Table of Contents

 

    Page
Part I   1
     
Item 1. Business.   1
     
Item 1A. Risk Factors.   4
     
Item 1B. Unresolved Staff Comments.   6
     
Item 2. Properties.   6
     
Item 3. Legal Proceedings.   6
     
Item 4. Mine Safety Disclosures.   6
     
Part II   7
     
Item 5. Market for Registrant’s Common Equity, Related Stockholder Matters and Issuer Purchases of Equity Securities.   7
     
Item 6. [Reserved].   8
     
Item 7. Management’s Discussion and Analysis of Financial Condition and Results of Operations.   8
     
Item 7A. Quantitative and Qualitative Disclosures About Market Risk.   11
     
Item 8. Financial Statements and Supplementary Data.   11
     
Item 9. Changes in and Disagreements with Accountants on Accounting and Financial Disclosure.   12
     
Item 9A. Controls and Procedures.   13
     
Item 9B. Other Information.   13
     

Item 9C. Disclosure Regarding Foreign Jurisdictions that Prevent Inspections.

  13
     
Part III   14
     
Item 10. Directors, Executive Officers and Corporate Governance.   14
     
Item 11. Executive Compensation.   17
     
Item 12. Security Ownership of Certain Beneficial Owners and Management and Related Stockholder Matters.   17
     
Item 13. Certain Relationships and Related Transactions, and Director Independence.   17
     
Item 14. Principal Accountant Fees and Services.   18
     
Part IV   19
     
Item 15. Exhibits and Financial Statement Schedules.   19
     
Exhibit Index.   20
     
Signatures.   21

 

i 

 

Part I

 

Item 1. Business

 

Metaurus Equity Component Trust (the “Trust”) was formed in September 2016 and is authorized to have multiple series or portfolios. The Trust is a statutory trust formed under the laws of the state of Delaware. The Trust currently has one series or fund traded on the NYSE Arca, Inc. exchange (“NYSE Arca”), U.S. Equity Cumulative Dividends Fund–Series 2027 (the “Dividend Fund”). (The Trust previously also had a second series or fund traded on the NYSE Arca – U.S. Equity Ex-Dividend Fund–Series 2027 (the “Ex-Dividend Fund”) which was liquidated on December 17, 2021.) Metaurus Advisors LLC (the “Sponsor” or “Advisor”) serves/served as the sponsor, commodity pool operator and commodity trading advisor of both the Dividend Fund and Ex-Dividend Fund (each a “Fund” or “ETF”, collectively the “Funds” or “ETFs”). Each of the Funds commenced operations on January 17, 2018 and commenced investment operations on February 5, 2018.

 

The Trust has had no investment operations prior to February 5, 2018 other than matters relating to its organization, the registration of each series/Fund under the Securities Act of 1933, as amended, and matters relating to their establishment and the capital contribution by the Sponsor of $1,000 to each Fund on December 22, 2017.

 

On November 12, 2021, the Sponsor notified the NYSE Arca stock exchange that it has determined to close the Ex-Dividend Fund and delist and liquidate the Ex-Dividend Fund’s shares from trading on the NYSE Arca. Trading in XDIV shares was suspended following the market close on December 10, 2021, and XDIV was liquidated on December 17, 2021.

 

The investment objective of the ETFs is/was to employ a passive management, or indexing, investment approach designed to correspond to the performance of each underlying index, before fees and expenses.

 

Individual Shares of the Dividend Fund may be purchased and sold only on a national securities exchange, an alternative trading system or in the over-the-counter market and not directly from the Dividend Fund. Only broker-dealers who have entered into agreements with the Trust to act as authorized participants of the Trust (“Authorized Participants”) may purchase or redeem shares directly with the Dividend Fund. Shares of the Dividend Fund are listed and traded on the NYSE Arca, Inc. exchange. The Dividend Fund will issue and redeem Shares on a continuous basis, through SEI Investments Distribution Co. (the “Distributor”), at net asset value (“NAV”) per Share only in one or more large blocks of Shares, called “Baskets” as set forth in the Dividend Fund’s current Prospectus and any prospectus supplements thereto. Baskets may be issued and redeemed for cash but are expected to be issued and redeemed principally through exchange for related positions (“EFRP”) transactions for (i) futures contracts, Treasury securities and other financial instruments designed to track such Fund’s underlying index (“Deposit Instruments”) and (ii) a cash amount that includes a variable charge. Creation and redemption prices of Baskets are directly linked to a Fund’s next computed NAV and will vary from NAV by a market-determined trading cost, which may be zero. Shares generally will trade in the secondary market in amounts less than a Basket at market prices that change throughout the day. Trading prices in the secondary market for the Shares may be different from the NAVs of the ETFs.

 

Undefined capitalized terms shall have the meaning as set forth in the registration statement.

 

The Dividend Fund seeks investment results that, before fees and expenses, correspond to the performance of the Solactive® U.S. Cumulative Dividends Index—Series 2027 (the “Solactive Dividend Index”) over each calendar year so as to provide Shareholders with returns designed to replicate the dividends on constituent companies of the S&P 500, without exposure to the underlying securities. The Dividend Fund intends primarily to invest its assets in the component instruments of the Solactive Dividend Index, as well as in cash and/or cash equivalents. The component instruments of the Solactive Dividend Index consist of U.S. Treasury Securities (“Treasury Securities”) and long positions in annual futures contracts listed on the Chicago Mercantile Exchange (“CME”) that provide exposure to dividends paid on the S&P 500 constituent companies (“S&P 500 Dividend Futures Contracts”) pro rata for each year of the life of the Dividend Fund.

 

The Ex-Dividend Fund sought investment results that, before fees and expenses, corresponded to the performance of the Solactive® U.S. Equity Ex-Dividends Index—Series 2027 (the “Solactive Ex-Dividend Index”). The Ex-Dividend Fund sought to track the Solactive Ex-Dividend Index so as to provide Shareholders with returns that are equivalent to the performance of 0.25 shares of SPDR S&P 500 exchange-traded fund (“SPY”) less the value of current and future expected ordinary cash dividends to be paid on the S&P 500 constituent companies over the term of the Ex-Dividend Fund. SPY is an exchange-traded fund that seeks to track the S&P 500. The Ex-Dividend Fund sought to replicate the performance of SPY through owning long positions in quarterly S&P 500 Index futures contracts traded on the CME (“S&P 500 Index Futures Contracts”) rather than shares of SPY. Additionally, the Ex-Dividend Fund intended to track the performance of the Solactive Ex-Dividend Index by selling S&P 500 Dividend Futures Contracts. The Ex-Dividend Fund also held Treasury Securities, cash and/or cash equivalents.

 

1

 

 

Cash and Cash Equivalents

 

Cash and cash equivalents consist of highly liquid investments with original maturities of three months or less at the date of purchase. The Funds maintain deposits with financial institutions in amounts that may, at times, exceed the insured limits under applicable law.

 

Short-Term Investments

 

The Funds may purchase U.S. Treasury Bills and cash equivalents. Additionally, the Funds may enter into short-term loans and reverse repurchase agreements for liquidity purposes. There were no short-term loans or reverse repurchase agreements held in the Funds as of, and during the period ended December 31, 2021, or December 17, 2021.

 

Accounting for Derivative Instruments

 

All open derivative positions at period end are reflected on each respective ETF’s Schedule of Investments. The ETFs utilized a varying level of derivative instruments in conjunction with investment securities in seeking to meet their investment objective during the period. While the volume of open positions may vary on a daily basis as each ETF transacts derivatives contracts in order to achieve the appropriate exposure to meet its investment objective, the volume of these open positions relative to the net assets of each respective ETF at the date of this report is generally representative of open positions throughout the reporting period. Following is a description of the derivative instruments used by the ETFs during the reporting period, including the primary underlying risk exposures related to each instrument type.

 

Futures Contracts

 

The ETFs enter into futures contracts to gain exposure to changes in the value of, or as a substitute for investing directly in (or shorting), an underlying index, currency or commodity, as set forth above. A futures contract obligates the seller to deliver (and the purchaser to accept) the future delivery of a specified quantity and type of asset at a specified time and place. The contractual obligations of a buyer or seller may generally be satisfied by taking or making physical delivery of the underlying commodity, if applicable, or by making an offsetting sale or purchase of an identical futures contract on the same or linked exchange before the designated date of delivery, or by cash settlement at expiration of contract. The particular futures contracts utilized by the ETFs permit settlement only in cash. Upon entering into a futures contract, each ETF is required to deposit and maintain as collateral at least such initial margin as required by the exchange on which the transaction is affected.

 

The initial margin is segregated as cash and/or securities balances with brokers for futures contracts, as disclosed in the Statements of Financial Condition and Schedules of Investments, and is restricted as to its use. The ETFs that enter into futures contracts maintain collateral at the broker in the form of cash and/or securities. Pursuant to the futures contract, each Fund generally agrees to receive from or pay to the broker(s) an amount of cash equal to the daily fluctuation in value of the futures contract. Such receipts or payments are known as variation margin and are recorded by each Fund as unrealized gains or losses. Each Fund will realize a gain or loss upon closing of a futures transaction. Futures contracts involve, to varying degrees, elements of market risk (specifically commodity price risk or equity market volatility risk) and exposure to loss in excess of the amount of variation margin. The face or contract amounts reflect the extent of the total exposure each Fund has in the particular classes of instruments. Additional risks associated with the use of futures contracts are imperfect correlation between movements in the price of the futures contracts and the market value of the underlying index or commodity and the possibility of an illiquid market for a futures contract. With futures contracts, there is minimal but some counterparty risk to the ETFs since futures contracts are exchange-traded and the exchange’s clearinghouse, as counterparty to all exchange-traded futures contracts, guarantees the futures contracts against default. Many futures exchanges and boards of trade limit the amount of fluctuation permitted in futures contract prices during a single trading day. Once the daily limit has been reached in a particular contract, no trades may be made that day at a price beyond that limit or trading may be suspended for specified times during the trading day. Futures contracts prices could move to the limit for several consecutive trading days with little or no trading, thereby preventing prompt liquidation of futures positions and potentially subjecting a Fund to substantial losses. If trading is not possible, or if a Fund determines not to close a futures position in anticipation of adverse price movements, the Fund will be required to make daily cash payments of variation margin. The risk that the Fund will be unable to close out a futures position will be minimized by entering into such transactions on a national exchange with an active and liquid secondary market.

 

2

 

 

The Funds issued and redeemed, and the Dividend Fund will continue to issue and redeem, Shares on a continuous basis at NAV in one or more large blocks of Shares called Baskets as set forth in the Funds’ Prospectus and any prospectus supplements thereto. As noted above, XDIV was liquidated on December 17, 2021. The Dividend Fund intends to continue to create and redeem Baskets primarily through exchange for related position (“EFRP”) transactions. In certain instances, the Dividend Fund may effect creations and redemptions partly or wholly for cash, rather than through an EFRP transaction.

 

The manner by which redemptions are made is dictated by the terms of the respective authorized participant agreement between an Authorized Participant and the Trust (“Authorized Participant Agreement”). Except when aggregated in Baskets, Shares are not redeemable securities of a Fund. Shares of the Funds may be purchased or redeemed only by Authorized Participants. An Authorized Participant is an institution that (i) is a broker-dealer; (ii) is a registered futures commission merchant and/or clears through a registered futures commission merchant; (iii) is a Depository Trust Company Participant and a member of the National Securities Clearing Corporation; (iv) has entered into an Authorized Participant agreement with the Trust; and (v) is in a position to transfer the required Deposit Instruments and/or the cash to buy and sell whole Baskets. Investors will purchase Shares in the secondary market, generally with the assistance of a broker or investment advisor and will be subject to customary brokerage commissions, mark ups and mark downs and fees.

 

Authorized Participants will pay a transaction fee per Basket created or redeemed. The Sponsor may choose to pay transaction fees on behalf of Authorized Participants and has done so to date on Baskets that have been created. There is no guarantee that the Sponsor will continue to do so. In addition, to the extent that cash is delivered or received in lieu of any of the Deposit Instruments upon the creation or redemption of Shares by an Authorized Participant, such Authorized Participants will pay an additional variable charge up to 2% of the cash that is delivered or received in lieu of any of the Deposit Instruments to a Fund to pay for any additional transaction costs and fees and price changes associated with the purchase or disposition of any of the Deposit Instruments.

 

Administrator, Custodian, Fund Accountant and Transfer Agent

 

SEI Investments Global Fund Services, Inc. (the “Administrator”) serves as the Funds’ Administrator pursuant to an administration agreement. Brown Brothers Harriman & Co. (the “Custodian”) serves as the Funds’ custodian and transfer agent pursuant to a custodian and transfer agent agreement.

 

Clearing FCM

 

Morgan Stanley & Co. LLC (“MS&Co.” or the “Clearing FCM”) serves as the Fund’s Clearing FCM pursuant to the terms of a commodity futures customer agreement among the Sponsor, on behalf of the Funds, severally and not jointly, and the Clearing FCM (the “Futures Account Agreement”). As Clearing FCM, MS&Co. serves as the Funds’ clearing broker and as such arranges for the execution and clearing of the Funds’ futures transactions. As such, MS&Co. holds, on behalf of the Funds, positions in futures contracts and Treasury Securities, cash and cash equivalents as futures margin. Treasury Securities, cash and cash equivalents not held as futures margin will be held by the Custodian. The Funds may engage additional and/or other futures commission merchants in the future.

 

Distribution Agreement

 

SEI Investments Distribution Co., a wholly-owned subsidiary of SEI Investments and an affiliate of the Administrator, serves as the Funds’ distributor of Baskets pursuant to a distribution agreement. The Distributor does not maintain any secondary market in the Shares.

 

3

 

 

Item 1A. Risk Factors

 

The following risk factors should be read in connection with the other information included in this annual report on Form 10-K, including Management’s Discussion and Analysis of Financial Condition and Results of Operations and the Funds’ financial statements and the related notes, and the factors discussed beginning Page 11 “Risk Factors” in our prospectus dated July 9, 2021, and all subsequent supplements thereto, which could materially affect our business, financial condition or future results. The risks described in the prospectus are not the only risks facing the Trust. Additional risks and uncertainties not currently known to us or that we currently deem to be immaterial also may materially adversely affect our business, financial condition and/or operating results.

 

Principal Risks

 

A shareholder of the Funds is subject to the risk that his or her investment could lose money. The Funds are subject to the principal risks noted below, any of which may adversely affect a Fund’s NAV, trading price, yield, total return and ability to meet its investment objective. A more complete description of principal risks is included in the prospectus under the heading “Principal Risks”. This could result in the Funds’ underperformance compared to other funds with similar investment objectives.

 

Market Trading Risks

 

Individual Shares may be purchased and sold only on a national securities exchange, an alternative trading system, or in the over-the-counter market and may not be directly purchased or redeemed from the Funds. There can be no guarantee that an active trading market for Shares will develop or be maintained, or that the listing of the Shares will continue unchanged. Buying and selling Shares may require a shareholder to pay brokerage commissions and expose a shareholder to other trading costs. Due to brokerage commissions and other transaction costs that may apply, frequent trading may detract from realized investment returns. Trading prices of Shares may be above, at or below the Funds’ NAV, will fluctuate in relation to NAV based on supply and demand in the market for Shares and other factors, and may vary significantly from NAV during periods of market volatility. The return on an investor’s investment will be reduced when the investor sells Shares at a discount or buys Shares at a premium to NAV.

 

Contingent Pricing Risks

 

Creation and redemption prices of Baskets are directly linked to the Funds’ next-computed NAV, which is normally determined at the end of each business day. Buyers and sellers of Shares will not know the value of their purchases and sales until the Funds’ NAV is determined at the end of the trading day. Like mutual funds, the Funds do not offer opportunities to purchase or redeem Baskets intraday at currently determined (as opposed to end-of-day) prices. Creation and redemption prices of Baskets are contingent upon the determination of NAV and may vary significantly from anticipated levels (including estimates based on intraday indicative values disseminated by the Funds) during periods of market volatility. Although limit orders can be used to restrict differences between prices of the Shares in the secondary market and NAV (i.e., premiums and discounts to NAV), they cannot be used to specify trade execution prices. However, unlike shares of mutual funds, Shares will trade on NYSE Arca, Inc. during the day at market-determined prices. The Funds will disseminate an indicative NAV every 15 seconds during the trading day.

