WisdomTree Multi Asset Issuer Plc
Directors' report and audited financial statements
For the financial year ended 31 December 2022
Registered number 515981
WisdomTree Multi Asset Issuer Plc
Contents
Page (s)
Directors and other information 1
Directors' report 2 - 7
Directors' responsibilities statement 8
Independent auditor's report 9 - 15
Statement of comprehensive income 16
Statement of financial position 17
Statement of changes in equity 18
Statement of cash flows 19
Notes to the financial statements 20 - 41
WisdomTree Multi Asset Issuer Plc
Page 1
Directors and other information
Directors
Registered Office
Company Secretary,
Issuing &
Paying Agent
Trustee &
Security Trustee
Manager
Registrar
Initial Swap
Provider
Custodian &
Collateral
Administrator
Banker
Solicitor
Independent Auditor
Lisa Hand (Irish) (Non-Executive)
Stuart Gallagher (Irish) (Non-Executive) (resigned on 27 February 2023)
Bryan Governey (Italy) (Non-Executive)
Sarah Warr (British) (Non-Executive)
Jennifer Bogue (Irish) (Alternate director to Sarah Warr) (appointed on 27 January 2022 and resigned on 16 May
2022)
Karl Brian Long (Irish ) (Alternate director to Sarah Warr) (appointed on 16 May 2022 and resigned on 01 July
2022)
Rhys Owens (Irish) (Non-Executive) (appointed on 27 February 2023)
2nd floor, Block 5
Irish Life Centre
Abbey Street Lower
Dublin 1
Ireland
Apex IFS Limited
2nd floor, Block 5
Irish Life Centre
Abbey Street Lower
Dublin 1
Ireland
The Law Debenture Trust Corporation Plc
Fifth Floor, 100 Wood Street
London EC2V 7EX
United Kingdom
WisdomTree Multi Asset Management Limited
Ordnance House, 31 Pier Road
St. Helier
Jersey JE4 8PW
Link Market Services Trustees Limited
Central Square, 10th Floor
29 Wellington Street
Leeds, LS1 4DL
England
BNP Paribas Arbitrage S.N.C.
160-162 Boulevard Macdonald
75019 Paris
France
The Bank of New York Mellon
One Canada Square
London E14 5AL
United Kingdom
Allied Irish Bank plc
Currency Accounts Services
1 Adelaide Road
Dublin 2
Ireland
Matheson
70 Sir John Rogerson's Quay
Dublin 2
Ireland
Ernst & Young
Ernst & Young Building
Harcourt Centre
Harcourt Street
Dublin 2
Ireland
WisdomTree Multi Asset Issuer Plc
Page 2
Directors' report
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 2022.
vehicle, with the shares held for the benefit of a charitable trust (see note 13). The Company is registered in Ireland as a
Company has been established as a special purpose vehicle for the purpose of issuing exchange traded securities. The Company commenced
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.
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 on
e or more of the Swap
Providers with whom the Issuer has entered into a TRS in co
nnection 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 S
ecurities 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.
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.
General information regarding the Company is further described in note 1 to the financial statements.
ETP Securities in issue as at 31 December 2022 are listed for trading on the London Stock Exchange, Frankfurt Stock Exchange and/or on the
Borsa Italiana (2021: same) and applications may be made to other European Stock Exchanges.
Key performance indicators
The Company is a special purpose vehicle (''SPV'') and its principal activity is to issue exchange traded securities.
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.
During the financial year:
•
the Company made a profit before tax of EUR 1,000 (2021: EUR 1,000);
•
the Company's realised losses on financial assets at fair value through profit or loss amounted to EUR 318,988,423 (2021: realised gains EUR
64,634,567);
•
the Company's unrealised depreciation on financial assets at fair value through profit or loss amounted to EUR 1,719,888,815 (2021:
appreciation EUR 5,118,798);
•
the Company's realised gains on financial liabilities at fair value through profit or loss amounted to EUR 318,988,423 (2021: realised losses
EUR 64,634,567);
•
the Company's unrealised appreciation on financial liabilities at fair value through profit or loss amounted to EUR 1,719,888,815 (2021:
depreciation EUR 5,118,798);
WisdomTree Multi Asset Issuer Plc
Page 3
Directors' report (continued)
Key performance indicators (continued)
During the financial year (continued):
•
the Company issued 9 new Classes of ETP Securities (2021: 1):
WisdomTree EURO STOXX 50
WisdomTree FTSE MIB
WisdomTree S&P 500
WisdomTree STOXX Europe Automobiles 2x Daily Leveraged
WisdomTree STOXX Europe Oil & Gas 2x Daily Short
WisdomTree STOXX Europe Travel & Leisure 2x Daily Leveraged
WisdomTree STOXX Europe Travel & Leisure 2x Daily Short
WisdomTree Battery Metals
WisdomTree Energy Transition Metals
•
there were subscriptions in the existing Class of ETP Securities as disclosed in note 10 to the financial statements;
•
the following events took place regarding the below ETP Securities:
WisdomTree DAX 3x Daily Short Securities
On 4 January 2022, the Company announced the reduction in the principal amount of the WisdomTree DAX 3x Daily Short Securities from
EUR 0.2 to EUR 0.02.
On 24 June 2022, the Company announced the change of the name of the product DAX30 3x Daily Short Securities to DAX 3x Daily Short
Securities.
WisdomTree S&P 500 VIX Short-Term Furtures 2.25x Daily Leveaged Securities
On 2 February 2022, the Company announced the reduction in the principal amount of the WisdomTree S&P 500 VIX Short-Term Furtures
2.25x Daily Leveaged Securities from USD 1.05566 to USD 0.105566.
WisdomTree Brent Crude Oil 3x Daily Short Securities
On 22 April 2022, the Company announced the reduction in the principal amount of the WisdomTree Brent Crude Oil 3x Daily Short
Securities from USD 1.14 to USD 0.114.
WisdomTree Natural Gas 3x Daily Short Securities
On 30 May 2022, the Company announced the reduction in the principal amount of the WisdomTree Natural Gas 3x Daily Short Securities
from USD 0.02 to USD 0.002.
WisdomTree Natural Gas 3x Daily Short
On 12 September 2022, the Company announced the reduction in the principal amount of the WisdomTree Natural Gas 3x Daily Short from
USD 0.002 to USD 0.0002.
WisdomTree Natural Gas 3x Daily Leveraged
On 8 December 2022, the Company announced the proposed reduction in the principal amount of the WisdomTree Natural Gas 3x Daily
Leveraged from USD 10.136 to USD 1.0136.
As at 31 December 2022:
•
the total fair value of the ETP Securities in issue was EUR 1,167,666,357 (2021: EUR 1,100,087,175);
•
the Company has invested in financial assets at fair value through profit or loss of EUR 1,167,666,357 (2021: EUR 1,100,087,175) as
disclosed in note 7 to the financial statements;
•
the net assets of the Company were EUR 17,488 (2021: EUR 16,738);
•
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
Equity ETPs
Fixed Income ETPs
FX ETPs
31-Dec-22
Total number
of ETPs
London Stock
Exchange
Borsa
Italiana
Frankfurt
Stock Exchange
25
25
19
14
27
24
20
15
10
9
7
2
2
-
2
2
64
58
48
33
WisdomTree Multi Asset Issuer Plc
Page 4
Directors' report (continued)
Key performance indicators (continued)
Classes
Commodity ETPs
Equity ETPs
Fixed Income ETPs
FX ETPs
Future developments
The Directors expect that the present level of activity will be sustained for the foreseeable future.
