N.E. Washington, D.C. 20549-0506
Re: Simplify Exchange Traded Funds; File Nos. 811-23570, 333-238475
Dear Ms. DiAngelo Fettig:
On February 22, 2024, you provided oral comments with respect to certain Securities and Exchange Commission filings of Simplify Exchange Traded Funds (the “Registrant). Please find below the Registrant’s response to those comments, which the Registrant has authorized Thompson Hine LLP to make on its behalf.
Annual Report (June 30, 2023)
Management’s Discussion of Fund Performance
Comment 1. The Growth of a $10,000 Investment graphs are labeled “HYPOTHETICAL GROWTH OF $10,000 INVESTMENT.” In future filings, please remove the term hypothetical because these are based on historical performance information.
Response. The Registrant confirms that it will remove the term hypothetical from future filings.
Comment 2. “The ETF may be non-diversified” is included in a footnote to the Average Annual Total Return chart for many of the Funds. In future filings, please modify the disclosure to the specifics of each Fund.
Response. The Registrant agrees to tailor the footnote to the specifics of each Fund in future filings.
Comment 3. Simplify Hedged Equity ETF and Simplify Volatility Premium ETF each have disclosure that effective as of July 1, 2022, the benchmark was changed but are missing disclosure of the reason for the benchmark change pursuant to Form N-1A item 27(b)(7)(ii) Instruction 7. Please disclose the reason for the changes in correspondence and represent that you will do so in future filings.
Response. The benchmark for Simplify Hedged Equity ETF (HEQT) was updated from S&P 500 Index to Bloomberg US EQ:FI 60:40 Index (BMA6040 Index) to better represent the reduced equity beta exposure via options put-spread collar of the Fund.
The benchmark for Simplify Volatility Premium ETF (SVOL) was updated from a non-investable S&P 500 VIX Short-Term Futures Index to S&P 500 Index (SPX Index) since the latter is more widely adopted and aligned with investors’ view of the Fund as an alternative equity income investment.
The Registrant confirms that it will include such disclosure in future filings.
Comment 4. Some of the benchmark indices include reference to “4PM” (for example, ICE BofA US High Yield Index 4PM) whereas the previous year’s disclosure did not include the “4PM.” Please advise if this is a change in benchmark or is the benchmark the same with additional description added?
Response. The Registrant confirms the benchmark is the same with the additional description added.
Fees and Expenses
Comment 5. In the annualized expense ratios on pages 41 – 42 with respect to Simplify Aggregate Bond PLUS Credit Hedge ETF, Simplify Enhanced Income ETF, Simplify Hedged Equity ETF, and Simplify Bitcoin Strategy PLUS Income ETF, do the calculations for these ratios take into account interest expense?
Response. The amounts in the fees and expense section do not include interest expense as specified in the * footnote on page 42 of the 6/30/23 Annual Report. The Registrant confirms that it will include interest expense in the annualized expense ratios in future filings.
Follow-Up. Please file an amended Form N-CSR to update disclosures to include interest expense ratios. As a reminder, when filing the amended Form N-CSR, please update the dates of the certifications accordingly.
Response. The Registrant will file an amended Form N-CSR to update disclosures to include interest expense ratios.
Schedule of Investments
Comment 6. On page 68, with respect to the interest rate swap contracts outstanding, please include the disclosure requirements set forth in Regulation S-X 1212 footnote 4 in future filings. (See guidance from AICPA Expert Panel Meeting Minutes dated February 20, 2018, “The SEC staff observed effective disclosure which included a description sufficient for a user to understand the terms of the payments to be received and paid, for example, in the case of an interest rate swap, disclosure where both the reference rate and spread, and either the end of period rate or the end of period reference rate for each reference rate described was disclosed in a note to the schedule.”)