 

Cash Transactions Risk

 

Each Fund intends to create and redeem Baskets primarily through EFRP transactions. In certain instances, the Funds may effect creations and redemptions partly or wholly for cash, rather than through an EFRP transaction. Because the Funds may effect redemptions for cash, rather than through an EFRP transaction, they may be required to sell Deposit Instruments in order to obtain the cash needed to distribute redemption proceeds, and they may subsequently recognize gains on such sales. As a result, an investment in Shares redeemed partially or wholly for cash may be less tax-efficient than if the Shares were redeemed through an EFRP transaction which generally will not trigger any tax consequences to Shareholders. Moreover, cash transactions may have to be carried out over several days if the market for any of the Deposit Instruments is relatively illiquid and may involve considerable brokerage fees and taxes. These brokerage fees and taxes, which generally are expected to be higher than if the Basket was created or redeemed through an EFRP transaction, may be passed on to purchasers and redeemers of Baskets in the form of creation and redemption transaction fees. In addition, these factors may result in wider spreads between the bid and the offered prices of the Shares.

 

4

 

 

Authorized Participant Concentration Risk

 

Only an Authorized Participant may engage in creation or redemption transactions directly with the Funds. The Funds may have relationships with a limited number of institutions that act as Authorized Participants. To the extent these institutions exit the business or are unable or unwilling to proceed with creation and/or redemption orders with respect to the Funds and no other Authorized Participant is able to step forward to create or redeem Baskets, Shares of the Funds may trade at a discount to NAV and possibly face trading halts and/or delisting.

 

Substantial Interests of each Fund are Held by a Small Number of Investors and Authorized Participants.

 

A substantial portion of the Shares of each Fund are held by a small number of investors, Beneficial Owners and Authorized Participants. Additionally, at any future time, and from time to time, a substantial portion of the Shares of either Fund may be held by one or a small number of investors, Beneficial Owners and/or Authorized Participants. In the event of substantial redemptions of Shares by one or more of these persons the Shares could be impacted adversely.

 

Guarantees and Indemnifications

 

In the normal course of business, the Funds enter into contracts with third-party service providers that contain a variety of representations and warranties and that provide general indemnifications. Additionally, under the Funds’ organizational documents, the Sponsor, Wilmington Trust, N.A., a national banking association and the trustee of the Trust, and their officers and affiliates are indemnified against certain liabilities arising out of the performance of their duties to the Funds. The Funds’ maximum exposure under these arrangements cannot be known, as it involves possible future claims that may or may not be made against the Funds. Based on experience, the Sponsor is of the view that the risk of loss to the Funds in connection with the Funds’ indemnification obligations is remote; however, there can be no assurance that such obligations will not result in material liabilities that adversely affect the Funds.

 

Natural Disaster/Epidemic Risk.

 

Natural or environmental disasters, such as earthquakes, fires, floods, hurricanes, tsunamis and other severe weather-related phenomena generally, and widespread disease, including pandemics and epidemics (for example, the novel coronavirus COVID-19), have been and can be highly disruptive to economies and markets and have recently led, and may continue to lead, to increased market volatility and significant market losses. Such natural disaster and health crises could exacerbate political, social, and economic risks previously mentioned, and result in significant breakdowns, delays, shutdowns, social isolation, and other disruptions to important global, local and regional supply chains affected, with potential corresponding results on the operating performance of the Funds. A climate of uncertainty and panic, including the contagion of infectious viruses or diseases, may adversely affect global, regional, and local economies. These circumstances may adversely impact the Funds’ performance. Further, such events can be highly disruptive to economies and markets, significantly disrupt the operations of individual companies (including, but not limited to, the Funds’ Sponsor and third-party service providers), sectors, industries, markets, securities and commodity exchanges, currencies, interest and inflation rates, credit ratings, investor sentiment, and other factors affecting the value of the Funds’ Underlying Indexes. These factors can cause substantial market volatility, exchange trading suspensions and closures, changes in the availability of and the margin requirements for certain instruments, and can impact the ability of the Funds to complete redemptions and otherwise affect the Funds’ performance and the Funds’ trading in the secondary market. A widespread crisis may also affect the global economy in ways that cannot necessarily be foreseen at the current time. How long such events will last and whether they will continue or recur cannot be predicted. Impacts from these could have a significant impact on the Funds’ performance, resulting in losses to your investment.

 

5

 

 

Risk that Current Assumptions and Expectations Could Become Outdated as a Result of Global Economic Shock.

 

The onset of the novel coronavirus (COVID-19) has caused significant shocks to global financial markets and economies, with many governments taking extreme actions to slow and contain the spread of COVID-19. These actions have had, and likely will continue to have, a severe economic impact on global economies as economic activity in some instances has essentially ceased. Financial markets across the globe are experiencing severe distress at least equal to what was experienced during the global financial crisis in 2008. In March 2020, U.S. equity markets entered a bear market in the fastest such move in the history of U.S. financial markets. Contemporaneous with the onset of the COVID-19 pandemic in the US, oil experienced shocks to supply and demand, impacting the price and volatility of oil. The global economic shocks being experienced as of the date hereof may result in significant losses to your investment.

 

Item 1B. Unresolved Staff Comments

 

None.

 

Item 2. Properties

 

Not applicable.

 

Item 3. Legal Proceedings

 

From time to time, the Funds may receive subpoenas or other requests for information from various U.S. federal, state governmental and domestic and international regulatory authorities in connection with certain industry-wide or other investigations or proceedings. It is the Funds’ general policy to cooperate fully with such inquiries. The Funds may also be named as defendants in legal actions, including arbitrations and other litigation arising in connection with their activities, any of which potentially could harm the investment returns of the Fund or result in it being liable for any resulting damages.

 

The Sponsor, after consultation with legal counsel, currently does not anticipate that the aggregate liability arising out of regulatory matters or lawsuits, if any, will have a material effect on either Fund’s results of operations, financial position, or cash flows. However, there is no assurance as to whether any such pending or threatened matters, if any, will have a material effect on a Fund’s results of operations, financial position or cash flows in any future reporting period. Due to uncertainties surrounding the outcome of these matters, if any, the Funds cannot reasonably estimate the possible loss or range of loss that may arise from these matters, if any.

 

Item 4. Mine Safety Disclosures

 

Not applicable.

 

6

 

 

Part II

 

Item 5. Market for Registrant’s Common Equity, Related Stockholder Matters and Issuer Purchases of Equity Securities

 

Price Range of shares

 

The Dividend Fund and the Ex-Dividend Fund commenced trading on the NYSE Arca under the symbol “IDIV” and “XDIV” respectively on February 6, 2018. The following table sets forth the range of reported high and low sales prices of the shares as reported on the NYSE Arca for the periods indicated below.

 

Fund   Fiscal Year 2021  
U.S. Equity Cumulative Dividends Fund–Series 2027   High     Low  
First Quarter   $ 13.48     $ 9.52  
Second Quarter     11.05       10.00  
Third Quarter     11.19       10.11  
Fourth Quarter     10.74       9.55  

 

As of December 31, 2021, IDIV had approximately 3,400 shareholders.

 

Fund   For the period from January 1, 2021 to December 10, 2021  
U.S. Equity Ex-Dividend Fund–Series 2027   High     Low  
First Quarter   $ 93.05     $ 82.00  
Second Quarter     96.72       89.53  
Third Quarter     102.93       95.09  
Fourth Quarter     106.95       95.80  

 

On November 12, 2021, the Sponsor notified the NYSE Arca stock exchange that it has determined to close the Ex-Dividend Fund and delist and liquidate the Ex-Dividend Fund’s shares from trading on the NYSE Arca. Trading in XDIV shares was suspended following the market close on December 10, 2021, and XDIV was liquidated on December 17, 2021.

 

Dividend distributions

 

IDIV made $1.4025 per share distributions to shareholders during the fiscal period ended December 31, 2021. The following table sets forth, for each month, the distribution per share in 2021.

 

Month   Dividend Distribution per Share  
January 2021   $ 0.0950  
February 2021   $ 0.1300  
March 2021   $ 0.1275  
April 2021   $ 0.0825  
May 2021   $ 0.1400  
June 2021   $ 0.1175  
July 2021   $ 0.0850  
August 2021   $ 0.1450  
September 2021   $ 0.1175  
October 2021   $ 0.0925  
November 2021   $ 0.1475  
December 2021   $ 0.1225  
Total   $ 1.4025  

 

XDIV has not made and does not currently intend to make dividend distributions to its shareholders.

 

Issuer Purchase of Shares

 

IDIV and XDIV do not purchase shares directly from their shareholders. In connection with their redemption of baskets held by authorized participants, IDIV redeemed 0 baskets for the twelve months ended December 31, 2021. XDIV was liquidated on December 17, 2021 and all outstanding shares were redeemed as of that date.

 

7

 

  

Item 6. [Reserved].

 

Item 7. Management’s Discussion and Analysis of Financial Condition and Results of Operations

 

This information should be read in conjunction with the financial statements and notes to the financial statements included with this report. The discussion and analysis that follows may contain statements that relate to future events or future performance. In some cases, such forward-looking statements can be identified by terminology such as “may,” “should,” “expect,” “plan,” “anticipate,” “believe,” “estimate,” “predict,” “potential” or the negative of these terms or other comparable terminology. We remind readers that forward-looking statements are merely predictions and therefore inherently subject to uncertainties and other factors and involve known and unknown risks that could cause the actual results, performance, levels of activity, or our achievements, or industry results, to be materially different from any future results, performance, levels of activity, or our achievements expressed or implied by such forward-looking statements. Readers are cautioned not to place undue reliance on these forward-looking statements, which speak only as of the date hereof. Except as expressly required by federal securities laws, none of the Trust, the Funds, the Sponsor or the Trustee are under a duty to update any of the forward-looking statements to conform such statements to actual results or to a change in expectations or predictions.

 

The Dividend Fund has based the forward-looking statements included in this annual report on Form 10-K on information available to it on the date of this annual report on Form 10-K, and the Dividend Fund assumes no obligation to update any such forward-looking statements. Although the Dividend Fund undertakes no obligation to revise or update any forward-looking statements, whether as a result of new information, future events or otherwise, investors are advised to consult any additional disclosures that the Dividend Fund may make directly to them or through reports that the Dividend Fund files in the future with the SEC, including annual reports on Form 10-K, and quarterly reports on Form 10-Q.

 

Introduction

 

The Metaurus Equity Component Trust (the “Trust”) is a statutory trust formed under the laws of the State of Delaware in September 2016. The Trust is neither managed like a corporation nor registered as an investment company under the Investment Company Act of 1940 and is not required to register under such act.

 

The U.S. Equity Cumulative Dividends Fund—Series 2027 (the “Dividend Fund”) and the U.S. Equity Ex-Dividend Fund—Series 2027 (the “Ex-Dividend Fund”, and together with the Dividend Fund, the “Funds” and each, a “Fund”) are separate series of the Trust. Each Fund is a commodity pool that will issue shares to shareholders (“Shareholders”) representing fractional undivided beneficial interests in, and ownership of, the net assets of the Fund (“Shares”). The Funds are each passive, unleveraged investment pools.

 

Shares in each Fund are being separately offered. The Funds are term funds that will terminate on or prior to December 31, 2027. Each of the Funds began issuing shares on February 5, 2018, and their units of beneficial interest (“Shares”) represent units of fractional undivided beneficial interest in and ownership of only that Fund. The Shares of each Fund are listed on the New York Stock Exchange Archipelago (a/k/a NYSE Arca). The Trust qualifies as an “emerging growth company” subject to reduced public company reporting requirements under U.S. federal securities laws.

 

The Funds filed a post-effective amendment to the registration statement with the SEC and NFA on July 9, 2021, which was accepted by the NFA on July 13, 2021, and declared effective by the SEC on July 15, 2021. The registration statement is dated July 9, 2021.

 

On November 12, 2021, the Sponsor notified the NYSE Arca stock exchange that it has determined to close the Ex-Dividend Fund and delist and liquidate the Ex-Dividend Fund’s shares from trading on the NYSE Arca. Trading in the Ex-Dividend Fund’s shares was suspended following the market close on December 10, 2021, and the Fund was liquidated on December 17, 2021.

 

On December 13, 2021, the Funds filed Supplement No. 1. The SEC and NFA accepted and approved the supplement on the same day.

 

Metaurus Advisors LLC (“Metaurus”) is the sponsor, commodity pool operator and commodity trading advisor of each Fund. Metaurus, a limited liability company formed in the State of Delaware on September 15, 2016, serves as the Trust’s Sponsor, commodity pool operator and commodity trading advisor. The Sponsor is exempt from registration as a commodity trading advisor with the CFTC under CFTC Rule 4.14(a)(4), as the Sponsor is registered as a commodity pool operator, and the Sponsor’s commodity trading advice is directed solely to, and for the sole use of, the Funds, pools for which it is so registered. The address of Metaurus is 22 Hudson Place, 3rd Floor, Hoboken, NJ 07030. The main business telephone number of Metaurus is (201) 683-7979. The Trust had no investment operations prior to February 5, 2018, other than matters relating to its organization, the registration of each series under the Securities Act of 1933, as amended, and the contribution of $1,000 in each Fund by the Sponsor.

 

8

 

 

The Sponsor is responsible for making operational decisions necessary to maintain the proper number of investment positions to meet the investment objectives of the Funds, monitor the performance results of the Funds’ portfolios and reallocate assets within the portfolios with a view to causing the performance of each Fund’s portfolio to track that of its Underlying Index over each calendar year. Each Fund is designed to terminate operations in December 2027.

 

Each of the Funds generally invests 100% of its assets in U.S Treasury Securities, cash and cash equivalent securities and seeks to gain exposure to certain financial futures whose value is derived from the underlying assets, as a substitute for investing directly in U.S equity securities directly, in order to gain or lose exposure to certain component of their return.

 

More specifically, the Dividend Fund is a passive, unleveraged fund that seeks to track the Solactive U.S. Cumulative Dividends Index - Series 2027 (the “Dividends Index”). The Dividends Index (and the Dividend Fund) seeks to represent the discounted present value of all dividend futures contracts out to and including December 2027. Each annual dividend futures contract represents the total value of all dividends paid on the S&P 500 Index constituent stocks during the contract year (as measured from mid-December to mid-December). The Dividend Fund holds a portfolio of sequentially maturing U.S. Treasury Notes and cash. In order to gain exposure to the annual dividends paid on the S&P 500 Index in each year, the Dividend Fund holds long positions in the series of annual dividend futures contracts that are linked to the amounts of dividends paid on the S&P 500 Index constituent stock in each year during the term of the Dividend Fund. Unlike most futures contracts, dividend futures contracts do not need to be “rolled” periodically but may be held to their annual expiry.

 

The Ex-Dividend Fund was a passive, unleveraged fund that sought to track the Solactive U.S. Ex-Dividends Index - Series 2027 (the “Ex-Dividends Index”). The Ex-Dividends Index (and the Ex-Dividend Fund) sought to gain exposure to U.S. equities at a discounted price by holding 100% of its assets in short-term U.S. Treasury securities and cash and gaining exposure to the U.S. equity market by holding long positions in S&P 500 Index futures and short positions in S&P 500 dividend futures contracts. The short positions in the dividend futures contracts allowed the fund to access index exposure at a discount to purchasing shares of the index itself.