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.
Going concern
The Board considers 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.
As part of the Directors’ evaluation, consideration was given to:
•
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.
Principal risks and uncertainties
Coronavirus disease (COVID-19)
The Board continues to monitor the advice and developments relating to COVID-19. 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.
Impact of Russian Ukraine event
On 24 February 2022, Russia engaged in military actions in the sovereign territory of Ukraine (the “Crisis”). The Crisis has resulted in the
implementation of sanctions and further actions by governments which, as well as the Crisis itself, have impacted financial and commodities
markets.
As the Crisis continues, the board of directors (the “Board”) also continues to closely monitor and assess the impact on the Company’s portfolio
operations and valuation and will take any further actions needed or as required under the terms of the Prospectus, as facts and circumstances are
subject to change and may be specific to investments and jurisdictions. Whilst it is not currently possible to predict future market conditions and
therefore determine if any further action may be required on any other classes of ETP Securities, the action that may be required includes, but is
not limited to, temporarily not accepting applications for ETP Securities, temporarily suspending ETP Securities from trading on Stock Exchanges
or a compulsory redemption of ETP Securities. The Company has not initiated any of these further actions to date. Any such action will be
undertaken in accordance with the constitutive documents of the ETP Securities. Furthermore, there are mechanisms within the constitutive
documents of the ETP Securities that enable the Initial Swap Provider to request a compulsory redemption in certain circumstances as set out and
explained within the Prospectus.
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.
Results and dividends for the financial year
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 (2021:
EUR Nil).
Directors, secretary and their interests
None of the Directors who held office on 1 January 2022 and 31 December 2022 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 th
e 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 (2021: EUR Nil). Further information are set out in note 14 to the financial statements.
31-Dec-21
Total number
of ETPs
London Stock
Exchange
Borsa
Italiana
Frankfurt
Stock Exchange
23
22
16
12
20
20
13
11
10
9
7
2
2
-
2
2
55
51
38
27
WisdomTree Multi Asset Issuer Plc
Page 5
Directors' report (continued)
Shares and shareholders
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 (Nomin
ees 2) Limited,
Apex Financial Services (Nominees 3) Limited, Apex Financial Services (Trustees) Limited, Forbrit Corporate Dir
ector 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.
Corporate Governance Statement
Introduction
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.
There are no restrictions on voting rights.
Appointment and replacement of Directors and Amendments in the Articles of Association
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.
Powers of Directors
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.
Financial Reporting Process
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 independentl
y 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 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 repor
ting 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 th
e IPA’s report to the
Board.
Risk Assessment
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 fina
ncial 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.
Control Activities
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.
Transfer of shares
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 regi
ster 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.
WisdomTree Multi Asset Issuer Plc
Page 6
Directors' report (continued)
Accounting records
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 providin
g 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.
Political donations
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 2022 (2021: EUR Nil).
Subsequent events
Changes of Directors
On 27 February 2023, Stuart Gallagher resigned as Director of the Company.
On 27 February 2023, Rhys Owens was appointed as Director of the Company.
Product Launches
On 21 March 2023,
(a)
The Company proposed the issuance of the Wisdomtree Copper IE securities;
(b)
the admission to trading of Wisdomtree Copper IE securities on the London Stock Exchange; and
(c)
the addition of cobalt and lithium to the index composition of existing products WisdomTree Energy Transition Metals (''WENT'') and
WisdomTree Battery Metals (''WATT'') (the '' Cobalt and Lithium Update'').
(a)
WisdomTree Natural Gas 3x Daily Leveraged Securities
On 27 January 2023, the Company announced the reduction in the principal amount of the WisdomTree Natural Gas 3x Daily Leveraged
Securities from USD 1.136 to USD 1.0136.
(b)
WisdomTree S&P 500 VIX Short-Term Futures 2.25X Daily Leveraged Securities
On 3 March 2023, 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 0.10557 to USD 0.010557.
Closure of the WisdomTree WTI Crude Oil 3x Daily Leveraged ETP
In relation to the closure of the WisdomTree WTI Crude Oil 3x Daily Leveraged ETP (see Note 18), at a hearing on 20 January 2023, the claimant
in the Turin Claim failed to provide sufficient evidence and the Court upheld WisdomTree’s request to exclude the Company from the
proceedings. Therefore, the Company is no longer party these proceedings.
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.
Research and development costs
The Company did not incur any research and development costs during the financial year (2021: EUR Nil).
committee as the sole business of the Company relates to the issuance of exchange traded securities. The Directors have a
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.
Independent Auditor
Ernst & Young, Chartered Accountants and registered Auditors, were appointed on 12 December 2012 by the Directors as auditors for the
Company. In accordance with EU Regulations concerning the audit of public-interest entities and having held the position of the Company’s
auditor for 10 consecutive financial year ends, Ernst & Young have now reached the maximum permitted time under these regulations and will
rotate off as the Company’s auditor. The Directors have begun the process of appointing a new auditor for the Company for the financial year
ended 31 December 2023.
WisdomTree Multi Asset Issuer Plc
Directors' report (continued)
Page 7
•
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;
•
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 appea
rs 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
•
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.
On behalf of the Board
Date: 21 April 2023
Lisa Hand
Director
Rhys Owens
Director
WisdomTree Multi Asset Issuer Plc
Rhys Owens
Director
Lisa Hand
Director
Page 8
Directors' responsibilities statement
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.
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.
ln preparing the financial statements, the Directors are required to:
●
select suitable accounting policies and then apply them consistently;
●
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 corr
ectly 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 th
e 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.
On behalf of the Board
Date: 21 April 2023
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 2022, contained
in file 2138003QW2ZAYZODBU23-2022-12-31-EN, 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 2022 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 €1,167,666,357 (2021:
€1,100,087,175) and financial
lia
bilities at fair value through
profit or loss with a fair value of
€1,167,666,357 (2021:
€1,100,087,175) 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 liabilitie
s at fair value
through profit or
loss as at 31
December 2022.
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 be
en 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 €11.67 million (2021: €11 million), which is 1% (2021:
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% (2021: 75%) of our planning
materiality, namely €8.7 million (2021: €8.2 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 €583,833 (2021: €550,044), 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 for the financial year ended for which the financial
statements are prepared 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 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 8, 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.
Explanation to what extent the audit was considered capable of detecting irregularities,
including fraud
Irregularities, including fraud, are instances of non-compliance with laws and regulations. We design
procedures in line with our responsibilities, outlined above, to detect irregularities, including fraud, that
could reasonably be expected to have a material effect on the financial statements. The risk of not
detecting a material misstatement due to fraud is higher than the risk of not detecting one resulting from
error, as fraud may involve deliberate concealment by, for example, forgery or intentional
misrepresentations, or through collusion. In addition, the further removed any non-compliance is from
the events and transactions reflected in the financial statements, the less likely it is that our procedure
will identify such non-compliance. The extent to which our procedures are capable of detecting
irregularities, including fraud is detailed below. However, the primary responsibility for the prevention
and detection of fraud rests with both those charged with governance of the company 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 WisdomTree Multi Asset Issuer Plc 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 on 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 10 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, or for the
opinions we have formed.
