Date: 14-Oct-15

Index Weights as of monthly rebalance date 08-Oct-15

Citi Pure Inverse Size Europe Long Short (Series 2) Index (CIISSCE2) Long Exposure Short Exposure Constituent Bloomberg Ticker Constituent Name Weight(%) Constituent Bloomberg Ticker Constituent Name Weight(%) 1 SW FP Sodexo SA 0.58% 1 NOVOB DC Novo Nordisk A/S -1.27% 2 PAH3 GY Porsche Automobil Holding SE 0.40% 2 NOVN VX Novartis AG -1.44% 3 UG FP Peugeot SA 0.29% 3 HEIA NA Heineken NV -0.50% 4 ATLN VX Actelion Ltd 1.01% 4 ROG VX Roche Holding AG -1.66% 5 SKAB SS Skanska AB 0.31% 5 ITX SQ Industria de Diseno Textil SA -1.45% 6 SOON VX Sonova Holding AG 1.64% 6 STL NO Statoil ASA -1.00% 7 KNIN VX Kuehne + Nagel International A 0.10% 7 ENEL IM Enel SpA -0.88% 8 LUPE SS Lundin Petroleum AB 1.09% 8 ENI IM Eni SpA -0.90% 9 EI FP Essilor International SA 0.55% 9 INGA NA ING Groep NV -1.00% 10 BOL SS Boliden AB 1.18% 10 CSGN VX Credit Suisse Group AG -0.38% 11 ENG SQ Enagas SA 1.02% 11 SRG IM Snam SpA -0.34% 12 SLHN VX Swiss Life Holding AG 1.13% 12 ACA FP Credit Agricole SA -0.23% 13 UBI IM Unione di Banche Italiane SCpA 0.91% 13 ALFA SS Alfa Laval AB -0.02% 14 TITR IM Telecom Italia SpA 1.39% 14 RR/ LN Rolls-Royce Holdings PLC -0.53% 15 STJ LN St James's Place PLC 1.17% 15 SGO FP Cie de Saint-Gobain -0.72% 16 ILD FP Iliad SA 0.48% 16 RBS LN Royal Bank of Group P -1.24% 17 TPK LN Travis Perkins PLC 0.43% 17 TEN IM Tenaris SA -0.10% 18 SMIN LN PLC 0.72% 18 ATL IM Atlantia SpA -0.54% 19 PROX BB Proximus 0.15% 19 YAR NO Yara International ASA -0.34% 20 BDEV LN PLC 0.44% 20 SSE LN SSE PLC -0.33% 21 SESG FP SES SA 0.45% 21 BP/ LN BP PLC -1.35% 22 STAN LN PLC 0.05% 22 RDSB LN PLC -1.10% 23 GLEN LN PLC 0.58% 23 BARC LN PLC -0.83% 24 TRN IM Terna Rete Elettrica Nazionale 0.38% 24 CFR VX Cie Financiere Richemont SA -0.78% 25 TNTE NA TNT Express NV 0.70% 25 SREN VX Swiss Re AG -0.12% 26 TW/ LN PLC 0.62% 26 FER SQ Ferrovial SA -0.31% 27 SN/ LN Smith & Nephew PLC 0.79% 27 LLOY LN PLC -1.20% 28 BKIA SQ Bankia SA 0.65% 28 WOS LN Wolseley PLC -0.14% 29 LXS GY LANXESS AG 1.18% 29 NESTE FH Neste Oyj -0.03% 30 WEIR LN PLC/The 1.08% 30 AZN LN AstraZeneca PLC -0.79% 31 LSE LN Stock Exchange Group PL 0.63% 31 ENGI FP Engie SA -0.91% 32 WPP LN WPP PLC 0.24% 32 EXPN LN PLC -0.01% 33 ISAT LN Inmarsat PLC 1.14% 33 BT/A LN BT Group PLC -0.81% 34 LR FP Legrand SA 0.08% 34 SKY LN Sky PLC -0.39% 35 AKE FP Arkema SA 1.07% 35 EZJ LN easyJet