Counterparty Risks

3 Months Ended

Mar. 31, 2012

Counterparty Risks [Abstract]

Counterparty Risks

9. Counterparty Risk

As of March 31, 2012, investments with an aggregate value of approximately $1.1 billion were held with dealers as collateral for various reverse repurchase agreements. The investments held as collateral include securities in the amount of $52.5 million that were sold prior to period end but for which such sale had not settled as of March 31, 2012.

The following table details the percentage of such collateral held by counterparties who hold greater than 15% of the aggregate $1.1 billion in collateral for various reverse repurchase agreements as of March 31, 2012. In addition to the below, unencumbered investments, on a settlement date basis, of approximately $138.7 million were held in custody at the Bank of New York Mellon Corporation.

Dealer	% of Total Collateral  on Reverse Repurchase Agreements
CS First Boston	21%
Daiwa Capital Markets America Inc	15%

The following table details the percentage of collateral amounts held by dealers who hold greater than 15% of the Company's Deposits with dealers held as collateral account as of March 31, 2012:

Dealer	% of Total Deposits with Dealers Held as Collateral
Bank of America	44%
Citigroup	39%

The following table details the percentage of amounts held by dealers who hold greater than 15% of the Company's Receivable for securities sold as of March 31, 2012:

Dealer	% of Total Receivable for Securities Sold
CS First Boston	37%
Wells Fargo Securities	21%
Citigroup	17%