Counterparty Risk

As of June 30, 2018, investments with an aggregate value of approximately $1.69 billion were held with dealers as collateral for various reverse repurchase agreements. The investments held as collateral include securities in the amount of $0.3 million that were sold prior to period end but for which such sale had not yet settled as of June 30, 2018.

The following table details the percentage of such collateral held by counterparties who hold greater than 15% of the aggregate $1.69 billion in collateral for various reverse repurchase agreements as of June 30, 2018. In addition to the below, unencumbered investments, on a settlement date basis, of approximately $26.8 million were held in custody at the Bank of New York Mellon Corporation as of June 30, 2018.



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 June 30, 2018:



Dealer		% of Total Due from Brokers
Morgan Stanley		49%
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 June 30, 2018:



Dealer		% of Total Receivable for Securities Sold
Credit Suisse Securities LLC		34%
Bank of America Securities		33%
Wells Fargo Securities		16%

In addition, the Company held cash and cash equivalents of $22.1 million and $47.2 million as of June 30, 2018 and December 31, 2017, respectively. The below table details the concentration of cash and cash equivalents held by each counterparty:



	As of
Counterparty	June 30, 2018	December 31, 2017
Bank of New York Mellon Corporation	32%	37%
Deutsche Bank Securities	32%	5%
Morgan Stanley Institutional Liquidity Fund—Government Portfolio	11%	—%
BlackRock Liquidity Funds FedFund Portfolio	10%	56%
Goldman Sachs Financial Square Funds—Government Fund	10%	—%
Bank of America Securities	4%	2%
US Bank N.A.	1%	—%