0001287480 2026-01-01 2026-06-30 0001287480 bfrit:CommonSharesMember 2026-01-01 2026-06-30 0001287480 bfrit:CounterpartyCreditRiskMember 2026-01-01 2026-06-30 0001287480 bfrit:GeographicAssetClassRiskMember 2026-01-01 2026-06-30 0001287480 bfrit:IlliquidityRiskMember 2026-01-01 2026-06-30 0001287480 bfrit:MarketRisksMember 2026-01-01 2026-06-30 0001287480 bfrit:ValuationRiskMember 2026-01-01 2026-06-30 0001287480 2025-12-31 0001287480 2026-06-30 iso4217:USD shares pure shares 0001287480 false N-CSRS BlackRock Floating Rate Income Trust <div style="line-height:13.00pt;margin-top:0.00pt;text-align:left;"><span style="color:#000000;font-family:arial narrow;font-size:11pt;font-weight:bold">Investment Objective</span></div><div style="margin-top:8pt;"><span style="color:#000000;font-family:arial narrow;font-size:9pt;font-weight:bold;margin-left:0%">BlackRock Floating Rate Income Trust</span><span style="color:#000000;font-family:arial narrow;font-size:9pt;font-weight:bold">’</span><span style="color:#000000;font-family:arial narrow;font-size:9pt;font-weight:bold">s (</span><span style="color:#000000;font-family:arial narrow;font-size:9pt;font-weight:bold">BGT</span><span style="color:#000000;font-family:arial narrow;font-size:9pt;font-weight:bold">) (the “</span><span style="color:#000000;font-family:arial narrow;font-size:9pt;font-weight:bold">Trust</span><span style="color:#000000;font-family:arial narrow;font-size:9pt;font-weight:bold">”)</span><span style="color:#000000;font-family:arial narrow;font-size:9pt"> primary investment objective is to provide a high level of current income. The Trust’s secondary investment </span><span style="color:#000000;font-family:arial narrow;font-size:9pt;margin-left:0%">objective is to seek the preservation of capital to the extent consistent with its primary objective of high current income. The Trust seeks to achieve its investment objectives by </span><span style="color:#000000;font-family:arial narrow;font-size:9pt;margin-left:0%">investing primarily, under normal market conditions, at least 80% of its assets in floating and variable rate instruments of U.S. and non-U.S. issuers, including a substantial </span><span style="color:#000000;font-family:arial narrow;font-size:9pt;margin-left:0%">portion of its assets in global floating and variable rate securities including senior secured floating rate loans made to corporate and other business entities. Under normal </span><span style="color:#000000;font-family:arial narrow;font-size:9pt;margin-left:0%">market conditions, the Trust expects that the average effective duration of its portfolio will be no more than 1.5 years. The Trust may invest directly in such securities or </span><span style="color:#000000;font-family:arial narrow;font-size:9pt">synthetically through the use of derivatives.</span></div><div style="margin-top:8pt;"><span style="color:#000000;font-family:arial narrow;font-size:9pt">No assurance can be given that the Trust’s investment objective will be achieved.</span></div> <div style="margin-top:11.5pt;"><span style="color:#000000;font-family:arial narrow;font-size:11pt;font-weight:bold">Market Price and Net Asset Value Per Share Summary</span><span style="color:#000000;font-family:arial narrow;font-size:9pt;line-height:0.1pt"> </span></div> <table cellpadding="0" cellspacing="0" style="border-bottom:0.5pt solid #000000;empty-cells:show;margin-left:12pt;width:535pt"> <tr style="height:16.5pt"> <td style="border-bottom:0.5pt solid #000000;vertical-align:Bottom;width:323.67pt;"> <div style="line-height:0.5pt;text-align:left;"> <div style="margin-right:6pt;text-align:right;white-space:nowrap;"><span style="color:#000000;font-family:arial narrow;font-size:9pt"> </span></div> </div> </td> <td style="border-bottom:0.5pt solid #000000;vertical-align:Bottom;width:41.53pt;"> <div style="line-height:11.0pt;text-align:left;"> <div style="margin-left:4pt;margin-right:8pt;text-align:right;white-space:nowrap;"><span style="color:#000000;font-family:arial narrow;font-size:8pt;font-style:italic">06/30/26</span></div> </div> </td> <td style="border-bottom:0.5pt solid #000000;vertical-align:Bottom;width:45.53pt;"> <div style="line-height:11.0pt;text-align:left;"> <div style="margin-left:8pt;margin-right:8pt;text-align:right;white-space:nowrap;"><span style="color:#000000;font-family:arial narrow;font-size:8pt;font-style:italic">12/31/25</span></div> </div> </td> <td style="border-bottom:0.5pt solid #000000;vertical-align:Bottom;width:42.97pt;"> <div style="line-height:11.0pt;text-align:left;"> <div style="margin-left:8pt;margin-right:8pt;text-align:right;white-space:nowrap;"><span style="color:#000000;font-family:arial narrow;font-size:8pt;font-style:italic">Change</span></div> </div> </td> <td style="border-bottom:0.5pt solid #000000;vertical-align:Bottom;width:41.41pt;"> <div style="line-height:11.0pt;text-align:left;"> <div style="margin-left:8pt;margin-right:8pt;text-align:right;white-space:nowrap;"><span style="color:#000000;font-family:arial narrow;font-size:8pt;font-style:italic">High</span></div> </div> </td> <td style="border-bottom:0.5pt solid #000000;vertical-align:Bottom;width:39.89pt;"> <div style="line-height:11.0pt;text-align:left;"> <div style="margin-left:8pt;margin-right:6pt;text-align:right;white-space:nowrap;"><span style="color:#000000;font-family:arial narrow;font-size:8pt;font-style:italic">Low</span></div> </div> </td> </tr> <tr style="height:11.5pt"> <td style="background-color:azure;vertical-align:Bottom;width:323.67pt;"> <div style="line-height:10pt;text-align:left;"> <div style="margin-right:6pt;text-align:left;white-space:nowrap;"><span style="color:#000000;font-family:arial narrow;font-size:8pt;margin-left:0.0pt">Closing Market Price</span></div> </div> </td> <td style="background-color:azure;vertical-align:Bottom;white-space:nowrap;width:41.53pt;"> <div style="line-height:10pt;margin-left:6pt;margin-right:10pt;text-align:right;width:25.53pt;"> <div style="display:flex;margin-left:auto;width:25.53pt;"> <div style="display:flex;white-space:nowrap;width:25.53pt;"><span style="color:#000000;font-family:arial narrow;font-size:8pt;width:25.53pt">$ </span><span style="color:#000000;font-family:arial narrow;font-size:8pt;width:25.53pt">10.66</span></div> </div> </div> </td> <td style="background-color:azure;vertical-align:Bottom;white-space:nowrap;width:45.53pt;"> <div style="line-height:10pt;margin-left:10pt;margin-right:10pt;text-align:right;width:25.53pt;"> <div style="display:flex;margin-left:auto;width:25.53pt;"> <div style="display:flex;white-space:nowrap;width:25.53pt;"><span style="color:#000000;font-family:arial narrow;font-size:8pt;width:25.53pt">$ </span><span style="color:#000000;font-family:arial narrow;font-size:8pt;width:25.53pt">11.33</span></div> </div> </div> </td> <td style="background-color:azure;vertical-align:Bottom;white-space:nowrap;width:42.97pt;"> <div style="line-height:10pt;margin-left:10pt;margin-right:10pt;text-align:right;width:22.97pt;"> <div style="display:flex;margin-left:auto;width:22.97pt;"> <div style="display:flex;white-space:nowrap;width:22.97pt;"><span style="color:#000000;font-family:arial narrow;font-size:8pt;width:22.97pt">(5.91</span></div> <div style="display:flex;width:22.97pt;"><span style="color:#000000;font-family:arial narrow;font-size:8pt;width:auto">)</span><span style="color:#000000;font-family:arial narrow;font-size:8pt;width:auto">% </span></div> </div> </div> </td> <td style="background-color:azure;vertical-align:Bottom;white-space:nowrap;width:41.41pt;"> <div style="line-height:10pt;margin-left:10pt;margin-right:10pt;text-align:right;width:21.41pt;"> <div style="display:flex;margin-left:auto;width:21.41pt;"> <div style="display:flex;white-space:nowrap;width:21.41pt;"><span style="color:#000000;font-family:arial narrow;font-size:8pt;width:21.41pt">$ </span><span style="color:#000000;font-family:arial narrow;font-size:8pt;width:21.41pt">11.64</span></div> </div> </div> </td> <td style="background-color:azure;vertical-align:Bottom;white-space:nowrap;width:39.89pt;"> <div style="line-height:10pt;margin-left:10pt;margin-right:4pt;text-align:right;width:21.89pt;"> <div style="display:flex;margin-left:auto;width:21.89pt;"> <div style="display:flex;white-space:nowrap;width:21.89pt;"><span style="color:#000000;font-family:arial narrow;font-size:8pt;width:21.89pt">$ </span><span style="color:#000000;font-family:arial narrow;font-size:8pt;width:21.89pt">10.39</span></div> </div> </div> </td> </tr> <tr style="height:10.5pt"> <td style="vertical-align:Bottom;width:323.67pt;"> <div style="line-height:10pt;text-align:left;"> <div style="margin-right:6pt;text-align:left;white-space:nowrap;"><span style="color:#000000;font-family:arial narrow;font-size:8pt;margin-left:0.0pt">Net Asset Value</span></div> </div> </td> <td style="vertical-align:Bottom;white-space:nowrap;width:41.53pt;"> <div style="line-height:10pt;margin-left:6pt;margin-right:10pt;text-align:right;width:25.53pt;"> <div style="display:flex;margin-left:auto;width:25.53pt;"> <div style="display:flex;white-space:nowrap;width:25.53pt;"><span style="color:#000000;font-family:arial narrow;font-size:8pt;width:25.53pt">11.15</span></div> </div> </div> </td> <td style="vertical-align:Bottom;white-space:nowrap;width:45.53pt;"> <div style="line-height:10pt;margin-left:10pt;margin-right:10pt;text-align:right;width:25.53pt;"> <div