Counterparty Risk

3 Months Ended

Mar. 31, 2018

As of March 31, 2018, investments with an aggregate value of approximately $1.59 billion were held with dealers as collateral for various reverse repurchase agreements. The investments held as collateral include securities in the amount of $13.3 million that were sold prior to period end but for which such sale had not yet settled as of March 31, 2018.

At March 31, 2018 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 $55.9 million were held in custody at the Bank of New York Mellon Corporation as of March 31, 2018.

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, 2018:



Dealer		% of Total Due from Brokers
Morgan Stanley		51%
J.P. Morgan Securities LLC		20%

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, 2018:



Dealer		% of Total Receivable for Securities Sold
Bank of America Securities		49%
Credit Suisse Securities LLC		17%

In addition, the Company held cash and cash equivalents of $25.7 million and $47.2 million as of March 31, 2018 and December 31, 2017, respectively. The below table details the concentration of cash and cash equivalents held by each counterparty:



	As of
Counterparty	March 31, 2018	December 31, 2017
Bank of New York Mellon Corporation	90%	37%
Bank of America Securities	3%	2%
BlackRock Liquidity Funds FedFund Portfolio	2%	56%
Goldman Sachs Financial Square Funds—Government Fund	2%	—%
Morgan Stanley Institutional Liquidity Fund—Government Portfolio	2%	—%
US Bank N.A.	1%	—%
Deutsche Bank Securities	—%	5%