UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

WASHINGTON, DC 20549

FORM 10-Q

(Mark One)

☒ QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934

For the quarterly period ended March 31, 2018June 30, 2021

OR

☐ TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934

For the transition period from          to

Commission File Number: 333-221591

001-38344

METAURUS EQUITY COMPONENT TRUST

(Exact Name of Registrant as Specified in its Charter)

Registrant’s telephone number, including area code: (212) 634-4250

(201) 683-7979

Indicate by check mark whether the registrant (1) has filed all reports required to be filed by Section 13 or 15(d) of the Securities Exchange Act of 1934 during the preceding 12 months (or for such shorter period that the registrant was required to file such reports), and (2) has been subject to such filing requirements for the past 90 days. Yes ☐☒ No ☒☐

Indicate by check mark whether the registrant has submitted electronically and posted on its corporate Web site, if any, every Interactive Data File required to be submitted and posted pursuant to Rule 405 of Regulation S-T (§ 232.405 of this chapter) during the preceding 12 months (or for such shorter period that the registrant was required to submit and post such files). Yes ☒ No ☐

Indicate by check mark whether the registrant is a large accelerated filer, an accelerated filer, a non-accelerated filer, smaller reporting company, or an emerging growth company. See the definitions of “large accelerated filer”, “accelerated filer”, “smaller reporting company” and “emerging growth company” in Rule 12b-2 of the Exchange Act.

If an emerging growth company, indicate by check mark if the registrant has elected not to use the extended transition period for complying with any new or revised financial accounting standards provided pursuant to Section 13(a) of the Exchange Act. ☒

Indicate by check mark whether the registrant is a shell company (as defined in Rule 12b-2 of the Exchange Act). Yes ☐ No ☒

AsSecurities registered pursuant to Section 12(b) of May 1, 2018, the Registrant had 500,000 shares outstanding.

Act:

Table of Contents

As of August 11, 2021, the Registrant had 3,100,000 shares outstanding.

Table of Contents

PART I—FINANCIAL INFORMATION

Item 1. Condensed Financial Statements

Index

Documents

Statements of Financial Condition, Schedules of Investments, Statements of Operations, Statements of Changes in Shareholders’ Equity and Statements of Cash Flows:

U.S. Equity Cumulative Dividends Fund─Fund—Series 2027

StatementStatements of Financial Condition

March 31, 2018

(Unaudited)

See accompanying notes to financial statements.

U.S. Equity Cumulative Dividends Fund─Fund—Series 2027

ScheduleSchedules of Investments (Unaudited)

June 30, 2021

March 31, 2018

(Unaudited)

Percentages are based on net assets of $3,467,403.$26,796,289.

A list of the open futures contracts held by the Fund at March 31, 2018,June 30, 2021, is as follows:

(1) Security, or a portion of this security, has been pledged as collateral for the trading of futures.

See accompanying notes to financial statements.

U.S. Equity Cumulative Dividends Fund─Fund—Series 2027

Statement of Operations      

For the Period from January 17, 2018 to March 31, 2018

(Unaudited)

U.S. Equity Cumulative Dividends Fund─Series 2027

Statement of Changes in Shareholders’ Equity

For the Period from January 17, 2018 to March 31, 2018

(Unaudited)

See accompanying notes to financial statements.

U.S. Equity Cumulative Dividends Fund─Series 2027

Statement of Cash Flows

For the Period from January 17, 2018 to March 31, 2018

(Unaudited)

See accompanying notes to financial statements.

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

Statement of Financial Condition

March 31, 2018

(Unaudited)

See accompanying notes to financial statements.

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

ScheduleSchedules of Investments

December 31, 2020

March 31, 2018

(Unaudited)

Percentages are based on net assets of $12,975,609.$19,713,753.

A list of the open futures contracts held by the Fund at MarchDecember 31, 2018,2020, is as follows:

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

(2) A portion of this security is pledged as collateral for the trading of futures.

See accompanying notes to financial statements.

U.S. Equity Ex-Dividend Fund─Cumulative Dividends Fund—Series 2027

StatementStatements of Operations

For the Period from January 17, 2018 to March 31, 2018(Unaudited)

(Unaudited)

See accompanying notes to financial statements.

U.S. Equity Ex-Dividend Fund─Cumulative Dividends Fund—Series 2027

StatementStatements of Changes in Shareholders’ Equity

For the Period from January 17, 2018 to March 31, 2018(Unaudited)

(Unaudited)

See accompanying notes to financial statements.

