Aspect Horizon Limited

1. Purpose of this page

The following disclosures are being made by Aspect to investors in the Company before they invest and on an ongoing basis.

Capitalised terms used but not otherwise defined in this document shall, unless the context otherwise requires, have the meanings ascribed to them in the Product Description Document the Company dated 20 July 2023, as amended or supplemented from time to time.

TER Disclosures

2. TER Disclosure

As at 1 January 2024, the total annual operating expenses of the Company over a year is projected to be 0.17% of the Company’s Net Asset Value. This is based on expenses for the year ending 31st December 2023. This figure may vary from year to year and excludes portfolio transactions costs and performance fees, if any.

Additional SFTR Disclosures

3. Purpose of this section

Pursuant to SFTR, Aspect is required to make certain information available to investors in the Fund before they invest and on an ongoing basis. The following disclosures have been prepared to comply with Article 14 of SFTR by informing you of the general risks and consequences that may be involved with Aspect’s use of FICC sponsored overnight repurchase transactions.

4. Maximum and expected proportion of assets which can be subject to Securities Financing Transactions (“SFT”) and Total Return Swaps (“TRS”)

The maximum proportion of the Fund’s assets which can be subject to each type of SFT or TRS (calculated in accordance with the margin methodology used by the Fund’s Equities Broker) expressed as a percentage of the Net Asset Value of the Fund is as follows:

• repurchase transactions: 25 per cent;
• securities or commodities lending or borrowing transactions: 0 per cent;
• buy-sell back transactions, sell-buy back transactions: 0 per cent;
• margin lending transactions: 0 per cent; and
• total return swaps: 0 per cent.

It is, however, typically expected that the Fund’s exposure through SFTs and TRSs will be the following percentages (calculated in accordance with the margin methodology used by the Fund’s Equities Broker) of the Net Asset Value of the Fund:

• repurchase transactions: 0 per cent;
• securities or commodities lending or borrowing transactions: 0 per cent;
• buy-sell back transactions, sell-buy back transactions: 0 per cent;
• margin lending transactions: 0 per cent; and
• total return swaps: 0 per cent.

5. Counterparty Selection

Aspect is required to exercise due skill, care and diligence in the selection, appointment and ongoing monitoring of counterparties and follows a rigorous internal procedure when selecting, appointing and monitoring its brokers. Aspect has delegated authority to appoint and remove counterparties to the Counterparty and Valuation Committee, who will take into consideration some or all of the following factors:

• Price;
• Execution costs and speed;
• Likelihood of execution and settlement (including credit rating and financial soundness; accuracy; coverage; infrastructure and support);
• Legal and Regulatory requirements (including legal status; country of origin; supervision by a public authority; IP protection; and fairness in resolving disputes); and
• Other considerations (including quality and amount of trade flow information; credit lines; reputation and integrity of counterparty; and flexibility and ease of integration of platform into Aspect technology infrastructure).

6. Collateral

Cash is posted as collateral by the Fund and in return the Fund receives US Treasury Bills from the counterparty. As the Fund is utilising cash as collateral, it does not need to consider the issuer, maturity, liquidity as well as collateral diversification and correlation policies. The collateral valuation methodology used for the cash is that it is valued at face value. The cash and the US Treasury Bills are safe kept with the counterparty in a segregated custody account. As the only collateral is cash, there are no restrictions on the reuse.

7. Policy on sharing of return generated by SFTs and TRSs

All of the revenue generated by the SFTs and TRSs will be returned to the Fund net of fees and / or taxes (if any) and none of the costs and fees will be assigned to the manager or third parties other than the counterparty.