Kieran Daly
for and on behalf of
Ernst & Young Chartered Accountants and Statutory Audit Firm
Dublin, 28 April 2023
WisdomTree Multi Asset Issuer Plc
Page 16
STATEMENT OF COMPREHENSIVE INCOME
For the financial year ended 31 December 2022
Notes
Realised gains/ (losses) on financial liabilities at fair value through profit or loss
Realised (losses)/ gains on financial assets at fair value through profit or loss
Unrealised appreciation/ (depreciation) on financial liabilities at fair value through profit
or loss
10
1,719,888,815
(5,118,798)
Unrealised (depreciation)/ appreciation on financial assets at fair value through profit or
loss
7
(1,719,888,815)
5,118,798
Foreign exchange movements on financial assets at fair value through profit or loss
Foreign exchange movements on on financial liabilities at fair value through profit or loss
Revenue
Operating expenses
Operating profit before tax
Tax on profit on ordinary activities
Operating profit after tax
Other comprehensive income
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.
The notes on pages 20 to 41 form an integral part of the financial statements.
Financial year
ended
Financial year
ended
31-Dec-22
31-Dec-21
EUR
EUR
10
318,988,423
(64,634,567)
7
(318,988,423)
64,634,567
7
52,855,032
(49,911,339)
10
(52,855,032)
49,911,339
4
9,184,034
7,624,156
5
(9,183,034)
(7,623,156)
1,000
1,000
6
(250)
(250)
750
750
750
750
WisdomTree Multi Asset Issuer Plc
Page 17
Assets
Financial assets at fair value through profit or loss
Other receivables
Cash and cash equivalents
Total assets
7
1,167,666,357
1,100,087,175
8
768,591
1,498,170
9
12,695
13,951
1,168,447,643
1,101,599,296
Liabilities
Financial liabilities at fair value through profit or loss
Other payables
Total liabilities
10
1,167,666,357
1,100,087,175
11
763,798
1,495,383
1,168,430,155
1,101,582,558
Share capital and retained earnings
Called up share capital presented as equity
Retained earnings
12
10,000
10,000
7,488
6,738
STATEMENT OF FINANCIAL POSITION
As at 31 December 2022
Notes
Total assets less total liabilities
Total shareholders' funds
The financial statements were approved by the Board on 21 April 2023 and signed on its behalf by:
Rhys Owens Lisa Hand
The notes on pages 20 to 41 form an integral part of the financial statements.
31-Dec-22
31-Dec-21
EUR
EUR
17,488
16,738
17,488
16,738
WisdomTree Multi Asset Issuer Plc
Page 18
Total comprehensive income for the financial year
Operating profit
Other comprehensive income
Total comprehensive income for the financial year
-
750
750
-
-
-
-
750
750
Total comprehensive income for the financial year
Operating profit
Other comprehensive income
Total comprehensive income for the financial year
-
750
750
-
-
-
-
750
750
STATEMENT OF CHANGES IN EQUITY
For the financial year ended 31 December 2022
Balance as at 1 January 2021
Balance as at 31 December 2021
Balance as at 1 January 2022
Balance as at 31 December 2022
The notes on pages 20 to 41 form an integral part of the financial statements.
Share capital
Retained
earnings
Total equity
EUR
EUR
EUR
10,000
5,988
15,988
10,000
6,738
16,738
10,000
6,738
16,738
10,000
7,488
17,488
WisdomTree Multi Asset Issuer Plc
Page 19
Cash flows from operating activities
Profit on ordinary activities before taxation
1,000
1,000
Movements in working capital
Decrease/ (Increase) in other receivables
(Decrease)/ Increase in other payables
Tax paid
Net cash used in operating activities
729,579
(332,070)
(731,585)
314,056
(250)
(250)
(2,053,602,644)
(236,183,686)
Cash flows from financing activities
ETP Securities issuances during the financial year
ETP Securities redemptions during the financial year
Net cash generated from financing activities
10
4,455,244,372
1,619,452,528
10
(2,401,642,984)
(1,383,286,106)
2,053,601,388
236,166,422
STATEMENT OF CASH FLOWS
For the financial year ended 31 December 2022
Notes
Adjustments for:
Realised (gains)/ losses on financial liabilities at fair value through profit or loss
10
(318,988,423)
64,634,567
Realised losses/ (gains) on financial assets at fair value through profit or loss
7
318,988,423
(64,634,567)
Unrealised (appreciation)/ depreciation on financial liabilities at fair value through profit
or loss
10
(1,719,888,815)
5,118,798
Unrealised depreciation/ (appreciation) on financial assets at fair value through profit or
loss
7
1,719,888,815
(5,118,798)
TRS executions during the financial year
7
(4,455,244,372)
(1,619,452,528)
TRS terminations during the financial year
7
2,401,642,984
1,383,286,106
Decrease in cash and cash equivalents
Cash and cash equivalents at start of the financial year
Cash and cash equivalents at end of the financial year
The notes on pages 20 to 41 form an integral part of the financial statements.
Financial year
ended
Financial year
ended
31-Dec-22
31-Dec-21
EUR
EUR
(1,256)
(17,264)
13,951
31,215
12,695
13,951
WisdomTree Multi Asset Issuer Plc
Page 20
NOTES TO THE FINANCIAL STATEMENTS
For the financial year ended 31 December 2022
1
General information
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.
The Company established a Collateralised ETP Securities Programme under which the Company issues, on an ongoing basis, collat
eralised
ETP Securities of different Classes linked to indices providing exposure to a range of asset classes including equities, c
ommodities, fixed
income and currencies. The ETP Securities may have long or short, and leveraged or unleveraged, exposure to the daily perform
ance 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.
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 num
ber 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.
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.
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.
ETP Securities in issue as at 31 December 2022 are listed on the main market of the London Stock Exchange, Frankfurt Stock Exchange
and/or on the Borsa Italiana (2021: same).
2
Basis of preparation
(a)
Statement of compliance
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
2022 and in the comparative information presented in these financial statements which is for the financial year ended
31 December
2021.
Going concern
The Board considers 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.
As part of the Directors’ evaluation, consideration was given to:
•
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.
WisdomTree Multi Asset Issuer Plc
Page 21
NOTES TO THE FINANCIAL STATEMENTS (continued)
For the financial year ended 31 December 2022
2
Basis of preparation (continued)
(b)
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 o
perates. 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 t
he
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.
(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)
•
Financial liabilities at fair value through profit or loss are measured at fair value.
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: Rec
ognition
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 resu
lt of the
accounting mismatch and net gains and losses are recognised in profit or loss.
Key sources of estimation uncertainty
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.
Determining fair values of financial instruments
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.
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.
The methods used to measure fair values are discussed further in note 3(h) and 15 to the financial statements.
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 circums
tances, 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 i
n 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.
Critical judgements in applying accounting policies on the valuation of financial instruments
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.
WisdomTree Multi Asset Issuer Plc
Page 22
NOTES TO THE FINANCIAL STATEMENTS (continued)
For the financial year ended 31 December 2022
2
Basis of preparation (continued)
(e)
New and amended standards and interpretations during the period
The Company has adopted the new interpretations and revised standards effective for the year ended 31 December 2022. New standards
that have been adopted in the annual financial statements for the year ended 31 December 2022 but have not had a significant
effect on
the Company are:
• A
nnual Improvements to IFRS Standards: 2018-2020 Cycle;
•
Conceptual Framework for Financial Reporting (Amendments to IFRS 3);
•
IAS 37 Provisions, Contingents Liabilities and Contingent Assets (Amendement - Onerous Contracts- Cost of Fulfilling a
Contract); and
•
IAS 16 Property, Plant and Equipment (Amendment to Proceeds before Intended Use).
