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        <fairValLevel>2</fairValLevel>
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        <fairValLevel>2</fairValLevel>
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        <fairValLevel>2</fairValLevel>
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        <name>Federal Home Loan Mortgage Corp.</name>
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        <fairValLevel>2</fairValLevel>
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        <name>425 Trust</name>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>Federal National Mortgage Association</name>
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        <fairValLevel>2</fairValLevel>
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        <fairValLevel>2</fairValLevel>
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        <name>Federal National Mortgage Association</name>
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        <fairValLevel>2</fairValLevel>
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        <name>Federal Home Loan Mortgage Corp.</name>
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        <name>Government National Mortgage Association</name>
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        <fairValLevel>2</fairValLevel>
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        <name>Federal National Mortgage Association</name>
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        <name>Altria Group, Inc.</name>
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        <name>Federal National Mortgage Association</name>
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        <name>Federal National Mortgage Association</name>
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        <name>Federal National Mortgage Association</name>
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        <name>CWABS, Inc. Asset-Backed Certificates Trust</name>
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        <name>Xerox Corp.</name>
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        <name>HSBC Holdings plc</name>
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        <name>CSX Corp.</name>
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        <name>Federal Home Loan Mortgage Corp.</name>
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        <name>Alphabet, Inc.</name>
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        <name>Federal Home Loan Mortgage Corp.</name>
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        <fairValLevel>2</fairValLevel>
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        <name>PRA Group Europe Holding II SARL</name>
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        <name>Government National Mortgage Association</name>
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        <name>Federal National Mortgage Association</name>
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        <name>Government National Mortgage Association</name>
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        <name>Federal Home Loan Mortgage Corp.</name>
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        <fairValLevel>2</fairValLevel>
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        <name>Biffa Group Holdings Ltd.</name>
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        <isRestrictedSec>N</isRestrictedSec>
        
        <fairValLevel>2</fairValLevel>
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        <name>Toucan FinCo. Ltd.</name>
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        <name>Mattamy Group Corp.</name>
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        <fairValLevel>2</fairValLevel>
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        <name>Federal National Mortgage Association</name>
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        <fairValLevel>2</fairValLevel>
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        <fairValLevel>2</fairValLevel>
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        <fairValLevel>2</fairValLevel>
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        <name>Government National Mortgage Association</name>
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        <fairValLevel>2</fairValLevel>
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        <name>Targa Resources Corp.</name>
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        <fairValLevel>2</fairValLevel>
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        <name>Comcast Corp.</name>
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        <fairValLevel>2</fairValLevel>
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        <name>Simon Property Group LP</name>
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        <name>Government National Mortgage Association</name>
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        <name>Arab Republic of Egypt</name>
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        <name>Federal National Mortgage Association</name>
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        <name>Federal National Mortgage Association</name>
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        <name>CFCRE Commercial Mortgage Trust</name>
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      <invstOrSec>
        <name>Government National Mortgage Association</name>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>Federal Home Loan Mortgage Corp.</name>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>Pacific Gas &amp; Electric Co.</name>
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        <title>Pacific Gas &amp; Electric Co.</title>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>FS KKR Capital Corp.</name>
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        <fairValLevel>2</fairValLevel>
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      </invstOrSec>
      <invstOrSec>
        <name>Federal National Mortgage Association</name>
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        <title>Uniform Mortgage-Backed Securities</title>
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          <isin value="US3138XHBF78"/>
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        <curCd>USD</curCd>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
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        <name>Sword Purchaser LLC</name>