Response. Currently in the Interest Rate Swap table, the 1-day SOFR, which is the end of period reference rate, received by the Fund is shown and there is no spread. Going forward, the Registrant is considering showing an end of period rate (which would be the actual SOFR rate at the period end date) along with the reference rate and spread, if any.
Comment 7. All Funds with custom basket swaps disclose the components of the custom basket but it is difficult to determine how the disclosure of the components tie back to the unrealized appreciation or depreciation for the swaps. For example, page 70 has a table for the Morgan Stanley Custom Global Short Equity Index basket and shows an unrealized appreciation of $6,117, but page 70 shows totals for that custom basket that do not necessarily agree to the table on pg. 70. (See guidance from AICPA Expert Panel Meeting Minutes dated February 20, 2018, “The SEC staff observed effective disclosure where registrants are only providing the top 50 components and any component whose notional > 1% of the basket’s notional and: x The registrant identified that the disclosure represented a subset of the basket (e.g., top 50 and > 1%) and not all of the contents of the basket were included; and/or, x Included a line item encompassing the totals of “other components” to agree to the total value of the swap.”)
Response. In future cycles, the Registrant is reviewing adding another column that shows the unrealized for each component of the custom basket to tie back to the unrealized on the swap table. The Funds disclose all the components of the custom basket because the aggregate notional amount of the custom basket investments exceeds 5% of each respective fund’s net assets. The final rule on the “Investment Company Reporting Modernizations [Release Nos. 33-10231; 34-79095; IC-32314; File No. S7-08-15] states that “for investments in a non-public index or custom basket that exceed 5% of a fund’s net assets, funds will be required to report all components.” Form N-PORT guidance also states that “if the index’s or custom basket’s components are not publicly available in that manner, and the notional amount of the derivative represents more than 5% of the net asset value of the Fund, provide the…(iv) value of every component in the index or custom basket.”
Follow-Up. In the response, when referencing the final rule on the “Investment Company Reporting Modernizations [Release Nos. 33-10231; 34-79095; IC-32314; File No. S7-08-15], the 5% is a requirement for N-PORT as opposed to Form N-CSR. Reg S-X governs disclosure for swaps, specifically Regulation S-X 1213(c) footnote 3, and has a different threshold of 1% of the NAV for financial statements in N-CSR. Please update the response.
Response. In future filings, the Registrant will provide only the top 50 components and any component whose notional amount is > 1% of the basket’s notional amount.
Comment 8. In the Schedule of Investments on page 56 with respect to the Simplify Health Care ETF, please explain why the investments are sub-categorized as “Consumer, Non-cyclical” as opposed to health care or some categorization that is related to health care. Please also explain the same for the Schedule of Investments for Simplify Propel Opportunities ETF on page 82.
Response. All of the Simplify ETFs, including Simplify Health Care ETF and Simplify Propel Opportunities ETF, use Bloomberg Industry Sectors for classification of equity securities. The Registrant undertakes to use Bloomberg Industry Subgroups classification for equity securities in future reports.
Comment 9. On page 43 with respect to the Simplify Aggregate Bond PLUS Credit Hedge ETF, the investments are categorized into ETFs, U.S. Government Obligations, and U.S. Treasury Bills. Regulation S-X 1212 footnote 2 requires further categorization by industry, country, or geographic region. In future filings, please further categorize for all Funds that invest in ETFs.
Response. The Registrant further categorized by country in the most recent semi-annual report and agrees to do so in future filings for all Funds that invest in ETFs.
Comment 10. On page 67, with respect to the purchased swaptions for Simplify Interest Rate Hedge ETF, the exercise price and expiration date of the swaptions are missing. In future filings, please include this disclosure consistent with the requirements of S-X 1212 footnote 3 which refers to S-X article 1213.
Response. The Registrant notes the expiration dates on the purchased swaptions for Simplify Interest Rate Hedge ETF are included with the description of the security. For swaptions, the industry convention for the exercise/strike price is to state this as an interest rate. Consequently, the Registrant believes it has disclosed the best form of “exercise price.”
