Counterparty Risk

As of September 30, 2018, investments with an aggregate value of approximately $1.93 billion were held with dealers as collateral for various reverse repurchase agreements. The investments held as collateral include securities in the amount of $57.5 million that were sold prior to period end but for which such sale had not yet settled as of September 30, 2018.

The following table details the percentage of such collateral held by counterparties who hold greater than 15% of the aggregate $1.93 billion in collateral for various reverse repurchase agreements as of September 30, 2018. In addition to the below, unencumbered investments, on a settlement date basis, of approximately $37.2 million were held in custody at the Bank of New York Mellon Corporation as of September 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 September 30, 2018:



Dealer		% of Total Due from Brokers
Morgan Stanley		39%
J.P. Morgan Securities LLC		23%
BNP Paribas Securities Corp.		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 September 30, 2018:



Dealer		% of Total Receivable for Securities Sold
J.P. Morgan Securities LLC		42%
Bank of America Securities		27%

In addition, the Company held cash and cash equivalents of $53.6 million and $47.2 million as of September 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	September 30, 2018	December 31, 2017
Bank of New York Mellon Corporation	63%	37%
Deutsche Bank Securities	10%	5%
Bank of America Securities	8%	2%
Morgan Stanley Institutional Liquidity Fund—Government Portfolio	5%	—%
BlackRock Liquidity Funds FedFund Portfolio	5%	56%
Goldman Sachs Financial Square Funds—Government Fund	5%	—%
US Bank N.A.	4%	—%