U.S. Equity Ex-Dividend Fund─Cumulative Dividends Fund—Series 2027

StatementStatements of Cash Flows

For the Period from January 17, 2018 to March 31, 2018(Unaudited)

(Unaudited)

See accompanying notes to financial statements.

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

Statements of Financial Condition

See accompanying notes to financial statements.

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

Schedules of Investments (Unaudited)

June 30, 2021

Percentages are based on net assets of $38,500,414.

A list of the open futures contracts held by the Fund at June 30, 2021, is as follows:

See accompanying notes to financial statements.

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

Schedules of Investments

December 31, 2020

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

See accompanying notes to financial statements.

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

Statements of Operations

(Unaudited)

METAURUS EQUITY COMPONENT TRUST

NOTES TO FINANCIAL STATEMENTS

March 31, 2018June 30, 2021

(unaudited)

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 two series or funds traded on the NYSE Arca, Inc. exchange (“NYSE Arca”), U.S. Equity Cumulative Dividends Fund─Fund–Series 2027 (the “Dividend Fund”) and U.S. Equity Ex-Dividend Fund─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 50,000 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.

METAURUS EQUITY COMPONENT TRUST

NOTES TO FINANCIAL STATEMENTS

March 31, 2018

(unaudited)

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 946Financial Services — Investment Companies. As such, the ETFs follow the investment company accounting and reporting guidance.

The accompanying unaudited financial statements were prepared in accordance with accounting principles generally accepted in the United States of America (“GAAP”) for interim financial information and with the instructions for Form 10-Q and the rules and regulations of the SEC.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. Interim period results are not necessarily indicative of results for a full-year period.

The following

METAURUS EQUITY COMPONENT TRUST

NOTES TO FINANCIAL STATEMENTS

June 30, 2021

(unaudited)

Following is a summary of the significant accounting policies which are consistently followed inby the preparation of the financial statements of the Fund, are in conformity with GAAP.Funds:

Basis of Presentation, Use of Estimates & Indemnifications

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 revenuesinvestment income and expenses during the reporting period. Actual results could differ from those estimates.

In the normal course of business, the Trust enters into contracts that contain a variety of representations which provide general indemnifications. The Trust’s maximum exposure under these arrangements cannot be known; however, the Trust expects any risk of loss to be remote.

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 each Fund at March 31, 2018June 30, 2021 are held at Brown Brothers, Harriman & Co., and Morgan Stanley & Co. LLC, and First Republic Bank.LLC.

Final Net Asset Value for Fiscal Period

The net asset value (“NAV”)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 isare determined as soon as practicable after the close of regular trading of the Shares on the NYSE Arca (normally 4:00 P.M. ET) 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. The AdministratorSEI Investments Global Fund Services, Inc., the administrator of the ETFs, is responsible for making these determinations.calculating the NAVs.

Fair Value of Financial Instruments

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, if there is no such reported sale,in the case of the futures contracts held by the Funds, at the most recent quoted biddaily settlement price published by the Chicago Mercantile Exchange for long positions and the most recent ask price for short positions.such futures contracts. For securities traded on NASDAQ, the NASDAQ Official Closing Price will be used. If available, debt securities

Treasury Securities held by the Funds generally are priced based upon valuations provided by independent, third-party pricing agents. Such values generally reflect the last reported sales price if the security is actively traded. The third-party pricing agents may also value debt securities at an evaluated bid price by employing methodologies that utilize actual market transactions, broker-supplied valuations, or other methodologies designed to identify the fair value for such securities. Debt obligations with remaining maturities of sixty days or less when acquired will be valued at their market value. If a market value is not available from a pricing vendor or from an independent broker, the security shall be fair valued according to the Trust’s Fair Value Procedures. Prices for most securities held in the Funds are provided daily by recognized independent pricing agents. If a security price cannot be obtained from an independent, third-party pricing agent, the Funds seek to obtain a bid price from at least one independent broker.

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 AdviserAdvisor 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 net asset value,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.

13

METAURUS EQUITY COMPONENT TRUST

NOTES TO FINANCIAL STATEMENTS

March 31, 2018June 30, 2021

(unaudited)

In accordance with the authoritative guidance on fair value measurements and disclosure under U.S.GAAP,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:

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 summarizedsummarizes the valuation ofinputs used to value the Funds’ investments at MarchJune 30, 2021 and December 31, 20182020 using the fair value hierarchy:

U.S. Equity Cumulative Dividends Fund─Fund—Series 2027

June 30, 2021 (Unaudited)

March 31, 2018 (Unaudited)