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        <curCd>USD</curCd>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>CSTL Commercial Mortgage Trust</name>
        <lei>N/A</lei>
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        <curCd>USD</curCd>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>Federal National Mortgage Association</name>
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        <title>Uniform Mortgage-Backed Securities</title>
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        <fairValLevel>2</fairValLevel>
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        <lei>N/A</lei>
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        <fairValLevel>2</fairValLevel>
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        <name>J.P. Morgan Mortgage Trust</name>
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        <fairValLevel>2</fairValLevel>
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        <name>Anheuser-Busch InBev Worldwide, Inc.</name>
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        <isRestrictedSec>N</isRestrictedSec>
        
        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>Federal National Mortgage Association</name>
        <lei>B1V7KEBTPIMZEU4LTD58</lei>
        <title>Uniform Mortgage-Backed Securities</title>
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        <fairValLevel>2</fairValLevel>
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        <name>Hungary</name>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>Federal National Mortgage Association or Federal Home Loan Mortgage Corp.</name>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>Nelnet Student Loan Trust</name>
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        <fairValLevel>2</fairValLevel>
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      </invstOrSec>
      <invstOrSec>
        <name>Federal Home Loan Mortgage Corp.</name>
        <lei>S6XOOCT0IEG5ABCC6L87</lei>
        <title>Uniform Mortgage-Backed Securities</title>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        
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        <fairValLevel>2</fairValLevel>
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        <name>Federal National Mortgage Association</name>
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        <name>Government National Mortgage Association</name>
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        <fairValLevel>2</fairValLevel>
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        <name>J M Smucker Co. (The)</name>
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        <fairValLevel>2</fairValLevel>
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        <fairValLevel>2</fairValLevel>
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        <fairValLevel>2</fairValLevel>
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        <name>J.P. Morgan Chase Commercial Mortgage Securities Trust</name>
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        <fairValLevel>2</fairValLevel>
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        <fairValLevel>2</fairValLevel>
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        <fairValLevel>2</fairValLevel>
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        <name>United States of America</name>
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        <name>Federal Home Loan Mortgage Corp.</name>
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        <name>Government National Mortgage Association</name>
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        <name>Federal National Mortgage Association</name>
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        <name>APA Corp.</name>
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        <name>United States of America</name>
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        <fairValLevel>2</fairValLevel>
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        <name>Federal National Mortgage Association</name>
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        <name>Federal National Mortgage Association</name>
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        <name>D2 Multifamily Credit Issuer Ltd.</name>
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        <name>Velocity Commercial Capital Loan Trust</name>
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        <name>Lehman Brothers Holdings, Inc.</name>
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        <isRestrictedSec>N</isRestrictedSec>
        
        <fairValLevel>3</fairValLevel>
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        <fairValLevel>2</fairValLevel>
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        <fairValLevel>2</fairValLevel>
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        <name>Federal National Mortgage Association</name>
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        <fairValLevel>2</fairValLevel>
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        <name>Federal National Mortgage Association</name>
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        <name>Government National Mortgage Association</name>
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        <name>Airbus SE</name>
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        <isRestrictedSec>N</isRestrictedSec>
        
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        <name>PRPM Trust</name>
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        <fairValLevel>2</fairValLevel>
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        <name>Wells Fargo &amp; Co.</name>
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        <fairValLevel>2</fairValLevel>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
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        <fairValLevel>2</fairValLevel>
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        <fairValLevel>2</fairValLevel>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>GreenSky Home Improvement Issuer Trust</name>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>Blackstone Private Credit Fund</name>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>Federal National Mortgage Association</name>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>American Municipal Power, Inc.</name>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>Dryden 40 Senior Loan Fund</name>
