WisdomTree Multi Asset Issuer Plc
Directors' report and audited financial statements
For the financial year ended 31 December 2021
Registered number 515981
WisdomTree Multi Asset Issuer Plc
Contents
Page (s)
Directors and other information 1
Directors' report 2 - 8
Directors' responsibilities statement 9
Independent auditor's report 10 - 16
Statement of comprehensive income 17
Statement of financial position 18
Statement of changes in equity 19
Statement of cash flows 20
Notes to the financial statement 21 - 42
WisdomTree Multi Asset Issuer Plc
Page 1
Directors and other information
Directors
Lisa Hand (Irish) (Non-Executive)
Stuart Gallagher (Irish) (Non-Executive)
Bryan Governey (Irish) (Non-Executive)
Sarah Warr (British) (Non-Executive) (appointed on 24 February 2021)
Alexis Marinof (British) (Non-Executive) (resigned on 24 February 2021)
Jennifer Bogue (Irish) (Alternate director to Sarah Warr) (appointed on 27 January 2022)
Registered Office
2nd floor, Block 5
Irish Life Centre
Abbey Street Lower
Dublin 1
Ireland
Company Secretary,
Apex IFS Limited
Issuing &
2nd floor, Block 5
Paying Agent
Irish Life Centre
Abbey Street Lower
Dublin 1
Ireland
Trustee &
The Law Debenture Trust Corporation Plc
Security Trustee
Fifth Floor, 100 Wood Street
London EC2V 7EX
United Kingdom
Manager
WisdomTree Multi Asset Management Limited
Ordnance House, 31 Pier Road
St. Helier
Jersey JE4 8PW
Registrar
Link Market Services Trustees Limited
The Registry, 34 Beckenham Road
Beckenham
Kent BR3 4TU
United Kingdom
BNP Paribas Arbitrage S.N.C.
160-162 Boulevard Macdonald
75019 Paris
France
Custodian &
The Bank of New York Mellon
One Canada Square
London E14 5AL
United Kingdom
Banker
Allied Irish Bank plc
Currency Accounts Services
1 Adelaide Road
Dublin 2
Ireland
Solicitor
Matheson
70 Sir John Rogerson's Quay
Dublin 2
Ireland
Independent Auditor
Ernst & Young
Ernst & Young Building
Harcourt Centre
Harcourt Street
Dublin 2
Ireland
Initial Swap
Provider
Collateral
Administrator
WisdomTree Multi Asset Issuer Plc
Page 2
Directors' report
Principal activities and business review
General information regarding the Company is further described in note 1 to the financial statements.
Key performance indicators
The directors (the "Directors") present their annual report and audited financial statements of WisdomTree Multi Asset Issuer Plc (the "Company"
or the "Issuer") for the financial year ended 31 December 2021.
the Company made a profit before tax of EUR 1,000 (2020: EUR 1,000);
During the financial year:
The Company is a public liability company, incorporated in Ireland on 30 July 2012 under Irish Company Law. The Company is an orphan
vehicle, with the shares held for the benefit of a charitable trust (see note 13). The Company is registered in Ireland as a Section 110 vehicle. The
Company has been established as a special purpose vehicle for the purpose of issuing exchange traded securities. The Company commenced
trading on 5 December 2012.
The Company uses the net proceeds of the issuance of ETP Securities to enter into Total Return Swap Transactions (the “TRSs”) to hedge its
payment obligations in respect of each Class of the ETP Securities with one or more Swap Providers once the Swap Provider has delivered eligible
collateral. The TRSs for each Class of ETP Securities will produce cash flows to service all of the Company’s payment obligations in respect of
that Class.
Cash flows are only as a result of subscriptions and redemptions of ETP Securities and expenses incurred. A movement in collateral does not
generate a cash flow. The proceeds of the issuance of a tranche of ETP Securities of a Class will be paid by the Issuer to one or more of the Swap
Providers with whom the Issuer has entered into a TRS in connection with that Class, in order to increase the aggregate number of Index Units in
respect of the TRSs entered into by the Issuer in relation to that Class in proportion to the increase in the number of ETP Securities of that Class
then outstanding. The Issuer’s payment obligations in respect of the ETP Securities of a Class will be covered entirely from payments received by
the Issuer from the Swap Provider(s) in respect of such TRSs. Pursuant to the terms of each Credit Support Document, the Issuer will be obliged to
pay amounts equal to each distribution made on collateral held by it to the relevant Swap Provider upon receipt.
As a result of Brexit, CREST UK and Ireland has lost equivalence and can no longer be the domestic central securities depositary (“CSD”) for
securities issued by Irish domiciled issuers. The Company migrated the settlement model for the ETP Securities to the International CSD (“ICSD”)
model effective 11 December 2020.
the Company's unrealised depreciation on financial liabilities at fair value through profit or loss amounted to EUR 5,118,798 (2020:
appreciation EUR 15,748,833);
the Company's realised losses on financial liabilities at fair value through profit or loss amounted to EUR 64,634,567 (2020: realised gain
EUR 130,901,940);
the Company's unrealised appreciation on financial assets at fair value through profit or loss amounted to EUR 5,118,798 (2020: depreciation
EUR 15,748,833);
the Company's realised gain on financial assets at fair value through profit or loss amounted to EUR 64,634,567 (2020: realised loss EUR
130,901,940);
The Company established a Collateralised ETP Securities Programme (the "Programme") under which the Company issues, on an ongoing basis,
collateralised exchange traded securities (the “ETP Securities”) of different classes (each a “Class”) linked to indices providing exposure to a
range of asset classes including equities, commodities, fixed income and currencies. The ETP Securities may have long or short, and leveraged or
unleveraged, exposure to the daily performance of the referenced index.
Each Class constitutes limited recourse obligations of the Company, secured on and payable solely from the assets constituting the ETP Securities
in respect of such Class. Each Class of ETP Securities may comprise one or more tranches.
ETP Securities in issue as at 31 December 2021 are listed for trading on the London Stock Exchange, Frankfurt Stock Exchange and/or on the
Borsa Italiana (2020: same) and applications may be made to other European Stock Exchanges.
The Directors confirm that the key performance indicators as disclosed below in the financial statements are those that are used to assess the
performance of the Company.
The Company is a special purpose vehicle (''SPV'') and its principal activity is to issue exchange traded securities.
The ETP Securities do not bear interest at a prescribed rate. The return (if any) on the ETP Securities shall be calculated in accordance with the
redemption provisions.
WisdomTree Multi Asset Issuer Plc
Page 3
Directors' report (continued)
Key performance indicators (continued)
the Company issued 1 new Class of ETP Securities (2020: 8):
WisdomTree Energy Enhanced EUR Daily Hedged
the following events took place regarding the below ETP Securities:
WisdomTree S&P 500 3x Daily Short Securities
WisdomTree EURO STOXX Banks 3x Daily Short Securities
WisdomTree BTP 10Y 5x Daily Short Securities
Compulsory redemption event
During the financial year (continued):
there were subscriptions in the existing Class of ETP Securities as disclosed in note 10 to the financial statements;
there were redemptions of Class of ETP Securities as disclosed in note 10 to the financial statements; and
On 11 November 2021, the Company announced the reduction in the principal amount of the WisdomTree DAX 30 3x Daily Short Securities
from USD 0.2 to USD 0.02.
WisdomTree Copper 3x Daily Short
On 26 February 2021, the Company announced the reduction in the principal amount of the WisdomTree BTP 10Y 5x Daily Short Securities
from EUR 2 to EUR 0.2.
WisdomTree Natural Gas 3x Daily short Securities
On 15 September 2021, the Company announced the reduction in the principal amount of the WisdomTree Natural Gas 3x Daily short
Securities from USD 0.2 to USD 0.02.
On 19 March 2021, the Company announced the reduction in the principal amount of the WisdomTree S&P 500 3x Daily Short Securities
from USD 0.2 to USD 0.02 and a connected reduction in the Daily Swap Rate from 0.00250 per cent. per day to 0.002361 per cent. per day.
WisdomTree Palladium 1x Daily Short
On 28 April 2021, the Company announced the reduction in the principal amount of the WisdomTree Palladium 1x Daily Short from USD 2
to USD 0.2.
WisdomTree FTSE 100 3x Daily Short Securities
On 18 November 2020, the Company announced the reduction in the principal amount of the WisdomTree FTSE 100 3x Daily Short
Securities from GBP 200 to GBP 20.
On 28 October 2021, the Company announced the reduction in the principal amount of the WisdomTree EURO STOXX Banks 3x Daily
Short Securities from EUR 0.2 to EUR 0.02.
WisdomTree FTSE MIB 3x Daily Short Securities
On 03 November 2021, the Company announced the reduction in the principal amount of the WisdomTree FTSE MIB 3x Daily Short
Securities from USD 0.2 to USD 0.02.
WisdomTree DAX 30 3x Daily Short Securities
On 19 February 2021, the Company announced the reduction in the principal amount of the WisdomTree EURO STOXX Banks 3x Daily
Short Securities from EUR 2 to EUR 0.2.
On the 23 April 2021, a Compulsory Redemption Event has occurred in accordance with Condition 8.8(B) of the WisdomTree EURO
STOXX Banks 3x Daily Short Securities (the "Impacted Securities") due to the Price of the Impacted Securities fell below 200% of the
Principal Amount of the Impacted Securities.
WisdomTree NASDAQ 100 3x Daily Short
On 7 May 2021, the Company announced the reduction in the principal amount of the WisdomTree NASDAQ 100 3x Daily Short from USD
12.18 to USD 1.218.
WisdomTree S&P 500 VIX SHORT-TERM FUTURES 2.25X Daily Leveraged Securities
On 14 April 2021, the Company announced the reduction in the principal amount of the WisdomTree S&P 500 VIX SHORT-TERM
FUTURES 2.25X Daily Leveraged Securities from USD 10.55662 to USD 1.05566.
On 30 April 2021, the Company announced the reduction in the principal amount of the WisdomTree Copper 3x Daily Short from USD 2 to
USD 0.2.
WisdomTree Multi Asset Issuer Plc
Page 4
Directors' report (continued)
Key performance indicators (continued)
The following events took place regarding the below ETP Securities (continued):
Compulsory redemption event (continued)
Index changes for underlying products
New Index Old Index Date
WisdomTree Gold 3x Daily Leveraged SOLWSGC1 NQCIGCER
26/02/2021
WisdomTree Gold 3x Daily Short SOLWSGC1 NQCIGCER
26/02/2021
WisdomTree Copper 3x Daily Leveraged SOLWSHG1 NQCIHGER
26/02/2021
WisdomTree Copper 3x Daily Short SOLWSHG1 NQCIHGER
26/02/2021
WisdomTree Natural Gas 3x Daily Leveraged SOLWSNG2 NQCINGER
26/02/2021
WisdomTree Natural Gas 3x Daily Short SOLWSNG2 NQCINGER
26/02/2021
WisdomTree Silver 3x Daily Leveraged SOLWSSI1 NQCISIER
26/02/2021
WisdomTree Silver 3x Daily Short SOLWSSI1 NQCISIER
26/02/2021
WisdomTree Palladium 1x Daily Short SOLWSPA1 NQCIPAER
26/02/2021
WisdomTree Palladium 2x Daily Leveraged SOLWSPA1 NQCIPAER
26/02/2021
WisdomTree Bloomberg WTI Crude Oil BCOMCL NQCI2CLE
26/02/2021
WisdomTree Bloomberg Brent Crude Oil BCOMCO NQCI2CBE
26/02/2021
WisdomTree Brent Crude Oil 3x Daily Short SOLWSCO2 NQCI2CBE
26/02/2021
WisdomTree S&P 500 VIX Short-Term Futures 2.25x Daily Leveraged VXXIDSPE SPVXSP
06/05/2021
WisdomTree Brent Crude Oil 3x Daily Leveraged SOLWSCO2 NQCI2CBE
26/02/2021
WisdomTree WTI Crude Oil 3x Daily Leveraged SOLWSCL2 NQCI2CLE
26/02/2021
WisdomTree WTI Crude Oil 3x Daily Short SOLWSCL2 NQCI2CLE
26/02/2021
the total fair value of the ETP Securities in issue was EUR 1,100,087,175 (2020: EUR 744,256,049);
the ETP Securities that the Company has in issue in respect of each Class are included in note 10 to the financial statements; and
the Company had the following number of Classes, in aggregate, in issue, in the following exchanges:
Classes
Commodity ETPs 23 22 16 12
Equity ETPs 20 20 13 11
Fixed Income ETPs 10 9 7 2
FX ETPs 2 - 2 2
55 51 38 27
Classes
Commodity ETPs 22 16 11
Equity ETPs 20 13 11
Fixed Income ETPs 9 8 2
FX ETPs - 2 2
51 39 26
Future developments
The Directors expect that the present level of activity will be sustained for the foreseeable future.
31-Dec-21
During the financial year (continued):
the Company has invested in financial assets at fair value through profit or loss of EUR 1,100,087,175 (2020: EUR 744,256,049) as disclosed
in note 7 to the financial statements;
the net assets of the Company were EUR 16,738 (2020: EUR 15,988);
As at 31 December 2021:
Accordingly, on 23 April 2021, the Company announced that the ETP securities of the Impacted Products were to be redeemed compulsorily.
Following this announcement, the Company confirmed the relevant compulsory redemption amounts per each ETP Security of the Impacted
Products and subsequently arranged for the cash redemption proceeds to be made via Euroclear or Clearstream, Luxembourg.
During the financial year, the index for the following ETP's have changed:
2
55
The Directors are satisfied that the derivative financial instruments in place appropriately manage the risk exposure of the Company as detailed in
note 15 to the financial statements.
Frankfurt Stock
Exchange
31-Dec-20
Total number
of ETPs
London Stock
Exchange
Borsa
Italiana
Frankfurt Stock
Exchange
22
20
11
Total number
of ETPs
London Stock
Exchange
Borsa
Italiana
WisdomTree Multi Asset Issuer Plc
Page 5
Directors' report (continued)
Going concern
As part of the Directors’ evaluation, consideration was given to:
Principal risks and uncertainties
Coronavirus pandemic (COVID-19)
Results and dividends for the financial year
Directors, secretary and their interests
Shares and shareholders
Corporate Governance Statement
Introduction
Appointment and replacement of Directors and Amendments in the Articles of Association
The Company is subject to and complies with the Irish statute comprising the Companies Act 2014 and the listing rules of the London Stock
Exchange, Frankfurt Stock Exchange and Borsa Italiana which are applicable to companies listing instruments like the ETP Securities.