style="display:flex;margin-left:auto;width:25.53pt;"> <div style="display:flex;white-space:nowrap;width:25.53pt;"><span style="color:#000000;font-family:arial narrow;font-size:8pt;width:25.53pt">11.84</span></div> </div> </div> </td> <td style="vertical-align:Bottom;white-space:nowrap;width:42.97pt;"> <div style="line-height:10pt;margin-left:10pt;margin-right:10pt;text-align:right;width:22.97pt;"> <div style="display:flex;margin-left:auto;width:22.97pt;"> <div style="display:flex;white-space:nowrap;width:22.97pt;"><span style="color:#000000;font-family:arial narrow;font-size:8pt;width:22.97pt">(5.83</span></div> <div style="display:flex;width:22.97pt;"><span style="color:#000000;font-family:arial narrow;font-size:8pt;width:auto">)</span></div> </div> </div> </td> <td style="vertical-align:Bottom;white-space:nowrap;width:41.41pt;"> <div style="line-height:10pt;margin-left:10pt;margin-right:10pt;text-align:right;width:21.41pt;"> <div style="display:flex;margin-left:auto;width:21.41pt;"> <div style="display:flex;white-space:nowrap;width:21.41pt;"><span style="color:#000000;font-family:arial narrow;font-size:8pt;width:21.41pt">11.89</span></div> </div> </div> </td> <td style="vertical-align:Bottom;white-space:nowrap;width:39.89pt;"> <div style="line-height:10pt;margin-left:10pt;margin-right:4pt;text-align:right;width:21.89pt;"> <div style="display:flex;margin-left:auto;width:21.89pt;"> <div style="display:flex;white-space:nowrap;width:21.89pt;"><span style="color:#000000;font-family:arial narrow;font-size:8pt;width:21.89pt">11.15</span></div> </div> </div> </td> </tr> </table> 10.66 11.33 -0.0591 11.64 10.39 11.15 11.84 -0.0583 11.89 11.15 29824720 <div style="float:left;line-height:13.50pt;text-align:left;width:13.11pt;"><span style="color:#000000;font-family:arial narrow;font-size:11.5pt;font-style:italic;font-weight:bold">10.</span></div><div style="float:left;line-height:13.50pt;margin-left:2.89pt;text-align:left;width:538.00pt;"><span style="color:#000000;font-family:arial narrow;font-size:11.5pt;font-style:italic;font-weight:bold">PRINCIPAL RISKS</span><span style="color:#000000;font-family:arial narrow;font-size:9pt;line-height:16.5pt"> </span></div><div style="margin-top:8pt;"><span style="color:#000000;font-family:arial narrow;font-size:9pt;margin-left:0%">In the normal course of business, each</span><span style="color:#000000;font-family:arial narrow;font-size:9pt;line-height:11.00pt"> </span><span style="color:#000000;font-family:arial narrow;font-size:9pt">Trust</span><span style="color:#000000;font-family:arial narrow;font-size:9pt;line-height:11.00pt"> </span><span style="color:#000000;font-family:arial narrow;font-size:9pt">invests in securities or other instruments and may enter into certain transactions, and such activities subject each</span><span style="color:#000000;font-family:arial narrow;font-size:9pt;line-height:11.00pt"> </span><span style="color:#000000;font-family:arial narrow;font-size:9pt">Trust to various </span><span style="color:#000000;font-family:arial narrow;font-size:9pt;margin-left:0%">risks, including among others, fluctuations in the market (market risk) or failure of an issuer to meet all of its obligations. The value of securities or other instruments may also </span><span style="color:#000000;font-family:arial narrow;font-size:9pt;margin-left:0%">be affected by various factors, including, without limitation: (i) the general economy; (ii) the overall market as well as local, regional or global political and/or social instability; </span><span style="color:#000000;font-family:arial narrow;font-size:9pt;margin-left:0%">(iii) regulation, taxation, tariffs or international tax treaties between various countries; or (iv) currency, interest rate or price fluctuations. Local, regional or global events such as </span><span style="color:#000000;font-family:arial narrow;font-size:9pt;margin-left:0%">war, acts of terrorism, the spread of infectious illness or other public health issues, recessions, or other events could have a significant impact on the Trusts and their </span><span style="color:#000000;font-family:arial narrow;font-size:9pt">investments.</span></div><div style="margin-top:8pt;"><span style="color:#000000;font-family:arial narrow;font-size:9pt;font-weight:bold;margin-left:0%">Illiquidity Risk:</span><span style="color:#000000;font-family:arial narrow;font-size:9pt"> Each Trust may invest without limitation in illiquid or less liquid investments or investments in which no secondary market is readily available or which are </span><span style="color:#000000;font-family:arial narrow;font-size:9pt;margin-left:0%">otherwise illiquid, including private placement securities. A Trust may not be able to readily dispose of such investments at prices that approximate those at which a Trust could </span><span style="color:#000000;font-family:arial narrow;font-size:9pt;margin-left:0%">sell such investments if they were more widely traded and, as a result of such illiquidity, a Trust may have to sell other investments or engage in borrowing transactions if </span><span style="color:#000000;font-family:arial narrow;font-size:9pt;margin-left:0%">necessary to raise funds to meet its obligations. Limited liquidity can also affect the market price of investments, thereby adversely affecting a Trust’s NAV and ability to make </span><span style="color:#000000;font-family:arial narrow;font-size:9pt;margin-left:0%">dividend distributions. Privately issued debt securities are often of below investment grade quality, frequently are unrated and present many of the same risks as investing in </span><span style="color:#000000;font-family:arial narrow;font-size:9pt">below investment grade public debt securities.</span></div><div style="margin-top:8pt;"><span style="color:#000000;font-family:arial narrow;font-size:9pt;font-weight:bold;margin-left:0%">Market Risk:</span><span style="color:#000000;font-family:arial narrow;font-size:9pt;line-height:11.00pt">  </span><span style="color:#000000;font-family:arial narrow;font-size:9pt">Each</span><span style="color:#000000;font-family:arial narrow;font-size:9pt;line-height:11.00pt"> </span><span style="color:#000000;font-family:arial narrow;font-size:9pt">Trust may be exposed to prepayment risk, which is the risk that borrowers may exercise their option to prepay principal earlier than scheduled during </span><span style="color:#000000;font-family:arial narrow;font-size:9pt;margin-left:0%">periods of declining interest rates, which would force each</span><span style="color:#000000;font-family:arial narrow;font-size:9pt;line-height:11.00pt"> </span><span style="color:#000000;font-family:arial narrow;font-size:9pt">Trust to reinvest in lower yielding securities. Each</span><span style="color:#000000;font-family:arial narrow;font-size:9pt;line-height:11.00pt"> </span><span style="color:#000000;font-family:arial narrow;font-size:9pt">Trust</span><span style="color:#000000;font-family:arial narrow;font-size:9pt;line-height:11.00pt"> </span><span style="color:#000000;font-family:arial narrow;font-size:9pt">may also be exposed to reinvestment risk, which is the risk </span><span style="color:#000000;font-family:arial narrow;font-size:9pt;margin-left:0%">that income from each</span><span style="color:#000000;font-family:arial narrow;font-size:9pt;line-height:11.00pt"> </span><span style="color:#000000;font-family:arial narrow;font-size:9pt">Trust’s portfolio will decline if each</span><span style="color:#000000;font-family:arial narrow;font-size:9pt;line-height:11.00pt"> </span><span style="color:#000000;font-family:arial narrow;font-size:9pt">Trust invests the proceeds from matured, traded or called fixed-income securities at market interest rates that are </span><span style="color:#000000;font-family:arial narrow;font-size:9pt">below each</span><span style="color:#000000;font-family:arial narrow;font-size:9pt;line-height:11.00pt"> </span><span style="color:#000000;font-family:arial narrow;font-size:9pt">Trust portfolio’s current earnings rate.</span></div><div style="margin-top:8pt;"><span style="color:#000000;font-family:arial narrow;font-size:9pt;margin-left:0%">Municipal securities are subject to the risk that litigation, legislation or other political events, local business or economic conditions, credit rating downgrades, or the bankruptcy </span><span style="color:#000000;font-family:arial narrow;font-size:9pt;margin-left:0%">of the issuer could have a significant effect on an issuer’s ability to make payments of principal and/or interest or otherwise affect the value of such securities. Municipal </span><span style="color:#000000;font-family:arial narrow;font-size:9pt;margin-left:0%">securities can be significantly affected by political or economic changes, including changes made in the law after issuance of the securities, as well as uncertainties in the </span><span style="color:#000000;font-family:arial narrow;font-size:9pt;margin-left:0%">municipal market related to, taxation, legislative changes or the rights of municipal security holders, including in connection with an issuer insolvency. Municipal securities </span><span style="color:#000000;font-family:arial narrow;font-size:9pt;margin-left:0%">backed by current or anticipated revenues from a specific project or specific assets can be negatively affected by the discontinuance of the tax benefits supporting the project </span><span style="color:#000000;font-family:arial narrow;font-size:9pt;margin-left:0%">or assets or the inability to collect revenues for the project or from the assets. Municipal securities may be less liquid than taxable bonds, and there may be less publicly </span><span style="color:#000000;font-family:arial narrow;font-size:9pt">available information on the financial condition of municipal security issuers than for issuers of other securities.