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        <name>Gilead Sciences, Inc.</name>
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        <fairValLevel>2</fairValLevel>
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        <name>Federal National Mortgage Association</name>
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        <name>BBCMS Mortgage Trust</name>
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        <name>OBX Trust</name>
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        <fairValLevel>2</fairValLevel>
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        <name>Cleveland-Cliffs, Inc.</name>
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        <fairValLevel>2</fairValLevel>
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        <name>N/A</name>
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        <name>Valaris Ltd.</name>
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        <isRestrictedSec>N</isRestrictedSec>
        
        <fairValLevel>2</fairValLevel>
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        <name>Dominion Energy, Inc.</name>
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        <fairValLevel>2</fairValLevel>
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        <name>Alternative Loan Trust</name>
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        <fairValLevel>2</fairValLevel>
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        <name>Verizon Communications, Inc.</name>
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        <name>Wyeth LLC</name>
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        <fairValLevel>2</fairValLevel>
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        <fairValLevel>2</fairValLevel>
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        <name>Six Flags Entertainment Corp.</name>
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        <name>Antero Midstream Partners LP</name>
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        <fairValLevel>2</fairValLevel>
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        <name>Federal National Mortgage Association</name>
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        <fairValLevel>2</fairValLevel>
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        <name>TransCanada PipeLines Ltd.</name>
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        <fairValLevel>2</fairValLevel>
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        <name>BXP Trust</name>
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        <name>Pacific Gas &amp; Electric Co.</name>
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        <name>BBCMS Trust</name>
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        <name>CWABS Trust</name>
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        <name>Federal National Mortgage Association</name>
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        <name>Federal National Mortgage Association</name>
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        <name>Federal National Mortgage Association</name>
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        <name>LoanCore Issuer LLC</name>
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        <fairValLevel>2</fairValLevel>
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        <name>Intel Corp.</name>
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        <name>Federal National Mortgage Association</name>
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        <fairValLevel>2</fairValLevel>
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        <name>Occidental Petroleum Corp.</name>
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        <fairValLevel>2</fairValLevel>
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        <name>STL Holding Co. LLC</name>
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        <fairValLevel>2</fairValLevel>
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        <name>United Mexican States</name>
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        <fairValLevel>2</fairValLevel>
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        <name>N/A</name>
        <lei>N/A</lei>
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        <fairValLevel>1</fairValLevel>
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      <invstOrSec>
        <name>N/A</name>
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        <title>Forward Foreign Currency Contract</title>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>Federal National Mortgage Association</name>
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        <name>Wayfair LLC</name>
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        <name>Carrier Global Corp.</name>
        <lei>549300JE3W6CWY2NAN77</lei>
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        <fairValLevel>2</fairValLevel>
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        <name>CHL Mortgage Pass-Through Trust</name>
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        <name>Federal National Mortgage Association</name>
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        <name>SG Residential Mortgage Trust</name>
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        <fairValLevel>2</fairValLevel>
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        <fairValLevel>2</fairValLevel>
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        <name>Federal Home Loan Mortgage Corp.</name>
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        <fairValLevel>2</fairValLevel>
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        <name>Whirlpool Corp.</name>
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        <name>Federal Home Loan Mortgage Corp.</name>
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        <fairValLevel>2</fairValLevel>
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        <name>Royalty Pharma plc</name>
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        <name>Federal National Mortgage Association</name>
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        <name>Federal National Mortgage Association</name>
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        <name>Federal National Mortgage Association</name>
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        <name>Park Blue CLO Ltd.</name>