No Director has a significant direct or indirect holding of securities in the Company. No Director has any special rights of control over the
Company’s share capital.
the nature of the Company’s business, which dictates that the outstanding ETP Securities may be redeemed at any time by the holders thereof
and in certain circumstances may be redeemed by the Company. As the redemption of ETP Securities will coincide with the termination of an
equal amount of TRSs, no liquidity risk is considered to arise; and
With regard to the appointment and replacement of Directors, the Company is governed by its Articles of Association and Irish Statute comprising
the Companies Act 2014. The Articles of Association themselves may be amended by special resolution of the shareholders.
The Board consider the operations of the Company to be ongoing, with a reasonable expectation that the Company has adequate resources to
continue in operational existence for a period of at least 12 months from the date of these financial statements, and accordingly these financial
statements have been prepared on the going concern basis.
the current level of assets under management of the Company, hence future revenue streams of WisdomTree Multi Asset Management
Limited in its ability to meet all other liabilities of the Company.
Global financial markets experienced a significant decline at the onset of the COVID-19 pandemic. While the markets have since recovered, the
ultimate duration of the pandemic and its short-term and long-term impact on the global economy is unknown. Mutations in the virus and negative
global economic consequences arising from the pandemic, among other factors, could have a future adverse impact on the global financial markets.
Negative market reactions could negatively impact the Net Asset Values of the Sub-Funds.
The directors and the Company’s delegates continue to monitor the advice and developments relating to COVID-19, which is fluid and rapidly
changing. The WisdomTree group has, and continues to implement, measures to maintain the ongoing safety and well-being of employees, whilst
continuing to operate business as usual.
The authorised share capital of the Company is EUR 100,000 out of which EUR 40,000 has been issued and paid up to EUR 0.25 each. The issued
shares were held by Apex Financial Services (Nominees 1) Limited holding 39,994 shares. Apex Financial Services (Nominees 2) Limited, Apex
Financial Services (Nominees 3) Limited, Apex Financial Services (Trustees) Limited, Forbrit Corporate Director 3 Limited, Forbrit Corporate
Director 4 Limited and Apex Financial Services (Foundations) Limited, each holding 1 share in the Company. All shares are held in trust for
charity under the terms of Declaration of Trust.
The results for the financial year are set out on page 16. The Directors do not recommend the payment of a dividend for the financial year (2020:
EUR Nil).
None of the Directors who held office on 1 January 2021 and 31 December 2021 held any shares or ETP Securities in the Company at that date, or
during the financial year. There were no contracts of any significance in relation to the business of the Company in which the Directors had any
interest, as defined in Section 309 of the Companies Act 2014, at any time during the financial year. During the financial year, no fees were paid to
the Directors for the services provided (2020: EUR Nil). Further information are set out in note 14 to the financial statements.
The key risks to the business relate to the use of financial instruments. A summary of these risks are set out in note 15 to the financial statements.
The contingent liability of the Company detailed in “Note 18 - Commitments and contingencies”
There are no restrictions on voting rights.
WisdomTree Multi Asset Issuer Plc
Page 6
Directors' report (continued)
Corporate Governance Statement (continued)
Powers of Directors
Financial Reporting Process
Risk Assessment
Control Activities
Transfer of shares
Accounting records
Political donations
Subsequent events
Changes of Directors
On 27 January 2022,
Jennifer Bogue was appointed as Alternate Director for Sarah Warr.
The Directors believe that they have complied with requirements of sections 281 to 285 of the Companies Act 2014 with regards to keeping
adequate accounting records by employing accounting personnel with appropriate experience and expertise and by providing services to the
financial function. The accounting records of the Company are maintained at 2nd Floor, Block 5, Irish Life Centre, Abbey Street Lower, Dublin 1,
Ireland.
The Board evaluates and discusses significant accounting and reporting issues as the need arises. From time to time the Board also examines and
evaluates the IPA’s financial accounting and reporting routines and monitors and evaluates the external auditors’ performance, qualifications and
independence. The IPA has operating responsibility for internal control in relation to the financial reporting process and the IPA’s report to the
Board.
The Board is responsible for assessing the risk of irregularities whether caused by fraud or error in financial reporting and ensuring the processes
are in place for the timely identification of internal and external matters with a potential effect on financial reporting. The Board has also put in
place processes to identify changes in accounting rules and recommendations and to ensure that these changes are accurately reflected in the
Company’s financial statements.
The instrument of transfer of any share shall be executed by or on behalf of the transferor and, in cases where the share is not fully paid, by or on
behalf of the transferee. The transferor shall be deemed to remain the holder of the share until the name of the transferee is entered on the register
in respect thereof. The Directors in their absolute discretion and without assigning any reason therefore may decline to register any transfer of a
share. If the Directors refuse to register a transfer they shall, within two months after the date on which the transfer was lodged with the Company,
send to the transferee notice of the refusal.
The Electoral Act, 1997 (as amended by the Electoral Amendment Political Funding Act, 2012) requires companies to disclose all political
donations over EUR 200 in aggregate made during a financial year. The Directors, on enquiry, have satisfied themselves that no such donations in
excess of this amount have been made by the Company during the financial year to 31 December 2021 (2020: EUR Nil).
The IPA is contractually obliged to design and maintain control structures to manage the risks which the Board judges to be significant for internal
control over financial reporting. These control structures include appropriate division of responsibilities and specific control activities aimed at
detecting or preventing the risk of significant deficiencies in financial reporting for every significant account in the financial statements and the
related ETP Securities’ in the Company’s annual report.
The Board of Directors (the “Board”) is responsible for establishing and maintaining adequate internal control and risk management systems of the
Company in relation to the financial reporting process. Such systems are designed to manage rather than eliminate the risk of failure to achieve the
Company’s financial reporting objectives and can only provide reasonable and not absolute assurance against material misstatement or loss.
The Board has established processes regarding internal control and risk management systems to ensure its effective oversight of the financial
reporting process. These include appointing the IPA to maintain the accounting records of the Company independently of the Manager. The IPA is
contractually obliged to maintain proper books and records as required by the Corporate Administration agreement. The IPA is also contractually
obliged to prepare for review and approval by the Board the annual report including financial statements intended to give a true and fair view.
The Board is responsible for managing the business affairs of the Company in accordance with the Articles of Association. The Directors may
delegate certain functions to the Issuing and Paying Agent (the “IPA”) and other parties, subject to the supervision and direction of the Directors.
The Directors have delegated the day to day administration of the Company to the IPA.
WisdomTree Multi Asset Issuer Plc
Page 7
Directors' report (continued)
Subsequent events (continued)
Product Launches
On 7 February 2022
(a) The Company approved the issuance of the following securities:
(i) WisdomTree Battery Metals Securities
(ii) WisdomTree Energy Transition Metals Securities
(iii) WisdomTree FTSE MIB Securities
(iv) WisdomTree EURO STOXX 50 Securities
(v) WisdomTree S&P 500 Securities
(vi) WisdomTree STOXX Europe Travel & Leisure 2x Daily Leveraged Securities
(vii) WisdomTree STOXX Europe Travel & Leisure 2x Daily Short Securities
(viii) WisdomTree STOXX Europe Automobiles 2x Daily Leveraged Securities
(ix) WisdomTree STOXX Europe Oil & Gas 2x Daily Short Securities
(b) the admission to trading of the Metals Products on the London Stock Exchange, Deutsche Börse and Borsa Italiana;
(c) the admission to trading of the Delta 1 Products on Borsa Italiana; and
(d) the admission to trading of the Short & Leveraged Products on the London Stock Exchange, Deutsche Börse and Borsa Italiana.
Research and development costs
Audit committee
Independent Auditor
The Company did not incur any research and development costs during the financial year (2020: EUR Nil).
There have been no other significant subsequent events after the financial year up to the date of signing this report that require disclosure and/or
adjustment to the financial statements.
Metals Products offer exposure to energy transition and battery themes via commodities. The products tap well into exisiting relationships with
clients who bought UCITS VOLT and ETCs ( Nickel, Copper and Industrial Metals basket). In respect of the Delta 1 Products, Borsa Italiana has
recently allowed the listing of ETNs even if the underlying can be done as UCITS, therefore an opportunity has arisen due to the tax advantage of
ETNs over ETFs. In respect of the Short & Leveraged Products, this proposal has been driven by the tactical working group and a deep internal
survey about the most interesting exposure for WisdomTree clients.
On 24 February 2022, Russian Federation launched a full-scale invasion into Ukraine sovereign state. The potential impacts from the Ukraine and
Russian conflict remain uncertain, including but not limited to, on global economic conditions, asset valuations, interest rate expectations and
exchange rates. The extent of these impacts on the Company are unclear at this stage, however, given the broad nature of the sanctions imposed by
a number of governments, (including the US, UK and EU) directly targeting the Russian Federation and Belarus, the Global nature of the asset
management and capital markets sector and the potential for other impacts to emerge, the Directors continue to actively monitor the situation.
In February 2022 and March 2022, the Company was served with writs of summons to appear before the Court of Milan and the Court of Turin,
respectively, in relation to the closure of WisdomTree WTI Crude Oil 3x Daily Leveraged ETP (“3OIL”) in March 2020. Please see note 18 for
further details.
Given the functions performed by the IPA and the limited recourse nature of the securities issued by the Company, the Directors has concluded
that there is currently no need for the Company to have a separate audit committee in order for the Board to perform effective monitoring and
oversight of the internal controls and risk management systems of the Company in relation to the financial reporting process. Accordingly the
Company has availed itself of the exemption under Section 1551 of the Companies Act 2014.
Ernst & Young, Chartered Accountants and registered Auditors, have been appointed in 12 December 2012 by the Directors as auditors for the
Company. In accordance with Section 383(2) of the Companies Act, 2014, Ernst & Young, have expressed their willingness to continue in office.
Under Section 1551 (11)(c) and Section 167 of the Companies Act 2014, the Company is exempt from the requirement to establish an audit
committee as the sole business of the Company relates to the issuance of exchange traded securities. The Directors have availed of this exemption
for the preparation of the financial statements.
WisdomTree Multi Asset Issuer Plc
Page 8
Directors' report (continued)
Statement on relevant audit information
•
•
Directors' compliance statement
The Directors confirm that:
Responsibility statement in accordance with the Transparency Regulation
Each of the persons whose names and functions appear on page 1 confirm to the best of their knowledge:
On behalf of the Board
Stuart Gallagher Lisa Hand
Director Director
Date: 22 April 2022
relevant arrangements and structures have been put in place that provide a reasonable assurance of compliance in all material respects by the
Company with its relevant obligations, which arrangements and structures may, if the Directors so decide, include reliance on the advice of
one or more than one person employed by the Company or retained by it under a contract for services, being a person who appears to the
Directors to have the requisite knowledge and experience to advise the Company on compliance with its relevant obligations; and
the arrangements and structures in place are reviewed on an annual basis.
the financial statements, prepared in accordance with IFRS as issued by the IASB and as adopted by the EU, give a true and fair view of the
assets, liabilities, financial position and profit or loss of the Company; and
So far as the Directors are aware, each Director at the date of approval of this report and financial statements confirms that:
there is no relevant audit information of which the Company’s auditor are unaware; and
as per section 330 of the Companies Act 2014, the Directors have taken all steps that they ought to have taken as a Director in order to make
themselves aware of any relevant audit information and to establish that the Company’s auditor are aware of this information.
they acknowledge that they are responsible for securing the company's compliance with its relevant obligations and have, to the best of their
knowledge, complied with its relevant obligations as defined in section 225 of the Companies Act 2014;
they have drawn up a compliance policy statement setting out the Company's policies (that, in the Directors' opinion, are appropriate to the
Company) respecting compliance by the Company with its relevant obligations;
the management report, which is incorporated into the Directors’ report, includes a fair review of the development and performance of the
business and the position of the Company, together with a description of the principal risks and uncertainties that it faces.
WisdomTree Multi Asset Issuer Plc
Page 9
Directors' responsibilities statement
●
●
●
●
On behalf of the Board
Stuart Gallagher Lisa Hand
Director Director
Date: 22 April 2022
Irish Company law requires the Directors to prepare financial statements giving a true and fair view of the state of affairs of the Company and the
profit or loss of the Company for each financial year. Under that law the Directors have elected to prepare the financial statements in accordance
with International Financial Reporting Standards ("IFRS") as adopted by the EU.
Under company law the Directors must not approve the financial statements unless they are satisfied that they give a true and fair view of the
assets, liabilities and financial position, of the Company, and otherwise comply with the Companies Act 2014.
make judgements and estimates that are reasonable and prudent;
state whether the financial statements have been prepared in accordance with IFRS and ensure that they contain the additional information
required by the Companies Act 2014; and
prepare the financial statements on the going concern basis unless it is inappropriate to presume that the company will continue in business.
The Directors are responsible for ensuring that the Company keeps or causes to be kept adequate accounting records which correctly explain and
record the transactions of the Company, enable at any time the assets, liabilities, financial position and profit or loss of the Company to be
determined with reasonable accuracy, enable them to ensure that the financial statements and Directors' Report comply with the Companies Act
2014 and enable the financial statements to be audited. They are also responsible for safeguarding the assets of the Company and hence for taking
reasonable steps for the prevention and detection of fraud and other irregularities.
The Directors are also responsible for preparing a Directors’ Report that complies with the requirements of the Companies Act 2014.
ln preparing the financial statements, the Directors are required to:
select suitable accounting policies and then apply them consistently;
The Directors are responsible for preparing the Directors' report and the financial statements in accordance with the Companies Act 2014 and the
applicable laws and regulations.
INDEPENDENT AUDITOR’S REPORT TO THE MEMBERS OF WISDOMTREE MULTI-ASSET
ISSUER PLC
Report on the audit of the financial statements
Opinion
We have audited European Single Electronic Format financial statements (“the financial statements”)
of WisdomTree Multi-Asset Issuer plc (‘the Company’) for the year ended 31 December 2021, contained
in file 2138003QW2ZAYZODBU23-2021-12-31, which comprise the Statement of Comprehensive
Income, Statement of Financial Position, Statement of Changes in Equity, Statement of Cash Flows
and notes to the financial statements, including the summary of significant accounting policies set out
in note 3. The financial reporting framework that has been applied in their preparation is Irish Law and
International Financial Reporting Standards (IFRS) as adopted by the European Union.
In our opinion the financial statements:
give a true and fair view of the assets, liabilities and financial position of the Company as at 31
December 2021 and of its profit for the year then ended;
have been properly prepared in accordance with IFRS as adopted by the European Union; and
have been properly prepared in accordance with the requirements of the Companies Act 2014.