</span></div><div style="line-height:11.00pt;margin-top:0.00pt;text-align:justify;"><span style="color:#000000;font-family:arial narrow;font-size:9pt;font-weight:bold;margin-left:0%">Valuation Risk: </span><span style="color:#000000;font-family:arial narrow;font-size:9pt">The market values of equities, such as common stocks and preferred securities or equity related investments, such as futures and options, may decline due </span><span style="color:#000000;font-family:arial narrow;font-size:9pt;margin-left:0%">to general market conditions which are not specifically related to a particular company. They may also decline due to factors which affect a particular industry or industries. </span><span style="color:#000000;font-family:arial narrow;font-size:9pt;margin-left:0%">A</span><span style="color:#000000;font-family:arial narrow;font-size:9pt;line-height:11.00pt"> </span><span style="color:#000000;font-family:arial narrow;font-size:9pt">Trust may invest in illiquid investments. An illiquid investment is any investment that a</span><span style="color:#000000;font-family:arial narrow;font-size:9pt;line-height:11.00pt"> </span><span style="color:#000000;font-family:arial narrow;font-size:9pt">Trust reasonably expects cannot be sold or disposed of in current market conditions </span><span style="color:#000000;font-family:arial narrow;font-size:9pt;margin-left:0%">in seven calendar days or less without the sale or disposition significantly changing the market value of the investment. A</span><span style="color:#000000;font-family:arial narrow;font-size:9pt;line-height:11.00pt"> </span><span style="color:#000000;font-family:arial narrow;font-size:9pt">Trust may  experience difficulty in selling illiquid </span><span style="color:#000000;font-family:arial narrow;font-size:9pt;margin-left:0%">investments in a timely manner at the price that it believes the investments are worth. Prices may fluctuate widely over short or extended periods in response to company, </span><span style="color:#000000;font-family:arial narrow;font-size:9pt;margin-left:0%">market or economic news. Markets also tend to move in cycles, with periods of rising and falling prices. This volatility may cause each</span><span style="color:#000000;font-family:arial narrow;font-size:9pt;line-height:11.00pt"> </span><span style="color:#000000;font-family:arial narrow;font-size:9pt">Trust’s NAV to experience significant </span><span style="color:#000000;font-family:arial narrow;font-size:9pt;margin-left:0%">increases or decreases over short periods of time. If there is a general decline in the securities and other markets, the NAV of a</span><span style="color:#000000;font-family:arial narrow;font-size:9pt;line-height:11.00pt"> </span><span style="color:#000000;font-family:arial narrow;font-size:9pt">Trust may lose value, regardless of the </span><span style="color:#000000;font-family:arial narrow;font-size:9pt;margin-left:0%">individual results of the securities and other instruments in which a</span><span style="color:#000000;font-family:arial narrow;font-size:9pt;line-height:11.00pt"> </span><span style="color:#000000;font-family:arial narrow;font-size:9pt">Trust invests. A</span><span style="color:#000000;font-family:arial narrow;font-size:9pt;line-height:11.00pt"> </span><span style="color:#000000;font-family:arial narrow;font-size:9pt">Trust’s ability to value its investments may also be impacted by technological issues and/or </span><span style="color:#000000;font-family:arial narrow;font-size:9pt;margin-left:0%">errors by pricing services or other third-party service providers.</span><span style="color:#000000;font-family:arial narrow;font-size:9pt;line-height:11.00pt">  </span><span style="color:#000000;font-family:arial narrow;font-size:9pt">The price a Trust could receive upon the sale of any particular portfolio investment may differ from a Trust</span><span style="color:#000000;font-family:arial narrow;font-size:9pt">’</span><span style="color:#000000;font-family:arial narrow;font-size:9pt">s </span><span style="color:#000000;font-family:arial narrow;font-size:9pt;margin-left:0%">valuation of the investment, particularly for securities that trade in thin or volatile markets or that are valued using a fair valuation technique or a price provided by an </span><span style="color:#000000;font-family:arial narrow;font-size:9pt;margin-left:0%">independent pricing service. Changes to significant unobservable inputs and assumptions (i.e., publicly traded company multiples, growth rate, time to exit) due to the lack of </span><span style="color:#000000;font-family:arial narrow;font-size:9pt;margin-left:0%">observable inputs may significantly impact the resulting fair value and therefore a Trust</span><span style="color:#000000;font-family:arial narrow;font-size:9pt">’</span><span style="color:#000000;font-family:arial narrow;font-size:9pt">s results of operations. As a result, the price received upon the sale of an investment </span><span style="color:#000000;font-family:arial narrow;font-size:9pt">may be less than the value ascribed by a Trust, and a Trust could realize a greater than expected loss or lesser than expected gain upon the sale of the investment.</span></div><div style="margin-top:8pt;"><span style="color:#000000;font-family:arial narrow;font-size:9pt;font-weight:bold;margin-left:0%">Counterparty Credit Risk:</span><span style="color:#000000;font-family:arial narrow;font-size:9pt;line-height:11.00pt"> </span><span style="color:#000000;font-family:arial narrow;font-size:9pt">The Trusts may be exposed to counterparty credit risk, or the risk that an entity may fail to or be unable to perform on its commitments related to </span><span style="color:#000000;font-family:arial narrow;font-size:9pt;margin-left:0%">unsettled or open transactions, including making timely interest and/or principal payments or otherwise honoring its obligations. The Trusts manage counterparty credit risk by </span><span style="color:#000000;font-family:arial narrow;font-size:9pt;margin-left:0%">entering into transactions only with counterparties that the Manager believes have the financial resources to honor their obligations and by monitoring the financial stability of </span><span style="color:#000000;font-family:arial narrow;font-size:9pt;margin-left:0%">those counterparties. Financial assets, which potentially expose the Trusts to market, issuer and counterparty credit risks, consist principally of financial instruments and </span><span style="color:#000000;font-family:arial narrow;font-size:9pt;margin-left:0%">receivables due from counterparties. The extent of the Trusts</span><span style="color:#000000;font-family:arial narrow;font-size:9pt">’</span><span style="color:#000000;font-family:arial narrow;font-size:9pt"> exposure to market, issuer and counterparty credit risks with respect to these financial assets is approximately </span><span style="color:#000000;font-family:arial narrow;font-size:9pt">their value recorded in the Statements of Assets and Liabilities, less any collateral held by the Trusts.</span></div><div style="margin-top:8pt;"><span style="color:#000000;font-family:arial narrow;font-size:9pt;margin-left:0%">A derivative contract may suffer a mark-to-market loss if the value of the contract decreases due to an unfavorable change in the market rates or values of the underlying </span><span style="color:#000000;font-family:arial narrow;font-size:9pt">instrument. Losses can also occur if the counterparty does not perform under the contract.</span></div><div style="margin-top:8pt;"><span style="color:#000000;font-family:arial narrow;font-size:9pt;margin-left:0%">For OTC options purchased, each</span><span style="color:#000000;font-family:arial narrow;font-size:9pt;line-height:11.00pt"> </span><span style="color:#000000;font-family:arial narrow;font-size:9pt">Trust bears the risk of loss in the amount of the premiums paid plus the positive change in market values net of any collateral held by the </span><span style="color:#000000;font-family:arial narrow;font-size:9pt;margin-left:0%">Trusts should the counterparty fail to perform under the contracts. Options written by the Trusts do not typically give rise to counterparty credit risk, as options written generally </span><span style="color:#000000;font-family:arial narrow;font-size:9pt;margin-left:0%">obligate the Trusts, and not the counterparty, to perform. The Trusts may be exposed to counterparty credit risk with respect to options written to the extent each</span><span style="color:#000000;font-family:arial narrow;font-size:9pt;line-height:11.00pt"> </span><span style="color:#000000;font-family:arial narrow;font-size:9pt">Trust</span><span style="color:#000000;font-family:arial narrow;font-size:9pt;line-height:11.00pt"> </span><span style="color:#000000;font-family:arial narrow;font-size:9pt">deposits </span><span style="color:#000000;font-family:arial narrow;font-size:9pt">collateral with its counterparty to a written option.