v3.10.0.1

Counterparty Risk

6 Months Ended

Jun. 30, 2018

Risks and Uncertainties [Abstract]

Counterparty Risk

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%		—%

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- Definition

The entire disclosure for any concentrations existing at the date of the financial statements that make an entity vulnerable to a reasonably possible, near-term, severe impact. This disclosure informs financial statement users about the general nature of the risk associated with the concentration, and may indicate the percentage of concentration risk as of the balance sheet date.

+ References

Reference 1: http://www.xbrl.org/2003/role/presentationRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 275
-URI http://asc.fasb.org/topic&trid=2134479

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- References

No definition available.

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