EDGAR 10-K Filing

Company CIK: 1688487
Filing Year: 2021
Filename: 1688487_10-K_2021_0001213900-21-019346.json

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ITEM 1. BUSINESS
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 two series or funds traded
on the NYSE Arca, Inc. exchange (“NYSE Arca”), U.S. Equity Cumulative Dividends Fund─Series 2027 (the “Dividend
Fund”) and U.S. Equity Ex-Dividend Fund─Series 2027 (the “Ex-Dividend Fund”, each a “Fund”
or “ETF”), collectively the “Funds” or “ETFs”). Metaurus Advisors LLC (the “Sponsor”
or “Advisor”) serves as the sponsor, commodity pool operator and commodity trading advisor of each Fund. 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.
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.
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 seeks investment results that, before fees and expenses, correspond to the performance of the Solactive®
U.S. Equity Ex-Dividends Index-Series 2027 (the “Solactive Ex-Dividend Index”). The Ex-Dividend Fund seeks 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 seeks 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 intends to track the performance of the Solactive Ex-Dividend Index by
selling S&P 500 Dividend Futures Contracts. The Ex-Dividend Fund will also hold 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 period ended December 31, 2020.
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.
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.
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.

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ITEM 1A. RISK FACTORS
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 February 26, 2021, 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.
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.
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.

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ITEM 1B. UNRESOLVED STAFF COMMENTS
Item
1B. Unresolved Staff Comments
None.

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ITEM 2. PROPERTIES
Item
2. Properties
Not
applicable.

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ITEM 3. LEGAL PROCEEDINGS
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.

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ITEM 4. MINE SAFETY DISCLOSURE
Item
4. Mine Safety Disclosures
Not
applicable.
Part
II

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ITEM 5. MARKET FOR REGISTRANT'S COMMON EQUITY
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 2020
U.S. Equity Cumulative Dividends Fund─Series 2027 High Low
First Quarter $ 12.80 $ 8.00
Second Quarter 10.10 7.64
Third Quarter 10.60 9.17
Fourth Quarter 10.78 9.19
As of December 31, 2020, IDIV had approximately 612 shareholders.
U.S. Equity Ex-Dividend Fund─Series 2027 High Low
First Quarter $ 74.64 $ 45.76
Second Quarter 69.65 51.08
Third Quarter 77.87 66.75
Fourth Quarter 84.48 69.84
As of December 31, 2020, XDIV had approximately 105 shareholders.
Dividend
distributions
IDIV
made $1.3425 per share distributions to shareholders during the fiscal period ended December 31, 2020. The following table sets
forth, for each month, the distribution per share in 2020.
Month Dividend Distribution per Share
January 2020 $ 0.0850
February 2020 $ 0.1425
March 2020 $ 0.1275
April 2020 $ 0.0850
May 2020 $ 0.1025
June 2020 $ 0.1525
July 2020 $ 0.0750
August 2020 $ 0.1325
September 2020 $ 0.1050
October 2020 $ 0.0875
November 2020 $ 0.1375
December 2020 $ 0.1100
Total $ 1.3425
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 and XDIV redeemed 0 baskets for the twelve months ended December 31, 2020.

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ITEM 6. SELECTED FINANCIAL DATA
Item
6. Selected Financial Data
The
following selected financial data for the reporting periods should be read in conjunction with the Funds’ audited financial
statements and the notes and schedules related thereto, which are included in this Annual Report on Form 10-K.
U.S. Equity Cumulative Dividends Fund-Series 2027 Year Ended
December 31,
Year Ended
December 31,
January 17, 2018 (commencement of operations) to
December 31,
Total assets $ 19,985,408 $ 24,723,360 $ 4,927,074
Total shareholder’s equity at end of period 19,713,753 24,290,529 4,526,860
Net Investment Income (loss) (1,970 ) 159,076 35,158
Net realized and unrealized gain (loss) (2,283,229 ) 1,250,229 (558,530 )
Net income (loss) (2,285,199 ) 1,409,305 (523,372 )
U.S. Equity Ex-Dividend Fund-Series 2027 Year Ended
December 31,
Year Ended
December 31,
January 17, 2018 (commencement of operations) to
December 31,
Total assets $ 33,597,307 $ 27,052,846 $ 12,811,546
Total shareholder’s equity at end of period 33,575,230 26,941,802 12,495,827
Net Investment Income (loss) (51,675 ) 273,300 35,457
Net realized and unrealized gain (loss) 6,685,103 5,203,329 (684,742 )
Net income (loss) 6,633,428 5,476,629 (649,285 )