Comment 11. In the Summary of Investment Type for Simplify Interest Rate Hedge ETF (page 68), consider disclosing whether the chart reflects derivative activity. In future filings, for all Funds with investments in derivatives, please consider disclosing whether the chart reflects derivative activity.
Response. In future filings, for all Funds with investments in derivatives, the Registrant will update the chart to disclose derivative activity.
Consolidated Statements of Operations
Comment 12. With respect to the Consolidated Statements of Operations on page 122, please explain in correspondence the nature of the Other Expenses that are excluded from the unitary fee for the Simplify Bitcoin Strategy PLUS Income ETF.
Response. The “Other Expenses” in the Statement of Operations that are excluded from the unitary fee for the Simplify Bitcoin Strategy PLUS Income ETF are attributable to interest expense that is estimated for the fiscal year.
Follow-Up. The Statement of Operations already has a line item for interest expense. What is difference between that line item and the other expense category?
Response. The Registrant acknowledges that the initial response was not accurate. After conferring with fund accounting personnel, the interest expense line item in the Statement of Operations is the Fund’s interest expense and associated wire fees. The “other expenses” line item in the Statement of Operations is New York taxes and an accrued amount based on estimated other expenses outside of the unitary fee. The accrued amount was deemed immaterial by the auditor.
Additional Follow-Up. Please provide additional detail on “estimated other expenses outside of the unitary fee” and the dollar amount split between New York taxes and other fees.
Response. We apologize that the response was not clear. $10,908 was an accrued estimated interest expense that should have been adjusted or removed when the interest expense was actually booked as an expense and paid. The auditors observed the item and did not require an adjustment to the financial statements because it was immaterial. The accrual was corrected after the completion of the audit. The correction did not result in a NAV error because the impact was less than $0.01 per share.
Comment 13. For Funds that had a return of capital distributions (Simplify Aggregate Bond PLUS Credit Hedge ETF, Simplify High Yield PLUS Credit Hedge ETF, Simplify Propel Opportunities ETF, Simplify Tail Risk Strategy ETF, Simplify US Equity PLUS GBTC ETF, Simplify Volatility Premium ETF, and Simplify Volt RoboCar Disruption and Tech ETF) please confirm that the Fund has complied with the shareholder notice requirements of Section 19(a) of the Investment Company Act of 1940, as amended. Please also explain why Item B. 23 was not checked on Form N-CEN.
Response. Simplify attempts to smooth monthly and quarterly distributions based on management estimates of income and cap gains to avoid lump sum year-end distributions. In certain periods, distributions could end up being classified as Return of Capital post- audit. The Registrant has adopted Section 19(a) and Rule 19a-1 policies and procedures. However, due to an oversight not all Funds triggered the relevant reporting. Corrective steps are summarized below.
Following the 2023 FYE annual audit (7/1/22 to 6/30/23), Simplify has put in place Section 19(a) notices for the following Funds:
● Simplify Aggregate Bond PLUS Credit Hedge ETF
● Simplify Propel Opportunities ETF
● Simplify Volatility Premium ETF
In the last audit cycle, the following Funds had Return of Capital distributions:
● Simplify Volt RoboCar Disruption and Tech ETF
● Simplify Tail Risk Strategy ETF (liquidated as of March 7, 2024)
The Registrant will continue to monitor Return of Capital distributions from the Funds and will incorporate the following funds into the Section 19(a) disclosures:
● Simplify High Yield PLUS Credit Hedge ETF
● Simplify US Equity PLUS GBTC ETF
Item B.23 was not checked on Form N-CEN due to an oversight. The Registrant undertakes to make appropriate checks in future filings.
Follow-Up. As a general matter, the response is difficult to follow. Please modify the response to indicate what Funds should have sent 19(a) notices for return of capital for 6/30/2023. Please be sure to address the following in the revised response:
● Provide more information with respect to the statement that “due to an oversight not all Funds triggered the relevant reporting” and any controls implemented surrounding this process.