There have been no other adoption of interpretations and standards execpt as per the above.
(f)
Accounting standards issued but not yet effective
A number of new standards and amendments to existing standards, listed below, have been published which are mandatory, but are not
effective for the year ended 31st December 2022. The Directors do not anticipate that the adoption of these revised standards and
interpretations will have a significant impact on the figures included in the financial statements in the period of initial application.
The following amendments are effective for the period beginning 1 January 2023:
•
Disclosure of Accounting Policies (Amendments to IAS 1 and IFRS Practice Statement 2);
•
Definition of Accounting Estimates (Amendments to IAS 8); and
•
Deferred Tax Related to Assets and Liabilities arising from a Single Transaction (Amendments to IAS 12).
The following amendments are effective for the period beginning 1 January 2024:
•
IFRS 16 Leases (Amendment – Lease liability in a Sale and Leaseback);
•
IAS 1 Presentation of Financial Statements (Amendment – Classification of Liabilities as Current or Non-current); and
•
IAS 1 Presentation of Financial Statements (Amendment – Non-current Liabilities with Covenants).
3
Significant accounting policies
(a)
Realised gains/losses on financial liabilities at fair value through profit or loss
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 liabilitie
s are
disclosed in the accounting policy of financial instruments (note 3(h)) to the financial statements.
(b)
Realised gains/losses on financial assets at fair value through profit or loss
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.
WisdomTree Multi Asset Issuer Plc
Page 23
NOTES TO THE FINANCIAL STATEMENTS (continued)
For the financial year ended 31 December 2022
3
Significant accounting policies (continued)
(c)
Unrealised appreciation/(depreciation) on financial liabilities at fair value through profit or loss
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 fin
ancial
liabilities at fair value through profit or loss are recorded in the Statement of comprehensive incom
e. Details of recognition and
measurement of financial liabilities are disclosed in the accounting policy of financial instruments (note 3(h)) to the financial
statements.
(d)
Unrealised appreciation/(depreciation) on financial assets at fair value through profit or loss
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 val
ue 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.
(e)
Revenue and operating expenses
The Company is entitled to receive a management fee 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.
(f) Taxation
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 te
mporary
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.
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.
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.
(g)
There are no restrictions on cash and cash equivalents. Cash and cash equivalents are carried at amortised cost in the Statement of
financial position.
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.
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.
WisdomTree Multi Asset Issuer Plc
Page 24
NOTES TO THE FINANCIAL STATEMENTS (continued)
For the financial year ended 31 December 2022
3
Significant accounting policies (continued)
(h)
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
Financial assets are measured at fair value through profit or loss if:
(a)
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;
(b)
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
(c)
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 t
he
gains and losses on them on different bases.
Financial liabilities
The Company measures financial liabilities at fair value through profit or loss to eliminate 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.
Recognition
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.
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.
WisdomTree Multi Asset Issuer Plc
Page 25
NOTES TO THE FINANCIAL STATEMENTS (continued)
For the financial year ended 31 December 2022
3
Significant accounting policies (continued)
(h)
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 V
aluation 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.
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 rec
eivables. 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 an
d 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.
(i)
Other receivables
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.
(j)
Other payables
Other payables are accounted at amortised cost.
(k)
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.
WisdomTree Multi Asset Issuer Plc
Page 26
France (BNP Paribas Arbitrage S.N.C.)
Jersey (WisdomTree Multi Asset Management Limited)
Financial year
ended
Financial year
ended
31-Dec-22
31-Dec-21
EUR
EUR
9,180,113
7,619,035
3,921
5,121
9,184,034
7,624,156
NOTES TO THE FINANCIAL STATEMENTS (continued)
For the financial year ended 31 December 2022
3
Significant accounting policies (continued)
(l)
Segmental reporting
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.
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 following is a geographical analysis of the revenue by the country of the counterparty:
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.
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.
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 auditor’s remuneration (excluding VAT) for 2022 was EUR 37,495 (2021: EUR 34,967) for audit services and EUR 5,000 (2021: 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 2022 (2021: EUR Nil).
The Company had no employees during the financial year (2021: None).
4
Revenue
Financial year
ended
Financial year
ended
31-Dec-22
31-Dec-21
EUR
EUR
9,180,113
7,619,035
3,921
5,121
9,184,034
7,624,156
Management fee income
Other income
5
Operating expenses
Financial year
ended
Financial year
ended
31-Dec-22
31-Dec-21
EUR
EUR
9,180,113
7,619,035
2,921
4,121
9,183,034
7,623,156
Management fee expense
Other expenses
WisdomTree Multi Asset Issuer Plc
Page 27
6
Tax on profit on ordinary activities
Financial year
ended
Financial year
ended
31-Dec-22
31-Dec-21
EUR
EUR
(b)
Reconciliation of effective tax rate
Operating profit before tax
Expected tax charge based on standard rate of 12.5%
1,000
1,000
125
125
(c)
Effects of:
Higher tax rate applicable under Section 110 TCA, 1997
Adjustments for reconciliation to Old Irish GAAP as it stood at 31 December 2004
Total tax charge on profit for the financial year
125
125
-
-
250
250
Collateral received on TRSs
Equities (market value)
Bonds (market value)
31-Dec-22
31-Dec-21
EUR
EUR
914,516,696
516,547,045
298,775,307
598,109,580
1,213,292,003
1,114,656,625
NOTES TO THE FINANCIAL STATEMENTS (continued)
For the financial year ended 31 December 2022
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 2022 (2021: EUR Nil).
7 Financial assets at fair value through profit or loss
31-Dec-22 31-Dec-21
EUR EUR
Total return swaps 1,167,666,357 1,100,087,175
Movement in financial assets at fair value through profit or loss
At beginning of the financial year
Additions during the financial year
Disposals during the financial year
Realised (losses)/ gains on financial assets at fair value through profit or loss
Unrealised (depreciation)/ appreciation on financial assets at fair value through profit or loss
Foreign exchange movements
At end of the financial year
Total return swaps
All unrealised appreciation/(depreciation) on financial assets are attributable to market risk arising from price, commodity, currency and
interest rate risk.
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.
The TRSs entered into as at 31 December 2022 and 31 December 2021 have a value equal but opposite in sign to the value of the ETP
Securities in issue as at 31 December 2022 and 31 December 2021.
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 collateral coverage over the market value of the ETP Securities as at 31 December 2022 was 104% (2021: 101%).
250
250
-
-
250
250
(a)
Analysis of tax charge in the financial year
Current tax
Deferred tax
Total tax charge on profit for the financial year
31-Dec-22
31-Dec-21
EUR
EUR
1,100,087,175
744,256,049
4,455,244,372
1,619,452,528
(2,401,642,984)
(1,383,286,106)
(318,988,423)
64,634,567
(1,719,888,815)
5,118,798
52,855,032
49,911,339
1,167,666,357
1,100,087,175
WisdomTree Multi Asset Issuer Plc
Page 28
NOTES TO THE FINANCIAL STATEMENTS (continued)
For the financial year ended 31 December 2022
7
Financial assets at fair value through profit or loss (continued)
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 2022 and 31 December 2021
consists of listed equities and government bonds as agreed between the Swap Provider and the Company.
