QIS

1. Summary

• QIS is an actively managed, multi-asset ETF. The prospectus says it buys the returns of third-party quantitative strategies (bank and asset manager models) through total return swaps. The strategies span equities, interest rates, commodities, currencies and volatility. It is not a stock-picking long/short equity fund.
• On June 30, 2026, its N-PORT filing showed something different. All 11 swaps paid QIS the return of an affiliated Simplify ETF (CTA, FOXY, SBAR and XXV), not a bank strategy. QIS also held three Simplify ETFs directly, 46.09% of net assets (my arithmetic). (QIS-NP, Part C)
• Exposure on June 30, 2026: swap notional of $125.48 million, or 324.09% of net assets, all long. Adding the directly held ETFs gives 370.18% long and 0% short at fund level (my arithmetic, QIS-NP, Part C). Shorts, if any, sit inside the underlying Simplify ETFs (my inference). The fact sheet's 218.25% in swap lines on September 30, 2026 is very likely the same notional measure (my inference, see section 5).
• Counterparties on June 30, 2026: Bank of America, N.A., Citibank, N.A., BNP Paribas and UBS AG. QIS paid SOFR plus 0.00% on 10 swaps and SOFR plus 0.95 on one (QIS-NP, Part C, Item C.11). Collateral was Treasury bills and a Dreyfus Treasury money market fund.
• Most relevant for us: QIS is a working example of the swap route above 3x notional. It also shows that route's costs: the holdings are hidden behind swap codes, and the financing cost does not appear in the expense ratio (only 0.03% interest expense is reported).

2. Key facts

Other data, as of September 30, 2026: SEC 30-day yield 4.27% (QIS-FS, page 1, "Details").

3. Service providers

Legal counsel: Thompson Hine LLP (QIS-PR, page 294).

4. Strategy

• Objective and benchmark. The fund "seeks to provide positive absolute returns and income" (QIS-PR, page 132, "Investment Objective"). The prospectus compares returns with the Bloomberg U.S. Aggregate Bond Index (broad-based) and the ICE BofA 3 Month US Treasury Bill Index (QIS-PR, page 137, "Performance"). The fact sheet uses only the ICE BofA U.S. 3-Month Treasury Bill Index (QIS-FS, page 2, "Performance").
• Universe. "third-party quantitative investment strategies across equities, interest rates, commodities, and currencies" (QIS-PR, page 132, "Principal Investment Strategies"). Volatility strategies are also included (QIS-PR, page 133). Equity and fixed income strategies are "primarily U.S." but may include emerging and developed foreign markets and "companies of any market capitalization" (QIS-PR, page 133). Fixed income may include high yield (QIS-PR, page 133). QIS is exempt from the 80% name policy (QIS-PR, page 240, "Non-Fundamental Investment Policies").
• What it actually held on June 30, 2026. Affiliated Simplify ETFs, through swaps and directly (QIS-NP, Part C):
  • Swaps on Simplify Managed Futures Strategy ETF (CTA), 179.57% of net assets; Simplify Currency Strategy ETF (FOXY), 69.54%; Simplify Barrier Income ETF (SBAR), 62.62%; Simplify Ancorato Target 25 Distribution ETF (XXV), 12.37%. All notional, my arithmetic.
  • Shares of Simplify China A Shares PLUS Income ETF (CAS), 32.15%; XXV, 7.12%; Simplify US Equity PLUS Managed Futures Strategy ETF (CTAP), 6.82%.
  • This conflicts with the prospectus description of "third-party" strategies. Every swap has the "Custom swap" flag checked, so the reference may be a custom basket built around the named ETF rather than the ETF itself (my inference). The SAI notes "In fiscal year 2026 QIS increased its exposure in ETFs." (QIS-SAI, page 54, footnote 7).
• How it picks strategies. Both quantitative and qualitative. Each underlying strategy is a third-party quantitative model (QIS-PR, page 132). The adviser selects among them on "portfolio diversification, scalability, expected risk adjusted returns and correlation to one another" (QIS-PR, page 132). The strategies "are not specifically designed for the Fund" (QIS-PR, page 133). The fact sheet says the process starts from "over 5,000 available quantitative strategies from leading banks and institutional asset managers" (QIS-FS, page 1, "Strategy Details").
• Neutrality targets. No beta, dollar or sector target is stated in the prospectus. The fact sheet says the fund focuses on "opportunities beyond common beta exposures" and seeks performance "independent of market factors such as equities, interest rates, and commodities" (QIS-FS, page 1, "Overview"). That is a stated aim, not a numeric target.
• Net exposure. No target is stated. Measured at fund level on June 30, 2026: 370.18% net long (my arithmetic, QIS-NP, Part C). This does not look through to the long and short positions inside the underlying ETFs.
• Limits on position size. No numeric limit per strategy or swap. Fundamental policy bars investing "more than 25% of the market value of its assets in the securities of companies engaged in any one industry or group of industries" (QIS-SAI, page 24, "Investment Restrictions"). The Cayman subsidiary is capped at 25% of net assets (QIS-PR, page 133). The shared section says 25% "of its total assets" (QIS-PR, page 284). These differ slightly. On June 30, 2026 the subsidiary held $103,879.49, or 0.27% of net assets (QIS-NP, Item B.2.b; my arithmetic).