 

The Dividend Fund continuously offers and redeems and the Ex-Dividend Fund continually offered and redeemed, its Shares in blocks of Shares as set forth in the Prospectus and any prospectus supplements thereto (each such block a “Creation Unit”). Only Authorized Participants may purchase and redeem Shares from a Fund and then only in Creation Units. An Authorized Participant is an entity that has entered into an Authorized Participant Agreement with one or more of the Funds. Shares of the Dividend Fund are offered to Authorized Participants in Creation Units at each Fund’s respective NAV. Authorized Participants may then offer to the public, from time to time, Shares from any Creation Unit they create at a per-Share market price that varies depending on, among other factors, the trading price of the Shares of the Dividend Fund on the NYSE Arca, the NAV and the supply of and demand for the Shares at the time of the offer. Shares from the same Creation Unit may be offered at different times and may have different offering prices based upon the above factors. The form of Authorized Participant Agreement and related Authorized Participant Handbook set forth the terms and conditions under which an Authorized Participant may purchase or redeem a Creation Unit. Authorized Participants do not receive from any Fund, the Sponsor, or any of their affiliates, any underwriting fees or compensation in connection with their sale of Shares to the public.

 

Liquidity and Capital Resources

 

In order to maintain margin on futures positions held by the Funds, a portion of the NAV of each Fund is held in cash and/or U.S. Treasury securities at Morgan Stanley, the Funds’ Futures Commission Merchant, and, in the case of the Dividend Fund, to fund its monthly distributions. The Funds also maintain cash positions to fund certain fees and expenses of the Funds. The percentage that U.S. Treasury bills and other short-term cash positions held by the Funds can be expected to vary from period to period as the market values of the underlying futures contracts change. During the years ended December 31, 2021, 2020, 2019 and the period ended December 31, 2018, IDIV earned interest income as follows:

 

Fund   Interest Income Year Ended December 31, 2021     Interest Income Year Ended December 31, 2020     Interest Income Year Ended December 31, 2019     Interest Income January 17, 2018 (commencement of operations) to Year Ended December 31, 2018  
U.S. Equity Cumulative Dividends Fund—Series 2027   $ 122,879     $ 171,791     $ 280,311     $ 105,656  

 

9

 

 

During the period ended December 17, 2021 (date of liquidation) and years ended December 31, 2020, 2019 and the period ended December 31, 2018, XDIV earned interest income as follows:

 

Fund  

Interest Income (expense)

January 1, 2021 to December 17, 2021 (date of liquidation)

    Interest Income Year Ended December 31, 2020     Interest Income Year Ended December 31, 2019     Interest Income January 17, 2018 (commencement of operations) to Year Ended December 31, 2018  
U.S. Equity Ex-Dividend Fund—Series 2027   $ (5,663 )   $ 109,517     $ 424,959     $ 226,829  

 

Fund Performance

 

The following table provides summary performance information for IDIV and XDIV Fund for the years ended December 31, 2021, 2020, 2019 and the period ended December 31, 2018

 

U.S. Equity Cumulative Dividends Fund—Series 2027   Year Ended December 31, 2021     Year Ended December 31, 2020     Year Ended December 31, 2019     January 17, 2018 (commencement of operations) to December 31, 2018  
NAV beginning of period   $ 19,713,753     $ 24,290,529     $ 4,526,860     $ 1,000  
NAV end of period   $ 33,762,330     $ 19,713,753     $ 24,290,529     $ 4,526,860  
Shares outstanding beginning of period   2,100,000     2,050,000     400,000     -  
Shares outstanding end of period   3,550,000     2,100,000     2,050,000     400,000  
Shares created   1,450,000     50,000     1,750,000     400,000  
Shares redeemed     -     -     100,000     -  
Distribution   $ (3,944,125 )   $ (2,757,625 )   $ 1,796,625     $ 395,000  
Per share NAV beginning of period   $ 9.39     $ 11.85     $ 11.32     $ 13.73  
Per share NAV end of period   $ 9.51     $ 9.39     $ 11.85     $ 11.32  
Total Return Percentage     16.75 %     -8.75 %     16.72 %     -10.08 %

 

U.S. Equity Ex-Dividend Fund—Series 2027   January 1, 2021 to December 17, 2021 (date of liquidation)     Year Ended December 31, 2020     Year Ended December 31, 2019     January 17, 2018 (commencement of operations) to December 31, 2018  
NAV beginning of period   $ 33,575,230     $ 26,941,802     $ 12,495,827     $ 1,000  
NAV end of period   $ -     $ 33,575,230     $ 26,941,802     $ 12,495,827  
Shares outstanding beginning of period     400,000       400,000       250,000       -  
Shares outstanding end of period     -       400,000       400,000       250,000  
Shares created     -       -       150,000       250,000  
Shares redeemed     400,000       -       -       -  
Distribution     -       -       -       -  
Per share NAV beginning of period   $ 83.94     $ 67.35     $ 49.98     $ 51.48  
Per share NAV end of period   $ 106.32 *   $ 83.94     $ 67.35     $ 49.98  
Total Return Percentage     26.67 %     24.63 %     34.75 %     -2.91 %

 

*Liquidating NAV

 

10

 

 

Item 7A. Quantitative and Qualitative Disclosures About Market Risk.

 

See Item 1A Risk Factors.

 

Item 8. Financial Statements and Supplementary Data

 

Financial statements meeting the requirements of Regulations S-X appear beginning on page F-1 of this report. The supplementary financial information specified by Item 302 of Regulations S-K is set forth below in this Item 8.

 

Statements of Operations for the three-month periods ended March 31, June 30, September 30 and December 31, 2021, 2020, 2019 and 2018 for each fund and the years or period ended December 31, 2021, 2020, 2019 and 2018 for each fund.

 

U.S. Equity Cumulative Dividends Fund—Series 2027   March 31, 2021     June 30,
2021
    September 30, 2021     December 31, 2021     Year Ended December 31, 2021  
Net investment income (loss)   $ (23,972 )   $ (27,515 )   $ (29,326 )   $ (31,042 )   $ (111,855 )
Net realized and unrealized gain (loss)   $ 1,543,511     $ 1,325,393     $ 502,622     $ 387,122     $ 3,758,648  
Net income (loss)   $ 1,519,539     $ 1,297,878     $ 473,296     $ 356,080     $ 3,646,793  
Net income (loss) Per share   $ 0.71     $ 0.51     $ 0.20     $ 0.10     $ 1.52  

 

U.S. Equity Cumulative Dividends Fund—Series 2027   March 31, 2020     June 30,
2020
    September 30, 2020     December 31, 2020     Year Ended December 31, 2020  
Net investment income (loss)   $ 48,666     $ (6,845 )   $ (22,126 )   $ (21,665 )   $ (1,970 )
Net realized and unrealized gain (loss)   $ (6,731,088 )   $ 2,932,486     $ 461,656     $ 1,053,717     $ (2,283,229 )
Net income (loss)   $ (6,682,422 )   $ 2,925,641     $ 439,530     $ 1,032,052     $ (2,285,199 )
Net income (loss) Per share   $ (3.26 )   $ 1.43     $ 0.21     $ 0.50     $ (1.12 )

 

U.S. Equity Cumulative Dividends Fund—Series 2027   March 31, 2019     June 30,
2019
    September 30, 2019     December 31, 2019     Year Ended December 31, 2019  
Net investment income (loss)   $ 20,570     $ 22,226     $ 59,896     $ 56,385     $ 159,076  
Net realized and unrealized gain (loss)   $ 386,859     $ 59,706     $ (637,621 )   $ 1,441,285     $ 1,250,229  
Net income (loss)   $ 407,429     $ 81,932     $ (577,725 )   $ 1,497,670     $ 1,409,305  
Net income (loss) Per share   $ 1.09     $ 0.29     $ (0.28 )   $ 0.73     $ 1.83  

 

U.S. Equity Cumulative Dividends Fund—Series 2027   January 17, 2018 (Commencement of Operations) through
March  31,
2018
    June 30,
2018
    September 30,
2018
    December 31, 2018     January 17, 2018 (Commencement of Operations) through December 31, 2018  
Net investment income (loss)   $ (6,045 )   $ 7,536     $ 27,089     $ 5,894     $ 35,158  
Net realized and unrealized gain (loss)   $ 81,987     $ (125,481 )   $ 90,373     $ (605,409 )   $ (558,530 )
Net income (loss)   $ 75,942     $ (117,945 )   $ 117,462     $ (598,831 )   $ (523,372 )
Net income (loss) Per share   $ 0.30     $ (0.38 )   $ 0.29     $ (1.50 )   $ (1.28 )

 

11

 

 

U.S. Equity Ex-Dividend Fund—Series 2027   March 31, 2021     June 30,
2021
    September 30, 2021     October 1, 2021 to December 17, 2021 (date of liquidation)     January 1, 2021 through December 17, 2021 (date of liquidation)  
Net investment income (loss)   $ (47,484 )   $ (56,511 )   $ (60,442 )   $ (43,930 )   $ (208,367 )
Net realized and unrealized gain (loss)   $ 1,926,063     $ 3,103,116     $ 97,538     $ 3,222,738     $ 8,349,455  
Net income (loss)   $ 1,878,579     $ 3,046,605     $ 37,096     $ 3,178,808     $ 8,141,088  
Net income (loss) Per share   $ 4.69     $ 7.62     $ 0.09     $ 9.99     $ 22.39  

 

U.S. Equity Ex-Dividend Fund—Series 2027   March 31, 2020     June 30,
2020
    September 30, 2020     December 31, 2020     Year Ended December 31, 2020  
Net investment income (loss)   $ 52,414     $ (21,192 )   $ (38,979 )   $ (43,918 )   $ (51,675 )
Net realized and unrealized gain (loss)   $ (4,893,485 )   $ 4,741,335     $ 2,632,874     $ 4,204,379     $ 6,685,103  
Net income (loss)   $ (4,841,071 )   $ 4,720,143     $ 2,593,895     $ 4,160,461     $ 6,633,428  
Net income (loss) Per share   $ (12.10 )   $ 11.80     $ 6.49     $ 10.40     $ 16.59  

 

U.S. Equity Ex-Dividend Fund—Series 2027   March 31, 2019     June 30,
2019
    September 30, 2019     December 31, 2019     Year Ended December 31, 2019  
Net investment income (loss)   $ 34,593     $ 59,600     $ 90,418     $ 88,688     $ 273,300  
Net realized and unrealized gain (loss)   $ 1,828,920     $ 702,124     $ 506,301     $ 2,165,985     $ 5,203,329  
Net income (loss)   $ 1,863,513     $ 761,724     $ 596,719     $ 2,254,673     $ 5,476,629  
Net income (loss) Per share   $ 7.45     $ 2.78     $ 1.50     $ 5.64     $ 17.37  

 

U.S. Equity Ex-Dividend Fund—Series 2027   January 17, 2018 (Commencement of Operations) through March 31,
2018
    June 30,
2018
    September 30,
2018
    December 31, 2018     January 17, 2018 (Commencement of Operations) through December 31, 2018  
Net investment income (loss)   $ 2,855     $ 15,778     $ 12,922     $ 3,902     $ 35,457  
Net realized and unrealized gain (loss)   $ (172,995 )   $ 544,594     $ 1,113,185     $ (2,169,526 )   $ (684,742 )
Net income (loss)   $ (170,140 )   $ 560,372     $ 1,126,107     $ (2,165,624 )   $ (649,285 )
Net income (loss) Per share   $ 0.43     $ 2.24     $ 4.51     $ (8.68 )   $ (1.50 )

  

The net income (loss) amount shown for a share outstanding throughout the period does not accord with the aggregate net loss on investments for the period as a result of sales and purchases of Fund shares at different market values/prices of the fund(s).

 

Item 9. Changes in and Disagreements with Accountants on Accounting and Financial Disclosure

 

None.

 

12

 

 

Item 9A. Controls and Procedures

 

Disclosure Controls and Procedures

 

The duly authorized officers of the Sponsor, performing functions equivalent to those a principal executive officer and principal financial officer of the Trust would perform if the Trust had any officers, have evaluated the effectiveness of the Trust’s disclosure controls and procedures, and have concluded that the disclosure controls and procedures of the Trust were effective as of the end of the period covered by this report.

 

Such disclosure controls and procedures are designed to provide reasonable assurance that information required to be disclosed in the reports that the Trust files or submits under the Securities Exchange Act of 1934, as amended, are recorded, processed, summarized and reported, within the time period specified in the applicable rules and forms, and that such information is accumulated and communicated to the duly authorized officers of the Sponsor performing functions equivalent to those a principal executive officer and principal financial officer of the Trust would perform if the Trust had any officers and/or an Audit Committee, as appropriate, to allow timely decisions regarding required disclosure.

 

Management’s Annual Report on Internal Control over Financial Reporting

 

The duly authorized officers of the Sponsor are responsible for establishing and maintaining adequate internal control over financial reporting, as such term is defined in Rule 13a-15(f) or 15d-15(f) promulgated under the Exchange Act. The Trust’s internal control system is designed to provide reasonable assurance to the Sponsor regarding the preparation and fair presentation of published financial statements. All internal control systems, no matter how well designed, have inherent limitations. Therefore, even those systems determined to be effective can provide only reasonable assurance with respect to financial statement preparation and presentation.

 

In connection with the preparation of this annual report, our duly authorized officers of the Sponsor, performing functions equivalent to those a principal executive officer and principal financial officer of the Trust would perform if the Trust had any officers, assessed the effectiveness of our internal control over financial reporting as of December 31, 2020. In making that assessment, our duly authorized officers of the Sponsor used the criteria set forth by the Committee of Sponsoring Organizations of the Treadway Commission in Internal Control-Integrated Framework (2013 framework). Based on that assessment, the Sponsor believes that, as of December 31, 2021, the Trust’s internal control over financial reporting is effective.

 

Changes in Internal Control over Financial Reporting

 

There has been no change in the internal control over financial reporting that occurred during the period ended that has materially affected, or is reasonably likely to materially affect, the Trust’s internal control over financial reporting.

 

Item 9B. Other information

 

Not applicable.

 

Item 9C. Disclosure Regarding Foreign Jurisdictions that Prevent Inspections.

 

Not applicable.

 

13

 

 

Part III

 

Item 10. Directors, Executive Officers and Corporate Governance

 

The Sponsor

 

The Sponsor is Metaurus Advisors LLC. The Sponsor will make operational decisions necessary to maintain the proper number of investment positions to meet the investment objectives of the Funds, monitor the performance results of the Funds’ portfolios and reallocate assets within the portfolio with a view to causing the performance of each Fund’s portfolio to track that of each Underlying Index over time. In addition, the Sponsor will be responsible for accepting (or delivering), or causing the Clearing FCM to accept (or deliver), consideration for the Baskets from Authorized Participants to establish (or transfer out) positions on behalf of a Fund.

 

The Sponsor will not exercise day-to-day oversight over the Trustee. The Sponsor may remove the Trustee and appoint a successor Trustee in its discretion at any time.

 

The Sponsor may at any time delegate all or a portion of its duties and responsibilities to another entity, including an affiliate of the Sponsor.

 

Principals of the Sponsor

 

The Sponsor is a wholly owned subsidiary of Metaurus LLC. Metaurus LLC has been listed as a principal of the Sponsor since April 13, 2017.

 

Name   Position   Age
Richard Sandulli   Co-Chief Executive Officer   59
Jamie Greenwald   Co-Chief Executive Officer   57
Donald M. Callahan   Chief Financial Officer, Senior Managing Director   60
Sean A. Dillon   Senior Managing Director   54
Richard Silva, Jr.   Senior Managing Director   54
Ari Burstein   General Counsel/Chief Compliance Officer   52

 

Each of Richard Sandulli and Jamie Greenwald is a Co-Chief Executive Officer of the Sponsor. Donald Callahan is the Chief Financial Officer and a Senior Managing Director and of the Sponsor, Sean Dillon, and Richard Silva are Senior Managing Directors of the Sponsor. Ari Burstein is a General Counsel and Chief Compliance Officer and a Managing Director of the Sponsor. Messrs. Sandulli, Greenwald, Callahan, Dillon, Silva and Burstein are each a principal of the Sponsor.