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        <name>Neoen Finco plc</name>
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        <name>Federal National Mortgage Association</name>
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        <name>Federal Home Loan Mortgage Corp.</name>
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        <name>Government National Mortgage Association</name>
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        <name>Virginia Electric &amp; Power Co.</name>
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        <name>Federal National Mortgage Association</name>
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        <name>Federal National Mortgage Association</name>
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        <name>Federal National Mortgage Association</name>
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      <invstOrSec>
        <name>Northrop Grumman Corp.</name>
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        <fairValLevel>2</fairValLevel>
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        <name>Nelnet Student Loan Trust</name>
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        <fairValLevel>2</fairValLevel>
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        <name>Czech Koruna</name>
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        <fairValLevel>1</fairValLevel>
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        <fairValLevel>2</fairValLevel>
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        <name>Algoma Steel Group, Inc.</name>
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        <fairValLevel>1</fairValLevel>
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        <name>OAK-Eagle Acquireco, Inc.</name>
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        <fairValLevel>2</fairValLevel>
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        <name>Credit-Based Asset Servicing &amp; Securitization LLC</name>
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        <fairValLevel>2</fairValLevel>
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        <name>N/A</name>
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        <fairValLevel>1</fairValLevel>
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        <name>Ukraine</name>
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        <fairValLevel>2</fairValLevel>
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        <name>Ownit Mortgage Loan Trust</name>
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        <fairValLevel>2</fairValLevel>
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        <name>Federal National Mortgage Association</name>
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        <fairValLevel>2</fairValLevel>
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        <name>Toronto-Dominion Bank (The)</name>
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        <fairValLevel>2</fairValLevel>
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        <name>Fremont Home Loan Trust</name>
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        <fairValLevel>2</fairValLevel>
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        <name>Wells Fargo &amp; Co.</name>
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        <title>Wells Fargo &amp; Co.</title>
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        <fairValLevel>2</fairValLevel>
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        <name>Arab Republic of Egypt</name>
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        <fairValLevel>2</fairValLevel>
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        <name>Atrium Hotel Portfolio Trust</name>
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        <name>Garda World Security Corp.</name>
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        <fairValLevel>2</fairValLevel>
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        <name>Philip Morris International, Inc.</name>
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        <name>Federal Home Loan Mortgage Corp.</name>
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        <name>BX Commercial Mortgage Trust</name>
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        <name>Federal National Mortgage Association</name>
        <lei>B1V7KEBTPIMZEU4LTD58</lei>
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        <name>Federal Home Loan Mortgage Corp.</name>
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        <fairValLevel>2</fairValLevel>
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        <fairValLevel>2</fairValLevel>
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        <name>Federal National Mortgage Association</name>
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        <name>Federal Home Loan Mortgage Corp.</name>
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        <name>Federal National Mortgage Association or Federal Home Loan Mortgage Corp.</name>
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        <name>Federal National Mortgage Association</name>
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        <name>Federal National Mortgage Association</name>
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        <name>Federal National Mortgage Association</name>
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        <name>CHL Mortgage Pass-Through Trust</name>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>Intel Corp.</name>
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        <fairValLevel>2</fairValLevel>
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        <fairValLevel>2</fairValLevel>
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        <name>Federal Home Loan Mortgage Corp.</name>
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        <fairValLevel>2</fairValLevel>
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        <name>Paraguay Government International Bond</name>
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        <fairValLevel>2</fairValLevel>
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        <name>N/A</name>
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        <fairValLevel>2</fairValLevel>
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        <name>Banc of America Funding Trust</name>
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        <fairValLevel>2</fairValLevel>
