Counterparty Risk

3 Months Ended

Mar. 31, 2013

Risks and Uncertainties [Abstract]

Counterparty Risk

Counterparty Risk

As of March 31, 2013, investments with an aggregate value of approximately $1.1 billion were held with dealers as collateral for various reverse repurchase agreements.

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, 2013. In addition to the below, unencumbered investments, on a settlement date basis, of approximately $248.3 million were held in custody at the Bank of New York Mellon Corporation.

Dealer	% of Total Collateral on Reverse Repurchase Agreements
Deutsche Bank	27%
Royal Bank of Canada	22%

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, 2013:

Dealer	% of Total Deposits with Dealers Held as Collateral
Citigroup	40%
Bank of America	37%

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, 2013:

Dealer	% of Total Receivable for Securities Sold
CS First Boston	34%
Royal Bank of Scotland	22%