PLC -0.24% 36 DWNI GY Deutsche Wohnen AG 1.05% 36 CNHI IM CNH Industrial NV -0.08% 37 SL/ LN Standard Life PLC 1.09% 37 UBSG VX UBS Group AG -0.96% 38 GALP PL Galp Energia SGPS SA 0.33% 38 AENA SQ Aena SA -0.04% 39 DLG LN Direct Line Insurance Group PL 1.66% 39 ATC NA Altice NV -1.22% 40 BLND LN Co PLC/The 0.85% 40 UL NA Unibail-Rodamco SE -0.39% 41 TLW LN PLC 2.05% 41 AAL LN -0.05% 42 RXL FP Rexel SA 1.25% 42 CCL LN Carnival PLC -0.87% 43 EVK GY Evonik Industries AG 0.08% 43 DGE LN PLC -0.70% 44 VNA GY Vonovia SE 0.27% 44 EN FP Bouygues SA -0.38% 45 OSR GY OSRAM Licht AG 0.87% 45 NG/ LN -1.13% 46 RMG LN PLC 0.25% 46 AI FP Air Liquide SA -1.01% 47 NN NA NN Group NV 0.31% 47 AIR FP Airbus Group SE -1.09% 48 PRY IM Prysmian SpA 1.03% 48 G IM Assicurazioni Generali SpA -0.28% 49 AV/ LN PLC 0.22% 49 OR FP L'Oreal SA -0.68% 50 BP IM Banco Popolare SC 0.91% 50 CDI FP Christian Dior SE -0.76% 51 WTB LN PLC 0.30% 51 ATCOA SS Atlas Copco AB -0.91% 52 GKN LN GKN PLC 1.11% 52 ISP IM Intesa Sanpaolo SpA -1.00% 53 KGF LN 0.36% 53 ABBN VX ABB Ltd -0.78% 54 CABK SQ CaixaBank SA 0.10% 54 EDP PL EDP - Energias de Portugal SA -0.33% 55 BRBY LN Group PLC 0.70% 55 BNP FP BNP Paribas SA -0.99% 56 BVI FP Bureau Veritas SA 0.80% 56 HO FP Thales SA -0.08% 57 IHG LN InterContinental Hotels Group 1.04% 57 BA/ LN BAE Systems PLC -0.34% 58 ITV LN ITV PLC 0.23% 58 UCG IM UniCredit SpA -0.82% 59 UMI BB Umicore SA 0.72% 59 MAERSKB DC AP Moeller - Maersk A/S -1.17% 60 ADEN VX Adecco SA 0.19% 60 DNB NO DNB ASA -0.08% 61 AH NA Koninklijke Ahold NV 0.57% 61 VIV FP Vivendi SA -0.47% 62 VIE FP Veolia Environnement SA 0.00% 62 ERICB SS Telefonaktiebolaget LM Ericsso -0.87% 63 ADS GY adidas AG 0.14% 63 SYNN VX Syngenta AG -0.60% 64 ATCOB SS Atlas Copco AB 0.55% 64 BATS LN PLC -0.84% 65 BOKA NA Boskalis Westminster 0.84% 65 HEN3 GY Henkel AG & Co KGaA -0.22% 66 CAP FP Cap Gemini SA 0.19% 66 KBC BB KBC Groep NV -0.44% 67 CARLB DC Carlsberg A/S 0.92% 67 UPM1V FH UPM-Kymmene OYJ -0.35% 68 CO FP Casino Guichard Perrachon SA 1.86% 68 WRT1V FH Wartsila OYJ Abp -0.10% 69 ING FP Ingenico Group 0.83% 69 KPN NA Koninklijke KPN NV -0.24% 70 COLOB DC Coloplast A/S 0.92% 70 MC FP LVMH Moet Hennessy Louis Vuitt -1.18% 71 KN FP Natixis SA 0.27% 71 DANSKE DC Danske Bank A/S -0.55% 72 DELB BB Delhaize Group 0.86% 72 CS FP AXA SA -0.71% 73 EBS AV Erste Group Bank AG 0.00% 73 CON GY Continental AG -0.70% 74 HEXAB SS Hexagon AB 0.16% 74 