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        <name>Fiserv, Inc.</name>
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        <name>RALI Trust</name>
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        <name>APA Corp.</name>
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        <name>Eli Lilly &amp; Co.</name>
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        <fairValLevel>2</fairValLevel>
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        <name>COLT Mortgage Loan Trust</name>
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        <name>IIFL Finance Ltd.</name>
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        <fairValLevel>2</fairValLevel>
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        <name>Federal National Mortgage Association</name>
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        <fairValLevel>2</fairValLevel>
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        <name>Federal National Mortgage Association</name>
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      <invstOrSec>
        <name>EchoStar Corp.</name>
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        <fairValLevel>1</fairValLevel>
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        <name>J.P. Morgan Mortgage Trust</name>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>GoldenTree Loan Management US CLO 23 Ltd.</name>
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        <fairValLevel>2</fairValLevel>
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        <name>Amgen, Inc.</name>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>Deephaven Residential Mortgage Trust</name>
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        <fairValLevel>2</fairValLevel>
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        <name>Sumisho Air Lease Corp.</name>
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        <fairValLevel>2</fairValLevel>
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        <name>CMS Energy Corp.</name>
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        <fairValLevel>2</fairValLevel>
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        <name>HLTN Commercial Mortgage Trust</name>
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        <fairValLevel>2</fairValLevel>
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        <name>Golden Bar Securitisation SRL</name>
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        <fairValLevel>2</fairValLevel>
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        <name>Georgia Power Co.</name>
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        <fairValLevel>2</fairValLevel>
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        <name>Federal National Mortgage Association</name>
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        <fairValLevel>2</fairValLevel>
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        <fairValLevel>2</fairValLevel>
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        <name>Federal National Mortgage Association</name>
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        <name>Morgan Stanley Residential Mortgage Loan Trust</name>
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        <fairValLevel>2</fairValLevel>
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        <name>BlackRock Allocation Target Shares</name>
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        <name>Federal National Mortgage Association</name>
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        <name>Federal National Mortgage Association</name>
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        <name>Sycamore Tree CLO Ltd.</name>
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        <name>Block, Inc.</name>
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        <name>Vmed O2 UK Financing I plc</name>
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        <name>San Miguel Global Power Holdings Corp.</name>
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      <invstOrSec>
        <name>EchoStar Corp.</name>
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        <name>Charter Communications Operating LLC</name>
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        <name>Federal National Mortgage Association</name>
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        <name>Oracle Corp.</name>
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        <fairValLevel>2</fairValLevel>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>Federal Home Loan Mortgage Corp.</name>
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        <name>Federal Home Loan Mortgage Corp.</name>
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        <fairValLevel>2</fairValLevel>
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        <name>Pfizer Investment Enterprises Pte. Ltd.</name>
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        <isRestrictedSec>N</isRestrictedSec>
        
        <fairValLevel>2</fairValLevel>
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        <fairValLevel>2</fairValLevel>
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        <name>Sage AR Funding</name>
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        <name>Federal National Mortgage Association</name>
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        <fairValLevel>2</fairValLevel>
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        <name>Muangthai Capital PCL</name>
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        <name>Option One Mortgage Loan Trust</name>
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        <name>Amazon.com, Inc.</name>
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        <name>Morgan Stanley Residential Mortgage Loan Trust</name>
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        <fairValLevel>2</fairValLevel>
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        <name>Federal National Mortgage Association</name>
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        <name>Blue Owl Credit Income Corp.</name>
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        <name>Pacific Gas &amp; Electric Co.</name>
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        <fairValLevel>2</fairValLevel>
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        <fairValLevel>2</fairValLevel>