</span></div><div style="margin-top:8pt;"><span style="color:#000000;font-family:arial narrow;font-size:9pt;margin-left:0%">With exchange-traded options purchased and exchange-traded futures and centrally cleared swaps, there is less counterparty credit risk to the Trusts since the exchange or </span><span style="color:#000000;font-family:arial narrow;font-size:9pt;margin-left:0%">clearinghouse, as counterparty to such instruments, guarantees against a possible default. The clearinghouse stands between the buyer and the seller of the contract; </span><span style="color:#000000;font-family:arial narrow;font-size:9pt;margin-left:0%">therefore, credit risk is limited to failure of the clearinghouse. While offset rights may exist under applicable law, a Trust does not have a contractual right of offset against a </span><span style="color:#000000;font-family:arial narrow;font-size:9pt;margin-left:0%">clearing broker or clearinghouse in the event of a default (including the bankruptcy or insolvency). Additionally, credit risk exists in exchange-traded futures and centrally </span><span style="color:#000000;font-family:arial narrow;font-size:9pt;margin-left:0%">cleared swaps with respect to initial and variation margin that is held in a clearing broker’s customer accounts. While clearing brokers are required to segregate customer </span><span style="color:#000000;font-family:arial narrow;font-size:9pt;margin-left:0%">margin from their own assets, in the event that a clearing broker becomes insolvent or goes into bankruptcy and at that time there is a shortfall in the aggregate amount of </span><span style="color:#000000;font-family:arial narrow;font-size:9pt;margin-left:0%">margin held by the clearing broker for all its clients, typically the shortfall would be allocated on a pro rata basis across all the clearing broker’s customers, potentially resulting </span><span style="color:#000000;font-family:arial narrow;font-size:9pt">in losses to the Trusts.</span></div><div style="margin-top:8pt;"><span style="color:#000000;font-family:arial narrow;font-size:9pt;font-weight:bold;margin-left:0%">Geographic/Asset Class Risk:</span><span style="color:#000000;font-family:arial narrow;font-size:9pt;line-height:11.00pt"> </span><span style="color:#000000;font-family:arial narrow;font-size:9pt">A diversified portfolio, where this is appropriate and consistent with a fund’s objectives, minimizes the risk that a price change of a particular </span><span style="color:#000000;font-family:arial narrow;font-size:9pt">investment will have a material impact on the NAV of a fund. The investment concentrations within each</span><span style="color:#000000;font-family:arial narrow;font-size:9pt;line-height:11.00pt"> </span><span style="color:#000000;font-family:arial narrow;font-size:9pt">Trust’s portfolio are disclosed in its Schedule of Investments.</span></div><div style="margin-top:8pt;"><span style="color:#000000;font-family:arial narrow;font-size:9pt;margin-left:0%">The</span><span style="color:#000000;font-family:arial narrow;font-size:9pt;line-height:11.00pt"> </span><span style="color:#000000;font-family:arial narrow;font-size:9pt">Trusts invest a significant portion of their assets in high yield securities. High yield securities that are rated below investment-grade (commonly referred to as “junk bonds”) </span><span style="color:#000000;font-family:arial narrow;font-size:9pt;margin-left:0%">or are unrated may be deemed speculative, involve greater levels of risk than higher-rated securities of similar maturity and are more likely to default. High yield securities may </span><span style="color:#000000;font-family:arial narrow;font-size:9pt;margin-left:0%">be issued by less creditworthy issuers, and issuers of high yield securities may be unable to meet their interest or principal payment obligations. High yield securities are </span><span style="color:#000000;font-family:arial narrow;font-size:9pt;margin-left:0%">subject to extreme price fluctuations, may be less liquid than higher rated fixed-income securities, even under normal economic conditions, and frequently have redemption </span><span style="color:#000000;font-family:arial narrow;font-size:9pt">features.</span></div><div style="margin-top:8pt;"><span style="color:#000000;font-family:arial narrow;font-size:9pt;margin-left:0%">The</span><span style="color:#000000;font-family:arial narrow;font-size:9pt;line-height:11.00pt"> </span><span style="color:#000000;font-family:arial narrow;font-size:9pt">Trusts invest a significant portion of their assets in fixed-income securities and/or use derivatives tied to the fixed-income markets. Changes in market interest rates or </span><span style="color:#000000;font-family:arial narrow;font-size:9pt;margin-left:0%">economic conditions may affect the value and/or liquidity of such investments. Interest rate risk is the risk that prices of bonds and other fixed-income securities will decrease </span><span style="color:#000000;font-family:arial narrow;font-size:9pt;margin-left:0%">as interest rates rise and increase as interest rates fall. The Trusts may be subject to a greater risk of rising interest rates during a period of historically low interest </span><span style="color:#000000;font-family:arial narrow;font-size:9pt">rates. Changing interest rates may have unpredictable effects on markets, may result in heightened market volatility, and could negatively impact the Trusts</span><span style="color:#000000;font-family:arial narrow;font-size:9pt">’</span><span style="color:#000000;font-family:arial narrow;font-size:9pt"> performance.</span></div><div style="margin-top:8pt;"><span style="color:#000000;font-family:arial narrow;font-size:9pt;margin-left:0%">The</span><span style="color:#000000;font-family:arial narrow;font-size:9pt;line-height:11.00pt"> </span><span style="color:#000000;font-family:arial narrow;font-size:9pt">Trusts invest a significant portion of their assets in securities of issuers located in the United States.</span><span style="color:#000000;font-family:arial narrow;font-size:9pt;line-height:11.00pt"> </span><span style="color:#000000;font-family:arial narrow;font-size:9pt">A decrease in imports or exports, changes in trade regulations, </span><span style="color:#000000;font-family:arial narrow;font-size:9pt;margin-left:0%">inflation and/or an economic recession in the United States may have a material adverse effect on the U.S. economy and the securities listed on U.S. exchanges. Proposed </span><span style="color:#000000;font-family:arial narrow;font-size:9pt;margin-left:0%">and adopted policy and legislative changes in the United States may also have a significant effect on U.S. markets generally, as well as on the value of certain securities. </span><span style="color:#000000;font-family:arial narrow;font-size:9pt;margin-left:0%">Governmental agencies project that the United States will continue to maintain elevated public debt levels for the foreseeable future which may constrain future economic </span><span style="color:#000000;font-family:arial narrow;font-size:9pt;margin-left:0%">growth. Circumstances could arise that could prevent the timely payment of interest or principal on U.S. government debt, such as reaching the legislative “debt ceiling.” Such </span><span style="color:#000000;font-family:arial narrow;font-size:9pt;margin-left:0%">non-payment would result in substantial negative consequences for the U.S. economy and the global financial system. If U.S. relations with certain countries deteriorate, it </span><span style="color:#000000;font-family:arial narrow;font-size:9pt;margin-left:0%">could adversely affect issuers that rely on the United States for trade. The United States has also experienced increased internal unrest and discord. If these trends were to </span><span style="color:#000000;font-family:arial narrow;font-size:9pt">continue, they may have an adverse impact on the U.S. economy and the issuers in which the Trusts invest.</span></div><div style="margin-top:8pt;"><span style="color:#000000;font-family:arial narrow;font-size:9pt;margin-left:0%">Certain</span><span style="color:#000000;font-family:arial narrow;font-size:9pt;line-height:11.00pt"> </span><span style="color:#000000;font-family:arial narrow;font-size:9pt">Trusts</span><span style="color:#000000;font-family:arial narrow;font-size:9pt;line-height:11.00pt"> </span><span style="color:#000000;font-family:arial narrow;font-size:9pt">invest</span><span style="color:#000000;font-family:arial narrow;font-size:9pt;line-height:11.00pt"> </span><span style="color:#000000;font-family:arial narrow;font-size:9pt">a significant portion of  their</span><span style="color:#000000;font-family:arial narrow;font-size:9pt;line-height:11.00pt"> </span><span style="color:#000000;font-family:arial narrow;font-size:9pt">assets in securities backed by commercial or residential mortgage loans or in issuers that hold mortgage and other asset-backed</span><span style="color:#000000;font-family:arial narrow;font-size:9pt;margin-left:0%"> securities. When a fund concentrates its investments in this manner, it assumes a greater risk of prepayment or payment extension by securities issuers. Changes in </span></div><div style="line-height:11.00pt;margin-top:0.00pt;text-align:justify;"><span style="color:#000000;font-family:arial narrow;font-size:9pt;margin-left:0%">economic conditions, including delinquencies and/or defaults on assets underlying these securities, can affect the value, income and/or liquidity of such positions. Investment </span><span style="color:#000000;font-family:arial narrow;font-size:9pt">percentages in these securities are presented in the Schedules of Investments.