AAA Government or Treasury money market companies only with no asset
backed securities or collateralised debt obligations.
Soveriegn Fixed income:
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.
9
Cash and cash equivalents
Cash at bank
The cash at bank is held with Allied Irish Banks Plc.
10
Financial liabilities at fair value through profit or loss
ETP Securities issued
ETP Securities issued for a particular Class are measured at fair value through profit or loss.
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.
All unrealised appreciation/(depreciation) on financial liabilities are attributable to market risk arising from price, commodity and interest
rate risk.
All ETP Securities in issue as at 31 December 2022 are listed on the main market of the London Stock Exchange, Frankfurt Stock Exchange
and/or on the Borsa Italiana (2021: Same).
Movement in financial liabilities at fair value through profit or loss
At beginning of the financial year
Issued during the financial year
Redeemed during the financial year
Realised (gain)/ losses on financial liabilities at fair value through profit or loss
Unrealised (appreciation)/ depreciation on financial liabilities at fair value through profit or loss
Foreign exchange movements
At end of the financial year
Government bonds comprise the following types of bonds:
Money Market Companies:
Stripped and unstripped national bonds issued by one of the following countries:
-
Stripped and unstripped national bonds issued by USA, G10 and other
European government bonds with minimal ratings of AA
-
Supranational bonds with a L-T issuer rating not lower than AAA
-
US Agencies 100% backed by the US Government.
8
Other receivables
31-Dec-22
31-Dec-21
EUR
EUR
758,647
1,490,370
9,944
7,800
768,591
1,498,170
Management fees receivable
Other receivables
31-Dec-22
31-Dec-21
EUR
EUR
12,695
13,951
31-Dec-22
31-Dec-21
EUR
EUR
1,167,666,357
1,100,087,175
31-Dec-22
31-Dec-21
EUR
EUR
1,100,087,175
744,256,049
4,455,244,372
1,619,452,528
(2,401,642,984)
(1,383,286,106)
(318,988,423)
64,634,567
(1,719,888,815)
5,118,798
52,855,032
49,911,339
1,167,666,357
1,100,087,175
WisdomTree Multi Asset Issuer Plc
Page 29
NOTES TO THE FINANCIAL STATEMENTS (continued)
For the financial year ended 31 December 2022
10 Financial liabilities at fair value through profit or loss (continued)
The financial liabilities in issue at 31 December 2022 and 31 December 2021 are as follows:
Daily Short
Description
Management ISIN
Fee rate
CCY
Outstanding
Units
Fair value
Outstanding
Units
Fair value
31-Dec-22
31-Dec-22
31-Dec-21
31-Dec-21
WisdomTree DAX 3x Daily 0.75% IE00B878KX55
Leveraged
EUR
182,571
EUR
27,906,817
79,151
EUR
21,710,744
WisdomTree DAX 3x Daily 0.80% IE00B8GKPP93
Short
EUR
31,282,358
32,184,992
15,841,324
15,819,702
WisdomTree EURO STOXX 0.75% IE00B7SD4R47
50® 3x Daily Leveraged
EUR
112,934
22,870,018
59,133
19,228,927
WisdomTree EURO STOXX 0.80% IE00B8JF9153
50® 3x Daily Short
EUR
30,492,748
25,427,140
10,624,008
9,562,281
WisdomTree FTSE MIB 3x 0.75% IE00B8NB3063
Daily Leveraged
EUR
664,990
41,323,424
454,177
48,411,236
WisdomTree FTSE MIB 3x 0.80% IE00B873CW36
Daily Short
EUR
47,509,591
40,116,429
27,732,813
25,781,671
WisdomTree Bund 10Y 3x 0.30% IE00BKS8QN04
Daily Short
EUR
59,774
3,915,067
444,774
16,474,207
WisdomTree Bund 10Y 3x 0.30% IE00BKT09255
Daily Leveraged
EUR
17,826
1,477,760
8,797
1,459,012
WisdomTree BTP 10Y 3x 0.60% IE00BKS8QM96
Daily Short
EUR
94,461
3,685,796
158,961
3,528,033
WisdomTree BTP 10Y 3x 0.60% IE00BKT09149
Daily Leveraged
EUR
26,126
2,249,743
3,626
679,681
WisdomTree EURO STOXX 0.89% IE00BLS09N40
Banks 3x Daily Leveraged
EUR
19,548,176
80,953,628
13,113,710
78,413,169
WisdomTree BTP 10Y 5x 0.99% IE00BYNXNS22
Daily Short
EUR
399,843
9,219,335
856,321
8,531,977
WisdomTree Bund 10Y 5x 0.49% IE00BYNXPH56
Daily Short
EUR
65,540
3,839,074
156,040
3,736,692
WisdomTree FTSE MIB Banks
0.35% IE00BYMB4Q22 EUR
70,041
13,538,558
69,631
12,877,617
WisdomTree Bund 30Y 3x 0.30% IE00BF4TW453
Daily Short
EUR
75,340
6,723,149
101,340
3,165,177
WisdomTree FTSE 100 3x 0.75% IE00B88D2999
Daily Leveraged
GBP
77,936
17,500,417
146,314
34,439,152
WisdomTree FTSE 100 3x 0.80% IE00B7VB3908 GBP
5,067,405
20,466,451
1,759,837
9,694,072
WisdomTree FTSE 100 2x 0.49% IE00B94QKC83
Daily Leveraged
GBP
5,001
971,970
7,404
1,475,764
WisdomTree FTSE 100 2x 0.55% IE00B94QKF15
Daily Short
GBP
53,380
1,090,207
53,380
1,316,413
WisdomTree FTSE 100 1x 0.49% IE00B94QKG22
Daily Short
GBP
35,484
1,905,410
22,484
1,341,083
WisdomTree FTSE 250 2x 0.60% IE00B94QKJ52
Daily Leveraged
GBP
23,567
4,870,046
22,592
7,768,164
WisdomTree FTSE 250 1x 0.65% IE00BBGBF313
Daily Short
GBP
906,827
40,116,875
841,574
33,731,320
WisdomTree Gilts 10Y 3x 0.30% IE00BKT09479
Daily Leveraged
GBP
17,378
1,642,239
5,278
1,035,088
WisdomTree Gilts 10Y 3x 0.30% IE00BKS8QQ35
Daily Short
GBP
206,090
13,616,247
325,090
13,995,353
Balance carried forward
417,610,792
374,176,535
WisdomTree Multi Asset Issuer Plc
Page 30
NOTES TO THE FINANCIAL STATEMENTS (continued)
For the financial year ended 31 December 2022
10
Financial liabilities at fair value through profit or loss (continued)
The financial liabilities in issue at 31 December 2022 and 31 December 2021 are as follows (continued):
Description
Management
ISIN
CCY
Outstanding
Fair value
Outstanding
Fair value
Fee rate
Units
Units
31-Dec-22
31-Dec-22
31-Dec-21
31-Dec-21
EUR
EUR
Balance brought forward
417,610,792
374,176,535
