Counterparty Risk

9 Months Ended

Sep. 30, 2014

Risks and Uncertainties [Abstract]

Counterparty Risk

Counterparty Risk

As of September 30, 2014, investments with an aggregate value of approximately $1.56 billion were held with dealers as collateral for various reverse repurchase agreements. The investments held as collateral include securities in the amount of $27.0 million that were sold prior to period end but for which such sale had not yet settled as of September 30, 2014.

The following table details the percentage of such collateral held by counterparties who hold greater than 15% of the aggregate $1.56 billion in collateral for various reverse repurchase agreements as of September 30, 2014. In addition to the below, unencumbered investments, on a settlement date basis, of approximately $332.2 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	19%

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 September 30, 2014:

Dealer	% of Total Due from Brokers
Morgan Stanley	50%
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 September 30, 2014:

Dealer	% of Total Receivable for Securities Sold
CS First Boston	26%
Citigroup	21%

In addition the Company held cash and cash equivalents of $129.1 million and $183.5 million as of September 30, 2014 and December 31, 2013, respectively. The below table details the concentration of cash and cash equivalents held by each counterparty:

	As of
Counterparty	September 30, 2014	December 31, 2013
Bank of New York Mellon Corporation	100%	73%
JP Morgan Prime Money Market Premier Fund	—%	27%