</span></div> <div style="margin-top:8pt;"><span style="color:#000000;font-family:arial narrow;font-size:9pt;font-weight:bold;margin-left:0%">Illiquidity Risk:</span><span style="color:#000000;font-family:arial narrow;font-size:9pt"> Each Trust may invest without limitation in illiquid or less liquid investments or investments in which no secondary market is readily available or which are </span><span style="color:#000000;font-family:arial narrow;font-size:9pt;margin-left:0%">otherwise illiquid, including private placement securities. A Trust may not be able to readily dispose of such investments at prices that approximate those at which a Trust could </span><span style="color:#000000;font-family:arial narrow;font-size:9pt;margin-left:0%">sell such investments if they were more widely traded and, as a result of such illiquidity, a Trust may have to sell other investments or engage in borrowing transactions if </span><span style="color:#000000;font-family:arial narrow;font-size:9pt;margin-left:0%">necessary to raise funds to meet its obligations. Limited liquidity can also affect the market price of investments, thereby adversely affecting a Trust’s NAV and ability to make </span><span style="color:#000000;font-family:arial narrow;font-size:9pt;margin-left:0%">dividend distributions. Privately issued debt securities are often of below investment grade quality, frequently are unrated and present many of the same risks as investing in </span><span style="color:#000000;font-family:arial narrow;font-size:9pt">below investment grade public debt securities.</span></div> <div style="margin-top:8pt;"><span style="color:#000000;font-family:arial narrow;font-size:9pt;font-weight:bold;margin-left:0%">Market Risk:</span><span style="color:#000000;font-family:arial narrow;font-size:9pt;line-height:11.00pt">  </span><span style="color:#000000;font-family:arial narrow;font-size:9pt">Each</span><span style="color:#000000;font-family:arial narrow;font-size:9pt;line-height:11.00pt"> </span><span style="color:#000000;font-family:arial narrow;font-size:9pt">Trust may be exposed to prepayment risk, which is the risk that borrowers may exercise their option to prepay principal earlier than scheduled during </span><span style="color:#000000;font-family:arial narrow;font-size:9pt;margin-left:0%">periods of declining interest rates, which would force each</span><span style="color:#000000;font-family:arial narrow;font-size:9pt;line-height:11.00pt"> </span><span style="color:#000000;font-family:arial narrow;font-size:9pt">Trust to reinvest in lower yielding securities. Each</span><span style="color:#000000;font-family:arial narrow;font-size:9pt;line-height:11.00pt"> </span><span style="color:#000000;font-family:arial narrow;font-size:9pt">Trust</span><span style="color:#000000;font-family:arial narrow;font-size:9pt;line-height:11.00pt"> </span><span style="color:#000000;font-family:arial narrow;font-size:9pt">may also be exposed to reinvestment risk, which is the risk </span><span style="color:#000000;font-family:arial narrow;font-size:9pt;margin-left:0%">that income from each</span><span style="color:#000000;font-family:arial narrow;font-size:9pt;line-height:11.00pt"> </span><span style="color:#000000;font-family:arial narrow;font-size:9pt">Trust’s portfolio will decline if each</span><span style="color:#000000;font-family:arial narrow;font-size:9pt;line-height:11.00pt"> </span><span style="color:#000000;font-family:arial narrow;font-size:9pt">Trust invests the proceeds from matured, traded or called fixed-income securities at market interest rates that are </span><span style="color:#000000;font-family:arial narrow;font-size:9pt">below each</span><span style="color:#000000;font-family:arial narrow;font-size:9pt;line-height:11.00pt"> </span><span style="color:#000000;font-family:arial narrow;font-size:9pt">Trust portfolio’s current earnings rate.</span></div><div style="margin-top:8pt;"><span style="color:#000000;font-family:arial narrow;font-size:9pt;margin-left:0%">Municipal securities are subject to the risk that litigation, legislation or other political events, local business or economic conditions, credit rating downgrades, or the bankruptcy </span><span style="color:#000000;font-family:arial narrow;font-size:9pt;margin-left:0%">of the issuer could have a significant effect on an issuer’s ability to make payments of principal and/or interest or otherwise affect the value of such securities. Municipal </span><span style="color:#000000;font-family:arial narrow;font-size:9pt;margin-left:0%">securities can be significantly affected by political or economic changes, including changes made in the law after issuance of the securities, as well as uncertainties in the </span><span style="color:#000000;font-family:arial narrow;font-size:9pt;margin-left:0%">municipal market related to, taxation, legislative changes or the rights of municipal security holders, including in connection with an issuer insolvency. Municipal securities </span><span style="color:#000000;font-family:arial narrow;font-size:9pt;margin-left:0%">backed by current or anticipated revenues from a specific project or specific assets can be negatively affected by the discontinuance of the tax benefits supporting the project </span><span style="color:#000000;font-family:arial narrow;font-size:9pt;margin-left:0%">or assets or the inability to collect revenues for the project or from the assets. Municipal securities may be less liquid than taxable bonds, and there may be less publicly </span><span style="color:#000000;font-family:arial narrow;font-size:9pt">available information on the financial condition of municipal security issuers than for issuers of other securities.</span></div> <div style="line-height:11.00pt;margin-top:0.00pt;text-align:justify;"><span style="color:#000000;font-family:arial narrow;font-size:9pt;font-weight:bold;margin-left:0%">Valuation Risk: </span><span style="color:#000000;font-family:arial narrow;font-size:9pt">The market values of equities, such as common stocks and preferred securities or equity related investments, such as futures and options, may decline due </span><span style="color:#000000;font-family:arial narrow;font-size:9pt;margin-left:0%">to general market conditions which are not specifically related to a particular company. They may also decline due to factors which affect a particular industry or industries. </span><span style="color:#000000;font-family:arial narrow;font-size:9pt;margin-left:0%">A</span><span style="color:#000000;font-family:arial narrow;font-size:9pt;line-height:11.00pt"> </span><span style="color:#000000;font-family:arial narrow;font-size:9pt">Trust may invest in illiquid investments. An illiquid investment is any investment that a</span><span style="color:#000000;font-family:arial narrow;font-size:9pt;line-height:11.00pt"> </span><span style="color:#000000;font-family:arial narrow;font-size:9pt">Trust reasonably expects cannot be sold or disposed of in current market conditions </span><span style="color:#000000;font-family:arial narrow;font-size:9pt;margin-left:0%">in seven calendar days or less without the sale or disposition significantly changing the market value of the investment. A</span><span style="color:#000000;font-family:arial narrow;font-size:9pt;line-height:11.00pt"> </span><span style="color:#000000;font-family:arial narrow;font-size:9pt">Trust may  experience difficulty in selling illiquid </span><span style="color:#000000;font-family:arial narrow;font-size:9pt;margin-left:0%">investments in a timely manner at the price that it believes the investments are worth. Prices may fluctuate widely over short or extended periods in response to company, </span><span style="color:#000000;font-family:arial narrow;font-size:9pt;margin-left:0%">market or economic news. Markets also tend to move in cycles, with periods of rising and falling prices. This volatility may cause each</span><span style="color:#000000;font-family:arial narrow;font-size:9pt;line-height:11.00pt"> </span><span style="color:#000000;font-family:arial narrow;font-size:9pt">Trust’s NAV to experience significant </span><span style="color:#000000;font-family:arial narrow;font-size:9pt;margin-left:0%">increases or decreases over short periods of time. If there is a general decline in the securities and other markets, the NAV of a</span><span style="color:#000000;font-family:arial narrow;font-size:9pt;line-height:11.00pt"> </span><span style="color:#000000;font-family:arial narrow;font-size:9pt">Trust may lose value, regardless of the </span><span style="color:#000000;font-family:arial narrow;font-size:9pt;margin-left:0%">individual results of the securities and other instruments in which a</span><span style="color:#000000;font-family:arial narrow;font-size:9pt;line-height:11.00pt"> </span><span style="color:#000000;font-family:arial narrow;font-size:9pt">Trust invests. A</span><span style="color:#000000;font-family:arial narrow;font-size:9pt;line-height:11.00pt"> </span><span style="color:#000000;font-family:arial narrow;font-size:9pt">Trust’s ability to value its investments may also be impacted by technological issues and/or </span><span style="color:#000000;font-family:arial narrow;font-size:9pt;margin-left:0%">errors by pricing services or other third-party service providers.