5. Exposure and leverage

• Measured exposure, June 30, 2026 (QIS-NP, Part C). All 11 swaps pay QIS the "Performance Leg" of the reference ETF and charge QIS a SOFR-based rate (Item C.11). So every swap is a long exposure. Percentages are of net assets of $38,717,489.30 (my arithmetic).

• All swaps terminate December 31, 2049, with no upfront payments (Item C.11).
• Directly held ETFs: CAS $12,447,053 (32.15%), XXV $2,755,808 (7.12%), CTAP $2,641,000 (6.82%). Total 46.09% (my arithmetic).
• Long at fund level: 324.09% plus 46.09% is 370.18%. Short: 0%. Gross 3.70x, net 370% (my arithmetic). Purchased calls are left out because their deltas are blanked ("XXXX") in the filing.
• Purchased calls: five S&P 500 (SPXW) lines, 94 contracts, strikes 7,650 to 8,000, expiring July 17 to August 21, 2026; and 20,496 XLE calls at $65 expiring June 30, 2026. Market value $151,298 in total (0.39%). Strike notional is about $73.5 million for the SPX calls and $133.2 million for the XLE calls (my arithmetic), but delta-adjusted exposure can't be computed from the filing.
• Cash-like: six Treasury bills, $24,027,373 (62.06%); Dreyfus Treasury Obligations Cash Management (DTRXX), $3,495,982 (9.03%); other cash $20,836 (Item B.2.f).
• Fact sheet swap lines, September 30, 2026. Six lines with "TRS" codes: TRSBA0006 52.76%, TRSCI0011 49.20%, TRSUB0004 47.13%, TRSCI0009 47.13%, TRSBA0003 12.34%, TRSCI0008 9.69%. Total 218.25% (my arithmetic, QIS-FS, page 2, "Top 10 Holdings"). The same six codes appear in the June 30 N-PORT as notional amounts, in the same order of size, and TRSUB0004 and TRSCI0009 are equal on both dates. So the fact sheet figures are very likely notional too (my inference). If so, swap notional fell from 324% to at least 218% of net assets between June 30 and September 30, 2026 (my arithmetic); the September figure covers only the top 10.
• Stated targets or limits. None for long, short, gross or net.
• How it gets exposure above 100%. Through total return swaps: "investing, primarily through total return swaps, in a diversified portfolio of third-party quantitative investment strategies" (QIS-PR, page 132, "Principal Investment Strategies"). The fund keeps its cash in collateral and pays a rate on the swap notional (QIS-PR, page 133, "Principal Investment Strategies"; QIS-SAI, page 5, "Swap Agreements"). Swap contracts "ordinarily have leverage inherent in their terms" (QIS-PR, page 280, "Swaps Risk").
• Borrowing limits. Bank borrowing is allowed only with "an asset coverage of 300% for all borrowings of a Fund", plus temporary borrowing up to 5% of total assets (QIS-SAI, page 23, "Investment Restrictions"). If coverage falls below 300%, the fund "will reduce borrowing within 3 days" (QIS-SAI, page 24). No line of credit is named. Borrowings were $0 on June 30, 2026 (QIS-NP, Item B.2.c).