● “Following the 2023 FYE annual audit (7/1/22 to 6/30/23), Simplify has put in place Section 19(a) notices for the following Funds.” Does that mean these Funds should have sent notices but did not?
● “In the last audit cycle, the following Funds had Return of Capital distributions:” Does that mean these Funds should have sent notices but did not?
● Provide additional detail with respect to the statement that “[t]he Registrant will continue to monitor Return of Capital distributions from the Funds and will incorporate the following funds into the Section 19(a) disclosures.” Were those Funds not included in the prior Section 19(a) disclosures?
Response. The Registrant seeks to clarify its initial response as follows:
During the fiscal year ended 6/30/23, the following Funds made distributions that included return of capital, but no 19(a) notices were provided:
● Simplify Aggregate Bond PLUS Credit Hedge ETF
● Simplify High Yield PLUS Credit Hedge ETF
● Simplify Propel Opportunities ETF
● Simplify Tail Risk Strategy ETF
● Simplify US Equity PLUS GBTC ETF
Simplify Volatility Premium ETF and Simplify Volt RoboCar Disruption and Tech ETF made no return of capital distributions in fiscal year ended 6/30/23.
In response to a recommendation from the Registrant’s auditors made in the course of the 2023 audit, the Registrant established an informal Section 19(a) procedure in late 2023 (after the July, August and September 2023 distributions were made). As a result, those distributions were not accompanied by 19(a) notices. The statement “due to an oversight not all Funds triggered the relevant reporting” refers to the informal 19(a) procedure, which monitored only the Funds that were likely to distribute capital. In March of 2024, the informal procedure was revised to capture all Funds that made distributions that included return of capital.
The following is a list of Funds that made distri
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filename1.htm
January 13, 2025
VIA EDGAR TRANSMISSION
Christina DiAngelo Fettig
Securities and Exchange Commission
Division of Investment Management
100 F. Street, N.E.
Washington, D.C. 20549-0506
Re: Simplify Exchange Traded Funds; File Nos. 811-23570, 333-238475
Dear Ms. DiAngelo Fettig:
On February 22, 2024, you provided oral comments with respect to certain Securities and Exchange Commission filings of Simplify Exchange Traded Funds (the “Registrant). Please find below the Registrant’s response to those comments, which the Registrant has authorized Thompson Hine LLP to make on its behalf.
Annual Report (June 30, 2023)
Management’s Discussion of Fund Performance
Comment 1. The Growth of a $10,000 Investment graphs are labeled “HYPOTHETICAL GROWTH OF $10,000 INVESTMENT.” In future filings, please remove the term hypothetical because these are based on historical performance information.
Response. The Registrant confirms that it will remove the term hypothetical from future filings.
Comment 2. “The ETF may be non-diversified” is included in a footnote to the Average Annual Total Return chart for many of the Funds. In future filings, please modify the disclosure to the specifics of each Fund.
Response. The Registrant agrees to tailor the footnote to the specifics of each Fund in future filings.
Comment 3. Simplify Hedged Equity ETF and Simplify Volatility Premium ETF each have disclosure that effective as of July 1, 2022, the benchmark was changed but are missing disclosure of the reason for the benchmark change pursuant to Form N-1A item 27(b)(7)(ii) Instruction 7. Please disclose the reason for the changes in correspondence and represent that you will do so in future filings.
Response. The benchmark for Simplify Hedged Equity ETF (HEQT) was updated from S&P 500 Index to Bloomberg US EQ:FI 60:40 Index (BMA6040 Index) to better represent the reduced equity beta exposure via options put-spread collar of the Fund.
The benchmark for Simplify Volatility Premium ETF (SVOL) was updated from a non-investable S&P 500 VIX Short-Term Futures Index to S&P 500 Index (SPX Index) since the latter is more widely adopted and aligned with investors’ view of the Fund as an alternative equity income investment.