 

Richard Sandulli. Mr. Sandulli is a co-founder of the Sponsor and has served as its Co-Chief Executive Officer since September 2016.

 

In his capacity at the Sponsor, Mr. Sandulli is primarily responsible for product development, business development, finance and operations. Effective June 5, 2017, Mr. Sandulli became an Associate Member of the NFA. Effective June 5, 2017, Mr. Sandulli was listed as a principal and was registered with the CFTC as an Associated Person of the Sponsor. Mr. Sandulli has served as Chief Executive Officer of Metaurus LLC, the parent of the Sponsor, since June 2012. In this capacity, Mr. Sandulli is responsible for product development, shareholder relations, finance, supervision of employees and general operations.

 

Prior to his position with Metaurus LLC, from June 2010 to June 2012, Mr. Sandulli served as President of Fore Research Management, a private multi-strategy hedge fund based in New York. In this capacity, Mr. Sandulli managed the day to day operations of the funds including marketing, operations, treasury and compliance. From July 2005 to June 2010, Mr. Sandulli was Managing Director and head of Derivative Securities and Structured Products at Wells Fargo Securities LLC (formerly, Wachovia Securities LLC). From March 1995 until June 2005, Mr. Sandulli was Managing Director and Head of US Structured Equity Derivative Products responsible for global product innovation for Morgan Stanley & Co. LLC in New York. Mr. Sandulli was registered as an Associated Person of Morgan Stanley & Co. LLC from December 17, 1996 until July 10, 2005. Mr. Sandulli also served as a Director of Equity Derivatives for Merrill Lynch, Pierce, Fenner & Smith, Inc. (“Merrill Lynch”) in New York from March 1992 to March 1995.

 

14

 

 

Jamie Greenwald. Mr. Greenwald is a co-founder of the Sponsor, and has served as its Co-Chief Executive Officer since September 2016. In his capacity at the Sponsor, Mr. Greenwald is primarily responsible for product development, business development, finance and operations. Effective December 6, 2017, Mr. Greenwald became an Associate Member of the NFA. Effective June 2, 2017, Mr. Greenwald was listed as a principal, and effective December 6, 2017 was registered with the CFTC as an Associated Person, of the Sponsor. Mr. Greenwald has served as President of Metaurus LLC since June 2015. In this capacity, Mr. Greenwald is responsible for hiring and supervising service providers and managing the day-to-day business of Metaurus LLC.

 

Prior to his position with Metaurus LLC, from June 2005 to June 2015, Mr. Greenwald was self-employed and engaged in trading and making investments for his own account. From March 1995 to June 2005, Mr. Greenwald was a Managing Director in charge of the Global Structured Product and Global Product Innovation businesses within the equity division of Morgan Stanley & Co. Incorporated. From March 1990 to March 1995, he was a Managing Director of the U.S.-based Structured Product group at Merrill Lynch, and from July 1986 to March 1990 a vice president in the multi-asset class Structured Products group at Bankers Trust. From November 2006 to November 2012, Mr. Greenwald was a board member of Network Hardware Resale. Since July 2008, Mr. Greenwald has been a founding board member of Transcend Global PTE Ltd., a commodity-focused investment fund based in Singapore. He has also spent substantial time investing in both the commercial real estate markets and the global equity markets.

 

Donald M. Callahan. Mr. Callahan was appointed the Chief Financial Officer of Metaurus Advisors LLC on March 8, 2019. Since joining the firm in August 2017, he has also served, and continues to serve, as a Senior Managing Director of the Sponsor and its Global Head of Strategy. In his capacity at the Sponsor, Mr. Callahan is primarily responsible for firm finance, strategy, business development and product marketing. Effective December 7, 2017, Mr. Callahan became an Associate Member of the NFA. Effective December 8, 2017, Mr. Callahan was listed as a principal and effective December 14, 2017 was registered with the CFTC as an Associated Person of the Sponsor.

 

Prior to his position with the Sponsor, from January 2014 to August 2017, Mr. Callahan served as a Managing Principal of Vanbridge LLC, a private firm providing intermediation and advisory services related to insurance, reinsurance and capital markets to the alternative asset management industry in New York. In his position at Vanbridge LLC, Mr. Callahan was responsible for providing insurance and advisory-related services. From December 2012 to December 2013, Mr. Callahan was self-employed by consulting on insurance-related matters. From August 1999 to November 2012, Mr. Callahan was a Managing Director in the financial institutions group within the Global Capital Markets division of Morgan Stanley& Co. LLC in New York. From November 1999 to November 2012, Mr. Callahan was an Associated Person of Morgan Stanley & Co. LLC. From January 1999 to August 1999, Mr. Callahan was unemployed. From July 1995 to January 1999, Mr. Callahan was a Senior Vice President in proprietary trading in the Fixed Income Division of Lehman Brothers Inc. in New York. From July 1995 to January 1999, Mr. Callahan was an Associated Person of Lehman Brothers Inc. From February 1994 to June 1995, Mr. Callahan was a Partner at Jacobson Capital Partners, a private relative value hedge fund based in New York. From July 1985 to February 1994, Mr. Callahan was a Vice President focused on derivatives products in the Fixed Income Division of Goldman Sachs & Co. From June 1986 to February 1994, Mr. Callahan was registered as an Associated Person of Goldman Sachs & Co. LLC.

 

Sean A. Dillon. Mr. Dillon has served as a Senior Managing Director of the Sponsor since joining the firm in July 2017. In his capacity at the Sponsor, Mr. Dillon is primarily responsible for firm technology, marketing, and operations. Effective December 8, 2017, Mr. Dillon became an Associate Member of the NFA. Effective December 18, 2017, Mr. Dillon was listed as a principal and was registered with the CFTC as an Associated Person of the Sponsor.

 

15

 

 

Prior to his position with the Sponsor, from March 2009 to July 2017 Mr. Dillon served as a Director with Cowen & Company’s Product Management group, responsible for high yield credit and distressed debt content and distribution. In addition, Mr. Dillon was also responsible for the sales trading effort for the firm’s international clients. From December 2008 to March 2009, Mr. Dillon was unemployed. From July 1995 to December 2008, Mr. Dillon was a Director at Credit Suisse Securities USA LLC (“Credit Suisse”), a broker-dealer that provides a variety of capital raising, market making and other financial services, in the firm’s equity division. From November 1995 to February 2009, Mr. Dillon was registered as an Associated Person of Credit Suisse. While at Credit Suisse, Mr. Dillon was the head of the international sales trading group before joining the firm’s multi-asset coverage team focusing on equities, fixed income, and derivatives. From August 1993 to July 1995, Mr. Dillon attended Columbia University Business School. From May 1992 to August 1993, Mr. Dillon was a Vice President at Prudential Fixed Income Advisors. From June 1990 to May 1992, Mr. Dillon worked for Dunavant Commodity Corporation on the New York Cotton Exchange. From April 1991 to May 1991, Mr. Dillon was registered as an Associated Person of Dunavant Commodity Corporation.

 

Richard Silva, Jr. Mr. Silva has been a Senior Managing Director and a principal (listing pending) of the Sponsor since joining the firm in October 2018. In his capacity at the Sponsor, Mr. Silva’s primary responsibilities include risk management and the marketing and distribution of Metaurus products and offerings. Mr. Silva’s membership with the NFA and registration as an Associated Person of the Sponsor is currently pending. Prior to his position with the Sponsor, from July 2005 to September 2018, Mr. Silva held several senior-level positions with Wells Fargo Securities, including Global Co-Head of Equities and Investment Solutions. Mr. Silva also served as President of Wells Fargo Portfolio Risk Advisors, an SEC-registered investment advisor specializing in the design and implementation of equity derivative overlay strategies for institutional investors. From May 2000 to July 2005, Mr. Silva was a Managing Director at Morgan Stanley in the firm’s Structured Equity Products Business. Mr. Silva’s responsibilities included structuring and marketing equity-linked securities to institutional and retail clients of Morgan Stanley. From February 1999 to April 2000, Mr. Silva worked at Imperial Capital and was responsible for the risk management of the firm’s structured credit portfolios.

 

Ari Burstein. Mr. Burstein has been a Managing Director of the Sponsor since joining the firm in November 2017. In his capacity at the Sponsor, Mr. Burstein serves as General Counsel and Chief Compliance Officer and is responsible for the legal, regulatory and compliance matters of the Sponsor. Effective December 14, 2017, Mr. Burstein was listed with the NFA as a principal of the Sponsor.

 

Prior to his position with the Sponsor, from April 2008 to September 2017, Mr. Burstein served as General Counsel and Chief Compliance Officer of Fore Research & Management, LP, a New York-based SEC registered investment adviser and commodity pool operator, whose clients included hedge funds, managed accounts, and a UCITS (Undertakings for Collective Investment in Transferable Securities) fund. Mr. Burstein was responsible for the legal, regulatory and compliance matters at Fore Research & Management, LP. From January 2004 to March 2008, Mr. Burstein served as a senior counsel at the SEC in the Division of Enforcement in New York where his duties included conducting investigations of potential violations of securities law and recommending further action to the Commission where appropriate.

 

The Trust Agreement includes customary indemnification provisions with respect to each of the Sponsor and the Trustee and their respective affiliates and their respective directors, officers, principals, representatives, partners, managers, agents, employees and members, the material terms of which are disclosed in this Prospectus. The Funds will also have indemnification obligations pursuant to certain service provider agreements including the Administration Agreement, the Custody TA Agreement, the Futures Account Agreement and the Distribution Agreement. The value of the Shares will be adversely affected if a Fund is required to indemnify any such parties. In such an event, such Fund would be required to liquidate assets in order to fund such indemnification obligations, which would reduce the NAV of the Shares and could result in adverse tax consequences to you.

 

The Trust has adopted a Code of Ethics that applies to its Principal Executive Officer. A copy of the Code of Ethics can be obtained, without charge, upon written request to the Sponsor at the following address: Metaurus Advisors LLC, Attn: General Counsel, 22 Hudson Place, 3rd Floor, Hoboken, New Jersey 07030.

 

16

 

 

Item 11. Executive Compensation

 

The Funds have no employees or directors and are managed by the Sponsor. None of the executive officers noted above receive compensation from the Funds.

 

Name   Position   Age
Richard Sandulli   Co-Chief Executive Officer   59
Jamie Greenwald   Co-Chief Executive Officer   57
Donald M. Callahan   Chief Financial Officer, Senior Managing Director   60
Sean A. Dillon   Senior Managing Director   54
Richard Silva, Jr.   Senior Managing Director   54
Ari Burstein   General Counsel/Chief Compliance Officer    52

 

The Dividend Fund will pay the Sponsor a Management Fee equal to 0.87% per year of the Dividend Fund’s average daily net assets, calculated and payable monthly in arrears, or pro rata for any partial month. The Ex-Dividend Fund paid the Sponsor a Management Fee equal to 0.58% per year of the Ex-Dividend Fund’s average daily net assets, calculated and payable monthly in arrears, or pro rata for any partial month.

 

For the year ended December 31, 2021 (IDIV), or period ended December 17, 2021 (XDIV), the following represents Management Fees earned by the Sponsor:

 

Fund      
U.S. Equity Cumulative Dividends Fund–Series 2027   $ 234,734  
U.S. Equity Ex-Dividend Fund–Series 2027     202,704  

 

Item 12. Security Ownership of Certain Beneficial Owners and Management and Related Stockholder Matters

 

Neither the Trust nor the Funds have directors or officers. Therefore, no directors or officers of the Trust or Funds own any Shares of either of the Funds.

 

As described more fully in the Prospectus, the Shares are generally non-voting shares. Neither the Sponsor nor the Funds are aware of any 5% holders of voting shares. While certain management personnel of the Sponsor own Shares of the Funds purchased through the market, these are ordinary non-voting Shares.

 

Item 13. Certain Relationships and Related Transactions, and Director Independence.

 

See “Item 11, Executive Compensation” in the Annual Report of Form 10-K.

 

17

 

 

Item 14. Principal Accounting Fees and Services

 

Fees for services performed by independent auditors for the year ended December 31, 2021:

 

    Year Ended
December 31,
2021
 
Audit Fees   $ 42,000  
Audit -Related Fees     18,000  
Tax Fees     -  
All Other Fees     -  
Total   $ 60,000  

 

Audit fees and Audit-Related Fees consist of fees paid to Cohen & Company, Ltd. for the audit of the Funds’ annual financial statements included in the Annual Report on Form 10-K for year ended December 31, 2021, and for the review of the financial statements included in each Form 10-Q.

 

Tax fees include certain tax compliance and reporting services provided by PricewaterhouseCoopers LLP (“PwC”) and the subsequent delivery of related information to the IRS. Services also include assistance with tax reporting and related information using a web-based tax package product developed by PwC and a toll-free tax package support help line. No fees have been included above as PwC is not the Principal Accountant.

 

18

 

 

Part IV

 

Item 15. Exhibits and Financial Statement Schedules

 

  1. Financial Statements

 

See Index to Financial Statements on Page F-1 of this report.

 

  2. Financial Statement Schedules

 

Schedules have been omitted since they are either not required, not applicable, or the information has otherwise been included herein.

 

  3. Exhibits

 

19

 

 

Exhibit Index

 

Exhibit
Number
  Description
3.1(3)   Restated Certificate of Trust
4.1(1)   Amended and Restated Declaration of Trust
4.2(1)   Form of Authorized Participant Agreement

4.3*

 

Description of Securities

10.1(2)   Form of Sponsor Agreement
10.2(1)   Form of Administration Agreement
10.3(1)   Form of Custody and Transfer Agent Agreement
10.4(1)   Form of Futures Account Agreement
10.5(1)   Form of Distribution Agreement
10.6(1)   Form of Distribution Services Agreement
31.1*   Certification of Principal Executive Officer Pursuant to Rules 13a-14(a) and 15d-14(a) under the Securities Exchange Act of 1934, as Adopted Pursuant to Section 302 of the Sarbanes-Oxley Act of 2002.
31.2*   Certification of Principal Financial Officer Pursuant to Rules 13a-14(a) and 15d-14(a) under the Securities Exchange Act of 1934, as Adopted Pursuant to Section 302 of the Sarbanes-Oxley Act of 2002.
32.1*   Certification of Principal Executive Officer Pursuant to 18 U.S.C. Section 1350, as Adopted Pursuant to Section 906 of the Sarbanes-Oxley Act of 2002.
32.2*   Certification of Principal Financial Officer Pursuant to 18 U.S.C. Section 1350, as Adopted Pursuant to Section 906 of the Sarbanes-Oxley Act of 2002.
101.INS   Inline XBRL Instance Document
101.SCH   Inline XBRL Taxonomy Extension Schema Document
101.CAL   Inline XBRL Taxonomy Extension Calculation Linkbase Document
101.DEF   Inline XBRL Taxonomy Extension Definition Linkbase Document
101.LAB   Inline XBRL Taxonomy Extension Label Linkbase Document
101.PRE   Inline XBRL Taxonomy Extension Presentation Linkbase Document
104   Cover Page Interactive Data File (formatted as Inline XBRL and contained in Exhibit 101)

 

* Filed herewith.
(1) Incorporated by reference to the Trust’s Registration Statement, filed on December 18, 2017.
(2) Incorporated by reference to the Pre-Effective Amendment No. 2 to the Registration Statement on Form S-1 (Registration No. 333-221591) filed on January 8, 2018.
(3) Incorporated by reference to the Trust’s Registration Statement, filed on November 15, 2017.

 

Item 16. Form 10-K Summary

 

None.

