Counterparty Risk

3 Months Ended

Mar. 31, 2016

As of March 31, 2016, investments with an aggregate value of approximately $1.33 billion were held with dealers as collateral for various reverse repurchase agreements. The investments held as collateral include securities in the amount of $27.9 million that were sold prior to period end but for which such sale had not yet settled as of March 31, 2016.

The following table details the percentage of such collateral held by counterparties who hold greater than 15% of the aggregate $1.33 billion in collateral for various reverse repurchase agreements as of March 31, 2016. In addition to the below, unencumbered investments, on a settlement date basis, of approximately $73.6 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		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, 2016:



Dealer		% of Total Due from Brokers
J.P. Morgan Securities Inc.		39%
Morgan Stanley		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 March 31, 2016:



Dealer		% of Total Receivable for Securities Sold
CS First Boston		29%

In addition, the Company held cash and cash equivalents of $142.1 million and $183.9 million as of March 31, 2016 and December 31, 2015, respectively. The below table details the concentration of cash and cash equivalents held by each counterparty:



	As of
Counterparty	March 31, 2016	December 31, 2015
Bank of New York Mellon Corporation	65%	13%
BlackRock Liquidity TempFund	35%	54%
J.P. Morgan US Dollar Liquidity Fund	—%	27%
J.P. Morgan US Treasury Plus Premier Fund	—%	6%