Simplify Barrier Income ETF (SBAR US) – Portfolio Construction Methodology

The investment strategy underpinning the actively managed Simplify Barrier Income ETF combines a short-duration interest-income sleeve with an option spread sleeve that writes out-of-the-money barrier put spreads on major U.S. equity ETFs such as SPDR S&P 500, Invesco QQQ Trust, and iShares Russell 2000 (USD). The cash sleeve holds U.S. Treasury bills/notes and fixed-income ETFs, targeting an average portfolio duration ≤2 years to anchor collateral yield and rate risk. The options sleeve may be implemented directly or via swaps/forwards; the adviser typically emphasizes a “worst-of-three” barrier put-spread construction, with barrier levels and strikes set per outcome period. Allocation between sleeves is actively adjusted; there is no fixed reset schedule. Losses can accelerate if barriers are breached; gains are premium-based when reference assets finish above barriers. Liquidity/capacity primarily depend on Treasury markets and listed SPY/QQQ/IWM options depth. Rebalancing reflects carry, implied volatility, and collateral yields.

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