 

20

 

 

Financial Statements as of December 31, 2020

 

Index

 

Documents

 

Financial Statements:

 

    Page
Report of Independent Registered Public Accounting Firm (PCAOB ID 925)   F-2
U.S. Equity Cumulative Dividends Fund—Series 2027   F-4
Statements of Financial Condition   F-4
Schedules of Investments   F-5
Statements of Operations   F-7
Statements of Changes in Shareholders’ Equity   F-8
Statements of Cash Flows   F-9
     
U.S. Equity Ex-Dividend Fund—Series 2027   F-10
Statements of Financial Condition   F-10
Schedules of Investments   F-11
Statements of Operations   F-12
Statements of Changes in Shareholders’ Equity   F-13
Statements of Cash Flows   F-14
Notes to Financial Statements   F-15

 

F-1

 

 

 

REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

 

To the Authorized Participants and Sponsor of 

Metaurus Equity Component Trust

 

Opinion on the Financial Statements

 

We have audited the accompanying statements of financial condition, including the schedules of investments, of U.S. Equity Cumulative Dividends Fund – Series 2027 and U.S. Equity Ex-Dividend Fund – Series 2027 (the “Funds”), each a series of Metaurus Equity Component Trust, as of the respective dates indicated below, the statements of operations and cash flows, changes in shareholders’ equity, and the related notes for each of the indicated periods below (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the each of the Funds, the results of their operations, the changes in shareholders’ equity, and the cash flows for each of the periods indicated below in conformity with accounting principles generally accepted in the United States of America.

 

Fund Name   Statements of Financial Condition   Schedules of Investments   Statements of Operations, Changes in Shareholders’ Equity, and Cash Flows
U.S. Equity Cumulative Dividends Fund – Series 2027   For the years ended December 31, 2021 and December 31, 2020   For the years ended December 31, 2021 and December 31, 2020   For the years ended December 31, 2021, December 31, 2020, and December 31, 2019
             
U.S. Equity Ex-Dividends Fund – Series 2027   For the periods ended December 17, 2021 (date of liquidation) and December 31, 2020   For the year ended December 31, 2020   For the period from January 1, 2021 to December 17, 2021, and the years ended December 31, 2020, and December 31, 2019

 

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.

 

COHEN & COMPANY, LTD. 

800.229.1099 | 866.818.4538 fax | cohencpa.com

 

Registered with the Public Company Accounting Oversight Board

 

F-2

 

 

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. The Funds are not required to have, nor were we engaged to perform, an audit of its internal control over financial reporting. As part of our audits, we are required to obtain an understanding of internal control over financial reporting, but not for the purpose of expressing an opinion on the effectiveness of the Funds’ internal control over financial reporting. Accordingly, we express no such opinion.

 

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 December 31, 2021, by correspondence with the custodians 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 Funds’ auditor since 2017.

 

 

 

COHEN & COMPANY, LTD

Cleveland, Ohio

March 30, 2022

 

F-3

 

 

U.S. Equity Cumulative Dividends Fund–Series 2027

Statements of Financial Condition

 

  December 31,
2021
    December 31,
2020
 
Assets            
Investments, at Fair Value (Cost $33,581,572 and $18,746,186 respectively)   $ 33,020,279     $ 18,835,724  
Cash and Cash Equivalents     674,688       349,052  
Cash Pledged as Collateral on Open Futures Contracts     396,949       739,428  
Interest Receivable     63,903       29,704  
Variation Margin Receivable on Open Futures Contracts     88,750       31,500  
Total Assets   $ 34,244,569     $ 19,985,408  
                 
Liabilities                
Due to Advisor     25,176       14,405  
Variation Margin Payable     22,188       26,250  
Income Distribution Payable     434,875       231,000  
Total Liabilities   $ 482,239     $ 271,655  
                 
Shareholders’ Equity                
Authorized Participants (3,550,000 Shares and 2,100,000 Shares Outstanding, respectively)   $ 33,762,330     $ 19,713,753  
Net Asset Value Per Share   $ 9.51     $ 9.39  
Market Price Per Share   $ 10.20     $ 10.08  

 

See accompanying notes to financial statements.

 

F-4

 

 

U.S. Equity Cumulative Dividends Fund–Series 2027

Schedules of Investments

December 31, 2021

 

Description   Principal Amount     Value  
U.S. TREASURY OBLIGATIONS - 97.8%            
U.S. Treasury Notes            
2.125%, 12/31/2022 (1)   $ 4,599,000     $ 4,675,350  
2.250%, 12/31/2023 (1)     4,971,000       5,120,324  
2.250%, 11/15/2024 (1)     5,256,000       5,449,610  
2.250%, 11/15/2025 (1)     5,472,000       5,701,140  
2.000%, 11/15/2026 (1)     5,699,000       5,896,016  
2.250%, 11/15/2027 (1)     5,883,000       6,177,839  
                 
Total U.S. Treasury Obligations (Cost $33,581,572)             33,020,279  
                 
Total Investments - 97.8% (Cost $33,581,572)           $ 33,020,279  

 

Percentages are based on net assets of $33,762,330.

 

A list of the open futures contracts held by the Fund at December 31, 2021, is as follows:

 

  Number of               Unrealized  
  Contracts     Expiration   Notional     Notional     Appreciation  
Type of Contract   Long     Date   Amount     Value     (Depreciation)  
S&P 500 Annl Div Dec22     355     12/19/2022   $ 5,480,126     $ 5,604,563     $ 124,437  
S&P 500 Annl Div Dec23     355     12/18/2023     5,599,626       5,808,688     209,062  
S&P 500 Annl Div Dec24     355     12/23/2024     5,686,501       5,919,625     233,124  
S&P 500 Annl Div Dec25     355     12/22/2025     5,775,251       6,061,625     286,374  
S&P 500 Annl Div Dec26     355     12/21/2026     5,872,001       6,172,562     300,561  
S&P 500 Annl Div Dec27     355     12/20/2027     5,960,001       6,274,625     314,624  
Net Unrealized Appreciation (Depreciation)                               $ 1,468,182  

 

(1) Security, or a portion of, has been pledged as collateral for the trading of futures contracts. The market value of the securities pledged as collateral for the period ended December 31, 2021 was $9,575,159 or 28% of net assets.

 

See accompanying notes to financial statements.

 

F-5

 

 

U.S. Equity Cumulative Dividends Fund–Series 2027

Schedules of Investments

December 31, 2020

 

Description   Principal Amount     Value  
U.S. TREASURY OBLIGATIONS - 95.5%            
U.S. Treasury Notes            
2.250%, 11/15/2027 (1)   $ 2,650,000     $ 2,941,655  
2.250%, 12/31/2023 (1)     2,441,000       2,593,372  
2.250%, 11/15/2024 (1)     2,541,000       2,737,729  
2.250%, 11/15/2025 (1)     2,532,000       2,765,122  
2.125%, 12/31/2022 (1)     2,438,000       2,535,139  
2.000%, 12/31/2021 (1)     2,403,000       2,448,109  
2.000%, 11/15/2026 (1)     2,586,000       2,814,598  
                 
Total U.S. Treasury Obligations (Cost $18,746,186)             18,835,724  
                 
Total Investments - 95.5% (Cost $18,746,186)           $ 18,835,724  

 

Percentages are based on net assets of $19,713,753.

 

A list of the open futures contracts held by the Fund at December 31, 2020, is as follows:

 

  Number of                 Unrealized  
  Contracts     Expiration     Notional     Notional     Appreciation  
Type of Contract   Long (Short)     Date     Amount     Value     (Depreciation)  
S&P 500 Annl Div Dec21     210       12/20/2021     $ 3,175,483     $ 2,955,750     $ (219,733 )
S&P 500 Annl Div Dec22     210       12/19/2022       3,232,545       2,942,625     (289,920 )
S&P 500 Annl Div Dec23     210       12/18/2023       3,287,608       2,942,625     (344,983 )
S&P 500 Annl Div Dec24     210       12/23/2024       3,344,545       2,932,125     (412,420 )
S&P 500 Annl Div Dec25     210       12/22/2025       3,414,608       2,924,250     (490,358 )
S&P 500 Annl Div Dec26     210       12/21/2026       3,485,732       2,934,750     (550,982 )
S&P 500 Annl Div Dec27     210       12/20/2027       3,552,170       2,945,250     (606,920 )
Net Unrealized Appreciation (Depreciation)                                   $ (2,915,316 )

 

(1) Security, or a portion of, has been pledged as collateral for the trading of futures contracts. The market value of the securities pledged as collateral for the period ended December 31, 2020 was $10,797,858 or 54.8% of net assets.

 

See accompanying notes to financial statements.

 

F-6

 

 

U.S. Equity Cumulative Dividends Fund–Series 2027

Statements of Operations

 

    Year Ended December 31,  
    2021     2020     2019*  
Investment Income                  
Interest Income   $ 122,879     $ 171,791     $ 280,311  
                         
Expenses                        
Advisory Fees     234,734       173,761       121,142  
Administration Fees    
-
     
-
      27,740  
Professional Fees    
-
     
-
      22,642  
Custody Fees    
-
     
-
      2,586  
Tax Preparation Fees    
-
     
-
      39,266  
Other Expenses    
-
     
-
      4,980  
Total Expenses     234,734       173,761       218,356  
Less Waivers/Reimbursement of:    
 
     
 
     
 
 
Voluntary Waivers    
-
     
-
      (97,121 )
Net Expenses     234,734       173,761       121,235  
Net Investment Income (Loss)     (111,855 )     (1,970 )     159,076  
                         
Net Realized and Unrealized Gain (Loss) from Investment Activities    
 
     
 
     
 
 
Net Realized Gain (Loss) on Investments     15,308       1,203,137       151,039  
Net Realized Gain (Loss) on Futures Contracts     10,674       (70,653 )     (46,367 )
Net Change in Unrealized Appreciation (Depreciation) on Investments     (650,832 )     (13,568 )     61,815  
Net Change in Unrealized Appreciation (Depreciation) on Futures Contracts     4,383,498       (3,402,145 )     1,083,742  
Net Realized and Unrealized Gain (Loss) on Investments     3,758,648       (2,283,229 )     1,250,229  
Net Increase (Decrease) in Net Assets Resulting from Operations   $ 3,646,793     $ (2,285,199 )   $ 1,409,305  

 

* Effective May 15, 2019, the the Fund adopted a unitary fee structure (See Note 4)

 

See accompanying notes to financial statements.

 

F-7

 

 

U.S. Equity Cumulative Dividends Fund–Series 2027

Statements of Changes in Shareholders’ Equity

 

    Year Ended December 31,  
    2021     2020     2019  
Operations:                  
Net Investment Income   $ (111,855 )   $ (1,970 )   $ 159,076  
Net Realized Gain (Loss) on Investments and Futures Contracts     25,982       1,132,484       104,672  
Net Change in Unrealized Appreciation (Depreciation) on Investments and Futures Contracts     3,732,666       (3,415,713 )     1,145,557  
Net Increase (Decrease) in Net Assets Resulting from Operations     3,646,793       (2,285,199 )     1,409,305  
                         
Dividends and Distributions to Shareholders:                        
Distributions     (3,944,125 )     (2,757,625 )     (1,796,625 )
Total Distributions     (3,944,125 )     (2,757,625 )     (1,796,625 )
                         
Capital Share Transactions:                        
Issued     14,345,909       466,048       21,346,523  
Redeemed    
-
     
-
      (1,195,534 )
Net Increase (Decrease) in Net Assets Resulting from Capital Share Transactions     14,345,909       466,048       20,150,989  
                         
Total Increase (Decrease) in Net Assets     14,048,577       (4,576,776 )     19,763,669  
                         
Net Assets:                        
Beginning of Year     19,713,753       24,290,529       4,526,860  
End of Year   $ 33,762,330     $ 19,713,753     $ 24,290,529  
                         
Capital Share Transactions:                        
Beginning of Year     2,100,000       2,050,000       400,000  
Issued     1,450,000       50,000       1,750,000  
Redeemed    
-
     
-
      (100,000 )
Shares Outstanding from Capital Share Transactions     3,550,000       2,100,000       2,050,000  

 

See accompanying notes to financial statements.

 

F-8

 

 

U.S. Equity Cumulative Dividends Fund–Series 2027

Statements of Cash Flows

 

    Year Ended     Year Ended     Year Ended  
    December 31,     December 31,     December 31,  
    2021     2020     2019  
Cash Flows from operating activities                        
Net increase/(decrease) in net assets from operations   $ 3,646,793     $ (2,285,199 )   $ 1,409,305  
Adjustments to reconcile net increase/(decrease) in net assets from operations to net cash provided by (used in) operating activities:                        
Purchases of investments     (18,632,356 )     (19,964,742 )     (25,053,055 )
Proceeds from sale of investments     3,408,890       25,676,397       6,085,113  
Accretion of discounts and amortization of premiums     403,387       225,920       92,346  
Net realized (gain)/loss on investments     (15,308 )     (1,203,137 )     (151,039 )
Net change in unrealized (appreciation)/depreciation on investments     650,832       13,568       (61,815 )
(Increase)/decrease in operating assets                        
Interest Receivable     (34,199 )     19,206       (39,903 )
Receivable from advisor    
-
     
-
      15,459  
Variation margin receivable     (57,250 )     4,375       (35,875 )
Deferred offering costs    
-
     
-
      123,816  
Increase/(decrease) in operating liabilities                        
Due to Advisor     10,771       (3,689 )     (106,406 )
Payable to Administrator    
-
     
-
      (3,185 )
Variation margin payable     (4,062 )     5,750       (8,000 )
Other accrued expenses    
-
      (86,737 )     (101,292 )
Net cash provided by (used in) operating activities     (10,622,502 )     2,401,712       (17,834,531 )
                         
Cash Flows from financing activities                        
Proceeds from capital share issuances     14,345,909       466,048       21,346,523  
Capital share redemptions    
-
     
-
      (1,195,534 )
Distributions to shareholders     (3,740,250 )     (2,834,125 )     (1,545,125 )
Net cash provided by (used in) financing activities     10,605,659       (2,368,077 )     18,605,864  
                         
Net change in cash and cash equivalents     (16,843 )     33,635       771,333  
Cash, cash equivalents and restricted cash, beginning of year     1,088,480       1,054,845       283,512  
Cash, cash equivalents and restricted cash, end of year   $ 1,071,637 *   $ 1,088,480 *   $ 1,054,845  
                         
Supplemental Disclosure of Cash Flow and Non-Cash Information:                        
Income Distribution Payable     434,875     $ 231,000     $ 307,500  

 

* Agrees to the total of “Cash and Cash equivalents” and “Cash Pledged as Collateral for Open Futures Contracts” balances on the Statements of Financial Condition.

  

See accompanying notes to financial statements.

 

F-9

 

 

U.S. Equity Ex-Dividend Fund–Series 2027

Statements of Financial Condition

 

  December 17,
2021
(date of liquidation)
    December 31,
2020
 
Assets            

Investments, at Fair Value (Cost $0, $31,389,680 respectively)

  $
-
    $ 31,392,285  
Cash and Cash Equivalents     9,045       63,285  
Cash Pledged as Collateral on Open Futures Contracts    
-
      1,890,737  
Variation Margin Receivable on Open Futures Contracts    
-
      251,000  
Total Assets   $ 9,045     $ 33,597,307  
                 
Liabilities                
Due to Advisor     9,045       16,077  
Variation Margin Payable on Open Futures Contracts    
-
      6,000  
Total Liabilities   $ 9,045     $ 22,077  
                 
Shareholders’ Equity                
Authorized Participants (0 Shares and 400,000 Shares Outstanding, respectively)   $
-
    $ 33,575,230  
Net Asset Value Per Share   $
-
    $ 83.94  
Market Price Per Share   $
-
    $ 84.13  
Liquidating NAV   $ 106.32       -  

 

See accompanying notes to financial statements.

 

F-10

 

  

U.S. Equity Ex-Dividend Fund–Series 2027

Schedules of Investments

December 31, 2020

 

Description   Principal Amount     Value  
U.S. TREASURY OBLIGATIONS - 93.5%            
U.S. Treasury Bills (1) (2) 0.095%, 05/06/2021    $ 31,400,000     $ 31,392,285  
Total U.S. Treasury Obligations (Cost $31,389,680)             31,392,285  
                 
Total Investments - 93.5% (Cost $31,389,680)           $ 31,392,285  

 

Percentages are based on net assets of $33,575,230.