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ITEM 7. MANAGEMENT'S DISCUSSION AND ANALYSIS
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 Funds have based the forward-looking statements included
in this annual report on Form 10-K on information available to them on the date of this annual report on Form 10-K, and the Funds
assume no obligation to update any such forward-looking statements. Although the Funds undertake 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 Funds may make directly to them or through reports that the Funds file 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 on April 11, 2019, and with the NFA on April 12, 2019, which was declared effective by the SEC and accepted
by the NFA on April 18, 2019. The registration statement is dated April 19, 2019.
On May 15, 2019, the Funds filed Supplement No. 1. The NFA accepted
and approved the supplement on the same day. The SEC accepted the filing on May 15, 2019, and noted it as filed on May 16, 2019.
On May 1, 2020, the Funds filed Supplement No. 2, with the SEC and the NFA to the Prospectus. The NFA accepted and approved Supplement No. 2, and the SEC accepted the filing, on May 1, 2020.
On February 2, 2021, the Funds filed Supplement No. 3 with the SEC which was declared effective on by the SEC on the same date.
On February 26, 2021, the Funds filed a post-effective amendment to the registration statement with the NFA. The NFA accepted and approved this filing on March 3, 2021. The Funds filed this post-effective amendment with the SEC on March 3, 2021, and the SEC accepted this filing on the same date.
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.
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 is a passive, unleveraged
fund that seeks to track the Solactive U.S. Ex-Dividends Index - Series 2027 (the “Ex-Dividends Index”). The Ex-Dividends
Index (and the Ex-Dividend Fund) seeks 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
allow the fund to access index exposure at a discount to purchasing shares of the index itself.
Each Fund continuously offers and redeems 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 Funds 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 each 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, 2020, 2019 and the period ended December 31, 2018, each of the funds earned interest income as follows:
Fund Interest Income Year Ended December 31,
Interest Income Year Ended December 31,
Interest Income January 17, 2018 (commencement of operations) to Year Ended
December 31,
U.S. Equity Cumulative Dividends Fund-Series 2027 $ 171,791 $ 280,311 $ 105,656
U.S. Equity Ex-Dividend Fund-Series 2027 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, 2020, 2019 and the period ended December 31, 2018
U.S. Equity Cumulative Dividends Fund-Series 2027 Year Ended
December 31,
Year Ended
December 31,
January 17, 2018 (commencement of operations) to
December 31,
NAV beginning of period $ 24,290,529 $ 4,526,860 $ 1,000
NAV end of period $ 19,713,753 $ 24,290,529 $ 4,526,860
Shares outstanding beginning of period 2,050,000 400,000 -
Shares outstanding end of period 2,100,000 2,050,000 400,000
Shares created 50,000 1,750,000 400,000
Shares redeemed - 100,000 -
Distribution 2,757,625 1,796,625 395,000
Per share NAV beginning of period $ 11.85 $ 11.32 $ 13.73
Per share NAV end of period $ 9.39 $ 11.85 $ 11.32
Total Return Percentage (8.75 )% 16.72 % (10.08 )%
U.S. Equity Ex-Dividend Fund-Series 2027
NAV beginning of period $ 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 400,000 250,000 -
Shares outstanding end of period 400,000 400,000 250,000
Shares created - 150,000 250,000
Shares redeemed - - -
Distribution - - -
Per share NAV beginning of period $ 67.35 $ 49.98 $ 51.48
Per share NAV end of period $ 83.94 $ 67.35 $ 49.98
Total Return Percentage 24.63 % 34.75 % (2.91 )%

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ITEM 7A. QUANTITATIVE AND QUALITATIVE DISCLOSURES ABOUT MARKET RISK
Item 7A. Quantitative and Qualitative Disclosures About Market
Risk.
See Item 1A Risk Factors.

