Counterparty Risk

6 Months Ended

Jun. 30, 2014

Risks and Uncertainties [Abstract]

Counterparty Risk

Counterparty Risk

As of June 30, 2014, investments with an aggregate value of approximately $1.38 billion were held with dealers as collateral for various reverse repurchase agreements. The investments held as collateral include securities in the amount of $11.7 million that were sold prior to period end but for which such sale had not yet settled as of June 30, 2014.

The following table details the percentage of such collateral held by counterparties who hold greater than 15% of the aggregate $1.38 billion in collateral for various reverse repurchase agreements as of June 30, 2014. In addition to the below, unencumbered investments, on a settlement date basis, of approximately $146.5 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	21%
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 June 30, 2014:

Dealer	% of Total Due from Brokers
Morgan Stanley	45%
Citigroup	25%
J.P. Morgan Securities Inc.	19%

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, 2014:

Dealer	% of Total Receivable for Securities Sold
Goldman, Sachs & Co.	29%
Morgan Stanley	21%
CS First Boston	18%

In addition the Company held cash and cash equivalents of $145.0 million and $183.5 million as of June 30, 2014 and December 31, 2013, respectively. The below table details the concentration of cash and cash equivalents held by counterparty:

	As of
Counterparty	June 30, 2014	December 31, 2013
Bank of New York Mellon Corporation	45%	73%
JP Morgan Prime Money Market Premier Fund	34%	27%
Goldman Sachs Financial Square Treasury Instruments Fund	21%	—%