 

A list of the open futures contracts held by the Fund at December 31, 2020, is as follows:        

 

  Number of               Unrealized  
  Contracts     Expiration   Notional     Notional     Appreciation  
Type of Contract   Long/(Short)     Date   Amount     Value     (Depreciation)  
S&P 500 Annl Div Dec21     (40)     12/20/2021   $ (613,816 )   $ (563,000 )   $ 50,816  
S&P 500 Annl Div Dec22     (40)     12/19/2022     (631,004 )     (560,500 )     70,504  
S&P 500 Annl Div Dec23     (40)     12/18/2023     (644,691 )     (560,500 )     84,191  
S&P 500 Annl Div Dec24     (40)     12/23/2024     (660,316 )     (558,500 )     101,816  
S&P 500 Annl Div Dec25     (40)     12/22/2025     (673,566 )     (557,000 )     116,566  
S&P 500 Annl Div Dec26     (40)     12/21/2026     (687,629 )     (559,000 )     128,629  
S&P 500 Annl Div Dec27     (40)     12/20/2027     (702,317 )     (561,000 )     141,317  
E-mini S&P 500 Index Mar 21     200     03/22/2021     36,811,712       37,488,000       676,288  
Net Unrealized Appreciation (Depreciation)                               $ 1,370,127  

 

(1) Zero coupon security. The rate reported on the Schedule of Investments is the effective yield at time of purchase.

 

(2) Security, or a portion of, has been pledged as collateral for the trading of futures contracts. The market value of the securities pledged as collateral for the period ended December 31, 2020 was $22,393,280 or 66.7% of net assets.

 

See accompanying notes to financial statements.

   

F-11

 

  

U.S. Equity Ex-Dividend Fund–Series 2027

Statements of Operations

 

    For the
period from
January 1,
2021 to
December 17,
2021
(date of
liquidation)
    Year Ended December 31,  
    2021     2020     2019*  
                   
Investment Income                  
Interest Income     $ (5,663 )   $ 109,517     $ 424,959  
                         
Expenses                          
Advisory Fees       202,704       161,192       100,254  
Administration Fees    
-
     
-
      27,740  
Professional Fees      
-
     
-
      21,259  
Custody Fees      
-
     
-
      2,211  
Tax Preparation Fees    
-
     
-
      39,248  
Other Expenses      
-
     
-
      12,257  
Total Expenses       202,704       161,192       202,969  
Less Waivers/Reimbursement of:    
 
     
 
     
 
 
Voluntary Waivers    
-
     
-
      (51,310 )
Net Expenses       202,704       161,192       151,659  
Net Investment Income     (208,367 )     (51,675 )     273,300  
                         
Net Realized and Unrealized Gain (Loss) from Investment Activities    
 
     
 
     
 
 
Net Realized Gain (Loss) on Investments     119       50,842       9,999  
Net Realized Gain (Loss) on Futures Contracts     9,722,069       5,623,126       4,559,015  
Net Change in Unrealized Appreciation (Depreciation) on Investments     (2,605 )     1,961       1,736  
Net Change in Unrealized Appreciation (Depreciation) on Futures Contracts     (1,370,128 )     1,009,174       632,579  
Net Realized and Unrealized Gain (Loss) on Investments     8,349,455       6,685,103       5,203,329  
Net Increase (Decrease) in Net Assets Resulting from Operations   $ 8,141,088     $ 6,633,428     $ 5,476,629  

 

* Effective May 15, 2019, the the Fund adopted a unitary fee structure (See Note 4)

 

See accompanying notes to financial statements.

 

F-12

 

 

U.S. Equity Ex-Dividend Fund–Series 2027

Statements of Changes in Shareholders’ Equity

 

    For the
period from
January 1,
2021 to
December 17,
2021
(date of liquidation)
    Year Ended December 31,  
    2021     2020     2019  
Operations:                  
Net Investment Income   $ (208,367 )   $ (51,675 )   $ 273,300  
Net Realized Gain (Loss) on Investments and Futures Contracts     9,722,188       5,673,968       4,569,014  
Net Change in Unrealized Appreciation (Depreciation) on Investments and Futures Contracts     (1,372,733 )     1,011,135       634,315  
Net Increase (Decrease) in Net Assets Resulting from Operations     8,141,088       6,633,428       5,476,629  
                         
Capital Share Transactions:                        
Issued    
-
     
-
      8,969,346  
Redeemed     (41,716,319 )    
-
     
-
 
Net Increase (Decrease) in Net Assets Resulting from Capital Share Transactions     (41,716,319 )    
-
      8,969,346  
                         
Total Increase (Decrease) in Net Assets     (33,575,230 )     6,633,428       14,445,975  
                         
Net Assets:                        
Beginning of Period     33,575,230       26,941,802       12,495,827  
End of Period   $
-
    $ 33,575,230     $ 26,941,802  
                         
Capital Share Transactions:                        
Beginning of Period     400,000       400,000       250,000  
Issued    
-
     
-
      150,000  
Redeemed     (400,000 )                
Shares Outstanding from Capital Share Transactions    
-
      400,000       400,000  

 

See accompanying notes to financial statements.

 

F-13

 

 

U.S. Equity Ex-Dividend Fund–Series 2027

Statements of Cash Flows

 

    For the
period from
January 1,
2021 to
December 17,
2021
(date of
liquidation)
    Year Ended
December 31,
2020
    Year Ended
December 31,
2019
 
Cash Flows from operating activities                  
Net increase/(decrease) in net assets from operations   $ 8,141,088     $ 6,633,428     $ 5,476,629  
Adjustments to reconcile net increase/(decrease) in net assets from operations to net cash provided by (used in) operating activities:                        
Purchases of investments     (68,387,811 )     (75,245,403 )     (78,726,861 )
Proceeds from sale of investments     99,794,087       69,870,613       64,562,296  
Accretion of discounts and amortization of premiums     (16,476 )     (127,154 )     (412,449 )
Net realized (gain)/loss on investments     (119 )     (50,842 )     (9,999 )
Net change in unrealized (appreciation)/depreciation on investments     2,605       (1,961 )     (1,736 )
(Increase)/decrease in operating assets                        
Variation margin receivable on open futures contracts     251,000       (170,000 )     56,813  
Receivable from Advisor    
-
     
-
      14,042  
Deferred offering costs    
-
     
-
      122,898  
Increase/(decrease) in operating liabilities                        
Due to Advisor     (7,032 )     3,040       (111,463 )
Payable to Administrator    
-
     
-
      (3,185 )
Variation margin payable     (6,000 )     (1,000 )     7,000  
Other accrued expenses    
-
      (91,007 )     (97,027 )
Net cash provided by (used in) operating activities     39,771,342       819,714       (9,123,042 )
                         
Cash Flows from financing activities                        
Proceeds from capital share issuances    
-
     
-
      8,969,346  
Proceeds from capital share redemptions     (41,716,319 )      -        -  
Net cash provided by (used in) financing activities     (41,716,319 )    
-
      8,969,346  
                         
Net change in cash and cash equivalents     (1,944,977 )     819,714       (153,696 )
Cash, cash equivalents and restricted cash, beginning of period     1,954,022       1,134,308       1,288,004  
Cash, cash equivalents and restricted cash, end of period   $ 9,045 *   $ 1,954,022 *   $ 1,134,308  

 

* Agrees to the total of “Cash and Cash equivalents” and “Cash Pledged as Collateral for Open Futures Contracts” balances on the Statements of Financial Condition.

 

See accompanying notes to financial statements.

 

F-14

 

 

METAURUS EQUITY COMPONENT TRUST

NOTES TO FINANCIAL STATEMENTS

 

NOTE 1 – ORGANIZATION

 

Metaurus Equity Component Trust (the “Trust”), was formed in September 2016 and is authorized to have multiple series or portfolios. The Trust is a statutory trust formed under the laws of the state of Delaware. The Trust currently has one series or fund traded on the NYSE Arca, Inc. exchange (“NYSE Arca”), U.S. Equity Cumulative Dividends Fund–Series 2027 (the “Dividend Fund”). (The Trust previously also had a second series or fund traded on the NYSE Arca – U.S. Equity Ex-Dividend Fund–Series 2027 (the “Ex-Dividend Fund”) which was liquidated on December 17, 2021.) Metaurus Advisors LLC (the “Sponsor” or “Advisor”) serves/served as the sponsor, commodity pool operator and commodity trading advisor of both the Dividend Fund and Ex-Dividend Fund (each a “Fund” or “ETF”, collectively the “Funds” or “ETFs”). Each of the Funds commenced operations on January 17, 2018 and commenced investment operations on February 5, 2018.

 

The Trust has had no investment operations prior to February 5, 2018 other than matters relating to its organization, the registration of each series/Fund under the Securities Act of 1933, as amended, and matters relating to their establishment and the capital contribution by the Sponsor of $1,000 to each Fund on December 22, 2017.

 

On November 12, 2021, the Sponsor notified the NYSE Arca stock exchange that it has determined to close the Ex-Dividend Fund and delist and liquidate the Ex-Dividend Fund’s shares from trading on the NYSE Arca. Trading in XDIV shares was suspended following the market close on December 10, 2021, and XDIV was liquidated on December 17, 2021.

 

The investment objective of the ETFs is to employ a passive management, or indexing, investment approach designed to correspond to the performance of each underlying index, before fees and expenses.

 

Individual Shares of the ETFs may be purchased and sold only on a national securities exchange, an alternative trading system or in the over-the-counter market and not directly from the ETFs. Only broker-dealers who have entered into agreements with the Trust to act as authorized participants of the Trust (“Authorized Participants”) may purchase or redeem shares directly with the ETFs. Shares of the ETFs are listed and traded on the NYSE Arca, Inc. exchange. The Fund will issue and redeem Shares on a continuous basis, through SEI Investments Distribution Co. (the “Distributor”), at net asset value (“NAV”) per Share only in one or more large blocks of Shares, called “Baskets” as set forth in the ETFs’ current Prospectus and any prospectus supplements thereto. Baskets may be issued and redeemed for cash but are expected to be issued and redeemed principally through exchange for related positions (“EFRP”) transactions for (i) futures contracts, Treasury securities and other financial instruments designed to track such Fund’s underlying index (“Deposit Instruments”) and (ii) a cash amount that includes a variable charge. Creation and redemption prices of Baskets are directly linked to a Fund’s next computed NAV and will vary from NAV by a market-determined trading cost, which may be zero. Shares generally will trade in the secondary market in amounts less than a Basket at market prices that change throughout the day. Trading prices in the secondary market for the Shares may be different from the NAVs of the ETFs

 

Undefined capitalized terms shall have the meaning as set forth in the registration statement.

 

NOTE 2 – SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES

 

Each Fund is an investment company, as defined by Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) Topic 946 Financial Services — Investment Companies. As such, the ETFs follow the investment company accounting and reporting guidance.

 

The accompanying financial statements were prepared in accordance with accounting principles generally accepted in the United States of America (“GAAP”) for financial information and with the instructions for Form 10-K and the rules and regulations of the U.S. Securities and Exchange Commission (the “SEC”). In the opinion of management, all material adjustments, consisting only of normal recurring adjustments, considered necessary for a fair statement of the interim period financial statements have been made.

 

F-15

 

 

METAURUS EQUITY COMPONENT TRUST

NOTES TO FINANCIAL STATEMENTS

 

Following is a summary of the significant accounting policies followed by the Funds:

 

Use of Estimates

 

The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosures of contingent assets and liabilities at the date of the financial statements and the reported amounts of investment income and expenses during the reporting period. Actual results could differ from those estimates.

 

Concentration of Credit Risk

 

Credit risk is the risk that a financial loss will be incurred if a Fund’s counterparty does not fulfill its financial obligations in a timely manner. Financial instruments that potentially subject the Funds to concentrations of credit risk consist principally of investments and cash deposits. Investments and cash of IDIV Fund at December 31, 2021, 2020 and 2019 are held at Brown Brothers, Harriman & Co., and Morgan Stanley & Co. LLC.

 

Final Net Asset Value for Fiscal Period

 

The NAV per Share for a Fund is determined by dividing the net assets of the Fund by the number of outstanding Shares. The NAVs of the ETFs are determined as soon as practicable after the close of regular trading of the Shares on the NYSE Arca on each Business Day. Each Fund’s net assets on a Business Day is obtained by subtracting accrued expenses and other liabilities borne by such Fund, if any, from the total value of the assets held by the Fund, in each case, as of the time of calculation. SEI Investments Global Fund Services, Inc., the administrator of the ETFs is responsible for making these determinations.

 

Fair Value of Financial Instruments

 

Security Valuation — The Funds value investments and financial instruments at fair value. Securities listed on a securities exchange, market or automated quotation system for which quotations are readily available (except for securities traded on NASDAQ), including securities traded over the counter, are valued at the last quoted sale price on the primary exchange or market (foreign or domestic) on which they are traded (or at approximately 4:00 pm Eastern Time if a security’s primary exchange is normally open at that time), or, in the case of the futures contracts held by the Funds, at the daily settlement price published by the Chicago Mercantile Exchange for such futures contracts. For securities traded on NASDAQ, the NASDAQ Official Closing Price will be used.

 

Treasury Securities held by the Funds generally are priced based upon valuations provided by independent, third-party pricing agents.

 

Securities for which market prices are not “readily available” are valued in accordance with Fair Value Procedures established by the Sponsor or a committee of its personnel thereof. Some of the more common reasons that may necessitate that a security be valued using Fair Value Procedures include: the security’s trading has been halted or suspended; the security has been de-listed from a national exchange; the security’s primary trading market is temporarily closed at a time when under normal conditions it would be open; the security has not been traded for an extended period of time; the security’s primary pricing source is not able or willing to provide a price; or trading of the security is subject to local government-imposed restrictions. In addition, the Funds may fair value their securities if an event that may materially affect the value of a Fund’s securities that traded outside of the United States (a “Significant Event”) has occurred between the time of the security’s last close and the time that the Fund calculates its net asset value. A Significant Event may relate to a single issuer or to an entire market sector. Events that may be Significant Events include: government actions, natural disasters, armed conflict, acts of terrorism and significant market fluctuations. If the Advisor becomes aware of a Significant Event that has occurred with respect to a security or group of securities after the closing of the exchange or market on which the security or securities principally trade, but before the time at which the Fund calculates its NAV, it may request that a valuation meeting be called. When a security is valued in accordance with the Fair Value Procedures, the Sponsor or its designees will determine the fair value after taking into consideration relevant information reasonably available to it.

 

F-16

 

 

METAURUS EQUITY COMPONENT TRUST

NOTES TO FINANCIAL STATEMENTS

 

In accordance with the authoritative guidance on fair value measurements and disclosure under GAAP, the Funds disclose fair value of their investments in a hierarchy that prioritizes the inputs to valuation techniques used to measure the fair value. The objective of a fair value measurement is to determine the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date (an exit price). Accordingly, the fair value hierarchy gives the highest priority to quoted prices (unadjusted) in active markets for identical assets or liabilities (Level 1) and the lowest priority to unobservable inputs (Level 3). The three levels of the fair value hierarchy are described below:

 

  Level 1 Unadjusted quoted prices in active markets for identical, unrestricted assets or liabilities that the Fund has the ability to access at the measurement date;
       
  Level 2 Quoted prices which are not active, or inputs that are observable (either directly or indirectly) for substantially the full term of the asset or liability; and
       
  Level 3 Prices, inputs or exotic modeling techniques which are both significant to the fair value measurement and unobservable (supported by little or no market activity).

 

In some instances, the inputs used to measure fair value might fall within different levels of the fair value hierarchy. The level in the fair value hierarchy within which the fair value measurement in its entirety falls shall be determined based on the lowest input level that is significant to the fair value measurement in its entirety.

