Counterparty Risk

9 Months Ended

Sep. 30, 2016

As of September 30, 2016, investments with an aggregate value of approximately $1.12 billion were held with dealers as collateral for various reverse repurchase agreements. The investments held as collateral include securities in the amount of $20.8 million that were sold prior to period end but for which such sale had not yet settled as of September 30, 2016.

The following table details the percentage of such collateral held by counterparties who hold greater than 15% of the aggregate $1.12 billion in collateral for various reverse repurchase agreements as of September 30, 2016. In addition to the below, unencumbered investments, on a settlement date basis, of approximately $76.1 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		15%

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, 2016:



Dealer		% of Total Due from Brokers
Morgan Stanley		38%
J.P. Morgan Securities Inc.		17%

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, 2016:



Dealer		% of Total Receivable for Securities Sold
CS First Boston		38%
Bank of America Securities		23%
Wells Fargo Securities		17%

In addition, the Company held cash and cash equivalents of $179.6 million and $183.9 million as of September 30, 2016 and December 31, 2015, respectively. The below table details the concentration of cash and cash equivalents held by each counterparty:



	As of
Counterparty	September 30, 2016	December 31, 2015
Bank of New York Mellon Corporation	72%	13%
BlackRock Liquidity TempFund	28%	54%
J.P. Morgan US Dollar Liquidity Fund	—%	27%
J.P. Morgan US Treasury Plus Premier Fund	—%	6%