The Registrant confirms that it will include such disclosure in future filings.
Comment 4. Some of the benchmark indices include reference to “4PM” (for example, ICE BofA US High Yield Index 4PM) whereas the previous year’s disclosure did not include the “4PM.” Please advise if this is a change in benchmark or is the benchmark the same with additional description added?
Response. The Registrant confirms the benchmark is the same with the additional description added.
Fees and Expenses
Comment 5. In the annualized expense ratios on pages 41 – 42 with respect to Simplify Aggregate Bond PLUS Credit Hedge ETF, Simplify Enhanced Income ETF, Simplify Hedged Equity ETF, and Simplify Bitcoin Strategy PLUS Income ETF, do the calculations for these ratios take into account interest expense?
Response. The amounts in the fees and expense section do not include interest expense as specified in the * footnote on page 42 of the 6/30/23 Annual Report. The Registrant confirms that it will include interest expense in the annualized expense ratios in future filings.
Follow-Up. Please file an amended Form N-CSR to update disclosures to include interest expense ratios. As a reminder, when filing the amended Form N-CSR, please update the dates of the certifications accordingly.
Response. The Registrant will file an amended Form N-CSR to update disclosures to include interest expense ratios.
Schedule of Investments
Comment 6. On page 68, with respect to the interest rate swap contracts outstanding, please include the disclosure requirements set forth in Regulation S-X 1212 footnote 4 in future filings. (See guidance from AICPA Expert Panel Meeting Minutes dated February 20, 2018, “The SEC staff observed effective disclosure which included a description sufficient for a user to understand the terms of the payments to be received and paid, for example, in the case of an interest rate swap, disclosure where both the reference rate and spread, and either the end of period rate or the end of period reference rate for each reference rate described was disclosed in a note to the schedule.”)
Response. Currently in the Interest Rate Swap table, the 1-day SOFR, which is the end of period reference rate, received by the Fund is shown and there is no spread. Going forward, the Registrant is considering showing an end of period rate (which would be the actual SOFR rate at the period end date) along with the reference rate and spread, if any.
2
Comment 7. All Funds with custom basket swaps disclose the components of the custom basket but it is difficult to determine how the disclosure of the components tie back to the unrealized appreciation or depreciation for the swaps. For example, page 70 has a table for the Morgan Stanley Custom Global Short Equity Index basket and shows an unrealized appreciation of $6,117, but page 70 shows totals for that custom basket that do not necessarily agree to the table on pg. 70. (See guidance from AICPA Expert Panel Meeting Minutes dated February 20, 2018, “The SEC staff observed effective disclosure where registrants are only providing the top 50 components and any component whose notional > 1% of the basket’s notional and: x The registrant identified that the disclosure represented a subset of the basket (e.g., top 50 and > 1%) and not all of the contents of the basket were included; and/or, x Included a line item encompassing the totals of “other components” to agree to the total value of the swap.”)
Response. In future cycles, the Registrant is reviewing adding another column that shows the unrealized for each component of the custom basket to tie back to the unrealized on the swap table. The Funds disclose all the components of the custom basket because the aggregate notional amount of the custom basket investments exceeds 5% of each respective fund’s net assets. The final rule on the “Investment Company Reporting Modernizations [Release Nos. 33-10231; 34-79095; IC-32314; File No. S7-08-15] states that “for investments in a non-public index or custom basket that exceed 5% of a fund’s net assets, funds will be required to report all components.” Form N-PORT guidance also states that “if the index’s or custom basket’s components are not publicly available in that manner, and the notional amount of the derivative represents more than 5% of the net asset value of the Fund, provide the…(iv) value of every component in the index or custom basket.”