 

The following table summarizes the inputs used to value the Funds’ investments at December 31, 2021 and December 31, 2020 using the fair value hierarchy:

 

U.S. Equity Cumulative Dividends Fund–Series 2027

December 31, 2021

 

Investments in Securities   Level 1     Level 2     Level 3     Total  
                         
U.S. Treasury Obligations   $
          -
    $ 33,020,279     $
             -
    $ 33,020,279  
Total Investments in Securities   $
-
    $ 33,020,279     $
-
    $ 33,020,279  

 

Other Financial Instruments   Level 1     Level 2     Level 3     Total  
                         
Futures Contracts*                        
Unrealized Appreciation   $ 1,468,182     $
        -
    $
         -
    $ 1,468,182  
Unrealized Depreciation    
-
     
-
     
-
     
-
 
Total Other Financial Instruments   $ 1,468,182     $
-
    $
-
    $ 1,468,182  

  

* Futures contracts are valued at unrealized appreciation (depreciation) on the instrument.

 

Amounts designated as “-” are $0.        

 

U.S. Equity Cumulative Dividends Fund–Series 2027

December 31, 2020

 

Investments in Securities   Level 1     Level 2     Level 3     Total  
                         
U.S. Treasury Obligations   $
          -
    $ 18,835,724     $
           -
    $ 18,835,724  
Total Investments in Securities   $
-
    $ 18,835,724     $
-
    $ 18,835,724  

 

Other Financial Instruments   Level 1     Level 2     Level 3     Total  
                         
Futures Contracts*                        
Unrealized Appreciation   $
-
    $
          -
    $
             -
    $
-
 
Unrealized Depreciation   $ (2,915,316 )   $
-
    $
-
    $ (2,915,316 )
Total Other Financial Instruments   $ (2,915,316 )   $
-
    $
-
    $ (2,915,316 )

 

* Futures contracts are valued at unrealized appreciation (depreciation) on the instrument.

 

Amounts designated as “-” are $0.

 

F-17

 

 

METAURUS EQUITY COMPONENT TRUST

NOTES TO FINANCIAL STATEMENTS

 

U.S. Equity Ex-Dividend Fund–Series 2027

December 31, 2020

 

Investments in Securities   Level 1     Level 2     Level 3     Total  
                         
U.S. Treasury Obligations   $
            -
    $ 31,392,285     $
            -
    $ 31,392,285  
Total Investments in Securities   $
-
    $ 31,392,285     $
-
    $ 31,392,285  

 

Other Financial Instruments   Level 1     Level 2     Level 3     Total  
                         
Futures Contracts*                        
Unrealized Appreciation   $ 1,370,127     $
        -
    $
             -
    $ 1,370,127  
Unrealized Depreciation    
-
     
-
     
-
     
-
 
Total Other Financial Instruments   $ 1,370,127     $
-
    $
-
    $ 1,370,127  

 

* Futures contracts are valued at unrealized appreciation (depreciation) on the instrument.

 

Amounts designated as “-” are $0.

 

F-18

 

 

METAURUS EQUITY COMPONENT TRUST

NOTES TO FINANCIAL STATEMENTS

 

The inputs or methodology used for valuing investments are not necessarily an indication of the risk associated with investing in those securities.

 

Investment Transactions and Related Income

 

Investment transactions are recorded on trade date. Dividend income is recorded on the ex-dividend date. Discounts and premiums on securities purchased are amortized or accreted using the effective interest method. Realized gains and losses from securities transactions and unrealized appreciation and depreciation of securities are determined using the identified cost basis method for financial reporting.

 

Trading and Transaction Costs and Fees

 

Each Fund will pay (or will reimburse the Clearing FCM if previously paid) any other transaction costs and fees associated with trading of the Fund’s instruments (including floor brokerage, exchange, clearing, give-up, user and National Futures Association (“NFA”) fees) that are not related to the creation and redemption of Baskets. Brokerage commissions on futures contracts are recognized on a half-turn basis (e.g., the first half is recognized when the contract is opened and the second half is recognized when the contract is closed).

 

Income Taxes

 

Each Fund is a series of a Delaware statutory trust and will be treated as a partnership for U.S. federal income tax purposes. Accordingly, no Fund expects to incur U.S. federal income tax; rather each beneficial owner of Shares will be required to take into account its allocable share of the Fund’s income, gain, loss deductions and other items for the Fund’s taxable year ending with or within the beneficial owner’s taxable year.

 

The Funds file an income tax return in the U.S. federal jurisdiction and may file income tax returns in various U.S. states and foreign jurisdictions. Generally, the Funds are subject to income tax examinations by federal, state and local jurisdictions, where applicable.

 

The Funds are required to determine whether their tax positions are more likely than not to be sustained upon examination by the applicable taxing authority based on the technical merits of the position. Tax positions not deemed more-likely-than-not threshold would be recorded as a tax expense in the current period.

 

At December 31, 2021 and December 31, 2020, the Funds had no unrecognized tax benefits related to their tax positions. The Funds do not expect that their assessments related to unrecognized tax benefits will materially change over the next 12 months. However, the Funds’ conclusions may be subject to review and adjustment at a later date based on factors including, but not limited to, the nexus of income among various tax jurisdictions; compliance with U.S. federal, state and foreign tax laws; and changes in the administrative practices and precedents of the relevant taxing authorities.

 

The Funds’ policy is to classify interest and penalties associated with the failure to file U.S. federal and state income tax returns, as income tax expenses on their Statements of Operations. For the years ended December 31, 2021, 2020, and 2019, the Funds did not have any interest or penalties associated with the failure to file any income tax returns.

 

Distribution Policy

 

The Dividend Fund expects to pay monthly cash distributions to its Shareholders throughout each calendar year. Such distributions shall, on an annual basis, before fees and expenses, equal all or a substantial portion of the Dividend Fund’s NAV attributable to the ordinary cash dividends accumulated by the Dividend Points Index for the year (as reflected in the current year’s S&P 500 Dividend Futures Contracts held by the Dividend Fund). Such distributions may consist of ordinary income, capital gains and/or return of capital whose character will be determined at fiscal year-end once final year-end figures have been calculated. The Dividend Fund’s capital gains, if any, for a calendar year may include any net unrealized appreciation in its futures contracts that expire in future calendar years.

 

The Ex-Dividend Fund did not make periodic distributions prior to its liquidation.

 

F-19

 

 

METAURUS EQUITY COMPONENT TRUST

NOTES TO FINANCIAL STATEMENTS

 

NOTE 3 – INVESTMENTS

 

The Dividend Fund seeks investment results that, before fees and expenses, correspond to the performance of the Solactive® U.S. Cumulative Dividends Index—Series 2027 (the “Solactive Dividend Index”) over each calendar year so as to provide Shareholders with returns designed to replicate the dividends on constituent companies of the S&P 500 Index, without exposure to the underlying securities. The Dividend Fund intends primarily to invest its assets in the component instruments of the Solactive Dividend Index, as well as in cash and/or cash equivalents. The component instruments of the Solactive Dividend Index consist of U.S. Treasury Securities (“Treasury Securities”) and long positions in annual futures contracts listed on the Chicago Mercantile Exchange (“CME”) that provide exposure to dividends paid on the S&P 500 constituent companies (“S&P 500 Dividend Futures Contracts”) pro rata for each year of the life of the Dividend Fund.

 

The Ex-Dividend Fund sought investment results that, before fees and expenses, corresponded to the performance of the Solactive® U.S. Equity Ex-Dividends Index—Series 2027 (the “Solactive Ex-Dividend Index”). The Ex-Dividend Fund sought to track the Solactive Ex-Dividend Index so as to provide Shareholders with returns that were equivalent to the performance of 0.25 shares of SPDR S&P 500 exchange-traded fund (“SPY”) less the value of current and future expected ordinary cash dividends to be paid on the S&P 500 constituent companies over the term of the Ex-Dividend Fund. SPY is an exchange-traded fund that seeks to track the S&P 500. The Ex-Dividend Fund sought to replicate the performance of SPY through owning long positions in quarterly S&P 500 Index futures contracts traded on the CME (“S&P 500 Index Futures Contracts”) rather than shares of SPY. Additionally, the Ex-Dividend Fund intended to track the performance of the Solactive Ex-Dividend Index by selling S&P 500 Dividend Futures Contracts. The Ex-Dividend Fund also held Treasury Securities, cash and/or cash equivalents.

 

Cash and Cash Equivalents

 

Cash and cash equivalents consist of highly liquid investments with original maturities of three months or less at the date of purchase. The Funds maintain deposits with financial institutions in amounts that may, at times, exceed the insured limits under applicable law.

 

Short-Term Investments

 

The Funds may purchase U.S. Treasury Bills, cash and or cash equivalents. Additionally, the Funds may enter into short-term loans and reverse repurchase agreements for liquidity purposes. There were no short-term loans or reverse repurchase agreements held in the Funds as of and during the years ended December 31, 2021, 2020 and 2019.

 

Accounting for Derivative Instruments

 

All open derivative positions at period end are reflected on each respective ETF’s Schedule of Investments. The ETFs utilized a varying level of derivative instruments in conjunction with investment securities in seeking to meet their investment objective during the period. While the volume of open positions may vary on a daily basis as each ETF transacts derivatives contracts in order to achieve the appropriate exposure to meet its investment objective, the volume of these open positions relative to the net assets of each respective ETF at the date of this report is generally representative of open positions throughout the reporting period. Following is a description of the derivative instruments used by the ETFs during the reporting period, including the primary underlying risk exposures related to each instrument type.

 

F-20

 

 

METAURUS EQUITY COMPONENT TRUST

NOTES TO FINANCIAL STATEMENTS

 

Futures Contracts

 

The ETFs enter into futures contracts to gain exposure to changes in the value of, or as a substitute for investing directly in (or shorting), an underlying index, currency or commodity, as set forth above. A futures contract obligates the seller to deliver (and the purchaser to accept) the future delivery of a specified quantity and type of asset at a specified time and place. The contractual obligations of a buyer or seller may generally be satisfied by taking or making physical delivery of the underlying commodity, if applicable, or by making an offsetting sale or purchase of an identical futures contract on the same or linked exchange before the designated date of delivery, or by cash settlement at expiration of contract. The particular futures contracts utilized by the ETFs permit settlement only in cash. Upon entering into a futures contract, each ETF is required to deposit and maintain as collateral at least such initial margin as required by the exchange on which the transaction is affected.

 

The initial margin is segregated as cash and/or securities balances with brokers for futures contracts, as disclosed in the Statements of Financial Condition and Schedules of Investments, and is restricted as to its use. The ETFs that enter into futures contracts maintain collateral at the broker in the form of cash and/or securities. Pursuant to the futures contract, each Fund generally agrees to receive from or pay to the broker(s) an amount of cash equal to the daily fluctuation in value of the futures contract. Such receipts or payments are known as variation margin and are recorded by each Fund as unrealized gains or losses. Each Fund will realize a gain or loss upon closing of a futures transaction. Futures contracts involve, to varying degrees, elements of market risk (specifically commodity price risk or equity market volatility risk) and exposure to loss in excess of the amount of variation margin. The face or contract amounts reflect the extent of the total exposure each Fund has in the particular classes of instruments. Additional risks associated with the use of futures contracts are imperfect correlation between movements in the price of the futures contracts and the market value of the underlying index or commodity and the possibility of an illiquid market for a futures contract. With futures contracts, there is minimal but some counterparty risk to the ETFs since futures contracts are exchange-traded and the exchange’s clearinghouse, as counterparty to all exchange-traded futures contracts, guarantees the futures contracts against default. Many futures exchanges and boards of trade limit the amount of fluctuation permitted in futures contract prices during a single trading day. Once the daily limit has been reached in a particular contract, no trades may be made that day at a price beyond that limit or trading may be suspended for specified times during the trading day. Futures contracts prices could move to the limit for several consecutive trading days with little or no trading, thereby preventing prompt liquidation of futures positions and potentially subjecting a Fund to substantial losses. If trading is not possible, or if a Fund determines not to close a futures position in anticipation of adverse price movements, the Fund will be required to make daily cash payments of variation margin. The risk that the Fund will be unable to close out a futures position will be minimized by entering into such transactions on a national exchange with an active and liquid secondary market.

 

IDIV held futures equity contracts as of and for the years ended December 31, 2021, 2020 and 2019. XDIV held futures equity contracts as of and for the years ended December 31, 2020 and 2019. As set forth above, XDIV was liquidated on December 17, 2021, and therefore did not hold futures equity contracts after that date. The value and detail of these contracts are disclosed on each Fund’s respective Schedule of Investments. The corresponding gains and losses associated with these contracts are disclosed on each Fund’s respective Statement of Operations.

 

The average volume of futures contracts for IDIV for the year ended December 31, 2021 are as follows:

 

U.S. Equity Cumulative Dividends Fund–Series 2027

 

Derivative   Notional Amount  
Long futures contracts   $ 30,755,632  
The average volume of futures contracts for XDIV for the period ended December 17, 2021 (liquidation date) are as follows:        

 

U.S. Equity Ex-Dividend Fund–Series 2027

 

Derivative   Notional Amount  
Long futures contracts   $ 39,281,601  
Short futures contracts   $ (4,443,139 )

 

F-21

 

 

METAURUS EQUITY COMPONENT TRUST

NOTES TO FINANCIAL STATEMENTS

 

The average volume of futures contracts for the year ended December 31, 2020 are as follows:

 

U.S. Equity Cumulative Dividends Fund–Series 2027

 

Derivative   Notional Amount  
Long futures contracts   $ 25,837,277  
         

U.S. Equity Ex-Dividend Fund–Series 2027

 

Derivative   Notional Amount  
Long futures contracts   $ 31,304,448  
Short futures contracts   $ (5,154,406 )

 

Offsetting Assets and Liabilities

 

The Futures Account Agreement includes provisions permitting the Clearing FCM to net and set off its obligations to the Fund against the obligations of the Fund to the Clearing FCM upon the termination of the agreement or occurrence of an Event of Default, as defined in the agreement. As described above, the Funds utilize derivative instruments to pursue their investment objective during the year. The amounts shown in the Statements of Financial Condition do not take into consideration the effects of legally enforceable master netting agreements or similar arrangements.

 

For financial reporting purposes, the Funds do not offset derivative assets and derivative liabilities that are subject to netting arrangements in the Statements of Financial Condition.

 

The following table presents IDIV’s derivatives by investment type net of amounts available for offset under a master netting agreement and the related collateral received or pledged by the Funds as of December 31, 2021 and December 31, 2020.