Basis for opinion
We conducted our audit in accordance with International Standards on Auditing (Ireland) (ISAs (Ireland))
and applicable law. Our responsibilities under those standards are further described in the Auditor's
Responsibilities for the Audit of the Financial Statements section of our report. We are independent of
the Company in accordance with ethical requirements that are relevant to our audit of financial
statements in Ireland, including the Ethical Standard as applied to public interest entities issued by the
Irish Auditing and Accounting Supervisory Authority (IAASA), and we have fulfilled our other ethical
responsibilities in accordance with these requirements.
We believe that the audit evidence we have obtained is sufficient and appropriate to provide a basis for
our opinion.
INDEPENDENT AUDITOR’S REPORT TO THE MEMBERS OF WISDOMTREE MULTI-ASSET
ISSUER PLC (CONTINUED)
Conclusions relating to going concern
In auditing the financial statements, we have concluded that the directors’ use of the going concern
basis of accounting in the preparation of the financial statements is appropriate. Our evaluation of the
directors’ assessment of the Company’s ability to continue to adopt the going concern basis of
accounting included:
Confirming our understanding of management’s going concern assessment process and
engaging with management to understand the key factors which were considered in their
assessment;
Obtaining management’s going concern assessment, which covers a year from the date of
approval of the financial statements;
Reviewing and evaluating the reasonability of the key factors considered by management
including
o consideration of future activity in the ETP Securities. In assessing these, we obtained
and reviewed the liquidity terms which the ETP Securities offer to investors and
reviewed post year-end activity and corroborated through enquiry of management as
to whether there are any subsequent events, including performance of the ETP
Securities, that might give rise to conditions which could lead management to
discontinue the operations of the Company.
o consideration of the availability of liquid assets to meet ongoing operational costs.
o consideration of the legal claims against the Company, in order to assess the impact
of these claims on the Company’s ability to continue as a going concern. We obtained
and reviewed confirmation of support from WisdomTree Investments, Inc. in respect of
these claims.
Reviewing the Company’s going concern disclosures included in the annual report in order to
assess that the disclosures were appropriate and in conformity with the reporting standards.
Conclusion
Based on the work we have performed, we have not identified any material uncertainties relating to
events or conditions that, individually or collectively, may cast significant doubt on the Company’s ability
to continue as a going concern for a period of at least twelve months from when the financial statements
are authorised for issue.
Our responsibilities and the responsibilities of the directors with respect to going concern are described
in the relevant sections of this report. However, because not all future events or conditions can be
predicted, this statement is not a guarantee as to the Company’s ability to continue as a going concern.
INDEPENDENT AUDITOR’S REPORT TO THE MEMBERS OF WISDOMTREE MULTI-ASSET
ISSUER PLC (CONTINUED)
Key audit matters
Key audit matters are those matters that, in our professional judgment, were of most significance in our
audit of the financial statements of the current period and include the most significant assessed risks of
material misstatement (whether or not due to fraud) that we identified, including those which had the
greatest effect on: the overall audit strategy, the allocation of resources in the audit; and directing the
efforts of the engagement team. These matters were addressed in the context of our audit of the
financial statements as a whole, and in forming our opinion thereon, and we do not provide a separate
opinion on these matters.
Risk
Our response to the risk
Key observations
Valuation of financial assets
and financial liabilities at fair
value through profit or loss
We have considered valuation
of financial assets at fair value
through profit or loss with a fair
value of €1,100,087,175 (2020:
€744,256,049) and financial
liabilities at fair value through
profit or loss with a fair value of
€1,100,087,175 (2020:
€744,256,049) as a key audit
matter as it is a key driver of the
Company’s performance.
Please refer to Note 7 -
Financial assets at fair value
through profit or loss, Note 10 –
Financial liabilities at fair value
through profit or loss in the
financial statements.
We obtained the Company’s
listing of financial assets and
financial liabilities at fair value
through profit or loss as at 31
December 2021.
We assessed the
reasonableness of the valuation
for all financial assets and
financial liabilities at fair value
through profit or loss which
includes Total return swaps
(TRSs) and Exchange trades
products (ETPs) by:
Agreeing the value of
the TRSs and ETPs to
independent
confirmations;
Recalculating fair value
using industry standard
models;
Assessing the
reasonableness of the
assumptions and data
inputs used by the
Directors to value these
financial assets and
financial liabilities at fair
value through profit or
loss.
No issues have been noted
from the performance of our
procedures over this key audit
matter.
INDEPENDENT AUDITOR’S REPORT TO THE MEMBERS OF WISDOMTREE MULTI-ASSET
ISSUER PLC (CONTINUED)
Our application of materiality
We apply the concept of materiality in planning and performing the audit, in evaluating the effect of
identified misstatements on the audit and in forming our audit opinion.
Materiality
The magnitude of an omission or misstatement that, individually or in the aggregate, could reasonably
be expected to influence the economic decisions of the users of the financial statements. Materiality
provides a basis for determining the nature and extent of our audit procedures.
We determined materiality for the Company to be €11 million (2020: €7.4 million), which is 1% (2020:
1%) of the value of the financial liabilities at fair value through profit or loss. We believe that financial
liabilities at fair value through profit or loss is an appropriate measurement basis since the users of the
financial statements may focus more on this than on earnings.
During the course of our audit, we reassessed initial materiality and made no changes to it.
Performance materiality
The application of materiality at the individual account or balance level. It is set at an amount to reduce
to an appropriately low level the probability that the aggregate of uncorrected and undetected
misstatements exceeds materiality.
On the basis of our risk assessments, together with our assessment of the Company’s overall control
environment, our judgement was that performance materiality was 75% (2020: 75%) of our planning
materiality, namely €8.2 million (2020: €5.6 million). We have set performance materiality at this
percentage due to our knowledge of the Company and its industry, our past history with the entity, the
effectiveness of its control environment and our assessment of the risks associated with the
engagement.
Reporting threshold
An amount below which identified misstatements are considered as being clearly trivial.
We agreed with the Board of Directors that we would report to them all uncorrected audit differences in
excess of €550,044 (2020: €372,128), which is set at 5% of planning materiality, as well as differences
below that threshold that, in our view, warranted reporting on qualitative grounds.
We evaluate any uncorrected misstatements against both the quantitative measures of materiality
discussed above and in light of other relevant qualitative considerations in forming our opinion.
INDEPENDENT AUDITOR’S REPORT TO THE MEMBERS OF WISDOMTREE MULTI-ASSET
ISSUER PLC (CONTINUED)
An overview of the scope of our audit report
Tailoring the scope
Our assessment of audit risk, our evaluation of materiality and our allocation of performance materiality
determine our audit scope for the Company. This enables us to form an opinion on the financial
statements. We take into account size, risk profile, the organisation of the company and effectiveness
of controls, including controls and changes in the business environment when assessing the level of
work to be performed.
Other information
The directors are responsible for the other information. The other information comprises the information
included in the Annual Report other than the financial statements and our auditor’s report thereon. Our
opinion on the financial statements does not cover the other information and, except to the extent
otherwise explicitly stated in our report, we do not express any form of assurance conclusion thereon.
Our responsibility is to read the other information and, in doing so, consider whether the other
information is materially inconsistent with the financial statements or our knowledge obtained in the
audit or otherwise appears to be materially misstated. If we identify such material inconsistencies or
apparent material misstatements, we are required to determine whether there is a material
misstatement in the financial statements or a material misstatement of the other information. If, based
on the work we have performed, we conclude that there is a material misstatement of this other
information, we are required to report that fact.
We have nothing to report in this regard.
Opinions on other matters prescribed by the Companies Act 2014
In our opinion, based solely on the work undertaken in the course of the audit, we report that:
the information given in the directors’ report is consistent with the financial statements; and
the directors’ report has been prepared in accordance with applicable legal requirements.
We have obtained all the information and explanations which, to the best of our knowledge and belief,
are necessary for the purposes of our audit.
In our opinion the accounting records of the Company were sufficient to permit the financial statements
to be readily and properly audited and the financial statements are in agreement with the accounting
records.
INDEPENDENT AUDITOR’S REPORT TO THE MEMBERS OF WISDOMTREE MULTI-ASSET
ISSUER PLC (CONTINUED)
Matters on which we are required to report by exception
Based on the knowledge and understanding of the company and its environment obtained in the course
of the audit, we have not identified material misstatements in the directors' report.
The Companies Act 2014 requires us to report to you if, in our opinion, the disclosures of directors’
remuneration and transactions required by sections 305 to 312 of the Act, which relate to disclosures
of directors’ remuneration and transactions are not complied with by the Company. We have nothing to
report in this regard.
Respective responsibilities
Responsibilities of directors for the financial statements
As explained more fully in the directors’ responsibilities statement set out on page 9, the directors are
responsible for the preparation of the financial statements in accordance with the applicable financial
reporting framework that give a true and fair view, and for such internal control as they determine is
necessary to enable the preparation of financial statements that are free from material misstatement,
whether due to fraud or error.
In preparing the financial statements, the directors are responsible for assessing the Company’s ability
to continue as going concerns, disclosing, as applicable, matters related to going concern and using
the going concern basis of accounting unless management either intends to liquidate the Company or
to cease operations, or has no realistic alternative but to do so.
Auditor’s responsibilities for the audit of the financial statements
Our objectives are to obtain reasonable assurance about whether the financial statements as a whole
are free from material misstatement, whether due to fraud or error, and to issue an auditor's report that
includes our opinion. Reasonable assurance is a high level of assurance, but is not a guarantee that an
audit conducted in accordance with ISAs (Ireland) will always detect a material misstatement when it
exists. Misstatements can arise from fraud or error and are considered material if, individually or in the
aggregate, they could reasonably be expected to influence the economic decisions of users taken on
the basis of these financial statements.
The objectives of our audit, in respect to fraud, are; to identify and assess the risks of material
misstatement of the financial statements due to fraud; to obtain sufficient appropriate audit evidence
regarding the assessed risks of material misstatement due to fraud, through designing and
implementing appropriate responses; and to respond appropriately to fraud or suspected fraud
identified during the audit. However, the primary responsibility for the prevention and detection of fraud
rests with both those charged with governance of the entity and management.
INDEPENDENT AUDITOR’S REPORT TO THE MEMBERS OF WISDOMTREE MULTI-ASSET
ISSUER PLC (CONTINUED)
Auditor’s responsibilities for the audit of the financial statements (continued)
Our approach was as follows:
We obtained an understanding of the legal and regulatory frameworks that are applicable to
the Company and determined that the most significant is the Companies Act 2014.
We understood how the Company is complying with those frameworks by updating our
understanding of the adequate system of internal control in place. We also considered the
existence of independent service providers, proper segregation of duties and the regulated
environment in which the Company operates, which may reduce opportunities for fraud to take
place.
Based on this understanding we designed our audit procedures to identify non-compliance with
such laws and regulations. Our procedures involved inquiries to those charged with governance
into possible instances of non-compliance with laws and regulations, review of board meeting
minutes during the year and obtaining representation from management.
We assessed the susceptibility of the Company’s financial statements to material misstatement,
including how fraud might occur by management override of controls.
A further description of our responsibilities for the audit of the financial statements is located on the
IAASA's website at: http://www.iaasa.ie/getmedia/b2389013-1cf6-458b-9b8f-
a98202dc9c3a/Description_of_auditors_responsiblities_for_audit.pdf. This description forms part of
our auditor's report.
Other matters which we are required to address
We were appointed by the Board of Directors in 12 December 2012 to audit the financial statements for
the year ending 30 June 2013 and subsequent financial periods. The period of total uninterrupted
engagement including previous renewals and reappointments of the firm is 9 years.
The non-audit services prohibited by IAASA’s Ethical Standard were not provided to the company and
we remain independent of the company in conducting our audit.
Our audit opinion is consistent with the additional report to the Board of Directors.
The purpose of our audit work and to whom we owe our responsibilities
Our report is made solely to the Company’s members, as a body, in accordance with section 391 of the
Companies Act 2014. Our audit work has been undertaken so that we might state to the Company’s
members those matters we are required to state to them in an auditor’s report and for no other purpose.
To the fullest extent permitted by law, we do not accept or assume responsibility to anyone other than
the Company and the Company’s members, as a body, for our audit work, for this report,
Kieran Daly
for and on behalf of
Ernst & Young Chartered Accountants and Statutory Audit Firm
Dublin, 29 April 2022
WisdomTree Multi Asset Issuer Plc
Page 17
STATEMENT OF COMPREHENSIVE INCOME
For the financial year ended 31 December 2021
31-Dec-21 31-Dec-20
Note EUR EUR
Realised (losses)/ gain on financial liabilities at fair value through profit or loss 10 (64,634,567) 130,901,940
Realised gain/ (losses) on financial assets at fair value through profit or loss 7 64,634,567 (130,901,940)
10 (5,118,798) 15,748,833
7 5,118,798 (15,748,833)
Foreign exchange movements on financial assets at fair value through profit or loss 7 (49,911,339) 30,062,144
Foreign exchange movements on on financial liabilities at fair value through profit or loss 10 49,911,339 (30,062,144)
Revenue 4 7,624,156 4,981,487
Operating expenses 5 (7,623,156) (4,980,487)
Operating profit before tax
1,000 1,000
Tax on profit on ordinary activities 6 (250) (250)
Operating profit after tax
750 750
Total comprehensive income
750 750
The notes on pages 21 to 42 form an integral part of the financial statements.
Financial year
ended
Financial year
ended
All of the items dealt with in arriving at the profit for the financial year are from continuing operations, no income is recognised in other
comprehensive income.
Unrealised (depreciation)/ appreciation on financial liabilities at fair value through profit
or loss
Unrealised appreciation/ (depreciation) on financial assets at fair value through profit or
loss
WisdomTree Multi Asset Issuer Plc
Page 18
STATEMENT OF FINANCIAL POSITION
As at 31 December 2021
31-Dec-21 31-Dec-20
Note EUR EUR
Assets
Financial assets at fair value through profit or loss 7 1,100,087,175 744,256,049
Other receivables 8 1,498,170 1,166,100
Cash and cash equivalents 9 13,951 31,215
Total assets
1,101,599,296 745,453,364
Liabilities
Financial liabilities at fair value through profit or loss 10 1,100,087,175 744,256,049
Other payables 11 1,495,383 1,181,327
Total liabilities
1,101,582,558 745,437,376
Total assets less total liabilities 16,738 15,988
Share capital and retained earnings
Called up share capital presented as equity 12 10,000 10,000
Retained earnings 6,738 5,988
Total shareholders' funds 16,738 15,988
The financial statements were approved by the Board on 22 April 2022 and signed on its behalf by:
Stuart Gallagher Lisa Hand
Director Director
The notes on pages 21 to 42 form an integral part of the financial statements.