6. Shorting, financing and collateral

• How it shorts. It didn't at fund level on June 30, 2026. All 11 swaps were long (QIS-NP, Part C, Item C.11), and no holding was reported with a short payoff (Item C.3). Any short positions sit inside the underlying Simplify ETFs, such as the managed futures fund CTA (my inference). The prospectus does not describe direct short sales for QIS.
• Swap mechanics. "the Fund makes payments to the swap counterparty based on either a fixed or variable rate, and the swap counterparty makes payments to the Fund based on the return of the underlying strategy" (QIS-PR, page 133, "Principal Investment Strategies"). Most swaps settle on "a net basis" (QIS-SAI, page 5, "Swap Agreements"). On June 30, 2026 the variable rate was SOFR, reset monthly on 8 swaps and daily on 3 (QIS-NP, Item C.11).
• Who lends stock and who holds collateral. No stock borrowing by the fund is described. The four swap counterparties are named in section 3. Where the swap collateral sits (at BNY Mellon in a control account, or with the counterparty) is not stated, including in the N-PORT.
• What is posted. "The Fund also holds cash and invests in cash-like instruments (including affiliated money market ETFs) or high-quality short term fixed income securities as collateral for the swaps." (QIS-PR, page 133). On June 30, 2026 the fund held $24.03 million in Treasury bills (62.06%) and $3.50 million in the Dreyfus Treasury Obligations Cash Management fund (9.03%). No affiliated money market ETF was held that day (QIS-NP, Part C; my arithmetic). On September 30, 2026 the top 10 included 86.21% in Treasury bills (my arithmetic, QIS-FS, page 2). No long stocks are pledged, since the fund holds no stock book (my inference).
• Short sale proceeds used to buy longs. Not applicable. No direct short sales are described.
• Segregated or tri-party account. Not stated for swaps. Swap leverage may force sales "to meet collateral segregation requirements" (QIS-PR, page 280, "Swaps Risk").
• Securities lending. Permitted, up to one-third of total assets, secured by cash or government securities (QIS-SAI, page 45, "Securities Lending"; QIS-SAI, page 23). Nothing was on loan on June 30, 2026 (QIS-NP, Items B.4 and C.12).
• Permitted only. Direct short sales, which require "a margin deposit" with a broker-dealer (QIS-SAI, page 8, "Short Sales"); reverse repurchase transactions (QIS-SAI, page 20); futures (QIS-SAI, pages 20 and 21); repurchase agreements (QIS-SAI, page 20). None is described as a QIS principal strategy, though Futures Risk is a named principal risk (QIS-PR, page 135). The June 30, 2026 N-PORT shows no futures, repos or reverse repos.

7. Derivatives and Rule 18f-4

• Derivatives used. Total return swaps are the principal instrument (QIS-PR, page 132). The principal risks also name Futures Risk (QIS-PR, page 135) and Over-the-Counter Market Risk for options (QIS-PR, page 136). Foreign Exchange Risk refers to "options held by the Fund" (QIS-PR, page 135). The Cayman subsidiary is used for "certain commodity strategies" (QIS-PR, page 133). The shared section says a subsidiary "invests the majority of its assets in options, commodities and other futures contracts" (QIS-PR, page 284).
• Derivatives held, June 30, 2026. 11 total return swaps, all classed as equity derivatives, and purchased exchange-listed calls on the S&P 500 and XLE, cleared through The Options Clearing Corporation. No written options (QIS-NP, Part C, Items C.4 and C.11).
• Derivatives gains and losses, April to June 2026. Equity swaps: realized losses of $10.67 million and unrealized gains of $0.45 million, a net loss of $10.22 million (my arithmetic, QIS-NP, Item B.5.c). The filing also shows realized and unrealized amounts on interest rate swaps in April and May 2026, though none were held on June 30. So the fund held interest rate swaps earlier in the quarter (my inference).
• Limited derivatives user or full program. Full program. The N-PORT leaves Item B.9 (limited derivatives users) blank and fills Item B.10 (VaR) (QIS-NP, Items B.9 and B.10). The prospectus's only mention of Rule 18f-4 is that reverse repos are "a form of derivative governed by Rule 18f-4" (QIS-SAI, page 20). No derivatives risk manager is named.
• VaR test and reference portfolio. Relative VaR test. The designated index is "Short VIX Futures Index", identifier "SHORTVOL Index" (QIS-NP, Item B.10.b). VaR (value at risk) estimates the most a fund could lose over a set period at a set confidence level. The median VaR, VaR ratio and backtesting figures are blank in this copy. A short VIX futures index is an odd yardstick for a multi-strategy fund; it may be a filing error (my inference).
• Commodity pool status (CFTC Rule 4.5). The adviser is a registered commodity pool operator. For all funds except the gold fund, it has filed "a notice claiming an exemption" under Rule 4.5 (QIS-SAI, page 21, "Regulation as a Commodity Pool Operator"). So QIS claims the Rule 4.5 exclusion (my inference).