DPW GY Deutsche Post AG -0.78% 75 REN NA RELX NV 0.04% 75 NESN VX Nestle SA -1.77% 76 CBK GY Commerzbank AG 0.63% 76 NZYMB DC Novozymes A/S -0.30% 77 FRE GY Fresenius SE & Co KGaA 0.20% 77 TEL NO Telenor ASA -0.60% 78 ADN LN Aberdeen Asset Management PLC 1.43% 78 ABI BB Anheuser-Busch InBev SA/NV -1.87% 79 PUB FP Publicis Groupe SA 0.32% 79 SAF FP SA -1.16% 80 SEV FP Suez Environnement Co 0.38% 80 SAN FP Sanofi -1.00% 81 ARYN VX Aryzta AG 2.38% 81 SCHP VX Schindler Holding AG -0.01% 82 VPK NA Koninklijke Vopak NV 1.52% 82 LUX IM Luxottica Group SpA -0.78% 83 RWE GY RWE AG 1.16% 83 SEBA SS Skandinaviska Enskilda Banken -0.28% 84 G1A GY GEA Group AG 0.46% 84 DG FP Vinci SA -0.89% 85 MB IM Mediobanca SpA 0.84% 85 SU FP Schneider Electric SE -0.91% 86 PSM GY ProSiebenSat.1 Media SE 0.58% 86 SAP GY SAP SE -1.40% 87 ML FP Cie Generale des Etablissement 0.19% 87 SWEDA SS Swedbank AB -0.29% 88 NRE1V FH Nokian Renkaat OYJ 0.98% 88 FP FP TOTAL SA -1.30% 89 NHY NO Norsk Hydro ASA 0.31% 89 VOLVB SS Volvo AB -0.48% 90 RI FP Pernod Ricard SA 0.46% 90 ZURN VX Zurich Insurance Group AG -0.49% 91 MRK GY Merck KGaA 0.01% 91 BAYN GY Bayer AG -0.96% 92 SKFB SS SKF AB 0.39% 92 STERV FH Stora Enso OYJ -0.11% 93 ATO FP Atos SE 0.84% 93 DAI GY Daimler AG -1.32% 94 SOLB BB Solvay SA 0.24% 94 BAS GY BASF SE -1.43% 95 SGSN VX SGS SA 0.09% 95 ORA FP Orange SA -0.75% 96 SCAB SS Svenska Cellulosa AB SCA 0.10% 96 SAMAS FH Sampo Oyj -0.86% 97 TEC FP Technip SA 1.00% 97 RAND NA Randstad Holding NV -0.07% 98 TDC DC TDC A/S 1.28% 98 ALV GY Allianz SE -0.99% 99 TKA GY ThyssenKrupp AG 0.32% 99 RMS FP Hermes International -0.38% 100 FR FP Valeo SA 0.74% 100 MUV2 GY Muenchener Rueckversicherungs- -0.22% 101 EOAN GY E.ON SE 0.15% 101 TIT IM Telecom Italia SpA -0.04% 102 ZC FP Zodiac Aerospace 0.94% 102 DSY FP Dassault Systemes -0.08% 103 MEO GY METRO AG 1.40% 103 GSK LN GlaxoSmithKline PLC -0.70% 104 SWMA SS Swedish Match AB 1.37% 104 NDA SS Nordea Bank AB -0.93% 105 TEL2B SS Tele2 AB 1.11% 105 AKZA NA Akzo Nobel NV -0.42% 106 BEI GY Beiersdorf AG 0.49% 106 VOW3 GY Volkswagen AG -0.761% 107 FME GY Fresenius Medical Care AG & Co 0.62% 107 BBVA SQ Banco Bilbao Vizcaya Argentari -0.742% 108 LHA GY Deutsche Lufthansa AG 0.87% 108 SCMN VX Swisscom AG -0.083% 109 SUBC NO Subsea 7 SA 1.71% 109 FUM1V FH Fortum OYJ -0.129% 110 ELE SQ Endesa SA 0.090% 110 HSBA LN HSBC Holdings PLC -1.774% 111 ACS SQ ACS Actividades de Construccio 