</span><span style="color:#000000;font-family:arial narrow;font-size:9pt;line-height:11.00pt">  </span><span style="color:#000000;font-family:arial narrow;font-size:9pt">The price a Trust could receive upon the sale of any particular portfolio investment may differ from a Trust</span><span style="color:#000000;font-family:arial narrow;font-size:9pt">’</span><span style="color:#000000;font-family:arial narrow;font-size:9pt">s </span><span style="color:#000000;font-family:arial narrow;font-size:9pt;margin-left:0%">valuation of the investment, particularly for securities that trade in thin or volatile markets or that are valued using a fair valuation technique or a price provided by an </span><span style="color:#000000;font-family:arial narrow;font-size:9pt;margin-left:0%">independent pricing service. Changes to significant unobservable inputs and assumptions (i.e., publicly traded company multiples, growth rate, time to exit) due to the lack of </span><span style="color:#000000;font-family:arial narrow;font-size:9pt;margin-left:0%">observable inputs may significantly impact the resulting fair value and therefore a Trust</span><span style="color:#000000;font-family:arial narrow;font-size:9pt">’</span><span style="color:#000000;font-family:arial narrow;font-size:9pt">s results of operations. As a result, the price received upon the sale of an investment </span><span style="color:#000000;font-family:arial narrow;font-size:9pt">may be less than the value ascribed by a Trust, and a Trust could realize a greater than expected loss or lesser than expected gain upon the sale of the investment.</span></div> <div style="margin-top:8pt;"><span style="color:#000000;font-family:arial narrow;font-size:9pt;font-weight:bold;margin-left:0%">Counterparty Credit Risk:</span><span style="color:#000000;font-family:arial narrow;font-size:9pt;line-height:11.00pt"> </span><span style="color:#000000;font-family:arial narrow;font-size:9pt">The Trusts may be exposed to counterparty credit risk, or the risk that an entity may fail to or be unable to perform on its commitments related to </span><span style="color:#000000;font-family:arial narrow;font-size:9pt;margin-left:0%">unsettled or open transactions, including making timely interest and/or principal payments or otherwise honoring its obligations. The Trusts manage counterparty credit risk by </span><span style="color:#000000;font-family:arial narrow;font-size:9pt;margin-left:0%">entering into transactions only with counterparties that the Manager believes have the financial resources to honor their obligations and by monitoring the financial stability of </span><span style="color:#000000;font-family:arial narrow;font-size:9pt;margin-left:0%">those counterparties. Financial assets, which potentially expose the Trusts to market, issuer and counterparty credit risks, consist principally of financial instruments and </span><span style="color:#000000;font-family:arial narrow;font-size:9pt;margin-left:0%">receivables due from counterparties. The extent of the Trusts</span><span style="color:#000000;font-family:arial narrow;font-size:9pt">’</span><span style="color:#000000;font-family:arial narrow;font-size:9pt"> exposure to market, issuer and counterparty credit risks with respect to these financial assets is approximately </span><span style="color:#000000;font-family:arial narrow;font-size:9pt">their value recorded in the Statements of Assets and Liabilities, less any collateral held by the Trusts.</span></div><div style="margin-top:8pt;"><span style="color:#000000;font-family:arial narrow;font-size:9pt;margin-left:0%">A derivative contract may suffer a mark-to-market loss if the value of the contract decreases due to an unfavorable change in the market rates or values of the underlying </span><span style="color:#000000;font-family:arial narrow;font-size:9pt">instrument. Losses can also occur if the counterparty does not perform under the contract.</span></div><div style="margin-top:8pt;"><span style="color:#000000;font-family:arial narrow;font-size:9pt;margin-left:0%">For OTC options purchased, each</span><span style="color:#000000;font-family:arial narrow;font-size:9pt;line-height:11.00pt"> </span><span style="color:#000000;font-family:arial narrow;font-size:9pt">Trust bears the risk of loss in the amount of the premiums paid plus the positive change in market values net of any collateral held by the </span><span style="color:#000000;font-family:arial narrow;font-size:9pt;margin-left:0%">Trusts should the counterparty fail to perform under the contracts. Options written by the Trusts do not typically give rise to counterparty credit risk, as options written generally </span><span style="color:#000000;font-family:arial narrow;font-size:9pt;margin-left:0%">obligate the Trusts, and not the counterparty, to perform. The Trusts may be exposed to counterparty credit risk with respect to options written to the extent each</span><span style="color:#000000;font-family:arial narrow;font-size:9pt;line-height:11.00pt"> </span><span style="color:#000000;font-family:arial narrow;font-size:9pt">Trust</span><span style="color:#000000;font-family:arial narrow;font-size:9pt;line-height:11.00pt"> </span><span style="color:#000000;font-family:arial narrow;font-size:9pt">deposits </span><span style="color:#000000;font-family:arial narrow;font-size:9pt">collateral with its counterparty to a written option.</span></div><div style="margin-top:8pt;"><span style="color:#000000;font-family:arial narrow;font-size:9pt;margin-left:0%">With exchange-traded options purchased and exchange-traded futures and centrally cleared swaps, there is less counterparty credit risk to the Trusts since the exchange or </span><span style="color:#000000;font-family:arial narrow;font-size:9pt;margin-left:0%">clearinghouse, as counterparty to such instruments, guarantees against a possible default. The clearinghouse stands between the buyer and the seller of the contract; </span><span style="color:#000000;font-family:arial narrow;font-size:9pt;margin-left:0%">therefore, credit risk is limited to failure of the clearinghouse. While offset rights may exist under applicable law, a Trust does not have a contractual right of offset against a </span><span style="color:#000000;font-family:arial narrow;font-size:9pt;margin-left:0%">clearing broker or clearinghouse in the event of a default (including the bankruptcy or insolvency). Additionally, credit risk exists in exchange-traded futures and centrally </span><span style="color:#000000;font-family:arial narrow;font-size:9pt;margin-left:0%">cleared swaps with respect to initial and variation margin that is held in a clearing broker’s customer accounts. While clearing brokers are required to segregate customer </span><span style="color:#000000;font-family:arial narrow;font-size:9pt;margin-left:0%">margin from their own assets, in the event that a clearing broker becomes insolvent or goes into bankruptcy and at that time there is a shortfall in the aggregate amount of </span><span style="color:#000000;font-family:arial narrow;font-size:9pt;margin-left:0%">margin held by the clearing broker for all its clients, typically the shortfall would be allocated on a pro rata basis across all the clearing broker’s customers, potentially resulting </span><span style="color:#000000;font-family:arial narrow;font-size:9pt">in losses to the Trusts.</span></div> <div style="margin-top:8pt;"><span style="color:#000000;font-family:arial narrow;font-size:9pt;font-weight:bold;margin-left:0%">Geographic/Asset Class Risk:</span><span style="color:#000000;font-family:arial narrow;font-size:9pt;line-height:11.00pt"> </span><span style="color:#000000;font-family:arial narrow;font-size:9pt">A diversified portfolio, where this is appropriate and consistent with a fund’s objectives, minimizes the risk that a price change of a particular </span><span style="color:#000000;font-family:arial narrow;font-size:9pt">investment will have a material impact on the NAV of a fund. The investment concentrations within each</span><span style="color:#000000;font-family:arial narrow;font-size:9pt;line-height:11.00pt"> </span><span style="color:#000000;font-family:arial narrow;font-size:9pt">Trust’s portfolio are disclosed in its Schedule of Investments.</span></div><div style="margin-top:8pt;"><span style="color:#000000;font-family:arial narrow;font-size:9pt;margin-left:0%">The</span><span style="color:#000000;font-family:arial narrow;font-size:9pt;line-height:11.00pt"> </span><span style="color:#000000;font-family:arial narrow;font-size:9pt">Trusts invest a significant portion of their assets in high yield securities. High yield securities that are rated below investment-grade (commonly referred to as “junk bonds”) </span><span style="color:#000000;font-family:arial narrow;font-size:9pt;margin-left:0%">or are unrated may be deemed speculative, involve greater levels of risk than higher-rated securities of similar maturity and are more likely to default. High yield securities may </span><span style="color:#000000;font-family:arial narrow;font-size:9pt;margin-left:0%">be issued by less creditworthy issuers, and issuers of high yield securities may be unable to meet their interest or principal payment obligations. High yield securities are </span><span style="color:#000000;font-family:arial narrow;font-size:9pt;margin-left:0%">subject to extreme price fluctuations, may be less liquid than higher rated fixed-income securities, even under normal economic conditions, and frequently have redemption </span><span style="color:#000000;font-family:arial narrow;font-size:9pt">features.