Counterparty Risk

12 Months Ended

Dec. 31, 2016

As of December 31, 2016, investments with an aggregate value of approximately $1.15 billion were held with dealers as collateral for various reverse repurchase agreements. The investments held as collateral include securities in the amount of $33.4 million that were sold prior to year end but for which such sale had not yet settled as of December 31, 2016. At December 31, 2016 no single counterparty held more than 15% of the total amount held with dealers as collateral for various reverse repurchase agreements. In addition to the below, unencumbered investments, on a settlement date basis, of approximately $119.6 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, 2016:



Dealer		% of Total Due from Brokers
Morgan Stanley		18%

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, 2016:



Dealer		% of Total Receivable for Securities Sold
Bank of America Securities		25%
Barclays Capital Inc.		21%

In addition, the Company held cash and cash equivalents of $123.3 million and $183.9 million as of December 31, 2016 and 2015, respectively. The below table details the concentration of cash and cash equivalents held by each counterparty:



	As of
Counterparty	December 31, 2016	December 31, 2015
BlackRock Liquidity Funds FedFund Portfolio	41%	—%
Bank of New York Mellon Corporation	27%	13%
Goldman Sachs Financial Square Funds - Government Fund	16%	—%
Morgan Stanley Institutional Liquidity Fund - Government Portfolio	16%	—%
BlackRock Liquidity Funds TempFund Portfolio	—%	54%
JPMorgan Prime Money Market Fund	—%	27%
JPMorgan U.S. Treasury Plus Money Market Fund	—%	6%