8. Costs

• Size of the hidden financing cost. On June 30, 2026 the fund paid SOFR on swap notional of 3.24 times net assets, plus 0.95 on 0.63 times net assets. The spread alone is about 0.60% of net assets a year, on top of SOFR on 3.24x (my arithmetic, QIS-NP, Part C). None of this is in the 1.13% expense ratio. Whether the swaps also embed a fee on the reference ETFs is not stated.
• Who pays what. The adviser pays "substantially all operating expenses of the Fund, excluding interest expenses, taxes, brokerage expenses, future 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" (QIS-PR, page 286, "Management"). The fund also pays litigation, indemnification and extraordinary expenses (QIS-PR, page 286).
• Advisory fees accrued. $619,308 (FY 2026), $1,084,120 (FY 2025), $1,095,980 (FY 2024), none waived (QIS-SAI, page 42). The actual fee paid last fiscal year was 1.00% (QIS-PR, page 287).
• Expense example. $115 (1 year), $358 (3 years), $621 (5 years), $1,372 (10 years) per $10,000 (QIS-PR, page 132).
• Brokerage commissions. $77,799 (FY 2026), $42,139 (FY 2025), $1,344 (FY 2024) (QIS-SAI, pages 51 and 52, "Allocation of Portfolio Brokerage").
• Portfolio turnover. 149% (FY 2026), 29% (FY 2025) (QIS-SAI, page 54, "Portfolio Turnover"). The SAI says "In fiscal year 2026 QIS increased its exposure in ETFs." (QIS-SAI, page 54, footnote 7). FY 2024: 0%, not annualized (QIS-PR, page 316).
• Gap between expense ratio and management fee. 1.13% minus 1.00% is 0.13% (my arithmetic). It equals other expenses (0.03%) plus acquired fund fees (0.10%) (my arithmetic). The 0.03% other expenses matches the 0.03% interest expense in the financial highlights, so it is likely the same item (my inference). Swap financing on the notional is not in this gap.

9. Performance and risk

Fact sheet returns to September 30, 2026 (QIS-FS, page 2, "Performance"). Cumulative unless marked annualized.

Prospectus average annual returns to December 31, 2025 (QIS-PR, page 137, "Performance"):

• Calendar-year returns. 2024: -0.19%. 2025: -36.92%. Read from the bar chart image (QIS-PR, page 137).
• Monthly returns, April to June 2026. April 13.90%, May -16.32%, June -12.24% (QIS-NP, Item B.5.a). Compounded, the quarter was -16.35% (my arithmetic).
• Fund flows, April to June 2026. Shares sold $1,275,097; shares redeemed $2,078,715; net outflow $803,618 (my arithmetic, QIS-NP, Item B.6).
• Best and worst quarters. Highest 2.04% (quarter ended March 31, 2024). Lowest -21.45% (quarter ended December 31, 2025) (QIS-PR, page 137).
• Fiscal-year total returns at NAV. -54.13% (FY 2026), -9.89% (FY 2025), 4.78% (July 11, 2023 to June 30, 2024, not annualized) (QIS-PR, page 316).
• Risk statistics. None given (no beta, correlation, volatility, Sharpe ratio, drawdown or capture figures).
• Note. The fund lost about half its value since launch against a positive T-bill return. Its 3-month gain to September 30, 2026 followed a much larger fall (my inference from the table).