WisdomTree Multi Asset Issuer Plc
Page 19
STATEMENT OF CHANGES IN EQUITY
For the financial year ended 31 December 2021
Share capital Total equity
EUR EUR EUR
Balance as at 1 January 2020 10,000 5,238 15,238
Total comprehensive income for the financial year
Operating profit - 750 750
Total comprehensive income for the financial year - 750 750
Balance as at 31 December 2020
10,000 5,988 15,988
Balance as at 1 January 2021 10,000 5,988 15,988
Total comprehensive income for the financial year
Operating profit - 750 750
Total comprehensive income for the financial year - 750 750
Balance as at 31 December 2021
10,000 6,738 16,738
The notes on pages 21 to 42 form an integral part of the financial statements.
Retained
earnings
WisdomTree Multi Asset Issuer Plc
Page 20
STATEMENT OF CASH FLOWS
For the financial year ended 31 December 2021
31-Dec-21 31-Dec-20
Notes EUR EUR
Cash flows from operating activities
Profit on ordinary activities before taxation 1,000 1,000
Adjustments for:
Realised losses/ (gain) on financial liabilities at fair value through profit or loss 10 64,634,567 (130,901,940)
Realised (gain)/ losses on financial assets at fair value through profit or loss 7 (64,634,567) 130,901,940
10 5,118,798 (15,748,833)
7 (5,118,798) 15,748,833
TRS executions during the financial year 7 (1,619,452,528) (1,887,850,350)
TRS terminations during the financial year 7 1,383,286,106 1,588,312,055
Movements in working capital
Increase in other receivables (332,070) (692,532)
Increase in other payables 314,056 274,892
Tax paid (250) (250)
Net cash used in operating activities
(236,183,686) (299,955,185)
Cash flows from financing activities
ETP Securities issuances during the financial year 10 1,619,452,528 1,887,850,350
ETP Securities redemptions during the financial year 10 (1,383,286,106) (1,588,312,055)
Net cash generated from financing activities
236,166,422 299,538,295
Decrease in cash and cash equivalents
(17,264) (416,890)
Cash and cash equivalents at start of the financial 31,215 448,105
Cash and cash equivalents at end of the financial
13,951 31,215
The notes on pages 21 to 42 form an integral part of the financial statements.
Unrealised depreciation/ (appreciation) on financial liabilities at fair value through profit
or loss
Unrealised (appreciation)/ depreciation on financial assets at fair value through profit or
loss
Financial year
ended
Financial year
ended
WisdomTree Multi Asset Issuer Plc
Page 21
NOTES TO THE FINANCIAL STATEMENTS
For the financial year ended 31 December 2021
1 General information
2
Basis of preparation
(a)
Statement of compliance
Going concern
As part of the Directors’ evaluation, consideration was given to:
The Company considers the capital management and its current capital resources to be adequate to maintain the on-going listing and issue of
ETP Securities.
The Company uses the net proceeds of the issuance of ETP Securities to enter into TRSs to hedge its payment obligations in respect of each
Class of the ETP Securities with one or more Swap Providers once the Swap Provider has delivered eligible collateral. The TRSs for each
Class of ETP Securities will produce cash flows to service all of the Company’s payment obligations in respect of that Class.
The ETP securities are issued as demand requires. The Company purchases a matching TRS from the Swap Providers to hedge its liabilities
and ensure the assets can service its liabilities. The number and terms of ETP securities outstanding will match the number and terms of ETP
Swap Contracts so that the obligations of the Company and the Swap Provider match. The Swap Provider will use the same pricing formulae
as the Determination Agent (the "DA") so both the DA and the Swap Provider should be able to calculate the same price independently of
each other – the price of an ETP Swap Contract will equal the price of an ETP. WisdomTree Multi Asset Management Limited supplied
and/or arranged for the supply of all administrative services to the Company and paid all management and administration costs of the
Company, in return for which the Company pays WisdomTree Multi Asset Management Limited a Management Fee.
Each Class constitutes limited recourse obligations of the Company, secured on and payable solely from the assets constituting the ETP
Securities in respect of such Class. Each Class of ETP Securities may comprise one or more tranches.
The ETP Securities do not bear interest at a prescribed rate. The return (if any) on the ETP Securities shall be calculated in accordance with
the redemption provisions.
As a result of Brexit, CREST UK and Ireland has lost equivalence and can no longer be the domestic central securities depositary (“CSD”) for
securities issued by Irish domiciled issuers. The Company migrated its settlement model for the ETP Securities to the International CSD
(“ICSD”) model effective 11 December 2020.
The financial statements have been prepared in accordance with International Financial Reporting Standards ("IFRSs") and its
interpretations as adopted by the EU and in accordance with the Companies Act 2014.
The accounting policies set out below have been applied in preparing the financial statements for the financial year ended 31 December
2021 and in the comparative information presented in these financial statements which is for the financial year ended 31 December
2020.
The Board consider the operations of the Company to be ongoing, with a reasonable expectation that the Company has adequate
resources to continue in operational existence for a period of at least 12 months from the date of these financial statements, and
accordingly these financial statements have been prepared on the going concern basis.
the nature of the Company’s business, which dictates that the outstanding ETP Securities may be redeemed at any time by the
holders thereof and in certain circumstances may be redeemed by the Company. As the redemption of ETP Securities will coincide
with the termination of an equal amount of TRSs, no liquidity risk is considered to arise; and
the current level of assets under management of the Company, hence future revenue streams of WisdomTree Multi Asset
Management Limited in its ability to meet all other liabilities of the Company.
ETP Securities in issue as at 31 December 2021 are listed on the main market of the London Stock Exchange, Frankfurt Stock Exchange
and/or on the Borsa Italiana (2020: same).
The Company established a Collateralised ETP Securities Programme under which the Company issues, on an ongoing basis, collateralised
ETP Securities of different Classes linked to indices providing exposure to a range of asset classes including equities, commodities, fixed
income and currencies. The ETP Securities may have long or short, and leveraged or unleveraged, exposure to the daily performance of the
referenced index.
The Company is a public limited company, incorporated in Ireland on 30 July 2012, under registered number 515981 and has registered
address at 2nd floor, Block 5, Irish Life Centre, Abbey Street Lower, Dublin 1, Ireland. The Company has been established as an SPV for the
purpose of issuing exchange traded securities. The Company commenced trading on 5 December 2012.
WisdomTree Multi Asset Issuer Plc
Page 22
NOTES TO THE FINANCIAL STATEMENTS (continued)
For the financial year ended 31 December 2021
2 Basis of preparation (continued)
(b)
(c)
Basis of measurement
The financial statements have been prepared on the cost basis except for the following:
• Financial assets at fair value through profit or loss are measured at fair value; and
• Financial liabilities at fair value through profit or loss are measured at fair value.
(d)
Critical judgements in applying accounting policies on the valuation of financial instruments
•
Financial asset and financial liabilities at fair value through profit or loss are measured at fair value.
Key sources of estimation uncertainty
Use of estimates and judgements
The preparation of the financial statements requires management to make judgements, estimates and assumptions that may affect the
application of accounting policies and the reported amounts of assets, liabilities, income and expenses. The estimates and associated
assumptions are based on historical experience and various other factors that are believed to be reasonable under the circumstances, the
results of which form the basis of making the judgements about carrying values of assets and liabilities that are not readily apparent
from other sources. Actual results may differ from these estimates.
The estimates and underlying assumptions are reviewed on an ongoing basis. Revisions to accounting estimates are recognised in the
period in which the estimate is revised if the revision affects only that period, or in the period of the revision and future periods if the
revision affects both current and future periods. Details of material judgements and estimates have been further described in accounting
policy 3(h) “Financial instruments” and note 15 to the financial statements.
The following are the critical judgements, apart from those involving estimations, that the Directors have made in the process of
applying the Company’s accounting policies and that have the most significant effect on the amounts recognised in the financial
statements. Refer to note 3(h) to the financial statements.
Note 3(h) to the financial statements describes that the Directors have measured the financial assets and financial liabilities issued
at fair value through profit or loss. The Directors have considered the requirements of IFRS 9 Financial Instruments: Recognition
and Measurement. These financial assets have been classified as measured at FVTPL as they are managed and their performance is
evaluated on a fair value basis. The financial liabilities at FVTPL are designated at and measured at fair value as a result of the
accounting mismatch and net gains and losses are recognised in profit or loss.
Determining fair values of financial instruments
Functional and presentation currency
The Directors have elected to present the Company’s financial statements in Euro which is the Company’s functional currency.
Functional currency is the currency of the primary economic environment in which the entity operates. The Directors of the Company
believe that EUR most faithfully represents the economic effects of the underlying investing and financing activities of the Company.
The results and financial position of the Company are expressed in EUR which is the presentation and functional currency of the
Company. Transactions in currencies other than EUR are retranslated to the functional currency of the Company at the date of the
transaction. At each reporting date, monetary items and non-monetary assets and liabilities that are fair valued and are denominated in
foreign currencies are retranslated at the rate prevailing on the reporting date or date at which fair value was determined (which is
usually the reporting date) respectively. Gains and losses arising on retranslation are included in net profit or loss for the financial year.
The methods used to measure fair values are discussed further in note 3(h) and 15 to the financial statements.
The following are the key assumptions concerning the future, and other key sources of estimation uncertainty at the reporting date, that
have a significant risk of causing a material adjustment to the carrying amounts of assets and liabilities within the next financial year.
The determination of fair value for financial assets and liabilities for which there is no observable market price requires the use of
valuation techniques as described in accounting policy 3(h) “Financial Instruments”. For financial instruments that trade infrequently
and have little price transparency, fair value is less objective, and requires varying degrees of judgment depending on liquidity,
concentration, uncertainty of market factors, pricing assumptions and other risks affecting the specific instrument.
WisdomTree Multi Asset Issuer Plc
Page 23
NOTES TO THE FINANCIAL STATEMENTS (continued)
For the financial year ended 31 December 2021
2 Basis of preparation (continued)
(d)
(e)
New standards, amendments and interpretations
(i) Amendments to IFRS 9, IAS 39, IFRS 7, IFRS 4 and IFRS 16: Interest Rate Benchmark Reform - Phase 2
(iii) Standards not yet effective
Effective date*
1 January 2022
1 January 2022
1 January 2022
1 January 2022
1 January 2022
1 January 2022
1 January 2023
1 January 2023
1 January 2024
3 Significant accounting policies
(a) Realised gains/losses on financial liabilities at fair value through profit or loss
(b) Realised gains/losses on financial assets at fair value through profit or loss
The Directors have considered the new standards as detailed in the above table and does not plan to adopt this standard early. The
application of the above standard will be considered in detail in advance of a confirmed effective date by the Company.
The above standards will not have any impact on the disclosure of the financial statement.
Realised gains/losses are recognised on disposal of financial assets, when the disposal price is not equal to the cost amount of the asset.
Any gains and losses arising from changes in fair value of the financial assets at fair value through profit or loss are recorded in the
Statement of comprehensive income. Details of recognition and measurement of financial assets are disclosed in the accounting policy
of financial instruments (note 3(h)) to the financial statements.
Amendments to IFRS 3: Reference to Conceptual Framework
Amendments to IAS 16: Property, Plant and Equipment- Proceeds before intended use
IFRS 17-Insurance contracts
Amendments to IAS 37: Onerous Contracts- Cost of Fulfilling a contract
IFRS 9 Financial Instruments: Fees in the '10 per cent' test for derecognition of financial liabilities
IAS 41 Agriculture: Taxation in fair value measurement
Description
Fair values of ETP Securities are calculated on a daily basis using predetermined formula, where prices of underlying indices and swap
costs are used as inputs to the formula. These prices are compared to prior day prices and any variation results in either an unrealised
gain or loss.
IFRS 1: First-time Adoption of International Financial Reporting Standards - Subsidiary as a first-time adopter
The adoption of the above standard has not had any material impact on the disclosures or on the amounts reported in these
financial statements.
Realised gains/losses are recognised on redemption of the financial liabilities when the redemption price is not equal to the cost amount
of the financial liabilities. Any gains and losses arising from changes in fair value of the financial liabilities at fair value through profit
or loss are recorded in the Statement of comprehensive income. Details of recognition and measurement of financial liabilities are
disclosed in the accounting policy of financial instruments (note 3(h)) to the financial statements.
Amendments to IAS 1: Classification of Liabilities as Current or Non-current
*Where new requirements are endorsed, the EU effective date is disclosed. For un-endorsed standards and interpretations, the
IASB’s effective date is noted. The Company will adopt the above standards on the indicated effective date.
Use of estimates and judgements - continued
Determining fair values of financial instruments - continued
Fair value of TRSs are valued at fair value utilising predefined formulae and market prices consistent with the ETP valuation
process.Where possible the Company independently calculates the fair value and verifies the Swap Providers valuation with any
variation investigated.
The Company has adopted the interest rate benchmark reform amendments for the financial year 2021. The amendments in Interest
Rate Benchmark Reform (Amendments to IFRS 9, IAS 39, IFRS 7, IFRS 4 and IFRS 16) clarify that entities would continue to
apply certain hedge accounting requirements assuming that the interest rate benchmark on which the hedged cash flows and cash
flows from the hedging instrument are based will not be altered as a result of interest rate benchmark reform.
Deferred Tax related to Assets and Liabilities arising from a Single Transaction – Amendments to IAS 12
WisdomTree Multi Asset Issuer Plc
Page 24
NOTES TO THE FINANCIAL STATEMENTS (continued)
For the financial year ended 31 December 2021
3 Significant accounting policies (continued)
(c) Unrealised appreciation/(depreciation) on financial liabilities at fair value through profit or loss
(d) Unrealised appreciation/(depreciation) on financial assets at fair value through profit or loss
(e) Revenue and operating expenses
(f)
The Company is entitled to receive a management fee from the Swap Provider calculated by reference to a management fee rate under
the specified terms of each relevant TRS and is calculated by the Manager by charging the applicable fee rate on the daily market value
of each security.
The Company pays a management fee to the Manager calculated based on the amount of fees received from the Swap Provider. The
management fees are accrued on a daily basis and are recorded in the Statement of comprehensive income.
Taxation
A deferred tax asset is recognised only to the extent that it is probable that future taxable profits will be available against which the asset
can be utilised. Deferred tax assets are reviewed at each reporting date and are reduced to the extent that it is no longer probable that
related tax benefit will be realised.
Withholding tax is a generic term used for the amount of withholding tax deducted at source of the income and is not significant for the
Company. When applicable, the Company will present the withholding tax separately from the gross investment income in the
Statement of comprehensive income. For the purpose of the Statement of cash flows, cash inflows from investments are presented net of
withholding taxes, when applicable.