</span></div><div style="margin-top:8pt;"><span style="color:#000000;font-family:arial narrow;font-size:9pt;margin-left:0%">The</span><span style="color:#000000;font-family:arial narrow;font-size:9pt;line-height:11.00pt"> </span><span style="color:#000000;font-family:arial narrow;font-size:9pt">Trusts invest a significant portion of their assets in fixed-income securities and/or use derivatives tied to the fixed-income markets. Changes in market interest rates or </span><span style="color:#000000;font-family:arial narrow;font-size:9pt;margin-left:0%">economic conditions may affect the value and/or liquidity of such investments. Interest rate risk is the risk that prices of bonds and other fixed-income securities will decrease </span><span style="color:#000000;font-family:arial narrow;font-size:9pt;margin-left:0%">as interest rates rise and increase as interest rates fall. The Trusts may be subject to a greater risk of rising interest rates during a period of historically low interest </span><span style="color:#000000;font-family:arial narrow;font-size:9pt">rates. Changing interest rates may have unpredictable effects on markets, may result in heightened market volatility, and could negatively impact the Trusts</span><span style="color:#000000;font-family:arial narrow;font-size:9pt">’</span><span style="color:#000000;font-family:arial narrow;font-size:9pt"> performance.</span></div><div style="margin-top:8pt;"><span style="color:#000000;font-family:arial narrow;font-size:9pt;margin-left:0%">The</span><span style="color:#000000;font-family:arial narrow;font-size:9pt;line-height:11.00pt"> </span><span style="color:#000000;font-family:arial narrow;font-size:9pt">Trusts invest a significant portion of their assets in securities of issuers located in the United States.</span><span style="color:#000000;font-family:arial narrow;font-size:9pt;line-height:11.00pt"> </span><span style="color:#000000;font-family:arial narrow;font-size:9pt">A decrease in imports or exports, changes in trade regulations, </span><span style="color:#000000;font-family:arial narrow;font-size:9pt;margin-left:0%">inflation and/or an economic recession in the United States may have a material adverse effect on the U.S. economy and the securities listed on U.S. exchanges. Proposed </span><span style="color:#000000;font-family:arial narrow;font-size:9pt;margin-left:0%">and adopted policy and legislative changes in the United States may also have a significant effect on U.S. markets generally, as well as on the value of certain securities. </span><span style="color:#000000;font-family:arial narrow;font-size:9pt;margin-left:0%">Governmental agencies project that the United States will continue to maintain elevated public debt levels for the foreseeable future which may constrain future economic </span><span style="color:#000000;font-family:arial narrow;font-size:9pt;margin-left:0%">growth. Circumstances could arise that could prevent the timely payment of interest or principal on U.S. government debt, such as reaching the legislative “debt ceiling.” Such </span><span style="color:#000000;font-family:arial narrow;font-size:9pt;margin-left:0%">non-payment would result in substantial negative consequences for the U.S. economy and the global financial system. If U.S. relations with certain countries deteriorate, it </span><span style="color:#000000;font-family:arial narrow;font-size:9pt;margin-left:0%">could adversely affect issuers that rely on the United States for trade. The United States has also experienced increased internal unrest and discord. If these trends were to </span><span style="color:#000000;font-family:arial narrow;font-size:9pt">continue, they may have an adverse impact on the U.S. economy and the issuers in which the Trusts invest.</span></div><div style="margin-top:8pt;"><span style="color:#000000;font-family:arial narrow;font-size:9pt;margin-left:0%">Certain</span><span style="color:#000000;font-family:arial narrow;font-size:9pt;line-height:11.00pt"> </span><span style="color:#000000;font-family:arial narrow;font-size:9pt">Trusts</span><span style="color:#000000;font-family:arial narrow;font-size:9pt;line-height:11.00pt"> </span><span style="color:#000000;font-family:arial narrow;font-size:9pt">invest</span><span style="color:#000000;font-family:arial narrow;font-size:9pt;line-height:11.00pt"> </span><span style="color:#000000;font-family:arial narrow;font-size:9pt">a significant portion of  their</span><span style="color:#000000;font-family:arial narrow;font-size:9pt;line-height:11.00pt"> </span><span style="color:#000000;font-family:arial narrow;font-size:9pt">assets in securities backed by commercial or residential mortgage loans or in issuers that hold mortgage and other asset-backed</span><span style="color:#000000;font-family:arial narrow;font-size:9pt;margin-left:0%"> securities. When a fund concentrates its investments in this manner, it assumes a greater risk of prepayment or payment extension by securities issuers. Changes in </span></div><div style="line-height:11.00pt;margin-top:0.00pt;text-align:justify;"><span style="color:#000000;font-family:arial narrow;font-size:9pt;margin-left:0%">economic conditions, including delinquencies and/or defaults on assets underlying these securities, can affect the value, income and/or liquidity of such positions. Investment </span><span style="color:#000000;font-family:arial narrow;font-size:9pt">percentages in these securities are presented in the Schedules of Investments.</span></div> <div> <div style="clear:both;margin-top:12.00pt;position:relative;width:100%;"> <div style="float:left;line-height:13.50pt;text-align:left;width:12.48pt;"><span style="color:#000000;font-family:arial narrow;font-size:11.5pt;font-style:italic;font-weight:bold">11.</span></div> <div style="float:left;line-height:13.50pt;margin-left:3.52pt;text-align:left;width:538.00pt;"><span style="color:#000000;font-family:arial narrow;font-size:11.5pt;font-style:italic;font-weight:bold">CAPITAL SHARE TRANSACTIONS </span><span style="color:#000000;font-family:arial narrow;font-size:9pt;line-height:16.5pt"> </span></div> </div> <div style="clear:both;position:relative;"> </div> </div><div style="margin-top:8pt;"><span style="color:#000000;font-family:arial narrow;font-size:9pt;margin-left:0%">BHK, BTZ and BGT are authorized to issue an unlimited number of shares, par value $0.001, all of which were initially classified as Common Shares. HYT is authorized to </span><span style="color:#000000;font-family:arial narrow;font-size:9pt;margin-left:0%">issue 250 million shares, par value $0.10, all of which were initially classified as Common Shares. The Board is authorized, however, to reclassify any unissued Common </span><span style="color:#000000;font-family:arial narrow;font-size:9pt">Shares to Preferred Shares without the approval of Common Shareholders.</span></div><div style="margin-top:8pt;"><span style="color:#000000;font-family:arial narrow;font-size:9pt;font-weight:bold">Common Shares</span></div><div style="margin-top:8pt;"><span style="color:#000000;font-family:arial narrow;font-size:9pt;margin-left:0%">As of the close of business on May 27, 2025, BHK issued transferrable rights to its Common Shareholders of record, entitling the holders of those rights to subscribe for shares </span><span style="color:#000000;font-family:arial narrow;font-size:9pt;margin-left:0%">of BHK’s common stock (the “Offer”). Shareholders received one right for each outstanding Common Share owned on the record date. The rights entitled their holders to </span><span style="color:#000000;font-family:arial narrow;font-size:9pt;margin-left:0%">purchase one new Common Share for every three rights held (1-for-3). The Offer expired on June 18, 2025. BHK received from the Offer gross proceeds of $166,476,836 for </span><span style="color:#000000;font-family:arial narrow;font-size:9pt;margin-left:0%">the issuance of 18,056,056 Common Shares. The rights offering resulted in $(0.14) or (1.41)% NAV dilution since the Common Shares were issued below BHK’s NAV. BHK </span><span style="color:#000000;font-family:arial narrow;font-size:9pt">received the entire proceeds from the shares issued under the Offer since the Manager agreed to pay for all expenses (including sales commissions) related to the Offer.