Counterparty Risk

As of December 31, 2017, investments with an aggregate value of approximately $1.41 billion were held with dealers as collateral for various reverse repurchase agreements. The investments held as collateral include securities in the amount of $10.6 million that were sold prior to period end but for which such sale had not yet settled as of December 31, 2017.

The following table details the percentage of such collateral held by counterparties who hold greater than 15% of the aggregate $1.41 billion in collateral for various reverse repurchase agreements as of December 31, 2017. In addition to the below, unencumbered investments, on a settlement date basis, of approximately $61.3 million were held in custody at the Bank of New York Mellon Corporation as of December 31, 2017.



Dealer		% of Total Collateral on Reverse Repurchase Agreements
Royal Bank of Canada		18%

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, 2017:



Dealer		% of Total Due from Brokers
Morgan Stanley		35%
BNP Paribas Securities Corp.		24%
J.P. Morgan Securities LLC		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 December 31, 2017:



Dealer		% of Total Receivable for Securities Sold
Bank of America Securities		28%
Nomura Securities International Inc.		26%

In addition, the Company held cash and cash equivalents of $47.2 million and $123.3 million as of December 31, 2017 and 2016, respectively. The below table details the concentration of cash and cash equivalents held by each counterparty:



	As of
Counterparty	December 31, 2017	December 31, 2016
BlackRock Liquidity Funds FedFund Portfolio	56%	41%
Bank of New York Mellon Corporation	37%	27%
Deutsche Bank Securities	5%	—%
Bank of America Securities	2%	—%
Goldman Sachs Financial Square Funds—Government Fund	—%	16%
Morgan Stanley Institutional Liquidity Fund—Government Portfolio	—%	16%