Counterparty Risk

6 Months Ended

Jun. 30, 2013

Risks and Uncertainties [Abstract]

Counterparty Risk

Counterparty Risk

As of June 30, 2013, investments with an aggregate value of approximately $1.5 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 $1.5 billion in collateral for various reverse repurchase agreements as of June 30, 2013. In addition to the below, unencumbered investments, on a settlement date basis, of approximately $146.3 million were held in custody at the Bank of New York Mellon Corporation.

Dealer	% of Total  Collateral on Reverse Repurchase Agreements
Deutsche Bank	18%
Guggenheim Capital Markets	18%
Royal Bank of Canada	15%

The following table details the percentage of collateral amounts held by dealers who hold greater than 15% of the Company's Due from Broker, included as of June 30, 2013:

Dealer	% of Total Due from Broker
Morgan Stanley	33%

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, 2013:

Dealer	% of Total Receivable for Securities Sold
Royal Bank of Scotland	36%
CS First Boston	30%
Bank of America	17%