WisdomTree puts Atlantic House's defined-return business in U.S. ETF paperwork

WisdomTree closed its purchase of Atlantic House Holdings on May 1 and said the deal would support “the planned launch of 15-20 defined outcome ETFs globally, over the next 18 months.” The European book behind that claim was Atlantic House’s Defined Returns Fund, put at £2.5 billion when the deal closed. The U.S. leg of that plan is now a registration statement.

On Wednesday, September 23, WisdomTree Trust asked the SEC to add three defined-outcome series that use that approach. The filings are post-effective amendments adding series to an existing trust, not a launch notice and not a change to funds already trading. None of the three prospectuses names a ticker, a listing venue, or a management fee, and each cover tells investors the securities cannot be sold until the registration is effective. Each selects automatic effectiveness 75 days after filing under Rule 485(a)(2), a clock the Commission can shorten and the Trust can interrupt by amending the paper again.

The U.K. fund, which took the WisdomTree name on September 1, aims for annualized net returns of 7% to 8% in sterling except in severe, prolonged drawdowns. The U.S. prospectuses seek capital growth over the medium to longer term. They do not repeat that target, or any other number.

What the three series would do

The WisdomTree U.S. Core Defined Outcome Fund, the Unconstrained Defined Outcome Fund, and the Structured Gold Fund would all be actively managed and would hold Defined Return Investments, including autocallables. U.S. Core would take that exposure through U.S. equities or U.S. equity indices; Unconstrained would widen the underlying set; Structured Gold would do the same job in gold.

Autocallables

The prospectuses define a Defined Return Investment as a contract designed to deliver a predefined return linked to an index or asset. A typical holding is supposed to show some of the characteristics of that underlying in both rising and falling markets. In a severe downturn, it is likely to perform similarly to the underlying.

Autocallables are the named example. At regular observation dates, the contract is checked against a preset level. If the underlying is at or above that level, the investment matures early (it “calls”) and pays a predefined positive return; if not, it continues. At final maturity the outcome depends on a barrier: above it, a positive return; below it, capital losses.

That is a different job from the monthly-income autocallable ETFs that already trade. The Calamos Autocallable Income ETF CCAIE had $1.4 billion in assets as of Wednesday. It seeks high monthly income, not the capital-growth objective in WisdomTree’s drafts. Half the fund is a single JPMorgan total-return swap on a MerQube autocallable index, with the rest in a collateral ETF and Treasury bills: a bank’s synthetic exposure to autocallables inside an ETF, not a book of contracts held and rolled.

Calamos already lists a capital-growth version. The Calamos Autocallable Growth ETF CAGE listed in April and had $159.6 million as of Wednesday. It is built the same way, a JPMorgan swap on a MerQube growth-autocallable index, and it reinvests rather than distributing.

If WisdomTree’s three series become effective and list, they would give the issuer a U.S. wrapper for a defined-return approach it already runs in Europe. What the London fund publishes, and this filing does not, is the 7% to 8%.