10. History and structural changes

• Predecessor funds. None stated. NAV started at $25.00 (QIS-PR, page 316).
• Reorganizations and 351 conversions. None found.
• Name, ticker, strategy, adviser or trust changes. None stated. The holdings did shift: by June 30, 2026 all swaps referenced affiliated Simplify ETFs (QIS-NP, Part C), against the prospectus's "third-party" strategies (QIS-PR, page 132).
• Document dates. The prospectus and SAI are dated November 1, 2026. The fact sheet data is as of September 30, 2026, so it predates them. The N-PORT reports as of June 30, 2026 and was signed August 21, 2026. No supplements were found. No annual report was attached; the financial highlights in the prospectus come from the June 30, 2026 annual report (QIS-PR, page 296).
• Conflicts between documents.
  • Number of strategies: "10-20 strategies" (QIS-PR, page 132) versus "25 – 35 strategies" and "25+" (QIS-FS, page 1). The June 30, 2026 N-PORT shows 4 swap reference ETFs and 3 directly held ETFs (QIS-NP, Part C).
  • Strategy source: "third-party quantitative investment strategies" (QIS-PR, page 132) versus swaps on affiliated Simplify ETFs (QIS-NP, Part C).
  • Exchange: "NYSE Arca, Inc." (QIS-PR, page 1) versus "NYSE" (QIS-FS, page 1).
  • Inception: 07/10/23 (QIS-FS, page 1; QIS-PR, page 137) versus "July 11, 2023 (commencement of operations)" (QIS-PR, page 316).
  • Subsidiary cap: 25% of "net assets" (QIS-PR, page 133) versus 25% of "total assets" (QIS-PR, page 284).
  • The fact sheet's general disclosures mention an "option overlay" (QIS-FS, page 3). No option overlay appears in QIS's prospectus strategy. This looks like shared boilerplate (my inference). The N-PORT does show purchased SPX and XLE calls on June 30, 2026 (QIS-NP, Part C).

11. Principal risks

Summary list: QIS-PR, pages 133 to 136, "Principal Investment Risks". Fund-by-fund list: QIS-PR, pages 256 and 257. Longer descriptions: QIS-PR, pages 269 to 281.

• Derivatives Risk (page 133). Flag: leverage. "Leverage inherent in derivatives will tend to magnify the Fund's losses if the derivative strategy is ineffective."
  • Total Return Swap Risk (page 133). Flag: leverage and shorting. The shared version names losses "if the price of the short positions rise" (page 281).
  • Counterparty Risk (page 133). Flag: counterparties. Payments may be missed or delayed "If the creditworthiness of the counterparty declines".
• Leverage Risk (page 133). Flag: leverage.
• Active Management Risk (page 133).
• Cash or Cash Equivalents Risk (page 134).
• Commodity Risk (page 134).
• Early Close/Trading Halt Risk (page 134).
• Emerging Markets Risk (page 134).
• ETF Structure Risks (pages 134 and 135): Not Individually Redeemable; Trading Issues; Market Price Variance Risk; Authorized Participant Risk.
• Equity Securities Risk (page 135).
• Fixed Income Securities Risk (page 135).
• Foreign Currency Risk (page 135).
• Foreign Exchange Risk (page 135).
• Foreign Investment Risk (page 135).
• Futures Risk (page 135). Flag: leverage. Futures can make the fund "lose more than the principal amount invested."
• Junk Bond Risk (page 135).
• Market and Geopolitical Risk (page 136).
• Over-the-Counter Market Risk (page 136). Flag: counterparties. Exposure to "default by the over-the-counter option writer".
• Small and Medium Capitalization Risk (page 136).
• Subsidiary Investment Risk (page 136). Flag: the Cayman subsidiary "is not subject to all the investor protections of the 1940 Act."
• Turnover Rate Risk (page 136).
• Underlying Fund Risk (page 136).
• Affiliated Money Market ETF Conflict of Interest Risk (page 136). Flag: collateral, since affiliated money market ETFs are used as swap collateral (my inference).
• U.S. Treasuries Risk (page 136).
• U.S. Treasury Market Risk (page 136).
• Volatility Risk (page 136).

No principal risk addresses model or strategy-provider risk for the third-party QIS models by name (my inference). None addresses the conflict of interest in swapping on affiliated Simplify ETFs, which the June 30, 2026 holdings show (my inference, QIS-NP, Part C).

12. Relevance to our fund

All reasoning in this section is my inference unless cited.