Uncertainties exist with respect to the interpretation of complex tax regulations on foreign withholding tax. Given the wide range of
international investments, differences arising between the actual investment income and the assumptions made, or future changes to
such assumptions, could necessitate future adjustments to tax expense already recorded. The Company establishes provisions, based on
reasonable estimates, for possible consequences of audits by the tax authorities of the respective countries in which it invests. The
amount of such provisions is based on various factors, such as experience of previous tax audits and differing interpretations of tax
regulations by the taxable entity and the responsible tax authority. Such differences of interpretation may arise on a wide variety of
issues depending on the conditions prevailing in the respective investment’s domicile.
Provision is made at the tax rates which are expected to apply in the periods in which the temporary differences reverse. Deferred tax
assets are recognised only to the extent that it is considered more likely than not that they will be recovered.
Corporation tax is provided on taxable profits at current rates applicable to the Company’s activities in accordance with Section 110 of
the Taxes Consolidation Act 1997 ("TCA"). Deferred taxation is accounted for, without discounting, in respect of all temporary
differences between the treatment of certain items for taxation and accounting purposes which have arisen but not reversed by the
Statement of financial position date.
Unrealised appreciation/(depreciation) on financial liabilities at fair value through profit or loss relates to issuances of ETP Securities
and includes unrealised fair value changes. All unrealised appreciation/(depreciation) on financial liabilities are attributable to market
risk arising from price, commodity and interest rate risk. Any gains and losses arising from changes in fair value of the financial
liabilities at fair value through profit or loss are recorded in the Statement of comprehensive income. Details of recognition and
measurement of financial liabilities are disclosed in the accounting policy of financial instruments (note 3(h)) to the financial
statements.
Unrealised appreciation/(depreciation) on financial assets at fair value through profit or loss relates to investments in TRSs and includes
unrealised fair value changes. All unrealised (depreciation)/appreciation on financial assets are attributable to market risk arising from
price, commodity, currency and interest rate risk. Any gains and losses arising from changes in fair value of the financial assets at fair
value through profit or loss are recorded in the Statement of comprehensive income. Details of recognition and measurement of
financial assets are disclosed in the accounting policy of financial instruments (note 3(h)) to the financial statements.
WisdomTree Multi Asset Issuer Plc
Page 25
NOTES TO THE FINANCIAL STATEMENTS (continued)
For the financial year ended 31 December 2021
3 Significant accounting policies (continued)
(g)
(h)
Financial assets
(a)
(b)
(c)
Financial liabilities
Recognition
Cash and cash equivalents
Cash and cash equivalents includes cash held at banks, which are subject to insignificant risk of changes in their value, and are used by
the Company in the management of its short term commitments. Cash and cash equivalents comprise of cash balances with Allied Irish
Banks plc.
There are no restrictions on cash and cash equivalents. Cash and cash equivalents are carried at amortised cost in the Statement of
financial position.
Financial instruments
Classification
The Company classifies its financial assets and financial liabilities as financial assets and liabilities at fair value through profit or loss at
initial recognition in accordance with IFRS 9: Financial Instruments. The category of financial assets and liabilities at fair value through
the profit or loss is sub-divided as follows.
Financial assets are measured at fair value through profit or loss if:
its contractual terms do not give rise to cash flows on specified dates that are solely payments of principal and interest (SPPI) on
the principal amount outstanding;
it is not held within a business model whose objective is either to collect contractual cash flows, or to both collect contractual cash
flows and sell; or
at initial recognition, it is irrevocably designated as measured at fair value through profit or loss when doing so eliminates or
significantly reduces a measurement or recognition inconsistency that would otherwise arise measuring assets or recognising the
gains and losses on them on different bases.
Financial assets and financial liabilities (other than those measured at fair value though profit or loss) are measured initially at their fair
value net of any directly attributable incremental costs of acquisition or issue. For financial assets and liabilities where the fair value at
initial recognition does not equal the transaction price, the Company recognises the difference in the Statement of comprehensive
income, unless specified otherwise.
Subsequent measurement
After initial measurement, the Company measures financial instruments at fair value through profit or loss at fair value. Subsequent
changes in the fair value of those financial instruments are recorded in unrealised appreciation / (depreciation) on financial assets and
financial liabilities at fair value through profit or loss.
Financial liabilities are measured at fair value through profit or loss. When doing so, it eliminates or significantly reduces a
measurement or recognition inconsistency that would otherwise arise measuring liabilities or recognising the gains and losses on them
on different bases.
The Company has classified its investments in the TRSs and the ETP Securities issued as financial assets and financial liabilities at fair
value through profit or loss respectively. All other financial assets and liabilities are classified under amortised cost.
The Company initially recognises all financial assets and liabilities on the trade date at which the Company becomes a party to the
contractual provisions of the instruments.
Purchases or sales of financial assets that require delivery of assets within the time frame generally established by regulation or
convention in the market place (regular way trades) are recognised on the trade date, i.e., the date that the Company commits to
purchase or sell the asset.
Initial measurement
Financial assets and financial liabilities at fair value through profit or loss are recorded in the Statement of financial position at fair
value. All transaction costs for such instruments are recognised directly in profit or loss.
WisdomTree Multi Asset Issuer Plc
Page 26
NOTES TO THE FINANCIAL STATEMENTS (continued)
For the financial year ended 31 December 2021
3 Significant accounting policies (continued)
(h)
(i)
Other receivables
(j)
Other payables
Other payables are accounted at amortised cost.
(k)
TRSs are valued at fair value utilising predefined formulae and market prices consistent with the ETP valuation process. In the absence
of readily available market prices the Swap Provider will provide the inputs for the valuation. Where possible the Company
independently calculates the fair value and verifies the Swap Providers valuation with any variation investigated. The valuation
determined by the swap counterparty may be based on assumptions of market conditions at the time of valuation, similar arms’ length
market transactions if available, reference to the current fair value of similar instruments and a variety of different valuation techniques
such as the discounted cash flow techniques, option pricing models or any other valuation technique that provides a reliable estimate of
prices obtained in actual market transactions. All TRSs are carried as assets when fair value is positive and as liabilities when fair value
is negative.
Derecognition
A financial asset is derecognised where the rights to receive cash flows from the asset have expired or the Company has transferred its
rights to receive cash flows from the asset or has assumed an obligation to pay the received cash flows in full without material delay to a
third party under a pass-through arrangement and either the Company has neither transferred nor retained substantially all the risks and
rewards of the asset, but has transferred control of the asset.
When the Company has transferred its right to receive cash flows from an asset (or has entered into a pass-through arrangement), and
has neither transferred nor retained substantially all of the risks and rewards of the asset nor transferred control of the asset, the asset is
recognised to the extent of the Company’s continuing involvement in the asset. In that case, the Company also recognises an associated
liability. The transferred asset and the associated liability are measured on a basis that reflects the rights and obligations that the
Company has retained.
The Company derecognises a financial liability when the obligation under the liability is discharged, cancelled or expired. The
Company does not have any pass-through arrangements.
Gains and losses on de-recognition of financial instruments are recorded in realised gains/(losses) on financial assets and financial
liabilities at fair value through profit or loss.
Expected credit losses
The company applies an approach similar to IFRS 9’s simplified approach to measuring expected credit losses which uses a lifetime
expected loss allowance for all trade receivables. To measure the expected credit losses, trade receivables have been grouped based on
shared credit risk characteristics and the days past due. The historical loss rates are adjusted to reflect current and forward-looking
information on macroeconomic factors affecting the ability of the customers to settle the receivables.
Offsetting
Financial assets and liabilities are offset and the net amount presented in the Statement of financial position when, and only when, the
Company has a legal right to set off the amounts and intends either to settle on a net basis or to realise the asset and settle the liability
simultaneously. Income and expenses are presented on a net basis only when permitted by the accounting standards, or for gains and
losses arising from a group of similar transaction.
Other receivables do not carry any interest and are short-term in nature and have been reviewed for any evidence of expected credit
losses. Other receivables are accounted at amortised cost.
Share capital
Share capital is issued in Euro (''EUR''). Dividends are recognised as a liability in the financial year in which they are approved. The
issued and called-up share capital is presented under equity in the Statement of financial position.
Financial instruments (continued)
Subsequent measurement (continued)
The price per ETP is calculated daily to reflect the daily change in the relevant Index of the ETP, and will take into account all
applicable fees and adjustments. On the issue date of the class, the price per ETP will be equal to its Issue Price. On any Valuation Date
thereafter, the price per ETP is calculated according to a formula which reflects the price per ETP on the immediately preceding
valuation date, and adjusted as described in note 15(f) to the financial statements.
WisdomTree Multi Asset Issuer Plc
Page 27
NOTES TO THE FINANCIAL STATEMENTS (continued)
For the financial year ended 31 December 2021
3 Significant accounting policies (continued)
(l) Segmental reporting
The following is a geographical analysis of the revenue by the country of the counterparty:
31-Dec-21 31-Dec-20
EUR EUR
France (BNP Paribas Arbitrage S.N.C.) 7,619,035 4,978,573
Jersey (WisdomTree Multi Asset Management Limited) 5,121 2,914
7,624,156 4,981,487
4 Revenue
31-Dec-21 31-Dec-20
EUR EUR
Management fee income 7,619,035 4,978,573
Other income 5,121 2,914
7,624,156 4,981,487
5 Operating expenses
31-Dec-21 31-Dec-20
EUR EUR
Management fee expense 7,619,035 4,978,573
Other expenses 4,121 1,914
7,623,156 4,980,487
The Company had no employees during the financial year (2020: None).
General operational expenses such as IPA fees, determination agent fees, registrar fees, trustee fees, London Stock Exchange (LSE) and
Regulatory News Service (RNS) fees, audit fees, tax fees and legal fees are borne by WisdomTree Multi Asset Management Limited on behalf
of the Company.
The Company pays a management fee under the terms of a management agreement entered into between the Manager and the Company,
calculated based on the management fees received from the Swap Provider (current annual management fee rates outlined in note 10) to the
financial statements plus any order form fees received by the Company.
Financial year
ended
The Company is entitled to receive a management fee under the terms of each TRS. The Swap Provider will pay the Company variable
amounts by way of payments under the terms of the relevant TRS, calculated by reference to the management fee rate as specified in note 10
and in the manner specified in note 3(e) to the financial statements.
Financial year
ended
The Company is engaged as one segment in the Programme under which the Company issues on an ongoing basis ETP Securities of
different classes linked to indices providing exposure to a range of asset classes including equities, commodities, fixed income, and
currencies.
The standard on segmental reporting puts emphasis on the “management approach” to reporting on operating segments. An operating
segment is a component of the Company that engages in business activities from which it may earn revenue and incur expenses. The
Directors are considered to be the chief operating decision makers of the Company.
Financial year
ended
Financial year
ended
Financial year
ended
The auditor’s remuneration (excluding VAT) for 2021 was EUR 34,967 (2020: EUR 28,520) for audit services and EUR 5,000 (2020: EUR
5,000) for taxation services. There are no fees relating to other assurance services and non-audit services in the current financial year or prior
financial year. There was no Directors’ remuneration during 2021 (2020: EUR Nil).
Financial year
ended
WisdomTree Multi Asset Issuer Plc
Page 28
NOTES TO THE FINANCIAL STATEMENTS (continued)
For the financial year ended 31 December 2021
6 Tax on profit on ordinary activities
Financial year
ended
Financial year
ended
31-Dec-21 31-Dec-20
EUR EUR
(a) Analysis of tax charge in the financial year
Current tax 250 250
Deferred tax - -
Total tax charge on profit for the financial year
250 250
(b) Reconciliation of effective tax rate
Operating profit before tax
1,000 1,000
Expected tax charge based on standard rate of 12.5% 125 125
(c) Effects of:
Higher tax rate applicable under Section 110 TCA, 1997 125 125
Adjustments for reconciliation to Old Irish GAAP as it stood at 31 December 2004 - -
Total tax charge on profit for the financial year 250 250
7 Financial assets at fair value through profit or loss
31-Dec-21 31-Dec-20
EUR EUR
Total return swaps 1,100,087,175 744,256,049
Movement in financial assets at fair value through profit or loss 31-Dec-21 31-Dec-20
EUR EUR
At beginning of the financial year 744,256,049 621,430,671
Additions during the financial year 1,619,452,528 1,887,850,350
Disposals during the financial year (1,383,286,106) (1,588,312,055)
Realised gain/ (losses) on financial assets at fair value through profit or loss 64,634,567 (130,901,940)
Unrealised appreciation/ (depreciation) on financial assets at fair value through profit or loss 5,118,798 (15,748,833)
Foreign exchange movements 49,911,339 (30,062,144)
At end of the financial year 1,100,087,175 744,256,049
Total return swaps
31-Dec-21 31-Dec-20
Collateral received on TRSs EUR EUR
Equities (market value) 516,547,045 460,123,672
Bonds (market value) 598,109,580 282,158,331
1,114,656,625 742,282,003
All unrealised appreciation/(depreciation) on financial assets are attributable to market risk arising from price, commodity, currency and
interest rate risk.
The Company is a qualifying company within the meaning of Section 110 of the TCA. As such, the profits are chargeable to corporation tax
under Case III of Schedule D at a rate of 25%, but are computed in accordance with the provisions applicable to Case 1 of Schedule D of the
TCA. Please refer to note 3(f) to the financial statements for further information. There were no deferred tax assets or liabilities at 31
December 2021 (2020: EUR Nil).
The Swap Provider transfers collateral to the Company in respect of its obligations under a relevant swap agreement. Collateral is in the form
of government bonds or listed equities. The Bank of New York Mellon, as collateral administrator determines the market value of the
collateral held on behalf of the Company.
The TRSs entered into as at 31 December 2021 and 31 December 2020 have a value equal but opposite in sign to the value of the ETP
Securities in issue as at 31 December 2021 and 31 December 2020.
The Company enters into a derivative contract with the Swap Provider, BNP Paribas Arbitrage S.N.C. each time ETP Securities are issued or
redeemed to eliminate its exposure to market risk, interest rate risk and currency risk within the Company.
WisdomTree Multi Asset Issuer Plc
Page 29
NOTES TO THE FINANCIAL STATEMENTS (continued)
For the financial year ended 31 December 2021
7 Financial assets at fair value through profit or loss (continued)
The collateral coverage over the market value of the ETP Securities as at 31 December 2021 was 101% (2020: 100%).
8 Other receivables
31-Dec-21 31-Dec-20
EUR EUR
Management fees receivable 1,490,370 1,160,909
Other receivables 7,800 5,191
1,498,170 1,166,100
9 Cash and cash equivalents
31-Dec-21 31-Dec-20
EUR EUR
Cash at bank 13,951 31,215
The cash at bank is held with Allied Irish Banks Plc.
