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      <invstOrSec>
        <name>Federal Home Loan Bank Discount Notes 07/01/2020 AGCD</name>
        <lei>2549001DPIFGXC1TOL40</lei>
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          <ticker value="FHLBDN"/>
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        <invCountry>US</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>CHARTER COMMUNICATIONS INC COM USD.001 CL A</name>
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          <ticker value="CHTR"/>
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        <assetCat>EC</assetCat>
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        <invCountry>US</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
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        <name>CREDIT SUISSE GROUP AG ORD CHF 0.04</name>
        <lei>549300506SI9CRFV9Z86</lei>
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          <ticker value="CSGN"/>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>GLAXOSMITHKLINE PLC ORD GBP.25</name>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>N/A</name>
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        <balance>1.00000000</balance>
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        <fairValLevel>N/A</fairValLevel>
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      <invstOrSec>
        <name>CITIGROUP INC COM USD0.01</name>
        <lei>6SHGI4ZSSLCXXQSBB395</lei>
        <title>CITIGROUP INC COM USD0.01</title>
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          <ticker value="C"/>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
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      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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        <cusip>000000000</cusip>
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          <other otherDesc="Internal Sec ID" value="12249023977867"/>
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              <counterpartyName>UBS AG</counterpartyName>
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      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>GBP/USD Sep 20 Future</title>
        <cusip>000000000</cusip>
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          <ticker value="BPU0"/>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
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          <futrDeriv derivCat="FUT">
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              <counterpartyName>MORGAN STANLEY</counterpartyName>
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            <payOffProf>Short</payOffProf>
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      <invstOrSec>
        <name>VODAFONE GROUP PLC ORD GBP.2095</name>
        <lei>213800TB53ELEUKM7Q61</lei>
        <title>VODAFONE GROUP PLC ORD GBP.2095</title>
        <cusip>G93882192</cusip>
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          <ticker value="VOD"/>
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        <invCountry>GB</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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        <name>ENEOS HOLDINGS INC ORD JPY NPV</name>
        <lei>3538001KQ5SAOZSQTT44</lei>
        <title>ENEOS HOLDINGS INC ORD JPY NPV</title>
        <cusip>J29699105</cusip>
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          <ticker value="5020"/>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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        <name>SCHLUMBERGER LTD ORD USD0.01</name>
        <lei>213800ZUA17OK3QLGM62</lei>
        <title>SCHLUMBERGER LTD ORD USD0.01</title>
        <cusip>806857108</cusip>
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        <name>VOYA FINANCIAL INC COM USD NPV</name>
        <lei>549300T065Z4KJ686G75</lei>
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        <cusip>929089100</cusip>
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        <name>Avaya Holdings Corp COM USD 0.0010</name>
        <lei>549300NZS2OZN6Q63A60</lei>
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        <name>EVEREST RE GROUP LTD ORD USD.01</name>
        <lei>549300N24XF2VV0B3570</lei>
        <title>EVEREST RE GROUP LTD ORD USD.01</title>
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          <ticker value="RE"/>
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        <isRestrictedSec>N</isRestrictedSec>

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        <name>KRAFT HEINZ CO/THE COM USD.01</name>
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        <name>N/A</name>
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        <name>N/A</name>
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        <name>ORACLE CORP COM USD0.01</name>
        <lei>1Z4GXXU7ZHVWFCD8TV52</lei>
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        <name>Eli Lilly and Co COM NPV</name>
        <lei>FRDRIPF3EKNDJ2CQJL29</lei>
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        <fairValLevel>1</fairValLevel>
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        <invCountry>N/A</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>N/A</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>UBS AG</counterpartyName>
              <counterpartyLei>BFM8T61CT2L1QCEMIK50</counterpartyLei>
            </counterparties>
            <amtCurSold>154485.84000000</amtCurSold>
            <curSold>USD</curSold>
            <amtCurPur>225509.00000000</amtCurPur>
            <curPur>AUD</curPur>
            <settlementDt>2020-07-15</settlementDt>
            <unrealizedAppr>1140.62000000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
    </invstOrSecs>
    <explntrNotes>
      <explntrNote note="Monthly returns presented in Item B.5(a) have been calculated without deducting any applicable sales loads or redemption fees." noteItem="B.5.a"/>
    </explntrNotes>
    <signature>
      <ncom:dateSigned>2020-07-30</ncom:dateSigned>
      <ncom:nameOfApplicant>Robert Kubilis</ncom:nameOfApplicant>
      <ncom:signature>Robert Kubilis</ncom:signature>
      <ncom:signerName>Robert Kubilis</ncom:signerName>
      <ncom:title>Chief Financial Officer, Chief Accounting Officer and Treasurer</ncom:title>
    </signature>
  </formData>
</edgarSubmission>