 

F-22

 

 

METAURUS EQUITY COMPONENT TRUST

NOTES TO FINANCIAL STATEMENTS

 

U.S. Equity Cumulative Dividends Fund–Series 2027

December 31, 2021

 

Offsetting of Derivative Assets

 

    Gross Amounts of      Gross Amounts Offset in the Statement of      Net Amounts Presented in the Statement of      Gross Amounts Not Offset in the
Statement of Financial Condition
 
    Recognized
Assets
    Financial
Condition
    Financial
Condition
    Financial
Instruments(a)
    Cash Collateral
Pledged(a)
    Net
Amount
 
Derivative Assets                                              
Futures Contracts   $ 88,750     $
        -
    $ 88,750     $
           -
    $
                -
    $ 88,750  
Total   $ 88,750     $
-
    $ 88,750     $
-
    $
-
    $ 88,750  

 

Offsetting of Derivative Liabilities

 

    Gross Amounts of      Gross Amounts Offset in the Statement of      Net Amounts Presented in the Statement of      Gross Amounts Not Offset in the
Statement of Financial Condition
 
    Recognized
Liabilities
    Financial
Condition
    Financial
Condition
    Financial
Instruments(a)
    Cash Collateral
Pledged(a)
    Net
Amount
 
Derivative Liabilities                                                
Futures Contracts   $ (22,188 )   $
        -
    $ (22,188 )   $
                -
    $       22,188     $
        -
 
Total   $ (22,188 )   $
-
    $ (22,188 )   $
-
    $ 22,188     $
-
 

 

F-23

 

 

METAURUS EQUITY COMPONENT TRUST

NOTES TO FINANCIAL STATEMENTS

 

U.S. Equity Cumulative Dividends Fund–Series 2027

December 31, 2020

 

Offsetting of Derivative Assets

 

    Gross Amounts of     Gross Amounts Offset in the Statement of     Net Amounts Presented in the Statement of     Gross Amounts Not Offset in the
Statement of Financial Condition
 
    Recognized
Assets
    Financial
Condition
    Financial
Condition
    Financial
Instruments(a)
    Cash Collateral
Pledged(a)
    Net
Amount
 
Derivative Assets                                                
Futures Contracts   $ 31,500     $
          -
    $ 31,500     $
                -
    $
                   -
    $ 31,500  
Total   $ 31,500     $
-
    $ 31,500     $
-
    $
-
    $ 31,500  

 

Offsetting of Derivative Liabilities

 

    Gross Amounts of     Gross Amounts Offset in the Statement of     Net Amounts Presented in the Statement of     Gross Amounts Not Offset in the
Statement of Financial Condition
 
    Recognized
Liabilities
    Financial
Condition
    Financial
Condition
    Financial
Instruments(a)
    Cash Collateral
Pledged(a)
    Net
Amount
 
Derivative Liabilities                                                
Futures Contracts   $ (26,250 )   $
                 -
    $ (26,250 )   $
                 -
    $             26,250     $
                -
 
Total   $ (26,250 )   $
-
    $ (26,250 )   $
-
    $ 26,250     $
-
 

 

(a) These amounts are limited to the derivatives asset/liability balance and, accordingly, do not include excess collateral received/pledged.

 

F-24

 

 

METAURUS EQUITY COMPONENT TRUST

NOTES TO FINANCIAL STATEMENTS

 

The following table presents XDIV’s derivatives by investment type net of amounts available for offset under a master netting agreement and the related collateral received or pledged by the Funds as of December 31, 2020.

 

U.S. Equity Ex-Dividends Fund–Series 2027

December 31, 2020

 

Offsetting of Derivative Assets

 

    Gross Amounts of     Gross Amounts Offset in the Statement of     Net Amounts Presented in the Statement of     Gross Amounts Not Offset in the
Statement of Financial Condition
 
    Recognized
Assets
    Financial
Condition
    Financial
Condition
    Financial
Instruments(a)
    Cash Collateral
Pledged(a)
    Net
Amount
 
Derivative Assets                                    
Futures Contracts   $ 251,000     $
                -
    $ 251,000     $
                -
    $
                -
    $ 251,000  
Total   $ 251,000     $
-
    $ 251,000     $
-
    $
-
    $ 251,000  

 

Offsetting of Derivative Liabilities

 

    Gross Amounts of     Gross Amounts Offset in the Statement of     Net Amounts Presented in the Statement of     Gross Amounts Not Offset in the
Statement of Financial Condition
 
    Recognized
Liabilities
    Financial
Condition
    Financial
Condition
    Financial
Instruments(a)
    Cash Collateral
Pledged(a)
    Net
Amount
 
Derivative Liabilities                                    
Futures Contracts   $ (6,000 )   $
            -
    $ (6,000 )   $
            -
    $          6,000     $
            -
 
Total   $ (6,000 )   $
-
    $ (6,000 )   $
-
    $ 6,000     $
-
 

 

F-25

 

 

METAURUS EQUITY COMPONENT TRUST

NOTES TO FINANCIAL STATEMENTS

 

NOTE 4 – AGREEMENTS

 

Sponsor

 

On May 15, 2019, the Funds filed a prospectus supplement with the SEC and the NFA (Prospectus Supplement No. 1 (“Supplement No. 1”) to the prospectus dated April 19, 2019 (the “Prospectus”).) The NFA accepted and approved Supplement No. 1 on the same day. The SEC accepted the filing on May 15, 2019, and noted it as filed on May 16, 2019. Among other things, Supplement No. 1 provided that, effective immediately, the Funds were adopting a unitary fee structure pursuant to which each Fund will pay the Sponsor a management fee in consideration of the services provided by the Sponsor and other services provided to each Fund that the Sponsor pays directly (the “Management Fee”). Following the adoption of the unitary fee structure, the Sponsor will pay for all of the routine operational, administrative, and other ordinary expenses of each Fund as determined by the Sponsor as set forth in the Prospectus and Supplement No.1. The Funds will pay for certain other expenses and all of the Funds’ extraordinary fees and expenses, if any, as determined by the Sponsor, as set forth in the Prospectus and Supplement No. 1.

 

Prior to May 16, 2019, each Fund paid its periodic professional expenses, including, but not limited to the fees of the Trustee, continuous offering expenses, legal, audit, tax, accounting, performance, administrative, filing, reporting and data processing fees and expenses and other operating expenses. For each Fund, the Sponsor had agreed to pay any professional expenses of each Fund in excess of $150,000 in each of 2018 and 2019. The Funds were responsible for any extraordinary expenses and liabilities. Each Fund paid for its printing and mailing expenses.

 

While neither of the Funds individually incurred professional expenses in excess of $150,000 through December 31, 2019, the Sponsor had elected to voluntarily reimburse certain expenses beginning on January 1, 2019 totaling $97,121 and $51,310 for the Dividend Fund and Ex-Dividend Fund, respectively, through May 15, 2019 when the Sponsor ceased to reimburse such expenses following the adoption of the unitary fee. These reimbursements are not subject to recoupment by the Sponsor. During the period ended December 31, 2018, the Sponsor had also elected to voluntarily reimburse certain expenses totaling $221,301 and $127,456 for the Dividend Fund and Ex-Dividend Fund, respectively. Previously, the Sponsor had voluntarily waived a portion of its Management Fee from the Funds. Effective May 16, 2019, the Sponsor is no longer reimbursing such expenses, and is no longer waiving its Management Fee from the Funds.

 

At the time the Funds commenced operations, the Sponsor entered into an agreement (the “Reimbursement Agreement”) with the Funds to reimburse the Sponsor for amounts provided to the Funds to pay for the fees to register the offering of the Shares with the Securities and Exchange Commission. The Reimbursement Agreement provided that the amount due to the Sponsor, as disclosed on the Statements of Financial Condition, will be repaid over a maximum ten-year period. The Reimbursement Agreement, provided that the amount to be reimbursed to the Sponsor by a Fund over a given calendar year will vary depending on the number of Shares issued by the Fund during such year. The Reimbursement Agreement contained a prepayment provision where upon issuance of any shares of the Funds, the prorated portion of the amount due based on the percentage of shares issued to the percentage of the overall shares registered is due within 90 days of the share issuance date. In addition, it provided that should the Funds terminate prior to the full repayment of the amount due, the Sponsor agrees to forfeit the unpaid amount. Interest would not be charged on any amounts due. The Dividend Fund and Ex-Dividend Fund reimbursed the Sponsor $13,065 and $13,892, respectively, for 2018 and reimbursed the Sponsor $4,627 and $4,511, respectively, for the amount accrued from January 1, 2019 through May 15, 2019. No additional repayments/reimbursements under the Reimbursement Agreements will be paid following the Funds’ adoption of the unitary fee structure effective May 16, 2019. As a result of the adoption of the unitary fee, the remaining unpaid balances under the Reimbursement Agreement of $106,808 and $106,097, for the Dividend Fund and Ex-Dividend Fund, respectively, will not be reimbursed to the Sponsor. The Sponsor agreed to absorb these unpaid balances and wrote off both the deferred offering costs and the related payable due to the Sponsor during the second quarter of 2019.

 

F-26

 

 

METAURUS EQUITY COMPONENT TRUST

NOTES TO FINANCIAL STATEMENTS

 

Administrator, Custodian, Fund Accountant and Transfer Agent

 

SEI Investments Global Fund Services, Inc. (the “Administrator”) serves as the Funds’ Administrator pursuant to an administration agreement. Brown Brothers Harriman & Co. (the “Custodian”) serves as the Funds’ custodian and transfer agent pursuant to a custodian and transfer agent agreement.

 

Clearing FCM

 

Morgan Stanley & Co. LLC (“MS&Co.” or the “Clearing FCM”) serves as the Fund’s Clearing FCM pursuant to the terms of a commodity futures customer agreement among the Sponsor, on behalf of the Funds, severally and not jointly, and the Clearing FCM (the “Futures Account Agreement”). As Clearing FCM, MS&Co. serves as the Funds’ clearing broker and as such arranges for the execution and clearing of the Funds’ futures transactions. As such, MS&Co. holds, on behalf of the Funds, positions in futures contracts and Treasury Securities, cash and cash equivalents as futures margin. Treasury Securities, cash and cash equivalents not held as futures margin will be held by the Custodian. The Funds may engage additional and/or other futures commission merchants in the future.

 

Distribution Agreement

 

SEI Investments Distribution Co., a wholly-owned subsidiary of SEI Investments and an affiliate of the Administrator, serves as the Funds’ distributor of Baskets pursuant to a distribution agreement. The Distributor does not maintain any secondary market in the Shares.

 

Management Fee/Advisory Fee

 

The Management Fee is paid to the Sponsor in consideration of its services as sponsor, commodity pool operator, commodity trading advisor, and for managing the business and affairs of the Funds. The Sponsor supervises and directs the investment of the assets of the Funds in accordance with the Funds’ investment objectives and investment strategies outlined in the Funds’ prospectus.

 

The Dividend Fund will pay the Sponsor a Management Fee equal to 0.87% per year of the Dividend Fund’s average daily net assets, calculated and payable monthly in arrears, or pro rata for any partial month. The Ex-Dividend Fund paid the Sponsor a Management Fee equal to 0.58% per year of the Ex-Dividend Fund’s average daily net assets, calculated and payable monthly in arrears, or pro rata for any partial month.

 

F-27

 

 

METAURUS EQUITY COMPONENT TRUST

NOTES TO FINANCIAL STATEMENTS

 

NOTE 5 – CREATION AND REDEMPTION OF CREATION UNITS

 

The Funds issue and redeem Shares on a continuous basis at NAV in one or more large blocks of Shares called Baskets as set forth in the Funds’ Prospectus and any prospectus supplements thereto. Each Fund intends to create and redeem Baskets primarily through exchange for related position (“EFRP”) transactions. In certain instances, the Funds may effect creations and redemptions partly or wholly for cash, rather than through an EFRP transaction.

 

The manner by which redemptions are made is dictated by the terms of the respective authorized participant agreement between an Authorized Participant and the Trust (“Authorized Participant Agreement”). Except when aggregated in Baskets, Shares are not redeemable securities of a Fund. Shares of the Funds may be purchased or redeemed only by Authorized Participants. An Authorized Participant is an institution that (i) is a broker-dealer; (ii) is a registered futures commission merchant and/or clears through a registered futures commission merchant; (iii) is a Depository Trust Company Participant and a member of the National Securities Clearing Corporation; (iv) has entered into an Authorized Participant agreement with the Trust; and (v) is in a position to transfer the required Deposit Instruments and/or the cash to buy and sell whole Baskets. Investors will purchase Shares in the secondary market, generally with the assistance of a broker or investment advisor and will be subject to customary brokerage commissions, mark ups and mark downs and fees.

 

Authorized Participants will pay a transaction fee per Basket created or redeemed. The Sponsor may choose to pay transaction fees on behalf of Authorized Participants and has done so to date on Baskets that have been created. There is no guarantee that the Sponsor will continue to do so. In addition, to the extent that cash is delivered or received in lieu of any of the Deposit Instruments upon the creation or redemption of Shares by an Authorized Participant, such Authorized Participants will pay an additional variable charge up to 2% of the cash that is delivered or received in lieu of any of the Deposit Instruments to a Fund to pay for any additional transaction costs and fees and price changes associated with the purchase or disposition of any of the Deposit Instruments.

 

F-28

 

 

METAURUS EQUITY COMPONENT TRUST

NOTES TO FINANCIAL STATEMENTS

 

NOTE 6 – FINANCIAL HIGHLIGHTS

 

Financial Highlights

 

Year Ended December 31, 2021

 

    NAV Beginning of Period     Net Investment Income/Loss*     Net Realized and Unrealized Gain/Loss     Total from Operations     Distributions from Net Investment Income     Total Distributions     NAV End of Period     Total Return(1)     Market Price     Net Assets End of Period (000)     Ratio of Expenses to Average Net Assets     Ratio of Expenses to Average Net Assets (Excluding Waivers)     Ratio of Net Investment Income/Loss to Average Net Assets     Portfolio Turnover  
U.S. Equity Cumulative Dividends Fund–Series 2027                                                        
2021   $ 9.39     $ (0.04 )   $ 1.56     $ 1.52     $ (1.40 )   $ (1.40 )   $ 9.51       16.75 %   $ 10.20     $ 33,762       0.87 %     0.87 %     -0.41 %     12 %

 

* Per share data calculated using average shares method.

 

Amounts designated as “-” are $0.

 

Financial Highlights

 

For the period from January 1, 2021 to December 17, 2021 (date of liquidation)

 

    NAV Beginning of Period     Net Investment Income/Loss*     Net Realized and Unrealized Gain/Loss     Total from Operations     Distributions from Net Investment Income     Total Distributions     Liquidating NAV     Total Return(1)     Market Price     Net Assets End of Period (000)     Ratio of Expenses to Average Net Assets     Ratio of Expenses to Average Net Assets (Excluding Waivers)     Ratio of Net Investment Income/Loss to Average Net Assets     Portfolio Turnover  
U.S. Equity Ex-Dividend Fund–Series 2027                                                        
2021   $ 83.94     $ (0.54 )   $ 22.93     $ 22.39     $
-
    $
-
    $ 106.32       26.67 %   $
-
    $
-
      0.58 %     0.58 %     -0.60 %     0 %

 

* Per share data calculated using average shares method.

 

Amounts designated as “-” are $0.

 

Financial Highlights

 

Year Ended December 31, 2020

 

    NAV Beginning of Period     Net Investment Income/Loss*     Net Realized and Unrealized Gain/Loss     Total from Operations     Distributions from Net Investment Income     Total Distributions     NAV End of Period     Total Return(1)     Market Price     Net Assets End of Period (000)     Ratio of Expenses to Average Net Assets     Ratio of
Expenses to Average Net Assets (Excluding Waivers)
    Ratio of Net Investment Income/Loss to Average Net Assets     Portfolio  Turnover  
U.S. Equity Cumulative Dividends Fund–Series 2027                                                        
2020   $ 11.85     $
-
    $ (1.12 )   $ (1.12 )   $ (1.34 )   $ (1.34 )   $ 9.39       -8.75 %   $ 10.08     $ 19,714       0.87 %     0.87 %     -0.01 %     100 %
                                                                                                                 
U.S. Equity Ex-Dividend Fund–Series 2027                                                                          
2020   $ 67.35     $ (0.13 )   $ 16.72     $ 16.59     $
-
    $
-
    $ 83.94       24.63 %   $ 84.13     $ 33,575       0.58 %     0.58 %     -0.19 %     0 %

 

* Per share data calculated using average shares method.

 

Amounts designated as “-” are $0.

 

F-29

 

 

METAURUS EQUITY COMPONENT TRUST

NOTES TO FINANCIAL STATEMENTS

 

Financial Highlights

 

Year Ended December 31, 2019

 

                                                              Ratio of              
                Net                                                     Expenses     Ratio of        
                Realized           Distributions                             Net Assets     Ratio of     to Average     Net Investment        
    NAV     Net     and     Total     from Net           NAV                 End of     Expenses to     Net Assets     Income/Loss to        
    Beginning     Investment     Unrealized     from     Investment     Total     End of     Total     Market     Period     Average     (Excluding     Average     Portfolio  
    of Period     Income/Loss*     Gain/Loss