10 Financial liabilities at fair value through profit or loss
31-Dec-21 31-Dec-20
EUR EUR
ETP Securities issued
1,100,087,175 744,256,049
Movement in financial liabilities at fair value through profit or loss 31-Dec-21 31-Dec-20
EUR EUR
At beginning of the financial year 744,256,049 621,430,671
Issued during the financial year 1,619,452,528 1,887,850,350
Redeemed during the financial year (1,383,286,106) (1,588,312,055)
Realised losses/ (gain) on financial liabilities at fair value through profit or loss 64,634,567 (130,901,940)
Unrealised depreciation/ (appreciation) on financial liabilities at fair value through profit or loss 5,118,798 (15,748,833)
Foreign exchange movements 49,911,339 (30,062,144)
At end of financial year 1,100,087,175 744,256,049
Collateral consists of equities and/or bonds satisfying certain criteria and subject to certain margin percentages and concentration limits.
Collateral amounts as agreed between the Company and the Swap Provider are held by The Bank of New York Mellon and identified as held
on behalf of the Company; the collateral cannot be re-used or repledged. All collateral as at 31 December 2021 and 31 December 2020
consists of listed equities and government bonds as agreed between the Swap Provider and the Company.
All ETP Securities in issue as at 31 December 2021 are listed on the main market of the London Stock Exchange, Frankfurt Stock Exchange
and/or on the Borsa Italiana (2020: Same).
The Company earns a management fee on each swap transaction from the Swap Provider. The swap management fee is calculated as defined
in each swap transaction supplement which is entered into between the Swap Provider and the Company.
The Company's obligations under the financial liabilities issued are secured by the TRSs as per note 7 to the financial statements. The
investors' recourse per Class is limited to the assets of that particular Class. The legal maturity of the ETP Securities is 30 November 2062.
ETP Securities cannot be issued without a matching TRSs being in place. The maturity profile of the TRSs is a minimum of two years with
one year rolling contracts thereafter. Should the swap counterparty wish to terminate there is a requirement for one year notice of termination
to be issued to the Company. This allows the Company the time to obtain a new Swap Provider. If no replacement Swap Provider can be
identified the Company would redeem all outstanding ETP Securities. ETP Securities can be issued and redeemed daily. Therefore, the Class
have an option for early redemption.
ETP Securities issued for a particular Class are measured at fair value through profit or loss.
All unrealised appreciation/(depreciation) on financial liabilities are attributable to market risk arising from price, commodity and interest rate
risk.
WisdomTree Multi Asset Issuer Plc
Page 30
NOTES TO THE FINANCIAL STATEMENTS (continued)
For the financial year ended 31 December 2021
10
Description
ISIN CCY
Outstanding Fair value Outstanding Fair value
Fee rate
Units Units
31-Dec-21 31-Dec-21 31-Dec-20 31-Dec-20
EUR EUR
0.75% IE00B878KX55 EUR 79,151 21,710,744 67,506
12,870,056
0.80% IE00B8GKPP93 EUR 15,841,324 15,819,702 8,328,324
15,379,094
0.75% IE00B7SD4R47 EUR 59,133 19,228,927 78,602
14,621,065
0.80% IE00B8JF9153 EUR 10,624,008 9,562,281 5,623,456
11,439,586
0.75% IE00B8NB3063 EUR 454,177 48,411,236 735,896
42,610,293
0.80% IE00B873CW36 EUR 27,732,813 25,781,671 13,387,813
30,861,811
0.30% IE00BKS8QN04 EUR 444,774 16,474,207 134,174
4,763,794
0.30% IE00BKT09255 EUR 8,797 1,459,012 5,797
1,050,072
0.60% IE00BKS8QM96 EUR 158,961 3,528,033 117,961
2,505,598
0.60% IE00BKT09149 EUR 3,626 679,681 9,626
2,022,203
0.89% IE00BLS09N40 EUR 13,113,710 78,413,169 17,221,513
45,651,136
0.99% IE00BYNXNS22 EUR 856,321 8,531,977 691,321
6,469,100
0.49% IE00BYNXPH56 EUR 156,040 3,736,692 111,040
2,483,322
WisdomTree FTSE MIB Banks 0.35% IE00BYMB4Q22 EUR 69,631 12,877,617 65,905
8,655,591
0.30% IE00BF4TW453 EUR 101,340 3,165,177 27,340
787,552
0.75% IE00B88D2999 GBP 146,314 34,439,152 207,356
29,691,889
0.80% IE00B7VB3908 GBP 1,759,837 9,694,072 934,399
8,962,235
0.49% IE00B94QKC83 GBP 7,404 1,475,764 12,804
1,775,458
0.55% IE00B94QKF15 GBP 53,380 1,316,413 53,380
1,823,787
0.49% IE00B94QKG22 GBP 22,484 1,341,083 22,484
1,520,896
0.60% IE00B94QKJ52 GBP 22,592 7,768,164 37,083
9,037,189
0.65% IE00BBGBF313 GBP 841,574 33,731,320 516,789
23,565,425
0.30% IE00BKT09479 GBP 5,278 1,035,088 1,178
256,297
0.30% IE00BKS8QQ35 GBP 325,090 13,995,353 194,390
6,940,871
Balance carried forward 374,176,535 285,744,320
WisdomTree EURO STOXX
50® 3x Daily Leveraged
Management
WisdomTree Gilts 10Y 3x
Daily Leveraged
WisdomTree BTP 10Y 5x
Daily Short
WisdomTree Bund 10Y 5x
Daily Short
WisdomTree BTP 10Y 3x
Daily Leveraged
WisdomTree DAX 30 3x Daily
Leveraged
WisdomTree FTSE 250 2x
Daily Leveraged
WisdomTree FTSE MIB 3x
Daily Leveraged
WisdomTree Bund 10Y 3x
Daily Short
WisdomTree Bund 30Y 3x
Daily Short
WisdomTree FTSE 100 3x
Daily Leveraged
WisdomTree FTSE 100 2x
Daily Leveraged
WisdomTree EURO STOXX
Banks 3x Daily Leveraged
Financial liabilities at fair value through profit or loss (continued)
WisdomTree FTSE 100 3x
Daily Short
WisdomTree FTSE 100 2x
Daily Short
WisdomTree FTSE 100 1x
Daily Short
WisdomTree FTSE 250 1x
Daily Short
The financial liabilities in issue at 31 December 2021 and 31 December 2020 are as follows:
WisdomTree DAX 30 3x Daily
Short
WisdomTree Bund 10Y 3x
Daily Leveraged
WisdomTree Gilts 10Y 3x
Daily Short
WisdomTree EURO STOXX
50® 3x Daily Short
WisdomTree FTSE MIB 3x
Daily Short
WisdomTree BTP 10Y 3x
Daily Short
Page 31
NOTES TO THE FINANCIAL STATEMENTS (continued)
For the financial year ended 31 December 2021
10
The financial liabilities in issue at 31 December 2021 and 31 December 2020 are as follows (continued):
Description
ISIN CCY
Outstanding Fair value Outstanding Fair value
Fee rate
Units Units
31-Dec-21 31-Dec-21 31-Dec-20 31-Dec-20
EUR EUR
Balance brought forward
374,176,535
285,744,320
0.25% IE00BF4TW560 GBP 10,301 1,106,413 4,801
465,116
0.75% IE00B7Y34M31 USD 43,154 72,945,178 36,567
29,120,313
0.80% IE00B8K7KM88 USD 89,055,417 26,386,950 40,493,417
26,995,186
0.99% IE00B8HGT870 USD 1,181,311 37,531,881 1,057,739
39,123,296
0.99% IE00B6X4BP29 USD 218,937 5,123,732 296,837
6,618,471
0.99% IE00B8JVMZ80 USD 523,027 14,678,144 256,454
4,046,294
0.99% IE00B8KD3F05 USD 811,731 5,308,226 132,731
2,476,712
0.99% IE00B76BRD76 USD 48,711,662 39,401,094 338,239
3,190,567
0.99% IE00B7XD2195 USD 42,826,126 71,767,462 17,208,626
55,070,737
0.99% IE00B8JG1787 USD 1,092,198 4,706,313 996,398
4,872,483
0.95% IE00B94QLR02 USD 132,114 1,503,749 233,114
2,259,801
0.95% IE00B94QLN63 USD 64,238 15,417,155 20,835
9,351,725
0.30% IE00BKT09032 USD 28,500 3,246,848 20,000
2,370,639
0.25% IE00BVFZGC04 USD 909,479 14,565,662 1,586,479
14,729,021
0.25% IE00BVFZGD11 USD 355,072 8,375,746 481,072
6,446,850
0.50% IE00BYNXPJ70 USD 124,354 5,138,278 26,354
899,675
0.99% IE00BYTYHN28 USD 109,727 15,074,178 82,977
13,231,229
0.99% IE00BYTYHM11 USD 591,268 2,479,974 99,268
440,721
0.30% IE00BF4TW784 USD 208,300 6,467,445 31,300
870,921
0.30% IE00BKS8QT65 USD 99,611 5,253,022 33,111
1,505,935
0.40% IE00BF4TWC33 USD 2,622,803 81,077,157 3,193,503
71,816,837
WisdomTree Energy Enhanced 0.40% IE00BF4TWF63 USD 15,061 369,633 29,161
442,884
0.75% IE00BLRPRL42 USD 826,962 176,024,083 744,460
80,346,724
0.80% IE00BLRPRJ20 USD 1,394,900 33,384,594 370,341
21,133,609
0.99% IE00BLRPRG98 USD 247,799 15,058,361 459,287
25,073,221
0.99% IE00BLRPRK35 USD 734,129 8,140,789 70,079
5,913,792
Balance carried forward 1,044,708,602 714,557,079
WisdomTree S&P 500 3x Daily
Short
WisdomTree Brent Crude Oil
3x Daily Short
WisdomTree US Treasuries
10Y 3x Daily Short
WisdomTree Natural Gas 3x
Daily Leveraged
WisdomTree Emerging
Markets 3x Daily Short
WisdomTree Industrial Metals
Enhanced
WisdomTree NASDAQ 100 3x
Daily Leveraged
WisdomTree Brent Crude Oil
Pre-roll
WisdomTree Palladium 2x
Daily Leveraged
Financial liabilities at fair value through profit or loss (continued)
WisdomTree Copper 3x Daily
Short
WisdomTree S&P 500 3x Daily
Leveraged
WisdomTree US Treasuries
30Y 3x Daily Short
WisdomTree Gold 3x Daily
Leveraged
WisdomTree Gold 3x Daily
Short
WisdomTree US Treasuries
10Y 3x Daily Leveraged
WisdomTree Multi Asset Issuer Plc
WisdomTree NASDAQ 100 3x
Daily Short
WisdomTree Emerging
Markets 3x Daily Leveraged
WisdomTree Gilts 10Y 1x
Daily Short
WisdomTree US Treasuries
10Y 5x Daily Short
WisdomTree WTI Crude Oil
Pre-roll
WisdomTree Palladium 1x
Daily Short
WisdomTree Silver 3x Daily
Leveraged
WisdomTree Copper 3x Daily
Leveraged
WisdomTree Natural Gas 3x
Daily Short
WisdomTree Silver 3x Daily
Short
Management
Page 32
NOTES TO THE FINANCIAL STATEMENTS (continued)
For the financial year ended 31 December 2021
10
The financial liabilities in issue at 31 December 2021 and 31 December 2020 are as follows (continued):
Description
ISIN CCY
Outstanding Fair value Outstanding Fair value
Fee rate
Units Units
31-Dec-21 31-Dec-21 31-Dec-20 31-Dec-20
EUR EUR
Balance brought forward
1,044,708,602
714,557,079
0.99% IE00BLRPRH06 USD 9,220,072 18,197,056 220,172
16,803,916
0.99% IE00BMTM6D55 USD 16,160 6,816,866 11,300
1,428,909
0.99% IE00BMTM6B32 USD 38,020 15,180,178 24,050
2,936,499
0.99% IE00BMTM6C49 USD 2,193,987 12,836,475 16,000
820,094
0.40% XS2284324667 EUR 73,514 2,347,998 -
-
0.89% IE00BLS09P63 EUR - - 981,960
7,709,552
1,100,087,175
744,256,049
All ETP Securities in issue have a maturity date on 30 November 2062.
There has been no change in the management fee rates since last financial year.
*These ETP Securities were newly launched during the financial year ended 31 December 2021.
**These ETP Securities were fully redeemed during the financial year ended 31 December 2021.
11 Other payables
31-Dec-21 31-Dec-20
EUR EUR
Management fees payable 1,495,183
1,181,127
Other payables 200
200
1,495,383
1,181,327
WisdomTree S&P 500 VIX
Short-Term Futures 2.25x Daily
Leveraged
WisdomTree Brent Crude Oil
3x Daily Leveraged
The net proceeds of issuance of ETP Securities are paid by the Company to the Swap Provider through the TRSs in order to hedge its
obligations in connection with the ETP Securities, provided that prior to payment the Swap Provider has delivered eligible collateral to the
collateral administrator on behalf of the Company. Any increase in the Company's exposure to the Swap Provider resulting from the entry
into, or increase in the size of, a swap transaction must be collateralised by delivering eligible collateral meeting the relevant requirements.
WisdomTree Multi Asset Issuer Plc
Financial liabilities at fair value through profit or loss (continued)
WisdomTree WTI Crude Oil 3x
Daily Short
WisdomTree Energy Enhanced -
EUR Daily Hedged*
WisdomTree EURO STOXX
Banks 3x Daily Short**
Management
WisdomTree WTI Crude Oil 3x
Daily Leveraged
Page 33
NOTES TO THE FINANCIAL STATEMENTS (continued)
For the financial year ended 31 December 2021
12
31-Dec-21 31-Dec-20
Authorised:
EUR EUR
100,000 ordinary shares of EUR1 each 100,000
100,000
Issued:
EUR EUR
40,000 ordinary shares of EUR1 each (paid up to EUR 0.25 each) 10,000
10,000
Presented as follows:
EUR EUR
Called up share capital presented as equity 10,000
10,000
13
14
Transactions with Administrator and Directors
Apex IFS Limited (the ''Administrator'') provides services such as accounting and reporting, company secretarial, issuing and paying agent
and other administration services to the Company. In respect of the aforementioned services, WisdomTree Multi Asset Management Limited
paid fees amounting to EUR 117,167 (2020: EUR 120,695) to Apex IFS Limited during the financial year ended 31 December 2021. As at 31
December 2021, EUR 86,608 (2020: EUR 43,260) was payable by WisdomTree Multi Asset Management Limited to Apex IFS Limited.
Ownership of the Company
Related party transactions including transactions with Administrator and Manager
The holders of ordinary shares are entitled to receive dividends as declared from time to time and are entitled to one vote per share at
meetings. No dividends were paid during the financial year or proposed by the Directors at the reporting date (2020: EUR Nil).