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        <name>Federal National Mortgage Association</name>
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        <fairValLevel>2</fairValLevel>
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        <name>Federal National Mortgage Association</name>
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        <name>NYC Commercial Mortgage Trust</name>
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        <fairValLevel>2</fairValLevel>
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        <fairValLevel>2</fairValLevel>
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        <fairValLevel>2</fairValLevel>
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        <fairValLevel>2</fairValLevel>
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        <name>Velocity Commercial Capital Loan Trust</name>
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        <fairValLevel>2</fairValLevel>
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        <fairValLevel>2</fairValLevel>
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        <name>Federal National Mortgage Association</name>
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        <name>Federal National Mortgage Association</name>
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        <name>Federal National Mortgage Association</name>
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        <fairValLevel>2</fairValLevel>
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        <fairValLevel>2</fairValLevel>
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        <fairValLevel>2</fairValLevel>
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        <fairValLevel>2</fairValLevel>
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        <fairValLevel>2</fairValLevel>
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        <fairValLevel>2</fairValLevel>
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        <name>Republic of Poland</name>
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        <fairValLevel>2</fairValLevel>
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        <name>Federal National Mortgage Association or Federal Home Loan Mortgage Corp.</name>
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        <name>Rogers Communications, Inc.</name>
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        <name>Federal National Mortgage Association</name>
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        <name>Federal National Mortgage Association</name>
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        <name>NCR Atleos Corp.</name>
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        <fairValLevel>2</fairValLevel>
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        <fairValLevel>1</fairValLevel>
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        <name>A&amp;D Mortgage Trust</name>
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        <fairValLevel>2</fairValLevel>
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        <name>United Rentals North America, Inc.</name>
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        <name>Commonwealth Edison Co.</name>
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        <fairValLevel>2</fairValLevel>
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        <fairValLevel>2</fairValLevel>
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        <fairValLevel>2</fairValLevel>
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        <fairValLevel>2</fairValLevel>
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        <name>Federal National Mortgage Association</name>
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        <fairValLevel>2</fairValLevel>
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        <name>Federal Home Loan Mortgage Corp.</name>
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        <name>Trestles CLO VIII Ltd.</name>
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        <name>Federal National Mortgage Association</name>
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        <name>Madison Park Funding XXX Ltd.</name>
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        <fairValLevel>2</fairValLevel>
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        <name>Hilton Grand Vacations Borrower LLC</name>
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        <fairValLevel>2</fairValLevel>
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        <fairValLevel>2</fairValLevel>
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        <fairValLevel>2</fairValLevel>
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        <name>Wells Fargo &amp; Co.</name>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>PRPM Trust</name>
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        <fairValLevel>2</fairValLevel>
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        <fairValLevel>2</fairValLevel>
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        <name>Federal National Mortgage Association</name>
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        <fairValLevel>2</fairValLevel>
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        <name>PG&amp;E Corp.</name>
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        <name>Oracle Corp.</name>
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        <name>Genius Sports Ltd.</name>
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        <name>Verus Securitization Trust</name>
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        <name>Credit-Based Asset Servicing &amp; Securitization LLC</name>
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        <fairValLevel>2</fairValLevel>
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        <name>N/A</name>
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        <fairValLevel>2</fairValLevel>
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        <fairValLevel>2</fairValLevel>
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        <name>Federal National Mortgage Association</name>
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        <name>Taurus UK DAC</name>
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        <fairValLevel>2</fairValLevel>
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        <lei>N/A</lei>