• How close is its structure and leverage? Not close. QIS is a multi-asset swap fund, not a 150/150 equity book. It holds no stocks directly. On June 30, 2026 its exposure came from 11 long swaps on 4 affiliated Simplify ETFs, plus 3 directly held Simplify ETFs (QIS-NP, Part C). It is on Simplify's own trust, not Tidal's.
• What does it show about 3.0x gross in a 40 Act ETF?
  • On June 30, 2026, QIS carried swap notional of 324% of net assets and fund-level long exposure of 370% (my arithmetic, QIS-NP, Part C). So a 40 Act ETF can hold swap notional well above 3x under Rule 18f-4, without Reg T limits.
  • It did so under the relative VaR test (QIS-NP, Item B.10). That test lets a fund's VaR run up to twice that of its designated index. The named index, a short VIX futures index, is itself very volatile, which would leave a lot of room. Whether that index is correct should be checked with Simplify.
  • This matches the swap on a custom index that Tidal raised as a path (S7), and the NTRL and WTAL precedents in fund_context.md.
  • But all of QIS's leverage was long. It shows nothing about financing a 150% short book through swaps.
• What does it show about financing, collateral, custody and costs?
  • Custody: BNY Mellon is custodian, administrator, accountant and transfer agent. Collateral on June 30, 2026 was Treasury bills and a Dreyfus Treasury money market fund (QIS-NP, Part C). No prime broker is needed.
  • Cost visibility: the reported cost is 1.13% total, with only 0.03% interest. Swap financing is netted inside returns. This is the "hidden swap costs" trap in fund_context.md. Under our formula the swap cost would be $150 × L + $150 × S per $100. QIS's N-PORT gives L as SOFR plus 0.00 on 10 swaps and SOFR plus 0.95 on one (QIS-NP, Item C.11). It gives no S, since it had no short swaps. A zero spread over SOFR on a swap on an affiliated ETF is a useful data point for what banks will quote, though the swaps may carry other fees not shown.
  • Transparency: the fact sheet shows only swap codes such as TRSBA0006. The N-PORT reveals the reference ETFs, but only quarterly and with a lag. This confirms Tidal's concern that a swap hides the holdings (O8).
  • Counterparty concentration: four banks on June 30, 2026. Bank of America held 151% of net assets in notional, about 47% of the total (my arithmetic, QIS-NP, Part C). The code prefixes do not reliably name the counterparty: TRSCI0011 is a Bank of America swap.
  • Outcome: -40.85% over 1 year to September 30, 2026. The equity swaps lost a net $10.22 million in April to June 2026 alone (my arithmetic, QIS-NP, Item B.5.c). A swap wrapper adds counterparty and model risk on top of strategy risk.

13. Gaps and open questions

What the documents don't answer, for a 150/150 fund:

• Swap reset terms beyond the rate and reset frequency, and ISDA collateral terms (initial margin, thresholds).
• Total long, short, gross and net exposure on September 30, 2026. The fact sheet shows only the top 10 lines.
• Where swap collateral sits: at BNY Mellon in a control account or with the counterparties.
• The derivatives risk manager, and the median VaR and VaR ratio (blank in the N-PORT copy).
• The full swap financing cost for FY 2026. The annual report's swap notes may show it, but it was not attached.
• Whether the swaps carry fees beyond the stated SOFR spread.
• Look-through long and short exposure inside the underlying Simplify ETFs.
• Beta and other risk statistics.

Questions to ask:

• To Simplify: The prospectus describes third-party bank strategies, but on June 30, 2026 every swap referenced a Simplify ETF. Which is current, and is the "custom swap" a basket or the ETF itself?
• To Simplify: Is the relative VaR designated index for QIS really the Short VIX Futures Index?
• To Simplify: Is collateral held at BNY Mellon under a tri-party or control agreement, or posted to counterparties?
• To Simplify: What does each counterparty charge beyond SOFR, and why does the SBAR swap carry 0.95 when the others carry 0.00?
• To Simplify: Why does the prospectus say 10 to 20 strategies when the fact sheet says 25 to 35?
• To Tidal: Would Tidal accept a multi-swap structure like QIS for our book, given its concern about hidden holdings?

