Counterparty Risk

9 Months Ended

Sep. 30, 2017

As of September 30, 2017, investments with an aggregate value of approximately $1.16 billion were held with dealers as collateral for various reverse repurchase agreements. The investments held as collateral include securities in the amount of $13.1 million that were sold prior to period end but for which such sale had not yet settled as of September 30, 2017. At September 30, 2017 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 $79.0 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 September 30, 2017:



Dealer		% of Total Due from Brokers
J. P. Morgan Securities LLC		23%
Morgan Stanley		20%
BNP Paribas Securities Corp.		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 September 30, 2017:



Dealer		% of Total Receivable for Securities Sold
Bank of America Securities		29%
Morgan Stanley		23%

In addition, the Company held cash and cash equivalents of $111.4 million and $123.3 million as of September 30, 2017 and December 31, 2016, respectively. The below table details the concentration of cash and cash equivalents held by each counterparty:



	As of
Counterparty	September 30, 2017	December 31, 2016
Bank of New York Mellon Corporation	45%	27%
Goldman Sachs Financial Square Funds—Government Fund	36%	16%
BlackRock Liquidity Funds FedFund Portfolio	18%	41%
US Bank N.A.	1%	—%
Morgan Stanley Institutional Liquidity Fund—Government Portfolio	—%	16%