Two of the Directors are employees of Apex IFS Limited, which is the Administrator of the Company. The terms of the corporate services
agreement provide for a single fee for the provision of corporate services (including making available of individuals to act as Directors of the
Company). As a result, the allocation of fees between the different services provided is a subjective and approximate calculation. The
individuals acting as Directors do not (and will not), in their personal capacity or any other capacity, receive any fee for acting or having acted
as Directors of the Company.
Directors of the Company, who are also employees of the WisdomTree Group, do not receive any additional remuneration for their role as
Director of the Company (2020: EUR Nil).
The issued shares were held by Apex Financial Services (Nominees) Limited holding 39,994 shares. Apex Financial Services (Nominees 2)
Limited, Apex Financial Services (Nominees 3) Limited, Apex Financial Services (Trustees) Limited, Forbrit Corporate Director 3 Limited,
Forbrit Corporate Director 4 Limited and Apex Financial Services (Foundations) Limited, each holding 1 share in the Company. All shares
are held in trust for charity under the terms of Declaration of Trust. There is no parent or controlling party in the orphan structure.
Transactions with Manager
Called up share capital presented as equity
WisdomTree Multi Asset Issuer Plc
WisdomTree Multi Asset Management Limited, as Manager, provides management services to the Company which includes paying operating
costs of the Company such as audit fees and corporate service fees. The Company was supplied services amounting to EUR 7,619,035 (2020:
EUR 4,978,573) from the Manager during the financial year ended 31 December 2021. As at 31 December 2021, EUR 1,495,183 (2020:
1,181,127) was payable by the Company to the Manager. The Company earns a corporate benefit fee of EUR 1,000 for the financial year
ended 31 December 2021 (2020: EUR 1,000) from the Manager and an amount of EUR 6,800 (2020: EUR 4,441) was receivable as at 31
December 2021.
Lisa Hand and Stuart Gallagher are directors of the Company and also employees of APEX.
The Corporate Service Provider, APEX, provides corporate administration services to the Company at arm’s length commercial rates. The
Company has agreed an annual fee of EUR 160,514 per annum. The terms of the agreement with APEX will provide for a single fee for the
provision of services (including the making available of individuals to act as directors of the Company). As a result, the allocation of fees
between the different services to be provided is a subjective and approximate calculation. The Company will allocate an amount of 1% of the
total annual fees to be paid to APEX for the provision of the services of directors. The individuals acting as directors will not in their personal
capacity or any other capacity, receive any fee for acting or having acted as directors of the Company.
The Share Trustees have appointed a Board to run the day to day activities of the Company.
Page 34
NOTES TO THE FINANCIAL STATEMENTS (continued)
For the financial year ended 31 December 2021
15
(a) Market risk;
(b) Credit risk;
(c) Liquidity risk; and
(d) Operational risk.
(a) Market risk
(i) Interest rate risk
Sensitivity analysis
(ii) Currency risk
The risk profile of the Company is such that market, credit, liquidity and other risks of the investment securities are borne fully by the holders
of ETP Securities issued.
Currency risk is the risk that the fair value or future cash flows of a financial instrument will fluctuate because of changes in
foreign exchange rates. As the Company has entered into TRSs to match the ETP Securities in issue there is deemed to be no net
currency risk to the Company.
This note presents information about the Company's exposure to each of the above risks, the Company's objectives, policies and processes for
measuring and managing these risks.
Any changes in the values of the TRSs held by the Company would not have any effect on the equity or profit or loss of the
Company as any fair value fluctuations are ultimately borne by either the swap counterparties or the holders of the ETP Securities
issued by the Company.
As the Company has entered into TRSs to match the ETP Securities in issue there is deemed to be no net interest rate risk to the
Company.
The Company's liabilities in respect of the ETP Securities issued is referenced to various equity and commodity indices and is managed
by the Company by entering into a TRS with Swap Provider(s) which exactly match the liability created by the issue of ETP Securities.
Any movement in the value of the ETP Securities issued will be offset by an equal movement in the matching TRSs. If the price of an
underlying index has gone up/down 5%, the prices of the ETPs and TRSs tracking that index will go up/down depending on the
“Product Leverage Factor” (as defined in the base prospectus), in accordance with the formula for the price of the ETP in the base
prospectus. For example, if the Product Leverage Factor is +3 then if the price of the underlying index has gone up/down by 5% over a
period of one day, then both the ETP’s price and the price of the matching TRS will go up/down respectively by 15% on that day
(neglecting fees and funding and borrowing adjustments as detailed in the base prospectus). Therefore the Company’s sensitivity to
market movements is fully hedged.
A change of 25 basis points in interest rates (neglecting the effect of daily fees) at the reporting date would have increased or
(decreased) the fair value of financial liabilities by EUR 583/EUR (583) (2020: EUR 421/EUR (421)). A change of 25 basis points
in interest rates at the reporting date would have increased (or decreased) the fair value of financial assets by EUR 583/EUR (583)
(2020: EUR 421/EUR (421)).
Risk management framework
The Company, and ultimately the holders of the ETP Securities, have exposure to the following risks from its use of financial instruments:
WisdomTree Multi Asset Issuer Plc
Financial risk management
The Company’s risk management policies are established to identify and analyse the risks faced by the Company, to set appropriate risk limits
and controls, and to monitor risks and adherence to limits. Risk management policies and systems are reviewed regularly to reflect changes in
market conditions and the Company’s activities.
The Company holds a current account and three currency accounts at Allied Irish Banks Plc in Ireland. Due to the level of cash
held in the account the Directors do not believe that any move in interest rates would affect the operations of the Company. The
Company does not have any interest bearing financial assets or financial liabilities.
WisdomTree Multi Asset Issuer Plc
Page 35
NOTES TO THE FINANCIAL STATEMENTS (continued)
For the financial year ended 31 December 2021
15
(a) Market risk (continued)
(ii) Currency risk (continued)
2021 2020
EUR EUR
USD : EUR
0.8794 0.8173
GBP : EUR
1.1910 1.1172
JPY : EUR
0.0077 0.0079
Sensitivity analysis
(iii) Price risk
Sensitivity analysis
(b) Credit risk
Financial risk management (continued)
The following significant exchange rates applied during the financial year:
Closing rate
Any changes in the values of the TRSs held by the Company would not have any effect on the equity or profit or loss of the
Company as any fair value fluctuations are ultimately borne by either the swap counterparties or the holders of the ETP Securities
issued by the Company.
A change of 100 basis points in exchange rates (neglecting the effect of daily fees) at the reporting date would have increased or
(decreased) the fair value of financial liabilities by EUR 8,283,591/EUR (8,283,591) (2020: EUR 5,343,762/EUR (5,343,762)). A
change of 100 basis points in exchange rates at the reporting date would have increased (or decreased) the fair value of financial
assets by EUR 8,283,591/EUR (8,283,591) (2020: EUR 5,343,762/EUR (5,343,762)).
The impact of any change in the exchange rates on the financial assets is offset by the foreign exchange rate changes on the
financial liabilities. Therefore, any change in the exchange rates would have no net effect on the equity or the profit or loss of the
Company.
Price risk is the risk that the value of financial instruments will fluctuate as a result of changes in market prices, whether caused by
factors specific to an individual investment, its Company or all factors affecting all instruments traded in the market. The
Company does not consider price risk to be a significant risk to the Company as any fluctuation in the value of financial assets at
fair value through profit or loss held by the Company will be offset by movements in the fair value of the issued ETP Securities.
Any changes in the values of the TRSs held by the Company would not have any effect on the equity or profit or loss of the
Company as any fair value fluctuations are ultimately borne by either the swap counterparties or the holders of the ETP Securities
issued by the Company.
A change of 100 basis points in the underlying index of ETP Securities in issue (neglecting the effect of daily fees) at the reporting
date would have increased or (decreased) the fair value of financial liabilities by EUR 9,295,651/EUR (9,295,651) (2020: EUR
7,866,989/EUR (7,866,989)). A change of 100 basis points in the underlying index of TRSs entered into at the reporting date
would have increased (or decreased) the fair value of financial assets by EUR 9,295,651/EUR (9,295,651) (2020: EUR
7,866,989/EUR (7,866,989)).
Credit/Counterparty risk refers to the risk that each counterparty to a Swap Agreement will default on its contractual obligations as
Swap Provider resulting in the Company being unable to make payment of amounts due to the ETP holders. Accordingly, the Company
and the ETP Securities holders are exposed to the creditworthiness of each relevant Swap Provider.
In order to mitigate this risk the Swap Provider will collateralise its obligations to the Company with eligible collateral being delivered
with respect to the Company’s net exposure to the Swap Provider in respect of all swap transactions entered into. Collateral is
monitored on a daily basis with the aggregate euro market value of eligible collateral required to be transferred to the Company by the
relevant Swap Provider in respect of any London Business Day calculated based on the Company’s net exposure to the Swap Provider
in respect of each swap transaction entered into with that Swap Provider daily (converted, if applicable, into euros at the prevailing
currency exchange rate). Custody risk on the collateral is managed by The Bank of New York Mellon who monitor the credit ratings of
the collateral daily and ensure the collateral is not re-used or repledged.
WisdomTree Multi Asset Issuer Plc
Page 36
NOTES TO THE FINANCIAL STATEMENTS (continued)
For the financial year ended 31 December 2021
15
(b) Credit risk (continued)
EUR EUR
31-Dec-21 31-Dec-20
Financial assets at fair value through profit or loss 1,100,087,175 744,256,049
Other receivables 1,498,170 1,166,100
Cash and cash equivalents 13,951 31,215
1,101,599,296 745,453,364
Concentration risk
EUR EUR
31-Dec-21 31-Dec-20
TRSs - BNP Arbitrage S.N.C 1,100,087,175 744,256,049
(group credit rating as at date of signing of financial statements S&P: A+ (2020: A+))
EUR EUR
31-Dec-21 31-Dec-20
Collateral - The Bank of New York Mellon 1,114,656,625 742,282,003
(group credit rating as at date of signing of financial statements S&P: AA- (2020: AA-))
EUR EUR
31-Dec-21 31-Dec-20
Cash at bank - Allied Irish Banks Plc 13,951 31,215
(group credit rating as at date of signing of financial statements S&P: A- (2020: BBB-))
(c) Liquidity risk
The following are the contractual maturities of financial assets and financial liabilities:
Less than one
year
One to five years
More than five
years
EUR EUR EUR
Financial assets through profit or loss
1,100,087,175 1,100,087,175 - -
Management fees receivable
1,490,370 1,490,370 - -
Other receivables
7,800 7,800 - -
Cash and cash equivalents
13,951 13,951 - -
1,101,599,296 1,101,599,296 - -
Financial liabilities through profit or loss
(1,100,087,175) (1,100,087,175) - -
Management fees payable
(1,495,183) (1,495,183) - -
Other payables
(200) (200) - -
(1,101,582,558) (1,101,582,558) - -
Financial risk management (continued)
The Company's maximum exposure to credit risk in the event that counterparties fail to perform their obligations as at 31 December
2021 and 31 December 2020 in relation to each class of recognised financial assets is set out below:
At the reporting date, the Company's financial assets at fair value through profit or loss were concentrated in the following asset types:
The Directors feel that there is minimal risk to the Company by holding the Company cash with the one bank, as the Company has
minimal cash held in the bank account at any given time.
Liquidity risk is the risk that the Company may be unable to fulfil its obligations (by delivery of cash) whether expected or unexpected.
The legal maturity of the ETP Securities is 30 November 2062. ETP Securities cannot be issued without a matching TRSs being in
place. The maturity profile of the TRSs is a minimum of two years with one year rolling contracts thereafter. Should the swap
counterparty wish to terminate there is a requirement for one year notice of termination to be issued to the Company. This allows the
Company the time to obtain a new Swap Provider. If no replacement Swap Provider can be identified the Company would redeem all
outstanding ETP Securities. ETP Securities can be issued and redeemed daily, therefore this is the earliest maturity date for the purpose
of the below maturity analysis.
31-Dec-21 Carrying amount
EUR
WisdomTree Multi Asset Issuer Plc
Page 37
NOTES TO THE FINANCIAL STATEMENTS (continued)
For the financial year ended 31 December 2021
15
(c) Liquidity risk (continued)
The following are the contractual maturities of financial assets and financial liabilities (continued):
Less than one
year
One to five years
More than five
years
EUR EUR EUR
Financial assets through profit or loss
744,256,049 744,256,049 - -
Cash and cash equivalents
1,160,909 1,160,909 - -
Management fees receivable
5,191 5,191 - -
Other receivables
31,215 31,215 - -
745,453,364 745,453,364 - -
Financial liabilities through profit or loss
(744,256,049) (744,256,049) - -
Management fees payable (1,181,127)
(1,181,127) - -
Other payables (200)
(200) - -
(745,437,376) (745,437,376) - -
(d) Operational risk
(e) Offsetting Financial Assets and Financial Liabilities
Financial risk management (continued)
31-Dec-20 Carrying amount
The Company is required to disclose the impact of offsetting assets and liabilities represented in the statement of financial position to
enable users of the financial statements to evaluate the effect or potential effect of netting arrangements on its financial position for
recognised assets and liabilities. These recognised assets and liabilities are financial instruments and derivative instruments that are
either subject to an enforceable master netting arrangement or similar agreement or meet the following right of set off criteria: the
amounts owed by the Company to another party are determinable, the Company has the right to set off the amounts owed with the
amounts owed by the other party, the Company intends to set off, and the Company’s right of set off is enforceable at law.
EUR
Operational risk is the risk of direct or indirect loss arising from a wide variety of causes associated with the Company’s processes,
personnel and infrastructure, and from external factors other than credit, markets and liquidity issues such as those arising from legal
and regulatory requirements and generally accepted standards to corporate behaviour.
Operational risks arise from all of the Company’s operations. The Company was incorporated with the purpose of engaging in those
activities outlined in the preceding paragraphs. Certain management and administration functions are outsourced to Apex IFS Limited
and WisdomTree Multi Asset Management Limited.
The Company is also exposed to operational risks such as custody risk. Custody risk is the risk of loss of collateral held in custody
occasioned by the insolvency or negligence of the collateral administrator. Although an appropriate legal framework is in place that
eliminates the risk of loss of value of the securities held by the custodian, in the event of its failure, the ability of the Company to
transfer the securities might be temporarily impaired.
The Company does not offset financial assets and financial liabilities. These are presented separately in the Statement of financial
position.
Financial assets and liabilities are offset and the net amount presented in the Statement of financial position when, and only when, the
Company has a legal right to set off the amounts and intends either to settle on a net basis or to realise the asset and settle the liability
simultaneously. Income and expenses are presented on a net basis only when permitted by the accounting standards, or for gains and
losses arising from a group of similar transactions.