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        <name>Federal National Mortgage Association</name>
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        <fairValLevel>2</fairValLevel>
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        <name>Elevance Health, Inc.</name>
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        <name>Ukraine</name>
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        <name>Federal Home Loan Mortgage Corp.</name>
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        <name>Federal National Mortgage Association</name>
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        <name>Dolcetto Holdco SpA</name>
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        <name>Federal National Mortgage Association</name>
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        <name>Rockford Tower CLO Ltd.</name>
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        <pctVal>0.025571741455</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-CBDO</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2038-03-31</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>4.96783080</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>Federal National Mortgage Association</name>
        <lei>B1V7KEBTPIMZEU4LTD58</lei>
        <title>Uniform Mortgage-Backed Securities</title>
        <cusip>3140QLN36</cusip>
        <identifiers>
          <isin value="US3140QLN366"/>
          <other otherDesc="Inhouse Asset ID" value="3140QLN36"/>
        </identifiers>
        <balance>904844.31330000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>725699.12000000</valUSD>
        <pctVal>0.074100114113</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2051-08-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>2.00000000</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>USD Currency</title>
        <cusip>N/A</cusip>
        <identifiers>
          <other otherDesc="Inhouse Asset ID" value="BYJ7DH826"/>
        </identifiers>
        <balance>-248000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>-1115.18000000</valUSD>
        <pctVal>-0.00011386945</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="Option" issuerCat="OTHER"/>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        
        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="OPT">
            <counterparties>
              <counterpartyName>Goldman Sachs</counterpartyName>
              <counterpartyLei>W22LROWP2IHZNBB6K528</counterpartyLei>
            </counterparties>
            <putOrCall>Call</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>N/A</issuerName>
                <issueTitle>USD Currency</issueTitle>
                <identifiers>
                  <cusip value="N/A"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <shareNo>1.00000000</shareNo>
            <exercisePrice>31.95000000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2026-07-30</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>130.52000000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>Eastman Chemical Co.</name>
        <lei>FDPVHDGJ1IQZFK9KH630</lei>
        <title>Eastman Chemical Co.</title>
        <cusip>277432BB5</cusip>
        <identifiers>
          <isin value="US277432BB57"/>
          <other otherDesc="Inhouse Asset ID" value="277432BB5"/>
        </identifiers>
        <balance>11000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>10790.52000000</valUSD>
        <pctVal>0.001101804785</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2031-02-20</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.50000000</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>BAHA Trust</name>
        <lei>N/A</lei>
        <title>BAHA Trust, Series 2024-MAR, Class D</title>
        <cusip>05493XAJ9</cusip>
        <identifiers>
          <isin value="US05493XAJ90"/>
          <other otherDesc="Inhouse Asset ID" value="05493XAJ9"/>
        </identifiers>
        <balance>200000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>208900.80000000</valUSD>
        <pctVal>0.021330566197</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2041-12-10</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>9.20418840</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>Forward Foreign Currency Contract</title>
        <cusip>N/A</cusip>
        <identifiers>
          <other otherDesc="Inhouse Asset ID" value="692104"/>
        </identifiers>
        <balance>1.00000000</balance>
        <units>NC</units>
        <curCd>N/A</curCd>
        <valUSD>29.04000000</valUSD>
        <pctVal>0.000002965233</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="Forward Foreign Currency Contract" issuerCat="OTHER"/>
        <invCountry>N/A</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        
        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>Citibank</counterpartyName>
              <counterpartyLei>MBNUM2BPBDO7JBLYG310</counterpartyLei>
            </counterparties>
            <amtCurSold>98000.00000000</amtCurSold>
            <curSold>USD</curSold>
            <amtCurPur>1608817.00000000</amtCurPur>
            <curPur>ZAR</curPur>
            <settlementDt>2026-07-24</settlementDt>
            <unrealizedAppr>29.04000000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>United States of America</name>
        <lei>254900HROIFWPRGM1V77</lei>
        <title>U.S. Treasury Bonds</title>
        <cusip>912810SW9</cusip>
        <identifiers>
          <isin value="US912810SW99"/>
          <other otherDesc="Inhouse Asset ID" value="912810SW9"/>
        </identifiers>
        <balance>1249900.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>867215.77000000</valUSD>
        <pctVal>0.088550179746</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>UST</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2041-02-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>1.87500000</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>Ellington Financial Mortgage Trust</name>
        <lei>254900VW35KQDQ4B4241</lei>
        <title>Ellington Financial Mortgage Trust, Series 2025-NQM6, Class A1A</title>
        <cusip>281916AC0</cusip>
        <identifiers>
          <isin value="US281916AC05"/>
          <other otherDesc="Inhouse Asset ID" value="281916AC0"/>
        </identifiers>
        <balance>230544.77000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>228691.54000000</valUSD>
        <pctVal>0.023351370759</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2070-12-25</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>5.00100120</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>Republic of the Philippines</name>