Follow-Up. In the response, when referencing the final rule on the “Investment Company Reporting Modernizations [Release Nos. 33-10231; 34-79095; IC-32314; File No. S7-08-15], the 5% is a requirement for N-PORT as opposed to Form N-CSR. Reg S-X governs disclosure for swaps, specifically Regulation S-X 1213(c) footnote 3, and has a different threshold of 1% of the NAV for financial statements in N-CSR. Please update the response.
Response. In future filings, the Registrant will provide only the top 50 components and any component whose notional amount is > 1% of the basket’s notional amount.
Comment 8. In the Schedule of Investments on page 56 with respect to the Simplify Health Care ETF, please explain why the investments are sub-categorized as “Consumer, Non-cyclical” as opposed to health care or some categorization that is related to health care. Please also explain the same for the Schedule of Investments for Simplify Propel Opportunities ETF on page 82.
Response. All of the Simplify ETFs, including Simplify Health Care ETF and Simplify Propel Opportunities ETF, use Bloomberg Industry Sectors for classification of equity securities. The Registrant undertakes to use Bloomberg Industry Subgroups classification for equity securities in future reports.
3
Comment 9. On page 43 with respect to the Simplify Aggregate Bond PLUS Credit Hedge ETF, the investments are categorized into ETFs, U.S. Government Obligations, and U.S. Treasury Bills. Regulation S-X 1212 footnote 2 requires further categorization by industry, country, or geographic region. In future filings, please further categorize for all Funds that invest in ETFs.
Response. The Registrant further categorized by country in the most recent semi-annual report and agrees to do so in future filings for all Funds that invest in ETFs.
Comment 10. On page 67, with respect to the purchased swaptions for Simplify Interest Rate Hedge ETF, the exercise price and expiration date of the swaptions are missing. In future filings, please include this disclosure consistent with the requirements of S-X 1212 footnote 3 which refers to S-X article 1213.
Response.
The Registrant notes the expiration dates on the purchased swaptions for Simplify Interest Rate Hedge ETF are included with the description
of the security. For swaptions, the industry convention for the exercise/strike price is to state this as an interest rate. Consequently,
the Registrant believes it has disclosed the best form of “exercise price.”
Comment 11. In the Summary of Investment Type for Simplify Interest Rate Hedge ETF (page 68), consider disclosing whether the chart reflects derivative activity. In future filings, for all Funds with investments in derivatives, please consider disclosing whether the chart reflects derivative activity.
Response. In future filings, for all Funds with investments in derivatives, the Registrant will update the chart to disclose derivative activity.
Consolidated Statements of Operations
Comment 12. With respect to the Consolidated Statements of Operations on page 122, please explain in correspondence the nature of the Other Expenses that are excluded from the unitary fee for the Simplify Bitcoin Strategy PLUS Income ETF.
Response. The “Other Expenses” in the Statement of Operations that are excluded from the unitary fee for the Simplify Bitcoin Strategy PLUS Income ETF are attributable to interest expense that is estimated for the fiscal year.
Follow-Up. The Statement of Operations already has a line item for interest expense. What is difference between that line item and the other expense category?
Response. The Registrant acknowledges that the initial response was not accurate. After conferring with fund accounting personnel, the interest expense line item in the Statement of Operations is the Fund’s interest expense and associated wire fees. The “other expenses” line item in the Statement of Operations is New York taxes and an accrued amount based on estimated other expenses outside of the unitary fee. The accrued amount was deemed immaterial by the auditor.
4
Additional Follow-Up. Please provide additional detail on “estimated other expenses outside of the unitary fee” and the dollar amount split between New York taxes and other fees.
Response. We apologize that the response was not clear. $10,908 was an accrued estimated interest expense that should have been adjusted or removed when the interest expense was actually booked as an expense and paid. The auditors observed the item and did not require an adjustment to the financial statements because it was immaterial. The accrual was corrected after the completion of the audit. The correction did not result in a NAV error because the impact was less than $0.01 per share.
