Market Risk: The value of a Participant’s investment is based on the values of the HIT’s investments. The value of securities held by the HIT may fluctuate, sometimes rapidly or unpredictably, due to general market conditions, such as real or perceived adverse economic, political or regulatory conditions, inflation, changes in interest rates, adverse investor sentiment and other global market developments and disruptions, including those arising out of domestic political circumstances, geopolitical events (such as war), health emergencies (such as pandemics), natural disasters, terrorism, trade disputes and barriers (including tariffs), supply chain disruptions, sanctions and government or quasi-government actions. It is difficult to predict when events affecting the U.S. or global financial markets may occur.

Prepayment and Extension Risk: Generally, the market value of the HIT’s investments will rise at times when market interest rates fall. However, at times when market interest rates fall below the interest rates on HIT’s investments, some borrowers may prepay the HIT’s fixed-income securities or their underlying mortgages more quickly than might otherwise be the case. In such an event, the HIT may be required to reinvest the proceeds of such prepayments in other investments bearing lower interest rates than those which were prepaid. When market interest rates rise above the interest rates of the HIT’s investments, the prepayment rate of the mortgage loans backing certain HIT securities may decrease, causing the average maturity of the HIT’s investments to lengthen and making these investments more

sensitive to interest rate changes. This could, in turn, further reduce the value of the HIT’s portfolio and make the HIT’s Unit price more volatile.

Default Risk: There is a risk that borrowers may default under the mortgage loans or other assets that directly or indirectly secure the HIT’s investments. In the event of default, the HIT may experience a loss of principal and interest and any premium value on the related securities. This risk may be lessened to the extent that the securities are guaranteed or insured by a third party, including an agency of the U.S. government.

U.S. Government-Related Securities Risk: There are different types of U.S. government-related securities with different levels of credit risk, including the risk of default, depending on the nature of the government support for that security. For example, a U.S. government-sponsored entity, such as Federal National Mortgage Association (“Fannie Mae”) or Federal Home Loan Mortgage Corporation (“Freddie Mac”), although chartered or sponsored by an Act of Congress, may issue securities that are neither insured nor guaranteed by the U.S. Treasury and are therefore riskier than those that are. Federal government policy changes or reductions in federal government workforce could heighten the risks associated with, or the supply of, these securities.

Leverage Risk: The use of some investments or investing techniques, including futures contracts, may have the effect of magnifying, or leveraging, small changes in an asset, index or market. The HIT does not leverage its portfolio through the use of borrowings, but it may invest in forward commitments and U.S. Treasury futures contracts which may effectively add leverage to its portfolio. Forward commitments generally involve the purchase or sale of securities by the HIT at an established price with payment and delivery/settlement taking place in the future. Forward commitments may add leverage because the HIT would be subject to potential compound losses on the asset that it is committed to purchase and on the assets that it holds pending that purchase. Investments in U.S. Treasury futures contracts may add leverage because, in addition to its total net assets, the HIT would be subject to investment exposure on the notional amount of the futures contracts.