Counterparty Risk

12 Months Ended

Dec. 31, 2014

Risks and Uncertainties [Abstract]

Counterparty Risk

Counterparty Risk

As of December 31, 2014, investments with an aggregate value of approximately $1.94 billion were held with dealers as collateral for various reverse repurchase agreements. The investments held as collateral include securities in the amount of $145.5 million that were sold prior to period end but for which such sale had not yet settled as of December 31, 2014.

The following table details the percentage of such collateral held by counterparties who hold greater than 15% of the aggregate $1.94 billion in collateral for various reverse repurchase agreements as of December 31, 2014. In addition to the below, unencumbered investments, on a settlement date basis, of approximately $158.7 million were held in custody at the Bank of New York Mellon Corporation.

Dealer	% of Total  Collateral on Reverse Repurchase Agreements
Deutsche Bank	22%
Royal Bank of Canada	17%

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, 2014:

Dealer	% of Total Due from Brokers
Morgan Stanley	57%
J.P. Morgan Securities Inc.	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 December 31, 2014:

Dealer	% of Total Receivable for Securities Sold
CS First Boston	25%
Morgan Stanley	20%
Citigroup	15%

In addition the Company held cash and cash equivalents of $114.1 million and $183.5 million as of December 31, 2014 and December 31, 2013, respectively. The below table details the concentration of cash and cash equivalents held by each counterparty:

	As of
Counterparty	December 31, 2014	December 31, 2013
BlackRock Liquidity TempFund	88%	—%
Bank of New York Mellon Corporation	11%	73%
US Bank	1%	—%
JP Morgan Prime Money Market Premier Fund	—%	27%