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ITEM 8. FINANCIAL STATEMENTS AND SUPPLEMENTARY DATA
Item 8. Financial Statements and Supplementary Data
Financial statements meeting the requirements of Regulations
S-X appear beginning on page 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, 2020, 2019 and 2018 for each fund and the years or period ended December 31, 2020, 2019 and 2018 for each fund.
U.S. Equity Cumulative Dividends Fund-Series 2027 March 31,
June 30,
September 30,
December 31,
Year Ended
December 31,
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,
June 30,
September 30,
December 31,
Year Ended
December 31,
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,
June 30,
September 30,
December 31,
January 17, 2018 (Commencement of Operations) through December 31,
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 )
U.S. Equity Ex-Dividend Fund-Series 2027 March 31,
June 30,
September 30,
December 31,
Year Ended
December 31,
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,
June 30,
September 30,
December 31,
Year Ended
December 31,
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,
June 30,
September 30,
December 31,
January 17, 2018 (Commencement of Operations) through
December 31,
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
Item 9. Changes in and Disagreements with Accountants on
Accounting and Financial Disclosure
None.

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ITEM 9A. CONTROLS AND PROCEDURES
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, 2020, 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
Item 9B. Other information
Not applicable.
Part III

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ITEM 10. DIRECTORS, EXECUTIVE OFFICERS AND CORPORATE GOVERNANCE
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
Jamie Greenwald
Co-Chief Executive Officer
Donald M. Callahan
Chief Financial Officer, Senior Managing Director
Sean A. Dillon
Senior Managing Director
Richard Silva, Jr.
Senior Managing Director
Ari Burstein
General Counsel/Chief Compliance Officer
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.
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.
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.

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ITEM 11. EXECUTIVE COMPENSATION
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
Jamie Greenwald
Co-Chief Executive Officer
Donald M. Callahan
Chief Financial Officer, Senior Managing Director
Sean A. Dillon
Senior Managing Director
Richard Silva, Jr.
Senior Managing Director
Ari Burstein
General Counsel/Chief Compliance Officer
Effective May 16, 2019, as set forth in Supplement No.1, 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 will pay 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.
Prior to May 16, 2019, the Dividend Fund paid the Sponsor a
Management Fee equal to 0.58% per year of the Dividend Fund’s average daily NAV, calculated and payable monthly. The Ex-Dividend
Fund paid the Sponsor a Management Fee equal to 0.29% per year of the Ex-Dividend Fund’s average daily NAV, calculated and
payable monthly.
For the year ended December 31, 2020, the following represents
Management Fees earned by the Sponsor:
Fund
U.S. Equity Cumulative Dividends Fund─Series 2027 $ 173,761
U.S. Equity Ex-Dividend Fund─Series 2027 161,192

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ITEM 12. SECURITY OWNERSHIP OF CERTAIN BENEFICIAL OWNERS
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.

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ITEM 13. CERTAIN RELATIONSHIPS AND RELATED TRANSACTIONS
Item 13. Certain Relationships and Related Transactions,
and Director Independence.
See “Item 11, Executive Compensation” in the Annual
Report of Form 10-K.

---

ITEM 14. PRINCIPAL ACCOUNTING FEES AND SERVICES
Item 14. Principal Accounting Fees and Services
Fees for services performed by independent auditors for the
year ended December 31, 2020:
Year Ended
December 31,
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, 2020, 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.
Part IV

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ITEM 15. EXHIBITS, FINANCIAL STATEMENT SCHEDULES
Item 15. Exhibits and Financial Statement Schedules
1. Financial Statements
See Index to Financial Statements on beginning Page 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
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
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
XBRL Instance Document
101.SCH
XBRL Taxonomy Extension Schema Document
101.CAL
XBRL Taxonomy Extension Calculation Linkbase Document
101.DEF
XBRL Taxonomy Extension Definition Linkbase Document
101.LAB
XBRL Taxonomy Extension Label Linkbase Document
101.PRE
XBRL Taxonomy Extension Presentation Linkbase Document
* 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.