WisdomTree Gilts 10Y 1x
Daily Short
0.25%
IE00BF4TW560
GBP
10,501
1,288,049
10,301
1,106,413
WisdomTree S&P 500 3x Daily
Leveraged
0.75%
IE00B7Y34M31
USD
1,537,520
59,781,773
43,154
72,945,178
WisdomTree S&P 500 3x Daily
Short
0.80%
IE00B8K7KM88
USD
970,036
53,336,767
89,055,417
26,386,950
WisdomTree Gold 3x Daily
Leveraged
0.99%
IE00B8HGT870
USD
1,003,911
28,879,693
1,181,311
37,531,881
WisdomTree Gold 3x Daily
Short
0.99%
IE00B6X4BP29
USD
135,637
3,155,432
218,937
5,123,732
WisdomTree Copper 3x Daily
Leveraged
0.99%
IE00B8JVMZ80
USD
699,227
9,987,316
523,027
14,678,144
WisdomTree Copper 3x Daily
Short
0.99%
IE00B8KD3F05
USD
644,031
4,561,417
811,731
5,308,226
WisdomTree Natural Gas 3x
Daily Short
0.99%
IE00B76BRD76
USD
195,345
41,796,398
48,711,662
39,401,094
WisdomTree Silver 3x Daily
Leveraged
0.99%
IE00B7XD2195
USD
1,154,464
61,766,328
42,826,126
71,767,462
WisdomTree Silver 3x Daily
Short
0.99%
IE00B8JG1787
USD
3,169,098
7,651,643
1,092,198
4,706,313
WisdomTree Palladium 1x
Daily Short
0.95%
IE00B94QLR02
USD
108,114
1,087,482
132,114
1,503,749
WisdomTree Palladium 2x
Daily Leveraged
0.95%
IE00B94QLN63
USD
473,740
19,089,994
64,238
15,417,155
WisdomTree US Treasuries
10Y 3x Daily Leveraged
0.30%
IE00BKT09032
USD
50,500
3,850,892
28,500
3,246,848
WisdomTree WTI Crude Oil
Pre-roll
0.25%
IE00BVFZGC04
USD
678,279
14,315,844
909,479
14,565,662
WisdomTree Brent Crude Oil
Pre-roll
0.25%
IE00BVFZGD11
USD
335,072
11,820,652
355,072
8,375,746
WisdomTree US Treasuries
10Y 5x Daily Short
0.50%
IE00BYNXPJ70
USD
24,054
2,026,527
124,354
5,138,278
WisdomTree Emerging
Markets 3x Daily Leveraged
0.99%
IE00BYTYHN28
USD
164,744
9,675,825
109,727
15,074,178
WisdomTree Emerging
Markets 3x Daily Short
0.99%
IE00BYTYHM11
USD
511,888
3,332,191
591,268
2,479,974
WisdomTree US Treasuries
30Y 3x Daily Short
0.30%
IE00BF4TW784
USD
29,300
2,551,448
208,300
6,467,445
WisdomTree US Treasuries
10Y 3x Daily Short
0.30%
IE00BKS8QT65
USD
20,116
1,711,339
99,611
5,253,022
WisdomTree Industrial Metals
Enhanced
0.40%
IE00BF4TWC33
USD
911,503
29,702,737
2,622,803
81,077,157
WisdomTree Energy Enhanced
0.40%
IE00BF4TWF63
USD
102,672
3,537,981
15,061
369,633
WisdomTree NASDAQ 100 3x
Daily Leveraged
0.75%
IE00BLRPRL42
USD
2,745,625
131,990,826
826,962
176,024,083
WisdomTree NASDAQ 100 3x
Daily Short
0.80%
IE00BLRPRJ20
USD
1,601,380
74,389,203
1,394,900
33,384,594
WisdomTree Natural Gas 3x
Daily Leveraged
0.99%
IE00BLRPRG98
USD
1,482,197
28,423,832
247,799
15,058,361
WisdomTree Brent Crude Oil
3x Daily Short
0.99%
IE00BLRPRK35
USD
9,164,829
14,678,997
734,129
8,140,789
Balance carried forward
1,042,001,378
1,044,708,602
WisdomTree Multi Asset Issuer Plc
Page 31
NOTES TO THE FINANCIAL STATEMENTS (continued)
For the financial year ended 31 December 2022
10
Financial liabilities at fair value through profit or loss (continued)
The financial liabilities in issue at 31 December 2022 and 31 December 2021 are as follows (continued):
Description
Management
ISIN
CCY
Outstanding
Fair value
Outstanding
Fair value
Fee rate
Units
Units
31-Dec-22
31-Dec-22
31-Dec-21
31-Dec-21
EUR
EUR
Balance brought forward
1,042,001,378
1,044,708,602
WisdomTree S&P 500 VIX
Short-Term Futures 2.25x
Daily Leveraged
0.99%
IE00BLRPRH06
USD
39,336,244
22,584,838
9,220,072
18,197,056
WisdomTree Brent Crude Oil
3x Daily Leveraged
0.99%
IE00BMTM6D55
USD
467,461
20,647,016
16,160
6,816,866
WisdomTree WTI Crude Oil 3x
Daily Leveraged
0.99%
IE00BMTM6B32
USD
609,690
28,083,245
38,020
15,180,178
WisdomTree WTI Crude Oil 3x
Daily Short
0.99%
IE00BMTM6C49
USD
27,771,387
22,872,299
2,193,987
12,836,475
WisdomTree Energy Enhanced -
EUR Daily Hedged
0.40%
XS2284324667
EUR
122,514
5,036,311
73,514
2,347,998
*
WisdomTree EURO STOXX
50
0.05%
XS2427362145
EUR
81,288
2,059,974
-
-
*
WisdomTree FTSE MIB
0.18%
XS2427354985
EUR
70,500
1,729,624
-
-
*
WisdomTree S&P 500
0.05%
XS2427355958
USD
227,600
4,818,959
-
-
*
WisdomTree STOXX
Europe
Automobiles 2x Daily
0.80%
XS2427363895
EUR
21,932
385,772
-
-
*
WisdomTree STOXX Europe
Oil & Gas 2x Daily Short
0.85%
XS2427474023
EUR
31,000
431,783
-
-
*
WisdomTree STOXX Europe
Travel & Leisure 2x Daily
0.80%
XS2427363036
EUR
30,500
590,602
-
-
*
WisdomTree STOXX Europe
Travel & Leisure 2x Daily
0.85%
XS2437455608
EUR
28,000
601,040
-
-
*
WisdomTree Battery Metals
0.45%
XS2425842106
USD
102,000
2,087,650
-
-
*
WisdomTree Energy Transition
Metals
0.45%
XS2425848053
USD
692,000
13,735,866
-
-
1,167,666,357
1,100,087,175
All ETP Securities in issue have a maturity date as at 30 November 2062.
There has been no change in the management fee rates since last financial year.
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 Securi
ties, 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.
*These ETP Securities were newly launched during the financial year ended 31 December 2022.
11
Other payables
31-Dec-22
31-Dec-21
EUR
EUR
763,598
1,495,183
200
200
763,798
1,495,383
31-Dec-22
31-Dec-21
EUR
EUR
100,000
100,000
Management fees payable
Other payables
12
Called up share capital presented as equity
Authorised:
100,000 ordinary shares of EUR1 each
WisdomTree Multi Asset Issuer Plc
Page 32
NOTES TO THE FINANCIAL STATEMENTS (continued)
For the financial year ended 31 December 2022
12 Called up share capital presented as equity (continued)
31-Dec-22
31-Dec-21
Issued:
EUR
EUR
40,000 ordinary shares of EUR1 each (paid up to EUR 0.25 each)
10,000
10,000
13
Ownership of the Company
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.