Search terms tried for fields left "Not stated":

• Long, short, gross, net: leverage, swap, notional, exposure (fact sheet and QIS summary read in full).
• Prime broker and counterparties: prime broker, counterpart, ISDA, master agreement, borrow, margin, Regulation T, Reg T, portfolio margin.
• Leverage cost and short dividends: short sale, sold short, interest expense, borrowing, line of credit, credit facility, box spread, reverse repurchase.
• 18f-4 and VaR: 18f-4, value at risk, VaR, derivatives risk manager, limited derivatives user, risk management program.
• Collateral location: tri-party, segregat, custodian.
• Securities lending agent: securities lending, lending agent, lend portfolio.
• Beta and risk data: beta, Sharpe, volatility, drawdown, Morningstar.
• History: predecessor, reorganiz, 351.
• CUSIP in the prospectus and SAI: CUSIP (no hits; fact sheet only).
• QIS-NP: every Part A, B and C item was read. All 27 holdings were extracted with their counterparty, notional, rate, spread, reset, payoff and value.

14. Documents used

Page numbering.

• QIS-FS: pages print "1 of 3" to "3 of 3", the same as the PDF.
• QIS-PR: PDF page 1 is the cover (no number). PDF pages 2 and 3 are the contents (printed i and ii). From PDF page 4 on, PDF page = printed page + 3. QIS's own summary is PDF pages 132 to 138 (printed 129 to 135). The prospectus covers 29 funds; only QIS's summary and shared sections were used.
• QIS-SAI: PDF page 1 is the cover. PDF page 2 is the contents (printed i). From PDF page 3 to 71, PDF page = printed page + 2. PDF pages 72 to 75 are the proxy voting appendix (printed A-1 to A-4). The SAI covers all 29 funds; only shared or QIS-specific passages were used.
• QIS-NP: a text copy of the filing with no page numbers. Cited by Form N-PORT item number (for example Item B.10.b, Item C.11).

