Counterparty Risk

9 Months Ended

Sep. 30, 2012

Counterparty Risk [Abstract]

Counterparty Risk

9. Counterparty Risk

     As of September 30, 2012, investments with an aggregate value of approximately $838.7 million were held with dealers as collateral for various reverse repurchase agreements. The investments held as collateral include securities in the amount of $36.6 million that were sold prior to period end but for which such sale had not settled as of September 30, 2012.

     The following table details the percentage of such collateral held by counterparties who hold greater than 15% of the aggregate $838.7 million in collateral for various reverse repurchase agreements as of September 30, 2012. In addition to the below, unencumbered investments, on a settlement date basis, of approximately $227.1 million were held in custody at the Bank of New York Mellon Corporation.

	% of Total Collateral on
	Reverse Repurchase
Dealer	Agreements
J.P. Morgan Securities Inc.	19	%
Royal Bank of Canada	19	%
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 September 30, 2012:

	% of Total Deposits with
	Dealers Held as
Dealer	Collateral
Citigroup	40	%
Bank of America	26	%

     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 September 30, 2012:

	% of Total Receivable for
Dealer	Securities Sold
CS First Boston	35	%
Morgan Stanley	18	%

     The following table illustrates the components of Receivable for securities sold and Payable for securities purchased as reported on the Consolidated Statement of Assets, Liabilities and Shareholders' Equity. The Company expects open securities failed to deliver/receive to settle without a material effect on the Company's financial statements.

		September 30, 2012					December 31, 2011
(In thousands)		Receivables		Payables			Receivables		Payables
Trades pending settlement	$	494,842	$	(149,085	)	$	533,708	$	(127,517	)
Securities failed to deliver/receive		29,690		(29,368	)		0		0
Total	$	524,533	$	(178,453	)	$	533,708	$	(127,517	)