Based on an email response from PZC's manager, the -$45.5 million treasury shown in the web site's portfolio listing as of 9/30/08 is a "treasury swap". It has a market value of as of 9/30/08 of -$53 million, a multi-million loss that has since grown as treasury rates have dramatically declined since 9/30/08. Is this very bad bet the source that ultimately caused the Dec. 2008 withholding of dividends due to the preferred stock's collateral coverage going under 200%?

Of note, I'm unable to locate this asset in the recently published annual report portfolio listing.