</span></div><div style="margin-top:8pt;"><span style="color:#000000;font-family:arial narrow;font-size:9pt;margin-left:0%">As of the close of business on January 2, 2026, HYT issued transferrable rights to its Common Shareholders of record, entitling the holders of those rights to subscribe for </span><span style="color:#000000;font-family:arial narrow;font-size:9pt;margin-left:0%">shares of HYT’s common stock (the “Offer”). Shareholders received one right for each outstanding Common Share owned on the record date. The rights entitled their holders </span><span style="color:#000000;font-family:arial narrow;font-size:9pt;margin-left:0%">to purchase one new Common Share for every five rights held (1-for-5). The Offer expired on January 26, 2026. HYT received from the Offer gross proceeds of </span><span style="color:#000000;font-family:arial narrow;font-size:9pt;margin-left:0%">$283,051,293 for the issuance of 32,609,596 Common Shares. The rights offering resulted in $(0.16) or (1.66)% NAV dilution since the Common Shares were issued below </span><span style="color:#000000;font-family:arial narrow;font-size:9pt;margin-left:0%">HYT’s NAV. HYT received the entire proceeds from the shares issued under the Offer since the Manager agreed to pay for all expenses (including sales commissions) related </span><span style="color:#000000;font-family:arial narrow;font-size:9pt">to the Offer.</span></div><div style="margin-top:8pt;"><span style="color:#000000;font-family:arial narrow;font-size:9pt">For the periods shown, shares issued and outstanding increased by the following amounts as a result of dividend reinvestment:</span><span style="color:#000000;font-family:arial narrow;font-size:9pt;line-height:0.1pt"> </span></div> <table cellpadding="0" cellspacing="0" style="border-bottom:0.5pt solid #000000;border-top:0.5pt solid #000000;empty-cells:show;margin-left:12pt;width:535pt"> <tr style="height:11.5pt"> <td style="vertical-align:Bottom;width:427.9pt;"> <div style="line-height:0.5pt;text-align:left;"> <div style="margin-right:6pt;text-align:left;white-space:nowrap;"><span style="color:#000000;font-family:arial narrow;font-size:9pt;margin-left:0.0pt"> </span></div> </div> </td> <td style="vertical-align:Bottom;width:66.21pt;"> <div style="line-height:10pt;text-align:left;"> <div style="margin-left:4pt;margin-right:5pt;text-align:right;white-space:nowrap;"><span style="color:#000000;font-family:arial narrow;font-size:8pt;font-style:italic">Six Months Ended</span></div> </div> </td> <td style="vertical-align:Bottom;width:40.89pt;"> <div style="line-height:10pt;text-align:left;"> <div style="margin-left:5pt;text-align:right;white-space:nowrap;"><span style="color:#000000;font-family:arial narrow;font-size:8pt;font-style:italic">Year Ended</span></div> </div> </td> </tr> <tr style="height:11.63pt"> <td style="background-color:azure;border-bottom:0.5pt solid #000000;vertical-align:Bottom;width:427.9pt;"> <div style="line-height:11.0pt;text-align:left;"> <div style="margin-right:6pt;text-align:left;white-space:nowrap;"><span style="color:#000000;font-family:arial narrow;font-size:8pt;font-style:italic;margin-left:0.0pt">Trust Name</span></div> </div> </td> <td style="background-color:azure;border-bottom:0.5pt solid #000000;vertical-align:Bottom;width:66.21pt;"> <div style="line-height:11.0pt;text-align:left;"> <div style="margin-left:4pt;margin-right:5pt;text-align:right;white-space:nowrap;"><span style="color:#000000;font-family:arial narrow;font-size:8pt;font-style:italic">06/30/26</span></div> </div> </td> <td style="background-color:azure;border-bottom:0.5pt solid #000000;vertical-align:Bottom;width:40.89pt;"> <div style="line-height:11.0pt;text-align:left;"> <div style="margin-left:5pt;text-align:right;white-space:nowrap;"><span style="color:#000000;font-family:arial narrow;font-size:8pt;font-style:italic">12/31/25</span></div> </div> </td> </tr> <tr style="height:11.63pt"> <td style="vertical-align:Bottom;width:427.9pt;"> <div style="line-height:10pt;text-align:left;"> <div style="margin-right:6pt;text-align:left;white-space:nowrap;"><span style="color:#000000;font-family:arial narrow;font-size:8pt;margin-left:0.0pt">BHK</span></div> </div> </td> <td style="vertical-align:Bottom;white-space:nowrap;width:66.21pt;"> <div style="line-height:10pt;margin-left:6pt;margin-right:7pt;text-align:right;width:53.21pt;"> <div style="display:flex;margin-left:auto;width:53.21pt;"> <div style="display:flex;white-space:nowrap;width:53.21pt;"><span style="color:#000000;font-family:arial narrow;font-size:8pt;width:53.21pt">—</span></div> </div> </div> </td> <td style="vertical-align:Bottom;white-space:nowrap;width:40.89pt;"> <div style="line-height:10pt;margin-left:7pt;text-align:right;width:33.89pt;"> <div style="display:flex;margin-left:auto;width:33.89pt;"> <div style="display:flex;white-space:nowrap;width:33.89pt;"><span style="color:#000000;font-family:arial narrow;font-size:8pt;width:33.89pt">47,771</span></div> </div> </div> </td> </tr> <tr style="height:10pt"> <td style="background-color:azure;vertical-align:Bottom;width:427.9pt;"> <div style="line-height:10pt;text-align:left;"> <div style="margin-right:6pt;text-align:left;white-space:nowrap;"><span style="color:#000000;font-family:arial narrow;font-size:8pt;margin-left:0.0pt">HYT</span></div> </div> </td> <td style="background-color:azure;vertical-align:Bottom;white-space:nowrap;width:66.21pt;"> <div style="line-height:10pt;margin-left:6pt;margin-right:7pt;text-align:right;width:53.21pt;"> <div style="display:flex;margin-left:auto;width:53.21pt;"> <div style="display:flex;white-space:nowrap;width:53.21pt;"><span style="color:#000000;font-family:arial narrow;font-size:8pt;width:53.21pt">—</span></div> </div> </div> </td> <td style="background-color:azure;vertical-align:Bottom;white-space:nowrap;width:40.89pt;"> <div style="line-height:10pt;margin-left:7pt;text-align:right;width:33.89pt;"> <div style="display:flex;margin-left:auto;width:33.89pt;"> <div style="display:flex;white-space:nowrap;width:33.89pt;"><span style="color:#000000;font-family:arial narrow;font-size:8pt;width:33.89pt">682,619</span></div> </div> </div> </td> </tr> <tr style="height:10.5pt"> <td style="vertical-align:Bottom;width:427.9pt;"> <div style="line-height:10pt;text-align:left;"> <div style="margin-right:6pt;text-align:left;white-space:nowrap;"><span style="color:#000000;font-family:arial narrow;font-size:8pt;margin-left:0.0pt">BGT</span></div> </div> </td> <td style="vertical-align:Bottom;white-space:nowrap;width:66.21pt;"> <div style="line-height:10pt;margin-left:6pt;margin-right:7pt;text-align:right;width:53.21pt;"> <div style="display:flex;margin-left:auto;width:53.21pt;"> <div style="display:flex;white-space:nowrap;width:53.21pt;"><span style="color:#000000;font-family:arial narrow;font-size:8pt;width:53.21pt">—</span></div> </div> </div> </td> <td style="vertical-align:Bottom;white-space:nowrap;width:40.89pt;"> <div style="line-height:10pt;margin-left:7pt;text-align:right;width:33.89pt;"> <div style="display:flex;margin-left:auto;width:33.89pt;"> <div style="display:flex;white-space:nowrap;width:33.89pt;"><span style="color:#000000;font-family:arial narrow;font-size:8pt;width:33.89pt">70,399</span></div> </div> </div> </td> </tr> </table><div style="margin-top:8pt;"><span style="color:#000000;font-family:arial narrow;font-size:9pt">For the six months ended June 30, 2026, and the year ended December 31, 2025, shares issued and outstanding remained constant for BTZ. </span></div><div style="margin-top:8pt;"><span style="color:#000000;font-family:arial narrow;font-size:9pt">For the six months ended June 30, 2026, shares issued and outstanding remained constant for BHK and BGT.</span></div><div style="margin-top:8pt;"><span style="color:#000000;font-family:arial narrow;font-size:9pt;margin-left:0%">BHK, HYT and BGT have filed a prospectus with the SEC allowing them to issue an additional 25,000,000, 55,000,000 and 17,000,000 Common Shares, respectively, through </span><span style="color:#000000;font-family:arial narrow;font-size:9pt;margin-left:0%">an equity shelf program (a “Shelf Offering”). Under the Shelf Offering, BHK, HYT and BGT, subject to market conditions, may raise additional equity capital from time to time </span><span style="color:#000000;font-family:arial narrow;font-size:9pt;margin-left:0%">in varying amounts and utilizing various offering methods at a net price at or above each Trust’s NAV per Common Share (calculated within 48 hours of pricing). As of period </span><span style="color:#000000;font-family:arial narrow;font-size:9pt;margin-left:0%">end, 25,000,000, 36,420,118 and 17,000,000 Common Shares, respectively, remain available for issuance under the Shelf Offering. During the period ended June 30, 2026, </span><span style="color:#000000;font-family:arial narrow;font-size:9pt">BHK, HYT and BGT issued 0, 0 and 0 shares, respectively, under the Shelf Offering. See Additional Information - Shelf Offering Program for additional information.</span></div><div style="margin-top:8pt;"><span style="color:#000000;font-family:arial narrow;font-size:9pt;margin-left:0%">Initial costs incurred by BHK, HYT and BGT in connection with their Shelf Offerings are recorded as “Deferred offering costs” in the Statements of Assets and Liabilities. As </span><span style="color:#000000;font-family:arial narrow;font-size:9pt;margin-left:0%">shares are sold, a portion of the costs attributable to the shares sold will be charged against paid-in-capital. Any remaining deferred charges at the end of the Shelf Offering </span><span style="color:#000000;font-family:arial narrow;font-size:9pt">period will be charged to expense.</span></div> BHK, BTZ and BGT are authorized to issue an unlimited number of shares, par value $0.001, all of which were initially classified as Common Shares.