Counterparty Risk

3 Months Ended

Mar. 31, 2014

As of March 31, 2014, investments with an aggregate value of approximately $1.37 billion were held with dealers as collateral for various reverse repurchase agreements. The investments held as collateral include securities in the amount of $31.1 million that were sold prior to period end but for which such sale had not yet settled as of March 31, 2014.

The following table details the percentage of such collateral held by counterparties who hold greater than 15% of the aggregate $1.37 billion in collateral for various reverse repurchase agreements as of March 31, 2014. In addition to the below, unencumbered investments, on a settlement date basis, of approximately $131.1 million were held in custody at the Bank of New York Mellon Corporation.



Dealer		% of Total Collateral on Reverse Repurchase Agreements
Royal Bank of Canada		17%
Deutsche Bank		16%

The following table details the percentage of collateral amounts held by dealers who hold greater than 15% of the Company's Due from Brokers, included as of March 31, 2014:



Dealer		% of Total Due from Brokers
Citigroup		33%
Morgan Stanley		30%
J.P. Morgan Securities Inc.		24%

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, 2014:



Dealer		% of Total Receivable for Securities Sold
Goldman, Sachs & Co.		24%
Morgan Stanley		16%
Wells Fargo Securities		16%

- Definition

The entire disclosure for any concentrations existing at the date of the financial statements that make an entity vulnerable to a reasonably possible, near-term, severe impact. This disclosure informs financial statement users about the general nature of the risk associated with the concentration, and may indicate the percentage of concentration risk as of the balance sheet date.

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