Counterparty Risk

6 Months Ended

Jun. 30, 2012

Counterparty Risk [Abstract]

Counterparty Risk

9. Counterparty Risk

     As of June 30, 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 $125.0 million that were sold prior to period end but for which such sale had not settled as of June 30, 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 June 30, 2012. In addition to the below, unencumbered investments, on a settlement date basis, of approximately $143.0 million were held in custody at the Bank of New York Mellon Corporation.

	% of Total Collateral on
	Reverse Repurchase
Dealer	Agreements
Credit Suisse Group	20	%
J.P. Morgan Securities Inc.	20	%
Deutsche Bank	16	%

     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 June 30, 2012:

	% of Total Deposits with
	Dealers Held as
Dealer	Collateral
Citigroup	38	%
Bank of America	30	%

     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 June 30, 2012:

	% of Total Receivable for
Dealer	Securities Sold
CS First Boston	35	%
Royal Bank of Scotland	26	%