The lower Net Interest Received and Receivable reflects reduced investment holdings, and lower coupon or return on these investments in 2016. The trading loss on Investments in 2016 was smaller than 2015, reflecting the maturity of bond holdings during the year.

The Fund accounts for its bond holdings on a historic cost basis and does not recognise unrealised gains / losses. While unrealised gains / losses on the Fund are not recognised, the Agency does monitor on an on-going basis the Fund’s investment performance on a total return basis (i.e. including unrealised gains / losses).

Sale and Repurchase agreements are also transacted between the Fund and primary dealers in the bond market. The related income or interest cost arising from these transactions is reflected in Net Interest Received and Receivable.

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