        <lei>529900RAHBALMYIJ3T08</lei>
        <title>Republic of Philippines</title>
        <cusip>718286CP0</cusip>
        <identifiers>
          <isin value="US718286CP01"/>
          <other otherDesc="Inhouse Asset ID" value="718286CP0"/>
        </identifiers>
        <balance>829000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>580217.10000000</valUSD>
        <pctVal>0.059245150139</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>NUSS</issuerCat>
        <invCountry>PH</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2046-07-06</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.20000000</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>USD Currency</title>
        <cusip>N/A</cusip>
        <identifiers>
          <other otherDesc="Inhouse Asset ID" value="BYJ3T3KB5"/>
        </identifiers>
        <balance>398000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1279.66000000</valUSD>
        <pctVal>0.000130664278</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="Option" issuerCat="OTHER"/>
        <invCountry>DE</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        
        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="OPT">
            <counterparties>
              <counterpartyName>Deutsche Bank</counterpartyName>
              <counterpartyLei>7LTWFZYICNSX8D621K86</counterpartyLei>
            </counterparties>
            <putOrCall>Put</putOrCall>
            <writtenOrPur>Purchased</writtenOrPur>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>N/A</issuerName>
                <issueTitle>USD Currency</issueTitle>
                <identifiers>
                  <cusip value="N/A"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <shareNo>1.00000000</shareNo>
            <exercisePrice>16.30000000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2026-07-06</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>-4567.75000000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>Forward Foreign Currency Contract</title>
        <cusip>N/A</cusip>
        <identifiers>
          <other otherDesc="Inhouse Asset ID" value="689908"/>
        </identifiers>
        <balance>1.00000000</balance>
        <units>NC</units>
        <curCd>N/A</curCd>
        <valUSD>20049.94000000</valUSD>
        <pctVal>0.002047271108</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="Forward Foreign Currency Contract" issuerCat="OTHER"/>
        <invCountry>N/A</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        
        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>UBS</counterpartyName>
              <counterpartyLei>BFM8T61CT2L1QCEMIK50</counterpartyLei>
            </counterparties>
            <amtCurSold>21699566.50000000</amtCurSold>
            <curSold>MXN</curSold>
            <amtCurPur>1255307.85000000</amtCurPur>
            <curPur>USD</curPur>
            <settlementDt>2026-08-24</settlementDt>
            <unrealizedAppr>20049.94000000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>Forward Foreign Currency Contract</title>
        <cusip>N/A</cusip>
        <identifiers>
          <other otherDesc="Inhouse Asset ID" value="693903"/>
        </identifiers>
        <balance>1.00000000</balance>
        <units>NC</units>
        <curCd>N/A</curCd>
        <valUSD>411.44000000</valUSD>
        <pctVal>0.000042011558</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="Forward Foreign Currency Contract" issuerCat="OTHER"/>
        <invCountry>N/A</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        
        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>BNP Paribas</counterpartyName>
              <counterpartyLei>R0MUWSFPU8MPRO8K5P83</counterpartyLei>
            </counterparties>
            <amtCurSold>45000.00000000</amtCurSold>
            <curSold>USD</curSold>
            <amtCurPur>234427.50000000</amtCurPur>
            <curPur>BRL</curPur>
            <settlementDt>2026-07-02</settlementDt>
            <unrealizedAppr>411.44000000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>Republic of Indonesia</name>
        <lei>529900FWX0GRR7WG5W79</lei>
        <title>Republic of Indonesia</title>
        <cusip>N/A</cusip>
        <identifiers>
          <isin value="IDG000025701"/>
          <other otherDesc="Inhouse Asset ID" value="BYDP9TKB7"/>
        </identifiers>
        <balance>13796000000.00000000</balance>
        <units>PA</units>
        <currencyConditional curCd="IDR" exchangeRt="17880.00000000"/>
        <valUSD>732265.91000000</valUSD>
        <pctVal>0.074770639782</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>NUSS</issuerCat>
        <invCountry>ID</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2031-03-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.87500000</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>Government National Mortgage Association</name>
        <lei>549300M8ZYFG0OCMTT87</lei>
        <title>Government National Mortgage Association</title>
        <cusip>36213FZ22</cusip>
        <identifiers>
          <isin value="US36213FZ227"/>
          <other otherDesc="Inhouse Asset ID" value="36213FZ22"/>
        </identifiers>
        <balance>12606.61000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>11637.27000000</valUSD>
        <pctVal>0.001188265234</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGA</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2042-01-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.50000000</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
    </invstOrSecs>
    <explntrNotes>
      
      
      
      
      
      <explntrNote note="Monthly returns presented in B.5.a have been calculated without deducting any applicable sales loads or redemption fees." noteItem="B.5.a"/>
      <explntrNote note="IBORs are undergoing a change as regulators and industry groups have recommended that firms consider adoption of alternative, overnight risk-free rates (RFRs). Floating rate swap terms reflected as Libors may be using the RFR to calculate the actual rate." noteItem="C.11.f.i.2"/>
    </explntrNotes>
    <signature>
      <ncom:dateSigned>2026-06-30</ncom:dateSigned>
      <ncom:nameOfApplicant>BlackRock Variable Series Funds II, Inc.</ncom:nameOfApplicant>
      <ncom:signature>Chuck Pulsfort</ncom:signature>
      <ncom:signerName>Chuck Pulsfort</ncom:signerName>
      <ncom:title>Assistant Treasurer</ncom:title>
    </signature>
  </formData>
</edgarSubmission>
