Counterparty Risk

12 Months Ended

Dec. 31, 2015

As of December 31, 2015, investments with an aggregate value of approximately $1.35 billion were held with dealers as collateral for various reverse repurchase agreements. The investments held as collateral include securities in the amount of $16.8 million that were sold prior to period end but for which such sale had not yet settled as of December 31, 2015. At December 31, 2015 no single counterparty held more than 15% of the total amount held with dealers as collateral for various reverse repurchase agreements. In addition, unencumbered investments, on a settlement date basis, of approximately $75.2 million were held in custody at the Bank of New York Mellon Corporation.

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 December 31, 2015:



Dealer		% of Total Due from Brokers
J.P. Morgan Securities Inc.		46%

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 December 31, 2015:



Dealer		% of Total Receivable for Securities Sold
CS First Boston		32%
Bank of America Securities		19%

In addition, the Company held cash and cash equivalents of $183.9 million and $114.1 million as of December 31, 2015 and 2014, respectively. The below table details the concentration of cash and cash equivalents held by each counterparty:



	As of
Counterparty	December 31, 2015	December 31, 2014
BlackRock Liquidity TempFund	54%	88%
J.P. Morgan US Dollar Liquidity Fund	27%	—%
Bank of New York Mellon Corporation	13%	11%
J.P. Morgan US Treasury Plus Premier Fund	6%	—%
Other	—%	1%