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 (2021: EUR Nil).
The Share Trustee, Apex Financial Services (Trustees) Limited, has appointed a Board to run the day to day activities of the Company.
14
Related party transactions including transactions with Administrator and Manager
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 Managemen
t Limited
paid fees amounting to EUR 189,308 (2021: EUR 117
,167) to Apex IFS Limited during the financial year ended 31 December 2022. As at 31
December 2022, EUR 95,132 (2021: EUR 86,608) was payable by WisdomTree Multi Asset Management Limited to Apex IFS Limited.
Lisa Hand and Stuart Gallagher are directors of the Company and also employees of APEX as at 31 December 2022. Subsequently, Stuart
Gallagher resigned as Director of the Company.
Sarah Warr and Bryan Governey are directors of the Company and employees of Wisdomtree Multi Asset Management Limited (the
Manager) as at 31 December 2022.
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 171,708 per annum (2021: EUR 160,514). 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.
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 (2021: EUR Nil).
15
EUR
EUR
10,000
10,000
Presented as follows:
Called up share capital presented as equity
Transactions with Manager
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 9,180,113
(2021: EUR 7,619,035) from the Manager during the financial year ended 31 December 2022. As at 31 December 2022, EUR 763,598 (2021:
EUR 1,495,183) 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 2022 (2021: EUR 1,000) from the Manager and an amount of EUR 8,944 (2021: EUR 6,800) was receivable as at
31 December 2022.
Financial risk management
Risk management framework
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.
WisdomTree Multi Asset Issuer Plc
Page 33
NOTES TO THE FINANCIAL STATEMENTS (continued)
For the financial year ended 31 December 2022
15
Financial risk management (continued)
Risk management framework (continued)
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.
The Company, and ultimately the holders of the ETP Securities, have exposure to the following risks from its use of financial instruments:
(a)
Market risk;
(b)
Credit risk;
(c)
Liquidity risk; and
(d)
Operational risk.
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.
(a)
Market risk
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 da
y
(neglecting fees and funding and borrowing adjustments as detailed in the base prospectus). Therefore the Co
mpany’s sensitivity to
market movements is fully hedged.
(i)
Interest rate risk
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.
Sensitivity analysis
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 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 55,071/EUR (55,071) (2021: EUR 583/EUR (583)). 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
55,071/EUR (55,071) (2021: EUR 583/EUR (583)).
(ii)
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.
Currency risk
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.
WisdomTree Multi Asset Issuer Plc
Page 34
NOTES TO THE FINANCIAL STATEMENTS (continued)
For the financial year ended 31 December 2022
15
Financial risk management (continued)
(a)
Market risk (continued)
(ii)
Currency risk (continued)
The following significant exchange rates applied during the financial year:
Closing rate
2022
2021
EUR
EUR
USD : EUR
0.9370
0.8794
GBP : EUR
1.1271
1.1910
JPY : EUR
0.0071
0.0077
Sensitivity analysis
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 8,414,003/EUR (8,414,003) (2021: EUR 8,283,591/EUR (8,283,591)). A
change of 100 basis points in exchange rates at the reporting date would have increased (or decreased) the fair value of fina
ncial
assets by EUR 8,414,003/EUR (8,414,003) (2021: EUR 8,283,591/EUR (8,283,591)).
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 lo
ss of the
Company.
(iii)
Price risk
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. T
he
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.
Sensitivity analysis
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 Secur
ities
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 8,901,736/
EUR (8,901,736) (2021: EUR
9,295,651/EUR (9,295,651)). 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 8,901,736/EUR (8,901,736) (2021: EUR
9,295,651/EUR (9,295,651)).
(b)
Credit risk
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 Compa
ny
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 b
eing 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 Comp
any 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 p
revailing
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 35
Financial liabilities through profit or loss
Management fees payable
Other payables
(1,167,666,357)
(1,167,666,357)
-
-
(763,598)
(763,598)
-
-
(200)
(200)
-
-
(1,168,430,155)
(1,168,430,155)
-
-
NOTES TO THE FINANCIAL STATEMENTS (continued)
For the financial year ended 31 December 2022
15
Financial risk management (continued)
(b)
Credit risk (continued)
The Company's maximum exposure to credit risk in the event that counterparties fail to perform their obligations as at 31 December
2022 and 31 December 2021 in relation to each class of recognised financial assets is set out below:
EUR
EUR
31-Dec-22
31-Dec-21
Financial assets at fair value through profit or loss
1,167,666,357
1,100,087,175
Other receivables
768,591
1,498,170
Cash and cash equivalents
12,695
13,951
1,168,447,643
1,101,599,296
Concentration risk
At the reporting date, the Company's financial assets at fair value through profit or loss were concentrated in the following asset types:
EUR EUR
31-Dec-22
31-Dec-21
TRSs - BNP Arbitrage S.N.C
1,167,666,357
1,100,087,175
(group credit rating as at date of signing of financial statements S&P: A+ (2021: A+))
Collateral - The Bank of New York Mellon
(group credit rating as at date of signing of financial statements S&P: AA- (2021: AA-))
Cash at bank - Allied Irish Banks Plc
(group credit rating as at date of signing of financial statements S&P: A- (2021: A-))
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.
(c)
Liquidity risk
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 i
s 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 al
l
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.
The following are the contractual maturities of financial assets and financial liabilities:
31-Dec-22
Carrying amount
Less than one
year
One to five years
More than five
years
EUR
EUR
EUR
EUR
Financial assets through profit or loss
1,167,666,357
1,167,666,357
-
-
Management fees receivable
758,647
758,647
-
-
Other receivables
9,944
9,944
-
-
Cash and cash equivalents
12,695
12,695
-
-
1,168,447,643
1,168,447,643
-
-
EUR
EUR
31-Dec-22
31-Dec-21
1,213,292,003
1,114,656,625
EUR
EUR
31-Dec-22
31-Dec-21
12,695
13,951
WisdomTree Multi Asset Issuer Plc
Page 36
Financial liabilities through profit or loss
Management fees payable
Other payables
(1,100,087,175)
(1,100,087,175)
-
-
(1,495,183)
(1,495,183)
-
-
(200)
(200)
-
-
(1,101,582,558)
(1,101,582,558)
-
-
NOTES TO THE FINANCIAL STATEMENTS (continued)
For the financial year ended 31 December 2022
15
Financial risk management (continued)
(c)
Liquidity risk (continued)
The following are the contractual maturities of financial assets and financial liabilities (continued):
31-Dec-21
Carrying amount
Less than one
year
One to five years
More than five
years
EUR
EUR
EUR
EUR
Financial assets through profit or loss
1,100,087,175
1,100,087,175
-
-
Cash and cash equivalents
1,490,370
1,490,370
-
-
Management fees receivable
7,800
7,800
-
-
Other receivables
13,951
13,951
-
-
1,101,599,296
1,101,599,296
-
-
(d)
Operational risk
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.
(e)
Offsetting Financial Assets and Financial Liabilities
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.
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.