WisdomTree Multi Asset Issuer Plc
Page 38
NOTES TO THE FINANCIAL STATEMENTS (continued)
For the financial year ended 31 December 2021
15
(e) Offsetting Financial Assets and Financial Liabilities (continued)
EUR EUR EUR EUR EUR
1,100,087,175 - 1,100,087,175 1,100,087,175 -
1,100,087,175 - 1,100,087,175 - 1,100,087,175
EUR EUR EUR EUR EUR
744,256,049 - 744,256,049 744,256,049 -
744,256,049 - 744,256,049 - 744,256,049
(f) Fair values
Fair Value Measurement Principles of ETP
Inputs Source
Underlying index Daily rate quoted on Bloomberg
Fees Product specific rate outlined in the Final Terms
Cash borrowing costs Daily rate quoted on Bloomberg; with product specific rate outlined in the Final Terms
Cash lending revenues Daily rate quoted on Bloomberg; with product specific rate outlined in the Final Terms
Stock borrowing costs Product specific rate outlined in the Final Terms
Revenues on collateral Daily rate quoted on Bloomberg; with product specific rate outlined in the Final Terms
Financial assets at fair value
through profit or loss
Amount of recognised
Financial Assets set
off in the Statement of
financial position
Collateral
received/ held
Net amount
Financial risk management (continued)
31-Dec-21
Financial assets at fair value
through profit or loss
Financial liabilities at fair value
through profit or loss
31-Dec-20 Gross amount of
recognised
Financial Assets
Net amount
presented in
statement of
financial
position
Gross amount of
recognised
Financial Assets
Amount of recognised
Financial Assets set
off in the Statement of
financial position
Net amountCollateral
received/ held
Net amount
presented in
statement of
financial
position
Financial liabilities at fair value
through profit or loss
The Company did not enter into any master netting arrangements or offsetting agreements and as such, the Company has not set off any
amount for financial assets and financial liabilities in the financial statements. The Swap Provider transfers collateral to the Company in
respect of its obligations under a relevant swap agreement in order to mitigate the risk that the Swap Provider would default on its
contractual obligations. Should this event occur, the Company has the right to offset the financial assets at fair value through profit or
loss held with the Swap Provider with this Collateral.
The price per ETP is calculated daily to reflect the daily change in the relevant Index of the ETP, and will take into account all
applicable fees and adjustments. On the issue date of the class, the price per ETP will be equal to its issue price. On any valuation date
thereafter, the price per ETP is calculated according to a formula which reflects the price per ETP on the immediately preceding
valuation date, and adjusted based on the following observable inputs:
“Index Adjustments” reflect any cash borrowing costs, cash lending revenues, stock borrowing costs, revenues on collateral or costs of
transaction taxes, which are not already reflected in the Index. Costs and revenues such as these would be incurred by a hypothetical
investor seeking to gain a leveraged or a short exposure to a Benchmark Index.
The ETP Securities are valued independently of the Company and Swap Provider by a calculation agent using readily available,
observable inputs. No inputs need to be obtained by the calculation agent from the Company or the Swap Provider.
WisdomTree Multi Asset Issuer Plc
Page 39
NOTES TO THE FINANCIAL STATEMENTS (continued)
For the financial year ended 31 December 2021
15
(f) Fair values (continued)
Derivatives
Inputs Source
Underlying index Daily rate quoted on Bloomberg
Fees Product specific rate outlined in the Final Terms
Cash borrowing costs Daily rate quoted on Bloomberg; with product specific rate outlined in the Final Terms
Cash lending revenues Daily rate quoted on Bloomberg; with product specific rate outlined in the Final Terms
Stock borrowing costs Product specific rate outlined in the Final Terms
Revenues on collateral Daily rate quoted on Bloomberg; with product specific rate outlined in the Final Terms
(i)
(ii)
(iii)
Financial risk management (continued)
The Company’s policy is to recognise transfers into and transfers out of fair value hierarchy levels as at the last day of the accounting
year. There were no transfers during the financial year between levels of the fair value hierarchy for financial assets which are recorded
at fair value.
“Index Adjustments” reflect any cash borrowing costs, cash lending revenues, stock borrowing costs, revenues on collateral or costs of
transaction taxes, which are not already reflected in the Index. Costs and revenues such as these would be incurred by a hypothetical
investor seeking to gain a leveraged or a short exposure to a benchmark index.
In the absence of readily available market prices the Swap Provider will provide the inputs for the valuation. Where possible
management independently calculate the fair value and verify to the Swap Provider valuation and any variation is investigated. The
valuation determined by the swap counterparty may be based on assumptions of market conditions at the time of valuation, similar
arms’ length market transactions if available, reference to the current fair value of similar instruments and a variety of different
valuation techniques such as the discounted cash flow techniques, option pricing models or any other valuation technique that provides
a reliable estimate of prices obtained in actual market transactions.
The fair value of financial instruments carried at fair value is determined according to the following hierarchy:
Level 2: Financial instruments that trade in markets that are not considered to be active but are valued based on quoted market
prices, dealer quotations or alternative pricing sources supported by observable inputs are classified within level 2. These include
investment-grade corporate bonds and over-the-counter derivatives. As level 2 financial instruments include positions that are not
traded in active markets and/or are subject to transfer restrictions, valuations may be adjusted to reflect illiquidity and/or non-
transferability, which are generally based on available market information.
Level 3: Financial instruments classified within level 3 have significant unobservable inputs, as they trade infrequently. Pricing
inputs are unobservable for the financial instrument and include situations where there is little, if any, market activity for the
financial instrument. As observable prices are not available for these securities, the Company has used valuation techniques to
derive the fair value, if applicable.
The ETP Securities and TRSs are considered to be fair valued under level 2 (2020: same) as prices are calculated using a model that
uses observable inputs rather than using quoted exchange rates, to reflect the amount received by ETP holders on redemption.
Derivatives comprise TRSs and are valued at fair value utilising predefined formulae and market prices consistent with the ETP
valuation process outlined below.
The price per TRS is calculated daily to reflect the daily change in the relevant Index of the TRS, and will take into account all
applicable fees and adjustments. On the issue date of the class, the price per TRS will be equal to its issue price. On any valuation date
thereafter, the price per TRS is calculated according to a formula which reflects the price per TRS on the immediately preceding
valuation date, and adjusted based on the following observable inputs:
Level 1: Financial instruments, whose values are based on quoted market prices in active markets, and therefore classified within
level 1, include active listed equities and exchange traded derivatives. Quoted prices for these instruments are not adjusted.
WisdomTree Multi Asset Issuer Plc
Page 40
NOTES TO THE FINANCIAL STATEMENTS (continued)
For the financial year ended 31 December 2021
15
(f) Fair values (continued)
Level 2 Level 3
Valuation Valuation
EUR EUR EUR
Financial assets at Fair Value
TRS - Commodities
- 310,321,763 - 310,321,763
TRS - Equities
- 573,832,701 - 573,832,701
TRS - Fixed Income
- 128,987,567 - 128,987,567
TRS - FX
- 86,945,144 - 86,945,144
- 1,100,087,175 - 1,100,087,175
Level 2 Level 3
Valuation Valuation
EUR EUR EUR
Financial liabilities at Fair Value
ETPs - Commodities
- (310,321,763) - (310,321,763)
ETPs - Equities
- (573,832,701) - (573,832,701)
ETPs - Fixed Income
- (128,987,567) - (128,987,567)
ETPs - FX
- (86,945,144) - (86,945,144)
- (1,100,087,175) - (1,100,087,175)
Level 2 Level 3
Valuation Valuation
EUR EUR EUR
Financial assets at Fair Value
TRS - Commodities
- 203,249,553 - 203,249,553
TRS - Equities
- 387,510,958 - 387,510,958
TRS - Fixed Income
- 100,134,852 - 100,134,852
TRS - FX
- 53,360,686 - 53,360,686
- 744,256,049 - 744,256,049
Level 2 Level 3
Valuation Valuation
EUR EUR EUR
Financial liabilities at Fair Value
ETPs - Commodities
- (203,249,553) - (203,249,553)
ETPs - Equities
- (387,510,958) - (387,510,958)
ETPs - Fixed Income
- (100,134,852) - (100,134,852)
ETPs - FX
- (53,360,686) - (53,360,686)
- (744,256,049) - (744,256,049)
16 Capital management
Financial risk management (continued)
At the reporting date the TRS and ETPs are classed as level 2.
31-Dec-21 Level 1 Net Total
Quoted price
Level 1 Net Total
Quoted price
EUR
There have been no transfers between levels 1, 2 and 3 during the financial year ended 31 December 2021.
31-Dec-20 Level 1 Net Total
Quoted price
EUR
Level 1 Net Total
Quoted price
EUR
There have been no transfers between levels 1, 2 and 3 during the financial year ended 31 December 2020.
The Company monitors its ordinary shares as capital. The Company outsources the capital management of funds relating to the ETP
Securities and relevant TRSs to Link Market Services Trustees Limited and Apex IFS Limited, whereby all redemptions and subscriptions are
settled through ICSD. All other capital is managed through the Company's Allied Irish Banks Plc currency accounts. The Board reviews the
capital structure yearly to determine the appropriate level of capital required to meet the Company’s objectives. The Company‘s objectives
when maintaining capital are to maintain sufficient capital base in order to meet its short-term obligations and at the same time preserve the
long term goals of the Company.
EUR
WisdomTree Multi Asset Issuer Plc
NOTES TO THE FINANCIAL STATEMENTS (continued)
For the financial year ended 31 December 2021
Page 41
17
Subsequent events
Changes of Directors
On 27 January 2022,
Jennifer Bogue was appointed as Alternate Director for Sarah Warr.
Product Launches
On 7 February 2022
(a) The Company approved the issuance of the following securities:
(i) WisdomTree Battery Metals Securities
(ii) WisdomTree Energy Transition Metals Securities
(iii) WisdomTree FTSE MIB Securities
(iv) WisdomTree EURO STOXX 50 Securities
(v) WisdomTree S&P 500 Securities
(vi) WisdomTree STOXX Europe Travel & Leisure 2x Daily Leveraged Securities
(vii) WisdomTree STOXX Europe Travel & Leisure 2x Daily Short Securities
(viii) WisdomTree STOXX Europe Automobiles 2x Daily Leveraged Securities
(ix) WisdomTree STOXX Europe Oil & Gas 2x Daily Short Securities
(b) the admission to trading of the Metals Products on the London Stock Exchange, Deutsche Börse and Borsa Italiana;
(c) the admission to trading of the Delta 1 Products on Borsa Italiana; and
(d) the admission to trading of the Short & Leveraged Products on the London Stock Exchange, Deutsche Börse and Borsa Italiana.
18 Commitments and contingencies
Closure of the WisdomTree WTI Crude Oil 3x Daily Leveraged ETP
On 24 February 2022, Russian Federation launched a full-scale invasion into Ukraine sovereign state. The potential impacts from the Ukraine
and Russian conflict remain uncertain, including but not limited to, on global economic conditions, asset valuations, interest rate expectations
and exchange rates. The extent of these impacts on the Company are unclear at this stage, however, given the broad nature of the sanctions
imposed by a number of governments, (including the US, UK and EU) directly targeting the Russian Federation and Belarus, the Global
nature of the asset management and capital markets sector and the potential for other impacts to emerge, the Directors continue to actively
monitor the situation.
Metals Products offer exposure to energy transition and battery themes via commodities. The products tap well into existing relationships with
clients who bought UCITS VOLT and ETCs ( Nickel, Copper and Industrial Metals basket). In respect of the Delta 1 Products, Borsa
Italiana has recently allowed the listing of ETNs even if the underlying can be done as UCITS, therefore an opportunity has arisen due to the
tax advantage of ETNs over ETFs. In respect of the Short & Leveraged Products, this proposal has been driven by the tactical working group
and a deep internal survey about the most interesting exposure for WisdomTree clients.
In December 2020, the Company, WisdomTree Multi Asset Issuer PLC, WisdomTree Multi Asset Management Limited and WisdomTree
Ireland Limited (collectively, “WisdomTree”) were served with a writ of summons to appear before the Court of Milan, Italy (“Milan Claim
1”). Investors had filed actions seeking approximately €8,900,000, resulting from the closure of the WisdomTree WTI Crude Oil 3x Daily
Leveraged ETP (“3OIL”) in March 2020. The product was dependent on the receipt of payments from a swap provider to satisfy payment
obligations to the investors. Due to an extreme adverse move in oil futures relative to the oil futures’ closing price, the swap contract
underlying 3OIL was terminated by the swap provider, which resulted in the compulsory redemption of 3OIL, all in accordance with the
prospectus.
In February 2022, WisdomTree was served with another writ of summons to appear before the Court of Milan (“Milan Claim 2”). Additional
investors filed an action seeking approximately €3,400,000 resulting from the closure of 3OIL.
In February 2022 and March 2022, the Company was served with writs of summons to appear before the Court of Milan and the Court of
Turin, respectively, in relation to the closure of WisdomTree WTI Crude Oil 3x Daily Leveraged ETP (“3OIL”) in March 2020. Please see
note 18 for further details.
There have been no other significant subsequent events after the financial year up to the date of signing this report that require disclosure
and/or adjustment to the financial statements.
WisdomTree Multi Asset Issuer Plc
NOTES TO THE FINANCIAL STATEMENTS (continued)
For the financial year ended 31 December 2021
Page 42
18 Commitments and contingencies - continued
19 Approval of financial statements
As at 31 December 2021, the Company has a contingent liability in respect of these claims. The range of €0 - approximately €9,000,000
(increasing to €16,000,000 as at the date of approval of the financial statements) represents the best estimate of any possible outflows from
this claim.
The Board approved these financial statements on 22 April 2022.
The Company had no other commitments and contingencies as at 31 December 2021 (2020: none).
In March 2022, WisdomTree was served with three additional writs of summons to appear before the Court of Milan, Italy seeking
approximately €120,000, €600,000 and €700,000, respectively (“Milan Claim 3”, “Milan Claim 4” and “Milan Claim 5”) and another writ of
summons to appear before the Court of Turin, Italy seeking damages for approximately €2,000,000 resulting from the closure of 3OIL (“Turin
Claim”, and together with “Milan Claims 1-5”, the “Italian Claims”). The Turin Claim and Milan Claims 3, 4 and 5 were also served on
intermediary brokers who have joined the proceedings.
WisdomTree is currently assessing the Italian Claims with Simmons & Simmons, its external counsel in Italy, and a provision has not been
made with respect to these matters at 31 December 2021 and 31 December 2020 in the financial statements of the Company. Should the
Court of Milan and/or Turin ultimately decide that payment is due to investors, the WisdomTree Group will financially support the Company
in this regard.