15. Snapshot sources

• Ticker: QIS-FS, page 1, "Details" ("Ticker: QIS").
• Fund name: QIS-FS, page 1, header; QIS-PR, page 1, cover.
• As of date: "As of 09/30/26" (QIS-FS, page 1, "Details"). The fact sheet is labeled "3Q26". Long %, Short %, Gross, Net, Short method, counterparties and Leverage cost come from QIS-NP and are as of June 30, 2026, not September 30, 2026.
• Adviser: QIS-PR, page 138, "Investment Adviser"; QIS-SAI, page 40, "Investment Adviser".
• Platform: QIS is "a series of Simplify Exchange Traded Funds" (QIS-PR, page 1, cover). The adviser "manages only the Funds" (QIS-PR, page 286, "Management"). So the trust is Simplify's own (my inference).
• Exchange: "NYSE Arca, Inc." (QIS-PR, page 1, cover). The fact sheet says "NYSE" (QIS-FS, page 1, "Details").
• Inception: "Inception Date: 07/10/23" (QIS-FS, page 1, "Details"). The financial highlights give July 11, 2023 as commencement of operations (QIS-PR, page 316).
• Net assets: $48,954,346 as of September 30, 2026 (QIS-FS, page 1, "Details"), rounded to $48.95 million (my arithmetic).
• Strategy type: (my inference) from "a diversified portfolio of third-party quantitative investment strategies across equities, interest rates, commodities, and currencies" (QIS-PR, page 132, "Principal Investment Strategies").
• Long %: (my arithmetic) swap notional of $125,481,355 (324.09%) plus directly held ETFs of $17,843,860 (46.09%), over net assets of $38,717,489.30, on June 30, 2026 (QIS-NP, Item B.1.c and Part C). Every swap receives the reference ETF's "Performance Leg" and pays SOFR (Item C.11), so all are long. Purchased calls are excluded because their deltas are blanked. Treasury bills and the money market fund are excluded as collateral. This is fund-level exposure; it does not look through to the underlying ETFs.
• Short %: no holding has a short payoff and no swap is short, June 30, 2026 (QIS-NP, Items C.3 and C.11).
• Gross: (my arithmetic) 370.18% long plus 0% short, June 30, 2026 (QIS-NP, Part C). The fact sheet's top 10 swap lines total 218.25% on September 30, 2026 (QIS-FS, page 2), likely also notional (my inference).
• Above 2.0x: Gross of 3.70x on June 30, 2026 (my arithmetic, QIS-NP, Part C).
• Net: (my arithmetic) 370.18% long minus 0% short, June 30, 2026 (QIS-NP, Part C).
• Short method: no short positions at fund level on June 30, 2026 (QIS-NP, Items C.3 and C.11). The prospectus describes investing "primarily through total return swaps" (QIS-PR, page 132) without describing shorts.
• Prime broker or counterparty: counterparty names and LEIs on each swap (QIS-NP, Part C, Item C.11.b). No prime broker.
• Custodian: "Bank of New York Mellon is the Funds' administrator, transfer agent, custodian and fund accountant." (QIS-PR, page 294, "Fund Service Providers"); QIS-SAI, page 55, "Custodian".
• Management fee: QIS-PR, page 132, "Fees and Expenses of the Fund" ("Management Fees 1.00%"). It is a unitary fee (QIS-SAI, page 40).
• Total expense ratio: QIS-PR, page 132 ("Total Annual Fund Operating Expenses 1.13%"); QIS-FS, page 1, "Details" (Expense Ratio 1.13%). No waiver applies (QIS-PR, page 287).
• Short costs in expense ratio: (my inference) the fund has no direct short sales, and swap financing is netted inside swap returns (QIS-SAI, page 5, "Swap Agreements"). The fee table has no line for short costs (QIS-PR, page 132).
• 3-month return: 12.07% at NAV, 3 months to September 30, 2026 (QIS-FS, page 2, "Performance").
• 1-year return: -40.85% at NAV, 1 year to September 30, 2026 (QIS-FS, page 2, "Performance").
• Beta: not given in any of the four documents.
• Beta benchmark: not stated, because no beta is given.
• Beta period: not stated, because no beta is given.
• Leverage Method: "investing, primarily through total return swaps" and "the swap counterparty makes payments to the Fund based on the return of the underlying strategy" (QIS-PR, pages 132 and 133, "Principal Investment Strategies"). On June 30, 2026, swaps made up 324.09% of the 370.18% long exposure (my arithmetic, QIS-NP, Part C). The fund holds no physical long/short stock book, so not "Stocks plus swap overlay" (my inference). The directly held Simplify ETFs are not leveraged or inverse ETFs, so not Route J (my inference).
• Leverage cost: "Payments: Floating rate Index" is "THE SECURED OVERNIGHT FINANCING RATE" on all 11 swaps; "Floating rate Spread" is 0.00 on 10 and 0.95 on TRSCI0011 (QIS-NP, Part C, Item C.11). The cost is paid inside swap returns: the swap return is the gain or loss on the notional "less the interest paid by the Fund on the notional amount" (QIS-SAI, page 5). The only financing item in the ratios is interest expense of 0.03% for the fiscal year ended June 30, 2026 (QIS-PR, page 316, footnote (k)).
• Short dividend expense: no direct short sales or short dividend expense are described in any of the four documents.
• Ranking properties (Rank to Score): from the ranking of the 27 LS peers prepared November 11, 2026, using only the project's fund profiles. Each of the seven criteria scores Yes = 1, Partly = 0.5, No or Not stated = 0. Funds sort first by Portfolio margin (YES, LIKELY, POSSIBLE, UNLIKELY, NO), then by Score, then Tidal funds first, then higher gross exposure (my inference).
• Rank: 21 of 27, as of November 11, 2026.
• Long/short: No. A multi-asset swap fund with no short positions at fund level on June 30, 2026: all 11 swaps were long (QIS-NP, Items C.3 and C.11).
• Portfolio margin: NO. The fund held no short stock book on June 30, 2026. Its exposure came from long total return swaps and directly held ETFs (QIS-NP, Part C).
• Cross-collateral: Not stated. Swap collateral was Treasury bills and a Treasury money market fund (QIS-NP, Part C). Where it sits is not stated.
• Outside Reg T: No. Exposure comes through swaps, not a margin account (QIS-PR, page 132) (my inference).
• Short costs (includes dividends): Partly. On June 30, 2026, 10 swaps paid SOFR plus 0.00 and one paid SOFR plus 0.95, inside swap returns (QIS-NP, Part C, Item C.11). Only 0.03% interest expense appears in the ratios, fiscal year ended June 30, 2026 (QIS-PR, page 316). There were no short swaps, so no short-leg rate.
• Over 2.0x: Yes. 3.70x long-only gross on June 30, 2026 (QIS-NP, Part C; my arithmetic).
• Tidal: No. The fund is a series of Simplify Exchange Traded Funds (QIS-PR, page 1, cover).
• Score: 1.5 (my arithmetic).

16. Fund Documents

Fact Sheet

Prospectus

SAI