WisdomTree Multi Asset Issuer Plc
Page 37
NOTES TO THE FINANCIAL STATEMENTS (continued)
For the financial year ended 31 December 2022
15
Financial risk management (continued)
(e)
Offsetting Financial Assets and Financial Liabilities (continued)
31-Dec-22
Gross amount of
Amount of recognised
Net amount
Collateral
Net amount
recognised
Financial Assets set
presented in
received/ held
Financial Assets
off in the Statement of
statement of
financial position
financial
position
31-Dec-21
Gross amount of
recognised
Financial Assets
Amount of recognised
Financial Assets set
off in the Statement of
financial position
Net amount
presented in
statement of
financial
position
Collateral
received/ held
Net amount
EUR
EUR
EUR
EUR
EUR
Financial
assets
at
fair
value
through profit or loss
1,100,087,175
-
1,100,087,175
1,100,087,175
-
Financial liabilities at fair value
through profit or loss
1,100,087,175
-
1,100,087,175
-
1,100,087,175
(f)
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
“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.
EUR
1,167,666,357
1,167,666,357
EUR
EUR
EUR
EUR
-
1,167,666,357
1,167,666,357
-
-
1,167,666,357
-
1,167,666,357
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 defa
ult 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.
Fair values
Fair Value Measurement Principles of ETP
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 v
aluation 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:
Financial
assets
at
fair
value
through profit or loss
Financial liabilities at fair value
through profit or loss
WisdomTree Multi Asset Issuer Plc
Page 38
NOTES TO THE FINANCIAL STATEMENTS (continued)
For the financial year ended 31 December 2022
15
Financial risk management (continued)
(f)
Fair values (continued)
Derivatives
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:
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
“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:
(i)
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.
(ii)
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 inc
lude
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.
(iii)
Level 3: Financial instruments classified within level 3 have significant unobservable inputs, as they trade infrequently. Pricing
inputs are unobservable for th
e 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 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.
The ETP Securities and TRSs are considered to be fair valued under level 2 (2021: 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.
WisdomTree Multi Asset Issuer Plc
Financial assets at Fair Value
TRS - Commodities
TRS - Equities
TRS - Fixed Income
TRS - FX
-
310,321,763
-
310,321,763
-
573,832,701
-
573,832,701
-
128,987,567
-
128,987,567
-
86,945,144
-
86,945,144
-
1,100,087,175
-
1,100,087,175
Page 39
NOTES TO THE FINANCIAL STATEMENTS (continued)
For the financial year ended 31 December 2022
15
Financial risk management (continued)
(f)
Fair values (continued)
At the reporting date the TRS and ETPs are classed as level 2.
31-Dec-22
Level 1
Level 2
Level 3
Net Total
Quoted price
Valuation
Valuation
EUR
EUR
EUR
EUR
Financial assets at Fair Value
TRS - Commodities
-
363,812,170
-
363,812,170
TRS - Equities
-
646,828,992
-
646,828,992
TRS - Fixed Income
-
66,852,235
-
66,852,235
TRS - FX
-
90,172,959
-
90,172,959
-
1,167,666,356
-
1,167,666,356
Level 1
Level 2
Level 3
Net Total
Quoted price
Valuation
Valuation
EUR
EUR
EUR
EUR
There have been no transfers between levels 1, 2 and 3 during the financial year ended 31 December 2022.
31-Dec-21
Level 1
Level 2
Level 3
Net Total
Quoted price
Valuation
Valuation
EUR
EUR
EUR
EUR
There have been no transfers between levels 1, 2 and 3 during the financial year ended 31 December 2021.
16
Capital management
The Company monitors its cash and 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.
-
(310,321,763)
-
(310,321,763)
-
(573,832,701)
-
(573,832,701)
-
(128,987,567)
-
(128,987,567)
-
(86,945,144)
-
(86,945,144)
-
(1,100,087,175)
-
(1,100,087,175)
Financial liabilities at Fair Value
ETPs - Commodities
ETPs - Equities
ETPs - Fixed Income
ETPs - FX
-
(363,812,170)
-
(363,812,170)
-
(646,828,992)
-
(646,828,992)
-
(66,852,235)
-
(66,852,235)
-
(90,172,959)
-
(90,172,959)
-
(1,167,666,356)
-
(1,167,666,356)
Financial liabilities at Fair Value
ETPs - Commodities
ETPs - Equities
ETPs - Fixed Income
ETPs - FX
Level 1
Level 2
Level 3
Net Total
Quoted price
Valuation
Valuation
EUR
EUR
EUR
EUR
WisdomTree Multi Asset Issuer Plc
NOTES TO THE FINANCIAL STATEMENTS (continued)
For the financial year ended 31 December 2022
Page 40
17
Subsequent events
Changes of Directors
On 27 February 2023, Stuart Gallagher resigned as Director of the Company.
On 27 February 2023, Rhys Owens was appointed as Director of the Company.
Product Launches
On 21 March 2023,
(a)
The Company proposed the issuance of the Wisdomtree Copper IE securities;
(b)
the admission to trading of Wisdomtree Copper IE securities on the London Stock Exchange; and
(c)
the addition of cobalt and lithium to the index composition of existing products WisdomTree Energy Transition Metals (''WENT'') and
WisdomTree Battery Metals (''WATT'') (the '' Cobalt and Lithium Update'').
Principal Reduction
(a)
WisdomTree Natural Gas 3x Daily Leveraged Securities
On 27 January 2023, the Company announced the reduction in the principal amount of the WisdomTree Natural Gas 3x Daily
Leveraged Securities from USD 1.136 to USD 1.0136.
(b)
WisdomTree S&P 500 VIX Short-Term Futures 2.25X Daily Leveraged Securities
On 3 March 2023, 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 0.10557 to USD 0.010557.
Closure of the WisdomTree WTI Crude Oil 3x Daily Leveraged ETP
In relation to the closure of the WisdomTree WTI Crude Oil 3x Daily Leveraged ETP (see Note 18), at a hearing on 20 January 2023, the
claimant in the Turin Claim failed to provide sufficient evidence and the Court upheld WisdomTree’s request to exclude the Company from
the proceedings. Therefore, the Company is no longer party these proceedings.
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.
18
Commitments and contingencies
Closure of the WisdomTree WTI Crude Oil 3x Daily Leveraged ETP
In December 2020, the Company, WisdomTree UK Limited, 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 Cl
aim 1”).
Investors had filed actions seeking approximately €8,900,000, resulting from the closure of the WisdomT
ree 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 pa
yment
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 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.
At a hearing on 20 January 2023 the claimant in the Turin Claim failed to provide sufficient evidence and the Court upheld WisdomTree’s
request to exclude the Company from these proceedings. Therefore, the Company is no longer a party to these proceedings.
As at 31 December 2022, the Company has a contingent liability in respect of these claims. The range of €0 - approximately €14,000,000
represents the best estimate of any possible outflows from this claim.
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 2022 and 31 December 2021 in the financial statements of the Company. Should the
Court of Milan ultimately decide that payment is due to investors, the WisdomTree Group will financially support the Company in this
regard.
WisdomTree Multi Asset Issuer Plc
NOTES TO THE FINANCIAL STATEMENTS (continued)
For the financial year ended 31 December 2022
Page 41
18
Commitments and contingencies (continued)
The Company had no other commitments and contingencies as at 31 December 2022 (2021: none).
19
Approval of financial statements
The Board approved these financial statements on 21 April 2023.