Comment 13. For Funds that had a return of capital distributions (Simplify Aggregate Bond PLUS Credit Hedge ETF, Simplify High Yield PLUS Credit Hedge ETF, Simplify Propel Opportunities ETF, Simplify Tail Risk Strategy ETF, Simplify US Equity PLUS GBTC ETF, Simplify Volatility Premium ETF, and Simplify Volt RoboCar Disruption and Tech ETF) please confirm that the Fund has complied with the shareholder notice requirements of Section 19(a) of the Investment Company Act of 1940, as amended. Please also explain why Item B. 23 was not checked on Form N-CEN.
Response. Simplify attempts to smooth monthly and quarterly distributions based on management estimates of income and cap gains to avoid lump sum year-end distributions. In certain periods, distributions could end up being classified as Return of Capital post- audit. The Registrant has adopted Section 19(a) and Rule 19a-1 policies and procedures. However, due to an oversight not all Funds triggered the relevant reporting. Corrective steps are summarized below.
Following the 2023 FYE annual audit (7/1/22 to 6/30/23), Simplify has put in place Section 19(a) notices for the following Funds:
●
Simplify Aggregate Bond PLUS Credit Hedge ETF
●
Simplify Propel Opportunities ETF
●
Simplify Volatility Premium ETF
In the last audit cycle, the following Funds had Return of Capital distributions:
●
Simplify Volt RoboCar Disruption and Tech ETF
●
Simplify Tail Risk Strategy ETF (liquidated as of March 7, 2024)
The Registrant will continue to monitor Return of Capital distributions from the Funds and will incorporate the following funds into the Section 19(a) disclosures:
●
Simplify High Yield PLUS Credit Hedge ETF
● Simplify US Equity PLUS
GBTC ETF
5
Item B.23 was not checked on Form N-CEN due to an oversight. The Registrant undertakes to make appropriate checks in future filings.
Follow-Up. As a general matter, the response is difficult to follow. Please modify the response to indicate what Funds should have sent 19(a) notices for return of capital for 6/30/2023. Please be sure to address the following in the revised response:
●
Provide more information with respect to the statement that “due to an oversight not all Funds triggered the relevant reporting” and any controls implemented surrounding this process.
●
“Following the 2023 FYE annual audit (7/1/22 to 6/30/23), Simplify has put in place Section 19(a) notices for the following Funds.” Does that mean these Funds should have sent notices but did not?
●
“In the last audit cycle, the following Funds had Return of Capital distributions:” Does that mean these Funds should have sent notices but did not?
●
Provide additional detail with respect to the statement that “[t]he Registrant will continue to monitor Return of Capital distributions from the Funds and will incorporate the following funds into the Section 19(a) disclosures.” Were those Funds not included in the prior Section 19(a) disclosures?
Response. The Registrant seeks to clarify its initial response as follows:
During the fiscal year ended 6/30/23, the following Funds made distributions that included return of capital, but no 19(a) notices were provided:
●
Simplify Aggregate Bond PLUS Credit Hedge ETF
●
Simplify High Yield PLUS Credit Hedge ETF
●
Simplify Propel Opportunities ETF
●
Simplify Tail Risk Strategy ETF
●
Simplify US Equity PLUS GBTC ETF
Simplify Volatility Premium ETF and Simplify Volt RoboCar Disruption and Tech ETF made no return of capital distributions in fiscal year ended 6/30/23.
In response to a recommendation from the Registrant’s auditors made in the course of the 2023 audit, the Registrant established an informal Section 19(a) procedure in late 2023 (after the July, August and September 2023 distributions were made). As a result, those distributions were not accompanied by 19(a) notices. The statement “due to an oversight not all Funds triggered the relevant reporting” refers to the informal 19(a) procedure, which monitored only the Funds that were likely to distribute capital. In March of 2024, the informal procedure was revised to capture all Funds that made distributions that included return of capital.
6
The following is a list of Funds that made distri