Counterparty Risk

12 Months Ended

Dec. 31, 2012

Risks and Uncertainties [Abstract]

Counterparty Risk

Counterparty Risk

As of December 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 $13.8 million that were sold prior to period end but for which such sale had not settled as of December 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 December 31, 2012. In addition to the below, unencumbered investments, on a settlement date basis, of approximately $271.7 million were held in custody at the Bank of New York Mellon Corporation.

Dealer	% of Total Collateral on Reverse Repurchase Agreements
Deutsche Bank	32%
Royal Bank of Canada	28%

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 December 31, 2012:

Dealer	% of Total Deposits with Dealers Held as Collateral
Citigroup	41%
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 December 31, 2012:

Dealer	% of Total Receivable for Securities Sold
Royal Bank of Scotland	28%
Barclays Capital Inc.	24%
CS First Boston	21%