0.592% 111 UNA NA NV -1.276% 112 BAER VX Julius Baer Group Ltd 0.666% 112 GAS SQ Gas Natural SDG SA -0.319% 113 DL NA Delta Lloyd NV 1.569% 113 INVEB SS Investor AB -0.533% 114 ELUXB SS Electrolux AB 0.616% 114 HMB SS Hennes & Mauritz AB -1.286% 115 KER FP Kering 0.005% 115 ASSAB SS Assa Abloy AB -0.728% 116 LI FP Klepierre 0.109% 116 SHBA SS Svenska Handelsbanken AB -0.344% 117 UCB BB UCB SA 0.334% 117 SAN SQ Banco Santander SA -0.955% 118 HMSO LN Hammerson PLC 1.039% 118 SIE GY Siemens AG -1.475% 119 CA FP Carrefour SA 0.409% 119 TEF SQ Telefonica SA -0.474% 120 REP SQ Repsol SA 0.451% 120 LIN GY Linde AG -0.820% 121 WKL NA Wolters Kluwer NV 0.460% 121 FCA IM Fiat Chrysler Automobiles NV -0.456% 122 GEBN VX Geberit AG 0.250% 122 DBK GY Deutsche Bank AG -0.354% 123 ELI1V FH Elisa OYJ 0.591% 123 BMW GY Bayerische Motoren Werke AG -0.999% 124 DC/ LN Dixons Carphone PLC 0.174% 124 DTE GY Deutsche Telekom AG -1.411% 125 REE SQ Red Electrica Corp SA 0.389% 125 IMT LN Imperial Tobacco Group PLC -0.309% 126 BOSS GY HUGO BOSS AG 1.049% 126 ASML NA ASML Holding NV -1.030% 127 SDF GY K+S AG 0.894% 127 VWS DC Vestas Wind Systems A/S -0.142% 128 DSM NA Koninklijke DSM NV 0.280% 128 GLE FP Societe Generale SA -0.519% 129 LONN VX Lonza Group AG 1.726% 129 TLSN SS TeliaSonera AB -0.289% 130 AC FP Accor SA 0.449% 130 GIVN VX Givaudan SA -0.112% 131 POP SQ Banco Popular Espanol SA 0.942% 131 BN FP Danone SA -0.202% 132 DSV DC DSV A/S 0.510% 132 PHIA NA Koninklijke Philips NV -0.601% 133 IFX GY Infineon Technologies AG 0.503% 133 SAB LN SABMiller PLC -0.803% 134 AGN NA Aegon NV 0.469% 134 RDSA LN Royal Dutch Shell PLC -1.719% 135 AMS SQ Amadeus IT Holding SA 0.054% 135 ABF LN PLC -0.125% 136 STM IM STMicroelectronics NV 0.754% 136 CPG LN PLC -0.184% 137 SAND SS Sandvik AB 0.084% 137 BLT LN BHP Billiton PLC -1.633% 138 RRS LN Randgold Resources Ltd 0.964% 138 ULVR LN Unilever PLC -1.126% 139 JMAT LN PLC 0.511% 139 PNDORA DC Pandora A/S -0.204% 140 MNDI LN PLC 0.223% 140 PRU LN -0.790% 141 LAND LN Land Securities Group PLC 0.479% 141 IAG LN International Consolidated Air -0.557% 142 AHT LN PLC 0.063% 142 BG/ LN BG Group PLC -0.645% 143 SVT LN PLC 0.443% 143 RIO LN PLC -1.398% 144 EDEN FP Edenred 1.863% 144 VOD LN Group PLC -1.436% 145 LGEN LN Legal & General Group PLC 0.044% 145 RB/ LN Benckiser Group PLC -0.385% 146 MKS LN Marks & Spencer Group PLC 0.436% 147 ARM LN ARM Holdings PLC 0.049%